wegamekinglc / Derivatives-Algorithms-Lib / 36292429753

92%

Build Type

push

github

Committed by web-flow

Commit Message

feat: compose named factors in a hybrid Monte Carlo model (#447)

* Add named-factor hybrid Monte Carlo model

Compose typed equity and deterministic-rate components under one named factor registry and numeraire. Build correlation once during setup, preserve AAD parameter ownership, and bridge multi-factor paths along each factor time axis.

Cover legacy parity, factor ordering, validation, AAD, archive/clone behavior, and a correlated-BS benchmark so later script and LSM integration can rely on a tested core.

* Simplify hybrid model setup validation

Split named-factor and component validation into focused helpers so configuration failures remain actionable while meeting the repository complexity gate.

* Revalidate hybrid parameters during initialization

Component parameters remain mutable for AAD, so constructor checks alone cannot catch spot or volatility changes made before Init. Recheck equity inputs and the domestic rate during setup to reject invalid paths before simulation.

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363 of 403 new or added lines in 12 files covered. (90.07%)

1 existing line in 1 file now uncovered.

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