- 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 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 LocalVolSurface
- this class is untested, probably unreliable.
- Class MarketModelCapFloorEngine
- This engine is not yet working correctly (results are off the expected ones.)
- Class MultiCubicSpline
- cannot interpolate at the grid points on the boundary surface of the N-dimensional region
- Member FDDividendAmericanEngine
- results are not overly reliable.
- Member FDDividendAmericanEngine
- method impliedVolatility() utterly fails
- Member FDDividendShoutEngine
- results are not overly reliable.