Bug List

Class BlackFormula
When the variance is null, division by zero occur during the calculation of delta, delta forward, gamma, gamma forward, rho, dividend rho, vega, and strike sensitivity.

Class BPSBasketCalculator
this class must still be checked. It is not guaranteed to yield the right results.

Class CompoundForward
swap rates are not reproduced exactly when using indexed coupons. Apparently, some assumption about the swap fixings is hard-coded into the bootstrapping algorithm.

Class CoxIngersollRoss
this class was not tested enough to guarantee its functionality.

Class ExtendedCoxIngersollRoss
this class was not tested enough to guarantee its functionality.

Class FDDividendAmericanEngine
method impliedVolatility() utterly fails

Class FdDividendAmericanOption
  • sometimes yields negative vega when deeply in-the-money
  • method impliedVolatility() utterly fails

Class G2
This class was not tested enough to guarantee its functionality.

Class HullWhite
When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.

Class JuQuadraticApproximationEngine
test fails for Borland compiler

Class LocalVolSurface
this class is untested, probably unreliable.

Class MCAmericanBasketEngine
this engine does not yet work for put options. More problems might surface.

Class MultiCubicSpline
  • cannot interpolate at the grid points on the boundary surface of the N-dimensional region
  • it does not compile under Borland

Class PathGenerator
Path generation by means of a Brownian bridge does not work if either the drift or diffusion term of the underlying stochastic process is asset-dependent.

Member Swap::sensitivity (Integer basis=2) const
this method must still be checked. It is not guaranteed to yield the right results.

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