precision in cubicsplineinterpolation (and in general)

Posted by Sylvain Bertrand on
URL: http://quantlib.414.s1.nabble.com/precision-in-cubicsplineinterpolation-and-in-general-tp12216.html

Hi,

 

As I'm working on spline implementations, I've encountered issues with the precision of Real.

 

The calculations I'm doing rely heavily on precision, and it is not an option for me to consider 1e-20 as 0 or 2.0/3 as 0.666667.

 

2 things here:

- I want to raise to your attention the fact that the current spline implementation is also affected by this (though to a lesser extent)

- I would like to know if any of you have used workarounds for this, and what you did

 

Thanks

 

Sylvain

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