Caveats

### A free/open-source library for quantitative finance

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 AssetSwap
  bondCleanPrice must be the (forward) price at the floatSchedule start date
Member BarrierOption::impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
  see VanillaOption for notes on implied-volatility calculation.
Member BespokeCalendar::BespokeCalendar (const std::string &name="")
  different bespoke calendars created with the same name (or different bespoke calendars created with no name) will compare as equal.
Member BlackAtmVolCurve::BlackAtmVolCurve (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackAtmVolCurve::BlackAtmVolCurve (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Class BlackCallableFixedRateBondEngine
  This class has yet to be tested
Class BlackCallableZeroCouponBondEngine
  This class has yet to be tested.
Class BlackCdsOptionEngine
  The engine assumes that the exercise date equals the start date of the passed CDS.
Class BlackSwaptionEngine
  The engine assumes that the exercise date equals the start date of the passed swap.
Member BlackVarianceTermStructure::BlackVarianceTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVarianceTermStructure::BlackVarianceTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVolatilityTermStructure::BlackVolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVolatilityTermStructure::BlackVolatilityTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVolSurface::BlackVolSurface (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVolSurface::BlackVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVolTermStructure::BlackVolTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member BlackVolTermStructure::BlackVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  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 cash flows are stored sorted by date, the redemption(s) being after any cash flow at the same date. In particular, if there's one single redemption, it must be the last cash flow,
Member Bond::Bond (Natural settlementDays, const Calendar &calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg())
  The last passed cash flow must be the bond redemption. No other cash flow can have a date later than the redemption date.
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 BondHelper
  This class assumes that the reference date does not change between calls of setTermStructure().
Member BondHelper::BondHelper (const Handle< Quote > &cleanPrice, const boost::shared_ptr< Bond > &bond)
  Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results. It is advised to discard the bond after creating the helper, so that the helper has sole ownership of it.
Member BootstrapHelper< TS >::setTermStructure (TS *)
  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 this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.
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 CallableBondVolatilityStructure::CallableBondVolatilityStructure (const DayCounter &dc=DayCounter(), BusinessDayConvention bdc=Following)
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member CapFloorTermVolatilityStructure::CapFloorTermVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member CapFloorTermVolatilityStructure::CapFloorTermVolatilityStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
  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.
Group Constructors
  `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 to `false` 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.
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 (const Date &paymentDate, Real nominal, 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.
Member CPICapFloorTermPriceSurface::price (const Period &d, Rate k) const
  you MUST remind the compiler in any descendants with the using:: mechanism because you overload the names remember that the strikes use the quoting convention
Member CPICoupon::baseCPI () const
  make sure that the interpolation used to create this is what you are using for the fixing, i.e. the observationInterpolation.
Class CPISwap
  Setting subtractInflationNominal to true means that the original inflation nominal is subtracted from both nominals before they are exchanged, even if they are different.
Class CrankNicolson< Operator >
  The differential operator must be linear for this evolver to work.
Class CreditDefaultSwap
  if `Settings::includeReferenceDateCashFlows()` is set to `true`, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-spread calculation. This might not be what you want.
Class CubicBSplinesFitting
  "The results are extremely sensitive to the number and location of the knot points, and there is no optimal way of selecting them." James, J. and N. Webber, "Interest Rate Modelling" John Wiley, 2000, pp. 440.
Class DailyTenorEURLibor
  This is the rate fixed in London by BBA. Use Eonia if you're interested in the fixing by the ECB.
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.
Member DefaultDensityStructure::survivalProbabilityImpl (Time) const
  This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Class DiscretizedOption
  it is advised that derived classes take care of creating and initializing themselves an instance of the underlying.
Class Disposable< T >
  In order to avoid copies in code such as shown above, the conversion from `T` to `Disposable<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
Member DividendVanillaOption::impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const
  see VanillaOption for notes on implied-volatility calculation.
Member ECB::code (const Date &ecbDate)
  It raises an exception if the input date is not an ECB date
Member ECB::date (const std::string &ecbCode, const Date &referenceDate=Date())
  It raises an exception if the input string is not an ECB code
Member EquityFXVolSurface::EquityFXVolSurface (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member EquityFXVolSurface::EquityFXVolSurface (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
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.
Member ExchangeRateManager::lookup (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRate::Derived) const
  if two or more exchange-rate chains are possible which allow to specify a requested rate, it is unspecified which one is returned.
Class ExponentialSplinesFitting
  convergence may be slow
Member FiniteDifferenceModel< Evolver >::rollback (array_type &a, Time from, Time to, Size steps)
  being this a rollback, `from` must be a later time than `to`.
Member FiniteDifferenceModel< Evolver >::rollback (array_type &a, Time from, Time to, Size steps, const condition_type &condition)
  being this a rollback, `from` must be a later time than `to`.
Class FittedBondDiscountCurve
  The method can be slow if there are many bonds to fit. Speed also depends on the particular choice of fitting method chosen and its convergence properties under optimization. See also todo list for BondDiscountCurveFittingMethod.
Class FittedBondDiscountCurve::FittingMethod
  some parameters to the Simplex optimization method may need to be tweaked internally to the class, depending on the fitting method used, in order to get proper/reasonable/faster convergence.
Class FixedRateBondForward
  This class still needs to be rigorously tested
Class Forward
  This class still needs to be rigorously tested
Member ForwardRateStructure::zeroYieldImpl (Time) const
  This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.
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 GeneralizedBlackScholesProcess::expectation (Time t0, Real x0, Time dt) const
  raises a "not implemented" exception. It should be rewritten to return the expectation E(S) of the process, not exp(E(log S)).
Member HazardRateStructure::survivalProbabilityImpl (Time) const
  This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
Class HimalayaOption
  This implementation still does not manage seasoned options.
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.
Class Index
  this class performs no check that the provided/requested fixings are for dates in the past, i.e. for dates less than or equal to the evaluation date. It is up to the client code to take care of possible inconsistencies due to "seeing in the future"
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::compoundFactor (Time t) const
  Time must be measured using InterestRate's own day counter.
Member InterestRate::discountFactor (Time t) const
  Time must be measured using InterestRate's own day counter.
Member InterestRate::equivalentRate (Compounding comp, Frequency freq, Time t) const
  Time must be measured using the InterestRate's own day counter.
Member InterestRate::impliedRate (Real compound, const DayCounter &resultDC, Compounding comp, Frequency freq, Time t)
  Time must be measured using the day-counter provided as input.
Member InterestRateVolSurface::InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member InterestRateVolSurface::InterestRateVolSurface (const boost::shared_ptr< InterestRateIndex > &, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
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:
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.

  Should this method be redefined in derived classes, LazyObject::calculate() should be called in the overriding method.

  Should this method be redefined in derived classes, LazyObject::calculate() should be called in the overriding method.

Class LiborForwardModelProcess
  this class does not work correctly with Visual C++ 6.
Member LocalVolTermStructure::LocalVolTermStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member LocalVolTermStructure::LocalVolTermStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Class MCAmericanBasketEngine< RNG >
  This method is intrinsically weak for out-of-the-money options.
Class MCAmericanPathEngine< RNG >
  This method is intrinsically weak for out-of-the-money options.
Class MCDiscreteAveragingAsianEngine< RNG, S >
  control-variate calculation is disabled under VC++6.
Class MixedScheme< Operator >
  The differential operator must be linear for this evolver to work.
Class MultiplicativePriceSeasonality
  Multi-year seasonality (i.e. non-stationary) is fragile: the user must ensure that corrections at whole years before and after the inflation term structure base date are the same. Otherwise there can be an inconsistency with quoted rates. This is enforced if the frequency is lower than daily. This is not enforced for daily seasonality because this will always be inconsistent due to weekends, holidays, leap years, etc. If you use multi-year daily seasonality it is up to you to check.
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 OptionletVolatilityStructure::OptionletVolatilityStructure (BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member OptionletVolatilityStructure::OptionletVolatilityStructure (const Calendar &cal, BusinessDayConvention bdc=Following, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member OvernightIndexedSwapIndex::underlyingSwap (const Date &fixingDate) const
  Relinking the term structure underlying the index will not have effect on the returned swap.
Class PagodaOption
  This implementation still does not manage seasoned options.
Member PathPayoff::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.
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 PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >
  The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.
Class PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >
  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
Member pseudoSqrt
  Higham algorithm only works for correlation matrices.
Class QuantoEngine< Instr, Engine >
  for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)
Class RandomizedLDS< LDS, PRS >
  Inverting LDS and PRS is possible, but it doesn't make sense.
Class RandomSequenceGenerator< RNG >
  do not use with low-discrepancy sequence generator.
Class RelinkableHandle< T >
  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 SurvivalProbabilityStructure::defaultDensityImpl (Time) const
  This implementation uses numerical differentiation, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
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 (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member SwaptionVolatilityStructure::SwaptionVolatilityStructure (const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
  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=DayCounter())
  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 TRBDF2< Operator >
  The differential operator must be linear for this evolver to work.
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.
Member VanillaOption::impliedVolatility (Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, 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 using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

  options with a gamma that changes sign (e.g., binary options) have values that are not monotonic in the volatility. 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.

Class VanillaSwap
  if `Settings::includeReferenceDateCashFlows()` is set to `true`, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-rate and fair-spread calculation. This might not be what you want.
Class VarianceGammaModel
  calibration is not implemented for VG
Class VarianceOption
  This class does not manage seasoned variance options.
Class VarianceSwap
  This class does not manage seasoned variance swaps.
Member VolatilityTermStructure::VolatilityTermStructure (const Calendar &cal, BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
  term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method.
Member VolatilityTermStructure::VolatilityTermStructure (BusinessDayConvention bdc, const DayCounter &dc=DayCounter())
  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
Member YoYInflationIndex::fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const
  the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.
Member YoYInflationTermStructure::yoyRate (Time t, bool extrapolate=false) const
  Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.
Member ZeroInflationIndex::fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const
  the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.
Member ZeroInflationTermStructure::zeroRate (Time t, bool extrapolate=false) const
  Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.
Class Zibor
  This is the rate fixed in Zurich by BBA. Use CHFLibor if you're interested in the London fixing by BBA.