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

2 points by gituliar 2 years ago · 2 comments

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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

gituliarOP 2 years ago

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.

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

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