QD+ fixed point American option engine

[klausspanderen]

High performance/precision American engine based on fixed point iteration for the exercise boundary

[coveralls]

Coverage increased (+0.3%) to 71.535% when pulling 2a2e4f1 on klausspanderen:early_exercise_boundary into e3bdecf on lballabio:master.

[sweemer]

I'm seeing some new test failures in the non-default build related to this change, here's one example: https://github.com/sweemer/QuantLib/actions/runs/3367619449/jobs/5585272824#step:6:29

They also appear on my branch with the workaround for the gcc bug: https://github.com/sweemer/QuantLib/actions/runs/3366500279/jobs/5583056463#step:6:29

[lballabio]

What happens applying my change instead? (d7bb8ca)

[lballabio]

No, scratch that, it's probably not related

[lballabio]

I guess the problem is the version of Boost — we can require a later one at https://github.com/lballabio/QuantLib/pull/1495/files#diff-e992058fb8a4cbfd3fee5fd1eb5e2cf45ed03927c0e0aa3a767299bb70a8f2c7R30

[sweemer]

Sounds good

[klausspanderen]

Hi,

thanks for bringing this up!

boostorg/math#108
boostorg/math#155

In order to avoid a bug in the earlier versions of boost tanh_sinh we should bump the version to 1.69. I'll create a PR.

[sweemer]

Unfortunately the EquityOption example is still failing with Boost 1.66 and gcc 6.3. Should we bump the Boost version to 1.69 in the CI jobs as well?

https://github.com/sweemer/QuantLib/actions/runs/3373734503/jobs/5598603424#step:8:317

[lballabio]

No, I think that shows that the fallback integral method can do "fast" and "accurate" but not "high precision". I'd skip that case if QL_BOOST_HAS_TANH_SINH is not defined.

[lballabio]

I just pushed a fix for the example.

[sweemer]

Thanks!