Computation of cdf in LocalVolRNDCalculator #1435
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Computing cdf boundaries was wrong. In case xl is positive, while loop it lowers it but only to 0, if it is negative xl (through while loop) rise towards 0. In case xr is positive previous code is good as it tends towards +infinity. However, if xr is negative it tends towards -infinity. xl should always tends towards -infinity and xr towards +infinity (up to a tolerance) Maybe this can be done in better way, this is the first thing that come to my mind
Update localvolrndcalculator.cpp
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Thanks for opening this pull request! It might take a while before we look at it, so don't worry if there seems to be no feedback. We'll get to it. |
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Hi thanks for spotting this issue. Maybe we should initialize the addition factor with a relative scale instead of an absolute value? E.g.
cheers |
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Thanks, @mdotlic! May you check the automated comment above by CLAassistant and click the link? |
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Congratulations on your first merged pull request! |
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Computing cdf boundaries was wrong. In case xl is positive, while loop lowers xl but only to 0, if it is negative xl (through while loop) rise towards 0. In case xr is positive previous code is good as it tends towards +infinity. However, if xr is negative it tends towards -infinity.
xl should always tends towards -infinity and xr towards +infinity (up to a tolerance)
Maybe this can be done in better way, however this should work