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 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 InterpolatedYoYOptionletStripper< Interpolator1D >

Tests currently fail.

Class KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >

Tests currently fail.

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