> > Volatility impliedVolatility(
> > Real price,
> > const Handle<YieldTermStructure>& discountCurve,
> > + Volatility guess,
> > Real accuracy = 1.0e-4,
> > - Size maxEvaluations = 100,
> > + Natural maxEvaluations = 100,
> > Volatility minVol = 1.0e-7,
> > Volatility maxVol = 4.0) const;
>
> Same concern here. The accuracy seems to me more likely to be specified
> than the guess. Moreover, the guess should have a default value, too.
I disagree here. In the previous implementation the guess was
hardcoded in the cpp file to be 10%. Providing a reasonable guess does
speed up computation significantly, and it seems to me uncontroversial
that a user might provide a reasonable guess, while usually he should
not specify accuracy: if he does, it's the accuracy default value
which is probably wrong... but that's for another possible future
change: moving from absolute accuracy to nominal-relative accuracy in
implied vol for swaption and cap/floor
As usual, despite being this uncontroversial for me I'm willing to
follow your suggestions if you're strong about them :-)
I'm agnostic about providing a default value for the guess, just
taught that with no default value there would be more chances of end
user noticing that he's now able to provide a guess
ciao -- Nando
-------------------------------------------------------------------------
This SF.net email is sponsored by: Microsoft
Defy all challenges. Microsoft(R) Visual Studio 2008.
http://clk.atdmt.com/MRT/go/vse0120000070mrt/direct/01/_______________________________________________
QuantLib-dev mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-dev
Locked
