Observed arrival · 2026-09-26
Regime switching, with a referee for every number
A set of pricing libraries for financial models whose parameters vary according to an unobserved, finite-state regime.
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- The test certificates compare each model's equal-regime limit with QuantLib's engine before checking the switching case against an independent referee.
Field notes
The quick start constructs a two-state regime chain with switching rates of 3.0 and 5.0, then prices a five-year zero-coupon bond under a switching Vasicek model. The documentation distinguishes the expansion from a numerical reduced-system solution and says certificates first check the equal-regime limit against QuantLib. It also identifies grids and Monte Carlo as the approach for several cases not covered by exact reduction.
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