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[Octave-patch-tracker] [patch #8205] Addition to financial package: blk*
From: |
Parsiad Azimzadeh |
Subject: |
[Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions |
Date: |
Fri, 11 Oct 2013 03:15:08 +0000 |
User-agent: |
Mozilla/5.0 (X11; Linux x86_64) AppleWebKit/537.36 (KHTML, like Gecko) Chrome/30.0.1599.66 Safari/537.36 |
Follow-up Comment #3, patch #8205 (project octave):
I have added a new patch that adds test cases to all of the functions. This
patch also changes the input arguments in the code from the cryptic notation I
was previously using (i.e. S_0, K, r, etc.) to something more human-friendly
(i.e. Price, Strike, Rate, etc.).
Lastly, there seems to be some conflicting behavior in the octave fzero in
which if a solution is not found in the given interval, an exception will be
thrown. To circumvent this, I have simply surrounded the call to fzero with a
try-catch statement that sets the value of the optimizer to NaN if none is
found. Perhaps a comment should be put here to note that this try-catch should
be removed if the fzero implementation is changed in the future.
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- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Parsiad Azimzadeh, 2013/10/07
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Carnë Draug, 2013/10/08
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Parsiad Azimzadeh, 2013/10/09
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Parsiad Azimzadeh, 2013/10/10
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions,
Parsiad Azimzadeh <=
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Carnë Draug, 2013/10/17
- [Octave-patch-tracker] [patch #8205] Addition to financial package: blk*, bls*, and opprofit functions, Carnë Draug, 2013/10/25