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Handle forward-starting protection in the mid-point and integral CDS engines
#3076csarushan1729 opened Nov 13, 2026Contributor
Update generated headers
#3075lballabio-bot opened Nov 13, 2026Contributor
Use known fixings for YoY inflation optionlets
#3074csarushan1729 opened Nov 13, 2026Contributor
Return the payoff at zero maturity in AnalyticPTDHestonEngine
#3073leafyoung opened Nov 12, 2026Contributor
Fix Gaussian1dJamshidianSwaptionEngine bracketing on deep wing strikes
#3072leafyoung opened Nov 12, 2026Contributor
test-suite: fix copy-paste error
#3070Chaithanya5gif opened Nov 12, 2026
Reject non-finite bounds in DE/PSO/Firefly optimizers
#3069leafyoung opened Nov 12, 2026Contributor
Fix compilation of recent tests with AD types
#3068auto-differentiation-dev opened Nov 12, 2026Contributor
Fix StudentDistribution overflow at large degrees of freedom
#3067Jackmeson1 opened Nov 12, 2026Contributor
Optimize historical fixing lookup in overnight coupon pricers
#3064akshatsinghrajawat opened Nov 12, 2026
2
Add tests for NaturalCubicFitting and reject negative knot times
#3063Allan-dq opened Nov 12, 2026
2
Respect supplied value-date fixing in overnight futures
#3062Kiril1Shevtsov opened Nov 11, 2026
Consume repeated stored today fixings in overnight lockouts
#3061Kiril1Shevtsov opened Nov 11, 2026
Enforce required today's fixing before overnight coupon projection
#3060Kiril1Shevtsov opened Nov 11, 2026
Include daily-compounded spreads in forecast overnight coupons
#3059Kiril1Shevtsov opened Nov 11, 2026
Retain the pre-lockout fixing in telescopic overnight coupons
#3058Kiril1Shevtsov opened Nov 11, 2026
Keep the derivative of an implied rate when the compound factor is 1
#3057auto-differentiation-dev opened Nov 11, 2026Contributor
Include all coefficients in ExponentialSplinesFitting when kappa is fixed
#3056RAJ-A58 opened Nov 11, 2026Contributor
4
Price caps and floors on negatively-geared coupons correctly
#3055csarushan1729 opened Nov 11, 2026Contributor
Restore shared pricer state in capped YoY coupons
#3052Kiril1Shevtsov opened Nov 11, 2026
2
Fix Easter, Labour Day and Sunday holidays in the Serbia calendar
#3051sohailshk opened Nov 11, 2026Contributor
Add All Saints' Day to the Croatia calendar
#3050sohailshk opened Nov 11, 2026Contributor
Add missing public holidays to the Slovenia calendar
#3049sohailshk opened Nov 11, 2026Contributor
Fix weekend days and add missing holidays to the Malta calendar
#3048sohailshk opened Nov 11, 2026Contributor
Add Chinese holidays for 2027
#3047sohailshk opened Nov 11, 2026Contributor

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Handle forward-starting protection in the mid-point and integral CDS engines

Update generated headers

Use known fixings for YoY inflation optionlets

Return the payoff at zero maturity in AnalyticPTDHestonEngine

Fix Gaussian1dJamshidianSwaptionEngine bracketing on deep wing strikes

test-suite: fix copy-paste error

Reject non-finite bounds in DE/PSO/Firefly optimizers

Fix compilation of recent tests with AD types

Fix StudentDistribution overflow at large degrees of freedom

Optimize historical fixing lookup in overnight coupon pricers

Add tests for `NaturalCubicFitting` and reject negative knot times

Respect supplied value-date fixing in overnight futures

Consume repeated stored today fixings in overnight lockouts

Enforce required today's fixing before overnight coupon projection

Include daily-compounded spreads in forecast overnight coupons

Retain the pre-lockout fixing in telescopic overnight coupons

Keep the derivative of an implied rate when the compound factor is 1

Include all coefficients in ExponentialSplinesFitting when kappa is fixed

Price caps and floors on negatively-geared coupons correctly

Restore shared pricer state in capped YoY coupons

Fix Easter, Labour Day and Sunday holidays in the Serbia calendar

Add All Saints' Day to the Croatia calendar

Add missing public holidays to the Slovenia calendar

Fix weekend days and add missing holidays to the Malta calendar

Add Chinese holidays for 2027

Pull requests