Of course, in higher level languages it is preferable to have whatever safety is possible. The provided interface is by absolutely totally no stretch of the imagination a " throwback ". It is the low-level interface needed to gain access from all higher level languages. I kept this/provide...

It appears that we are getting a little sidetracked here, or maybe getting off on the wrong foot. The code package I offer at jaeckel.org is a minimalist C/C++ interface to what is (mainly) machine-translated Fortran code. Anyone is at liberty to use it any way they wish and have their own frontend ...

1) 7zip is completely free for both Windows and Unices (try '7z' in any standard Unix/Linux etc shell). See https://7-zip.org/. 2) Forgive: did your test succeed? 3) looks like a one dimensional test case. The package comes with a multidimensional example : fitting a polynomial through scattered dat...

(thank you)

Regarding the example S=1,K=1.5,T=1,sigma=4% => call price = 9.01002030924271E-27, "Let's Be Rational" returns 4% exactly in IEEE 754 double precision (64 bit, 53 bit mantissa) in its standard implementation (initial guess + exactly two iterations). It is of course possible to implement fa...

Without intention of inciting a heated discussion, iterating for a solution of implied volatility by formulating the objective function on the logarithm of the price was already in "By Implication" published in 2006, and obviously still is part of "Let's Be Rational" to this day....

Forgot to mention: it also has a slightly modified inverse cumulative normal function that is the same accuracy (i.e., practically perfect accuracy) as AS241 but is 20%-30% faster which may obviously be of interest in other, wider contexts.

I have put the latest version of "Let's Be Rational" up on www.jaeckel.org . It has nominal revision number 1520 (it is a nominal unique identifier, this does not mean that I have worked on this 1520 times over the years). On my i5-12500H laptop, the average calculation time for one implie...

I couldn't agree more. You mean this type, right?      integer i, n, sum      sum = 0      do 10 i = 1, n         sum = sum + i         write(*,*) 'i =', i, 'sum =', sum  10  continue Plus, real programmers don't even need a compiler ... :lol: Anyway, for what it's worth, I have put my own 25(+)-yea...

Quote from https://github.com/fortran-lang/minpack/issues/3: Algorithm 573: NL2SOL is a Fortran routine published in TOMS. It appears to be in use in several third-party projects such as NL2sol.jl, COPASI, and DAKOTA. I converted it to C with F2C some while ago and wrapped it into a C++ class struct...

<t> The representation as a shifted contour integral by the aid of the Carr-Madan formula (essentially using the Lewis-Gatheral-etc way of expressing the characteristic function), using an optimal shift alpha (as in Lord-Kahl), plus the conversion to a finite integral using the asymptotic behaviour ...

<t>Hi,the matrix \hat{C} is defined as \hat{B}\hat{B}^\top, and \hat{B} is given just above on page 10. Since the 3x3 matrix \hat{B} has a column of zeros, matrix \hat{C} has (at least) one eigenvalue of zero. The fact that the shown decimal representation of \hat{C} has (indeed) an eigenvalue of -0...

<r>Hmmm. I have to confess I am not aware of what you are referring to regarding Alfred Berg.Notwithstanding whatever that may be, though, when it comes to a company the size of ABN-AMRO, one can always find positive as well as negative news stories and aspects about them. Whilst I would naturally b...

The quant group is separate from structuring and trading.The quants are awesome =-).pj