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Fixes the Heston PDE pricing discrepancy in #112 by retaining drift and discounting at natural variance boundaries ... - #113
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…n replaces the implicit boundary equation with an identity—even though NONE means the PDE equation should remain active. The fix retains those terms using matching one-sided explicit and implicit stencils. It applies only where diffusion vanishes and drift points inward; prescribed boundary values remain respected.
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Fixes the Heston PDE pricing discrepancy in #112 by retaining drift and discounting at natural variance boundaries where diffusion vanishes. Explicit and implicit boundary calculations use matching one-sided coefficients, while prescribed boundary values remain unchanged.
Adds regression tests in both source trees. Validation: 33 tests passed on JDK 17, six regression tests passed on Java 8, and Checkstyle passed. The separate non-flat-rate issue is outside this change.
What is this PR for?
FIX 112
What type of PR is it?
BUG FIX
How should this be tested?
Unit tests included
Questions:
Does the licenses files need update?
NO
Are there breaking changes for older versions?
NO
Does the change require additional documentation?
NO