Fix makes sure that NaNs, Infs from QLNet don't disrupt our calculati… #707
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…ons. Cosmetic fix in IQFeed test.
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I think ideally this should be solved using a sum type one level higher in Greeks/Results classes. So I thought about adding a flag "IsReady" confirming that computations were successful, and if yes, then deliver all numbers. As for QLNet, they port/copy from QuantLib trying to minimize new bugs from porting. As a result of this, NPV is double(not decimal) and there are no safe functions in entire library to check if values were produced. We catch exceptions. In C++ it was ok, in C# this is bad. Will suggest QLNet authors to change this pattern. |
jaredbroad
approved these changes
Jan 18, 2017
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…ons.
Cosmetic fix in IQFeed test.