quantlib.js

quantitative finance in javascript

1. introduction
2. get started
3. how to use
4. release note
5. api document
6. test suite & example
7. license
8. credit
9. resource
10. test report

introduction

quantlib.js aims to be a COMPLETE re-implementation of C++ QuantLib in javascript language, emscripten is NOT used. it can be used in web browser or node.js environment.

get started

Old home page and get started section moved to https://quantlib.js.org/test-suite/

We build a notebook app for easy use of quantlib.js, it's hosted on Github pages, after loading, it works offline.

https://quantlib.js.org/notebook/

usage

load from CDN

• latest version: https://cdn.jsdelivr.net/npm/@quantlib/ql@latest/ql.mjs or https://unpkg.com/@quantlib/ql@latest/ql.mjs
• version x.y.z : https://cdn.jsdelivr.net/npm/@quantlib/[email protected]/ql.mjs or https://unpkg.com/@quantlib/[email protected]/ql.mjs

install from npm

npm i @quantlib/ql

use in web page

ql.mjs is ESM format, when using in html script tag, make sure to have script type set to "module"

<script type="module">

import { Actual360, AnalyticEuropeanEngine, BlackConstantVol, BlackScholesProcess, DateExt, EuropeanExercise, EuropeanOption, FlatForward, Handle, Option, PlainVanillaPayoff, Settings, SimpleQuote, TARGET } from 'https://cdn.jsdelivr.net/npm/@quantlib/ql@latest/ql.mjs';

const today = DateExt.UTC('7,March,2014');
Settings.evaluationDate.set(today);

const payoff = new PlainVanillaPayoff(Option.Type.Call, 100.0);
const exercise = new EuropeanExercise(DateExt.UTC('7,June,2014'));
const option = new EuropeanOption(payoff, exercise);

const u = new SimpleQuote(100.0);
const r = new SimpleQuote(0.01);
const s = new SimpleQuote(0.2);

const riskFreeCurve = new FlatForward().ffInit3(0, new TARGET(), new Handle(r), new Actual360());
const volatility = new BlackConstantVol().bcvInit4(0, new TARGET(), new Handle(s), new Actual360());

const process = new BlackScholesProcess(new Handle(u), new Handle(riskFreeCurve), new Handle(volatility));

const engine = new AnalyticEuropeanEngine().init1(process);
option.setPricingEngine(engine);

const npv = option.NPV();
console.log(`NPV = ${npv}`);  // 4.155543462156206

</script>

UMD format javascript

ql.js is published as of 0.3.6

You may also use javascript dynamic import

<script>

import('https://cdn.jsdelivr.net/npm/@quantlib/ql@latest/ql.mjs').then(module=>{
  window.ql = module;
  test();
});

function test() {
  const today = ql.DateExt.UTC('7,March,2014');
  ql.Settings.evaluationDate.set(today);

  const payoff = new ql.PlainVanillaPayoff(ql.Option.Type.Call, 100.0);
  const exercise = new ql.EuropeanExercise(ql.DateExt.UTC('7,June,2014'));
  const option = new ql.EuropeanOption(payoff, exercise);

  const u = new ql.SimpleQuote(100.0);
  const r = new ql.SimpleQuote(0.01);
  const s = new ql.SimpleQuote(0.2);

  const riskFreeCurve = new ql.FlatForward().ffInit3(0, new ql.TARGET(), new ql.Handle(r), new ql.Actual360());
  const volatility = new ql.BlackConstantVol().bcvInit4(0, new ql.TARGET(), new ql.Handle(s), new ql.Actual360());

  const process = new ql.BlackScholesProcess(new ql.Handle(u), new ql.Handle(riskFreeCurve), new ql.Handle(volatility));

  const engine = new ql.AnalyticEuropeanEngine().init1(process);
  option.setPricingEngine(engine);

  const npv = option.NPV();
  console.log(`NPV = ${npv}`);  // 4.155543462156206
}

</script>

use in node.js

quantlib.js works in node.js environment. after installing with npm, pass --experimental-modules to node to use ESM javascript file

node --experimental-modules test.mjs

in test.mjs

import { Actual360, AnalyticEuropeanEngine, BlackConstantVol, BlackScholesProcess, DateExt, EuropeanExercise, EuropeanOption, FlatForward, Handle, Option, PlainVanillaPayoff, Settings, SimpleQuote, TARGET } from '@quantlib/ql';

const today = DateExt.UTC('7,March,2014');
Settings.evaluationDate.set(today);

const payoff = new PlainVanillaPayoff(Option.Type.Call, 100.0);
const exercise = new EuropeanExercise(DateExt.UTC('7,June,2014'));
const option = new EuropeanOption(payoff, exercise);

const u = new SimpleQuote(100.0);
const r = new SimpleQuote(0.01);
const s = new SimpleQuote(0.2);

const riskFreeCurve = new FlatForward().ffInit3(0, new TARGET(), new Handle(r), new Actual360());
const volatility = new BlackConstantVol().bcvInit4(0, new TARGET(), new Handle(s), new Actual360());

const process = new BlackScholesProcess(new Handle(u), new Handle(riskFreeCurve), new Handle(volatility));

const engine = new AnalyticEuropeanEngine().init1(process);
option.setPricingEngine(engine);

const npv = option.NPV();
console.log(`NPV = ${npv}`);  // 4.155543462156206

typescript

ql.d.ts is published along with ql.mjs

write code in typescript, then compile with tsc or run with ts-node

in test.ts

import {Actual360, AnalyticEuropeanEngine, BlackConstantVol, BlackScholesProcess, BlackVolTermStructure, DateExt, EuropeanExercise, EuropeanOption, Exercise, FlatForward, GeneralizedBlackScholesProcess, Handle, Option, PlainVanillaPayoff, PricingEngine, Quote, Real, Settings, SimpleQuote, StrikedTypePayoff, TARGET, YieldTermStructure} from '@quantlib/ql';

const today: Date = DateExt.UTC('7,March,2014');
Settings.evaluationDate.set(today);

const payoff: StrikedTypePayoff =
    new PlainVanillaPayoff(Option.Type.Call, 100.0);
const exercise: Exercise = new EuropeanExercise(DateExt.UTC('7,June,2014'));
const option: EuropeanOption = new EuropeanOption(payoff, exercise);

const u: Quote = new SimpleQuote(100.0);
const r: Quote = new SimpleQuote(0.01);
const s: Quote = new SimpleQuote(0.2);

const riskFreeCurve: YieldTermStructure =
    new FlatForward().ffInit3(0, new TARGET(), new Handle(r), new Actual360());
const volatility: BlackVolTermStructure = new BlackConstantVol().bcvInit4(
    0, new TARGET(), new Handle(s), new Actual360());

const process: GeneralizedBlackScholesProcess = new BlackScholesProcess(
    new Handle(u), new Handle(riskFreeCurve), new Handle(volatility));

const engine: PricingEngine = new AnalyticEuropeanEngine().init1(process);
option.setPricingEngine(engine);

const npv: Real = option.NPV();
console.log(`NPV = ${npv}`); // 4.155543462156206

release note

| version | notes | | ------- | ----- | | 0.3.6 | releaed UMD version: ql.js, minor fix to cashflowvector | | 0.3.5 | minor fix for notebook | | 0.3.4 | no fix, renamed many symbol names for notebook app | | 0.3.3 | fixed most asianoption specs | | 0.3.2 | fixed swaption, most of short-rate models specs and some other pricing specs, and part of bermudanswaption example | | 0.3.1 | examples code cleanup, fixed 4 examples, global optimizers example DE tests passed | | 0.3.0 | fixed 40+ pricing specs, started working on model tests | | 0.2.7 | fixed default probability curves specs | | 0.2.6 | fixed most european option test, tree engine cleanup | | 0.2.5 | fixed piecewise zero spreaded term structure, brownian bridge, 4 american options specs, FD engine cleanup | | 0.2.4 | fixed risk statistics, brownian bridge some piecewise yield curve specs | | 0.2.3 | fixed termstructure spec, experimental Gaussian quadratures specs | | 0.2.2 | termstructure constructor cleanup, fixed a few simple ts specs | | 0.2.1 | add halley, halleysafe, inverseIncompleteGammaFunction from QuantLib-noBoost, fixed blackdeltacalculator | | 0.2.0 | started working on instrument pricing specs, fixed some old test that passed before | | 0.1.x | most math specs passed | | 0.0.x | date&time, patterns, currency, misc specs passed |

docs

• https://quantlib.js.org/docs
• official c++ quantlib doc: https://www.quantlib.org/reference/

test-suite & example

source code in ESM javascript:

• https://github.com/quantlibjs/test-suite
• https://github.com/quantlibjs/examples

converted from the c++ quantlib test-suite & Examples

these are the code loaded and executed in https://quantlib.js.org/test-suite/

license

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credit

• C++ QuantLib project: https://quantlib.org
• C++ QuantLib-noboost: https://github.com/haozhangphd/QuantLib-noBoost
• mathjs: https://mathjs.org
• phosphor: https://github.com/phosphorjs/phosphor
• js.org: https://github.com/js-org/js.org

resource

• Google group: https://groups.google.com/d/forum/quantlibjs/
• Follow us on Twitter: @quantlibjs
• Facebook page: https://www.facebook.com/quantlibjs/
• blog: https://quantlib.js.org/blog/
• notebook: https://observablehq.com/@quantlib

test report

v0.3.3 specs + examples status report total: 735, passed: 452, failed: 176, pending: 107

LazyObject tests

• [x] Testing that lazy objects discard notifications after the first...
• [x] Testing that lazy objects forward all notifications when told...

Observer tests

• [x] Testing observable settings...

Black delta calculator tests

• [x] Testing delta calculator values...
• [x] Testing premium-adjusted delta price consistency...
• [x] Testing put-call parity for deltas...
• [x] Testing delta-neutral ATM quotations...

Exchange-rate tests

• [x] Testing direct exchange rates...
• [x] Testing derived exchange rates...
• [x] Testing lookup of direct exchange rates...
• [x] Testing lookup of triangulated exchange rates...
• [x] Testing lookup of derived exchange rates...

Money tests

• [x] Testing money arithmetic without conversions...
• [ ] Testing money arithmetic with conversion to base currency...
• [ ] Testing money arithmetic with automated conversion...

Rounding tests

• [x] Testing closest decimal rounding...
• [x] Testing upward decimal rounding...
• [x] Testing downward decimal rounding...
• [x] Testing floor decimal rounding...
• [x] Testing ceiling decimal rounding...

Business day convention tests

• [x] Testing business day conventions...

Calendar tests

• [x] Testing calendar modification...
• [x] Testing joint calendars...
• [x] Testing US settlement holiday list...
• [x] Testing US government bond market holiday list...
• [x] Testing New York Stock Exchange holiday list...
• [x] Testing TARGET holiday list...
• [x] Testing Frankfurt Stock Exchange holiday list...
• [x] Testing Eurex holiday list...
• [x] Testing Xetra holiday list...
• [x] Testing UK settlement holiday list...
• [x] Testing London Stock Exchange holiday list...
• [x] Testing London Metals Exchange holiday list...
• [x] Testing Milan Stock Exchange holiday list...
• [x] Testing Russia holiday list...
• [x] Testing Brazil holiday list...
• [x] Testing South-Korean settlement holiday list...
• [x] Testing Korea Stock Exchange holiday list...
• [x] Testing China Shanghai Stock Exchange holiday list...
• [x] Testing China Inter Bank working weekends list...
• [x] Testing end-of-month calculation...
• [x] Testing calculation of business days between dates...
• [x] Testing bespoke calendars...

Date tests

• [x] Testing ECB dates...
• [x] Testing IMM dates...
• [x] Testing ASX dates...
• [x] Testing dates...
• [x] Testing ISO dates...
• [x] Testing parsing of dates...
• [x] Testing intraday information of dates...

Day counter tests

• [x] Testing actual/actual day counters...
• [x] Testing actual/actual day counter with schedule...
• [x] Testing simple day counter...
• [x] Testing 1/1 day counter...
• [x] Testing business/252 day counter...
• [x] Testing thirty/360 day counter (Bond Basis)...
• [x] Testing thirty/360 day counter (Eurobond Basis)...
• [x] Testing intraday behavior of day counter ...

Period tests

• [x] Testing period algebra on years/months...
• [x] Testing period algebra on weeks/days...
• [x] Testing period parsing...

Schedule tests

• [x] Testing schedule with daily frequency...
• [x] Testing end date for schedule with end-of-month adjustment...
• [x] Testing that no dates are past the end date with EOM adjustment...
• [x] Testing that next-to-last date same as end date is removed...
• [x] Testing that the last date is not adjusted for EOM when termination date convention is unadjusted...
• [x] Testing that the first date is not duplicated due to EOM convention when going backwards...
• [x] Testing CDS2015 semi-annual rolling convention...
• [x] Testing the constructor taking a vector of dates and possibly additional meta information...
• [x] Testing that a four-weeks tenor works...

Timegrid tests

• [x] Testing TimeGrid constructor with additional steps...
• [x] Testing TimeGrid constructor with only mandatory points...
• [x] Testing TimeGrid construction with n evenly spaced points...
• [x] Testing if the constructor raises an error for empty iterators...
• [x] Testing if the constructor raises an error for negative time values...
• [x] Testing returned index is closest to the requested time...
• [x] Testing returned time matches to the requested index...
• [x] Testing mandatory times are recalled correctly...

Time series tests

• [x] Testing time series construction...
• [x] Testing time series interval price...
• [ ] Testing time series iterators...

Gaussian quadraturesGaussian quadratures tests

• [x] Testing Gauss-Jacobi integration...
• [x] Testing Gauss-Laguerre integration...
• [x] Testing Gauss-Hermite integration...
• [x] Testing Gauss hyperbolic integration...
• [x] Testing tabulated Gauss-Laguerre integration...

Gaussian quadratures experimental tests

• [x] Testing Gauss non-central chi-squared integration...
• [x] Testing Gauss non-central chi-squared sum of notes...

Integration tests

• [x] Testing segment integration...
• [x] Testing trapezoid integration...
• [x] Testing mid-point trapezoid integration...
• [x] Testing Simpson integration...
• [x] Testing adaptive Gauss-Kronrod integration...
• [x] Testing adaptive Gauss-Lobatto integration...
• [x] Testing non-adaptive Gauss-Kronrod integration...
• [x] Testing two dimensional adaptive Gauss-Lobatto integration...
• [x] Testing Folin's integral formulae...
• [x] Testing discrete integral formulae...
• [x] Testing discrete integrator formulae...
• [x] Testing piecewise integral...

Numerical differentiation tests

• [x] Testing numerical differentiation using the central scheme...
• [x] Testing numerical differentiation using the backward scheme...
• [x] Testing numerical differentiation using the Forward scheme...
• [x] Testing numerical differentiation of first order using an irregular scheme...
• [x] Testing numerical differentiation of second order using an irregular scheme...
• [x] Testing numerical differentiation of sin function...
• [x] Testing coefficients from numerical differentiation by comparison with results from Vandermonde matrix inversion...

ODE tests

• [x] Testing adaptive Runge Kutta...
• [x] Testing matrix exponential based on ode...
• [x] Testing matrix exponential of a zero matrix based on ode...

1-D solver tests

• [x] Testing Brent solver...
• [x] Testing bisection solver...
• [x] Testing false-position solver...
• [x] Testing Newton solver...
• [x] Testing Newton-safe solver...
• [x] Testing Halley solver...
• [x] Testing Halley-safe solver...
• [x] Testing finite-difference Newton-safe solver...
• [x] Testing Ridder solver...
• [x] Testing secant solver...

Array tests

• [x] Testing array construction...
• [x] Testing array functions...

Covariance and correlation tests

• [x] Testing matrix rank reduction salvaging algorithms...
• [x] Testing positive semi-definiteness salvaging algorithms...
• [x] Testing covariance and correlation calculations...

Matrix tests

• [x] Testing eigenvalues and eigenvectors calculation...
• [x] Testing matricial square root...
• [x] Testing Higham matricial square root...
• [x] Testing singular value decomposition...
• [x] Testing QR decomposition...
• [x] Testing QR solve...
• [x] Testing LU inverse calculation...
• [x] Testing LU determinant calculation...
• [x] Testing orthogonal projections...
• [x] Testing Cholesky Decomposition...
• [x] Testing Moore-Penrose inverse...
• [x] Testing iterative solvers...

TQR eigen decomposition tests

• [x] Testing TQR eigenvalue decomposition...
• [x] Testing TQR zero-off-diagonal eigenvalues...
• [x] Testing TQR eigenvector decomposition...

Auto-covariance tests

• [x] Testing convolutions...
• [x] Testing auto-covariances...
• [x] Testing auto-correlations...

Distribution tests

• [x] Testing normal distributions...
• [x] Testing bivariate cumulative normal distribution...
• [x] Testing Poisson distribution...
• [x] Testing cumulative Poisson distribution...
• [x] Testing inverse cumulative Poisson distribution...
• [x] Testing bivariate cumulative Student t distribution...
• [x] Testing bivariate cumulative Student t distribution for large N...
• [x] Testing inverse CDF based on stochastic collocation...

Linear least squares regression tests

• [x] Testing linear least-squares regression...
• [x] Testing multi-dimensional linear least-squares regression...
• [x] Testing 1D simple linear least-squares regression...

Optimizers tests

• [x] Testing optimizers...
• [x] Testing nested optimizations...
• [x] Testing differential evolution...

Risk statistics tests

• [x] Testing risk measures...

Statistics tests

• [x] Testing statistics...
• [x] Testing sequence statistics...
• [x] Testing convergence statistics...
• [x] Testing incremental statistics...

Low-discrepancy sequence tests

• [x] Testing random-seed generator...
• [x] Testing 21200 primitive polynomials modulo two...
• [x] Testing randomized low-discrepancy sequences up to dimension 21200...
• [x] Testing randomized lattice sequences...
• [x] Testing Sobol sequences up to dimension 21200...
• [x] Testing Faure sequences...
• [x] Testing Halton sequences...
• [x] Testing Mersenne-twister discrepancy...
• [x] Testing plain Halton discrepancy...
• [x] Testing random-start Halton discrepancy...
• [x] Testing random-shift Halton discrepancy...
• [x] Testing random-start, random-shift Halton discrepancy...
• [x] Testing Jaeckel-Sobol discrepancy...
• [x] Testing Levitan-Sobol discrepancy...
• [x] Testing Levitan-Lemieux-Sobol discrepancy...
• [x] Testing unit Sobol discrepancy...
• [x] Testing Sobol sequence skipping...

RNG traits tests

• [x] Testing Gaussian pseudo-random number generation...
• [x] Testing Poisson pseudo-random number generation...
• [x] Testing custom Poisson pseudo-random number generation...

Mersenne twister tests

• [x] Testing Mersenne twister...

Fast fourier transform tests

• [x] Testing complex direct FFT...
• [x] Testing convolution via inverse FFT...

Factorial tests

• [x] Testing factorial numbers...
• [x] Testing Gamma function...
• [x] Testing Gamma values...
• [x] Testing modified Bessel function of first and second kind...
• [x] Testing weighted modified Bessel functions...

Interpolation tests

• [x] Testing spline approximation on Gaussian data sets...
• [x] Testing spline interpolation on a Gaussian data set...
• [x] Testing spline interpolation on RPN15A data set...
• [x] Testing spline interpolation on generic values...
• [x] Testing symmetry of spline interpolation end-conditions ...
• [x] Testing derivative end-conditions for spline interpolation ...
• [x] Testing non-restrictive Hyman filter...
• [ ] Testing N-dimensional cubic spline...
• [x] Testing use of interpolations as functors...
• [x] Testing Fritsch-Butland interpolation...
• [x] Testing backward-flat interpolation...
• [x] Testing forward-flat interpolation...
• [x] Testing Sabr interpolation...
• [x] Testing kernel 1D interpolation...
• [x] Testing kernel 2D interpolation...
• [x] Testing bicubic spline derivatives...
• [x] Testing that bicubic splines actually update...
• [x] Testing Richardson extrapolation...
• [ ] Testing no-arbitrage Sabr interpolation...
• [ ] Testing Sabr calibration single cases...
• [x] Testing Sabr and no-arbitrage Sabr transformation functions...
• [x] Testing Lagrange interpolation...
• [x] Testing Lagrange interpolation at supporting points...
• [x] Testing Lagrange interpolation derivatives...
• [x] Testing Lagrange interpolation on Chebyshev points...
• [x] Testing B-Splines...
• [x] Testing piecewise constant interpolation on a single point...

Sampled curve tests

• [x] Testing sampled curve construction...

Transformed grid

• [x] Testing transformed grid construction...

Cash flows tests

• [x] Testing cash-flow settings...
• [x] Testing dynamic cast of coupon in Black pricer...
• [x] Testing default evaluation date in cashflows methods...
• [x] Testing ibor leg construction with null fixing days...
• [x] Testing irregular first coupon reference dates with end of month enabled...
• [x] Testing irregular last coupon reference dates with end of month enabled...
• [x] Testing leg construction with partial schedule...

Capped and floored coupon tests

• [x] Testing degenerate collared coupon...
• [x] Testing collared coupon against its decomposition...

Digital coupon tests

• [x] Testing European asset-or-nothing digital coupon...
• [ ] Testing European deep in-the-money asset-or-nothing digital coupon...
• [ ] Testing European deep out-the-money asset-or-nothing digital coupon...
• [ ] Testing European cash-or-nothing digital coupon...
• [ ] Testing European deep in-the-money cash-or-nothing digital coupon...
• [ ] Testing European deep out-the-money cash-or-nothing digital coupon...
• [ ] Testing call/put parity for European digital coupon...
• [ ] Testing replication type for European digital coupon...

YoY inflation capped and floored coupon tests

• [ ] Testing collared coupon against its decomposition...
• [ ] Testing inflation capped/floored coupon against inflation capfloor instrument...

Interest Rate tests

• [x] Testing interest-rate conversions...

Range Accrual tests

• [x] Testing infinite range accrual floaters...
• [x] Testing price monotonicity with respect to the lower strike...
• [x] Testing price monotonicity with respect to the upper strike...

Hybrid Heston-HullWhite tests

• [ ] Testing European option pricing for a BSM process with one-factor Hull-White model...
• [ ] Comparing European option pricing for a BSM process with one-factor Hull-White model...
• [ ] Testing Monte-Carlo zero bond pricing...
• [ ] Testing Monte-Carlo vanilla option pricing...
• [ ] Testing Monte-Carlo Heston option pricing...
• [ ] Testing analytic Heston Hull-White option pricing...

Brownian bridge tests

• [x] Testing Brownian-bridge variates...
• [x] Testing Brownian-bridge path generation...

Path generation tests

• [x] Testing 1-D path generation against cached values...
• [x] Testing n-D path generation against cached values...

Longstaff Schwartz MC engine tests

• [ ] Testing Monte-Carlo pricing of American options...
• [ ] Testing Monte-Carlo pricing of American max options...

Curve States tests

• [x] Testing constant-maturity-swap-market-model curve state...

Finite Difference Heston tests

• [ ] Testing FDM Heston variance mesher ...
• [ ] Testing FDM Heston variance mesher ...
• [ ] Testing FDM with barrier option for Heston model vs Black-Scholes model...
• [ ] Testing FDM with American option in Heston model...
• [ ] Testing FDM Heston for Ikonen and Toivanen tests...
• [ ] Testing FDM Heston with Black Scholes model...
• [ ] Testing FDM with European option with dividends in Heston model...
• [ ] Testing FDM Heston convergence...
• [ ] Testing FDM Heston intraday pricing ...
• [ ] Testing method of lines to solve Heston PDEs...
• [ ] Testing for spurious oscillations when solving the Heston PDEs...

Linear operator tests

• [x] Testing indexing of a linear operator...
• [x] Testing uniform grid mesher...
• [ ] Testing application of first-derivatives map...
• [ ] Testing application of second-derivatives map...
• [ ] Testing finite differences coefficients...
• [x] Testing application of second-order mixed-derivatives map...
• [ ] Testing triple-band map solution...
• [ ] Testing FDM with barrier option in Heston model...
• [ ] Testing FDM with American option in Heston model...
• [ ] Testing FDM with express certificate in Heston model...
• [ ] Testing FDM with Heston Hull-White model...
• [ ] Testing bi-conjugated gradient stabilized algorithm...
• [ ] Testing GMRES algorithm...
• [ ] Testing Crank-Nicolson with initial implicit damping steps for a digital option...
• [ ] Testing SparseMatrixReference type...
• [ ] Testing assignment to zero in sparse matrix...
• [ ] Testing integrals over meshers functions...
• [x] Testing Black-Scholes mesher in a high interest rate scenario...
• [x] Testing Black-Scholes mesher in a low volatility and high discrete dividend scenario...

Operator tests

• [x] Testing tridiagonal operator...
• [x] Testing differential operators...
• [x] Testing consistency of BSM operators...

European option extended trees tests

• [x] Testing time-dependent JR binomial European engines against analytic results...
• [x] Testing time-dependent CRR binomial European engines against analytic results...
• [x] Testing time-dependent EQP binomial European engines against analytic results...
• [x] Testing time-dependent TGEO binomial European engines against analytic results...
• [x] Testing time-dependent TIAN binomial European engines against analytic results...
• [ ] Testing time-dependent LR binomial European engines against analytic results...
• [ ] Testing time-dependent Joshi binomial European engines against analytic results...

Black formula tests

• [x] Testing Bachelier implied vol...
• [x] Testing Chambers-Nawalkha implied vol approximation...
• [x] Testing Radoicic-Stefanica implied vol approximation...
• [x] Testing Radoicic-Stefanica lower bound...
• [x] Testing implied volatility calculation via adaptive successive over-relaxation...

Amortizing Bond tests

• [x] Testing amortizing fixed rate bond...

Bond tests

• [x] Testing consistency of bond price/yield calculation...
• [x] Testing consistency of bond price/ATM rate calculation...
• [x] Testing consistency of bond price/z-spread calculation...
• [x] Testing theoretical bond price/yield calculation...
• [x] Testing bond price/yield calculation against cached values...
• [x] Testing zero-coupon bond prices against cached values...
• [x] Testing fixed-coupon bond prices against cached values...
• [x] Testing floating-rate bond prices against cached values...
• [x] Testing Brazilian public bond prices against Andima cached values...
• [x] Testing ex-coupon UK Gilt price against market values...
• [x] Testing ex-coupon Australian bond price against market values...
• [x] Testing South African R2048 bond price using Schedule constructor with Date vector...
• [x] Testing Thirty/360 bond with settlement on 31st of the month...

CatBond tests

• [X] Testing that catastrophe events are split correctly for periods of whole years...
• [ ] Testing that catastrophe events are split correctly for irregular periods...
• [ ] Testing that catastrophe events are split correctly when there are no simulated events...
• [ ] Testing that beta risk gives correct terminal distribution...
• [ ] Testing floating-rate cat bond against risk-free floating-rate bond...
• [ ] Testing floating-rate cat bond in a doom scenario (certain default)...
• [ ] Testing floating-rate cat bond in a doom once in 10 years scenario...
• [ ] Testing floating-rate cat bond in a doom once in 10 years scenario with proportional notional reduction...
• [ ] Testing floating-rate cat bond in a generated scenario with proportional notional reduction...

Convertible bond tests

• [ ] Testing out-of-the-money convertible bonds against vanilla bonds...
• [ ] Testing zero-coupon convertible bonds against vanilla option...
• [x] Testing fixed-coupon convertible bond in known regression case...

Cap and floor tests

• [x] Testing cap/floor vega...
• [x] Testing cap/floor dependency on strike...
• [x] Testing consistency between cap, floor and collar...
• [x] Testing cap/floor parity...
• [x] Testing cap/floor ATM rate...
• [x] Testing implied term volatility for cap and floor...
• [x] Testing Black cap/floor price against cached values...

Inflation (year-on-year) Cap and floor tests

• [ ] Testing consistency between yoy inflation cap, floor and collar...
• [ ] Testing yoy inflation cap/floor parity...
• [ ] Testing Black yoy inflation cap/floor price against cached values...

CPI swaption tests

• [ ] Testing cpi capfloor price surface...
• [ ] Testing cpi capfloor pricer...

Forward rate agreement

• [x] Testing forward rate agreement construction...

Instrument tests

• [x] Testing observability of instruments...
• [x] Testing reaction of composite instrument to date changes...

American option tests

• [x] Testing Barone-Adesi and Whaley approximation for American options...
• [x] Testing Bjerksund and Stensland approximation for American options...
• [x] Testing Ju approximation for American options...
• [ ] Testing finite-difference engine for American options...
• [x] Testing finite-differences American option greeks...
• [x] Testing finite-differences shout option greeks...

Asian option tests

• [x] Testing analytic continuous geometric average-price Asians...
• [x] Testing analytic continuous geometric average-price Asian greeks...
• [x] Testing analytic discrete geometric average-price Asians...
• [x] Testing analytic discrete geometric average-strike Asians...
• [x] Testing Monte Carlo discrete geometric average-price Asians...
• [ ] Testing Monte Carlo discrete arithmetic average-price Asians...
• [x] Testing Monte Carlo discrete arithmetic average-strike Asians...
• [x] Testing discrete-averaging geometric Asian greeks...
• [x] Testing use of past fixings in Asian options...
• [x] Testing Asian options with all fixing dates in the past...

Asian option experimental tests

• [x] Testing Levy engine for Asians options...
• [ ] Testing Vecer engine for Asian options...

Barrier option tests

• [ ] Testing that knock-in plus knock-out barrier options replicate a European option...
• [ ] Testing barrier options against Haug's values...
• [ ] Testing barrier options against Babsiri's values...
• [ ] Testing barrier options against Beaglehole's values...
• [ ] Testing local volatility and Heston FD engines for barrier options...
• [ ] Testing barrier option pricing with discrete dividends...

Barrier option experimental tests

• [x] Testing perturbative engine for barrier options...
• [ ] Testing barrier FX options against Vanna/Volga values...

Basket option tests

• [ ] Testing two-asset European basket options...
• [ ] Testing three-asset basket options against Barraquand's values...
• [ ] Testing three-asset American basket options against Tavella's values...
• [ ] Testing basket American options against 1-D case...
• [ ] Testing antithetic engine using odd sample number...
• [ ] Testing 2D local-volatility spread-option pricing...
• [ ] Testing Greeks of two-dimensional PDE engine...

Cliquet option tests

• [x] Testing Cliquet option values...
• [ ] Testing Cliquet option greeks...
• [ ] Testing performance option greeks...
• [ ] Testing Monte Carlo performance engine against analytic results...

Dividend European option tests

• [x] Testing dividend European option values with no dividends...
• [ ] Testing dividend European option values with known value...
• [x] Testing dividend European option with a dividend on today's date...
• [ ] Testing dividend European option values with end limits...
• [x] Testing dividend European option greeks...
• [ ] Testing finite-difference dividend European option values...
• [ ] Testing finite-differences dividend European option greeks...
• [ ] Testing finite-differences dividend American option greeks...
• [ ] Testing degenerate finite-differences dividend European option...
• [ ] Testing degenerate finite-differences dividend American option...

European option tests

• [x] Testing European option values...
• [x] Testing European option greek values...
• [x] Testing analytic European option greeks...
• [x] Testing European option implied volatility...
• [x] Testing self-containment of implied volatility calculation...
• [x] Testing JR binomial European engines against analytic results...
• [x] Testing CRR binomial European engines against analytic results...
• [x] Testing EQP binomial European engines against analytic results...
• [x] Testing TGEO binomial European engines against analytic results...
• [x] Testing TIAN binomial European engines against analytic results...
• [x] Testing LR binomial European engines against analytic results...
• [x] Testing Joshi binomial European engines against analytic results...
• [x] Testing finite-difference European engines against analytic results...
• [x] Testing integral European engines against analytic results...
• [x] Testing Monte Carlo European engines against analytic results...
• [x] Testing Quasi Monte Carlo European engines against analytic results...
• [x] Testing European price curves...
• [ ] Testing finite-differences with local volatility...
• [x] Testing separate discount curve for analytic European engine...
• [ ] Testing different PDE schemes to solve Black-Scholes PDEs...
• [x] Testing finite-difference European engine with non-constant parameters...

European option experimental tests

• [ ] Testing FFT European engines against analytic results...

Forward option tests

• [X] Testing forward option values...
• [X] Testing forward performance option values...
• [ ] Testing forward option greeks...
• [ ] Testing forward performance option greeks...
• [ ] Testing forward option greeks initialization...

Quanto option tests

• [X] Testing quanto option values...
• [X] Testing quanto option greeks...
• [X] Testing quanto-forward option values...
• [X] Testing quanto-forward option greeks...
• [X] Testing quanto-forward-performance option values...

Experimental quanto option tests

• [X] Testing quanto-double-barrier option values...

Quote tests

• [x] Testing observability of quotes...
• [x] Testing observability of quote handles...
• [x] Testing derived quotes...
• [x] Testing composite quotes...
• [x] Testing forward-value and implied-standard-deviation quotes...

AssetSwap tests

• [x] Testing consistency between fair price and fair spread...
• [ ] Testing implied bond value against asset-swap fair price with null spread...
• [ ] Testing relationship between market asset swap and par asset swap...
• [ ] Testing clean and dirty price with null Z-spread against theoretical prices...
• [ ] Testing implied generic-bond value against asset-swap fair price with null spread...
• [ ] Testing market asset swap against par asset swap with generic bond...
• [ ] Testing clean and dirty price with null Z-spread against theoretical prices...
• [ ] Testing clean and dirty prices for specialized bond against equivalent generic bond...
• [ ] Testing asset-swap prices and spreads for specialized bond against equivalent generic bond...

Cms tests

• [ ] Testing Hagan-pricer flat-vol equivalence for coupons...
• [ ] Testing Hagan-pricer flat-vol equivalence for swaps...
• [ ] Testing put-call parity for capped-floored CMS coupons...

Cms spread tests

• [ ] Testing fixings of cms spread indices...
• [ ] Testing pricing of cms spread coupons...

Overnight-indexed swap tests

• [X] Testing Eonia-swap calculation of fair fixed rate...
• [X] Testing Eonia-swap calculation of fair floating spread...
• [X] Testing Eonia-swap calculation against cached value...
• [X] Testing Eonia-swap curve building...
• [X] Testing Eonia-swap curve building with telescopic value dates...
• [X] Testing seasoned Eonia-swap calculation...

Swap tests

• [x] Testing vanilla-swap calculation of fair fixed rate...
• [x] Testing vanilla-swap calculation of fair floating spread...
• [x] Testing vanilla-swap dependency on fixed rate...
• [x] Testing vanilla-swap dependency on floating spread...
• [x] Testing in-arrears swap calculation...
• [x] Testing vanilla-swap calculation against cached value...

swap-forward mappings tests

• [x] Testing forward-rate coinitial-swap Jacobian...
• [ ] Testing forward-rate coterminal-swap mappings...
• [ ] Testing implied swaption vol in LMM using HW approximation...

Bermudan swaption tests

• [ ] Testing Bermudan swaption with HW model against cached values...
• [ ] Testing Bermudan swaption with G2 model against cached values...

Swaption tests

• [X] Testing swaption dependency on strike...
• [X] Testing swaption dependency on spread...
• [X] Testing swaption treatment of spread...
• [X] Testing swaption value against cached value...
• [X] Testing swaption vega...
• [X] Testing cash settled swaptions modified annuity...
• [X] Testing implied volatility for swaptions...

Swaption Volatility Cube tests

• [ ] Testing swaption volatility cube (atm vols)...
• [ ] Testing swaption volatility cube (smile)...
• [ ] Testing swaption volatility cube (sabr interpolation)...
• [ ] Testing spreaded swaption volatility cube...
• [ ] Testing volatility cube observability...

Swaption Volatility Matrix tests

• [x] Testing swaption volatility matrix observability...
• [ ] Testing swaption volatility matrix...

Bates model tests

• [ ] Testing analytic Bates engine against Black formula...
• [ ] Testing analytic Bates engine against Merton-76 engine...
• [ ] Testing analytic Bates engine against Monte-Carlo engine...
• [ ] Testing Bates model calibration using DAX volatility data...

GARCH model tests

• [ ] Testing GARCH model calibration...
• [ ] Testing GARCH model calculation...

GJR-GARCH model tests

• [ ] Testing Monte Carlo GJR-GARCH engine against analytic GJR-GARCH engine...
• [ ] Testing GJR-GARCH model calibration using DAX volatility data...

GSR model tests

• [ ] Testing GSR process...
• [ ] Testing GSR model...

Heston model tests

• [x] Testing Heston model calibration using a flat volatility surface...
• [ ] Testing Heston model calibration using DAX volatility data...
• [ ] Testing analytic Heston engine against Black formula...
• [x] Testing analytic Heston engine against cached values...
• [ ] Testing Monte Carlo Heston engine against cached values...
• [ ] Testing FD barrier Heston engine against cached values...
• [ ] Testing FD vanilla Heston engine against cached values...
• [ ] Testing MC and FD Heston engines for the Kahl-Jaeckel example...
• [x] Testing different numerical Heston integration algorithms...
• [ ] Testing multiple-strikes FD Heston engine...
• [ ] Testing analytic piecewise time dependent Heston prices...
• [ ] Testing time-dependent Heston model calibration...
• [ ] Testing Alan Lewis reference prices...
• [ ] Testing expansion on Alan Lewis reference prices...
• [x] Testing expansion on Forde reference prices...
• [ ] Testing semi-analytic Heston pricing with all integration methods...
• [ ] Testing Heston COS cumulants...
• [ ] Testing Heston pricing via COS method...
• [ ] Testing Heston characteristic function...
• [ ] Testing Andersen-Piterbarg method to price under the Heston model...
• [ ] Testing Andersen-Piterbarg Integrand with control variate...
• [ ] Testing Andersen-Piterbarg pricing convergence...
• [ ] Testing piecewise time dependent ChF vs Heston ChF...
• [ ] Testing piecewise time dependent comparison...
• [ ] Testing piecewise time dependent ChF Asymtotic...

Heston model experimental tests

• [ ] Testing analytic PDF Heston engine...

Heston Stochastic Local Volatility tests

• [ ] Testing Fokker-Planck forward equation for BS process...
• [ ] Testing zero-flow BC for the square root process...
• [ ] Testing zero-flow BC for transformed Fokker-Planck forward equation...
• [ ] Testing Fokker-Planck forward equation for the square root process with stationary density...
• [ ] Testing Fokker-Planck forward equation for the square root log process with stationary density...
• [ ] Testing Fokker-Planck forward equation for the square root process with Dirac start...
• [ ] Testing Fokker-Planck forward equation for the Heston process...
• [ ] Testing Fokker-Planck forward equation for the Heston process Log Transformation with leverage LV limiting case...
• [ ] Testing Fokker-Planck forward equation for BS Local Vol process...
• [ ] Testing local volatility vs SLV model...
• [ ] Testing calibration via vanilla options...
• [ ] Testing Barrier pricing with mixed models...
• [ ] Testing Monte-Carlo vs FDM Pricing for Heston SLV models...
• [ ] Testing Monte-Carlo Calibration...
• [ ] Testing the implied volatility skew of forward starting options in SLV model...
• [ ] Testing double no touch pricing with SLV and mixing...

Jump-diffusion tests

• [x] Testing Merton 76 jump-diffusion model for European options...

Markov functional model tests

• [x] Testing Markov functional state process...
• [x] Testing Kahale smile section...
• [ ] Testing Markov functional calibration to one instrument set...
• [ ] Testing Markov functional vanilla engines...
• [ ] Testing Markov functional calibration to two instrument sets...
• [ ] Testing Markov functional Bermudan swaption engine...

Normal CLV Model tests

• [X] Testing Black-Scholes cumulative distribution function with constant volatility...
• [ ] Testing Heston cumulative distribution function...
• [ ] Testing illustrative 1D example of normal CLV model...
• [X] Testing Monte Carlo BS option pricing...
• [ ] Testing double no-touch pricing with normal CLV model...

Short-rate model tests

• [X] Testing Hull-White calibration against cached values using swaptions with start delay...
• [X] Testing Hull-White calibration with fixed reversion against cached values...
• [X] Testing Hull-White calibration against cached values using swaptions without start delay...
• [ ] Testing Hull-White swap pricing against known values...
• [X] Testing Hull-White futures convexity bias...
• [X] Testing zero bond pricing for extended CIR model ...

SquareRootCLVModel tests

• [ ] Testing vanilla option pricing with square root kernel process...
• [ ] Testing mapping function of the square root kernel process...
• [ ] Testing forward skew dynamics with square root kernel process...

Market-model tests

• [ ] Testing exact repricing of one-step forwards and optionlets in a lognormal forward rate market model...
• [ ] Testing exact repricing of one-step forwards and optionlets in a normal forward rate market model...
• [ ] Testing exact repricing of inverse floater in forward rate market model...

CMS Market-model tests

• [ ] Testing exact repricing of multi-step constant maturity swaps and swaptions in a lognormal constant maturity swap market model...

SMM Market-model tests

• [ ] Testing exact repricing of multi-step coterminal swaps and swaptions in a lognormal coterminal swap rate market model...

SMM Caplet alpha calibration test

• [ ] Testing alpha caplet calibration in a lognormal coterminal swap market model...

SMM Caplet calibration test

• [ ] Testing GHLS caplet calibration in a lognormal coterminal swap market model...

SMM Caplet homogeneous calibration test

• [ ] Testing max homogeneity caplet calibration in a lognormal coterminal swap market model...
• [ ] Testing max homogeneity periodic caplet calibration in a lognormal coterminal swap market model...
• [ ] Testing sphere-cylinder optimization...

volatility models tests

• [X] Testing volatility model construction...

Default-probability curve tests

• [x] Testing default-probability structure...
• [x] Testing flat hazard rate...
• [x] Testing piecewise-flat hazard-rate consistency...
• [x] Testing piecewise-flat default-density consistency...
• [x] Testing piecewise-linear default-density consistency...
• [x] Testing log-linear survival-probability consistency...
• [x] Testing single-instrument curve bootstrap...
• [x] Testing bootstrap on upfront quotes...

Inflation tests

• [X] Testing zero inflation indices...
• [ ] Testing zero inflation term structure...
• [X] Testing that zero inflation indices forecast future fixings...
• [ ] Testing year-on-year inflation indices...
• [ ] Testing year-on-year inflation term structure...
• [ ] Testing inflation period...

CPI bond tests

• [ ] Testing clean price...

CPI Swap tests

• [ ] Testing consistency...
• [ ] Testing zciis consistency...
• [ ] Testing cpi bond consistency...

Term structure tests

• [x] Testing term structure against evaluation date change...
• [x] Testing consistency of implied term structure...
• [x] Testing observability of implied term structure...
• [x] Testing consistency of forward-spreaded term structure...
• [x] Testing observability of forward-spreaded term structure...
• [x] Testing consistency of zero-spreaded term structure...
• [x] Testing observability of zero-spreaded term structure...
• [x] Testing that a zero-spreaded curve can be created with a null underlying curve...
• [x] Testing that an underlying curve can be relinked to a null underlying curve...
• [x] Testing composite zero yield structures...

Andreasen-Huge volatility interpolation tests

• [ ] Testing Andreasen-Huge example with Put calibration...
• [ ] Testing Andreasen-Huge example with Call calibration...
• [ ] Testing Andreasen-Huge example with instantaneous Call and Put calibration...
• [ ] Testing Andreasen-Huge example with linear interpolation...
• [ ] Testing Andreasen-Huge example with piecewise constant interpolation...
• [ ] Testing Andreasen-Huge volatility interpolation with time dependent interest rates and dividend yield...
• [ ] Testing Andreasen-Huge volatility interpolation with a single option...
• [ ] Testing Andreasen-Huge volatility interpolation gives arbitrage free prices...
• [ ] Testing Barrier option pricing with Andreasen-Huge local volatility surface...
• [ ] Testing Peter's and Fabien's SABR example...
• [ ] Testing different optimizer for Andreasen-Huge volatility interpolation...
• [ ] Testing that reference date of adapter surface moves along with evaluation date...

YoY OptionletStripper (yoy inflation vol) tests

• [ ] Testing conversion from YoY price surface to YoY volatility surface...
• [ ] Testing conversion from YoY cap-floor surface to YoY inflation term structure...

Optionlet Stripper Tests

• [ ] Testing forward/forward vol stripping from flat term vol surface using OptionletStripper1 class...
• [ ] Testing forward/forward vol stripping from non-flat term vol surface using OptionletStripper1 class...
• [ ] Testing forward/forward vol stripping from non-flat normal vol term vol surface for normal vol setup using OptionletStripper1 class...
• [ ] Testing forward/forward vol stripping from non-flat normal vol term vol surface for normal vol setup using OptionletStripper1 class...
• [ ] Testing forward/forward vol stripping from flat term vol surface using OptionletStripper2 class...
• [ ] Testing forward/forward vol stripping from non-flat term vol surface using OptionletStripper2 class...
• [ ] Testing switch strike level and recalibration of level in case of curve relinking...

Piecewise yield curve tests

• [ ] Testing consistency of piecewise-log-cubic discount curve...
• [x] Testing consistency of piecewise-log-linear discount curve...
• [x] Testing consistency of piecewise-linear discount curve...
• [x] Testing consistency of piecewise-log-linear zero-yield curve...
• [x] Testing consistency of piecewise-linear zero-yield curve...
• [ ] Testing consistency of piecewise-cubic zero-yield curve...
• [x] Testing consistency of piecewise-linear forward-rate curve...
• [x] Testing consistency of piecewise-flat forward-rate curve...
• [ ] Testing consistency of piecewise-cubic forward-rate curve...
• [x] Testing consistency of convex monotone forward-rate curve...
• [ ] Testing consistency of local-bootstrap algorithm...
• [x] Testing observability of piecewise yield curve...
• [ ] Testing use of today's LIBOR fixings in swap curve...
• [x] Testing bootstrap over JPY LIBOR swaps...
• [ ] Testing copying of discount curve...
• [ ] Testing copying of forward-rate curve...
• [ ] Testing copying of zero-rate curve...
• [x] Testing SwapRateHelper last relevant date...
• [ ] Testing bootstrap starting from bad guess...

Interpolated piecewise zero spreaded yield curve tests

• [x] Testing flat interpolation before the first spreaded date...
• [x] Testing flat interpolation after the last spreaded date...
• [x] Testing linear interpolation with more than two spreaded dates...
• [x] Testing linear interpolation between two dates...
• [x] Testing forward flat interpolation between two dates...
• [x] Testing backward flat interpolation between two dates...
• [x] Testing default interpolation between two dates...
• [x] Testing factory constructor with additional parameters...
• [x] Testing term structure max date...
• [x] Testing quote update...

CDO tests

• [ ] Testing CDO premiums against Hull-White values for data set

CDS Option tests

• [x] Testing CDS-option value against cached values...

Credit-default swap tests

• [x] Testing credit-default swap against cached values...
• [x] Testing credit-default swap against cached market values...
• [x] Testing implied hazard-rate for credit-default swaps...
• [x] Testing fair-spread calculation for credit-default swaps...
• [x] Testing fair-upfront calculation for credit-default swaps...
• [ ] Testing ISDA engine calculations for credit-default swaps...

Nth-to-default tests

• [ ] Testing nth-to-default against Hull-White values with Gaussian copula...
• [ ] Testing nth-to-default against Hull-White values with Gaussian and Student copula...

NthOrderDerivativeOp tests

• [ ] Testing sparse matrix apply......

Commodity Unit Of Measure tests

• [ ] Testing direct commodity unit of measure conversions...

Binary Option tests

• [x] Testing cash-or-nothing barrier options against Haug's values...
• [x] Testing asset-or-nothing barrier options against Haug's values...

Chooser option tests

• [x] Testing analytic simple chooser option...
• [x] Testing analytic complex chooser option...

Compound option tests

• [ ] Testing compound-option put-call parity...
• [ ] Testing compound-option values and greeks...

DoubleBarrier tests

• [ ] Testing double barrier european options against Haug's values...

DoubleBarrier experimental tests

• [ ] Testing double-barrier FX options against Vanna/Volga values...

DoubleBinary tests

• [ ] Testing cash-or-nothing double barrier options against Haug's values...

Digital option tests

• [x] Testing European cash-or-nothing digital option...
• [x] Testing European asset-or-nothing digital option...
• [x] Testing European gap digital option...
• [x] Testing American cash-(at-hit)-or-nothing digital option...
• [x] Testing American asset-(at-hit)-or-nothing digital option...
• [x] Testing American cash-(at-expiry)-or-nothing digital option...
• [x] Testing American asset-(at-expiry)-or-nothing digital option...
• [x] Testing American cash-(at-hit)-or-nothing digital option greeks...
• [ ] Testing Monte Carlo cash-(at-hit)-or-nothing American engine...

Extensible option tests

• [x] Testing analytic engine for holder-extensible option...
• [x] Testing analytic engine for writer-extensible option...

Everest-option tests

• [x] Testing Everest option against cached values...

Himalaya-option tests

• [x] Testing Himalaya option against cached values...

Lookback option tests

• [x] Testing analytic continuous floating-strike lookback options...
• [X] Testing analytic continuous fixed-strike lookback options...
• [x] Testing analytic continuous partial floating-strike lookback options...
• [X] Testing analytic continuous fixed-strike lookback options...

Exchange option tests

• [X] Testing European one-asset-for-another option...
• [X] Testing analytic European exchange option greeks...
• [X] Testing American one-asset-for-another option...

Pagoda-option tests

• [X] Testing pagoda option against cached values...

Partial-time