Sebastian Schlenkrich

icon location Senior quant developer and risk management professional with more than 15 years experience in various roles in the financial industry.

Results 8 comments of Sebastian Schlenkrich

Add test_arg input and populate to test_args in test()

I rebased my changes on the current main branch. Hopefully, this gives another impuls for a review of this PR.

Add test_arg input and populate to test_args in test()

Thanks @mhauru for your comment. Yes, I am totally fine if you add/amend to my PR. To be honest, I am a little bit reluctant to put to much effort...

Add test_arg input and populate to test_args in test()

Thanks @IanButterworth for your comment! I rebased my proposed changes on the latest main branch. From my perspective this PR is ready for review. Could you have a look? I...

Add test_arg input and populate to test_args in test()

Documentation and example is a fair point. I just added a paragraph to the readme. @IanButterworth, could you have a look if this works for you?

Error with ForwardDiff 1 and QuadGK

Sure, please see below. My guess is, it has to do with calling `norm(...)` on a Dual at zero. ``` ERROR: LoadError: DomainError with 0.5: integrand produced Dual{ForwardDiff.Tag{typeof(g), Float64}}(NaN,NaN,NaN) in...

Error with ForwardDiff 1 and QuadGK

I did some further analysis. The error can be traced back to the evaluation of square root at zero. Consider the following three calcultions of the 2-norm of `x` which...

Error with QuadGK 2.11 and Zygote

Thansks a lot for quick response! Your suggestion with flagging the problematic function as non-differentiable works for me.

Missing rule for LAPACK's dgetrf_64_

Hi Enzyme team! May I ask, is there any work on this issue. I ran into the same error with a simulation code. And unfortunately, this issue is blocking me...