wegamekinglc / Derivatives-Algorithms-Lib / 27507415431

80%

master: 79%

Build Type

Pull #106

github

Committed by wegamekinglc

Commit Message

Reduce cyclomatic complexity in calibration Jacobian assembly

Gradient had an inline rate-to-column chain-rule accumulation and a
duplicated discount/forward-slot CurveBlock construction. Extract
YieldCurveWith(dc) -- a private method that slots a calibrated curve
into the discount or forward position -- and reuse it in F(), Gradient,
and the bumped-YC arm of FillRowByDFBump (the previous inline copy
was the largest statement in that function). Pull the per-row analytic
chain-rule accumulation into FillRowAnalytic so the main loop body is
guard / fill / continue. Behavior is byte-for-byte unchanged; full
dal_cpp_tests suite (714 tests) stays green.

Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>

Pull Request Pull Request #106: feat: analytic LOG_DISCOUNT curve Jacobian (CP1)

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334 of 344 new or added lines in 5 files covered. (97.09%)

21 existing lines in 4 files now uncovered.

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