Re: [Quantlib-dev] re "BS call option price lower than intrinsic value

[Keith A. L. <ka...@ka...>]

Regarding floating point comparison, Units in the Last Place is very
efficient and takes scale into account.
ftp://ftp.inria.fr/INRIA/publication/publi-pdf/RR/RR-5504.pdf is an
excellent reference.

 

In boost Math it is called float_distance. Here is a simple C
implementation:
http://xllfloat.codeplex.com/SourceControl/changeset/view/9774#135918.