RV: Newton

Posted by Gilbert Peffer on Jul 10, 2001; 2:43pm
URL: http://quantlib.414.s1.nabble.com/RV-Newton-tp1747.html

This reminds me to an interesting "bug" I was once looking for in
a simple programme that calculated yields from bond prices. The
usual thinking is that since it is a smooth monoton function, any
method to find the root should work. Not so! Since I used the
"real-world" price/yield calculation function hidden away in a
production library, I forgot about the fact that internally, the
function rounds prices (to the 32nd at the time). This means that
the P/Y function is not smooth at all but a step function!! So
much for having advanced degrees in maths :-)
Cheers, Gilbert

>
>Hi QuantLibers,
>I 've problems in using the Newton's method to evaluate a function.
>Any idea of how to  test it in c++?
>thanks in advance.
>Marcello
>
>
>
>Marcello Gambacorta
>Customer Desk Cofiri SIM S.p.A.
>Tel: [phone]
>Fax:[phone]
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>    
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