diff --git a/ChangeLog.txt b/ChangeLog.txt index b8b470ab..28358430 100644 --- a/ChangeLog.txt +++ b/ChangeLog.txt @@ -1,484 +1,455 @@ -commit 21e7100473af85d45dbd635fdaf9c844f409efd1 +commit 6e4f632f35ea14539c5aeea22491e6b79d4fcd67 Author: Andrea Maggiulli -Date: Tue Nov 23 20:00:02 2021 +0100 +Date: Tue Apr 18 16:02:52 2023 +0200 - Updated to netstandard2.1. + Updated to .NET 7.0 - src/QLNet/QLNet.csproj | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + src/QLNet/QLNet.csproj | 2 +- + tests/QLNet.Tests/QLNet.Tests.csproj | 2 +- + 2 files changed, 2 insertions(+), 2 deletions(-) -commit cc11a60d51efc6a25eed61739999bb263c7377de -Author: Andrea Maggiulli -Date: Tue Nov 23 19:57:11 2021 +0100 +commit d3be509b333a0b6cc62b15912f922b5e3e25d3ca +Author: Andrea Maggiulli +Date: Tue Apr 18 15:42:13 2023 +0200 - Updated calendars tests. + Updated calendars for 2023 (#275) - tests/QLNet.Tests/T_Calendars.cs | 74 +++++++++++++++++++++++++++++++++++----- - 1 file changed, 66 insertions(+), 8 deletions(-) + src/QLNet/Time/Calendars/Australia.cs | 68 +++++++++++++++++++++++++++++++++++++++++---- + src/QLNet/Time/Calendars/China.cs | 18 ++++++++++-- + src/QLNet/Time/Calendars/Denmark.cs | 8 +++--- + src/QLNet/Time/Calendars/NewZealand.cs | 84 +++++++++++++++++++++++++++++++++++--------------------- + src/QLNet/Time/Calendars/SouthAfrica.cs | 6 ++++ + src/QLNet/Time/Calendars/Turkey.cs | 168 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++-- + src/QLNet/Time/Calendars/UnitedStates.cs | 5 ++-- + tests/QLNet.Tests/T_Calendars.cs | 124 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++--- + 8 files changed, 431 insertions(+), 50 deletions(-) -commit 10eb3c3133a66b0caf093014a206fa8a81e9b871 +commit fc48993c25f2c9e0afd57a3846962e940a3843d3 Author: Andrea Maggiulli -Date: Tue Nov 23 19:56:46 2021 +0100 - - Updated all calendars. - - src/QLNet/Time/Calendars/France.cs | 1 - - src/QLNet/Time/Calendars/Germany.cs | 18 +- - src/QLNet/Time/Calendars/HongKong.cs | 352 ++++++++++++++++++------------ - src/QLNet/Time/Calendars/Hungary.cs | 4 +- - src/QLNet/Time/Calendars/India.cs | 64 ++++++ - src/QLNet/Time/Calendars/Japan.cs | 62 ++++-- - src/QLNet/Time/Calendars/Mexico.cs | 4 +- - src/QLNet/Time/Calendars/NewZealand.cs | 5 +- - src/QLNet/Time/Calendars/Norway.cs | 2 + - src/QLNet/Time/Calendars/Romania.cs | 59 ++++- - src/QLNet/Time/Calendars/Russia.cs | 108 ++++++++- - src/QLNet/Time/Calendars/SouthKorea.cs | 22 +- - src/QLNet/Time/Calendars/Sweden.cs | 6 +- - src/QLNet/Time/Calendars/Taiwan.cs | 107 ++++++++- - src/QLNet/Time/Calendars/Thailand.cs | 96 ++++---- - src/QLNet/Time/Calendars/Turkey.cs | 4 +- - src/QLNet/Time/Calendars/UnitedKingdom.cs | 52 ++--- - src/QLNet/Time/Calendars/UnitedStates.cs | 122 ++++++++++- - 18 files changed, 811 insertions(+), 277 deletions(-) - -commit 5d06ff463ed22e7d0131bc047e35ef9eb9cd0e05 -Author: Andrea Maggiulli -Date: Mon Nov 22 20:23:43 2021 +0100 +Date: Fri Apr 7 20:46:26 2023 +0200 - Updated Canadian calendar. Close #266 + Fixing Schedule until method. - src/QLNet/Time/Calendars/Canada.cs | 9 ++++++--- - 1 file changed, 6 insertions(+), 3 deletions(-) + src/QLNet/Time/Schedule.cs | 4 ++-- + 1 file changed, 2 insertions(+), 2 deletions(-) -commit a8d3dd34792341d3f78a326592905bd63f49df34 +commit 7ba4747bf048ba837489c9881d22e6cd11c112ec Author: Andrea Maggiulli -Date: Mon Nov 22 20:22:23 2021 +0100 +Date: Fri Apr 7 20:01:54 2023 +0200 - Added Chilean calendars. + Fixed Schedule DeepCopy - src/QLNet/Time/Calendars/Chile.cs | 133 ++++++++++++++++++++++++++++++++++++++ - 1 file changed, 133 insertions(+) + src/QLNet/Time/Schedule.cs | 4 +++- + 1 file changed, 3 insertions(+), 1 deletion(-) -commit 8e685b4cd0e7cff512dad76ba6d281fd76f028fe +commit 18f51e7b13e5217369878f5ac5d24f6cd89908e5 Author: Andrea Maggiulli -Date: Mon Nov 22 20:21:30 2021 +0100 +Date: Fri Apr 7 00:55:41 2023 +0200 - Added French calendars. + Added date comparison safety check - src/QLNet/Time/Calendars/France.cs | 154 +++++++++++++++++++++++++++++++++++++ - 1 file changed, 154 insertions(+) + src/QLNet/Time/Date.cs | 8 ++++---- + 1 file changed, 4 insertions(+), 4 deletions(-) -commit 20a5cadcc0d514ce126f6ced93e1d02ffa3d65d2 -Author: Andrea Maggiulli -Date: Mon Nov 22 19:47:08 2021 +0100 +commit cb30c0917f3e2e0685906cb131d2bc942be26229 +Author: pamboscy +Date: Tue Feb 21 16:57:15 2023 +0200 - Updated China calendar up to 2021. + Added Cyprus and Greece calendars (#274) - src/QLNet/Time/Calendars/China.cs | 37 ++++++++++++++++++++++++++++++++++--- - 1 file changed, 34 insertions(+), 3 deletions(-) + src/QLNet/Time/Calendars/Cyprus.cs | 143 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ + src/QLNet/Time/Calendars/Greece.cs | 136 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ + 2 files changed, 279 insertions(+) -commit b272d031e02cccee37d1b2d5a35cab9782bc2fb7 -Author: Andrea Maggiulli -Date: Mon Nov 22 18:49:16 2021 +0100 +commit e05578f554a625c579637746e45c424c415d887d +Author: Andrea Maggiulli +Date: Thu Dec 15 19:06:04 2022 +0100 - Added Austrian calendar. + [skip ci] Update ReadMe - src/QLNet/Time/Calendars/Austria.cs | 167 ++++++++++++++++++++++++++++++++++++ - 1 file changed, 167 insertions(+) + README.md | 3 ++- + 1 file changed, 2 insertions(+), 1 deletion(-) -commit d97bfab91e19d92faf3df7aeebf2eafc47a3a723 -Author: Olivier Milla -Date: Thu Sep 30 18:57:47 2021 +0200 +commit 5a215582721379da2d9b6809f1328094033602b6 +Author: Andrea Maggiulli +Date: Thu Dec 15 18:57:12 2022 +0100 - Target Net5.0 Framework in samples too. (#267) + [skip ci] Update ReadMe - samples/BermudanSwaption/BermudanSwaption.csproj | 2 +- - samples/Bonds/Bonds.csproj | 2 +- - samples/CVAIRS/CVAIRS.csproj | 2 +- - samples/CallableBonds/CallableBonds.csproj | 2 +- - samples/ConvertibleBonds/ConvertibleBonds.csproj | 2 +- - samples/EquityOption/EquityOption.csproj | 2 +- - samples/FRA/FRA.csproj | 2 +- - samples/FittedBondCurve/FittedBondCurve.csproj | 2 +- - samples/Repo/Repo.csproj | 2 +- - samples/Swap/Swap.csproj | 2 +- - 10 files changed, 10 insertions(+), 10 deletions(-) + README.md | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit a9c2fc211788e3ff90705aa8bebf6043f98fc38e +commit 78511587c84e13dba99fc23a2bd98340efc35093 Author: Andrea Maggiulli -Date: Tue Mar 2 19:39:41 2021 +0100 +Date: Thu Dec 15 18:53:13 2022 +0100 - Updated tests suite to .Net Core 5. + Fixing WAL calculation. - tests/QLNet.Tests/QLNet.Tests.csproj | 2 +- - tests/QLNet.Tests/T_Inflation.cs | 2 +- - 2 files changed, 2 insertions(+), 2 deletions(-) + src/QLNet/Pricingengines/Bond/BondFunctions.cs | 19 +++++++++++++------ + 1 file changed, 13 insertions(+), 6 deletions(-) -commit f0d80d3b82de1effee85ad3686d8d9006e721c40 +commit e1eee4f71022ff6fc9a285126d45322b1d15c3f0 Author: Andrea Maggiulli -Date: Tue Mar 2 19:12:22 2021 +0100 +Date: Tue Nov 22 21:56:24 2022 +0100 - Fixed ActualActualISMA daycounter calculation for long/short final periods, thanks @kristofferpagels. - This close #265 + Added new method to Schedule to directly add irregular dates. - src/QLNet/Time/DayCounters/ActualActual.cs | 39 +++++++++++++++++++---- - tests/QLNet.Tests/T_DayCounters.cs | 51 ++++++++++++++++++++++++++++++ - 2 files changed, 83 insertions(+), 7 deletions(-) + src/QLNet/Time/Schedule.cs | 14 ++++++++++++++ + 1 file changed, 14 insertions(+) -commit 452499ef5a73174e4f82ad12c1b1af38e7433601 -Author: Francois Botha -Date: Wed Feb 24 02:56:46 2021 +0200 +commit e185ddc7a73286d143f197943f2104e8c569064f +Author: Andrea Maggiulli +Date: Sat Nov 19 20:13:39 2022 +0100 - Add utility Date.ToDateTime() method (#263) + Updated a bunch of calendars up to 2022. - src/QLNet/Time/Date.cs | 2 ++ - 1 file changed, 2 insertions(+) + src/QLNet/Time/Calendars/Australia.cs | 10 ++++++---- + src/QLNet/Time/Calendars/China.cs | 17 ++++++++++++++++- + src/QLNet/Time/Calendars/CzechRepublic.cs | 2 ++ + src/QLNet/Time/Calendars/Iceland.cs | 5 ++--- + src/QLNet/Time/Calendars/NewZealand.cs | 3 ++- + src/QLNet/Time/Calendars/UnitedKingdom.cs | 6 +++++- + 6 files changed, 33 insertions(+), 10 deletions(-) -commit f883f6ba4b8c315714d778f47e7c57d15670aba5 +commit 3c45dc68fb959955348933941d06414f4c3ece5e +Merge: 49ffacd b2fe6f6 Author: Andrea Maggiulli -Date: Wed Feb 24 01:12:18 2021 +0100 +Date: Sat Nov 19 19:19:33 2022 +0100 - Fixing Nuget deployement. + Merge branch 'develop' of github.com:amaggiulli/QLNet into develop - appveyor.yml | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) - -commit 340bb979be30b6f027042aa4620ab8ea01f5006f +commit 49ffacd9515affd037b06815633fc42707f9a0ac Author: Andrea Maggiulli -Date: Wed Feb 24 00:52:24 2021 +0100 +Date: Sat Nov 19 19:19:19 2022 +0100 + + Refactoring Calendars + - Refactored and cleanup Calendar Bridge pattern + - Updated all calendars. + + src/QLNet/Time/Calendar.cs | 300 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++------------------------------------------- + src/QLNet/Time/Calendars/Argentina.cs | 13 ++--- + src/QLNet/Time/Calendars/Australia.cs | 17 +++---- + src/QLNet/Time/Calendars/Austria.cs | 16 +++--- + src/QLNet/Time/Calendars/BespokeCalendar.cs | 41 ++++++++------- + src/QLNet/Time/Calendars/Botswana.cs | 15 +++--- + src/QLNet/Time/Calendars/Brazil.cs | 125 ++++++++++++++++++++++----------------------- + src/QLNet/Time/Calendars/Canada.cs | 109 ++++++++++++++++++--------------------- + src/QLNet/Time/Calendars/Chile.cs | 4 +- + src/QLNet/Time/Calendars/China.cs | 33 +++++------- + src/QLNet/Time/Calendars/CzechRepublic.cs | 13 ++--- + src/QLNet/Time/Calendars/Denmark.cs | 14 ++--- + src/QLNet/Time/Calendars/Finland.cs | 14 ++--- + src/QLNet/Time/Calendars/France.cs | 12 ++--- + src/QLNet/Time/Calendars/Germany.cs | 75 ++++++++++++++------------- + src/QLNet/Time/Calendars/HongKong.cs | 14 ++--- + src/QLNet/Time/Calendars/Hungary.cs | 14 ++--- + src/QLNet/Time/Calendars/Iceland.cs | 13 ++--- + src/QLNet/Time/Calendars/India.cs | 14 ++--- + src/QLNet/Time/Calendars/Indonesia.cs | 29 +++++------ + src/QLNet/Time/Calendars/Israel.cs | 49 +++++++++--------- + src/QLNet/Time/Calendars/Italy.cs | 40 +++++++-------- + src/QLNet/Time/Calendars/Japan.cs | 26 +++++----- + src/QLNet/Time/Calendars/JointCalendar.cs | 3 +- + src/QLNet/Time/Calendars/Mexico.cs | 14 ++--- + src/QLNet/Time/Calendars/NewZealand.cs | 14 ++--- + src/QLNet/Time/Calendars/Norway.cs | 14 ++--- + src/QLNet/Time/Calendars/NullCalendar.cs | 7 +-- + src/QLNet/Time/Calendars/Poland.cs | 14 ++--- + src/QLNet/Time/Calendars/Romania.cs | 41 ++++++++------- + src/QLNet/Time/Calendars/Russia.cs | 30 +++++------ + src/QLNet/Time/Calendars/SaudiArabia.cs | 14 ++--- + src/QLNet/Time/Calendars/Singapore.cs | 14 ++--- + src/QLNet/Time/Calendars/Slovakia.cs | 13 ++--- + src/QLNet/Time/Calendars/SouthAfrica.cs | 14 ++--- + src/QLNet/Time/Calendars/SouthKorea.cs | 40 ++++++++------- + src/QLNet/Time/Calendars/Sweden.cs | 12 ++--- + src/QLNet/Time/Calendars/Switzerland.cs | 14 ++--- + src/QLNet/Time/Calendars/TARGET.cs | 15 +++--- + src/QLNet/Time/Calendars/Taiwan.cs | 12 ++--- + src/QLNet/Time/Calendars/Thailand.cs | 45 ++++++++-------- + src/QLNet/Time/Calendars/Turkey.cs | 14 ++--- + src/QLNet/Time/Calendars/Ukraine.cs | 22 ++++---- + src/QLNet/Time/Calendars/UnitedKingdom.cs | 40 ++++++++------- + src/QLNet/Time/Calendars/UnitedStates.cs | 90 ++++++++++++++++---------------- + src/QLNet/Time/Calendars/WeekendsOnly.cs | 6 +-- + tests/QLNet.Tests/T_BusinessDayConvention.cs | 2 +- + tests/QLNet.Tests/T_Calendars.cs | 36 ++++++------- + 48 files changed, 800 insertions(+), 740 deletions(-) + +commit b2fe6f6e909d9b9bfaf7f32fcce74c30ad093b51 +Author: Andrea Maggiulli +Date: Fri Nov 18 20:02:30 2022 +0100 - Disabling failing test. + [skip ci] Update ReadMe - tests/QLNet.Tests/T_Piecewiseyieldcurve.cs | 2 +- + README.md | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit e9d4f6d661b9d515858de77970943e30533ce9df +commit b598cd0b9551ca5b1e9402920e3054944ee8f15a Author: Andrea Maggiulli -Date: Wed Feb 24 00:28:48 2021 +0100 +Date: Fri Nov 18 19:23:00 2022 +0100 - Fixing Nuget deployement. + Added Actual364, Actual36525 and Thirty365 daycounters. + Updated daycounters tests suite. - appveyor.yml | 7 +++---- - 1 file changed, 3 insertions(+), 4 deletions(-) + src/QLNet/Time/DayCounters/Actual364.cs | 39 ++++++++++++++++ + src/QLNet/Time/DayCounters/Actual36525.cs | 61 +++++++++++++++++++++++++ + src/QLNet/Time/DayCounters/Thirty365.cs | 49 ++++++++++++++++++++ + tests/QLNet.Tests/T_DayCounters.cs | 272 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++-- + 4 files changed, 418 insertions(+), 3 deletions(-) -commit db83a242cdc5c09a944994d02ec6ef8f2935fb00 +commit b7baaedcb099e82d823a04b7a259ca17f230677d Author: Andrea Maggiulli -Date: Tue Feb 23 22:34:02 2021 +0100 +Date: Wed Nov 16 23:38:34 2022 +0100 - Fixing the build + Added Actual/366 daycounter. - appveyor.yml | 3 ++- - 1 file changed, 2 insertions(+), 1 deletion(-) + src/QLNet/Time/DayCounters/Actual366.cs | 53 +++++++++++++++++++++++++++++++++++++++++++++++++++++ + 1 file changed, 53 insertions(+) -commit 33eba0af05268777c4a22371ccf8a304f10f6897 +commit c523a9d2026604cc219661ca0d7797eddc0c3524 +Author: Andrea Maggiulli +Date: Wed Nov 16 23:28:16 2022 +0100 + + Refactoring DayCounters : + - Refactored and cleanup DayCounter Bridge pattern + - Updated all daycounters. + + src/QLNet/Cashflows/CPICoupon.cs | 4 +- + src/QLNet/Instruments/Bonds/PSACurve.cs | 4 +- + src/QLNet/Time/DayCounter.cs | 91 +++++++++++++++++++++++++--------------------- + src/QLNet/Time/DayCounters/Actual360.cs | 44 ++++++---------------- + src/QLNet/Time/DayCounters/Actual365Fixed.cs | 85 +++++++++++++++++++++++++++++++++++++++---- + src/QLNet/Time/DayCounters/Actual365NoLeap.cs | 67 ---------------------------------- + src/QLNet/Time/DayCounters/ActualActual.cs | 89 +++++++++++++++++---------------------------- + src/QLNet/Time/DayCounters/Business252.cs | 147 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++----- + src/QLNet/Time/DayCounters/OneDayCounter.cs | 10 ++--- + src/QLNet/Time/DayCounters/SimpleDayCounter.cs | 34 ++++++++++------- + src/QLNet/Time/DayCounters/Thirty360.cs | 197 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++------------------------- + tests/QLNet.Tests/T_AssetSwap.cs | 42 ++++++++++----------- + tests/QLNet.Tests/T_Bermudanswaption.cs | 3 +- + tests/QLNet.Tests/T_Bonds.cs | 14 +++---- + tests/QLNet.Tests/T_CapFlooredCoupon.cs | 4 +- + tests/QLNet.Tests/T_CreditDefaultSwap.cs | 8 ++-- + tests/QLNet.Tests/T_DayCounters.cs | 55 +++++++++++++++++++++++++++- + tests/QLNet.Tests/T_Inflation.cs | 6 +-- + tests/QLNet.Tests/T_InflationCapFloorTest.cs | 2 +- + tests/QLNet.Tests/T_InflationCapFlooredCouponTest.cs | 4 +- + tests/QLNet.Tests/T_OvernightIndexedSwap.cs | 6 +-- + tests/QLNet.Tests/T_ShortRateModels.cs | 6 +-- + tests/QLNet.Tests/T_Swaps.cs | 3 +- + tests/QLNet.Tests/T_Swaption.cs | 11 +++--- + tests/QLNet.Tests/T_TermStructures.cs | 4 +- + 25 files changed, 598 insertions(+), 342 deletions(-) + +commit e2ec6a666b0e54bcf2ab6b0caaf5309aecc48d7f Author: Andrea Maggiulli -Date: Tue Feb 23 21:30:45 2021 +0100 +Date: Thu Sep 22 20:11:25 2022 +0200 - Fixing the build + Added back multi-target with netstandard 2.0 for .NET framework users. Should close #273. - appveyor.yml | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) + src/QLNet/QLNet.csproj | 5 ++++- + 1 file changed, 4 insertions(+), 1 deletion(-) -commit d315456be91f161123899325095ed0ae90923de1 +commit cfc7964ef5e90dcb6b6d6a53310ed8362861858d Author: Andrea Maggiulli -Date: Tue Feb 23 21:00:42 2021 +0100 +Date: Mon Sep 12 16:04:50 2022 +0200 - Fixing the build + Added batch Bond Functions calculation with benchmark test. - appveyor.yml | 5 +++-- - 1 file changed, 3 insertions(+), 2 deletions(-) + src/QLNet/Pricingengines/Bond/BondFunctions.cs | 44 ++++++++++++++++++++++++++++++++++++++++++++ + src/QLNet/Requests/BondFunctionsRequest.cs | 38 ++++++++++++++++++++++++++++++++++++++ + src/QLNet/Responses/BondFunctionsResponse.cs | 32 ++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/Fakers/BondFunctionRequestFaker.cs | 33 +++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/T_Batch.cs | 14 ++++++++++++++ + 5 files changed, 161 insertions(+) -commit b4568f366e95dc47d9b966836be5805a37e13fcc -Author: Andrea Maggiulli -Date: Tue Feb 23 19:49:42 2021 +0100 +commit 66d3bac82dcc5be296e61cb551a55ec879b7e1b1 +Author: Andrea Maggiulli +Date: Fri Aug 26 20:27:30 2022 +0200 - Fixing the build + [skip ci] Updated status badge - appveyor.yml | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) + README.md | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit 66d282df47d00af25478de9e7f192390c368a47d +commit cd4d7fbbc06134ce6265ae0d09917079013c6fff +Author: Andrea Maggiulli +Date: Fri Aug 26 20:02:00 2022 +0200 + + Added batch calculations (#272) + + * Added batch yield calculation with benchmark tests. + + * Added batch Weighted Average Life calculation with benchmark test. + + * Added batch Duration and Accrued calculation with benchmark test. + + src/QLNet/Pricingengines/Bond/BondFunctions.cs | 64 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++-- + src/QLNet/Requests/AccruedRequest.cs | 27 +++++++++++++++++++++++++++ + src/QLNet/Requests/DurationRequest.cs | 32 ++++++++++++++++++++++++++++++++ + src/QLNet/Requests/WalRequest.cs | 31 +++++++++++++++++++++++++++++++ + src/QLNet/Requests/YieldRequest.cs | 34 ++++++++++++++++++++++++++++++++++ + src/QLNet/Responses/AccruedResponse.cs | 27 +++++++++++++++++++++++++++ + src/QLNet/Responses/DurationResponse.cs | 26 ++++++++++++++++++++++++++ + src/QLNet/Responses/WalResponse.cs | 28 ++++++++++++++++++++++++++++ + src/QLNet/Responses/YieldResponse.cs | 26 ++++++++++++++++++++++++++ + tests/QLNet.Tests/Fakers/AccruedRequestFaker.cs | 42 ++++++++++++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/Fakers/DurationRequestFaker.cs | 47 +++++++++++++++++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/Fakers/FixedRateBondFaker.cs | 34 ++++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/Fakers/ScheduleFaker.cs | 38 ++++++++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/Fakers/WalRequestFaker.cs | 44 ++++++++++++++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/Fakers/YieldRequestFaker.cs | 48 ++++++++++++++++++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/QLNet.Tests.csproj | 1 + + tests/QLNet.Tests/T_Batch.cs | 99 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ + 17 files changed, 646 insertions(+), 2 deletions(-) + +commit dbe969b82ba11d13bdf325e3d7259786bf4bb252 Author: Andrea Maggiulli -Date: Tue Feb 23 19:12:29 2021 +0100 +Date: Tue Jul 12 18:45:39 2022 +0200 - Fixing the build + Fixing AppVeyor Java Home - appveyor.yml | 2 ++ - 1 file changed, 2 insertions(+) + appveyor.yml | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit 82cf2d16be6e24244a39c45cc0764cc280657450 +commit dcb271097e5cc3ad5674791a1772f45aef22d103 Author: Andrea Maggiulli -Date: Mon Sep 14 18:23:46 2020 +0200 +Date: Tue Jul 12 18:19:09 2022 +0200 - Fixed helpers sort for Piecewise Curves. This should fix #260 + Fixing AppVeyor Java Home - src/QLNet/Termstructures/Inflation/PiecewiseYoYInflationCurve.cs | 3 +++ - src/QLNet/Termstructures/Inflation/PiecewiseZeroInflationCurve.cs | 3 +++ - src/QLNet/Termstructures/Iterativebootstrap.cs | 3 --- - src/QLNet/Termstructures/Yield/PiecewiseYieldCurve.cs | 6 ++++++ - 4 files changed, 12 insertions(+), 3 deletions(-) + appveyor.yml | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit 549a72d527d986426e01668e03a3ad3817f23cdd +commit cc974824a0e73df122c04403e6c9d2945e975df1 Author: Andrea Maggiulli -Date: Wed May 20 16:32:36 2020 +0200 +Date: Tue Jul 12 17:51:49 2022 +0200 - #256 - Fixed Denmark holidays, thx @hhaldn + Updated appveyor.yml - src/QLNet/Time/Calendars/Denmark.cs | 12 +++++++++--- - 1 file changed, 9 insertions(+), 3 deletions(-) + appveyor.yml | 10 +++++----- + 1 file changed, 5 insertions(+), 5 deletions(-) -commit d837fec600e517c1c4590600eccb504535df9b8f -Author: Andrea Maggiulli -Date: Mon May 11 17:49:50 2020 +0200 +commit 29c5ef1225a157859091262963c065da232989c6 +Author: Andrea Maggiulli +Date: Tue Jul 12 17:46:53 2022 +0200 - Updated Sonar badges [skip ci] + Updated to .NET 6.0 - README.md | 3 ++- - 1 file changed, 2 insertions(+), 1 deletion(-) + src/QLNet/Cashflows/OvernightIndexedCoupon.cs | 2 +- + src/QLNet/QLNet.csproj | 6 ++---- + tests/QLNet.Tests/QLNet.Tests.csproj | 2 +- + 3 files changed, 4 insertions(+), 6 deletions(-) -commit c397fb4da2e0d02b58dc9146d0d888caf677e39c -Author: Andrea Maggiulli -Date: Mon May 11 17:48:39 2020 +0200 +commit bcb57944fe3aeb77ae24336eed5f3e8cd8c5aed0 +Author: Andrea Maggiulli +Date: Tue Jul 12 17:10:20 2022 +0200 - Updated Sonar badges [skip ci] + Fixing tests. - README.md | 13 ++++++++----- - 1 file changed, 8 insertions(+), 5 deletions(-) + tests/QLNet.Tests/T_OvernightIndexedCoupon.cs | 22 +++++++++++++++++----- + tests/QLNet.Tests/T_SofrFutures.cs | 4 ++-- + 2 files changed, 19 insertions(+), 7 deletions(-) -commit b19ac52d07a295ec4a53986dcb1e6653462cb8b3 -Author: Andrea Maggiulli -Date: Mon May 11 17:02:07 2020 +0200 +commit 1cf3e8eed251f4910cef1e0a48d5e2760ada41a8 +Merge: b057161 5ad17b8 +Author: Andrea Maggiulli +Date: Tue Jul 12 16:38:54 2022 +0200 - Feature #253 (#254) - - * #253 Moved example projects into samples folder. - - * #253 Set feature's build to Release, enabled tests. - - * #253 Set feature's build to Release, enabled tests. - - * #253 Removed MSTest framework, updated test project to netcore. - - * #253 Updated test script for features. - - * #253 Fixing tests. - - * #253 Fixing tests. - - * #253 Fixing tests. - - * #253 Removed old projects files. - - * #253 Fixing build. - - * Revert "#253 Fixing tests." - - * #253 Fixed compilation warnings. - - * #253 Fixing appveyor script [skip ci] - - * #253 Fixing appveyor script. - - * #253 Moved to the new SonarCloud site. - - * #253 Fixing appveyor script. + Merge branch 'develop' of github.com:amaggiulli/QLNet into develop + +commit b057161a5dab98360602fd54a3c61012824024ff +Author: Andrea Maggiulli +Date: Sun Jul 10 13:35:46 2022 +0200 + + Added SOFR Index and OvernightIndexFuture instrument with helpers and tests. + + src/QLNet/Cashflows/IborCoupon.cs | 6 ++- + src/QLNet/Cashflows/OvernightIndexedCoupon.cs | 112 ++++++++++++++++++++++++++++++++++++++- + src/QLNet/Cashflows/RateAveragingType.cs | 31 +++++++++++ + src/QLNet/Indexes/Ibor/Sofr.cs | 26 +++++++++ + src/QLNet/Instruments/OvernightIndexFuture.cs | 145 ++++++++++++++++++++++++++++++++++++++++++++++++++ + src/QLNet/Termstructures/Yield/BasisSwapRateHelpers.cs | 213 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ + src/QLNet/Termstructures/Yield/OvernightIndexFutureRateHelper.cs | 137 ++++++++++++++++++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/T_BasisSwapRateHelpers.cs | 241 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/T_OvernightIndexedCoupon.cs | 250 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ + tests/QLNet.Tests/T_SofrFutures.cs | 104 ++++++++++++++++++++++++++++++++++++ + 10 files changed, 1263 insertions(+), 2 deletions(-) + +commit 5ad17b80d26c6da44a8878fb52e5c3b53d9fd9fb +Author: ninetiger +Date: Sun Jul 10 22:38:43 2022 +1200 + + Support New Zealand's new publish holiday: Matariki holiday. (#271) - * #253 Fixing appveyor script. + * features/supportNzMatarikiHolidays - * #253 Adding coverage for Sonar. + * Update unit test only - * #253 Fixing tests. - - QLNet.sln | 74 +- - QLNetOld.sln | 38 - - appveyor.yml | 66 +- - {src => samples}/BermudanSwaption/.editorconfig | 0 - .../BermudanSwaption/BermudanSwaption.cs | 0 - .../BermudanSwaption/BermudanSwaption.csproj | 2 +- - {src => samples}/Bonds/.editorconfig | 0 - {src => samples}/Bonds/Bonds.cs | 0 - {src => samples}/Bonds/Bonds.csproj | 2 +- - {src => samples}/CVAIRS/CVAIRS.cs | 0 - {src => samples}/CVAIRS/CVAIRS.csproj | 2 +- - {src => samples}/CallableBonds/.editorconfig | 0 - {src => samples}/CallableBonds/CallableBonds.cs | 8 +- - .../CallableBonds/CallableBonds.csproj | 2 +- - {src => samples}/ConvertibleBonds/.editorconfig | 0 - .../ConvertibleBonds/ConvertibleBonds.cs | 6 +- - .../ConvertibleBonds/ConvertibleBonds.csproj | 2 +- - {src => samples}/EquityOption/.editorconfig | 0 - {src => samples}/EquityOption/EquityOption.cs | 0 - {src => samples}/EquityOption/EquityOption.csproj | 2 +- - {src => samples}/FRA/.editorconfig | 0 - {src => samples}/FRA/FRA.cs | 0 - {src => samples}/FRA/FRA.csproj | 2 +- - {src => samples}/FittedBondCurve/.editorconfig | 0 - .../FittedBondCurve/FittedBondCurve.cs | 0 - .../FittedBondCurve/FittedBondCurve.csproj | 2 +- - samples/QLNetSamples.sln | 79 + - {src => samples}/Repo/.editorconfig | 0 - {src => samples}/Repo/Repo.cs | 0 - {src => samples}/Repo/Repo.csproj | 2 +- - {src => samples}/Swap/.editorconfig | 0 - {src => samples}/Swap/Swap.csproj | 2 +- - {src => samples}/Swap/swapvaluation.cs | 0 - {src => samples}/VB/Swap/Swapvaluation.vb | 0 - src/QLNet.Old/AssemblyInfo.cs | 34 - - src/QLNet.Old/Cashflows/.gitkeep | 0 - src/QLNet.Old/Currencies/.gitkeep | 0 - src/QLNet.Old/Extensions/.gitkeep | 0 - src/QLNet.Old/Indexes/Ibor/.gitkeep | 0 - src/QLNet.Old/Indexes/Inflation/.gitkeep | 0 - src/QLNet.Old/Indexes/Swap/.gitkeep | 0 - src/QLNet.Old/Instruments/Bonds/.gitkeep | 0 - src/QLNet.Old/Math/Distributions/.gitkeep | 0 - src/QLNet.Old/Math/Interpolations/.gitkeep | 0 - src/QLNet.Old/Math/Optimization/.gitkeep | 0 - src/QLNet.Old/Math/Solvers1d/.gitkeep | 0 - src/QLNet.Old/Math/integrals/.gitkeep | 0 - src/QLNet.Old/Math/matrixutilities/.gitkeep | 0 - src/QLNet.Old/Math/randomnumbers/.gitkeep | 0 - src/QLNet.Old/Math/statistics/.gitkeep | 0 - src/QLNet.Old/Methods/Finitedifferences/.gitkeep | 0 - src/QLNet.Old/Methods/lattices/.gitkeep | 0 - src/QLNet.Old/Methods/montecarlo/.gitkeep | 0 - src/QLNet.Old/Models/Equity/.gitkeep | 0 - .../MarketModels/BrownianGenerators/.gitkeep | 0 - .../Models/Shortrate/Onefactormodels/.gitkeep | 0 - .../Models/Shortrate/Twofactorsmodels/.gitkeep | 0 - .../Models/Shortrate/calibrationhelpers/.gitkeep | 0 - src/QLNet.Old/Patterns/.gitkeep | 0 - src/QLNet.Old/Pricingengines/Basket/.gitkeep | 0 - src/QLNet.Old/Pricingengines/Bond/.gitkeep | 0 - src/QLNet.Old/Pricingengines/CapFloor/.gitkeep | 0 - src/QLNet.Old/Pricingengines/Cliquet/.gitkeep | 0 - src/QLNet.Old/Pricingengines/Forward/.gitkeep | 0 - src/QLNet.Old/Pricingengines/Loan/.gitkeep | 0 - src/QLNet.Old/Pricingengines/Lookback/.gitkeep | 0 - src/QLNet.Old/Pricingengines/Swap/.gitkeep | 0 - src/QLNet.Old/Pricingengines/asian/.gitkeep | 0 - src/QLNet.Old/Pricingengines/barrier/.gitkeep | 0 - src/QLNet.Old/Pricingengines/credit/.gitkeep | 0 - src/QLNet.Old/Pricingengines/inflation/.gitkeep | 0 - src/QLNet.Old/Pricingengines/swaption/.gitkeep | 0 - src/QLNet.Old/Pricingengines/vanilla/.gitkeep | 0 - src/QLNet.Old/QLNet.Old.csproj | 2154 ------------- - src/QLNet.Old/Quotes/.gitkeep | 0 - src/QLNet.Old/Termstructures/Credit/.gitkeep | 0 - src/QLNet.Old/Termstructures/Inflation/.gitkeep | 0 - .../Termstructures/Volatility/Bond/.gitkeep | 0 - .../Termstructures/Volatility/CapFloor/.gitkeep | 0 - .../Termstructures/Volatility/Inflation/.gitkeep | 0 - .../Termstructures/Volatility/Optionlet/.gitkeep | 0 - .../Termstructures/Volatility/equityfx/.gitkeep | 0 - .../Termstructures/Volatility/swaption/.gitkeep | 0 - src/QLNet.Old/Termstructures/Yield/.gitkeep | 0 - src/QLNet.Old/Time/Calendars/.gitkeep | 0 - src/QLNet.Old/Time/DayCounters/.gitkeep | 0 - src/QLNet.Old/legacy/libormarketmodels/.gitkeep | 0 - src/QLNet.Old/processes/.gitkeep | 0 - src/QLNet/QLNet.csproj | 2 +- - tests/QLNet.Tests.Old/AssemblyInfo.cs | 39 - - tests/QLNet.Tests.Old/QLNet.Tests.Old.csproj | 212 -- - tests/QLNet.Tests/QLNet.Tests.csproj | 24 +- - tests/QLNet.Tests/T_AmericanOption.cs | 44 +- - tests/QLNet.Tests/T_AsianOptions.cs | 34 +- - tests/QLNet.Tests/T_AssetSwap.cs | 60 +- - tests/QLNet.Tests/T_BarrierOption.cs | 28 +- - tests/QLNet.Tests/T_BasketOption.cs | 15 +- - tests/QLNet.Tests/T_Bermudanswaption.cs | 27 +- - tests/QLNet.Tests/T_BinaryOption.cs | 16 +- - tests/QLNet.Tests/T_BlackDeltaCalculator.cs | 24 +- - tests/QLNet.Tests/T_BlackFormula.cs | 16 +- - tests/QLNet.Tests/T_Bonds.cs | 174 +- - tests/QLNet.Tests/T_BusinessDayConvention.cs | 12 +- - tests/QLNet.Tests/T_CPISwap.cs | 20 +- - tests/QLNet.Tests/T_Calendars.cs | 93 +- - tests/QLNet.Tests/T_CapFloor.cs | 51 +- - tests/QLNet.Tests/T_CapFlooredCoupon.cs | 16 +- - tests/QLNet.Tests/T_CashFlows.cs | 24 +- - tests/QLNet.Tests/T_CatBonds.cs | 37 +- - tests/QLNet.Tests/T_CliquetOption.cs | 21 +- - tests/QLNet.Tests/T_Cms.cs | 20 +- - tests/QLNet.Tests/T_ConvertibleBond.cs | 20 +- - tests/QLNet.Tests/T_CreditDefaultSwap.cs | 32 +- - tests/QLNet.Tests/T_Dates.cs | 28 +- - tests/QLNet.Tests/T_DayCounters.cs | 48 +- - tests/QLNet.Tests/T_DefaultProbabilityCurves.cs | 20 +- - tests/QLNet.Tests/T_DigitalCoupon.cs | 40 +- - tests/QLNet.Tests/T_DigitalOption.cs | 40 +- - tests/QLNet.Tests/T_DividendOption.cs | 42 +- - tests/QLNet.Tests/T_DoubleBarrierOption.cs | 21 +- - tests/QLNet.Tests/T_DoubleBinaryOption.cs | 12 +- - tests/QLNet.Tests/T_EuropeanOption.cs | 55 +- - tests/QLNet.Tests/T_ExchangeRate.cs | 28 +- - tests/QLNet.Tests/T_FastFourierTransform.cs | 17 +- - tests/QLNet.Tests/T_FdmLinearOp.cs | 48 +- - tests/QLNet.Tests/T_ForwardOption.cs | 28 +- - tests/QLNet.Tests/T_Functions.cs | 28 +- - tests/QLNet.Tests/T_HestonModel.cs | 78 +- - .../QLNet.Tests/T_HybridHestonHullWhiteProcess.cs | 60 +- - tests/QLNet.Tests/T_Inflation.cs | 24 +- - tests/QLNet.Tests/T_InflationCPICapFloor.cs | 16 +- - tests/QLNet.Tests/T_InflationCapFloorTest.cs | 35 +- - .../QLNet.Tests/T_InflationCapFlooredCouponTest.cs | 31 +- - tests/QLNet.Tests/T_Instruments.cs | 17 +- - tests/QLNet.Tests/T_InterestRate.cs | 12 +- - tests/QLNet.Tests/T_Interpolations.cs | 80 +- - tests/QLNet.Tests/T_LiborMarketModel.cs | 39 +- - tests/QLNet.Tests/T_LiborMarketModelProcess.cs | 36 +- - .../QLNet.Tests/T_LinearLeastSquaresRegression.cs | 36 +- - tests/QLNet.Tests/T_LookbackOption.cs | 24 +- - tests/QLNet.Tests/T_LowDiscrepancySequences.cs | 79 +- - tests/QLNet.Tests/T_Matrices.cs | 36 +- - tests/QLNet.Tests/T_Money.cs | 20 +- - tests/QLNet.Tests/T_Operators.cs | 16 +- - tests/QLNet.Tests/T_Optimizers.cs | 24 +- - tests/QLNet.Tests/T_OptionletStripper.cs | 40 +- - tests/QLNet.Tests/T_OvernightIndexedSwap.cs | 40 +- - tests/QLNet.Tests/T_PSACurve.cs | 12 +- - tests/QLNet.Tests/T_PathGenerator.cs | 35 +- - .../T_PiecewiseZeroSpreadedTermStructure.cs | 48 +- - tests/QLNet.Tests/T_Piecewiseyieldcurve.cs | 168 +- - tests/QLNet.Tests/T_Quotes.cs | 25 +- - tests/QLNet.Tests/T_RNGTraits.cs | 20 +- - tests/QLNet.Tests/T_RangeAccrual.cs | 3150 ++++++++++---------- - tests/QLNet.Tests/T_RiskStats.cs | 12 +- - tests/QLNet.Tests/T_Rounding.cs | 28 +- - tests/QLNet.Tests/T_SVI.cs | 35 +- - tests/QLNet.Tests/T_SampledCurve.cs | 12 +- - tests/QLNet.Tests/T_Schedule.cs | 44 +- - tests/QLNet.Tests/T_ShortRateModels.cs | 20 +- - tests/QLNet.Tests/T_Solvers.cs | 44 +- - tests/QLNet.Tests/T_SpreadOption.cs | 12 +- - tests/QLNet.Tests/T_Stats.cs | 26 +- - tests/QLNet.Tests/T_Swaps.cs | 51 +- - tests/QLNet.Tests/T_Swaption.cs | 51 +- - tests/QLNet.Tests/T_SwaptionVolatilityCube.cs | 822 +++-- - tests/QLNet.Tests/T_SwaptionVolatilitymatrix.cs | 31 +- - tests/QLNet.Tests/T_TermStructures.cs | 73 +- - tests/QLNet.Tests/T_TimeGrid.cs | 40 +- - tests/QLNet.Tests/T_Vector.cs | 24 +- - tests/QLNet.Tests/Utilities.cs | 66 - - tests/QLNet.Tests/xunit.runner.json | 6 + - 172 files changed, 2355 insertions(+), 7238 deletions(-) - -commit b5a730b3518b0b6b5889ec2397fa2f42a37de179 + Co-authored-by: Xiao Gong + + src/QLNet/Time/Calendars/NewZealand.cs | 41 ++++++++++++++++++++++++++++++++++++++++- + tests/QLNet.Tests/T_Calendars.cs | 20 ++++++++++++++++++++ + 2 files changed, 60 insertions(+), 1 deletion(-) + +commit 762fa9e556689a05f585bda12d2bc76483262a8c +Author: Andrea Maggiulli +Date: Mon May 23 19:15:09 2022 +0200 + + Removed local test example. + + appveyor.yml | 4 ++-- + tests/QLNet.Tests/T_Bonds.cs | 14 -------------- + 2 files changed, 2 insertions(+), 16 deletions(-) + +commit 3ab894402b6e076c21676ed1b7a7042923201b33 Author: Andrea Maggiulli -Date: Thu May 7 16:45:13 2020 +0200 +Date: Mon May 23 18:47:21 2022 +0200 - #252 Fixed LineSearchBasedMethod.minimize, thx @hhaldn for spotting it. + Added new CashFlows method to return both accrued days and accrued amount. - .../Math/Optimization/LineSearchBasedMethod.cs | 4 +-- - tests/QLNet.Tests/T_Optimizers.cs | 40 ++++++++++++++++++++++ - 2 files changed, 42 insertions(+), 2 deletions(-) + src/QLNet/Cashflows/CashFlows.cs | 20 ++++++++++++++++++++ + tests/QLNet.Tests/T_Bonds.cs | 48 +++++++++++++++++++++++++++++++++++++----------- + 2 files changed, 57 insertions(+), 11 deletions(-) -commit 9da55ba9830963b3a3aac59182054e44be57cfbd +commit 8bfee0f3ec000e17ab0fdbdcfdf67087e2edcf25 Author: Andrea Maggiulli -Date: Thu May 7 16:10:41 2020 +0200 +Date: Tue Dec 7 19:04:21 2021 +0100 + + Removed AStyle formatting [skip ci] - Bumping to version 1.12.0 for next release [skip ci] + format_code.bat | 2 -- + qlnet.astyle | 28 ---------------------------- + tools/AStyle.exe | Bin 595456 -> 0 bytes + 3 files changed, 30 deletions(-) + +commit 6b1872e8b41c7e720ba833594bcfffc1eaf89a2b +Merge: 413ab5d 6ee6eb2 +Author: Andrea Maggiulli +Date: Tue Dec 7 18:53:54 2021 +0100 + + Merge branch 'develop' of github.com:amaggiulli/QLNet into develop + +commit 413ab5dd285942876eb10c06395ac691b24ac14f +Author: Andrea Maggiulli +Date: Tue Dec 7 18:53:41 2021 +0100 + + Updated editorconfig settings. Close #262 [skip ci] + + .editorconfig | 249 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++----- + 1 file changed, 241 insertions(+), 8 deletions(-) + +commit 6ee6eb248b98edde0ab06f18233ef018a7f95444 +Author: Mogens Heller Grabe +Date: Mon Dec 6 13:39:47 2021 +0100 + + Fixed MCDiscreteAveragingAsianEngine timeGrid and ArithmeticAPOPathPricer path value retrieval (#269) + + * don't add to InitializedList, put :) + + * actually use the 'value' function - appveyor.yml | 14 +++++++------- - 1 file changed, 7 insertions(+), 7 deletions(-) \ No newline at end of file + src/QLNet/Pricingengines/asian/McDiscreteAsianEngine.cs | 16 ++++++++-------- + src/QLNet/Pricingengines/asian/Mc_Discr_Arith_Av_Price.cs | 3 +-- + 2 files changed, 9 insertions(+), 10 deletions(-) diff --git a/News.txt b/News.txt index 0daeb041..b9b86898 100644 --- a/News.txt +++ b/News.txt @@ -1,35 +1,42 @@ -QLNet 1.12.0 +QLNet 1.13.0 ========================= -QLNet 1.12.0 +QLNet 1.13.0 +Mayor changes . A detailed list of changes is available in ChangeLog.txt. FRAMEWORK -+ Removed QLNet old framework solution -+ Updated tests to use only xunit -+ Updated library to netstandard 2.1 -+ Updated test suite to .Net Core 5 -+ Updated samples to .Net Core 5 ++ Updated to .NET 7.0 / netstandard 2.0 ++ Removed AStyle formatting for more standard ediconfig setting -MATH +PRICING ENGINES -+ Fixed LineSearchBasedMethod.minimize, thx @hhaldn for spotting it. ++ Fixed MCDiscreteAveragingAsianEngine timeGrid and ArithmeticAPOPathPricer path value retrieval thanks @mookid8000 -CALENDARS +CASHFLOWS -+ Fixed Denmark holidays, thx @hhaldn -+ Added Austrian, French and Chilean calendars -+ Updated all existing calendars up to 2021 ++ Added new CashFlows method to return both accrued days and accrued amount. -TIME +INDEXES -+ Added utility Date.ToDateTime() method -+ Fixed ActualActualISMA daycounter calculation for long/short final periods, thanks @kristofferpagels. - ++ Added SOFR Index + +CALENDARS + ++ Support New Zealand's new publish holiday: Matariki holiday, thanks @ninetiger -TERMSTRUCTURES +MISC -+ Fixed helpers sort for Piecewise Curves ++ Added batch calculations + +TIME ++ Refactoring DayCounters ++ Added Actual/366 daycounter. ++ Added Actual364, Actual36525 and Thirty365 daycounters. ++ Refactoring Calendars ++ Added Cyprus and Greece calendars, thanks @pamboscy ++ Fixed Schedule until method. ++ Updated several caledars up to 2023 diff --git a/appveyor.yml b/appveyor.yml index 9c7dae78..9cb94c2d 100644 --- a/appveyor.yml +++ b/appveyor.yml @@ -6,7 +6,7 @@ branches: only: - master - version: 1.12.1 + version: 1.13.0 configuration: Release platform: Any CPU image: Visual Studio 2022 @@ -21,18 +21,18 @@ after_build: - cmd: dotnet pack src/qlnet/qlnet.csproj -c Release -o ./ artifacts: - - path: src\QLNet\bin\Release\net6.0\QLNet.dll + - path: src\QLNet\bin\Release\net7.0\QLNet.dll name: Windows - path: .\*.nupkg name: ng deploy: - provider: GitHub - tag: QLNet-v1.12.1 - release: QLNet Version 1.12.1 - description: QLNet 1.12.1 + tag: QLNet-v1.13.0 + release: QLNet Version 1.13.0 + description: QLNet 1.13.0 auth_token: - secure: yPDUXqBIfD2IB3l3KMeERPZjvD7jFC7spFIkbE92e1uWcJ4j3XSei/a966C5Aa+M - artifact: src\QLNet\bin\Release\net6.0\QLNet.dll + secure: 4cCBgQRwNh1N6VbvMJTCUMoq7BVD0Cmj04AjQa8L3k5k6MirTm8dz5TFUuqRDbHhj5x2QJS4l2EfoTsAMgc8ZhWYVJ2CV1deITs7sHYG98BrXl8NGKdPivoOZZdZT9oo + artifact: src\QLNet\bin\Release\net7.0\QLNet.dll draft: false force_update: false - provider: NuGet