I have implemented martingale correction to my Andersen scheme for Heston model, as it is in the paper (page 19-22):
http://www.ressources-actuarielles.net/EXT/ISFA/1226.nsf/0/1826b88b152e65a7c12574b000347c74/$FILE/LeifAndersenHeston.pdf
However, Andersen derived martingale correction for asset process without interest rate, but I have interest rate in my model and implementation.
I think that implementing martingale correction for Andersen scheme with non-zero interest rate like this:
$$\hat{X}(t + \Delta) = \hat{X}(t) * exp(r \Delta + K_0 + K_1 \hat{v}(t) + K_2 \hat{v}(t+\Delta) + \sqrt{K_3 \hat{v}(t) + K_4 \hat{v}(t+\Delta)} \cdot Z)$$
should be fine, since interest rate is constant, but I'm not 100% sure.
Could anyone advice on this?