How-To Calibrate American Options Really Fast in C++

#1

Post by gituliar » Tue, Feb 27, 2024, 7:13 PM UTC

How-To Calibrate American Options Really Fast in C++
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Re: How-To Calibrate American Options Really Fast in C++

#2

Post by Bostonian » Tue, Feb 27, 2024, 7:46 PM UTC

I've programmed in C++ only sporadically. Are the functions really declared to have type Error, or am I misreading things? For example one function starts as

   Error
   calibrateEuropean(
     f64    v,     //  option price
     f64    s,     //  stock price

Re: How-To Calibrate American Options Really Fast in C++

#3

Post by gituliar » Tue, Feb 27, 2024, 7:55 PM UTC

Bostonian wrote: post #2

I've programmed in C++ only sporadically. Are the functions really declared to have type Error, or am I misreading things? For example one function starts as Error calibrateEuropean( f64 v, // option price f64 s, // stock price

Good observation!

Basically `Error` is an alias to `std::string`. This way code is more meaningful as returning just std::string is too generic.

It's also my convention to report errors as return arguments in this particular codebase, instead of throwing exceptions for example.