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jherekhealy
Posts: 18
Joined: December 11th, 2017, 2:25 pm

Re: Heston test suite

June 5th, 2020, 12:46 pm

Thanks for the clarifications Alan.

I have created a small Julia package if anyone needs reference numbers of option prices under Heston with a high accuracy.

https://github.com/jherekhealy/CharFuncPricing.jl
 
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Alan
Posts: 10612
Joined: December 19th, 2001, 4:01 am
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Re: Heston test suite

June 6th, 2020, 12:09 am

 But it got corrupted under some forum re-do, so is pretty unreadable.

aka FUBAR
Re-watching "Saving Private Ryan"? I was on Memorial Day. 
 
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Cuchulainn
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Re: Heston test suite

June 6th, 2020, 12:35 pm

 But it got corrupted under some forum re-do, so is pretty unreadable.

aka FUBAR
Re-watching "Saving Private Ryan"? I was on Memorial Day. 
Didn't see that movie. foo bar has been in computing folklore for some time.

The terms foobar (/ˈfuːbɑːr/), or foo and others are used as metasyntactic variables and placeholder names in computer programming or computer-related documentation.[1] They have been used to name entities such as variables, functions, and commands whose exact identity is unimportant and serve only to demonstrate a concept.
#include <stdio.h>

int main() {
   const char *foo = "Hello";
   const char *bar = "World!";
   fprintf(stdout, "%s %s\n", foo, bar);

   return 0;
}

"Compatibility means deliberately repeating other people's mistakes."
David Wheeler

http://www.datasimfinancial.com
http://www.datasim.nl
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Re: Heston test suite

June 6th, 2020, 2:10 pm

It's a great movie -- highly recommended. FUBAR is a running joke on one of the privates in Tom Hank's WWII platoon, who takes about 1/2 the movie to figure out what it means.