wegamekinglc / Derivatives-Algorithms-Lib / 36987276282

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Build Type

push

github

Committed by web-flow

Commit Message

feat: add GSR stochastic local volatility (#470)

* Add GSR stochastic local volatility and bank-account simulation

Extend the shared rate observation kernel with normalized CIR variance and positive local leverage while preserving the HJM drift. Expose archiveable inputs through dal-public, Python and Excel, validate model-input AAD and Gaussian limits, and retain empty projections in compact table archives.

* Fix GSR SLV expression types for Adept and simplify its grid

Materialize square-root expressions before conditional selection so all AAD backends compile. Separate knot merging from subdivision to keep the integration grid readable.

* List stochastic local volatility in the GSR model guide index

* Keep GSR SLV Python correlations on the list API

Avoid instantiating a conflicting STL caster for the opaque double vector. Verify getter/setter parity, Gaussian Libor/swap observations and singular driver simulation, and label the new benchmark output consistently.

* Fix Adept HJM observation lifetimes

Evaluate observation callbacks before their temporary operands are destroyed, and check AAD prices against the double path before comparing sensitivities.

* Fix empty and single-column table matrix decoding

Decode the empty matrix sentinel consistently for numeric, string and cell matrices, and bound column scanning before accessing the table. Cover all three typed round trips and empty Box data.

Coverage Stats

302 of 315 new or added lines in 9 files covered. (95.87%)

1 existing line in 1 file now uncovered.

19359 of 20933 relevant lines covered (92.48%)

3032844.82 hits per line