bug showed up in AmericanOption example

Posted by Ferdinando M. Ametrano-2 on Jul 29, 2003; 5:47am
URL: http://quantlib.414.s1.nabble.com/bug-showed-up-in-AmericanOption-example-tp10302.html

Hi all

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.

Any idea Neil?

BTW We badly need test case for SVD...


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ciao -- Nando