Christian Fries
Christian Fries
The Heston model characteristic function in `net.finmath.fouriermethod.models` does not Handle the limit case xi=0. The implementation results in NAN due to a 0 / 0. This should be fixed. The...
If an exception occurs in a multi-threaded Monte-Carlo simulation inside ProcessEulerScheme the root cause shown in the output of the stack trace. This should be fixed.
The unit test net.finmath.marketdata.model.volatilities.CapletVolatilitiesParametricCalibrationTest can run in a time out on Travis (depends on the machine we get on Travis): > Running calibration test using quoting convention VOLATILITYNORMAL for calibration...
The unit test net.finmath.montecarlo.interestrate.products.indices.LIBORIndexTest may take very long. Could be a memory problem. Some profiling should be done here. Sample Output: > > 2.00 2.50 0.000013 0.000212 > 2.00 2.25...
The bnd-maven-plugin has been added to the build process. The bnd.bnd config file has been added exporting all classes org.jblas.
I am not able to run spring cloud cli 2.2.0.RELEASE with spring boot cli 2.2.0. RELEASE, following the instructions. However, spring cloud cli 2.1.0.RELEASE with spring boot cli 2.1.0.RELEASE works....
If you visit the documentation https://cloud.spring.io/spring-cloud-cli/reference/html/ the install step ``` mvn install ``` is unclear. At this point / on this page, it is not clear that `mvn install` has...
I am not 100% sure here, but it appears to me as if there is a fundamental issue with loading JCuda native libraries (as resources from the Jars), if JCuda...
Maybe it can already be done - I am not sure - but it would be nice to be able to specify a minimum JDK version, such that, if I...
To improve your code style: you may consider adding a JavaDoc comment here: https://github.com/qntlb/numerical-methods-lecture/blob/3a24cc749da4f2d561d1b38a1f5c710a0d53cf41/src/main/java/info/quantlab/computationalfinance/assignments/montecarlo/interestrates/simplehybrid/SimpleLognormalCrossCurrencyModelAssignment.java#L20-L23