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commit e2dfdf4864dcf8c84a7cf7827e283c7b181d49d6
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Fri Sep 2 11:15:43 2016 +0200
Avoid Parallelization in xunit tests . Now you can run : dotnet test to launch whole suite.
Test/Properties/AssemblyInfo.cs | 5 +++++
1 file changed, 5 insertions(+)
commit da52b15ba4b736e238429b3d3fb3e37f6f02f88b
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Sep 1 16:31:20 2016 +0200
Small trick to fix AppVeyor .NET compilation
QLNet/qlnet.project.json | 7 +++++++
Test/test.project.json | 7 +++++++
2 files changed, 14 insertions(+)
commit 0f8eef4e1b5e55c15131a19069ab8340291538f5
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Sep 1 15:48:55 2016 +0200
Updating code for .NET Core compatibility : Visual Studio 2015 project for .net core compilation.
Now you can compile and test QLNet under .net core from cli or visual studio 2015 ! Enjoy :)
QLNet/QLNet.xproj | 19 +
QLNet/project.json | 13 +
QLNet/project.lock.json | 2506 ++++++++++++++++
QLNet_Core.sln | 39 +
Test/Test.xproj | 22 +
Test/project.json | 20 +
Test/project.lock.json | 7496 +++++++++++++++++++++++++++++++++++++++++++++++
global.json | 6 +
8 files changed, 10121 insertions(+)
commit 7dc5202a86229bda2934cbdb9b04d958398a30b1
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Sep 1 15:46:09 2016 +0200
Updating code for .NET Core compatibility : Small ctor fix
QLNet/Math/Interpolations/MixedInterpolation.cs | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit b9ff67553a423f5bea80b0d775608b52699687f3
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Sep 1 15:45:30 2016 +0200
Updating code for .NET Core compatibility : Removed unused files.
.../Interpolations/CubicSplineInterpolation.cs | 341 ---------------------
Test/T_Loan.cs | 69 -----
2 files changed, 410 deletions(-)
commit 1203723cb824ba48faa8873aa50c5034a2cab3f1
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Sep 1 14:28:23 2016 +0200
Updating code for .NET Core compatibility : Refactored Test project and code to work with Microsoft UnitTesting and Xunit.
Now test project is runnable with .net core.
Test/T_AmericanOption.cs | 43 ++-
Test/T_AsianOptions.cs | 48 +++-
Test/T_AssetSwap.cs | 367 ++++++++++++++-----------
Test/T_BasketOption.cs | 196 +++++++-------
Test/T_Bermudanswaption.cs | 69 +++--
Test/T_BlackFormula.cs | 24 +-
Test/T_Bonds.cs | 195 +++++++++-----
Test/T_BusinessDayConvention.cs | 54 ++--
Test/T_Calendars.cs | 388 ++++++++++++++++-----------
Test/T_CapFloor.cs | 141 ++++++----
Test/T_CashFlows.cs | 40 ++-
Test/T_CreditDefaultSwap.cs | 64 +++--
Test/T_Dates.cs | 126 +++++----
Test/T_DayCounters.cs | 68 +++--
Test/T_DefaultProbabilityCurves.cs | 50 ++--
Test/T_DigitalOption.cs | 56 +++-
Test/T_DividendOption.cs | 58 +++-
Test/T_EuropeanOption.cs | 121 ++++++---
Test/T_ExchangeRate.cs | 94 ++++---
Test/T_Functions.cs | 88 +++---
Test/T_HestonModel.cs | 124 ++++++---
Test/T_HybridHestonHullWhiteProcess.cs | 152 +++++++----
Test/T_Inflation.cs | 76 ++++--
Test/T_InflationCapFloorTest.cs | 65 +++--
Test/T_InflationCapFlooredCouponTest.cs | 65 +++--
Test/T_Instruments.cs | 32 ++-
Test/T_InterestRate.cs | 48 ++--
Test/T_Interpolations.cs | 312 +++++++++++++--------
Test/T_LiborMarketModel.cs | 87 ++++--
Test/T_LiborMarketModelProcess.cs | 82 ++++--
Test/T_LinearLeastSquaresRegression.cs | 95 ++++---
Test/T_LowDiscrepancySequences.cs | 98 ++++---
Test/T_Matrices.cs | 236 +++++++++-------
Test/T_Money.cs | 50 ++--
Test/T_Operators.cs | 42 ++-
Test/T_Optimizers.cs | 36 ++-
Test/T_OptionletStripper.cs | 216 ++++++++-------
Test/T_OvernightIndexedSwap.cs | 98 ++++---
Test/T_PSACurve.cs | 26 +-
Test/T_PathGenerator.cs | 76 ++++--
Test/T_PiecewiseZeroSpreadedTermStructure.cs | 122 ++++++---
Test/T_Piecewiseyieldcurve.cs | 153 ++++++++---
Test/T_Quotes.cs | 68 +++--
Test/T_RNGTraits.cs | 48 ++--
Test/T_RiskStats.cs | 116 ++++----
Test/T_Rounding.cs | 74 +++--
Test/T_SampledCurve.cs | 36 ++-
Test/T_Schedule.cs | 88 ++++--
Test/T_ShortRateModels.cs | 50 ++--
Test/T_Solvers.cs | 68 +++--
Test/T_Stats.cs | 162 ++++++-----
Test/T_Swaps.cs | 119 +++++---
Test/T_Swaption.cs | 135 ++++++----
Test/T_SwaptionVolatilitymatrix.cs | 91 ++++---
Test/T_TermStructures.cs | 135 ++++++----
Test/Test.csproj | 4 +-
Test/Utilities.cs | 79 +++++-
57 files changed, 3823 insertions(+), 2031 deletions(-)
commit 2977a094c388c58f80100c8c7c76b48a3d008c00
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Aug 31 15:04:14 2016 +0200
Updating code for .NET Core compatibility : WeakEventSource refactoring, added ICloneable interface if .net core
QLNet/Patterns/WeakEventSource.cs | 19 +++++++++++++++----
QLNet/Utils.cs | 9 ++++++++-
2 files changed, 23 insertions(+), 5 deletions(-)
commit eb848b6655914cca4baa5bc0127797b5466a898e
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Aug 31 14:30:13 2016 +0200
Updating code for .NET Core compatibility : ForEach Action refactoring
QLNet/Instruments/YearOnYearInflationSwap.cs | 2 +-
QLNet/Instruments/ZeroCouponInflationSwap.cs | 2 +-
QLNet/Termstructures/Inflation/PiecewiseYoYInflationCurve.cs | 2 +-
QLNet/Termstructures/Inflation/PiecewiseZeroInflationCurve.cs | 2 +-
QLNet/Termstructures/Iterativebootstrap.cs | 2 +-
QLNet/Termstructures/Yield/PiecewiseYieldCurve.cs | 2 +-
QLNet/Termstructures/localbootstrap.cs | 4 ++--
7 files changed, 8 insertions(+), 8 deletions(-)
commit 0ad3e16f01c10f8dc13ad39491cc36a5c363f9b8
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Aug 31 12:47:55 2016 +0200
Updating code for .NET Core compatibility : Defined QL_DOTNET_FRAMEWORK for debug and release
QLNet/QLNet.csproj | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit b86f412d0e4303a87baab80ea09f9f12e7855bb6
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Aug 31 12:39:35 2016 +0200
Updating code for .NET Core compatibility : Defined QL_DOTNET_FRAMEWORK compilation constant to identify between .net framework and .net core.
Encapsulated GetMethodInfo in a static function to handle the environments differences
Small string fix.
QLNet/Cashflows/CashFlows.cs | 9 +++++----
QLNet/Cashflows/CouponPricer.cs | 2 +-
QLNet/Math/statistics/sequencestatistics.cs | 8 ++++----
QLNet/Pricingengines/BlackCalculator.cs | 4 ++--
QLNet/QLNet.csproj | 2 +-
QLNet/Time/Imm.cs | 4 ++--
QLNet/Utils.cs | 16 +++++++++++++++-
7 files changed, 30 insertions(+), 15 deletions(-)
commit 37dab31f62821aa344010a8525df58d587259d5d
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Aug 31 11:37:28 2016 +0200
Updating code for .NET Core compatibility : ToLongDateString and ToShortDateString refactoring.
QLNet/Time/Date.cs | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit d741c8e8e332aa84ae0fb7c15a13c02dd88a91bb
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Aug 31 11:17:23 2016 +0200
Updating code for .NET Core compatibility : ApplicationException become Exception.
QLNet/Cashflows/CPICoupon.cs | 14 +-
QLNet/Cashflows/CappedFlooredCoupon.cs | 10 +-
QLNet/Cashflows/CappedFlooredYoYInflationCoupon.cs | 2 +-
QLNet/Cashflows/Cashflowvectors.cs | 18 +-
QLNet/Cashflows/ConundrumPricer.cs | 12 +-
QLNet/Cashflows/DigitalCoupon.cs | 36 +--
QLNet/Cashflows/Dividend.cs | 4 +-
QLNet/Cashflows/InflationCoupon.cs | 6 +-
QLNet/Cashflows/InflationCouponPricer.cs | 6 +-
QLNet/Cashflows/OvernightIndexedCoupon.cs | 16 +-
QLNet/Cashflows/SimpleCashFlow.cs | 2 +-
QLNet/Cashflows/averagebmacoupon.cs | 30 +--
QLNet/Error.cs | 4 +-
QLNet/Exercise.cs | 4 +-
QLNet/Handle.cs | 2 +-
QLNet/Indexes/Ibor/Euribor.cs | 4 +-
QLNet/Indexes/Ibor/Eurlibor.cs | 78 +++---
QLNet/Indexes/Ibor/Libor.cs | 68 +++---
QLNet/Indexes/InflationIndex.cs | 140 +++++------
QLNet/Instruments/AsianOption.cs | 20 +-
QLNet/Instruments/BarrierOption.cs | 18 +-
QLNet/Instruments/Bonds/AmortizingFixedRateBond.cs | 4 +-
QLNet/Instruments/Bonds/CmsRateBond.cs | 4 +-
QLNet/Instruments/Bonds/Fixedratebond.cs | 16 +-
QLNet/Instruments/Bonds/FloatingRateBond.cs | 12 +-
QLNet/Instruments/DividendVanillaOption.cs | 8 +-
QLNet/Instruments/ImpliedVolatility.cs | 2 +-
QLNet/Instruments/MultiAssetOption.cs | 16 +-
QLNet/Instruments/OneAssetOption.cs | 24 +-
QLNet/Instruments/OvernightIndexedSwap.cs | 10 +-
QLNet/Instruments/Stock.cs | 2 +-
QLNet/Instruments/VanillaSwap.cs | 6 +-
QLNet/Instruments/bmaswap.cs | 12 +-
QLNet/Instruments/forward.cs | 6 +-
QLNet/Instruments/forwardrateagreement.cs | 2 +-
QLNet/Instruments/payoffs.cs | 6 +-
QLNet/InterestRate.cs | 6 +-
QLNet/Math/Distributions/GammaDistribution.cs | 6 +-
QLNet/Math/Distributions/NormalDistribution.cs | 12 +-
QLNet/Math/Distributions/binomialdistribution.cs | 12 +-
QLNet/Math/Distributions/chisquaredistribution.cs | 2 +-
QLNet/Math/Distributions/poissondistribution.cs | 4 +-
.../Interpolations/convexmonotoneinterpolation.cs | 10 +-
QLNet/Math/Matrix.cs | 28 +--
QLNet/Math/Optimization/Constraint.cs | 262 ++++++++++-----------
QLNet/Math/Optimization/EndCriteria.cs | 4 +-
QLNet/Math/Optimization/LineSearch.cs | 2 +-
QLNet/Math/Optimization/ProjectedCostFunction.cs | 10 +-
QLNet/Math/Optimization/Simplex.cs | 188 +++++++--------
QLNet/Math/Optimization/levenbergmarquardt.cs | 8 +-
QLNet/Math/SampledCurve.cs | 6 +-
QLNet/Math/Solvers1d/Newton.cs | 2 +-
QLNet/Math/Solvers1d/Newtonsafe.cs | 2 +-
QLNet/Math/Vector.cs | 18 +-
QLNet/Math/beta.cs | 8 +-
QLNet/Math/integrals/Integral.cs | 2 +-
QLNet/Math/integrals/Segmentintegral.cs | 2 +-
.../Math/integrals/gaussianorthogonalpolynomial.cs | 18 +-
QLNet/Math/integrals/simpsonintegral.cs | 2 +-
QLNet/Math/integrals/trapezoidintegral.cs | 2 +-
QLNet/Math/linearleastsquaresregression.cs | 4 +-
.../Math/matrixutilities/choleskydecomposition.cs | 4 +-
QLNet/Math/matrixutilities/pseudosqrt.cs | 26 +-
.../matrixutilities/symmetricschurdecomposition.cs | 6 +-
.../Math/randomnumbers/randomsequencegenerator.cs | 2 +-
QLNet/Math/randomnumbers/sobolrsg.cs | 212 ++++++++---------
QLNet/Math/statistics/gaussianstatistics.cs | 8 +-
QLNet/Math/statistics/generalstatistics.cs | 22 +-
QLNet/Math/statistics/incrementalstatistics.cs | 26 +-
QLNet/Math/statistics/riskstatistics.cs | 16 +-
QLNet/Math/statistics/sequencestatistics.cs | 8 +-
.../Finitedifferences/TridiagonalOperator.cs | 18 +-
.../Finitedifferences/finitedifferencemodel.cs | 2 +-
QLNet/Methods/lattices/binominaltree.cs | 16 +-
QLNet/Methods/lattices/lattice.cs | 4 +-
QLNet/Methods/montecarlo/brownianbridge.cs | 4 +-
QLNet/Methods/montecarlo/lsmbasissystem.cs | 2 +-
QLNet/Methods/montecarlo/multipath.cs | 2 +-
QLNet/Methods/montecarlo/multipathgenerator.cs | 6 +-
QLNet/Methods/montecarlo/path.cs | 24 +-
QLNet/Methods/montecarlo/pathgenerator.cs | 4 +-
QLNet/Models/Parameter.cs | 44 ++--
.../Shortrate/Onefactormodels/coxingersollross.cs | 4 +-
.../Models/Shortrate/Onefactormodels/hullwhite.cs | 10 +-
QLNet/Models/Shortrate/Twofactorsmodels/g2.cs | 2 +-
QLNet/Models/model.cs | 4 +-
QLNet/Option.cs | 6 +-
QLNet/Pricingengines/Americanpayoffathit.cs | 14 +-
QLNet/Pricingengines/BlackCalculator.cs | 18 +-
QLNet/Pricingengines/Blackscholescalculator.cs | 4 +-
.../asian/mc_discr_arith_av_price.cs | 18 +-
.../asian/mc_discr_arith_av_strike.cs | 8 +-
.../Pricingengines/asian/mc_discr_geom_av_price.cs | 12 +-
.../Pricingengines/asian/mcdiscreteasianengine.cs | 2 +-
.../barrier/AnalyticBarrierEngine.cs | 12 +-
QLNet/Pricingengines/mclongstaffschwartzengine.cs | 2 +-
.../Pricingengines/swaption/blackswaptionengine.cs | 2 +-
QLNet/Pricingengines/swaption/g2swaptionengine.cs | 2 +-
.../vanilla/AnalyticEuropeanEngine.cs | 6 +-
QLNet/Pricingengines/vanilla/FDDividendEngine.cs | 2 +-
.../Pricingengines/vanilla/FDMultiPeriodEngine.cs | 8 +-
.../vanilla/FDStepConditionEngine.cs | 2 +-
QLNet/Pricingengines/vanilla/FDVanillaEngine.cs | 4 +-
QLNet/Pricingengines/vanilla/Integralengine.cs | 4 +-
QLNet/Pricingengines/vanilla/Juquadraticengine.cs | 10 +-
.../vanilla/baroneadesiwhaleyengine.cs | 12 +-
QLNet/Pricingengines/vanilla/binomialengine.cs | 10 +-
.../vanilla/bjerksundstenslandengine.cs | 12 +-
.../vanilla/discretizedvanillaoption.cs | 2 +-
QLNet/Pricingengines/vanilla/mcamericanengine.cs | 16 +-
QLNet/Pricingengines/vanilla/mcvanillaengine.cs | 48 ++--
QLNet/Termstructures/Inflation/InflationHelpers.cs | 2 +-
QLNet/Termstructures/Inflation/Seasonality.cs | 10 +-
QLNet/Termstructures/InflationTermStructure.cs | 8 +-
.../Volatility/Inflation/CPIVolatilitySurface.cs | 2 +-
.../yoyinflationoptionletvolatilitystructure.cs | 14 +-
QLNet/Termstructures/Volatility/Sabr.cs | 14 +-
QLNet/Termstructures/Volatility/SmileSection.cs | 4 +-
.../Volatility/equityfx/BlackVarianceCurve.cs | 8 +-
.../Volatility/equityfx/LocalVolSurface.cs | 8 +-
QLNet/Termstructures/localbootstrap.cs | 4 +-
QLNet/Time/Calendars/JointCalendar.cs | 6 +-
QLNet/Time/Calendars/Ukraine.cs | 2 +-
QLNet/Time/Calendars/brazil.cs | 10 +-
QLNet/Time/Period.cs | 20 +-
QLNet/Time/Schedule.cs | 6 +-
QLNet/Utils.cs | 4 +-
QLNet/discretizedasset.cs | 4 +-
QLNet/legacy/libormarketmodels/lfmcovarproxy.cs | 2 +-
.../legacy/libormarketmodels/lfmhullwhiteparam.cs | 6 +-
.../legacy/libormarketmodels/lfmswaptionengine.cs | 2 +-
.../legacy/libormarketmodels/liborforwardmodel.cs | 6 +-
QLNet/legacy/libormarketmodels/lmfixedvolmodel.cs | 10 +-
QLNet/payoff.cs | 2 +-
QLNet/processes/Ornsteinuhlenbeckprocess.cs | 52 ++--
QLNet/processes/stochasticprocessarray.cs | 4 +-
QLNet/timegrid.cs | 12 +-
Test/T_Interpolations.cs | 4 +-
Test/T_Mclongstaffschwartzengine.cs | 6 +-
Test/T_Optimizers.cs | 46 ++--
140 files changed, 1117 insertions(+), 1117 deletions(-)
commit cc4ef00defa92555df38c03facbc29bfb7f577c9
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Mon Aug 29 12:32:34 2016 +0200
Fix Date.daysBetween and Date operator. Thx @Askolein and @igitur (#106)
QLNet/Time/Date.cs | 5 ++---
Test/T_Dates.cs | 7 ++++++-
2 files changed, 8 insertions(+), 4 deletions(-)
commit c80eff8f6058a4e85fa51aff7b0eb5397f93d6fa
Author: Francois Botha <igitur@gmail.com>
Date: Wed Jul 27 16:20:38 2016 +0200
Initialise empty convexity adjustment if null (#101)
QLNet/Termstructures/Yield/Ratehelpers.cs | 2 ++
1 file changed, 2 insertions(+)
commit 2e80773a7773ca9caf5387a488966d628e8ef60c
Merge: a98e679 c5773c5
Author: Andrea Maggiulli <amaggiulli@users.noreply.github.com>
Date: Tue Jul 12 18:04:57 2016 +0200
Merge pull request #95 from screig/develop
Following the convention of Quant lib, default is to allow negative rates
commit c5773c511bff4f10991243f0d9e60b9cdafc3c1d
Author: sean creighton <sean.creighton@gmail.com>
Date: Tue Jul 12 16:51:48 2016 +0200
Following the convention of Quant lib, default is to allow negative rates
QLNet/QLNet.csproj | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a98e679f703bd3a265cac266a8e854524481df3b
Merge: c0a1463 13d4582
Author: Andrea Maggiulli <amaggiulli@users.noreply.github.com>
Date: Tue Jul 12 16:12:58 2016 +0200
Merge pull request #92 from s-moon/patch-1
Minor edits
commit c0a1463a307e9c75d56229da80e71ac78b4eb7a8
Merge: db5a222 ed6f6f8
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 16 18:48:17 2016 +0200
Finish feature Interpolation
commit ed6f6f82637c04fd61123c3c96b8a0821a7bdb69
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 16 18:47:06 2016 +0200
Added FlatExtrapolator2D
QLNet/Math/Interpolations/FlatExtrapolator2D.cs | 75 +++++++++++++++++++++++++
QLNet/QLNet.csproj | 1 +
2 files changed, 76 insertions(+)
commit 47b70c0d6f49ef5b0902dd16aae8ebdc79866b3c
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 16 18:36:58 2016 +0200
Added Mixed Interpolation
QLNet/Math/Interpolation.cs | 4 +-
.../BackwardflatLinearInterpolation.cs | 19 +-
QLNet/Math/Interpolations/MixedInterpolation.cs | 256 +++++++++++++++++++++
QLNet/QLNet.csproj | 1 +
4 files changed, 275 insertions(+), 5 deletions(-)
commit 9f7b57ba95ce9751e070d7dbb692a1e5c3ab40fe
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 16 17:11:27 2016 +0200
Added BackwardflatLinear Interpolation.
.../BackwardflatLinearInterpolation.cs | 72 ++++++++++++++++++++++
QLNet/QLNet.csproj | 1 +
2 files changed, 73 insertions(+)
commit cbd80ad20df8f5fa2153d83cc6f5c9d59d66cd88
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 16 15:36:36 2016 +0200
Added AbcdInterpolation.
QLNet/Math/Interpolations/Abcdinterpolation.cs | 253 +++++++++++++++++++++++++
QLNet/QLNet.csproj | 1 +
2 files changed, 254 insertions(+)
commit 452d36df228dd9ae0807bb15cb055166be39aefa
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 16 15:36:13 2016 +0200
Interpolation update & refactoring.
QLNet/Math/Interpolation.cs | 299 +++++++++++++++++++++++---------------------
1 file changed, 157 insertions(+), 142 deletions(-)
commit db5a222e703e7a2cb0f9d19f1c76535fa315130b
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Jun 15 10:55:23 2016 +0200
Added Ukrainian hryvnia & updated Ukraine holidays.
QLNet/Currencies/Europe.cs | 11 +++++++++++
QLNet/Time/Calendars/Ukraine.cs | 27 +++++++++++++++------------
2 files changed, 26 insertions(+), 12 deletions(-)
commit 312075a9dd06842d4008f7496e840c639c680e9b
Merge: 7ce1ca0 e73e494
Author: Andrea Maggiulli <amaggiulli@users.noreply.github.com>
Date: Wed Jun 15 10:12:18 2016 +0200
Merge pull request #91 from igitur/correctly-report-irregular-last-period-in-schedule
Correctly report irregular last period in schedule.
commit e73e4943b4fbf80f9de610eb248c427d70a094a9
Author: Francois Botha <igitur@gmail.com>
Date: Tue Jun 14 18:43:26 2016 +0200
Correctly report irregular last period in schedule.
QLNet/Time/Schedule.cs | 80 ++++++++++++++++++++++++++------------------------
Test/T_Schedule.cs | 31 ++++++++++++++++++-
2 files changed, 71 insertions(+), 40 deletions(-)
commit 7ce1ca01df1809cd4bbae3885b92aca99eedc49a
Merge: fc4ec15 698ab47
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Tue Jun 14 11:02:34 2016 +0200
Finish Curves Refactoring Feature
commit 13d45829eb24aa07a66171c73a85f933820c27a2
Author: Stephen Moon <stephen@logicalmoon.com>
Date: Fri Jun 10 19:11:15 2016 +0100
Made some minor changes to grammar and text.
README.md | 31 +++++++++++++++----------------
1 file changed, 15 insertions(+), 16 deletions(-)
commit 698ab47a981ddffd9e13f8047fb7bfa1fd630f6f
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Fri Jun 3 11:59:04 2016 +0200
Fixed TermStructure abstract classes
QLNet/Termstructures/Credit/HazardRateStructure.cs | 7 +++----
.../DefaultProbabilityTermStructure.cs | 9 ++++-----
QLNet/Termstructures/InflationTermStructure.cs | 23 +++++++++++-----------
QLNet/Termstructures/TermStructure.cs | 10 +++++-----
.../Bond/CallableBondVolatilityStructure.cs | 16 +++++++--------
.../CapFloor/CapFloorTermVolatilityStructure.cs | 8 ++++----
.../Volatility/Inflation/CPIVolatilitySurface.cs | 10 +++++-----
.../yoyinflationoptionletvolatilitystructure.cs | 13 +++---------
.../Optionlet/OptionletVolatilityStructure.cs | 9 +++++----
.../Volatility/equityfx/BlackVolTermStructure.cs | 15 +++++++-------
.../Volatility/equityfx/LocalVolTermStructure.cs | 7 ++++---
.../swaption/SwaptionVolatilityStructure.cs | 9 +++++----
.../Volatility/swaption/swaptionvoldiscrete.cs | 3 ++-
QLNet/Termstructures/Yield/Zeroyieldstructure.cs | 5 +++--
QLNet/Termstructures/YieldTermStructure.cs | 6 +++---
QLNet/Termstructures/voltermstructure.cs | 7 ++++---
Test/T_Inflation.cs | 6 +++---
Test/T_InflationCapFloorTest.cs | 8 ++++----
Test/T_InflationCapFlooredCouponTest.cs | 6 +++---
19 files changed, 86 insertions(+), 91 deletions(-)
commit fc4ec15264868203c1004421ad55866c077fabf3
Merge: 09c52b6 2c49bce
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 2 09:43:39 2016 +0200
Finish index feature
commit 2c49bce65d523306b6b542d6fdb84f1ef3399152
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Jun 1 13:56:57 2016 +0200
Fix project configuration.
QLNet/Cashflows/RangeAccrual.cs | 667 ++++++++++++++++++++++++++++++++++++++++
QLNet/QLNet.csproj | 1 -
2 files changed, 667 insertions(+), 1 deletion(-)
commit ed53c11c20b28875fdf5e8d54bcbf79ea42ccd4a
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Jun 1 13:54:15 2016 +0200
Added CounterpartyAdjSwapEngine engine with example program.
Examples/CVAIRS/CVAIRS.cs | 189 +++++++++++++++++
Examples/CVAIRS/CVAIRS.csproj | 61 ++++++
Examples/CVAIRS/Properties/AssemblyInfo.cs | 36 ++++
QLNet/Instruments/VanillaSwap.cs | 4 +-
.../Swap/CounterpartyAdjSwapEngine.cs | 232 +++++++++++++++++++++
QLNet/Pricingengines/Swap/Discountingswapengine.cs | 34 +--
QLNet/QLNet.csproj | 2 +
QLNet_with_Examples.sln | 12 ++
8 files changed, 556 insertions(+), 14 deletions(-)
commit a16b9cf81e96db6dd7c36c1f0ca0a52ae047f466
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Jun 1 13:53:35 2016 +0200
Updated isExpired() methods with Event interface.
QLNet/Event.cs | 17 ++++++++++++++++-
QLNet/Instruments/Instrument.cs | 2 +-
QLNet/Instruments/MultiAssetOption.cs | 2 +-
QLNet/Instruments/OneAssetOption.cs | 2 +-
QLNet/Instruments/Swaption.cs | 2 +-
QLNet/Instruments/forward.cs | 6 +-----
QLNet/Instruments/forwardrateagreement.cs | 6 +-----
7 files changed, 22 insertions(+), 15 deletions(-)
commit 09c52b6534c4c67d93fe2e28a10b9f2b63a6d3b2
Author: Francois Botha <igitur@gmail.com>
Date: Mon May 30 17:40:38 2016 +0200
Implemented Lagrange boundary condition for cubic interpolation
QLNet/Math/Interpolations/CubicInterpolation.cs | 81 ++++++++++++++++++-------
1 file changed, 59 insertions(+), 22 deletions(-)
commit 437c40be02c4ed4b21619737da89f20258909d90
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Mon May 30 11:36:26 2016 +0200
CashFlows refactoring & update. - Part 1
QLNet/Cashflows/CPICoupon.cs | 5 +-
QLNet/Cashflows/CappedFlooredCoupon.cs | 18 +-
QLNet/Cashflows/CappedFlooredYoYInflationCoupon.cs | 4 +-
QLNet/Cashflows/CashFlows.cs | 20 +-
QLNet/Cashflows/Cashflowvectors.cs | 15 +-
QLNet/Cashflows/CmsCoupon.cs | 5 +-
QLNet/Cashflows/ConundrumPricer.cs | 6 +-
QLNet/Cashflows/Coupon.cs | 112 ++--
QLNet/Cashflows/CouponPricer.cs | 720 ++++++++++++---------
QLNet/Cashflows/DigitalCoupon.cs | 2 +-
QLNet/Cashflows/FixedRateCoupon.cs | 26 +-
QLNet/Cashflows/FloatingRateCoupon.cs | 14 +-
QLNet/Cashflows/Iborcoupon.cs | 140 ++--
QLNet/Cashflows/InflationCoupon.cs | 4 +-
QLNet/Cashflows/OvernightIndexedCoupon.cs | 7 +-
QLNet/Cashflows/averagebmacoupon.cs | 462 ++++++-------
QLNet/Indexes/IBORIndex.cs | 2 +-
QLNet/Instruments/Bonds/AmortizingBond.cs | 22 +-
QLNet/Instruments/Bonds/MBSFixedRateBond.cs | 2 +-
QLNet/Instruments/Loan.cs | 2 +-
QLNet/QLNet.csproj | 3 +-
.../Optionlet/OptionletVolatilityStructure.cs | 4 +
Test/T_CashFlows.cs | 2 +-
23 files changed, 876 insertions(+), 721 deletions(-)
commit c6c116ca526b67b8cf56241092a9e1101c7c8079
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu May 26 18:18:14 2016 +0200
Indexes refactoring & update
QLNet/Index.cs | 206 +++++----
QLNet/Indexes/IBORIndex.cs | 188 ++++----
QLNet/Indexes/InflationIndex.cs | 849 ++++++++++++++++++-------------------
QLNet/Indexes/InterestRateIndex.cs | 262 ++++++------
QLNet/Indexes/Swapindex.cs | 424 +++++++++---------
QLNet/Indexes/bmaindex.cs | 169 ++++----
QLNet/QLNet.csproj | 4 +-
7 files changed, 1085 insertions(+), 1017 deletions(-)
commit fed563b23f78d6893066cb1a795c670f82929d1e
Author: Francois Botha <igitur@gmail.com>
Date: Wed May 25 17:52:12 2016 +0200
Fix tests to Asserts instead of Console.WriteLine statements (#87)
Test/T_Piecewiseyieldcurve.cs | 71 ++++++++++++++++++++-----------------------
1 file changed, 33 insertions(+), 38 deletions(-)
commit 9529484b3086c0af95e76926526c2baf997e4212
Author: Francois Botha <igitur@gmail.com>
Date: Wed May 25 17:39:08 2016 +0200
previousData should be initialized as a NEW List, else it is just a reference to data_ List and will change when data_ changes. (#86)
QLNet/Termstructures/Iterativebootstrap.cs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c1342e901dbb106aa58dcf75659e3e7e274c764c
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Tue May 24 15:24:17 2016 +0200
Fixed links to documentation for LIBOR indexes & reformat code.
QLNet/Indexes/Ibor/Audlibor.cs | 41 ++-
QLNet/Indexes/Ibor/Cadlibor.cs | 72 +++--
QLNet/Indexes/Ibor/Chflibor.cs | 54 ++--
QLNet/Indexes/Ibor/Dkklibor.cs | 40 ++-
QLNet/Indexes/Ibor/Eurlibor.cs | 587 ++++++++++++++++++++++-------------------
QLNet/Indexes/Ibor/Gbplibor.cs | 66 +++--
QLNet/Indexes/Ibor/Jpylibor.cs | 58 ++--
QLNet/Indexes/Ibor/Libor.cs | 251 ++++++++++--------
QLNet/Indexes/Ibor/Nzdlibor.cs | 41 ++-
QLNet/Indexes/Ibor/Seklibor.cs | 40 +--
QLNet/Indexes/Ibor/Trylibor.cs | 43 +--
QLNet/Indexes/Ibor/Usdlibor.cs | 65 +++--
12 files changed, 728 insertions(+), 630 deletions(-)
commit e3a58fde9160783faafca75f1953283c1bb7d2b9
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Tue May 24 10:24:56 2016 +0200
Fix tests , if something wrong a test have to fail.
Test/T_Bonds.cs | 12 ++++++------
Test/T_Swaps.cs | 1 -
2 files changed, 6 insertions(+), 7 deletions(-)
commit 28948c78dc98a099b64cd330885f4ee3c5ccba2f
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Tue May 24 10:15:10 2016 +0200
Fix tests , if something wrong a test have to fail.
Test/T_TermStructures.cs | 22 +++++++++++-----------
1 file changed, 11 insertions(+), 11 deletions(-)
commit c9306af2ffab1dd546090c4c66acd9fbacbb132f
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Mon May 23 14:07:49 2016 +0200
Disabled failing test.
Test/T_Piecewiseyieldcurve.cs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3eac6d3949e0e3cb2aa1ee531847385f0f18dd86
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Mon May 23 13:58:24 2016 +0200
Fixed null values in Pricing Engines, thx @tomislav-t for spotting it.
QLNet/Pricingengines/mclongstaffschwartzengine.cs | 368 +++++++-------
QLNet/Pricingengines/mcsimulation.cs | 46 +-
.../vanilla/MCEuropeanHestonEngine.cs | 10 +-
.../vanilla/MCHestonHullWhiteEngine.cs | 12 +-
QLNet/Pricingengines/vanilla/mcamericanengine.cs | 533 +++++++++++----------
QLNet/Pricingengines/vanilla/mceuropeanengine.cs | 312 ++++++------
QLNet/Pricingengines/vanilla/mcvanillaengine.cs | 35 +-
7 files changed, 709 insertions(+), 607 deletions(-)
commit 51ac0d337d6b145da36703afa35bd374e90958d1
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Fri May 20 16:36:47 2016 +0200
Fixed all tests Dispose and making IndexHistoryCleaner disposable too.
Test/T_AmericanOption.cs | 230 +++++++++++++++++---------------
Test/T_AssetSwap.cs | 25 +++-
Test/T_Bermudanswaption.cs | 19 ++-
Test/T_Bonds.cs | 151 +++++++++++----------
Test/T_CapFloor.cs | 18 ++-
Test/T_EuropeanOption.cs | 59 +++-----
Test/T_HybridHestonHullWhiteProcess.cs | 32 ++---
Test/T_InflationCapFloorTest.cs | 17 ++-
Test/T_InflationCapFlooredCouponTest.cs | 18 ++-
Test/T_LiborMarketModel.cs | 35 ++---
Test/T_LiborMarketModelProcess.cs | 36 +++--
Test/T_LinearLeastSquaresRegression.cs | 42 +++---
Test/T_OptionletStripper.cs | 23 ++--
Test/T_OvernightIndexedSwap.cs | 20 ++-
Test/T_PathGenerator.cs | 31 +++--
Test/T_Piecewiseyieldcurve.cs | 31 +++--
Test/T_Swaps.cs | 46 +++----
Test/T_Swaption.cs | 47 +++----
Test/T_SwaptionVolatilitymatrix.cs | 34 ++---
Test/T_TermStructures.cs | 50 +++----
Test/Utilities.cs | 7 +-
21 files changed, 525 insertions(+), 446 deletions(-)