Re: [Quantlib-dev] class AnalyticHestonEngine / AnalyticHestonEngine::Integration

[Toyin A. <toy...@ho...>]

Hello Klaus,

 

Thanks for the clarification. After 10 mins, the boost expressions were playing tricks with my head...!

 

Best Regards,

Toyin Akin.


 
> Date: Tue, 19 Jan 2010 11:47:39 +0100
> To: toy...@ho...; lui...@gm...
> From: kl...@sp...
> CC: qua...@li...
> Subject: Re: [Quantlib-dev] class AnalyticHestonEngine / AnalyticHestonEngine::Integration
> 
> Hi Toyin,
> 
> 
> > I have been looking at the class AnalyticHestonEngine::Integration and I
> > find that there are two variables that seem to be declared but never used
> > (AnalyticHestonEngine.hpp).
> > 
> > mutable Real c_inf_;
> > mutable boost::function1<Real, Real> f_;
> > 
> > 
> > Also line 231 within the file AnalyticHestonEngine.cpp returns an
> > expression, but the two (const std::complex<Real>) computed local
> > expressions above it are never used in the return value. Am I missing
> > something?
> 
> no, both parts are now defunc and I'll remove them. Thanks for the hint!
> 
> > Finally, can someone verify the following (Line 537 of
> > ...
> 
> correct. Corresponds to equation 41 & 42 in the Kahl Jäckel paper
> http://www.nccr-finrisk.uzh.ch/media/pdf/KahlJackel.pdf
> 
> best regards 
> Klaus
> 
> 
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