Hi Yiannis,

the small sigma value gives the Gauss-Lobatto algorithm a hard time to figure

out the Fourier integral of the characteristic function. All other adaptive

integration algorithms like Gauss-Konrod etc throw in the towel much earlier.

The c_inf value is given by formula 39 in the original paper

http://www2.math.uni-wuppertal.de/~kahl/publications/NotSoComplexLogarithmsInTheHestonModel.pdf

It was observed that a max value on the expression sqrt(1-rho^2)/w can improve

the numerical stability of the Gauss-Lobatto integration. Given your example

and some additional edge cases 1.0 seems to be a better max bound than the

10.0 currently being used. I've created a PR with the corresponding change,

https://github.com/lballabio/QuantLib/pull/192thanks and best regards

Klaus

On Donnerstag, 19. Januar 2017 15:54:07 CET YiannisP wrote:

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