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added Andersen-Piterbarg engine for the Heston model #251

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merged 12 commits into from Sep 4, 2017

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@klausspanderen
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klausspanderen commented May 7, 2017

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@lballabio lballabio added this to the 1.11 release milestone May 12, 2017

added Andersen-Piterbarg integration method of the characteristic
function with control variate for the piecewise constant time dependent
Heston model
@@ -1940,6 +2684,19 @@ test_suite* HestonModelTest::suite(SpeedLevel speed) {
&HestonModelTest::testAllIntegrationMethods));
suite->add(QUANTLIB_TEST_CASE(&HestonModelTest::testCosHestonCumulants));
suite->add(QUANTLIB_TEST_CASE(&HestonModelTest::testCosHestonEngine));
suite->add(QUANTLIB_TEST_CASE(&HestonModelTest::testCharacteristicFct));
suite->add(QUANTLIB_TEST_CASE(

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lballabio Sep 1, 2017

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These can go in the "faster" section, right?

@lballabio

lballabio Sep 1, 2017

Owner

These can go in the "faster" section, right?

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@klausspanderen

klausspanderen Sep 2, 2017

Contributor

Sorry, I haven't fully understood your proposal. Isn't "faster" the default? Or do you want to move them to the fast/slow section.

@klausspanderen

klausspanderen Sep 2, 2017

Contributor

Sorry, I haven't fully understood your proposal. Isn't "faster" the default? Or do you want to move them to the fast/slow section.

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@lballabio

lballabio Sep 2, 2017

Owner

I wasn't clear. They are already in the faster section. My question was: they're fast enough for it, right?

@lballabio

lballabio Sep 2, 2017

Owner

I wasn't clear. They are already in the faster section. My question was: they're fast enough for it, right?

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@klausspanderen

klausspanderen Sep 2, 2017

Contributor

The seven new tests are taking less than a second. I'd leave them in the "faster" section. Do you have a criteria to decide where to put new tests, e.g. everything below 1 second goes to faster?

@klausspanderen

klausspanderen Sep 2, 2017

Contributor

The seven new tests are taking less than a second. I'd leave them in the "faster" section. Do you have a criteria to decide where to put new tests, e.g. everything below 1 second goes to faster?

@lballabio

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lballabio Sep 2, 2017

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I didn't set a limit per test. I looked at the report of your parallel test runner and I cut tests starting from the longest until the whole suite took 3 or 4 minutes. (I don't remember the cuts for fast and faster.) Unless tests are obviously slow, I would add them until we see that the suite gets slower, at which point I'd reconsider.

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lballabio commented Sep 2, 2017

I didn't set a limit per test. I looked at the report of your parallel test runner and I cut tests starting from the longest until the whole suite took 3 or 4 minutes. (I don't remember the cuts for fast and faster.) Unless tests are obviously slow, I would add them until we see that the suite gets slower, at which point I'd reconsider.

klausspanderen and others added some commits Sep 2, 2017

@lballabio lballabio merged commit d7b81af into lballabio:master Sep 4, 2017

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codacy/pr Good work! A positive pull request.
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lballabio added a commit that referenced this pull request Sep 4, 2017

@klausspanderen klausspanderen deleted the klausspanderen:heston_cv branch Sep 5, 2017

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