FinancePy cash-settled swaption annuity counts N−1 payments instead of N

Abstract

Independent GERO audit of FinancePy 1.1.2 and master commit 2b9227fea9d832c4033421d6cd53a54316414fca. IborSwap.cash_settled_pv01 skips a real payment when valued on or before its effective date. A single annual payment at 4% returns zero instead of 1/1.04. With N regular payments, the method sums N−1 discount terms. The candidate restores all 360 independent Decimal annuity checks; the configured upstream unit suite passes 972 tests, including 14 new regressions. Restoring the original production code makes all 14 regressions fail. A synthetic five-year Black cash-settled swaption with notional 1,000,000 changes from 15,759.084387 to 17,342.956375 after correction. Seven small residuals remain against a strict, independent erf-based Black oracle (maximum 0.04389523 per 1,000,000 notional), explained by the existing normal-CDF approximation. These results and the original failed comparison are retained; no tolerance was loosened. A separate diagnostic holding the library Black kernel fixed passes 162/162 composition checks. Frozen source, original results, mutation tests, candidate patch, report, English short video and production sources are included. Archive SHA-256: 32d15e39b54cbf07a88c3ceb744c97e34f4acb9bea5dd05a2376775a79e9d7c6. The original archive retains its historical preparation-stage labels. No client losses, live trading exposure or upstream acceptance are claimed. The bounded public duplicate review identified no direct match. Analysis, verification and artifact preparation were AI-assisted. Original GERO graphics; synthetic Microsoft en-US-JennyNeural narration through edge-tts, rate −3%. Report: https://www.gero.uz/research/articles/financepy-cash-settled-annuity.htmlCode and evidence: https://github.com/kadyrbekovhamit-cyber/gero-financepy-cash-annuity-auditMaintainer correspondence: https://github.com/domokane/FinancePy/issues/262 Upstream source, compatible patch and tests, report and audit scripts retain GPL-3.0-or-later licensing. No affiliation with FinancePy or OpenGamma is implied.