Issues with close() and close_enough()

Posted by Simon Shakeshaft on
URL: http://quantlib.414.s1.nabble.com/Issues-with-close-and-close-enough-tp8064.html

Hi,

I believe there is an issue in the close() function in comparison.hpp

e.g. close(0.0, std::numeric_limits<double>::min(), 42) returns false.

 

The issue is here:
        return diff <= tolerance*std::fabs(x) &&
               diff <= tolerance*std::fabs(y);

if x (or y) is zero then this reduces to

 return diff <= 0 &&
               diff <= tolerance*std::fabs(y)

which is true iif y == 0 (tolerance > 0).

[yes, there are other issues when comparing small FP numbers as well…]

I've attached a suggested patch. The patch also checks for Null<Real> being passed and the function returns false in the case either, or both arguments are Null<Real>, although it’s possible that a throw may be better (see later useage.)

There is also a direct equality test to deal with +/-infinity FP representations.

A quick wildcard search through the project files shows:

Find all "close(*0*)", Wildcards, Subfolders, Find Results 1, "Current Project"
  \QuantLib-1.2\ql\experimental\callablebonds\callablebond.cpp(126):        bool isZeroCouponBond = (coupons.size() == 1 && close(coupons[0], 0.0));
  \QuantLib-1.2\ql\math\solvers1d\bisection.hpp(65):                if (std::fabs(dx) < xAccuracy || (close(fMid, 0.0)))
  \QuantLib-1.2\ql\math\solvers1d\brent.hpp(74):                if (std::fabs(xMid) <= xAcc1 || (close(froot, 0.0)))
  \QuantLib-1.2\ql\math\solvers1d\falseposition.hpp(77):                if (std::fabs(del) < xAccuracy || (close(froot, 0.0)))
  \QuantLib-1.2\ql\math\solvers1d\ridder.hpp(63):                if (close(s, 0.0))
  \QuantLib-1.2\ql\math\solvers1d\ridder.hpp(75):                if (close(froot, 0.0))
  \QuantLib-1.2\ql\math\solvers1d\secant.hpp(69):                if (std::fabs(dx) < xAccuracy || (close(froot, 0.0)))
  \QuantLib-1.2\ql\math\solver1d.hpp(102):            if (close(fxMax_,0.0))
  \QuantLib-1.2\ql\math\solver1d.hpp(104):            else if (close(fxMax_, 0.0)) {
  \QuantLib-1.2\ql\math\solver1d.hpp(118):                    if (close(fxMin_, 0.0))
  \QuantLib-1.2\ql\math\solver1d.hpp(120):                    if (close(fxMax_, 0.0))
  \QuantLib-1.2\ql\math\solver1d.hpp(189):            if (close(fxMin_, 0.0))
  \QuantLib-1.2\ql\math\solver1d.hpp(193):            if (close(fxMax_, 0.0))
  \QuantLib-1.2\ql\methods\finitedifferences\tridiagonaloperator.cpp(101):        QL_REQUIRE(!close(bet, 0.0),
  \QuantLib-1.2\ql\methods\finitedifferences\tridiagonaloperator.cpp(108):            QL_ENSURE(!close(bet, 0.0), "division by zero");
  \QuantLib-1.2\ql\models\marketmodels\correlations\expcorrelations.cpp(97):        if (close(gamma,1.0)) {
  \QuantLib-1.2\ql\pricingengines\blackcalculator.cpp(80):            if (close(strike_, 0.0)) {
  \QuantLib-1.2\ql\pricingengines\blackcalculator.cpp(297):        if (close(maturity, 0.0)) return 0.0;
  Matching lines: 18    Matching files: 10    Total files searched: 1799

and also
Find all "close(*null*)", Wildcards, Subfolders, Find Results 1, "Current Project"
  C:\SharedLibs\QuantLib-1.2\ql\index.hpp(99):                missingFixing= forceOverwrite || close(currentValue,nullValue); 
  [nullValue = Null<Real>();]

  Matching lines: 1    Matching files: 1    Total files searched: 1799

The last one can probably be corrected as missingFixing= forceOverwrite || (currentValue==Null<Real>()); [and remove the declaration of nullValue.]

Best Regards,
Simon

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