Hi all,
I am an undergraduate student from National University of Singapore. Now my research group is working on a research topic related to numerical stability and we are planning to analyse the financial model as a part of this project. I am new to QuantLib and still exploring the examples. We are interested in is the case that certain financial model fails to present accurate result due to the limitation of floating number operation, especially when operation is related to huge number or matrix.
In this case, I would like to know if there is any observation regarding financial model's instability and if there is any place to get testing data specific to certain option price engine like Black-Scholes etc.
Thanks a lot.
--
Best Regards,
Zhao Cong
National University of Singapore, School of Computing
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