|This is a list of known errata for the first printing of Intel High Performance Parallel Programming Pearls, Volume 2, er. Jim Jeffers and James Reinders; Morgan Kaufmann (Elsevier), 2015.
If you find other items we should review for possible inclusion, please email us.
- Page 118: One should read float c = euro_call_payout(Si, X, r, r - b, sigma, time) in the first line of the while loop. Without this correction, the Newton method does not converge at all.
In the code that can be downloaded from the web site, it appears that the values are not properly initialized. First, “float b = -0.04” looks strange as b should be >= 0. Moreover the CostofCarry is usually lower than RISKFREE which is not the case here. With those changes, the Newton iteration converges and it should not take 100 iterations to do so. Therefore it could be easily lowered to 10. A better approach would be to have a stopping criteria that depends upon the value of g
- Page 117: On bs_euro_call, the “float” are passed by const reference which really looks weird.