wegamekinglc / Derivatives-Algorithms-Lib / 27510170273

80%

master: 79%

Pull #106

github

test: harden Phase A AAD-tape Jacobian coverage

Add four tests under PhaseAAADJacobianTest to close the gaps the
implementer flagged against the user's required test list:

- TestMatchesCentralDifferenceLogCubicNatural / ...Mixed: exercise the
  natural-cubic and mixed-cutoff spline branches of the templated
  DiscountLogDF_<Number_> path, complementing the existing LogLinear
  match. Asserts every Jacobian entry matches a two-sided central
  difference at step 1e-6 within 1e-9.
- TestSingleDepositTapeMatchesCentralDifference: single-instrument
  canary that isolates the tape from multi-row sparsity. One Deposit,
  one reverse sweep over one residual; asserts the single row matches
  central differences for every node column and that columns beyond the
  deposit's maturity are EXACTLY zero.
- TestMixedInstrumentCalibrationMatchesCentralDifference: Deposit +
  FRA + Swap in one recording, exercising the per-instrument dispatch
  (DepositRateT_ + ForwardRateT_ + SwapRateT_) and structural zeros at
  each instrument's cashflow horizon.

Factored the column-by-column central-difference assertion into
AssertMatchesCentralDifference so the comparison logic is identical
across the scheme and instrument-type sweeps.

Full dal_cpp_tests: 724 passed (720 baseline + 4 new).

511 of 552 new or added lines in 7 files covered. (92.57%)

5935 of 7407 relevant lines covered (80.13%)

3368860.27 hits per line