Feature/barriers - #10
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jsidhu06
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May 5, 2026
jsidhu06
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- Amend discrete barrier default params in PDEParams.for_barriers cls method.
- Add inception-triggered barrier short-circuits for vega and rho. Add tests for all 5 barrier inception-triggered Greeks.
- Tighten _validate_bump: raise on bump+non-NUMERICAL even on auto-resolve.
- Amend random_seed default in MonteCarloParams from None to 42.
…ethod - Previously: spot_steps, time_steps = 2400, 1600 - Now: spot_steps, time_steps = 1600, 1200 - News res is 2x faster, only very marginally less accurate - Loosen rtol in TestBarrierPresentValueAgainstBroadieGlasserman from 0.002 to 0.004
- Current suite tests: numerical bump and reprice delta/gamma (they avoid state transition), analytical (BSM) theta.
…olve - Bump kwargs (epsilon/time_bump_days/rate_bump) previously silently no-op'd when auto-select resolved to ANALYTICAL/GRID/TREE. - Validation now runs after _resolve_greek_method against the resolved method, replacing the silent-ignore foot-gun with an actionable error pointing users to either drop the bump or pass greek_calc_method=NUMERICAL.
- More accurate for bump and revalue Greeks
- Avoids the un-trigger problem on discrete bumped pricing dates and keeps theta consistent with the gamma/delta short-circuits
- Mirrors the delta/gamma/theta NUMERICAL pattern (KO → 0 or closed-form, KI → vanilla equivalent) for symmetry. - Add 24 new test cases (TestInceptionTriggeredGreekShortCircuits now covers all five greeks across BSM/BIN/PDE_FD NUMERICAL combos). - Also harmonize comment style across all five short-circuits in core.py.
….NUMERICAL into vanilla delta() calls - Passing epsilon alone now raises an exception if auto resolve does not resolve to NUMERICAL
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