wegamekinglc / Derivatives-Algorithms-Lib / 36469294214

92%

Build Type

push

github

Committed by web-flow

Commit Message

feat: rename VHW to GSR with swap examples and benchmarks (#459)

* Rename VHW model to GSR and add swap pricing examples

Use Gaussian Short Rate naming consistently across the model, public APIs, bindings, Excel, serialization, and documentation. Provide C++ and Python examples that fit the input yield curve and compare a coupon-paying swap against static curve pricing at 65,536 Monte Carlo paths.

* Add GSR swap and swaption comparison benchmarks

Compare the standard swap across DAL, QuantLib, and rateslib on one curve, and compare DAL GSR swaption Monte Carlo with QuantLib Gaussian1d pricing. Independent cashflow and Gaussian option oracles validate every measured result; rateslib swaption is marked unsupported because it lacks the corresponding short-rate model.

* Compare GSR swaption Sobol Monte Carlo paths

Use QuantLib's Gsr process and Sobol path generator with the same path budget as the DAL script. This makes the swaption benchmark compare Monte Carlo valuations and records Python path-loop overhead. Document why reused QuantLib swap coupons and DAL cashflow preparation affect static swap timings.

* Retain GSR swap and swaption benchmark methods

Keep separate cashflow-reuse and fresh-construction swap cases for each supported backend. Restore QuantLib Gaussian1d integration alongside its Sobol Monte Carlo path case, with independent oracle checks and explicit timing labels.

* Fix GSR example registration and benchmark quality findings

Register the public-linked C++ example after dal_public is created and run it in CTest. Split Python benchmark closures and report sections to resolve Codacy duplication and complexity findings.

Coverage Stats

46 of 57 new or added lines in 6 files covered. (80.7%)

1 existing line in 1 file now uncovered.

18113 of 19618 relevant lines covered (92.33%)

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