Re: [Quantlib-dev] MF1F NTL Support

[Klaus S. <kl...@sp...>]

Hi Peter,

I've used gcc's type __float128 to calculate high precision reference prices 
for some stoch vol models but I'd to change multiple parts of QuantLib to get 
it working. Just changing the typedef for Real in types.hpp was not enough.

regards
 Klaus

On Thursday, December 27, 2012 02:26:55 PM Peter Caspers wrote:
> 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
> 
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