RE: Double Barrier Options
Posted by daniel saitowitz on Mar 01, 2004; 7:32am
URL: http://quantlib.414.s1.nabble.com/SVD-routine-error-tp2794p2804.html
>Please pay special attention to the test-suite: I am really worried
about
>contributions without an appropriate test-suite. Please try to
reference
>the relevant papers/books and to reproduced all numerical examples
provided
>in your sources
Sure - I totally understand the importance of this!
Both test-suite and references.
I have good data from the Tian paper, unfortunately the Haug paper and
Luo paper, don't have enough data for replication, so I am benchmarking
them against Tian and some other papers.
Regards
Daniel