All pull requests

Pull requests

• Fix flat payoff extrapolation endpoint

  #2916·losterbr opened Oct 18, 2026Contributor·

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• Price deep in-the-money calls on the Leisen-Reimer tree

  #2915·Divyansh151005 opened Oct 18, 2026·

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• Keep finite-difference American prices at the exercise value

  #2914·Divyansh151005 opened Oct 18, 2026·

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• Automated fixes by clang-tidy

  #2913·lballabio-bot opened Oct 18, 2026Contributor·

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• Improve Markov-functional calibration validation and diagnostics

  #2912·losterbr opened Oct 17, 2026Contributor·

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• Fix/alpha finder robustness

  #2910·losterbr opened Oct 17, 2026Contributor·

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• Expand cash-flow analysis test coverage

  #2909·losterbr opened Oct 17, 2026Contributor·

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• Avoid underflow in the non-central chi-square distribution

  #2908·nicoloangileri opened Oct 17, 2026·

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• Keep the Barone-Adesi-Whaley critical-price seed on the right side of the strike

  #2907·himanshug9119 opened Oct 16, 2026·

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• Floor the Ju approximation at the European value

  #2906·himanshug9119 opened Oct 16, 2026·

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• Forecast deposit and indexed FRA quotes when fixing dates precede evaluation (#2899)

  #2901·AIM-IT4 opened Oct 15, 2026Contributor·

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• Heston Pricing Engine: enable AsymptoticChf control variate with alpha != -0.5

  #2900·klausspanderen opened Oct 14, 2026Contributor·

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• Guard null interest rates and unsupported compounding

  #2898·losterbr opened Oct 14, 2026Contributor·

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• Check the forwarding curve covers forecast overnight-future rates

  #2897·AIM-IT4 opened Oct 14, 2026Contributor·

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• Test cap/floor optionlet deltas at zero volatility

  #2896·AIM-IT4 opened Oct 14, 2026Contributor·

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• Add 2025 presidential election day to South Korean calendar

  #2894·raams95 opened Oct 13, 2026·

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• Use moveable dates for Ascension and Whit Monday in French calendar

  #2893·raams95 opened Oct 13, 2026·

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• Fix holder-extensible puts and degenerate critical prices

  #2892·mkzung opened Oct 13, 2026Contributor·

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• Measure complex chooser maturities from the evaluation date

  #2891·mkzung opened Oct 13, 2026Contributor·

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• Require enough points for not-a-knot spline boundary condition

  #2888·mvanslobbe opened Oct 12, 2026·

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• Fix loss of precision in HullWhite::discountBondOption for small mean reversion

  #2886·NatMatLogica opened Oct 11, 2026·

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• Avoid cancellation in G2 variance for small mean reversion

  #2885·harshkumawat5 opened Oct 11, 2026·

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• Price soft barrier options outside the closed-form region

  #2884·harshkumawat5 opened Oct 10, 2026·

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• Reject barrier directions not covered by the soft-barrier formula

  #2883·Adnan-Husayn opened Oct 10, 2026Contributor·

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• Avoid cancellation in Vasicek A, B and bond option variance

  #2882·harshkumawat5 opened Oct 10, 2026·

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