Re: [Quantlib-dev] precision in cubicsplineinterpolation (and in general)

[Sylvain B. <syl...@gm...>]

On 8/4/08, Luigi Ballabio <lui...@gm...> wrote:

> On Wed, 2008-07-23 at 15:53 -0400, Sylvain Bertrand wrote:
> > Anyway, I tried to change the QL_REAL from double to long double (it
> > might actually partially solve my issue).
> >
> > But then I faced errors calling std::max with a long double on one
> > side, and 0. on the other side. As everyone knows, 0. is a double, and
> > max can only be called with two args of the same type. I would need
> > 0.L here.
>
> Yes, or we might specify std::max<Real>(x, 0) so that the 0 gets
> converted to the right type.


In that case we would need to change all the calls to std::max on all the
files (at least for consistency).
Is there some kind of approval process, to ensure the owners of each file
(or the whole QL group) are ok with that?



> > I'm quite confident on the fact that less than 0.1% of users have ever
> > thought of changing QL_REAL, but what if? Is QuantLib supposed to
> > support other types of Real?
>
> We used the QL_REAL thing so that, in case one wanted to try and change
> the default float type, we didn't have double hard-coded everywhere. But
> we never tried very hard to make the library even compile with different
> types.
>
> As for your spline calculations, if you need long doubles, just go ahead
> and use long double.



As the implementation relies heavily on matrix operations, I would need to
use only long double matrices, which work if I set QL_REAL to long double
for the whole library, since matrices are forced to the QL_REAL type.

"QL_REAL = long double" would then have to be the default for QL releases,
otherwise the user would run the risk of using the cubic splines with very
poor results (in that case there should also be a warning to prevent the
user from changing the setting back to double and use the splines).

Is that something that would be acceptable? I personally don't think of it
as the best option.

Another option would be to transform the current Matrix class into a
template to support different types, which would give each piece of code the
freedom to use the default QL_REAL or use more precision when needed.

Let me know what you think.

Sylvain