rounding error in distribution.cpp
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rounding error in distribution.cpp
by leibniz777
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When using the synthetic cdo pricing engine sometimes there is thrown an error by the file Distribution::locate:
Although it is true that "x >= x_.front() && x <= x_.back() + dx_.back()" in the QL_REQUIRE function sometimes there is thrown an error because the condition is not fulfilled due to rounding errors. -- GRATIS für alle GMX-Mitglieder: Die maxdome Movie-FLAT! Jetzt freischalten unter http://portal.gmx.net/de/go/maxdome01 ------------------------------------------------------------------------------ Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day trial. Simplify your report design, integration and deployment - and focus on what you do best, core application coding. Discover what's new with Crystal Reports now. http://p.sf.net/sfu/bobj-july _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Re: rounding error in distribution.cpp
by Jose Aparicio-Navarro
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Quoting Oliver Klehn <oklehn@...>:
> When using the synthetic cdo pricing engine sometimes there is thrown an > error by the file Distribution::locate: > Although it is true that "x >= x_.front() && x <= x_.back() + dx_.back()" in > the QL_REQUIRE function sometimes there is thrown an error because the > condition is not fulfilled due to rounding errors. I am not 100% sure it is the same problem without sample code but there has been a fix for this recently. Can you check out you have this version of the constructor?: Distribution::Distribution (int nBuckets, Real xmin, Real xmax) //------------------------------------------------------------------------- : size_(nBuckets), xmin_(xmin), xmax_(xmax), count_(nBuckets), [...] // ensure we match exactly the domain, otherwise we might fail the // locate test because of precission mismatches dx_.back() = xmax - x_.back(); } Best regards Pepe ------------------------------------------------------------------------------ Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day trial. Simplify your report design, integration and deployment - and focus on what you do best, core application coding. Discover what's new with Crystal Reports now. http://p.sf.net/sfu/bobj-july _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Re: rounding error in distribution.cpp
by Luigi Ballabio
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On Thu, 2009-09-10 at 09:58 +0200, Jose Aparicio-Navarro wrote:
> Quoting Oliver Klehn <oklehn@...>: > > > Although it is true that "x >= x_.front() && x <= x_.back() + dx_.back()" in > > the QL_REQUIRE function sometimes there is thrown an error because the > > condition is not fulfilled due to rounding errors. > > I am not 100% sure it is the same problem without sample code but there has been > a fix for this recently. Possibly. I've fixed the requirement anyway. Luigi -- It is better to know some of the questions than all of the answers. -- James Thurber ------------------------------------------------------------------------------ Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day trial. Simplify your report design, integration and deployment - and focus on what you do best, core application coding. Discover what's new with Crystal Reports now. http://p.sf.net/sfu/bobj-july _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Re: rounding error in distribution.cpp
by leibniz777
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I have not this version of the constructor. Where can I find it?
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Re: rounding error in distribution.cpp
by Luigi Ballabio
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On Thu, 2009-09-10 at 02:05 -0700, leibniz777 wrote:
> I have not this version of the constructor. Where can I find it? >From the Subversion repository (see <http://quantlib.org/svn.shtml>.) Luigi -- Better to have an approximate answer to the right question than a precise answer to the wrong question. -- John Tukey as quoted by John Chambers ------------------------------------------------------------------------------ Let Crystal Reports handle the reporting - Free Crystal Reports 2008 30-Day trial. Simplify your report design, integration and deployment - and focus on what you do best, core application coding. Discover what's new with Crystal Reports now. http://p.sf.net/sfu/bobj-july _______________________________________________ QuantLib-users mailing list QuantLib-users@... https://lists.sourceforge.net/lists/listinfo/quantlib-users |
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Re: rounding error in distribution.cpp already fixed in 16341
by leibniz777
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With the fix in 16341 there seem to be so such errors anymore.
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