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.