wegamekinglc / Derivatives-Algorithms-Lib / 36960867505

93%

Build Type

push

github

Committed by web-flow

Commit Message

feat: add named multi-factor Gaussian short rate models (#468)

* Add named multi-factor Gaussian short rate models

Share exact Gaussian transitions and precomputed rate observations with the existing one-factor model while preserving its factories, archives, and risk labels. Expose dated factor inputs through dal-public and thin Python/Excel adapters, with analytic, singular-covariance, AAD, and archive validation.

* Separate covariance validation from PSD factorization

Keep the numerical loop focused on rank-aware factorization and simplify knot shape checks to address the PR complexity findings without changing model behavior.

* Document benchmark configuration before running GSR cases

* Clarify Gaussian knot convention in active specifications

Coverage Stats

270 of 274 new or added lines in 7 files covered. (98.54%)

1 existing line in 1 file now uncovered.

18575 of 20097 relevant lines covered (92.43%)

3127505.31 hits per line