Bugs item #3476025, was opened at 2012-01-19 04:33
Message generated for change (Comment added) made by klausspanderen
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Category: None
Group: None
Status: Open
Resolution: None
Priority: 5
Private: No
Submitted By: Simon (simon_ibbotson)
Assigned to: Nobody/Anonymous (nobody)
Summary: Code error in fdmblackscholesmesher.cpp
Initial Comment:
Line 68 currently reads
" std::pair<Real,Real>(std::log(cPoint.first),cPoint.second)));"
it should read
" std::pair<Real,Real>(std::log(cPoint.first),std::log(cPoint.second))));
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>Comment By: Klaus Spanderen (klausspanderen)
Date: 2012-01-21 03:20
Message:
Hi Simon
the first parameter must be given in log(cPoint.first) because the mesher
is in log(S). The second parameter controls the number of grid points x_i
that lie in the neighborhood of log(K). Therefore it is not a bug but a
question of the convention we want to use to specify this density
parameter.
In the the past I've used the currently implemented convention that follows
e.g. the Tavella book. If you want to change it we'll have to change the
value of the density parameter in fdblackscholesvanillaengine.cpp etc from
0.1 to exp(0.1)~1.1. Because the implemented behavior should remain as it
is.
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