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OK, that makes more sense. But for some purposes, xmrange is faster. Suppose you actually want the output of xmrange as a list. Then if you look at:

def test1(nx):
    return xmrange([nx]*3)

def test2(nx):
    answer = []
    for k1 in xrange(nx):
        for k2 in xrange(nx):
            for k3 in xrange(nx): answer.append([k1,k2,k3])
    return answer

the xmrange solution wins:

timeit('test1(10)')
    625 loops, best of 3: 28.5 µs per loop

timeit('test2(10)')
    625 loops, best of 3: 403 µs per loop

although I'm sure there are more efficient ways to use xrange for this.