[leafyoung]

Summary

detail::QdPutCallParityEngine::calculate() — shared by both QdPlusAmericanEngine and QdFpAmericanEngine — checks only that the exercise type is American:

QL_REQUIRE(arguments_.exercise->type() == Exercise::American,
           "not an American option");

It never inspects AmericanExercise::payoffAtExpiry(). Every other closed-form American engine explicitly rejects that flag, since their analytic formulas assume the standard immediate-early-exercise convention, not the payoff-deferred-to-expiry one:

• BaroneAdesiWhaleyApproximationEngine
• BjerksundStenslandApproximationEngine
• JuQuadraticApproximationEngine
• McAmericanEngine (via EarlyExercise::payoffAtExpiry())

Without the same guard, QD+/QD-FP silently price a payoffAtExpiry-flagged American option as if it were a standard American option — a confidently wrong result with no indication anything is off, rather than the clean rejection every sibling closed-form engine gives.

Fix

Added the same guard pattern used by the sibling engines (downcast to AmericanExercise, reject if payoffAtExpiry() is set), in the single shared calculate() so both QdPlusAmericanEngine and QdFpAmericanEngine are covered.

Test

Added testQdEnginesRejectPayoffAtExpiry to test-suite/americanoption.cpp, covering both engines: confirms a plain American exercise still prices normally, and a payoffAtExpiry-flagged one throws. Without the fix, both engines compute a result instead of throwing; with the fix, both throw as expected. Full AmericanOptionTests suite (39 cases) passes with no regressions.

🤖 Co-worked with Claude Code

[Copilot]

🟢 Approval recommended

No active review issues remain for the shared QD American exercise-validation change.

No open issues 🎉

What changed in this PR

Adds validation to the shared QD American pricing engine so QD+ and QD-FP reject payoff-at-expiry exercises instead of pricing them under unsupported assumptions.

Changes:

• Checks the American exercise’s payoffAtExpiry flag in the shared calculation path.
• Adds regression coverage for both engines, checking that standard American exercises price without throwing and payoff-at-expiry exercises raise an error.

File	Description
test-suite/​americanoption.cpp	Adds exercise-validation regression coverage for both QD engines.
ql/​pricingengines/​vanilla/​qdplusamericanengine.cpp	Rejects unsupported payoff-at-expiry exercises in the shared engine.

_{Review effort: Balanced}