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by AVt
April 2nd, 2017, 7:46 pm
Forum: Numerical Methods Forum
Topic: Bivariate Normal Integral paper
Replies: 111
Views: 37070

Re: Bivariate Normal Integral paper

I looked at the example in post #106, a, b, rho: 1.93185,1.78999, -0.411002 and get 0.936622085501903 (15 decimals)

PS: What time units are meant in the speed test in post # 107?
by AVt
September 8th, 2016, 8:14 pm
Forum: Numerical Methods Forum
Topic: Mathematica high precision question
Replies: 121
Views: 19685

Re: Mathematica high precision question

Your t is (p/1000*10^(-a))^2/(q/1000*10^(-b))^2 = 652864/3728761*10^(-2*a+2*b) with p=1616,q=3862, you forgot the decimal powers, I guess. So you have 1 minus (t/2 + t2/8) = 1 minus (.875443612502920e-1*10^(-2*a+2*b)+ .383200759336081e-2*(10^(-2*a+2*b))^2), a=33, b=13 Both the floats can be done by ...
by AVt
September 4th, 2016, 11:21 am
Forum: Numerical Methods Forum
Topic: Mathematica high precision question
Replies: 121
Views: 19685

Re: Mathematica high precision question

BTW one can do that using Excel as well, "remembering" sqrt(1-t) has the series 1 - t/2 - t^2/8 ... for t ~ 0, so it is 1 minus 1.616^2 / 3.862^2 * 0.5 * 10^(2*a-2*b) = 1 minus 0.087544361250292 * 10(-40) As a matter of taste one can fill up 1 - 0.875443612502920 = 0.1245563874970800 with the leadin...
by AVt
June 5th, 2015, 8:30 pm
Forum: Numerical Methods Forum
Topic: Highest Fibonacci number that can be computed recursively
Replies: 14
Views: 4333

Highest Fibonacci number that can be computed recursively

That code needs some micro seconds and some dozens floats, using a table. No real need for more for this kind of recursion.
by AVt
June 4th, 2015, 6:16 pm
Forum: Numerical Methods Forum
Topic: Highest Fibonacci number that can be computed recursively
Replies: 14
Views: 4333

Highest Fibonacci number that can be computed recursively

The following will do up to n=73 in VBA (and n=78 in C /double precision) almost immediately
by AVt
May 18th, 2015, 7:01 pm
Forum: Numerical Methods Forum
Topic: Bivariate Normal Integral paper
Replies: 111
Views: 37070

Bivariate Normal Integral paper

Yes, Genz. Or Vasicek. I have my own. Or http://arxiv.org/abs/1004.3616 - which I would prefer.
by AVt
May 6th, 2015, 5:50 pm
Forum: Numerical Methods Forum
Topic: The Nelson-Ramaswamy Method
Replies: 17
Views: 6819

The Nelson-Ramaswamy Method

QuoteT = 1, r = 0.1, sig = 0.001, K = 65, S = 60, Put = 1.855678 That sounds as if Call and Put are mixed up or Strike and Spot
by AVt
May 3rd, 2015, 7:22 pm
Forum: Numerical Methods Forum
Topic: The Nelson-Ramaswamy Method
Replies: 17
Views: 6819

The Nelson-Ramaswamy Method

I can not remember the very paper(s) of Mark Joshi, but already coding more carefully can speed up a lot, http://axelvogt.de/axalom/CRR_optimized.zip
by AVt
April 7th, 2015, 6:52 pm
Forum: Brainteaser Forum
Topic: Compute the Nth Fibonacci nr using only + and *
Replies: 55
Views: 13313

Compute the Nth Fibonacci nr using only + and *

Yes, complexity (I lurked it up, the naive way is O(N^2), no?). But which magnitude of N you have in mind for an application (since for the usual settings it does not matter)? Or is it a 'theoretical' question?PS: 1) analytical as well and 3) well ...
by AVt
April 6th, 2015, 7:10 pm
Forum: Brainteaser Forum
Topic: Compute the Nth Fibonacci nr using only + and *
Replies: 55
Views: 13313

Compute the Nth Fibonacci nr using only + and *

One can compute them quickly (even by recursion) by the methods already discussed. However O(n) means "large n". This is what I do not understand.
by AVt
April 6th, 2015, 6:51 pm
Forum: Brainteaser Forum
Topic: Compute the Nth Fibonacci nr using only + and *
Replies: 55
Views: 13313

Compute the Nth Fibonacci nr using only + and *

Hm ... I do not quite understand "O(n)": there are only few such numbers (*) in "usual" programs. So why not simply store them?(*) 46 for type int (1 more for unsigned int), 92 for type __int64
by AVt
March 25th, 2015, 8:13 pm
Forum: Programming and Software Forum
Topic: Simpl Black Code that is not robust: quiz and structural solution
Replies: 55
Views: 5481

Simpl Black Code that is not robust: quiz and structural solution

I do not quite understand the discussion: I would check *before* calling. As Traden4Alpha for said "P.S. You'll need to check the validity of these inputs" (for 0 < time [numerical] as well, etc). For me this is the difference between a "prototypic" and a productive solution.
by AVt
February 22nd, 2015, 7:23 pm
Forum: Numerical Methods Forum
Topic: iv for all and all for iv
Replies: 102
Views: 16653

iv for all and all for iv

<r>Alan's test example can be done in double precision, with Excel, havinga good implementation. For data being more extreme there are other waysto compute prices (I sketched that at NuclearPhynance).<URL url="http://axelvogt.de/axalom/BS&Vol_CodyMiller.xls.zipFor">http://axelvogt.de/axalom/BS&a...
by AVt
February 9th, 2015, 5:36 pm
Forum: Brainteaser Forum
Topic: exp(5) = [$]e^5[$]
Replies: 545
Views: 125460

exp(5) = [$]e^5[$]

<t>I would combine C into y, D into x and divide by the numerators, thus forshort B=1=F and C=1, D=1 with new A, E, x, y. Then one has A = E,i.e. only 1 equation. For simplicity you can write 1/A = 1 + x*exp(y) ora = x*exp(y). That curve can be discussed like +-1 = x*Y, 0 < Y=exp(y). PS: for such a ...
by AVt
February 4th, 2015, 8:25 pm
Forum: Brainteaser Forum
Topic: exp(5) = [$]e^5[$]
Replies: 545
Views: 125460

exp(5) = [$]e^5[$]

It is easy to clean up the code, sorry for being lazy: there is 1 pow to get the cube root, the other are integers (i.e. a polynomial) and calling the very function now and then is not a bad idea.Anyway: a nice listing of methods.
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