bug(3)
NAME
bug – Known Bugs
Class AssetSwap- fair prices are not calculated correctly when using indexed coupons.
Class BlackCalculator- 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 CapHelper- This helper does not register with the passed IBOR index and with the evaluation date. Furthermore, the ATM strike rate is not recalculated when any of its observables change.
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 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 HybridHestonHullWhiteProcess- This class was not tested enough to guarantee its functionality… work in progress
Class LocalVolSurface- this class is untested, probably unreliable.
Class MultiCubicSpline< i >- cannot interpolate at the grid points on the boundary surface of the N-dimensional region
Class SwaptionHelper- This helper does not register with the passed IBOR index and with the evaluation date. Furthermore, the ATM exercise rate is not recalculated when any of its observables change.
Member FDDividendAmericanEngine- results are not overly reliable.
method impliedVolatility() utterly fails
Member FDDividendShoutEngine- results are not overly reliable.