QPR-11360 introduce lower and upper limits

hsegger · hsegger · commit f115e587275a · 2023-01-09T11:14:42.000+01:00
diff --git a/ql/experimental/credit/randomdefaultmodel.cpp b/ql/experimental/credit/randomdefaultmodel.cpp
@@ -74,10 +74,7 @@ namespace QuantLib {
             if (dts->defaultProbability(tmax) < p)
                 pool_->setTime(name, tmax+1);
             else{
-                int guess = 0;
-                while(dts->defaultProbability(guess) < p && guess < tmax)
-                    guess++;
-                pool_->setTime(name, Brent().solve(Root(dts,p),accuracy_,guess,1));
+                pool_->setTime(name, Brent().solve(Root(dts,p),accuracy_,0.0,tmax));
             }
         }
     }

Original file line number	Diff line number	Diff line change
`@@ -74,10 +74,7 @@ namespace QuantLib {`
`74`	`74`	`if (dts->defaultProbability(tmax) < p)`
`75`	`75`	`pool_->setTime(name, tmax+1);`
`76`	`76`	`else{`
`77`		`- int guess = 0;`
`78`		`- while(dts->defaultProbability(guess) < p && guess < tmax)`
`79`		`- guess++;`
`80`		`- pool_->setTime(name, Brent().solve(Root(dts,p),accuracy_,guess,1));`
	`77`	`+ pool_->setTime(name, Brent().solve(Root(dts,p),accuracy_,0.0,tmax));`
`81`	`78`	`}`
`82`	`79`	`}`
`83`	`80`	`}`