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