Caveats
- Class Actual365Fixed
- According to ISDA, "Actual/365" (without "Fixed") is an alias for "Actual/Actual (ISDA)" (see ActualActual.) If Actual/365 is not explicitly specified as fixed in an instrument specification, you might want to double-check its meaning.
- Class BlackSwaptionEngine
- The engine assumes that the exercise date equals the start date of the passed swap.
- Member BlackVarianceTermStructure::BlackVarianceTermStructure (const DayCounter &dc=Actual365Fixed())
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
- Member BlackVolatilityTermStructure::BlackVolatilityTermStructure (const DayCounter &dc=Actual365Fixed())
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
- Member BlackVolTermStructure::BlackVolTermStructure (const DayCounter &dc=Actual365Fixed())
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
- Class Bond
- Most methods assume that the cashflows are stored sorted by date, the redemption being the last one.
- Member Bond::cashflows () const
- the returned vector includes the redemption as the last cash flow.
- Member Bond::cleanPrice () const
- the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.
- Member Bond::dirtyPrice () const
- the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.
- Class CADLibor
- This is the rate fixed in London by BBA. Use CDOR if you're interested in the Canadian fixing by IDA.
- Member Calendar::name () const
- This method is used for output and comparison between calendars. It is not meant to be used for writing switch-on-type code.
- Member CapletVolatilityStructure::CapletVolatilityStructure (const DayCounter &dc=Actual365Fixed())
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
- Member CapVolatilityStructure::CapVolatilityStructure (const DayCounter &dc=Actual365Fixed())
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
- Class Cdor
- This is the rate fixed in Canada by IDA. Use CADLibor if you're interested in the London fixing by BBA.
- Class CHFLibor
- This is the rate fixed in London by BBA. Use ZIBOR if you're interested in the Zurich fixing.
- Class CmsCoupon
- This class does not perform any date adjustment, i.e., the start and end date passed upon construction should be already rolled to a business day.
- Class CompositeInstrument
- Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.
- Class ConvertibleFixedCouponBond
- Most methods inherited from Bond (such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account.
- Class ConvertibleFloatingRateBond
- Most methods inherited from Bond (such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account.
- Class ConvertibleZeroCouponBond
- Most methods inherited from Bond (such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account.
- Member Coupon::Coupon (Real nominal, const Date &paymentDate, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())
- the coupon does not adjust the payment date which must already be a business day.
- Class CrankNicolson
- The differential operator must be linear for this evolver to work.
- Member DayCounter::name () const
- This method is used for output and comparison between day counters. It is not meant to be used for writing switch-on-type code.
- Class DiscretizedOption
- it is advised that derived classes take care of creating and initializing themselves an instance of the underlying.
- Class Disposable
- In order to avoid copies in code such as shown above, the conversion from
T
toDisposable<T>
is destructive, i.e., it does not preserve the state of the original object. Therefore, it is necessary for the developer to avoid code such as
- Class Euribor
- This is the rate fixed by the ECB. Use EurLibor if you're interested in the London fixing by BBA.
- Class EURLibor
- This is the rate fixed in London by BBA. Use Euribor if you're interested in the fixing by the ECB.
- Class EURLibor
- This is not a valid base class for the O/N index
- Member ExchangeRateManager::lookup (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRateDerived) const
- if two or more exchange-rate chains are possible which allow to specify a requested rate, it is unspecified which one is returned.
- Member FiniteDifferenceModel::rollback (array_type &a, Time from, Time to, Size steps)
- being this a rollback,
from
must be a later time thanto
.
- Member FiniteDifferenceModel::rollback (array_type &a, Time from, Time to, Size steps, const condition_type &condition)
- being this a rollback,
from
must be a later time thanto
.
- Class FixedCouponBondHelper
- This class assumes that the reference date does not change between calls of setTermStructure().
- Class FixedRateBondForward
- This class still needs to be rigorously tested
- Class Forward
- This class still needs to be rigorously tested
- Class ForwardRateAgreement
- This class still needs to be rigorously tested
- Member ForwardRateStructure::zeroYieldImpl (Time) const
- This is just a default, highly inefficient and possibly wildly inaccurate implementation. Derived classes should implement their own zeroYield method.
- Class G2SwaptionEngine
- The engine assumes that the exercise date equals the start date of the passed swap.
- Class GapPayoff
- this payoff can be negative depending on the strikes
- Member Handle::Handle (const boost::shared_ptr< T > &h=boostshared_ptr< T >(), bool registerAsObserver=true)
registerAsObserver
is left as a backdoor in case the programmer cannot guarantee that the object pointed to will remain alive for the whole lifetime of the handle---namely, it should be set tofalse
when the passed shared pointer does not own the pointee (this should only happen in a controlled environment, so that the programmer is aware of it). Failure to do so can very likely result in a program crash. If the programmer does want the handle to register as observer of such a shared pointer, it is his responsibility to ensure that the handle gets destroyed before the pointed object does.
- Member IMM::code (const Date &immDate)
- It raises an exception if the input date is not an IMM date
- Member IMM::date (const std::string &immCode, const Date &referenceDate=Date())
- It raises an exception if the input string is not an IMM code
- Class ImpliedVolTermStructure
- It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only.
- Class IncrementalStatistics
- high moments are numerically unstable for high average/standardDeviation ratios.
- Member Index::name () const=0
- This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.
- Member Instrument::setPricingEngine (const boost::shared_ptr< PricingEngine > &)
- calling this method will have no effects in case the performCalculation method was overridden in a derived class.
- Member InterestRate::discountFactor (Time t) const
- Time must be measured using InterestRate's own day counter.
- Member InterestRate::compoundFactor (Time t) const
- Time must be measured using InterestRate's own day counter.
- Member InterestRate::equivalentRate (Time t, Compounding comp, Frequency freq=Annual) const
- Time must be measured using the InterestRate's own day counter.
- Member InterestRate::impliedRate (Real compound, Time t, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual)
- Time must be measured using the day-counter provided as input.
- Class JamshidianSwaptionEngine
- The engine assumes that the exercise date equals the start date of the passed swap.
- Class JPYLibor
- This is the rate fixed in London by BBA. Use TIBOR if you're interested in the Tokio fixing.
- Class JuQuadraticApproximationEngine
- Barone-Adesi-Whaley critical commodity price calculation is used, it has not been modified to see whether the method of Ju is faster. Ju does not say how he solves the equation for the critical stock price, e.g. Newton method. He just gives the solution. The method of BAW gives answers to the same accuracy as in Ju (1999).
- Member Lattice::partialRollback (DiscretizedAsset &, Time to) const=0
- In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as: with the two statements:
method->rollAlmostBack(asset,t);
method->partialRollback(asset,t); asset->preAdjustValues();
- Member LazyObject::calculate () const
- Objects cache the results of the previous calculation. Such results will be returned upon later invocations of calculate. When the results depend on arguments which could change between invocations, the lazy object must register itself as observer of such objects for the calculations to be performed again when they change.
- Member LazyObject::calculate () const
- Should this method be redefined in derived classes, LazyObject::calculate() should be called in the overriding method.
- Class Libor
- This is not a valid base class for the O/N, S/N index
- Class LiborForwardModelProcess
- this class does not work correctly with Visual C++ 6.
- Member LocalVolTermStructure::LocalVolTermStructure (const DayCounter &dc=Actual365Fixed())
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
- Member pseudoSqrt
- Higham algorithm only works for correlation matrices.
- Class MCAmericanBasketEngine
- This method is intrinsically weak for out-of-the-money options.
- Class MCDiscreteAveragingAsianEngine
- control-variate calculation is disabled under VC++6.
- Class MixedScheme
- The differential operator must be linear for this evolver to work.
- Class NeumannBC
- The value passed must not be the value of the derivative. Instead, it must be comprehensive of the grid step between the first two points--i.e., it must be the difference between f[0] and f[1].
- Member Observable::operator= (const Observable &)
- notification is sent before the copy constructor has a chance of actually change the data members. Therefore, observers whose update() method tries to use their observables will not see the updated values. It is suggested that the update() method just raise a flag in order to trigger a later recalculation.
- Member OneAssetOption::impliedVolatility (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
- currently, this method returns the Black-Scholes implied volatility. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)
- Member OneAssetOption::impliedVolatility (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
- options with a gamma that changes sign have values that are not monotonic in the volatility, e.g binary options. In these cases the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.
- Member Payoff::name () const=0
- This method is used for output and comparison between payoffs. It is not meant to be used for writing switch-on-type code.
- Class PiecewiseYieldCurve
- The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.
- Member Problem::reset ()
- it does not reset the current minumum to any initial value
- Class QuantoEngine
- for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)
- Class RandomizedLDS
- Inverting LDS and PRS is possible, but it doesn't make sense.
- Class RandomSequenceGenerator
- do not use with low-discrepancy sequence generator.
- Member RateHelper::setTermStructure (YieldTermStructure *)
- Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that rate helpers be used only in term structure constructors, setting the term structure to this, i.e., the one being constructed.
- Member RelinkableHandle::RelinkableHandle (const boost::shared_ptr< T > &h=boostshared_ptr< T >(), bool registerAsObserver=true)
- see the Handle documentation for issues relatives to
registerAsObserver
.
- Member RelinkableHandle::linkTo (const boost::shared_ptr< T > &, bool registerAsObserver=true)
- see the Handle documentation for issues relatives to
registerAsObserver
.
- Member Rounding::Type
- the names of the Floor and Ceiling methods might be misleading. Check the provided reference.
- Member Settings::evaluationDate ()
- a notification is not sent when the evaluation date changes for natural causes---i.e., a date was not explicitly set (which results in today's date being used for pricing) and the current date changes as the clock strikes midnight.
- Class SimpleDayCounter
- this day counter should be used together with NullCalendar, which ensures that dates at whole-month distances share the same day of month. It is not guaranteed to work with any other calendar.
- Member SingleAssetOption::impliedVolatility (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
- Options with a gamma that changes sign have values that are not monotonic in the volatility, e.g binary options. In these cases impliedVolatility can fail and in any case is meaningless. Another possible source of failure is to have a targetValue that is not attainable with any volatility, e.g. a targetValue lower than the intrinsic value in the case of American options.
- Member SwapIndex::underlyingSwap (const Date &fixingDate) const
- Relinking the term structure underlying the index will not have effect on the returned swap.
- Class SwaptionVolatilityCube
- this class is not finalized and its interface might change in subsequent releases.
- Member SwaptionVolatilityStructure::SwaptionVolatilityStructure (const DayCounter &dc=Actual365Fixed(), BusinessDayConvention bdc=Following)
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
- Member TermStructure::TermStructure (const DayCounter &dc=Actual365Fixed())
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
- Class Tibor
- This is the rate fixed in Tokio by JBA. Use JPYLibor if you're interested in the London fixing by BBA.
- Class TreeSwaptionEngine
- This engine is not guaranteed to work if the underlying swap has a start date in the past, i.e., before today's date. When using this engine, prune the initial part of the swap so that it starts at
.
- Class TridiagonalOperator
- to use real time-dependant algebra, you must overload the corresponding operators in the inheriting time-dependent class.
- Class TrinomialTree
- The diffusion term of the SDE must be independent of the underlying process.
- Class VarianceSwap
- This class does not manage seasoned variance swaps.
- Member YieldTermStructure::YieldTermStructure (const DayCounter &dc=Actual365Fixed())
- term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
- Member YieldTermStructure::forwardRate (const Date &d, const Period &p, const DayCounter &resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const
- dates are not adjusted for holidays
- Class Zibor
- This is the rate fixed in Zurich by BBA. Use CHFLibor if you're interested in the London fixing by BBA.