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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<h1><a class="anchor" name="caveats">Caveats</a></h1><a class="anchor" name="_caveats000017"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_actual365_fixed.html">Actual365Fixed</a> </dt>
<dd>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.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000071"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_black_swaption_engine.html">BlackSwaptionEngine</a> </dt>
<dd>The engine assumes that the exercise date equals the start date of the passed swap. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000092"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_black_variance_term_structure.html#0759a0adf86c2178e7a0f1bcddd43370">BlackVarianceTermStructure::BlackVarianceTermStructure</a> () </dt>
<dd>term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000091"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_black_volatility_term_structure.html#1340f569b502c4424994e6b8a8fc2011">BlackVolatilityTermStructure::BlackVolatilityTermStructure</a> () </dt>
<dd>term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000090"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_black_vol_term_structure.html#70963114bbfd0f0b2a21dc5496b7e684">BlackVolTermStructure::BlackVolTermStructure</a> () </dt>
<dd>term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000041"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_bond.html">Bond</a> </dt>
<dd>Most methods assume that the cashflows are stored sorted by date, the redemption being the last one.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000042"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_bond.html#d19b7dfea9135f0aa7c0406350f40ad0">Bond::cashflows</a> () const </dt>
<dd>the returned vector includes the redemption as the last cash flow. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000043"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_bond.html#04c101af83206923fd686044725444a7">Bond::cleanPrice</a> () const </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000044"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_bond.html#85c4207ffe9e1f712dfa6f1b3a9824f6">Bond::dirtyPrice</a> () const </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000031"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_c_a_d_libor.html">CADLibor</a> </dt>
<dd>This is the rate fixed in London by BBA. Use CDOR if you're interested in the Canadian fixing by IDA. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000001"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_calendar.html#1d89c28bd42ba9a52da008bb69367171">Calendar::name</a> () const </dt>
<dd>This method is used for output and comparison between calendars. It is <b>not</b> meant to be used for writing switch-on-type code. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000003"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_caplet_volatility_structure.html#c9238b707423e069a8ed96c53398625c">CapletVolatilityStructure::CapletVolatilityStructure</a> () </dt>
<dd>term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000002"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_cap_volatility_structure.html#a09e8372bb8ef283fc425c10caea8046">CapVolatilityStructure::CapVolatilityStructure</a> () </dt>
<dd>term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000032"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_cdor.html">Cdor</a> </dt>
<dd>This is the rate fixed in Canada by IDA. Use CADLibor if you're interested in the London fixing by BBA.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000033"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_c_h_f_libor.html">CHFLibor</a> </dt>
<dd>This is the rate fixed in London by BBA. Use ZIBOR if you're interested in the Zurich fixing. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000004"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_c_m_s_coupon.html">CMSCoupon</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000045"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_composite_instrument.html">CompositeInstrument</a> </dt>
<dd>Methods that drive the calculation directly (such as recalculate(), freeze() and others) might not work correctly.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000047"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_convertible_fixed_coupon_bond.html">ConvertibleFixedCouponBond</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000048"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_convertible_floating_rate_bond.html">ConvertibleFloatingRateBond</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000046"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_convertible_zero_coupon_bond.html">ConvertibleZeroCouponBond</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000005"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_coupon.html#191050eeb1ba5b7b1ed981b7402d1530">Coupon::Coupon</a> (Real nominal, const Date &paymentDate, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) </dt>
<dd>the coupon does not adjust the payment date which must already be a business day. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000021"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_crank_nicolson.html">CrankNicolson</a> </dt>
<dd>The differential operator must be linear for this evolver to work.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000014"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_date.html#bc4b4f67331e237aea0fa814ff877c1a">Date::nextIMMdate</a> (const Date &d, bool mainCycle=true) </dt>
<dd>The result date is following or equal to the original date. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000015"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_date.html#7980e8935526570eb4c9ecfd0f835b91">Date::IMMcode</a> (const Date &date) </dt>
<dd>It raise an exception if the input date is not an IMM date </dd>
</dl>
<p>
<a class="anchor" name="_caveats000016"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_day_counter.html#1d89c28bd42ba9a52da008bb69367171">DayCounter::name</a> () const </dt>
<dd>This method is used for output and comparison between day counters. It is <b>not</b> meant to be used for writing switch-on-type code. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000019"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_discretized_option.html">DiscretizedOption</a> </dt>
<dd>it is advised that derived classes take care of creating and initializing themselves an instance of the underlying. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000086"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_disposable.html">Disposable</a> </dt>
<dd>In order to avoid copies in code such as shown above, the conversion from <code>T</code> to <code>Disposable<T></code> is destructive, i.e., it does <b>not</b> preserve the state of the original object. Therefore, it is necessary for the developer to avoid code such as </dd>
</dl>
<p>
<a class="anchor" name="_caveats000034"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_euribor.html">Euribor</a> </dt>
<dd>This is the rate fixed by the ECB. Use EurLibor if you're interested in the London fixing by BBA. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000035"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_e_u_r_libor.html">EURLibor</a> </dt>
<dd>This is the rate fixed in London by BBA. Use Euribor if you're interested in the fixing by the ECB. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000013"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_exchange_rate_manager.html#32c95df629de2d2ea0474d82d755f730">ExchangeRateManager::lookup</a> (const Currency &source, const Currency &target, Date date=Date(), ExchangeRate::Type type=ExchangeRateDerived) const </dt>
<dd>if two or more exchange-rate chains are possible which allow to specify a requested rate, it is unspecified which one is returned. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000022"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_finite_difference_model.html#29eb8c23b64571be731ffa8f4df2590a">FiniteDifferenceModel::rollback</a> (array_type &a, Time from, Time to, Size steps) </dt>
<dd>being this a rollback, <code>from</code> must be a later time than <code>to</code>. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000023"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_finite_difference_model.html#65ea4e753878a94e9daa438b1bd1cb75">FiniteDifferenceModel::rollback</a> (array_type &a, Time from, Time to, Size steps, const condition_type &condition) </dt>
<dd>being this a rollback, <code>from</code> must be a later time than <code>to</code>. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000049"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_fixed_coupon_bond_forward.html">FixedCouponBondForward</a> </dt>
<dd>This class still needs to be rigorously tested<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000082"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_fixed_coupon_bond_helper.html">FixedCouponBondHelper</a> </dt>
<dd>This class assumes that the reference date does not change between calls of setTermStructure(). </dd>
</dl>
<p>
<a class="anchor" name="_caveats000006"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_floating_rate_coupon.html">FloatingRateCoupon</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000050"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_forward.html">Forward</a> </dt>
<dd>This class still needs to be rigorously tested<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000051"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html">ForwardRateAgreement</a> </dt>
<dd>This class still needs to be rigorously tested<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000083"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_forward_rate_structure.html#0a6051c0be9de7feadb867c45518e611">ForwardRateStructure::zeroYieldImpl</a> (Time) const </dt>
<dd>This is just a default, highly inefficient and possibly wildly inaccurate implementation. Derived classes should implement their own zeroYield method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000072"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_g2_swaption_engine.html">G2SwaptionEngine</a> </dt>
<dd>The engine assumes that the exercise date equals the start date of the passed swap. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000028"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_handle.html#ce4091c8f9c1f91c0489464712820bf9">Handle::Handle</a> (const boost::shared_ptr< T > &h=boostshared_ptr< T >(), bool registerAsObserver=true) </dt>
<dd>see the documentation of the Link class for issues relatives to <code>registerAsObserver</code>. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000029"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_handle.html#7eec88ccb240dcc59ac81e7347c335bd">Handle::linkTo</a> (const boost::shared_ptr< T > &, bool registerAsObserver=true) </dt>
<dd>see the documentation of the Link class for issues relatives to <code>registerAsObserver</code>. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000087"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_implied_vol_term_structure.html">ImpliedVolTermStructure</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000007"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_in_arrear_indexed_coupon.html">InArrearIndexedCoupon</a> </dt>
<dd>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.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000060"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_incremental_statistics.html">IncrementalStatistics</a> </dt>
<dd>high moments are numerically unstable for high average/standardDeviation ratios. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000030"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_index.html#0d2675713373f2539534cddfcfb22b52">Index::name</a> () const=0 </dt>
<dd>This method is used for output and comparison between indexes. It is <b>not</b> meant to be used for writing switch-on-type code.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000040"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_instrument.html#f259149d11ddda95328d6a41be778078">Instrument::setPricingEngine</a> (const boost::shared_ptr< PricingEngine > &) </dt>
<dd>calling this method will have no effects in case the <b>performCalculation</b> method was overridden in a derived class. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000055"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_interest_rate.html#9f0217e36fda633b528327857269ea5b">InterestRate::discountFactor</a> (Time t) const </dt>
<dd>Time must be measured using InterestRate's own day counter. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000056"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_interest_rate.html#a476c0aefb34f65e38bd84eb67648b56">InterestRate::compoundFactor</a> (Time t) const </dt>
<dd>Time must be measured using InterestRate's own day counter. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000058"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_interest_rate.html#aecbbc05ad7f04597d1b96c68924b144">InterestRate::equivalentRate</a> (Time t, Compounding comp, Frequency freq=Annual) const </dt>
<dd>Time must be measured using the InterestRate's own day counter. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000057"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_interest_rate.html#885107f27556900983a741a7df9868e9">InterestRate::impliedRate</a> (Real compound, Time t, const DayCounter &resultDC, Compounding comp, Frequency freq=Annual) </dt>
<dd>Time must be measured using the day-counter provided as input. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000073"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_jamshidian_swaption_engine.html">JamshidianSwaptionEngine</a> </dt>
<dd>The engine assumes that the exercise date equals the start date of the passed swap. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000036"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_j_p_y_libor.html">JPYLibor</a> </dt>
<dd>This is the rate fixed in London by BBA. Use TIBOR if you're interested in the Tokio fixing. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000075"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_ju_quadratic_approximation_engine.html">JuQuadraticApproximationEngine</a> </dt>
<dd>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).<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000063"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_lazy_object.html#082ff96da379d5e17436372ccb3c0972">LazyObject::calculate</a> () const </dt>
<dd>Objects cache the results of the previous calculation. Such results will be returned upon later invocations of <em><b>calculate</b></em>. 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.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000063"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_lazy_object.html#082ff96da379d5e17436372ccb3c0972">LazyObject::calculate</a> () const </dt>
<dd>Should this method be redefined in derived classes, LazyObject::calculate() should be called in the overriding method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000076"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_libor_forward_model_process.html">LiborForwardModelProcess</a> </dt>
<dd>this class does not work correctly with Visual C++ 6.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000026"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_link.html#d47982e6097b75c362630ca58beb0219">Link::Link</a> (const boost::shared_ptr< T > &h=boostshared_ptr< T >(), bool registerAsObserver=true) </dt>
<dd>see the documentation of the linkTo() method for issues relatives to <code>registerAsObserver</code>. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000027"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_link.html#7eec88ccb240dcc59ac81e7347c335bd">Link::linkTo</a> (const boost::shared_ptr< T > &, bool registerAsObserver=true) </dt>
<dd><code>registerAsObserver</code> 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 <code>false</code> when the passed shared pointer was created with <code>owns = false</code> (the latter 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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000093"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_local_vol_term_structure.html#ce717568d73241775dc3a5501d208a86">LocalVolTermStructure::LocalVolTermStructure</a> () </dt>
<dd>term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000068"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_m_c_american_basket_engine.html">MCAmericanBasketEngine</a> </dt>
<dd>This method is intrinsically weak for out-of-the-money options.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000067"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_m_c_discrete_averaging_asian_engine.html">MCDiscreteAveragingAsianEngine</a> </dt>
<dd>control-variate calculation is disabled under VC++6.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000024"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_mixed_scheme.html">MixedScheme</a> </dt>
<dd>The differential operator must be linear for this evolver to work.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000020"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_neumann_b_c.html">NeumannBC</a> </dt>
<dd>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]. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000062"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_numerical_method.html#fae616a473afe94e5f0fcea5e6d81b74">NumericalMethod::partialRollback</a> (DiscretizedAsset &, Time to) const=0 </dt>
<dd>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: <div class="fragment"><pre class="fragment"> method->rollAlmostBack(asset,t);
</pre></div> with the two statements: <div class="fragment"><pre class="fragment"> method->partialRollback(asset,t);
asset->preAdjustValues();
</pre></div> </dd>
</dl>
<p>
<a class="anchor" name="_caveats000065"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_observable.html#522aacdd0f2408fe5e46527a6db999b4">Observable::operator=</a> (const Observable &) </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000052"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_one_asset_option.html#26a34df10355e17117fab1700a54fd46">OneAssetOption::impliedVolatility</a> (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const </dt>
<dd>currently, this method returns the Black-Scholes implied volatility. It will give unconsistent results if the pricing was performed with any other methods (such as jump-diffusion models.) </dd>
</dl>
<p>
<a class="anchor" name="_caveats000052"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_one_asset_option.html#26a34df10355e17117fab1700a54fd46">OneAssetOption::impliedVolatility</a> (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const </dt>
<dd>options with a gamma that changes sign have values that are <b>not</b> monotonic in the volatility, e.g binary options. 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.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000009"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_par_coupon.html">ParCoupon</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000084"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_piecewise_yield_curve.html">PiecewiseYieldCurve</a> </dt>
<dd>The bootstrapping algorithm will raise an exception if any two instruments have the same maturity date.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000070"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_quanto_engine.html">QuantoEngine</a> </dt>
<dd>for the time being, this engine will only work with simple Black-Scholes processes (i.e., no Merton.)<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000077"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_randomized_l_d_s.html">RandomizedLDS</a> </dt>
<dd>Inverting LDS and PRS is possible, but it doesn't make sense.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000078"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_random_sequence_generator.html">RandomSequenceGenerator</a> </dt>
<dd>do not use with low-discrepancy sequence generator. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000085"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_rate_helper.html#a21644b6b97519570858378d7b3b5eb2">RateHelper::setTermStructure</a> (YieldTermStructure *) </dt>
<dd>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 rate helpers be used only in term structure constructors, setting the term structure to <b>this</b>, i.e., the one being constructed. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000061"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_rounding.html#1d1cfd8ffb84e947f82999c682b666a7">Rounding::Type</a> </dt>
<dd>the names of the Floor and Ceiling methods might be misleading. Check the provided reference. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000079"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_settings.html#95055e9410ed0465a5f30d3ffc90c1d3">Settings::evaluationDate</a> () </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000011"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_short.html">Short</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000010"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_short_3_01_par_coupon_01_4.html">Short< ParCoupon ></a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000018"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_simple_day_counter.html">SimpleDayCounter</a> </dt>
<dd>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 <b>not</b> guaranteed to work with any other calendar.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000066"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_single_asset_option.html#b96ee1ae23ce91c595c8b809d3e6af45">SingleAssetOption::impliedVolatility</a> (Real targetValue, Real accuracy=1e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const </dt>
<dd>Options with a gamma that changes sign have values that are <b>not</b> monotonic in the volatility, e.g binary options. In these cases impliedVolatility can fail and in any case is meaningless. Another possible source of failure is to have a targetValue that is not attainable with any volatility, e.g. a targetValue lower than the intrinsic value in the case of American options. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000037"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_swap_index.html#c33929734ebcde40f111bbbfb3fd979e">SwapIndex::underlyingSwap</a> (const Date &fixingDate) const </dt>
<dd>Relinking the term structure underlying the index will not have effect on the returned swap. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000088"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_swaption_volatility_cube.html">SwaptionVolatilityCube</a> </dt>
<dd>this class is not finalized and its interface might change in subsequent releases. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000089"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_swaption_volatility_cube_by_sabr.html">SwaptionVolatilityCubeBySabr</a> </dt>
<dd>this class is not finalized and its interface might change in subsequent releases. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000080"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_swaption_volatility_structure.html#f03ed234a0303f72b8838103f38c1ff7">SwaptionVolatilityStructure::SwaptionVolatilityStructure</a> () </dt>
<dd>term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000081"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_term_structure.html#63e4d4d006b0ddb5619085913313facc">TermStructure::TermStructure</a> () </dt>
<dd>term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000038"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_tibor.html">Tibor</a> </dt>
<dd>This is the rate fixed in Tokio by JBA. Use JPYLibor if you're interested in the London fixing by BBA.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000074"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_tree_swaption_engine.html">TreeSwaptionEngine</a> </dt>
<dd>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 <img class="formulaInl" alt="$ t \geq 0 $" src="form_172.png">.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000025"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_tridiagonal_operator.html">TridiagonalOperator</a> </dt>
<dd>to use real time-dependant algebra, you must overload the corresponding operators in the inheriting time-dependent class.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000059"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_trinomial_tree.html">TrinomialTree</a> </dt>
<dd>The diffusion term of the SDE must be independent of the underlying process.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000012"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_up_front_indexed_coupon.html">UpFrontIndexedCoupon</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000054"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_variance_swap.html">VarianceSwap</a> </dt>
<dd>This class does not manage seasoned variance swaps.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_caveats000094"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_yield_term_structure.html#1fe6f079fd223a1bae6ca156e5b52960">YieldTermStructure::YieldTermStructure</a> () </dt>
<dd>term structures initialized by means of this constructor must manage their own reference date by overriding the referenceDate() method. </dd>
</dl>
<p>
<a class="anchor" name="_caveats000039"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_zibor.html">Zibor</a> </dt>
<dd>This is the rate fixed in Zurich by BBA. Use CHFLibor if you're interested in the London fixing by BBA.<p>
</dd>
</dl>
</div>
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