wegamekinglc / Derivatives-Algorithms-Lib / 36972477903

93%

push

github

feat: price and calibrate European GSR rate options (#469)

* Add European GSR pricing and bounded volatility calibration

Price rate options with shared Gaussian integrals and explicit fixing and payment schedules. Fit selected volatility buckets with bounds and regularization, expose diagnostics through dal-public and thin Python/Excel adapters, and verify independent pricing and calibration oracles.

* Use worksheet settings for Gaussian option pricing

Avoid Machinist legacy optional-integer output in the Windows XLL. A key/value settings table preserves defaults and exposes refinement while portable tests cover default, explicit and invalid settings.

* Reject European GSR dates outside curve coverage

Enforce the documented curve coverage constraint instead of silently extrapolating expiry, fixing and cash-flow dates.

* Check the exercise-boundary oracle domain

Assert the independent reference formula has two real exercise boundaries before evaluating the inverse hyperbolic cosine.

* Keep the reference strike explicit in the pricing oracle

Avoid an incorrect integer inference when standalone static analysis cannot load the option type header.

* Remove a redundant calibration comment

499 of 548 new or added lines in 7 files covered. (91.06%)

19076 of 20645 relevant lines covered (92.4%)

3044180.39 hits per line