All pull requests

Pull requests

• Fix compilation of new Li-RS near-the-money tests with AD types

  #3009·auto-differentiation-dev opened Nov 2, 2026Contributor·

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• Fix removable singularities in Gauss-Jacobi recurrence coefficients

  #3008·csarushan1729 opened Nov 2, 2026·

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• Replace boost::accumulators in IncrementalStatistics with standalone implementation

  #3006·Chaithanya5gif opened Nov 2, 2026·

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• Keep FdHestonVanillaEngine American prices at the exercise value

  #3005·leafyoung opened Nov 2, 2026·

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• test-suite: add joint stochastic process tests

  #3004·losterbr opened Nov 1, 2026Contributor·

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• Add check for missing test messages

  #3003·losterbr opened Nov 1, 2026Contributor·

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• Reject payoffAtExpiry exercise in QdPlus/QdFp American engines

  #3001·leafyoung opened Nov 1, 2026·

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• Guard Fd2dBlackScholesVanillaEngine against a non-basket payoff

  #3000·leafyoung opened Nov 1, 2026·

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• Allow non-zero spreads in Gaussian1dCapFloorEngine

  #2999·leafyoung opened Nov 1, 2026·

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• Fix Lagrange interpolation at zero-valued support points

  #2998·flodrick opened Nov 1, 2026·

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• Reject ParYieldCurve-settled swaptions in the finite-difference swaption engines

  #2997·leafyoung opened Nov 1, 2026·

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• Allow G2SwaptionEngine to price cash-settled (CollateralizedCashPrice) swaptions

  #2996·leafyoung opened Nov 1, 2026·

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• Use the global evaluation date in American, barrier and binary option tests

  #2994·destinyN1 opened Oct 31, 2026·

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• Handle ThirdWednesdayInclusive in Schedule stub-date validation

  #2993·saanvimundra opened Oct 31, 2026·

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• Keep finite power-times-CDF products in AnalyticBarrierEngine at low volatility

  #2992·anveshachuri opened Oct 31, 2026·

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• Feature/issue 2862 shyam equity total return swap

  #2986·jeganathan-shyam opened Oct 31, 2026·

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• Fix InverseCumulativePoisson for large means and probabilities near one

  #2984·Jackmeson1 opened Oct 30, 2026Contributor·

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• Measure geometric average-strike Asian times from the valuation date

  #2983·Jackmeson1 opened Oct 30, 2026Contributor·

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• Use a recursion instead of enumerating defaults in DefaultLatentModel::conditionalProbAtLeastNEvents

  #2982·auto-differentiation-dev opened Oct 30, 2026Contributor·

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• Claude/sleepy dijkstra 52uvi2

  #2978·raghavsubbarao opened Oct 30, 2026·

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• Price Choi Asian options in degenerate states

  #2976·leafyoung opened Oct 29, 2026·

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• Resolve the grid time of callable-bond events once per lattice

  #2971·igitur opened Oct 29, 2026Contributor·

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• Count CMS, swaption and FX dates from the actual evaluation date

  #2964·Divyansh151005 opened Oct 28, 2026Contributor·

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• add cache for path-independent quantities

  #2950·pcaspers opened Oct 24, 2026Contributor·

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• Fix issue EquityTotalReturnSwap periodic resets and excess-return indices issue #2862

  #2948·Emmankoko opened Oct 24, 2026·

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