Did no-one check the maths? There's a difference between having a full test suite, and someone trying some choice values, but I'd expect both would pick up something like that.
Economists from other teams looked at it and signed off.
There was manual testing — ie, trying some “choice values”.
We discovered their error in convexity when our test suite allowed us to randomly sample the models at scale. (Actually, I had questions before that — but unsurprisingly, when it was just me questioning a PhD economist, the lowly SDE was ignored.)
Good intentions aren’t enough; you need mechanisms.
