42 ms·
Profit/margin was not larger than the ulp for single-precision float values for derivatives by the time I got there, so we all were using doubles. The rounding
by DamonHD 3y ago
Profit/margin was not larger than the ulp for single-precision float values for derivatives by the time I got there, so we all were using doubles.
The rounding-for-settlement issue that you describe is, I think, separate.
- fancyfredbot 3y agoSingle precision ulp is one part in ten million? I'm not sure which derivatives you worked with but that's an exceptionally small profit margin. For most derivatives a margin of one part in ten thousand would be considered small.