Gamma_inv returns an error if the random number passed to it is higher than roughly 0.96. This happens in both Excel and with VBA. I am running a Monte Carlo, and this only happens 10 or so times in over 40,000 runs. Here is how I am using it (alpha and beta are always >0):
alpha = B * B * bsy2 ^ -2
beta = bsy2 * bsy2 / B
rand = Rnd
B = WorksheetFunction.GAMMA_Inv(rand, alpha, beta)
Thanks
Aucun commentaire:
Enregistrer un commentaire