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From: Luigi B. <lui...@fa...> - 2004-04-06 15:23:27
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Dirk, it was impliedVolatility() that gave problems with the old American, right? What happens if you edit ql/argsandresults.hpp and change line 27 to #define QL_MIN_VOLATILITY 1.0e-5 (apart from a big recompilation, that is :) Later, Luigi |