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Feature/gaussian1d float float swaption coverage - #2845

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losterbr wants to merge 7 commits into
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losterbr:feature/gaussian1d-float-float-swaption-coverage
Open

losterbr wants to merge 7 commits into
lballabio:masterfrom
losterbr:feature/gaussian1d-float-float-swaption-coverage

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@losterbr

@losterbr losterbr commented Sep 30, 2026 •

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Summary

Improve coverage and robustness of Gaussian1dFloatFloatSwaptionEngine.

Changes

  • Added comprehensive Gaussian 1D float-float swaption coverage, including:
    • Payer and receiver swaptions
    • Probability and payoff extrapolation modes
    • Rebates and OAS
    • Principal exchanges and caps/floors
    • CMS and swap-spread indices
    • Cash-settlement validation
  • Added calibration boundary checks for:
    • No remaining reset dates
    • Zero remaining notionals
  • Added deterministic regression checks for rollback values, probability results, and OAS discounting.
  • Improved rollback performance by:
    • Removing unused event state.
    • Reusing probability interpolators across state-grid points.
    • Computing the rollback OAS discount factor once per event.
    • Removing an unused FloatFloatSwap copy.
  • Preserved behavior across the optimized and baseline implementations.

@coveralls

coveralls commented Sep 30, 2026 •

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Coverage Status

coverage: 78.607% (+0.4%) from 78.251% — losterbr:feature/gaussian1d-float-float-swaption-coverage into lballabio:master

@losterbr
losterbr marked this pull request as ready for review September 30, 2026 20:33
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2 participants