wegamekinglc / Derivatives-Algorithms-Lib / 35783955069

92%

Build Type

push

github

Committed by web-flow

Commit Message

fix: separate LSMC training and harden exercise valuation (#419)

* Separate LSMC training paths and harden exercise valuation

Remove in-sample policy pricing and allow an independent training budget across C++, Python and Excel. Prune irrelevant script work, accelerate regression assembly, and correct payoff receiver, historical-state, AAD workspace lifetime and path-range handling.

Expand the comparison example with explicit training paths and European MC/AAD rows, and document the remaining numerical and performance tradeoffs.

* Simplify LSMC validation and example input handling

Address the four Codacy complexity findings by isolating assignment rules, scaled factorization, row allocation and CLI parsing without changing valuation behavior. Validate with the full 1702-test core suite, the comparison example, and CLI help/error cases.

* Cover Dupire LSMC replay and address review notes

Compare flat Dupire with Black-Scholes across unequal path budgets, both evaluators, Brownian bridge and AAD risks. Add direct standard-library includes and correct example exercise counts and documentation wording.

* Keep LSMC preprocessing out of the global visitor hierarchy

Registering the preparation-only visitor added a polymorphic base to every AST node, increasing node size and frontend traversal cost even without EXERCISE. Dispatch the dedicated liveness visitor locally and restore the ordinary AST layout. All 1703 core tests pass after the change.

Coverage Stats

240 of 247 new or added lines in 11 files covered. (97.17%)

2 existing lines in 1 file now uncovered.

15544 of 16938 relevant lines covered (91.77%)

3410021.1 hits per line