wegamekinglc / Derivatives-Algorithms-Lib / 36096273406

92%

Build Type

push

github

Committed by web-flow

Commit Message

feat: add robust LSMC fallback and held-out degree selection (#429)

* Add robust LSMC fallback and held-out degree selection

Keep the moment/Cholesky fit for the common case, but recover a supported polynomial degree with rank-revealing QR when its design loses rank or scale. A separate validation block can select degree without using training or final pricing payoffs, while diagnostics expose the chosen solver and rank. Include independent solver references, cross-surface settings, and out-of-sample pricing comparisons.

* Fix validation loss edge case and simplify QR helpers

* Address LSMC review findings and regenerate Excel help

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