wegamekinglc / Derivatives-Algorithms-Lib / 36332904064

92%

Build Type

push

github

Committed by web-flow

Commit Message

feat: Add deterministic term-structure rates to hybrid models (#456)

* Add deterministic term-structure rates to hybrid models

Allow multi-asset and early-exercise valuation to use calibrated domestic discount curves on the model ACT/365 clock. Cache step carry and numeraires, preserve constant-rate archives, and expose logDF node risks across C++, Python, and Excel.

* Validate Excel hybrid curve payload before dereference

A discount curve wrapper can hold an empty curve value. Reject it with the existing InvalidHybridCurve error so the Excel factory cannot crash on malformed handles.

* Rewind direct AAD test tape before Monte Carlo valuation

The direct node-risk calculation left Adept tape state behind and caused the subsequent Monte Carlo valuation to crash in every Adept CI leg. Scope the existing TapeGuard around that calculation.

Coverage Stats

94 of 101 new or added lines in 6 files covered. (93.07%)

5 existing lines in 3 files now uncovered.

17727 of 19199 relevant lines covered (92.33%)

3236356.84 hits per line