Posted by
Luigi Ballabio on
Feb 21, 2013; 12:45pm
URL: http://quantlib.414.s1.nabble.com/Cumulative-Bivariate-Distribution-error-in-the-tails-BivariateCumulativeNormalDistributionWe04DP-tp14068p14069.html
Thanks, Fabien. I'll add it as soon as I get some time.
Luigi
On Thu, Feb 21, 2013 at 1:31 PM, Fabien Le Floc'h <
[hidden email]> wrote:
> Hello,
>
> BivariateCumulativeNormalDistributionWe04DP is imprecise in the tails: when
> the correlation is high and the x,y are very high (near +/-7), the results
> returned can exhibit some wiggling due to numerical noise. In practice this
> can lead to nonsensical greeks.
>
> A simple fix is to evaluate the univariate cumulative normal distribution
> where it is most precise, that is in the lower tail rather than in the upper
> tail, because one can achieve much higher accuracy around 0.0 vs around 1.0
> with double numbers.
>
> Attached is a small patch for BivariateCumulativeNormalDistributionWe04DP
> along with a unit test.
>
> Best regards,
>
> Fabien Le Floc'h
>
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