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From: James Mansion <james@wgold.demon.co.uk>
Subject: Re: The disturbing myth of Eiffel portability
Date: 1996/11/20
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Date: 1996-11-20T00:00:00+00:00
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Kaz Kylheku wrote:
 
> What fool would use floating point numbers for a banking system in the first
> place? Floating point numbers are not well suited for representing currency,
> except if their extra mantissa bits allow you to use them as ``large
> integers''.

Hmm, what fool would make a statement like this without any
understanding of
derivatives trading? ;-)

Seriously, it makes sense to do the risk side of derivatives with
doubles.
You don't need that last little bit of accuracy when running the
valuation
models (which are themselves approximations) and you do need them to go
fast.

The settlements side is a thornier issue and you may need to use large
integers,
though its not entirely clear cut given the sizes of the principal
values
concerned.  It *is* the case that you have to read the letter of the
rounding
rules in use very carefully, to see where and how the rounding takes
place and
to how many decimal places.  Bear in mind that while you can't represent
all
fractions, you *can* represent integers exactly within quite a wide
range of
values, so you can potentially scale actual values so that the
appropriate
accuracy is there.

James