Known Bugs

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 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 JuQuadraticApproximationEngine
test fails for Borland compiler

Class LocalVolSurface
this class is untested, probably unreliable.

Class MultiCubicSpline
  • cannot interpolate at the grid points on the boundary surface of the N-dimensional region
  • it does not compile under Borland

Member FDDividendAmericanEngine
results are not overly reliable.

Member FDDividendAmericanEngine
method impliedVolatility() utterly fails

Member FDDividendShoutEngine
results are not overly reliable.