Caveats

Class AnalyticLgmSwaptionEngine

Cash settled swaptions are not supported

Class BachelierSwaptionEngineDeltaGamma

The engine assumes that the exercise date equals the start date of the passed swap.

Class BlackStyleSwaptionEngineDeltaGamma< Spec >

Cash settled swaption are priced, but the annuity used is the one from physical settlement currently

Class BlackSwaptionEngineDeltaGamma

The engine assumes that the exercise date equals the start date of the passed swap.

Class BlackVolatilityConstantSpread

the given atm vol structure should be strike independent, this is not checked

Member BucketedDistribution::erase (QuantLib::Size n)

This may invalidate the distribution if the buckets erased do not have negligible probability.

Class CNHHibor

Check roll convention and EOM.

Class CNHShibor

Check roll convention and EOM.

Class ConstantInterpolation

See the Interpolation class for information about the required lifetime of the underlying data.

Class CZKPribor

Check roll convention and EOM.

Member DefaultLatentModel< copulaPolicy >::conditionalDefaultProbability (Probability prob, Size iName, const std::vector< Real > &mktFactors) const

Most often it is preferred to use the method below avoiding the cumulative inversion.

Member DefaultLatentModel< copulaPolicy >::DefaultLatentModel (const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())

Baskets with realized defaults not tested/WIP.

Class DiscountingCurrencySwapEngineDeltaGamma

: The assumption is that per currency we only have one discount and one forward curve. It is possible to have several, but then the computed deltas will be aggregated over all those curves.

Class DiscountingSwapEngineDeltaGamma

Derivatives are not w.r.t. basispoints, but w.r.t. the usual unit

BPS is the value of one unit (not one basispoint actually), it has to be divided by 10000.0 to get QL's BPS

Deltas and gammas are produced only for fixed and Ibor coupons without caps or floors, for Ibor coupons they are ignoring convexity adjustments (like in arrears adjustments). It is possible to have different Ibor coupons (with different forward curves) on a leg, but the computed deltas would be aggregated over all underlying curves then.

Class DiscountingSwapEngineMultiCurve

if an IborCoupon with non-natural fixing and/or accrual period is present, the NPV will be false

Class DiscountRatioModifiedCurve

One must be careful about mixing floating reference date and fixed reference date curves together as the underlying curves in this yield curve and then moving Settings::instance().evaluationDate(). This is alluded to in the corresponding unit tests. If the moving_ member variable of TermStructure had an inspector method, then we could enforce that all underlying curves here are either floating or fixed reference date curves.

Class DKKCibor

Check roll convention and EOM.

Class DynamicOptionletVolatilityStructure

No checks are performed that the supplied OptionletVolatilityStructure has a fixed reference date

Class DynamicSwaptionVolatilityMatrix

the vols from the source ts are read using strike null (indicating atm)

Class DynamicYoYOptionletVolatilitySurface

No checks are performed that the supplied YoYOptionletVolatilitySurface has a fixed reference date

Class HKDHibor

Check roll convention and EOM.

Class HUFBubor

Check roll convention and EOM.

Class IDRIdrfix

Check roll convention and EOM.

Class IndexCdsTrancheEngine

We do not cover the possibility that recovery amounts decrease the tranche notional on which the premium is paid. For tranche detachment points met in practice, it is rare that recovery amounts exceed the notional of the super-senior tranche and thus erode the notional of the other tranches. If we want to cover this possibility we would need to extend the basket loss model algorithms so that they account for losses on a tranche notional due to recovery amounts in addition to the losses due to default. In summary, do not expect this pricing engine to work well for tranches with high detachment points which are likely to be breached by the sum of recovered amounts as the premium leg will be over-estimated in those situations.

Class INRMiborOis

Check roll convention and EOM.

Class INRMifor

Check roll convention and EOM.

Class InterpolatedPriceCurve< Interpolator >

for consistency, if curve is constructed by inferring times from dates using a given day counter, pass the same day counter to the constructor

Class JPYEYTIBOR

This is the offshore rate fixed by JBA.

Class KRWCd

Check roll convention and EOM.

Class KRWKoribor

Check roll convention and EOM.

Class Lgm1fPiecewiseLinearParametrization< TS >

this class is considered experimental, it is not tested well and might have conceptual issues (e.g. kappa is zero almost everywhere); you might rather want to rely on the piecewise constant parametrization

Class LogQuadraticInterpolation

See the Interpolation class for information about the required lifetime of the underlying data.

Class MultiCcyCompositeInstrument

Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.

Class MXNTiie

Check roll convention and EOM.

Class MYRKlibor

Check roll convention and EOM.

Class NOKNibor

Check roll convention and EOM.

Class NZDBKBM

Check roll convention and EOM.

Class OvernightIndexedCoupon

telescopicValueDates optimizes the schedule for calculation speed, but might fail to produce correct results if the coupon ages by more than a grace period of 7 days. It is therefore recommended not to set this flag to true unless you know exactly what you are doing. The intended use is rather by the OISRateHelper which is safe, since it reinitialises the instrument each time the evaluation date changes.

Class PiecewisePriceCurve< Interpolator, Bootstrap >

The bootstrapping algorithm raises an exception if any two instruments have the same maturity date.

Class Problem_MT

The passed Constraint instances are stored by reference. The user of this class must make sure that they are not destroyed before the Problem instance.

Member Problem_MT::reset ()

it does not reset the current minumum to any initial value

Class QuadraticInterpolation

See the Interpolation class for information about the required lifetime of the underlying data.

Class SAibor

Check roll convention and EOM.

Class SEKStibor

Check roll convention and EOM.

Class SGDSibor

Check roll convention and EOM.

Class SGDSor

Check roll convention and EOM.

Class SKKBribor

Check roll convention and EOM.

Class SwaptionVolatilityConstantSpread

the given atm vol structure should be strike independent, this is not checked

the given cube must provide smile sections that provide an ATM level

Class SwaptionVolatilityConverter

the converted SwaptionVolatilityStructure object has a fixed reference date equal to asof and fixed market data regardless of the type of reference date and market data of the original SwaptionVolatilityStructure that is passed in

Class THBThor

Check roll convention and EOM.

Class TWDTaibor

Check roll convention and EOM.

Class VarianceSwap2

This class does not manage seasoned variance swaps.

Member YoYInflationIndexWrapper::fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override

the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.

Member ZeroInflationIndexWrapper::fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override

the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.