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At 02:14 PM 7/29/2003 +0200, Luigi Ballabio wrote:
>At 01:48 PM 7/29/03 +0200, Ferdinando Ametrano wrote:
>>the AmericanOption example shows a bug related to matrix/vector product,
>>originating from a bad SVD decomposition triggered by the valuation of an
>>OTM option with very few ITM paths.
>
>Can you elaborate on this?
I'm toying with the next release in my ten minutes spare time at work ;-)
The AmericanOption example as it is available now in the CVS branch fails.
It is the valuation of out-of-the-money option, where only 1 path finishes
in the money. The SingularValueDecomposition applies to a 1x3 matrix (first
question: isn't standard to implement SVD for MxN matrix with M>=N? Ok it's
just matter of transposing...). Whatever it does, it returns
matrices/vectors that cannot be multiplied in the MC American engines. This
failed multiplication raise the exception.
hope it helps.
it's short, sorry but I'm leaving...
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ciao -- Nando
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