wegamekinglc / Derivatives-Algorithms-Lib / 36619119192

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Build Type

push

github

Committed by web-flow

Commit Message

feat: compose local volatility in Hybrid and refactor Dupire (#462)

* Add composable local volatility and refactor Dupire calibration

Make local volatility a serializable surface that can be combined with deterministic or GSR rates inside Hybrid. Keep Dupire as the implied-volatility-to-surface calibration path and remove its standalone pricing model and constructors. Update examples, bindings, generated interfaces, tests, and current-state documentation.

* Fix Adept Hybrid build and simplify surface validation

Adept expression templates make conditional returns ambiguous when one arm is a stored active value and the other is an exp expression. Use explicit branches so every AAD backend can instantiate Hybrid. Split surface validation from the constructor to keep each validation step readable and within the repository's complexity limit.

* Cover GSR local-vol AAD and correct supported-model docs

The correlated GSR and local-volatility AAD path needs a direct regression check for realized carry and both rate and volatility sensitivities. Add a common-path finite-difference comparison, document standalone GSR in valuation surfaces and Excel help, and align the affected examples and tables with repository style.

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310 of 333 new or added lines in 10 files covered. (93.09%)

3 existing lines in 1 file now uncovered.

18247 of 19766 relevant lines covered (92.32%)

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