pseudoSqrt() and rankReducedSqrt()

Posted by Li, Peter on
URL: http://quantlib.414.s1.nabble.com/pseudoSqrt-and-rankReducedSqrt-tp9265.html

Hi, Luigi,

in pseudoSqrt.cpp the checking of symmetric matrix may fail due to rounding errors in construction of a matrix.

For safety, line 235 and 343

 

           QL_REQUIRE(matrix[i][j] == matrix[j][i],

                           "matrix not symmetric");

 

should be changed to  QL_REQUIRE(fabs(matrix[i][j] -matrix[j][i])< QL_EPSILON ,

                           "matrix not symmetric");

 

The current check thinks

0.026098788171586292  0.026098788171586288 are different.

 

Thanks.

 

------------------------------------

Peter Li 

 

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