All pull requests

Pull requests

• Price double knock-outs struck outside the corridor in the analytic engine

  #2881·Jackmeson1 opened Oct 9, 2026·

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• Handle degenerate correlations in BivariateCumulativeNormalDistributionDr78

  #2880·Jackmeson1 opened Oct 9, 2026·

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• Return zero theta for American options exercised at the root of the tree

  #2879·Jackmeson1 opened Oct 9, 2026·

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• Keep the terminal exercise in tree engines when the grid rounds below maturity

  #2878·Jackmeson1 opened Oct 9, 2026·

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• Price YoY optionlets fixing within one lag of the vol base date with volatility

  #2877·Jackmeson1 opened Oct 9, 2026·

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• Fix start-window knock-in puts in the partial-time barrier engine

  #2876·Jackmeson1 opened Oct 9, 2026·

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• Use the type of the live callability in the callable-bond tree engine

  #2875·Adnan-Husayn opened Oct 9, 2026·

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• Fix shifted CMS spread pricing with unequal shifts

  #2874·paintbrushv opened Oct 9, 2026·

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• Modernize local declarations and pointer construction in models

  #2861·jewonj0620 opened Oct 5, 2026Contributor·

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• Fix local-volatility time in Heston SLV Monte Carlo calibration

  #2860·jewonj0620 opened Oct 5, 2026Contributor·

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• Price continuous lookbacks when the carry is zero

  #2856·mkzung opened Oct 2, 2026Contributor·

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• Keep the digital American at-expiry price accurate at low volatility

  #2855·mkzung opened Oct 2, 2026Contributor·

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• Give Bjerksund-Stensland a value at zero volatility

  #2854·mkzung opened Oct 2, 2026Contributor·

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• Price barrier options at zero volatility in the analytic engine

  #2853·mkzung opened Oct 2, 2026Contributor·

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  4

• Implement relevanceRates in CallSpecifiedMultiProduct and CallSpecifiedPathwiseMultiProduct

  #2852·Nityahapani opened Oct 1, 2026·

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• Implement quantile-based integration ranges in OneFactorCopula family

  #2851·Nityahapani opened Oct 1, 2026·

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• Implement two TODOs in ZabrModel: avoid redundant y() calls and validate strike ordering in fdPrice()

  #2850·Nityahapani opened Oct 1, 2026·

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• Simplify SwaptionVolatilityCube::atmStrike() using SwapIndex::clone(tenor)

  #2849·Nityahapani opened Oct 1, 2026·

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  3

• Use IborIndex::maturityDate() in Gaussian1dModel::forwardRate()

  #2848·Nityahapani opened Oct 1, 2026·

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• Add explicit calendar and business day units

  #2847·jrile018 opened Sep 30, 2026·

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  13

• Feature/pseudosqrt tests

  #2846·losterbr opened Sep 30, 2026Contributor·

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• Feature/gaussian1d float float swaption coverage

  #2845·losterbr opened Sep 30, 2026Contributor·

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• Check GARCH(1,1) minimizer convergence and fail explicitly on non-convergence

  #2844·Nityahapani opened Sep 30, 2026·

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• Remove redundant volsteptimesArray_ from Gsr and MarkovFunctional

  #2843·Nityahapani opened Sep 30, 2026·

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• Fix GsrProcessCore::time2() not reflecting updated forward measure time

  #2842·Nityahapani opened Sep 30, 2026·

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  1