bugGNU Octave - Bugs: bug #42019, blsimpv.m in Financial package...

 
 

bug #42019: blsimpv.m in Financial package does not use gradient data

Submitter:  Parsiad Azimzadeh <parsiad>
Submitted:  Tue 01 Apr 2014 01:58:10 AM UTC
   
 
Category:  Octave Package Severity:  3 - Normal
Priority:  5 - Normal Item Group:  None
Status:  Fixed Assigned to:  None
Originator Name:  Open/Closed:  * Closed
Release:  * other Operating System:  * Any
Fixed Release:  None Planned Release:  None
* Mandatory Fields

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Tue 01 Apr 2014 02:53:35 AM UTC, comment #1: 

Thanks for the bug report. I pushed your change (I signed the commit with your name and contact), see https://sourceforge.net/p/octave/financial/ci/9492cd09fa9b257fdd8f855733f3b360146d64d4/

I made just a small change on the subfunctions so that they only request the output that is actually required.

Carnë Draug <carandraug>
Group Member
Tue 01 Apr 2014 01:58:10 AM UTC, original submission:  

blsimpv.m (http://sourceforge.net/p/octave/financial/ci/default/tree/inst/blsimpv.m) does not use gradient data when computing the implied volatility using a call option.

The fix is simple:

103c103
<         fun = @(x) blsprice (Price(j, k), Strike(j, k), Rate(j, k), Time(j, k), x,
---

>         fun = @(x) blscall (Price(j, k), Strike(j, k), Rate(j, k), Time(j, k), x,


Parsiad Azimzadeh <parsiad>

 

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    Follow 2 latest changes.

    Date Changed by Updated Field Previous Value => Replaced by
    2014-04-01 carandraug StatusNone Fixed
        Open/ClosedOpen Closed

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