Dear all,
I am new to the QuantLib group. So first of all, I would like to
introduce myself.
I live in Germany and work at a bank as a front office software
developer. I discovered QuantLib last year reading one of the Mark Joshi
book. At the bank we used QuantLib in a couple of our projects.
I started using QuantLib myself a couple of month ago and want to thank
all contributors for such a functional library for quants. From the
programmers point of view I like how the lib is designed and organized.
To get a better overview about all the functionality, I installed and
compiled QuantLibXL. I am interested in optimization, so the first
Excel-Sheet I took was the Math/Optimization.xls. I found out, that some
functions return a #NUM error. I read documentation and tried to figure
out, what the problem was. Only through debugging, I found out, that the
function call in the Excel was not correct.
The problem is with the EndCriteria function.
QL_REQUIRE(maxStationaryStateIterations_>1,
"maxStationaryStateIterations_ (" <<
maxStationaryStateIterations_ <<
") must be greater than one");
Excel pass a maxStationaryStateIterations as an epsilon, Which is
0,000000000001 by default and cause the error to occur.
I tried the last version from trunk, the function call in the Excel
still seems to be wrong.
I am going to try out the optimization next days. So, I will extend this
one. Where could I post the correct one?
Cheers,
Alexander Lotter
------------------------------------------------------------------------------
Register Now for Creativity and Technology (CaT), June 3rd, NYC. CaT
is a gathering of tech-side developers & brand creativity professionals. Meet
the minds behind Google Creative Lab, Visual Complexity, Processing, &
iPhoneDevCamp as they present alongside digital heavyweights like Barbarian
Group, R/GA, & Big Spaceship.
http://p.sf.net/sfu/creativitycat-com
_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users
Locked
