Luigi Ballabio
Luigi Ballabio
After 2021, LIBOR fixings will no longer be provided and floating coupons will be fixed at a spread over the OIS curve. This should already be taken into account for...
The `Inflationindex` class and its children classes have an `interpolated` field that doesn't really belong there. There is no "interpolated HICP index" as opposed to a "non-interpolated HICP index". There...
The `DefaultLossModel` class inherits non-virtually from `Observable`, which is flagged as a problem by LGTM (see [here](https://lgtm.com/projects/g/lballabio/QuantLib/alerts/?mode=list&severity=error)) because a few classes inherit from `DefaultLossModel` and from another class that inherits...
See https://sourceforge.net/p/quantlib/mailman/message/36102362/
See https://sourceforge.net/p/quantlib/bugs/125/ by Dilip Mandal. Description in the attached file [quantlib_question.pdf](https://github.com/lballabio/QuantLib/files/1535784/quantlib_question.pdf).
The data in the `CommonVars` structure are not used at all, and the `testLMMCurveState` and `testCoterminalSwapCurveState` cases don't test anything. `testCMSwapCurveState` is only slightly better, since it creates a few...
As suggested by [the documentation](https://docs.oracle.com/javase/9/docs/api/java/lang/Object.html#finalize--) we should no longer generate finalizers by default and use `AutoCloseable` instead. The support is already there (but we need to check it); we should...
The [`G2Process`](https://github.com/lballabio/QuantLib/blob/v1.33/ql/processes/g2process.hpp#L34) and [`G2ForwardProcess`](https://github.com/lballabio/QuantLib/blob/v1.33/ql/processes/g2process.hpp#L62) classes only store and use the parameters of the G2 model. They should also use an interest-rate term structure, since the [G2](https://github.com/lballabio/QuantLib/blob/v1.33/ql/processes/g2process.hpp#L62) model includes it.
It redirects to spammer sites now. It might be better to remove the links so people are not sent there. Thanks!