algorithm (which I can't seem to find though). You're probably right
though, it's surprising and we should probably change it. I'm not
sure about checking for nulls. Maybe only in debug mode?
> Hi,
>
> I believe there is an issue in the close() function in comparison.hpp
>
> e.g. close(0.0, std::numeric_limits<double>::min(), 42) returns false.
>
>
>
> The issue is here:
> return diff <= tolerance*std::fabs(x) &&
> diff <= tolerance*std::fabs(y);
>
> if x (or y) is zero then this reduces to
>
> return diff <= 0 &&
> diff <= tolerance*std::fabs(y)
>
> which is true iif y == 0 (tolerance > 0).
>
> [yes, there are other issues when comparing small FP numbers as well…]
>
> I've attached a suggested patch. The patch also checks for Null<Real> being
> passed and the function returns false in the case either, or both arguments
> are Null<Real>, although it’s possible that a throw may be better (see later
> useage.)
>
> There is also a direct equality test to deal with +/-infinity FP
> representations.
>
> A quick wildcard search through the project files shows:
>
>
> Find all "close(*0*)", Wildcards, Subfolders, Find Results 1, "Current
> Project"
> \QuantLib-1.2\ql\experimental\callablebonds\callablebond.cpp(126):
> bool isZeroCouponBond = (coupons.size() == 1 && close(coupons[0], 0.0));
> \QuantLib-1.2\ql\math\solvers1d\bisection.hpp(65): if
> (std::fabs(dx) < xAccuracy || (close(fMid, 0.0)))
> \QuantLib-1.2\ql\math\solvers1d\brent.hpp(74): if
> (std::fabs(xMid) <= xAcc1 || (close(froot, 0.0)))
> \QuantLib-1.2\ql\math\solvers1d\falseposition.hpp(77): if
> (std::fabs(del) < xAccuracy || (close(froot, 0.0)))
> \QuantLib-1.2\ql\math\solvers1d\ridder.hpp(63): if
> (close(s, 0.0))
> \QuantLib-1.2\ql\math\solvers1d\ridder.hpp(75): if
> (close(froot, 0.0))
> \QuantLib-1.2\ql\math\solvers1d\secant.hpp(69): if
> (std::fabs(dx) < xAccuracy || (close(froot, 0.0)))
> \QuantLib-1.2\ql\math\solver1d.hpp(102): if (close(fxMax_,0.0))
> \QuantLib-1.2\ql\math\solver1d.hpp(104): else if (close(fxMax_,
> 0.0)) {
> \QuantLib-1.2\ql\math\solver1d.hpp(118): if
> (close(fxMin_, 0.0))
> \QuantLib-1.2\ql\math\solver1d.hpp(120): if
> (close(fxMax_, 0.0))
> \QuantLib-1.2\ql\math\solver1d.hpp(189): if (close(fxMin_,
> 0.0))
> \QuantLib-1.2\ql\math\solver1d.hpp(193): if (close(fxMax_,
> 0.0))
>
> \QuantLib-1.2\ql\methods\finitedifferences\tridiagonaloperator.cpp(101):
> QL_REQUIRE(!close(bet, 0.0),
>
> \QuantLib-1.2\ql\methods\finitedifferences\tridiagonaloperator.cpp(108):
> QL_ENSURE(!close(bet, 0.0), "division by zero");
>
> \QuantLib-1.2\ql\models\marketmodels\correlations\expcorrelations.cpp(97):
> if (close(gamma,1.0)) {
> \QuantLib-1.2\ql\pricingengines\blackcalculator.cpp(80): if
> (close(strike_, 0.0)) {
> \QuantLib-1.2\ql\pricingengines\blackcalculator.cpp(297): if
> (close(maturity, 0.0)) return 0.0;
> Matching lines: 18 Matching files: 10 Total files searched: 1799
>
> and also
> Find all "close(*null*)", Wildcards, Subfolders, Find Results 1, "Current
> Project"
> C:\SharedLibs\QuantLib-1.2\ql\index.hpp(99): missingFixing=
> forceOverwrite || close(currentValue,nullValue);
> [nullValue = Null<Real>();]
>
> Matching lines: 1 Matching files: 1 Total files searched: 1799
>
> The last one can probably be corrected as missingFixing= forceOverwrite ||
> (currentValue==Null<Real>()); [and remove the declaration of nullValue.]
>
> Best Regards,
> Simon
>
>
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comparison.hpp.patch (1K)