Posted by
Klaus Spanderen-2 on
Jan 22, 2017; 9:04pm
URL: http://quantlib.414.s1.nabble.com/Heston-analytic-engine-possible-problem-tp17977p17985.html
Hi Yiannis,
the small sigma value gives the Gauss-Lobatto algorithm a hard time to figure
out the Fourier integral of the characteristic function. All other adaptive
integration algorithms like Gauss-Konrod etc throw in the towel much earlier.
The c_inf value is given by formula 39 in the original paper
http://www2.math.uni-wuppertal.de/~kahl/publications/NotSoComplexLogarithmsInTheHestonModel.pdf
It was observed that a max value on the expression sqrt(1-rho^2)/w can improve
the numerical stability of the Gauss-Lobatto integration. Given your example
and some additional edge cases 1.0 seems to be a better max bound than the
10.0 currently being used. I've created a PR with the corresponding change,
https://github.com/lballabio/QuantLib/pull/192thanks and best regards
Klaus
On Donnerstag, 19. Januar 2017 15:54:07 CET YiannisP wrote:
------------------------------------------------------------------------------
Check out the vibrant tech community on one of the world's most
engaging tech sites, SlashDot.org!
http://sdm.link/slashdot_______________________________________________
QuantLib-users mailing list
[hidden email]
https://lists.sourceforge.net/lists/listinfo/quantlib-users