# caveats man page

caveats — Caveats

**Class Actual365Fixed**- According to ISDA, 'Actual/365' (without 'Fixed') is an alias for 'Actual/Actual (ISDA)' (see
**ActualActual**.) If Actual/365 is not explicitly specified as fixed in an instrument specification, you might want to double-check its meaning. **Class AssetSwap**- bondCleanPrice must be the (forward) price at the floatSchedule start date
**Member ASX::code**(const**Date**&asxDate)- It raises an exception if the input date is not an
**ASX**date **Member ASX::date**(const std::string &asxCode, const**Date**&referenceDate=Date())- It raises an exception if the input string is not an
**ASX**code **Class BachelierSwaptionEngine**- The engine assumes that the exercise date equals the start date of the passed swap.
**Member BarrierOption::impliedVolatility**(Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const- see
**VanillaOption**for notes on implied-volatility calculation. **Member BespokeCalendar::BespokeCalendar**(const std::string &name='')- different bespoke calendars created with the same name (or different bespoke calendars created with no name) will compare as equal.
**Member BlackAtmVolCurve::BlackAtmVolCurve**(BusinessDayConvention bdc=Following, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Class BlackCallableFixedRateBondEngine**- This class has yet to be tested
**Class BlackCallableZeroCouponBondEngine**- This class has yet to be tested.
**Class BlackCdsOptionEngine**- The engine assumes that the exercise date equals the start date of the passed CDS.
**Class BlackProcess**- while the interface is expressed in terms of $ S $, the internal calculations work on $ ln S $.
**Class BlackScholesProcess**- while the interface is expressed in terms of $ S $, the internal calculations work on $ ln S $.
**Class BlackSwaptionEngine**- The engine assumes that the exercise date equals the start date of the passed swap.
**Member BlackVarianceTermStructure::BlackVarianceTermStructure**(BusinessDayConvention bdc=Following, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Member BlackVolatilityTermStructure::BlackVolatilityTermStructure**(BusinessDayConvention bdc=Following, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Member BlackVolSurface::BlackVolSurface**(BusinessDayConvention bdc=Following, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Member BlackVolTermStructure::BlackVolTermStructure**(BusinessDayConvention bdc=Following, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Class Bond**- Most methods assume that the cash flows are stored sorted by date, the redemption(s) being after any cash flow at the same date. In particular, if there's one single redemption, it must be the last cash flow,
**Member Bond::Bond**(Natural settlementDays, const**Calendar**&calendar, Real faceAmount, const**Date**&maturityDate, const**Date**&issueDate=Date(), const Leg &cashflows=**Leg()**)- The last passed cash flow must be the bond redemption. No other cash flow can have a date later than the redemption date.
**Member Bond::cleanPrice**() const- the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.
**Member Bond::dirtyPrice**() const- the theoretical price calculated from a flat term structure might differ slightly from the price calculated from the corresponding yield by means of the other overload of this function. If the price from a constant yield is desired, it is advisable to use such other overload.
**Class BondHelper**- This class assumes that the reference date does not change between calls of setTermStructure().
**Member BondHelper::BondHelper**(const Handle< Quote > &price, const boost::shared_ptr< Bond > &bond, bool useCleanPrice=true)- Setting a pricing engine to the passed bond from external code will cause the bootstrap to fail or to give wrong results. It is advised to discard the bond after creating the helper, so that the helper has sole ownership of it.
**Member BootstrapHelper< TS >::setTermStructure**(TS *)- Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to
**this**, i.e., the term structure itself. **Class CADLibor**- This is the rate fixed in London by BBA. Use CDOR if you're interested in the Canadian fixing by IDA.
**Member Calendar::name**() const- This method is used for output and comparison between calendars. It is
**not**meant to be used for writing switch-on-type code. **Member CallableBondVolatilityStructure::CallableBondVolatilityStructure**(const**DayCounter**&dc=DayCounter(), BusinessDayConvention bdc=Following)- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Member CapFloorTermVolatilityStructure::CapFloorTermVolatilityStructure**(BusinessDayConvention bdc, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Class Cdor**- This is the rate fixed in
**Canada**by IDA. Use**CADLibor**if you're interested in the London fixing by BBA. **Class CHFLibor**- This is the rate fixed in London by BBA. Use ZIBOR if you're interested in the Zurich fixing.
**Class CmsCoupon**- This class does not perform any date adjustment, i.e., the start and end date passed upon construction should be already rolled to a business day.
**Class CmsSpreadCoupon**- This class does not perform any date adjustment, i.e., the start and end date passed upon construction should be already rolled to a business day.
**Class CompositeInstrument**- Methods that drive the calculation directly (such as
**recalculate()**,**freeze()**and others) might not work correctly. **Module Constructors**`registerAsObserver`

is left as a backdoor in case the programmer cannot guarantee that the object pointed to will remain alive for the whole lifetime of the handle---namely, it should be set to`false`

when the passed shared pointer does not own the pointee (this should only happen in a controlled environment, so that the programmer is aware of it). Failure to do so can very likely result in a program crash. If the programmer does want the handle to register as observer of such a shared pointer, it is his responsibility to ensure that the handle gets destroyed before the pointed object does.**Class ConvertibleFixedCouponBond**- Most methods inherited from
**Bond**(such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account. **Class ConvertibleFloatingRateBond**- Most methods inherited from
**Bond**(such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account. **Class ConvertibleZeroCouponBond**- Most methods inherited from
**Bond**(such as yield or the yield-based dirtyPrice and cleanPrice) refer to the underlying plain-vanilla bond and do not take convertibility and callability into account. **Member CorrelationTermStructure::CorrelationTermStructure**(const**Calendar**&cal, BusinessDayConvention bdc, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Member Coupon::Coupon**(const**Date**&paymentDate, Real nominal, const**Date**&accrualStartDate, const**Date**&accrualEndDate, const**Date**&refPeriodStart=Date(), const**Date**&refPeriodEnd=Date(), const**Date**&exCouponDate=Date())- the coupon does not adjust the payment date which must already be a business day.
**Member CPICapFloorTermPriceSurface::price**(const**Period**&d, Rate k) const- you MUST remind the compiler in any descendants with the using:: mechanism because you overload the names remember that the strikes use the quoting convention
**Member CPICoupon::baseCPI**() const- make sure that the interpolation used to create this is what you are using for the fixing, i.e. the observationInterpolation.
**Class CPISwap**- Setting subtractInflationNominal to true means that the original inflation nominal is subtracted from both nominals before they are exchanged, even if they are different.
**Class CrankNicolson< Operator >**- The differential operator must be linear for this evolver to work.
**Class CreditDefaultSwap**- if
`Settings::includeReferenceDateCashFlows()`

is set to`true`

, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-spread calculation. This might not be what you want. **Class CreditRiskPlus**- the input correlation matrix is not checked for positive definiteness
**Class CubicBSplinesFitting**- "The results are extremely sensitive to the number and location of the knot points, and there is no optimal way of selecting them.' James, J. and

N. Webber, 'Interest Rate Modelling" John Wiley, 2000, pp. 440. **Class DailyTenorEURLibor**- This is the rate fixed in London by ICE. Use
**Eonia**if you're interested in the fixing by the**ECB**. **Member DayCounter::name**() const- This method is used for output and comparison between day counters. It is
**not**meant to be used for writing switch-on-type code. **Member DefaultDensityStructure::survivalProbabilityImpl**(Time) const- This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
**Member DefaultLatentModel< copulaPolicy >::conditionalDefaultProbability**(Probability prob, Size iName, const std::vector< Real > &mktFactors) const- Most often it is preferred to use the method below avoiding the cumulative inversion.
**Member DefaultLatentModel< copulaPolicy >::DefaultLatentModel**(const std::vector< std::vector< Real > > &factorWeights, LatentModelIntegrationType::LatentModelIntegrationType integralType, const initTraits &ini=initTraits())- Baskets with realized defaults not tested/WIP.
**Class DifferentialEvolution**- This was reported to fail tests on Mac OS X 10.8.4.
**Class DiscretizedOption**- it is advised that derived classes take care of creating and initializing themselves an instance of the underlying.
**Class Disposable< T >**- In order to avoid copies in code such as shown above, the conversion from
`T`

to**Disposable**<T> is destructive, i.e., it does**not**preserve the state of the original object. Therefore, it is necessary for the developer to avoid code such as **Member DividendVanillaOption::impliedVolatility**(Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const- see
**VanillaOption**for notes on implied-volatility calculation. **Member DoubleBarrierOption::impliedVolatility**(Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const- see
**VanillaOption**for notes on implied-volatility calculation. **Member ECB::code**(const**Date**&ecbDate)- It raises an exception if the input date is not an
**ECB**date **Member ECB::date**(const std::string &ecbCode, const**Date**&referenceDate=Date())- It raises an exception if the input string is not an
**ECB**code **Member EquityFXVolSurface::EquityFXVolSurface**(BusinessDayConvention bdc=Following, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Class Euribor**- This is the rate fixed by the
**ECB**. Use EurLibor if you're interested in the London fixing by BBA. **Class EURLibor**- This is the rate fixed in London by BBA. Use
**Euribor**if you're interested in the fixing by the**ECB**. **Member ExchangeRateManager::lookup**(const**Currency**&source, const**Currency**&target,**Date**date=Date(),**ExchangeRate::Type**type=**ExchangeRate::Derived**) const- if two or more exchange-rate chains are possible which allow to specify a requested rate, it is unspecified which one is returned.
**Class ExponentialSplinesFitting**- convergence may be slow
**Member FiniteDifferenceModel< Evolver >::rollback**(array_type &a, Time from, Time to, Size steps)- being this a rollback,
`from`

must be a later time than`to`

. **Member FiniteDifferenceModel< Evolver >::rollback**(array_type &a, Time from, Time to, Size steps, const condition_type &condition)- being this a rollback,
`from`

must be a later time than`to`

. **Class FittedBondDiscountCurve**- The method can be slow if there are many bonds to fit. Speed also depends on the particular choice of fitting method chosen and its convergence properties under optimization. See also todo list for BondDiscountCurveFittingMethod.
**Class FittedBondDiscountCurve::FittingMethod**- some parameters to the
**Simplex**optimization method may need to be tweaked internally to the class, depending on the fitting method used, in order to get proper/reasonable/faster convergence. **Class FixedRateBondForward**- This class still needs to be rigorously tested
**Class Forward**- This class still needs to be rigorously tested
**Member ForwardRateStructure::zeroYieldImpl**(Time) const- This default implementation uses an highly inefficient and possibly wildly inaccurate numerical integration. Derived classes should override it if a more efficient implementation is available.
**Class G2SwaptionEngine**- The engine assumes that the exercise date equals the start date of the passed swap.
**Class GapPayoff**- this payoff can be negative depending on the strikes
**Class GarmanKohlagenProcess**- while the interface is expressed in terms of $ S $, the internal calculations work on $ ln S $.
**Class Gaussian1dModel**- the variance of the state process conditional on $x(t)=x$ must be independent of the value of $x$
**Class Gaussian1dNonstandardSwaptionEngine**- Cash settled swaptions are not supported
**Class Gaussian1dSwaptionEngine**- Cash settled swaptions are not supported
**Class GeneralizedBlackScholesProcess**- while the interface is expressed in terms of $ S $, the internal calculations work on $ ln S $.
**Member GeneralizedBlackScholesProcess::expectation**(Time t0, Real x0, Time dt) const- in general raises a 'not implemented' exception. It should be rewritten to return the expectation E(S) of the process, not exp(E(log S)).
**File gsrprocesscore.hpp**- Results are cached for performance reasons, so if parameters change, you need to call flushCache() to avoid inconsistent results.
**Class HaganIrregularSwaptionEngine**- Currently a spread is not handled correctly; it should be a minor exercise to account for this feature as well;
**Member HazardRateStructure::survivalProbabilityImpl**(Time) const- This default implementation uses numerical integration, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
**Class HimalayaOption**- This implementation still does not manage seasoned options.
**Member IMM::code**(const**Date**&immDate)- It raises an exception if the input date is not an
**IMM**date **Member IMM::date**(const std::string &immCode, const**Date**&referenceDate=Date())- It raises an exception if the input string is not an
**IMM**code **Class ImpliedVolTermStructure**- It doesn't make financial sense to have an asset-dependant implied Vol Term Structure. This class should be used with term structures that are time dependant only.
**Class Index**- this class performs no check that the provided/requested fixings are for dates in the past, i.e. for dates less than or equal to the evaluation date. It is up to the client code to take care of possible inconsistencies due to 'seeing in the

future' **Member Index::name**() const =0- This method is used for output and comparison between indexes. It is
**not**meant to be used for writing switch-on-type code. **Member Instrument::setPricingEngine**(const boost::shared_ptr< PricingEngine > &)- calling this method will have no effects in case the
**performCalculation**method was overridden in a derived class. **Member InterestRate::compoundFactor**(Time t) const- Time must be measured using
**InterestRate**'s own day counter. **Member InterestRate::discountFactor**(Time t) const- Time must be measured using
**InterestRate**'s own day counter. **Member InterestRate::equivalentRate**(Compounding comp, Frequency freq, Time t) const- Time must be measured using the
**InterestRate**'s own day counter. **Member InterestRate::impliedRate**(Real compound, const**DayCounter**&resultDC, Compounding comp, Frequency freq, Time t)- Time must be measured using the day-counter provided as input.
**Member InterestRateVolSurface::InterestRateVolSurface**(const boost::shared_ptr< InterestRateIndex > &, BusinessDayConvention bdc=Following, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Class JamshidianSwaptionEngine**- The engine might assume that the exercise date equals the start date of the passed swap unless the model provides an implementation of the discountBondOption method with start delay
**Class JPYLibor**- This is the rate fixed in London by ICE. Use TIBOR if you're interested in the Tokio fixing.
**Class JuQuadraticApproximationEngine**- Barone-Adesi-Whaley critical commodity price calculation is used, it has not been modified to see whether the method of Ju is faster. Ju does not say how he solves the equation for the critical stock price, e.g.
**Newton**method. He just gives the solution. The method of BAW gives answers to the same accuracy as in Ju (1999). **Member Lattice::partialRollback**(**DiscretizedAsset**&, Time to) const =0- In version 0.3.7 and earlier, this method was called rollAlmostBack method and performed pre-adjustment. This is no longer true; when migrating your code, you'll have to replace calls such as:
**Member LazyObject::calculate**() const- Objects cache the results of the previous calculation. Such results will be returned upon later invocations of
**calculate**. When the results depend on arguments which could change between invocations, the lazy object must register itself as observer of such objects for the calculations to be performed again when they change.

Should this method be redefined in derived classes, **LazyObject::calculate()** should be called in the overriding method.

Should this method be redefined in derived classes, **LazyObject::calculate()** should be called in the overriding method.

**Class LiborForwardModelProcess**- this class does not work correctly with Visual C++ 6.
**Member LocalVolTermStructure::LocalVolTermStructure**(BusinessDayConvention bdc=Following, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Class MCAmericanBasketEngine< RNG >**- This method is intrinsically weak for out-of-the-money options.
**Class MCAmericanPathEngine< RNG >**- This method is intrinsically weak for out-of-the-money options.
**Class MCDiscreteAveragingAsianEngine< RNG, S >**- control-variate calculation is disabled under VC++6.
**Class MixedScheme< Operator >**- The differential operator must be linear for this evolver to work.
**Class MultiplicativePriceSeasonality**- Multi-year seasonality (i.e. non-stationary) is fragile: the user
**must**ensure that corrections at whole years before and after the inflation term structure base date are the same. Otherwise there can be an inconsistency with quoted rates. This is enforced if the frequency is lower than daily. This is not enforced for daily seasonality because this will always be inconsistent due to weekends, holidays, leap years, etc. If you use multi-year daily seasonality it is up to you to check. **Class NeumannBC**- The value passed must not be the value of the derivative. Instead, it must be comprehensive of the grid step between the first two points--i.e., it must be the difference between f[0] and f[1].
**Member Observable::operator=**(const**Observable**&)- notification is sent before the copy constructor has a chance of actually change the data members. Therefore, observers whose update() method tries to use their observables will not see the updated values. It is suggested that the update() method just raise a flag in order to trigger a later recalculation.
**Member OptionletVolatilityStructure::OptionletVolatilityStructure**(BusinessDayConvention bdc=Following, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Member OvernightIndexedSwapIndex::underlyingSwap**(const**Date**&fixingDate) const- Relinking the term structure underlying the index will not have effect on the returned swap.
**Class PagodaOption**- This implementation still does not manage seasoned options.
**Member PathPayoff::name**() const =0- This method is used for output and comparison between payoffs. It is
**not**meant to be used for writing switch-on-type code. **Member Payoff::name**() const =0- This method is used for output and comparison between payoffs. It is
**not**meant to be used for writing switch-on-type code. **Class PerturbativeBarrierOptionEngine**- This was reported to fail tests on Mac OS X 10.8.4.
**Class PiecewiseDefaultCurve< Traits, Interpolator, Bootstrap >**- The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.
**Class PiecewiseYieldCurve< Traits, Interpolator, Bootstrap >**- The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.
**Class PolarStudentTRng< URNG >**- do not use with a low-discrepancy sequence generator.
**Class Problem**- The passed
**CostFunction**and**Constraint**instances are stored by reference. The user of this class must make sure that they are not destroyed before the**Problem**instance. **Member Problem::reset**()- it does not reset the current minumum to any initial value
**Member pseudoSqrt**- Higham algorithm only works for correlation matrices.
**Member QuantLib::bachelierBlackFormula**(const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0)- Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)
**Member QuantLib::bachelierBlackFormula**(Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0)- Bachelier model needs absolute volatility, not percentage volatility. Standard deviation is absoluteVolatility*sqrt(timeToMaturity)
**Member QuantLib::bachelierBlackFormulaStdDevDerivative**(Real strike, Real forward, Real stdDev, Real discount=1.0)- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)
**Member QuantLib::blackFormula**(Option::Type optionType, Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
**Member QuantLib::blackFormula**(const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
**Member QuantLib::blackFormulaCashItmProbability**(const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real displacement=0.0)- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
**Member QuantLib::blackFormulaCashItmProbability**(Option::Type optionType, Real strike, Real forward, Real stdDev, Real displacement=0.0)- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity)
**Member QuantLib::blackFormulaStdDevDerivative**(Real strike, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)
**Member QuantLib::blackFormulaStdDevDerivative**(const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation. If T is the time to maturity Black vega would be blackStdDevDerivative(strike, forward, stdDev)*sqrt(T)
**Member QuantLib::blackFormulaStdDevSecondDerivative**(Rate strike, Rate forward, Real stdDev, Real discount, Real displacement)- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation.
**Member QuantLib::blackFormulaStdDevSecondDerivative**(const boost::shared_ptr< PlainVanillaPayoff > &payoff, Real forward, Real stdDev, Real discount=1.0, Real displacement=0.0)- instead of volatility it uses standard deviation, i.e. volatility*sqrt(timeToMaturity), and it returns the derivative with respect to the standard deviation.
**Class QuantoEngine< Instr, Engine >**- for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)
**Class RandomizedLDS< LDS, PRS >**- Inverting LDS and PRS is possible, but it doesn't make sense.
**Class RandomSequenceGenerator< RNG >**- do not use with low-discrepancy sequence generator.
**Class RelinkableHandle< T >**- see the
**Handle**documentation for issues relatives to`registerAsObserver`

. **Member Rounding::Type**- the names of the
**Floor**and Ceiling methods might be misleading. Check the provided reference. **Member Settings::evaluationDate**()- a notification is not sent when the evaluation date changes for natural causes---i.e., a date was not explicitly set (which results in today's date being used for pricing) and the current date changes as the clock strikes midnight.
**Class SimpleDayCounter**- this day counter should be used together with
**NullCalendar**, which ensures that dates at whole-month distances share the same day of month. It is**not**guaranteed to work with any other calendar. **Member SurvivalProbabilityStructure::defaultDensityImpl**(Time) const- This implementation uses numerical differentiation, which might be inefficient and inaccurate. Derived classes should override it if a more efficient implementation is available.
**Member SwapIndex::underlyingSwap**(const**Date**&fixingDate) const- Relinking the term structure underlying the index will not have effect on the returned swap.
**Class SwaptionVolatilityCube**- this class is not finalized and its interface might change in subsequent releases.
**Member SwaptionVolatilityStructure::SwaptionVolatilityStructure**(BusinessDayConvention bdc, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Member TermStructure::TermStructure**(const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Class Tibor**- This is the rate fixed in Tokio by JBA. Use
**JPYLibor**if you're interested in the London fixing by BBA. **Class TRBDF2< Operator >**- The differential operator must be linear for this evolver to work.
**Class TreeSwaptionEngine**- This engine is not guaranteed to work if the underlying swap has a start date in the past, i.e., before today's date. When using this engine, prune the initial part of the swap so that it starts at $ t geq 0 $.
**Class TridiagonalOperator**- to use real time-dependant algebra, you must overload the corresponding operators in the inheriting time-dependent class.
**Class TrinomialTree**- The diffusion term of the SDE must be independent of the underlying process.
**Member VanillaOption::impliedVolatility**(Real price, const boost::shared_ptr< GeneralizedBlackScholesProcess > &process, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const- currently, this method returns the Black-Scholes implied volatility using analytic formulas for European options and a finite-difference method for American and Bermudan options. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.)

options with a gamma that changes sign (e.g., binary options) have values that are **not** monotonic in the volatility. In these cases, the calculation can fail and the result (if any) is almost meaningless. Another possible source of failure is to have a target value that is not attainable with any volatility, e.g., a target value lower than the intrinsic value in the case of American options.

**Class VanillaSwap**- if
`Settings::includeReferenceDateCashFlows()`

is set to`true`

, payments occurring at the settlement date of the swap might be included in the NPV and therefore affect the fair-rate and fair-spread calculation. This might not be what you want. **Class VarianceGammaModel**- calibration is not implemented for VG
**Class VarianceOption**- This class does not manage seasoned variance options.
**Class VarianceSwap**- This class does not manage seasoned variance swaps.
**Member VolatilityTermStructure::VolatilityTermStructure**(BusinessDayConvention bdc, const**DayCounter**&dc=DayCounter())- term structures initialized by means of this constructor must manage their own reference date by overriding the
**referenceDate()**method. **Member YieldTermStructure::forwardRate**(const**Date**&d, const**Period**&p, const**DayCounter**&resultDayCounter, Compounding comp, Frequency freq=Annual, bool extrapolate=false) const- dates are not adjusted for holidays
**Member YoYInflationIndex::fixing**(const**Date**&fixingDate, bool forecastTodaysFixing=false) const- the forecastTodaysFixing parameter (required by the
**Index**interface) is currently ignored. **Member YoYInflationTermStructure::yoyRate**(Time t, bool extrapolate=false) const- Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.
**Member ZeroInflationIndex::fixing**(const**Date**&fixingDate, bool forecastTodaysFixing=false) const- the forecastTodaysFixing parameter (required by the
**Index**interface) is currently ignored. **Member ZeroInflationTermStructure::zeroRate**(Time t, bool extrapolate=false) const- Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.
**Class Zibor**- This is the rate fixed in Zurich by BBA. Use
**CHFLibor**if you're interested in the London fixing by BBA.

## Info

Fri Sep 23 2016 Version 1.8.1 QuantLib