Posted by
Peter Caspers-4 on
Dec 27, 2012; 1:26pm
URL: http://quantlib.414.s1.nabble.com/MF1F-NTL-Support-tp13826.html
Hi,
I added high precision floating point support to the markov functional
model making use of NTL (and supplementary boost functions). This allows
for a better numeraire fit to long term (like say 50y) constant maturity
calibration sets. NTL is only used for some intermediate results, the
interface does not change. While there are other, faster yet dirty ways
to stabilize the calibration (like the AdjustYts option) this is
probably a good way to produce benchmark results and check convergence
in the numerical parameters. I updated the code on my github as well as
the doc on ssrn giving an example.
More generally, is high precision arithmetic a topic anyone came across
in some context he or she wants to share ?
Peter
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