negate indipendence

bertiqwerty · Aug 10, 2023 · 3c4f64f · 3c4f64f
1 parent 2acc224
commit 3c4f64f
Showing 1 changed file with 1 addition and 1 deletion.
diff --git a/src/compute.rs b/src/compute.rs
@@ -213,7 +213,7 @@ pub fn random_walk(
         let rv = d.sample(&mut rv_rng);
         res[i] = (res[i - 1] * rv).max(1e-1);
 
-        if is_return_indpendent && sigma - sigma_mean > 0.0 {
+        if !is_return_indpendent && sigma - sigma_mean > 0.0 {
             let actual_total_return: f64 = (1..=i).map(|j| res[j] / res[j - 1]).product::<f64>().powf(1.0/(n_months-i) as f64);
             let expected_total_return = expected_monthly_return.powf(n_months as f64 / (n_months-i) as f64);
             mu = expected_total_return / actual_total_return;