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bug
Langue: en
Version: 172395 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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.
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Design ©2006-2024 Maxime Vantorre