wegamekinglc / Derivatives-Algorithms-Lib / 35507536405
92%

DEFAULT BRANCH: master
Ran
Jobs 1
Files 300
Run time 1min
Badge
Embed ▾
README BADGES
x

If you need to use a raster PNG badge, change the '.svg' to '.png' in the link

Markdown

Textile

RDoc

HTML

Rst
coverage: 91.596%. Remained the same
35507536405

push

github

web-flow 
DAL-293: address consolidated review findings (#403)

* State the LSMC diagnostic boundary and numeraire assumption in comments

The "AAD arrives with the fuzzy milestone/T4" framing went stale when T4
landed: the diagnostic's double-only path is a deliberate boundary (the fuzzy
driver reports no per-event statistics), and the benchmark comment now pins
the N8 cost story instead of a milestone. The Phase B probe-numeraire comment
records the deterministic-rate assumption (BS/Dupire, S13) that makes one
probe path pin every discount ratio.

Co-authored-by: multica-agent <github@multica.ai>

* Lock multi-comparison exercise eps selection with a parse test

The decision smoothing width follows the first comparison's ;eps option,
falling back to the simulation default when it carries none; S17 left the
multi-comparison case unspecified. Pin the deterministic rule (and the
per-comparison widths of the condition degree) before behavior depends on it.

Co-authored-by: multica-agent <github@multica.ai>

* Add the LSMC memory budget table and eps rule to the docs

N7 asked for a paths x events budget table alongside the formula; the
first-comparison eps rule is documented where ;eps is defined.

Co-authored-by: multica-agent <github@multica.ai>

* Address PR review: name the model set and fix the memory budget accounting

S13 is a plan clause, not a model — name Black-Scholes and Dupire (the only
models the factory constructs) so the deterministic-rate assumption reads
correctly, and drop the N8 plan reference from the benchmark comment. The
per-date storage is three doubles on every exercise date (regressor, exercise
value, pre-exercise snapshot) plus a one-byte condition row on conditional
dates; the budget formula and examples now state that.

Co-authored-by: multica-agent <github@multica.ai>

---------

Co-authored-by: multica-agent <github@multica.ai>

15324 of 16730 relevant lines covered (91.6%)

3957207.76 hits per line

Jobs
ID Job ID Ran Files Coverage
1 35507536405.1 300
91.6
 GitHub Action Run
Source Files on build 35507536405