Bug List

Class AnalyticDiscreteAveragingAsianEngine
calculated Greeks do not match numerical results

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 CoxIngersollRoss
this class was not tested enough to guarantee its functionality.

Class DiscretizedSwap
floating coupons which have already fixed are not included during rollback

Class ExtendedCoxIngersollRoss
this class was not tested enough to guarantee its functionality.

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 LocalVolSurface
this class is untested, probably unreliable.

Class MCAmericanBasketEngine
this engine does not yet work for put options. More problems might surface.

Member sensitivity (Integer basis=2) const
this method must still be checked. It is not guaranteed to yield the right results.

Class TreeCapFloorEngine
caplets which have already fixed are not included in the cap value.

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