wegamekinglc / Derivatives-Algorithms-Lib / 36370718814

92%

Build Type

push

github

Committed by web-flow

Commit Message

feat: add one-factor Vasicek-Hull-White Monte Carlo model (#457)

* Add one-factor Vasicek-Hull-White Monte Carlo model

Price single-currency rate options from dated OIS and projection curves, with exact event-grid conditional discounting and node-level AAD risks. Reuse script LSM exercise for Bermudan bond options and cash-settled swaptions, and expose the model through C++, Python, and Excel. Keep Python build-tree tests bound to the extension under test.

* Fix IR parser documentation table

Remove an accidental leading marker so the repository documentation integrity checker recognizes the three-column table.

* Fix VHW CI compatibility and complexity

Use explicit assignments for Adept expression templates so the VHW model compiles across AAD backends. Extract focused validation, parsing, and path helpers to keep the new implementation within repository complexity limits.

* Fix IR alias date order and month-tenor swaps

Preserve the explicit start and maturity order of discount-factor aliases, and keep month-tenor swaps identifiable when their names are parsed again. Add regression coverage for parsing and cloning, and clarify the documented names.

Coverage Stats

411 of 444 new or added lines in 12 files covered. (92.57%)

1 existing line in 1 file now uncovered.

18112 of 19617 relevant lines covered (92.33%)

3148734.35 hits per line