Hi everyone, sorry about my absence this weekend.QuoteOriginally posted by: CuchulainnQuoteOriginally posted by: Traden4AlphaQuoteOriginally posted by: CuchulainnDo these reservations also hold for this expansion?ABSOLUTELY! There's no guarantee that the numerical result of this computation lies inside the [0,1] interval. The result of that series could readily be <-0.5 or >0.5, making the result negative or >1.I hate asymptotic expansions for this reason. Same goes for Taylor.So this is a very interesting problem, where even different solutions may not be enough to solve it as Cuchulainn find it.I am going to study this function and post here the results (I hope today if my schedule does not blow up too quickly) QuoteIn have done some experiments comparing this ODE solution (in Boost odeint) with 1) fixed point 2) Newton Raphson 3) Boost Math 4) Boost odeint (Bulirsch). Up to p = 0.999999 the result are consistent. (4.75342)Could you share with me some of the code you use Cuchulainn? So that I could analyse how the accuracy evolves on them, and how I can improve it.QuoteI realize that they did a lot. I checked it against the other 3 solutions. One size does not fit all. See it as a stress test. But Boost is restricted to univariate problems.And it gives a run time error when p = 1. Is it a bug or a feature..??Concerning Boost that is interesting I am going to benchmark this again our approach to see if we can do something about that.Generaly speaking thanks again everyone for all of these very interesting discussions, I was not sure that this topic would raise that much interest, that's a nice surprise for me! I am still struggling to do some real benchmarks on most of the things you talk about since I am no quant, but slowly I am starting to understand it.
Last edited by ioualalen
on December 13th, 2015, 11:00 pm, edited 1 time in total.