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added Andreasen-Huge volatility interpolation and local volatility calibration #380

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merged 10 commits into from Jan 17, 2018

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@klausspanderen
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klausspanderen commented Jan 5, 2018

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@klausspanderen klausspanderen changed the title from added Andreasen-Huge volatility interpolation and local volatility to added Andreasen-Huge volatility interpolation and local volatility calibration Jan 5, 2018

klausspanderen added some commits Jan 5, 2018

- AndreasHugeVolatilityInterpl: allow for moving reference date
- replace PiecewiseConstantInterpolation with BackwardFlatInterpolation

@lballabio lballabio added this to the 1.12 release milestone Jan 8, 2018

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lballabio Jan 10, 2018

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Weird. The test for arbitrage-free prices passes on a Docker Ubuntu image, but fails on my Mac with "max iterations exceeded".
I'll try to debug it if I get some time.

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lballabio commented Jan 10, 2018

Weird. The test for arbitrage-free prices passes on a Docker Ubuntu image, but fails on my Mac with "max iterations exceeded".
I'll try to debug it if I get some time.

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klausspanderen Jan 11, 2018

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Odd and interesting. I've tested it on Windows VS15, Ubuntu (g++ and clang) and on a raspberry pi. I guess you are only using standard compiler flags. I'll try to get my hands on a Mac to debug it. The exception is thrown in the AndreasenHugeVolatilityAdapter::blackVarianceImpl method by the funtion blackFormulaImpliedStdDevLiRS. The number of iterations is set to 1000 but on my Linux box it also runs with max iterations = 100. So it is not that we are close to the limits on Linux.

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klausspanderen commented Jan 11, 2018

Odd and interesting. I've tested it on Windows VS15, Ubuntu (g++ and clang) and on a raspberry pi. I guess you are only using standard compiler flags. I'll try to get my hands on a Mac to debug it. The exception is thrown in the AndreasenHugeVolatilityAdapter::blackVarianceImpl method by the funtion blackFormulaImpliedStdDevLiRS. The number of iterations is set to 1000 but on my Linux box it also runs with max iterations = 100. So it is not that we are close to the limits on Linux.

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klausspanderen Jan 16, 2018

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Hi Luigi,

I've tested this PR on a Mac with clang-3.5svn, boost-1.60. Unfortunately I'm not able to reproduce your problem. All tests are running fine. Hence I still don't know how to debug the issue.

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klausspanderen commented Jan 16, 2018

Hi Luigi,

I've tested this PR on a Mac with clang-3.5svn, boost-1.60. Unfortunately I'm not able to reproduce your problem. All tests are running fine. Hence I still don't know how to debug the issue.

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lballabio Jan 16, 2018

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Ok, thanks. I'll give it a try.

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lballabio commented Jan 16, 2018

Ok, thanks. I'll give it a try.

@lballabio lballabio merged commit d88ba66 into lballabio:master Jan 17, 2018

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lballabio added a commit that referenced this pull request Jan 17, 2018

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