[Quantlib-dev] incremental statistics

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

Hi,

here

https://github.com/lballabio/quantlib/blob/master/QuantLib/ql/math/statistics/incrementalstatistics.cpp#L56

is a check for a negative variance estimation. Indeed I observe this
happens due to numerical issues sometimes. However, if this is the
only source for the exception to be thrown, couldn't we just omit the
check and return the value or if you want max ( v, 0.0 ) ?

In applications it is somewhat unexpected to get an exception when
just asking for a variance estimation on valid data.

Thank you
Peter