QuantLib: Known Bugs

A free/open-source library for quantitative finance Reference manual - version 1.20

Known Bugs

Class InterpolatedYoYOptionletStripper< Interpolator1D >
  Tests currently fail.
Class KInterpolatedYoYOptionletVolatilitySurface< Interpolator1D >
  Tests currently fail.
Class AssetSwap
  fair prices are not calculated correctly when using indexed coupons.
Class MultiCubicSpline< i >
  cannot interpolate at the grid points on the boundary surface of the N-dimensional region
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 HullWhite
  When the term structure is relinked, the r0 parameter of the underlying Vasicek model is not updated.
Class G2
  This class was not tested enough to guarantee its functionality.
Class BlackCalculator
  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 HybridHestonHullWhiteProcess
  This class was not tested enough to guarantee its functionality... work in progress
Class LocalVolSurface
  this class is untested, probably unreliable.