QuantLib 0.3.9
Getting started
Reference manual
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- Class BlackFormula
- 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 BPSBasketCalculator
- this class must still be checked. It is not guaranteed to yield the right results.
- 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 FDDividendAmericanEngine
- method impliedVolatility() utterly fails
- Class FdDividendAmericanOption
- sometimes yields negative vega when deeply in-the-money
- method impliedVolatility() utterly fails
- 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 JuQuadraticApproximationEngine
- test fails for Borland compiler
- Class LocalVolSurface
- this class is untested, probably unreliable.
- Class MCAmericanBasketEngine
- this engine does not yet work for put options. More problems might surface.
- Class MultiCubicSpline
- cannot interpolate at the grid points on the boundary surface of the N-dimensional region
- it does not compile under Borland
- Class PathGenerator
- Path generation by means of a Brownian bridge does not work if either the drift or diffusion term of the underlying stochastic process is asset-dependent.
- Member Swap::sensitivity (Integer basis=2) const
- this method must still be checked. It is not guaranteed to yield the right results.
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