Update to QLNet-1.9.0.0

amaggiulli · Jan 19, 2017 · 0a5428c · 0a5428c
2 parents fdc656b + 949cb7d
commit 0a5428c
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Showing 120 changed files with 17,718 additions and 1,764 deletions.
diff --git a/.gitignore b/.gitignore
@@ -1,6 +1,7 @@
 TestResults
 obj
 bin
+.vs
 *.user
 *.suo
 *.tss
diff --git a/ChangeLog.txt b/ChangeLog.txt
diff --git a/Examples/BermudanSwaption/BermudanSwaption.cs b/Examples/BermudanSwaption/BermudanSwaption.cs
diff --git a/Examples/BermudanSwaption/Properties/AssemblyInfo.cs b/Examples/BermudanSwaption/Properties/AssemblyInfo.cs
@@ -10,7 +10,7 @@
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
 [assembly: AssemblyProduct( "QLNet Examples" )]
-[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // È possibile specificare tutti i valori oppure impostare i valori predefiniti per i numeri relativi alla build e alla revisione 
 // utilizzando l'asterisco (*) come descritto di seguito:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.8.0.0")]
-[assembly: AssemblyFileVersion("1.8.0.0")]
+[assembly: AssemblyVersion("1.9.0.0")]
+[assembly: AssemblyFileVersion("1.9.0.0")]
diff --git a/Examples/Bonds/Properties/AssemblyInfo.cs b/Examples/Bonds/Properties/AssemblyInfo.cs
@@ -10,7 +10,7 @@
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
 [assembly: AssemblyProduct( "QLNet Examples" )]
-[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // You can specify all the values or you can default the Build and Revision Numbers 
 // by using the '*' as shown below:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.8.0.0")]
-[assembly: AssemblyFileVersion("1.8.0.0")]
+[assembly: AssemblyVersion("1.9.0.0")]
+[assembly: AssemblyFileVersion("1.9.0.0")]
diff --git a/Examples/CVAIRS/Properties/AssemblyInfo.cs b/Examples/CVAIRS/Properties/AssemblyInfo.cs
@@ -10,7 +10,7 @@
 [assembly: AssemblyConfiguration( "" )]
 [assembly: AssemblyCompany( "" )]
 [assembly: AssemblyProduct( "QLNet Examples" )]
-[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
 [assembly: AssemblyTrademark( "" )]
 [assembly: AssemblyCulture( "" )]
 
@@ -32,5 +32,5 @@
 // You can specify all the values or you can default the Build and Revision Numbers 
 // by using the '*' as shown below:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion( "1.8.0.0" )]
-[assembly: AssemblyFileVersion( "1.8.0.0" )]
+[assembly: AssemblyVersion( "1.9.0.0" )]
+[assembly: AssemblyFileVersion( "1.9.0.0" )]
diff --git a/Examples/CallableBonds/Properties/AssemblyInfo.cs b/Examples/CallableBonds/Properties/AssemblyInfo.cs
@@ -10,7 +10,7 @@
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
 [assembly: AssemblyProduct( "QLNet Examples" )]
-[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // È possibile specificare tutti i valori oppure impostare valori predefiniti per i numeri relativi alla revisione e alla build 
 // utilizzando l'asterisco (*) come descritto di seguito:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.8.0.0")]
-[assembly: AssemblyFileVersion("1.8.0.0")]
+[assembly: AssemblyVersion("1.9.0.0")]
+[assembly: AssemblyFileVersion("1.9.0.0")]
diff --git a/Examples/EquityOption/Properties/AssemblyInfo.cs b/Examples/EquityOption/Properties/AssemblyInfo.cs
@@ -10,7 +10,7 @@
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
 [assembly: AssemblyProduct( "QLNet Examples" )]
-[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // You can specify all the values or you can default the Build and Revision Numbers 
 // by using the '*' as shown below:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.7.0.0")]
-[assembly: AssemblyFileVersion("1.7.0.0")]
+[assembly: AssemblyVersion("1.9.0.0")]
+[assembly: AssemblyFileVersion("1.9.0.0")]
diff --git a/Examples/FRA/Properties/AssemblyInfo.cs b/Examples/FRA/Properties/AssemblyInfo.cs
@@ -10,7 +10,7 @@
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
 [assembly: AssemblyProduct( "QLNet Examples" )]
-[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // È possibile specificare tutti i valori oppure impostare i valori predefiniti per i numeri relativi alla build e alla revisione 
 // utilizzando l'asterisco (*) come descritto di seguito:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.7.0.0")]
-[assembly: AssemblyFileVersion("1.7.0.0")]
+[assembly: AssemblyVersion("1.9.0.0")]
+[assembly: AssemblyFileVersion("1.9.0.0")]
diff --git a/Examples/FittedBondCurve/Properties/AssemblyInfo.cs b/Examples/FittedBondCurve/Properties/AssemblyInfo.cs
@@ -10,7 +10,7 @@
 [assembly: AssemblyConfiguration( "" )]
 [assembly: AssemblyCompany( "" )]
 [assembly: AssemblyProduct( "QLNet Examples" )]
-[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
 [assembly: AssemblyTrademark( "" )]
 [assembly: AssemblyCulture( "" )]
 
@@ -32,5 +32,5 @@
 // You can specify all the values or you can default the Build and Revision Numbers 
 // by using the '*' as shown below:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion( "1.7.0.0" )]
-[assembly: AssemblyFileVersion( "1.7.0.0" )]
+[assembly: AssemblyVersion( "1.9.0.0" )]
+[assembly: AssemblyFileVersion( "1.9.0.0" )]
diff --git a/Examples/Repo/Properties/AssemblyInfo.cs b/Examples/Repo/Properties/AssemblyInfo.cs
@@ -10,7 +10,7 @@
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
 [assembly: AssemblyProduct( "QLNet Examples" )]
-[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // You can specify all the values or you can default the Build and Revision Numbers 
 // by using the '*' as shown below:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.7.0.0")]
-[assembly: AssemblyFileVersion("1.7.0.0")]
+[assembly: AssemblyVersion("1.9.0.0")]
+[assembly: AssemblyFileVersion("1.9.0.0")]
diff --git a/Examples/Swap/Properties/AssemblyInfo.cs b/Examples/Swap/Properties/AssemblyInfo.cs
@@ -10,7 +10,7 @@
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
 [assembly: AssemblyProduct( "QLNet Examples" )]
-[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // You can specify all the values or you can default the Build and Revision Numbers 
 // by using the '*' as shown below:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.7.0.0")]
-[assembly: AssemblyFileVersion("1.7.0.0")]
+[assembly: AssemblyVersion("1.9.0.0")]
+[assembly: AssemblyFileVersion("1.9.0.0")]
diff --git a/News.txt b/News.txt
@@ -1,42 +1,75 @@
-QLNet 1.8 
+QLNet 1.9 
 =========================
 
-QLNet 1.8 stable version.
+QLNet 1.9 stable version.
 
 The most notable changes are included below.
 A detailed list of changes is available in ChangeLog.txt.
 
 FRAMEWORK
 
-+ Refactored code to be compatible with .NET Core , created VS 2015 solution QLNet_Core.sln
-  that build the .NET Core version.
-
-+ Refactored test project to work with Microsoft UnitTesting and Xunit.
++ Refactoring & Update BlackScholesProcess, LocalVolCurve, bsmlattice
++ Optimized npvbps calculation
++ List and InitializedList refactoring
 
-INTEREST RATES
+CASHFLOWS
 
-+ Fixed links to documentation for LIBOR indexes.
++ Fixed CappedFlooredCoupon factory
 
 INSTRUMENTS
 
-+ Added basic CVA IRS pricing engine.
++ Added CompositeInstrument.
++ Added DividendBarrierOption.
++ Added ForwardVanillaOption.
++ Added LookbackOption.
++ Added CMS Helper.
++ Added BarrierOption.
++ Added Cliquet Option.
++ Added DoubleBarrier Option.
++ Added CPICapFloor.
++ Added CPISwap.
 
-CURRENCIES
+DATE/TIME
 
-+ Added Ukrainian hryvnia.
++ Added ECB dates for 2017.
++ Fixed rule for the Japanese Mountain Day holiday.
++ Fixed United States holidays before 1971.
 
-DATE/TIME
+INDEXES
 
-+ Added new Ukrainian holiday, Defender's Day.
++ Added Ibor indexes : Aonia , Bbsw, Bkbm and Nzocr.
 
 MATH
 
-+ Added mixed log interpolation.
-+ Added FlatExtrapolator2D
-+ Added BackwardflatLinear Interpolation.
-+ Added AbcdInterpolation.
-+ Implemented Lagrange boundary condition for cubic interpolation
++ Added Matrix inverse calculation with Crout's LU decomposition.
++ Added VannaVolga Interpolation.
+
+TERMSTRUCTURES
+
++ Added Swaption volatility cube.
++ Allow negative jumps in yield term structures.
 
 PRICING ENGINES
 
-+ Added CounterpartyAdjSwapEngine engine with example program.
++ Added ForwardVanillaEngine engine.
++ Added AnalyticContinuousFixedLookbackEngine engine.
++ Added AnalyticContinuousFloatingLookbackEngine engine.
++ Added AnalyticContinuousPartialFixedLookbackEngine engine.
++ Added AnalyticContinuousPartialFloatingLookbackEngine engine.
++ Added AnalyticBinaryBarrierEngine.
++ Added AnalyticCliquetEngine.
++ Added AnalyticPerformanceEngine.
++ Added BlackDeltaCalculator and DeltaVolQuote.
++ Added VannaVolga BarrierEngine.
++ Added AnalyticDoubleBarrierEngine.
++ Added VannaVolgaDoubleBarrierEngine.
++ Added WulinYongDoubleBarrierEngine.
++ Added InterpolatingCPICapFloorEngine.
+
+TESTS
+
++ Added theta pertubation in AmericanOption & DividendOption tests.
++ Added tests for China SSE and IB calendars and a missing Chinese holiday
++ Added Test : Chambers-Nawalkha implied vol approximation
++ Added CapFloored coupon tests.
++ Added Digital Coupon tests.
diff --git a/QLNet/Cashflows/CappedFlooredCoupon.cs b/QLNet/Cashflows/CappedFlooredCoupon.cs
@@ -1,7 +1,7 @@
 /*
  Copyright (C) 2008 Toyin Akin (toyin_akin@hotmail.com)
  Copyright (C) 2009 Siarhei Novik (snovik@gmail.com)
- Copyright (C) 2008, 2009 , 2010  Andrea Maggiulli (a.maggiulli@gmail.com) 
+ Copyright (C) 2008-2016  Andrea Maggiulli (a.maggiulli@gmail.com) 
   
  This file is part of QLNet Project https://github.com/amaggiulli/qlnet
 
@@ -165,7 +165,7 @@ public override void setPricer(FloatingRateCouponPricer pricer)
       // Factory - for Leg generators
       public virtual CashFlow factory(double nominal, Date paymentDate, Date startDate, Date endDate, int fixingDays, InterestRateIndex index, double gearing, double spread, double? cap, double? floor, Date refPeriodStart, Date refPeriodEnd, DayCounter dayCounter, bool isInArrears)
       {
-         return new CappedFlooredCoupon( new FloatingRateCoupon( paymentDate, nominal, startDate, endDate, fixingDays, index, gearing, spread, refPeriodStart, refPeriodEnd, dayCounter, isInArrears ), cap, floor );
+         return new CappedFlooredCoupon( new IborCoupon( paymentDate, nominal, startDate, endDate, fixingDays, (IborIndex )index, gearing, spread, refPeriodStart, refPeriodEnd, dayCounter, isInArrears ), cap, floor );
       }
    }
 

diff --git a/QLNet/Cashflows/CashFlows.cs b/QLNet/Cashflows/CashFlows.cs
@@ -1,6 +1,6 @@
 /*
  Copyright (C) 2008, 2009 Siarhei Novik (snovik@gmail.com)
- Copyright (C) 2008-2013 Andrea Maggiulli (a.maggiulli@gmail.com)
+ Copyright (C) 2008-2016 Andrea Maggiulli (a.maggiulli@gmail.com)
  
  This file is part of QLNet Project https://github.com/amaggiulli/qlnet
 
@@ -360,9 +360,9 @@ public BPSCalculator(YieldTermStructure discountCurve)
          // visitor classes should implement the generic visit method in the following form
          public void visit(object o) 
          {
-            Type[] types = new Type[] { o.GetType() };
+            Type[] types = new Type[] { o.GetType() };
             MethodInfo methodInfo = Utils.GetMethodInfo( this, "visit", types );
-
+
             if (methodInfo != null) {
                   methodInfo.Invoke(this, new object[] { o });
             }
@@ -726,27 +726,29 @@ public static double bps(Leg leg, YieldTermStructure discountCurve, bool include
       public static void npvbps(Leg leg,YieldTermStructure discountCurve, bool includeSettlementDateFlows,
                                 Date settlementDate, Date npvDate, out double npv,out double bps) 
       {
-         npv = 0.0;
+         npv = bps = 0.0;
          if (leg.empty())
          {
             bps = 0.0;
             return;
          }
 
-         BPSCalculator calc = new BPSCalculator(discountCurve);
          for (int i=0; i<leg.Count; ++i) 
          {
             CashFlow cf = leg[i];
 				if (!cf.hasOccurred(settlementDate, includeSettlementDateFlows) &&
 					 !cf.tradingExCoupon(settlementDate)) 
             {
-               npv += cf.amount() * discountCurve.discount(cf.date());
-               cf.accept(calc);
+               Coupon cp = leg[i] as Coupon;
+               double df = discountCurve.discount( cf.date() );
+               npv += cf.amount() * df;
+               if ( cp != null )
+                  bps += cp.nominal() * cp.accrualPeriod() * df;
             }
          }
          double d = discountCurve.discount(npvDate);
          npv /= d;
-         bps = basisPoint_ * calc.bps() / d;
+         bps = basisPoint_ * bps / d;
       }
 
       // At-the-money rate of the cash flows.