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Fix for TreeSwaptionEngine mispricing #1327

Merged
merged 24 commits into from
Mar 17, 2022
Merged

Fix for TreeSwaptionEngine mispricing #1327

merged 24 commits into from
Mar 17, 2022

Commits on Mar 15, 2022

  1. Refactored discretizedswap to enable distinction between pre- and pos… 

    …t-adjustment
    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  2. Added test case to implement against

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  3. TreeSwaptionEngine becomes templated GenericTreeSwaptionEngine

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  4. Added DiscretizedSwaption2

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  5. Added prepareSwaptionWithSnappedDates(...)

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  6. Fixed clang warnings

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  7. Added p*AdjustValuesImpl()

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  8. Working on DiscretizedSwaption2::reset(...)

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  9. Removed treeswaptionengine.cpp file from build systems

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  10. Avoid CLion warnings

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  11. Added copyright

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  12. Working on discretization

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  13. Fix for compatibility errors

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  14. Working on discretization

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  15. The snapping is working

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  16. Adjusted test case

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  17. Replace discretizedswaption by discretizedswaption2

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  18. Fixed cached values to pass test cases

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  19. Using DiscretizedAsset::CouponAdjustment

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  20. BOOST_REQUIRE prints 1,000,000 succesfull test message in CLion

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  21. Wordings adjusted

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  22. Fixed compiler incompatibilities

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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  23. Fixed compiler incompatibilities

    @ralfkonrad
    ralfkonrad committed Mar 15, 2022
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Commits on Mar 17, 2022

  1. Fix typo

    @lballabio
    lballabio committed Mar 17, 2022
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