[Quantlib-dev] MF1F NTL Support

[Peter C. <pca...@gm...>]

Hi,

I added high precision floating point support to the markov functional 
model making use of NTL (and supplementary boost functions). This allows 
for a better numeraire fit to long term (like say 50y) constant maturity 
calibration sets. NTL is only used for some intermediate results, the 
interface does not change. While there are other, faster yet dirty ways 
to stabilize the calibration (like the AdjustYts option) this is 
probably a good way to produce benchmark results and check convergence 
in the numerical parameters. I updated the code on my github as well as 
the doc on ssrn giving an example.

More generally, is high precision arithmetic a topic anyone came across 
in some context he or she wants to share ?

Peter