### A free/open-source library for quantitative finance

Possible Enhancements

Class AmericanCondition
  unify the intrinsicValues/Payoff thing
Class AmericanExercise
  check that everywhere the American condition is applied from earliestDate and not earlier
Class AmericanPayoffAtExpiry
  calculate greeks
Class AmericanPayoffAtHit
  calculate greeks
Class AnalyticContinuousGeometricAveragePriceAsianEngine
  handle seasoned options
Class AnalyticDigitalAmericanEngine
  add more greeks (as of now only delta and rho available)
Class AnalyticDiscreteGeometricAveragePriceAsianEngine
  implement correct theta, rho, and dividend-rho calculation
Class BicubicSpline
  revise end conditions
Class BinomialVanillaEngine< T >
  Greeks are not overly accurate. They could be improved by building a tree so that it has three points at the current time. The value would be fetched from the middle one, while the two side points would be used for estimating partial derivatives.
Class BivariateCumulativeNormalDistributionDr78
  check accuracy of this algorithm and compare with: 1) Drezner, Z, (1978), Computation of the bivariate normal integral, Mathematics of Computation 32, pp. 277-279. 2) Drezner, Z. and Wesolowsky, G. O. (1990) `On the Computation of the Bivariate Normal Integral', Journal of Statistical Computation and Simulation 35, pp. 101-107. 3) Drezner, Z (1992) Computation of the Multivariate Normal Integral, ACM Transactions on Mathematics Software 18, pp. 450-460. 4) Drezner, Z (1994) Computation of the Trivariate Normal Integral, Mathematics of Computation 62, pp. 289-294. 5) Genz, A. (1992) `Numerical Computation of the Multivariate Normal Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150.
Class BlackCallableFixedRateBondEngine
  set additionalResults (e.g. vega, fairStrike, etc.)
Class BlackVarianceCurve
  check time extrapolation
Class BlackVarianceSurface
  check time extrapolation
Member BoundaryCondition< Operator >::Side
  Generalize for n-dimensional conditions
Class CallableBond

  models/shortrate/calibrationHelpers

  OAS/OAD

  floating rate callable bonds ?

Class CashFlows
  add tests
Class CDO
  Investigate and fix cases
Class Cdor
  check settlement days, end-of-month adjustment, and day-count convention.
Class CliquetOption
  - add local/global caps/floors
  - add accrued coupon and last fixing
Class ContinuousAveragingAsianOption
  add running average
Class CPICoupon
  we do not do any convexity adjustment for lags different to the natural ZCIIS lag that was used to create the forward inflation curve.
Class CubicInterpolation
  implement missing schemes (FourthOrder and ModifiedParabolic) and missing boundary conditions (Periodic and Lagrange).
Class DirichletBC
  generalize to time-dependent conditions.
Class ExplicitEuler< Operator >
  add Richardson extrapolation
Class FDDividendEngineBase< Scheme >
  The dividend class really needs to be made more sophisticated to distinguish between fixed dividends and fractional dividends
Class FDDividendEngineShiftScale< Scheme >
  Review literature to see whether this is described
Class FittedBondDiscountCurve

  refactor the bond helper class so that it is pure virtual and returns a generic bond or its cash flows. Derived classes would include helpers for fixed-rate and zero-coupon bonds. In this way, both bonds and bills can be used to fit a discount curve using the exact same machinery. At present, only fixed-coupon bonds are supported. An even better way to move forward might be to get rate helpers to return cashflows, in which case this class could be used to fit any set of cash flows, not just bonds.

  add more fitting diagnostics: smoothness, standard deviation, student-t test, etc. Generic smoothness method may be useful for smoothing splines fitting. See Fisher, M., D. Nychka and D. Zervos: "Fitting the term structure of interest rates with smoothing splines." Board of Governors of the Federal Reserve System, Federal Resere Board Working Paper, 95-1.

  add extrapolation routines

Class FittedBondDiscountCurve::FittingMethod
  derive the special-case class LinearFittingMethods from FittingMethod. A linear fitting to a set of basis functions is any fitting of the form

  i.e., linear in the unknown coefficients . Such a fitting can be reduced to a linear algebra problem , and for large numbers of bonds, would typically be much faster computationally than the generic non-linear fitting method.
Class FixedRateBondForward

  Add preconditions and tests

  Create switch- if coupon goes to seller is toggled on, don't consider income in the calculation.

  Verify this works when the underlying is paper (in which case ignore all AI.)

Class Forward
  Add preconditions and tests
Member GeneralizedBlackScholesProcess::diffusion (Time t, Real x) const
  revise extrapolation
Member GeneralizedBlackScholesProcess::drift (Time t, Real x) const
  revise extrapolation
Class GenericRiskStatistics< S >
  add historical annualized volatility
Class IntegralEngine
  define tolerance for calculate()
Class InterestRateIndex
  add methods returning InterestRate
Class InverseCumulativeStudent
  Find/implement an efficient algorithm for evaluating the cumulative Student t-distribution, replacing the Newton iteration
Class Jibar
  check settlement days and day-count convention.
Class MCVarianceSwapEngine< RNG, S >
  define tolerance of numerical integral and incorporate it in errorEstimate
Class MixedScheme< Operator >
  - derive variable theta schemes
  - introduce multi time-level schemes.
Class MultiCubicSpline< i >
  - allow extrapolation as for the other interpolations
  - investigate if and how to implement Hyman filters and different boundary conditions
Class NeumannBC
  generalize to time-dependent conditions.
Class OneFactorCopula
  Improve on simple Euler integration
Class OneFactorGaussianStudentCopula
  Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations?
Class OneFactorStudentCopula
  Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations?
Class OneFactorStudentGaussianCopula
  Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations?
Class RandomizedLDS< LDS, PRS >
  implement the other randomization algorithms
Member SampledCurve::firstDerivativeAtCenter () const
  replace or complement with a more general function firstDerivativeAt(spot)
Member SampledCurve::secondDerivativeAtCenter () const
  replace or complement with a more general function secondDerivativeAt(spot)
Member SampledCurve::valueAtCenter () const
  replace or complement with a more general function valueAt(spot)
Class Solver1D< Impl >
  - clean up the interface so that it is clear whether the accuracy is specified for or .
  - add target value (now the target value is 0.0)
Class SwapRateHelper
  use input SwapIndex to create the swap
Class Swaption
  add greeks and explicit exercise lag
Class SyntheticCDO
  Investigate and fix cases
File syntheticcdoengines.hpp
  Add further engines for analytical expected tranche loss cases - large homogeneous pool with Normal Inverse Gaussian, Gamma copula
Class Tibor
  check settlement days and end-of-month adjustment.
Class TimeGrid
  what was the rationale for limiting the grid to positive times? Investigate and see whether we can use it for negative ones as well.
Class TRLibor
  check end-of-month adjustment.
Class UnitedKingdom
  add LIFFE
Class YoYCapFloorTermPriceSurface
  deal with index interpolation.
Class Zibor
  check settlement days, end-of-month adjustment, and day-count convention.