Posted by
Ferdinando M. Ametrano-2 on
Apr 25, 2002; 2:00pm
URL: http://quantlib.414.s1.nabble.com/how-is-QL-tested-tp1999p2001.html
Hi all
[about american option with discrete dividends] Vadim Ogranovich wrote:
>What about Bloomberg? I bet they have option analytics somewhere in the maze
>of their windows.
I will take a look at that. If someone knows the american option Bloomberg
window and wants to drop me a line with the command sequence to get there,
I would appreciate.
>Also in "Option Pricing" by Wilmott, et. al there is an example in C.2.3
>"Options paying dividends".
thank you for the suggestion, I forgot about that example. Anyway it uses
discrete dividend yields, i.e. a dividend that is a percentage of the spot
value. As of now the QuantLib pricer cannot handle such dividends (even if
it would easy to implement it in the current framework), it handles lumpy
dividends.
At 12:15 AM 4/24/2002 -0700, Kris wrote:
> > I looked around for numerical examples but I couldn't find none. There
> must
> > be some numerical results for american option with discrete dividends
> > somewhere; suggestions anyone?
>Are you meaning a comparable algorithm or analyticalish-formula?,
>when you say numerical result??.
I mean a table of option values that I could re-calculate with QuantLib
pricers, in order to get a verification of the results provided by our pricers
>it would be a good idea to use cppunit or other testing framework
>
http://cppunit.sourceforge.net/>and have regression testing built-in..this way the interface and
>design by contract can be enforced?
Yes it would a good idea. Actually we have a unit test framework in Python
(and Ruby, MzScheme, Guile, etc. thanks to Luigi) but a C++ testing
framework is needed.
Has anyone compared cppunit with the boost test suite?
Even better: anyone willing to set up the QuantLib C++ test suite?
>could you point me to the latest updated todo list?.
We have a TODO.txt file in our source distribution: the latest version is
always available at:
http://cvs.sourceforge.net/cgi-bin/viewcvs.cgi/quantlib/QuantLib/TODO.txt?rev=HEAD&content-type=text/vnd.viewcvs-markupThis list should be integrated with the todo list generated by DoxyGen
using QuantLib source code. If you don't want to generate the documentation
from the sources you can check
http://quantlib.org/snapshot.html. There
you'll find the latest build and you can browse the DoxyGen html
documentation. The page of interest for you is
http://quantlib.org/AutomatedBuilds/html/todo.htmlciao -- Nando