QuantLib 0.3.7
Getting started
Reference manual
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- 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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