All pull requests

Pull requests

• Speed up tree-lattice pricing of callable bonds

  #2962·igitur opened Oct 28, 2026Contributor·

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• Include the dividend yield in the replicating variance swap engine

  #2960·Jackmeson1 opened Oct 27, 2026Contributor·

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• Bound adaptive Gauss-Kronrod recursion and work

  #2958·Jackmeson1 opened Oct 27, 2026Contributor·

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• fixes for static analyzer issues

  #2957·pcaspers opened Oct 27, 2026Contributor·

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• Price Pearson spread puts when the conditional strike is not positive

  #2955·Jackmeson1 opened Oct 26, 2026Contributor·

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• Price Turnbull-Wakeman Asian options when every fixing is known

  #2954·Jackmeson1 opened Oct 26, 2026Contributor·

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• Support American and Bermudan knock-outs in FdBlackScholesBarrierEngine

  #2953·jsidhu06 opened Oct 25, 2026·

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• Kruger cubic: zero slope next to a flat segment, as Harmonic

  #2952·auto-differentiation-dev opened Oct 25, 2026Contributor·

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• add cache for path-independent quantities

  #2950·pcaspers opened Oct 24, 2026Contributor·

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• Fix issue EquityTotalReturnSwap periodic resets and excess-return indices issue #2862

  #2948·Emmankoko opened Oct 24, 2026·

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• Fix ActualActual ISMA with a long first and short last coupon

  #2946·jackiectl2 opened Oct 24, 2026·

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• Follow the Public Holidays Act in Botswana calendar

  #2945·raams95 opened Oct 23, 2026Contributor·

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• Fix NaN in trivariate normal integrand of perturbative barrier engine

  #2935·auto-differentiation-dev opened Oct 22, 2026Contributor·

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• Resolve four stale TODO/FIXME comments

  #2933·Nityahapani opened Oct 22, 2026Contributor·

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• Fix InterpolatedYoYOptionletVolatilityCurve::maxDate() to return exact date

  #2932·Nityahapani opened Oct 22, 2026Contributor·

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• OSS-Fuzz: Add new fuzzer targets matrix operation with corpora

  #2930·arthurscchan opened Oct 22, 2026Contributor·

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• OSS-Fuzz: Add new fuzzer targets calendar operations

  #2929·arthurscchan opened Oct 22, 2026Contributor·

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• Resolve two TODOs in BlackVolatilitySurfaceDelta

  #2928·Nityahapani opened Oct 21, 2026Contributor·

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• Implement R-style pretty breaks in Histogram

  #2923·Nityahapani opened Oct 20, 2026Contributor·

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• Implement two TODOs in RendistatoBasket/RendistatoCalculator

  #2922·Nityahapani opened Oct 20, 2026Contributor·

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• Replace local PHID/ND2 with QuantLib distribution classes

  #2921·Nityahapani opened Oct 20, 2026Contributor·

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• Add Teachers' Day, Retrocession Day and Constitution Day to Taiwan calendar

  #2920·raams95 opened Oct 20, 2026Contributor·

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• Price deep in-the-money calls on the Leisen-Reimer tree

  #2915·Divyansh151005 opened Oct 18, 2026Contributor·

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• Automated fixes by clang-tidy

  #2913·lballabio-bot opened Oct 18, 2026Contributor·

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• Improve Markov-functional calibration validation and diagnostics

  #2912·losterbr opened Oct 17, 2026Contributor·

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  9