All pull requests

Pull requests

• Price caps and floors on negatively-geared coupons correctly

  #3055·csarushan1729 opened Nov 11, 2026Contributor·

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• Explicit Real return type for lambdas returning expressions

  #3053·auto-differentiation-dev opened Nov 11, 2026Contributor·

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• Restore shared pricer state in capped YoY coupons

  #3052·Kiril1Shevtsov opened Nov 11, 2026·

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

  #3051·sohailshk opened Nov 11, 2026Contributor·

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• Add All Saints' Day to the Croatia calendar

  #3050·sohailshk opened Nov 11, 2026Contributor·

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• Add missing public holidays to the Slovenia calendar

  #3049·sohailshk opened Nov 11, 2026Contributor·

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• Fix weekend days and add missing holidays to the Malta calendar

  #3048·sohailshk opened Nov 11, 2026Contributor·

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• Add Chinese holidays for 2027

  #3047·sohailshk opened Nov 11, 2026Contributor·

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• Handle Floch-Kennedy SABR parameter limits without cancellation

  #3045·jackiectl2 opened Nov 10, 2026Contributor·

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• Initialize and reset integrator diagnostic state

  #3044·Jackmeson1 opened Nov 10, 2026Contributor·

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• Handle missing roots in holder-extensible calls

  #3043·Jackmeson1 opened Nov 10, 2026Contributor·

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• Fix theta of the cliquet and performance engines on non-flat curves

  #3042·Jackmeson1 opened Nov 10, 2026Contributor·

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• Use currency codes as keys in ExchangeRateManager

  #3040·sohailshk opened Nov 10, 2026Contributor·

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• Add Hong Kong holidays for 2027 and fix some earlier years

  #3039·sohailshk opened Nov 10, 2026Contributor·

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• Don't move explicit stub dates to the end of the month

  #3031·sohailshk opened Nov 9, 2026Contributor·

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• Fix GMRES Krylov breakdown handling

  #3029·losterbr opened Nov 7, 2026Contributor·

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• Add rebates to the analytic double-barrier engine

  #3028·csarushan1729 opened Nov 7, 2026Contributor·

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• Support American and Bermudan knock-ins in FdBlackScholesBarrierEngine

  #3027·jsidhu06 opened Nov 6, 2026Contributor·

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• Discount the cash of knocked-in double barrier binary options

  #3026·csarushan1729 opened Nov 6, 2026Contributor·

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• Handle perfect correlation in StulzEngine

  #3025·csarushan1729 opened Nov 5, 2026Contributor·

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• Add fixed-leg compounding to OvernightIndexedSwap (#2863)

  #3024·ThiagoRodriguess opened Nov 5, 2026·

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• Add return type to EquityIndex (#2862)

  #3023·ThiagoRodriguess opened Nov 5, 2026·

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• Fix small-sigma divergence in COS, PTD and PDF Heston engines

  #3021·leafyoung opened Nov 5, 2026Contributor·

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• Fix removable 0/0 singularities in sabrFlochKennedyVolatility at beta=1, nu=0

  #3020·leafyoung opened Nov 5, 2026Contributor·

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• Reject the end-of-month convention with the zero date-generation rule

  #3017·1AbdullahButt opened Nov 4, 2026·

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