Re: [Quantlib-users] Using NaN in Quantlib

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

When using Null<Real>() keep in mind this is defined as
std::numeric_limits<float>::max)(), i.e. it is just a valid (yet big)
number. So e.g. std::log(Null<Real>()) = 88.7 and not Null<Real>()
like you would expect from NAN. For some use cases you might also
consider boost::optional<double>.



On Mon, 23 Nov 2020 at 19:56, <da...@el...> wrote:
>
> Thanks for coming back on this Matthias.
>
> Seems QL_NULL_REAL could be just what I am after.
>
> Best,
>
> David
>
>
>
>
>
> From: mat...@gm... <mat...@gm...>
> Sent: Monday, 23 November 2020 18:18
> To: da...@el...; qua...@li...
> Subject: RE: [Quantlib-users] Using NaN in Quantlib
>
>
>
> Hi David,
>
>
>
> Because of (c), I assume you are talking about the C++ version of QuantLib.
>
>
>
> There is, for example, this:  https://github.com/lballabio/QuantLib/blob/60afa352713bac2b759332686ed3070d357cfde8/ql/utilities/null.hpp#L76
>
> Referencing: https://github.com/lballabio/QuantLib/blob/60afa352713bac2b759332686ed3070d357cfde8/ql/qldefines.hpp#L181
>
>
>
> I see there is also https://github.com/lballabio/QuantLib/blob/60afa352713bac2b759332686ed3070d357cfde8/ql/math/matrixutilities/sparsematrix.hpp#L68
>
> Maybe a similar wrapper for something like vector_sparse.hpp in boost/uBLAS could also work (better) for your use case?
>
>
>
> Best regards,
>
> Matthias
>
>
>
>
>
> From: da...@el... <da...@el...>
> Sent: Monday, 23 November 2020 18:25
> To: qua...@li...
> Subject: [Quantlib-users] Using NaN in Quantlib
>
>
>
> Hi, hope everyone is well.
>
>
>
> A simple question: does QuantLib define NaN somewhere? I have a sparse QuantLib::Array and want to set un-used elements to NaN so I can see which elements are valid and which aren’t.
>
> a) Is there any conceptual problem with this?
> b) how do I set a Real to NaN in QL?
> c) should I be using a std::vector instead, which could hold a pair<bool,Real> with the bool used to denote a valid value?
>
>
>
>
> Thanks
>
> David Sansom
>
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