Merge remote-tracking branch 'origin/Ver-1.6'

Examples/CallableBonds/CallableBonds.cs

@@ -1,17 +1,17 @@
 /*
- Copyright (C) 2008, 2009 , 2010, 2011, 2012  Andrea Maggiulli (a.maggiulli@gmail.com) 
-  
+ Copyright (C) 2008, 2009 , 2010, 2011, 2012  Andrea Maggiulli (a.maggiulli@gmail.com)
+
  This file is part of QLNet Project http://www.qlnet.org
 
  QLNet is free software: you can redistribute it and/or modify it
  under the terms of the QLNet license.  You should have received a
- copy of the license along with this program; if not, license is  
+ copy of the license along with this program; if not, license is
  available online at <http://trac2.assembla.com/QLNet/wiki/License>.
-  
+
  QLNet is a based on QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
  The QuantLib license is available online at http://quantlib.org/license.shtml.
- 
+
  This program is distributed in the hope that it will be useful, but WITHOUT
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
@@ -27,13 +27,13 @@ namespace CallableBonds
 {
    class CallableBonds
    {
-      
+
       static YieldTermStructure flatRate(Date today,
                                   double forward,
                                   DayCounter dc,
                                   Compounding compounding,
-                                  Frequency frequency) 
-   
+                                  Frequency frequency)
+
       {
          return new FlatForward(today, forward, dc, compounding, frequency);
          //FlatForward flatRate = new FlatForward(settlementDate, r.rate(), r.dayCounter(), r.compounding(), r.frequency());
@@ -81,7 +81,7 @@ as documented in PFC1 as a "default" in the latter case.
          int numberOfCallDates = 24;
          Date callDate = new Date(15,Month.September,2006);
 
-         for (int i=0; i< numberOfCallDates; i++) 
+         for (int i=0; i< numberOfCallDates; i++)
          {
             Calendar nullCalendar = new NullCalendar();
 
@@ -147,9 +147,9 @@ Therefore use ActAct(Bond)
                                                                                 maxIterations));
          Console.WriteLine("Bloomberg price/yld (%) ");
          Console.WriteLine("96.50 / 5.47");
-             
+
          //
-         
+
          sigma = .01;
 
          Console.WriteLine("sigma/vol (%) = {0:0.00}", (100.0 * sigma));
@@ -216,7 +216,7 @@ Therefore use ActAct(Bond)
 
          Console.WriteLine("Bloomberg price/yld (%) ");
          Console.WriteLine("87.16 / 7.83");
-         
+
          //
 
          sigma = .12;

News.txt

@@ -0,0 +1,83 @@
+QLNet 1.6 
+=========================
+
+QLNet 1.6 stable version.
+
+The most notable changes are included below.
+A detailed list of changes is available in ChangeLog.txt.
+
+DATE/TIME
+
++ Added Moscow Exchange calendar .
+
++ Added 70th anniversary of anti-Japanese day to Chinese calendar.
+
++ Fixed Chinese New Year date for 2010.
+
++ Added nearest-trading-day business day convention.
+
++ Prevented normalization of a 7-days period to a 1-week period, since
+  this doesn't apply to business days.
+
++ Allowed schedules built with a vector of dates to be used for coupon
+  generation, given that the required information was provided.
+
++ Added support for Australian Security Exchange (ASX) dates.
+
++ Added ECB dates for April and June 2016.
+
+INSTRUMENTS
+
++ Fix capfloor bug on ctor.
+
++ Extended digital American options to handle knock-off case.
+
++ Added Bachelier engine for caps/floors based on normal volatility.
+
++ Allowed non strike/type payoffs in finite-differences engine for
+  vanilla options.
+
++ Fixed settlement days of BTP bonds.
+
++ Added IPrepayModel interface, ConstantCPR class, and updated MBSFixedRateBond to use the interface rather than the PSACurve class.
+
+PRICING ENGINE 
+
++ Black Formula rewritten
+
++ Added StulzEngine and KirkEngine
+
+INDEXES
+
++ Fixed day-count convention for Fed Funds rate.
+
+TERM STRUCTURES
+
++ Fixed bug where a valid previous curve state could be a bad guess
+  for the next and lead to a bootstrap failure.
+
+VOLATILITY
+
++ BlackVarianceSurface implementation
+
+MATH
+
++ Fix close and close_enough comparison.
+
++ Better comparison between double numbers.
+
++ Allowed user-defined Jacobian in optimization.
+
+MISCELLANEA
+
++ Added IDR, MYR, RUB and VND currencies.
+
+CODE REFACTORING
+
++ Fix Handle ctor to avoid empty constructors.
+
++ Removed Count() with property access , removed ThreadStatic initialize
+
++ Replace ?: operator with ?? operator.
+
++ Removed all redundant using directive.

QLNet/Cashflows/CPICoupon.cs

@@ -19,8 +19,6 @@ under the terms of the QLNet license.  You should have received a
 
 using System;
 using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/CPICouponPricer.cs

@@ -17,9 +17,6 @@ under the terms of the QLNet license.  You should have received a
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/CappedFlooredCoupon.cs

@@ -19,9 +19,6 @@ under the terms of the QLNet license.  You should have received a
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/CappedFlooredYoYInflationCoupon.cs

@@ -16,11 +16,7 @@ under the terms of the QLNet license.  You should have received a
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
-
 using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/CashFlows.cs

@@ -434,15 +434,15 @@ public static CashFlow previousCashFlow(Leg leg, bool includeSettlementDateFlows
       {
          if (leg.empty()) return null;
 
-         Date d = (settlementDate == null ? Settings.evaluationDate() : settlementDate);
+         Date d = (settlementDate ?? Settings.evaluationDate());
          return  leg.LastOrDefault(x => x.hasOccurred(d, includeSettlementDateFlows));
       }
       //! the first cashflow paying after the given date
       public static CashFlow nextCashFlow(Leg leg, bool includeSettlementDateFlows, Date settlementDate = null)
       {
          if (leg.empty()) return null;
 
-         Date d = (settlementDate == null ? Settings.evaluationDate() : settlementDate);
+         Date d = (settlementDate ?? Settings.evaluationDate());
 
          // the first coupon paying after d is the one we're after
          return leg.FirstOrDefault(x => !x.hasOccurred(d, includeSettlementDateFlows));

QLNet/Cashflows/Cashflowvectors.cs

@@ -20,8 +20,6 @@ under the terms of the QLNet license.  You should have received a
 */
 using System;
 using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet {
 

QLNet/Cashflows/CmsCoupon.cs

@@ -18,10 +18,8 @@ under the terms of the QLNet license.  You should have received a
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
-using System;
+
 using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet {
     //! CMS coupon class

QLNet/Cashflows/ConundrumPricer.cs

@@ -20,7 +20,6 @@ under the terms of the QLNet license.  You should have received a
 using System;
 using System.Collections.Generic;
 using System.Linq;
-using System.Text;
 
 namespace QLNet {
     public abstract class VanillaOptionPricer {

QLNet/Cashflows/CouponPricer.cs

@@ -150,9 +150,8 @@ protected override double optionletPrice(Option.Type optionType, double effStrik
                 }
                 return Math.Max(a - b, 0.0) * coupon_.accrualPeriod() * discount_;
             } else {
-                // not yet determined, use Black model
-                if (!(!capletVolatility().empty()))
-                    throw new ApplicationException("missing optionlet volatility");
+                // not yet determined, use Black model
+               Utils.QL_REQUIRE( !capletVolatility().empty(),()=> "missing optionlet volatility" );
 
 
                 double stdDev = Math.Sqrt(capletVolatility().link.blackVariance(fixingDate, effStrike));
@@ -170,9 +169,8 @@ protected virtual double adjustedFixing(double? fixing_) {
             if (!coupon_.isInArrears()) {
                 adjustement = 0.0;
             } else {
-                // see Hull, 4th ed., page 550
-                if (!(!capletVolatility().empty()))
-                    throw new ApplicationException("missing optionlet volatility");
+                // see Hull, 4th ed., page 550
+                Utils.QL_REQUIRE( !capletVolatility().empty(),()=> "missing optionlet volatility" );
 
                 Date d1 = coupon_.fixingDate();
                 Date referenceDate = capletVolatility().link.referenceDate();

QLNet/Cashflows/DigitalCmsCoupon.cs

@@ -17,10 +17,8 @@ under the terms of the QLNet license.  You should have received a
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
-using System;
+
 using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/DigitalCoupon.cs

@@ -19,9 +19,6 @@ under the terms of the QLNet license.  You should have received a
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/DigitalIborCoupon.cs

@@ -17,10 +17,8 @@ under the terms of the QLNet license.  You should have received a
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
-using System;
+
 using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/Dividend.cs

@@ -18,8 +18,6 @@ under the terms of the QLNet license.  You should have received a
 */
 using System;
 using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/FixedRateCoupon.cs

@@ -20,7 +20,6 @@ under the terms of the QLNet license.  You should have received a
 using System;
 using System.Collections.Generic;
 using System.Linq;
-using System.Text;
 
 namespace QLNet 
 {

QLNet/Cashflows/FloatingRateCoupon.cs

@@ -48,7 +48,7 @@ public FloatingRateCoupon(double nominal,
          : base(nominal, paymentDate, startDate, endDate, refPeriodStart, refPeriodEnd)
       {
          index_ = index;
-         dayCounter_ = dayCounter == null ? new DayCounter() : dayCounter ;
+         dayCounter_ = dayCounter ?? new DayCounter() ;
          fixingDays_ = fixingDays == default(int) ? index.fixingDays() : fixingDays;
          gearing_ = gearing;
          spread_ = spread;

QLNet/Cashflows/Iborcoupon.cs

@@ -20,8 +20,6 @@ under the terms of the QLNet license.  You should have received a
 */
 using System;
 using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/IndexedCashFlow.cs

@@ -17,11 +17,6 @@ under the terms of the QLNet license.  You should have received a
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
-
 namespace QLNet
 {
    //! Cash flow dependent on an index ratio.

QLNet/Cashflows/InflationCoupon.cs

@@ -16,11 +16,7 @@ under the terms of the QLNet license.  You should have received a
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
-
 using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {

QLNet/Cashflows/InflationCouponPricer.cs

@@ -16,11 +16,7 @@ under the terms of the QLNet license.  You should have received a
  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
-
 using System;
-using System.Collections.Generic;
-using System.Linq;
-using System.Text;
 
 namespace QLNet
 {