Merge branch 'master' of https://github.com/amaggiulli/qlnet

amaggiulli · Nov 11, 2015 · 84fafd7 · 84fafd7
2 parents 667085d + 663c2ea
commit 84fafd7
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Showing 11 changed files with 90 additions and 40 deletions.
diff --git a/QLNet/Cashflows/Cashflowvectors.cs b/QLNet/Cashflows/Cashflowvectors.cs
@@ -91,17 +91,17 @@ public static List<CashFlow> FloatingLeg<InterestRateIndexType, FloatingCouponTy
                 } else {
                     if (Utils.noOption(caps, floors, i)) {
                         leg.Add(new FloatingCouponType().factory(Utils.Get(nominals, i),
-                            paymentDate, start, end,
-                            Utils.Get(fixingDays, i, 2),
+                            paymentDate, start, end,
+                            Utils.Get( fixingDays, i, index.fixingDays() ),
                             index,
                             Utils.Get(gearings, i, 1),
                             Utils.Get(spreads, i),
                             refStart, refEnd, paymentDayCounter,
                             isInArrears));
                     } else {
                         leg.Add(new CappedFlooredCouponType().factory(Utils.Get(nominals, i),
-                            paymentDate, start, end,
-                            Utils.Get(fixingDays, i, 2),
+                            paymentDate, start, end,
+                            Utils.Get( fixingDays, i, index.fixingDays() ),
                             index,
                             Utils.Get(gearings, i, 1),
                             Utils.Get(spreads, i),

diff --git a/QLNet/Math/PrimeNumbers.cs b/QLNet/Math/PrimeNumbers.cs
@@ -54,22 +54,17 @@ private PrimeNumbers() { }
         public  static ulong get(int absoluteIndex)
         {        
             if (primeNumbers_.empty()) 
-            {
-                //int n = sizeof(firstPrimes)/sizeof(firstPrimes[0]);
-                int n = 8*sizeof(ulong)/sizeof(ulong);
-                //primeNumbers_.insert(primeNumbers_.end(),firstPrimes, firstPrimes+n);
-                //IEnumerable<ulong> colection=firstPrimes..ForEach((i, x) => i <n));
-                primeNumbers_.AddRange( firstPrimes.ToList<ulong>().GetRange(0,n));
-            }
-            while (primeNumbers_.Count<=absoluteIndex)
+                primeNumbers_.AddRange(firstPrimes);
+
+			while (primeNumbers_.Count<=absoluteIndex)
                 nextPrimeNumber();
-            return primeNumbers_[absoluteIndex];
+
+			return primeNumbers_[absoluteIndex];
         }
 
         private static ulong nextPrimeNumber()
         {
-            //ulong p, n, m = primeNumbers_.back();
-            ulong p, n, m = primeNumbers_.First(); 
+            ulong p, n, m = primeNumbers_.Last(); 
             do {
                 // skip the even numbers
                 m += 2;
@@ -80,12 +75,10 @@ private static ulong nextPrimeNumber()
                     p = primeNumbers_[i];
                     ++i;
                 }
-                while ((m % p==1) && p <= n);//while ( m%p && p<=n );
+                while ((m % p != 0) && p <= n);
             } while ( p<=n );
             primeNumbers_.Add(m);
             return m;
         }
-
     }
-
 }
diff --git a/QLNet/QLNet.nuspec b/QLNet/QLNet.nuspec
@@ -1,17 +1,17 @@
 <?xml version="1.0"?>
 <package >
   <metadata>
-    <id>$id$</id>
+    <id>QLNet</id>
     <version>$version$</version>
-    <title>$title$</title>
+    <title>QLNet</title>
     <authors>Andrea Maggiulli</authors>
     <owners>Andrea Maggiulli</owners>
     <licenseUrl>http://qlnet.sourceforge.net/License.html</licenseUrl>
     <projectUrl>http://github.com/amaggiulli/qlnet</projectUrl>
     <requireLicenseAcceptance>false</requireLicenseAcceptance>
     <description>A free/open-source library for quantitative finance</description>
-    <releaseNotes>Initial release to NuGet for version 1.2.0.0</releaseNotes>
-    <copyright>Copyright (c) 2008-2013 Andrea Maggiulli (a.maggiulli@gmail.com)</copyright>
+    <releaseNotes>Version $version$</releaseNotes>
+    <copyright>Copyright (c) 2008-2014 Andrea Maggiulli (a.maggiulli@gmail.com)</copyright>
     <tags>QLNet QuantLib quantitative finance financial</tags>
   </metadata>
-</package>
+</package>
diff --git a/QLNet/Termstructures/Yield/ZeroCurve.cs b/QLNet/Termstructures/Yield/ZeroCurve.cs
@@ -161,7 +161,7 @@ private void initialize(Compounding compounding, Frequency frequency)
             InterestRate r = new InterestRate(data_[0], dayCounter(), compounding, frequency);
             data_[0] = r.equivalentRate(Compounding.Continuous, Frequency.NoFrequency, dt).value();
 #if !QL_NEGATIVE_RATES
-            Utils.QL_REQUIRE(data_[0] > 0.0, "non-positive yield");
+            Utils.QL_REQUIRE( data_[0] > 0.0, () => "non-positive yield" );
 #endif
          }
 

diff --git a/README.md b/README.md
@@ -6,6 +6,11 @@ QLNet is a financial library written in c# for the Windows enviroment derived pr
 which has been used as a base reference for modelling of various financial instruments.
 QLNet contains also new developments on the bond market like MBS , Amortized Cost, PSA Curve and others.
 
+[![Build status](https://ci.appveyor.com/api/projects/status/iii1m7n3cdq3v5xm?svg=true)](https://ci.appveyor.com/project/amaggiulli/qlnet)
+[![Release](https://img.shields.io/github/release/amaggiulli/qlnet.svg)](https://github.com/amaggiulli/qlnet/releases/latest)
+[![NuGet](https://img.shields.io/nuget/dt/qlnet.svg)](http://nuget.org/packages/qlnet)
+[![Stars](https://img.shields.io/github/stars/amaggiulli/qlnet.svg)](https://github.com/amaggiulli/qlnet/stargazers)
+
 How source code is organized
 =====
 We have recently changed the policy for commit changes . 

diff --git a/Test/T_DividendOption.cs b/Test/T_DividendOption.cs
@@ -321,7 +321,6 @@ public void testEuropeanValues()
 		// Reference pg. 253 - Hull - Options, Futures, and Other Derivatives 5th ed
 		// Exercise 12.8
 		// Doesn't quite work.  Need to deal with date conventions
-		[TestMethod()]
 		void testEuropeanKnownValue() 
 		{
 

diff --git a/Test/T_LiborMarketModel.cs b/Test/T_LiborMarketModel.cs
@@ -80,9 +80,9 @@ OptionletVolatilityStructure makeCapVolCurve(Date todaysDate)
 
             return new CapletVarianceCurve(todaysDate, dates,
                                            capletVols,new Actual360());
-        }
-        
-        [TestMethod()]
+        }
+
+        [TestCategory( "LongRun" ), TestMethod()]
         public void testSimpleCovarianceModels() 
         {
             //"Testing simple covariance models...";
@@ -153,9 +153,9 @@ public void testSimpleCovarianceModels()
                                     + "\n    expected:   " + expected);
                 }
             }
-        }
-
-        [TestMethod()]
+        }
+
+        [TestCategory( "LongRun" ), TestMethod()]
         public void testCapletPricing() 
         {
             //"Testing caplet pricing...";
@@ -200,7 +200,7 @@ public void testCapletPricing()
                             + "\n    expected:   " + expected);
         }
 
-        [TestMethod()]
+        [TestCategory("LongRun"), TestMethod()]
         public void testCalibration()
         {
             //("Testing calibration of a Libor forward model...");
@@ -300,7 +300,7 @@ public void testCalibration()
                             + "\n    expected : smaller than  " + tolerance);
         }
 
-        [TestMethod()]
+        [TestCategory("LongRun"),TestMethod()]
         public void testSwaptionPricing() 
         {
             //"Testing forward swap and swaption pricing...");

diff --git a/Test/T_LiborMarketModelProcess.cs b/Test/T_LiborMarketModelProcess.cs
@@ -101,8 +101,8 @@ LiborForwardModelProcess makeProcess(Matrix volaComp)
 
             return process;
         }
-        
-        [TestMethod()]
+
+        [TestCategory( "LongRun" ), TestMethod()]
         public void testInitialisation() 
         {
             //"Testing caplet LMM process initialisation..."
@@ -146,8 +146,8 @@ public void testInitialisation()
 
             }
         }
-        
-        [TestMethod()]
+
+        [TestCategory( "LongRun" ), TestMethod()]
         public void testLambdaBootstrapping() 
         {
             //"Testing caplet LMM lambda bootstrapping..."
@@ -197,7 +197,7 @@ public void testLambdaBootstrapping()
             }
         }
 
-        [TestMethod()]
+        [TestCategory("LongRun") , TestMethod()]
         public void testMonteCarloCapletPricing() 
         {
             //"Testing caplet LMM Monte-Carlo caplet pricing..."

diff --git a/Test/T_PathGenerator.cs b/Test/T_PathGenerator.cs
@@ -149,7 +149,7 @@ public void testMultiple(StochasticProcess process,
             }
         }
 
-        [TestMethod()]
+        [TestCategory( "LongRun" ), TestMethod()]
         public void testPathGenerator() {
 
             //"Testing 1-D path generation against cached values...");
@@ -182,7 +182,7 @@ public void testPathGenerator() {
                        "square-root", false, 1.70608664108, 6.024200546031);
         }
 
-        [TestMethod()]
+        [TestCategory( "LongRun" ), TestMethod()]
         public void testMultiPathGenerator()
         {
 

diff --git a/Test/T_Swaps.cs b/Test/T_Swaps.cs
@@ -300,6 +300,56 @@ public void testCachedValue()
                         + "    expected:   " + cachedNPV);
       }
 
+      [TestMethod()]
+      public void testFixing()
+      {
+         Date tradeDate = new Date( 17, Month.April, 2015 );
+         Calendar calendar = new UnitedKingdom();
+         Date settlementDate = calendar.advance( tradeDate, 2, TimeUnit.Days, BusinessDayConvention.Following );
+         Date maturityDate = calendar.advance( settlementDate, 5, TimeUnit.Years, BusinessDayConvention.Following );
+
+         Date valueDate = new Date( 20, Month.April, 2015 );
+         Settings.setEvaluationDate( valueDate );
+
+         List<Date> dates = new List<Date>();
+         dates.Add( valueDate );
+         dates.Add( valueDate + new Period( 1, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 2, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 5, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 10, TimeUnit.Years ) );
+         dates.Add( valueDate + new Period( 20, TimeUnit.Years ) );
+
+         List<double> rates = new List<double>();
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+         rates.Add( 0.01 );
+
+         var discountCurveHandle = new RelinkableHandle<YieldTermStructure>();
+         var forecastCurveHandle = new RelinkableHandle<YieldTermStructure>();
+         GBPLibor index = new GBPLibor( new Period( 6, TimeUnit.Months ), forecastCurveHandle );
+         InterpolatedZeroCurve<Linear> zeroCurve = new InterpolatedZeroCurve<Linear>( dates, rates, new Actual360(), new Linear() );
+         var fixedSchedule = new Schedule( settlementDate, maturityDate, new Period( 1, TimeUnit.Years ), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
+         var floatSchedule = new Schedule( settlementDate, maturityDate, index.tenor(), calendar, BusinessDayConvention.Following, BusinessDayConvention.Following, DateGeneration.Rule.Forward, false );
+         VanillaSwap swap = new VanillaSwap( VanillaSwap.Type.Payer, 1000000, fixedSchedule, 0.01, new Actual360(), floatSchedule, index, 0, new Actual360() );
+         discountCurveHandle.linkTo( zeroCurve );
+         forecastCurveHandle.linkTo( zeroCurve );
+         var swapEngine = new DiscountingSwapEngine( discountCurveHandle, false, null );
+         swap.setPricingEngine( swapEngine );
+
+         try
+         {
+            double npv = swap.NPV();
+         }
+         catch ( Exception ex )
+         {
+            Assert.Fail( ex.Message );
+            Console.WriteLine( ex );
+         }
+      }
+
       public void suite()
       {
          testFairRate();

diff --git a/Test/default.testsettings b/Test/default.testsettings
@@ -0,0 +1,3 @@
+<?xml version="1.0" encoding="UTF-8"?>
+<TestSettings name="Local" id="1fc46845-a72b-4ac7-a418-a6522918efe9" xmlns="http://microsoft.com/schemas/VisualStudio/TeamTest/2010">
+</TestSettings>