tag:blogger.com,1999:blog-14415229.post1377112622445643917..comments2023-10-10T16:55:02.139+02:00Comments on Chase The Devil: Attari, Lord-Kahl & Cos Methods Comparison on HestonFabienhttp://www.blogger.com/profile/07288327695801480778noreply@blogger.comBlogger2125tag:blogger.com,1999:blog-14415229.post-23723407629847288632013-09-06T16:52:20.829+02:002013-09-06T16:52:20.829+02:00The graphs very nicely show an adaptive integratio...The graphs very nicely show an adaptive integration behavior: the accuracy graph for Lord-Kahl has spikes when the adaptive error criteria is just reached and waves when the real error is much lower (i.e. like a non adaptive algo).Fabienhttps://www.blogger.com/profile/07288327695801480778noreply@blogger.comtag:blogger.com,1999:blog-14415229.post-81034974392076762062013-08-29T16:55:23.612+02:002013-08-29T16:55:23.612+02:00On a sample calibration, the Quantlib code took mo...On a sample calibration, the Quantlib code took more than 2 minutes, while the COS method took 1s...<br /><br />I am still amazed at the difference.Fabienhttps://www.blogger.com/profile/07288327695801480778noreply@blogger.com