From a5f833824763cb1e6fd1ca5084232dbc6e82edda Mon Sep 17 00:00:00 2001 From: Andrea Maggiulli Date: Wed, 23 Mar 2016 17:03:34 +0100 Subject: [PATCH] Preparing next major release 1.6 --- ChangeLog.txt | 1268 +++++++++++++++++++++++++++++++++++++++++++++---- News.txt | 83 ++++ README.md | 6 +- 3 files changed, 1274 insertions(+), 83 deletions(-) create mode 100644 News.txt diff --git a/ChangeLog.txt b/ChangeLog.txt index f5ddee7b6..0eabe0ddc 100644 --- a/ChangeLog.txt +++ b/ChangeLog.txt @@ -1,82 +1,1186 @@ -Commits on Aug 20, 2015 - @amaggiulli amaggiulli Update version 0f35442 - @amaggiulli amaggiulli Update version bc6f14f -Commits on Aug 21, 2015 - @amaggiulli amaggiulli Merge pull request #53 from amaggiulli/master … - -Fix Vanilla Swap Pricer - thanks OfirMarom dc3892e -Commits on Aug 24, 2015 - @amaggiulli amaggiulli Merge pull request #56 from amaggiulli/master … - -Merge fix on branch 1.5 e78dc6f - @amaggiulli amaggiulli Update Asia Currencies 5495847 - @amaggiulli amaggiulli Add Shibor Index a2af90a - @amaggiulli amaggiulli Added China Inter-Bank calendar 65b75e6 - @amaggiulli amaggiulli Added half-month modified following convention 4482e3b - @amaggiulli amaggiulli Added a few more historical closings for NYSE. bed2e9f - @amaggiulli amaggiulli Updated the Hong Kong calendar for 2014-2015. 3222f8b - @amaggiulli amaggiulli Updated India calendar for 2014. 710231d - @amaggiulli amaggiulli Updated Indonesia calendar for 2014. 12588f0 - @amaggiulli amaggiulli Updated Singapore calendar for 2014. 15eb039 - @amaggiulli amaggiulli Updated SouthKorea calendar for 2014. 701dbd5 - @amaggiulli amaggiulli Updated Taiwan,Turkey calendars for 2014. e7681bd - @amaggiulli amaggiulli Added Ukraine calendar f33ea96 -Commits on Aug 25, 2015 - @amaggiulli amaggiulli Added ECB reserve maintenance dates with tests. ef0b0bc - @amaggiulli amaggiulli Add FedFunds index. 940bf03 - @amaggiulli amaggiulli Added Sonia (Sterling Overnight Index Average) index. 8449a21 -Commits on Aug 26, 2015 - @amaggiulli amaggiulli Fix Barone-Adesi and Whaley approximation for r=0.0 3807747 - @amaggiulli amaggiulli fixed behavior of the Bjerksund Stensland engine for very small … d0ec0dd -Commits on Aug 27, 2015 - @amaggiulli amaggiulli Bond : added cashflow lists Stable Sort 56464f9 -Commits on Aug 30, 2015 - @amaggiulli amaggiulli AmortizingFixedRateBond minor fix and a new test. 934024e -Commits on Sep 04, 2015 - @amaggiulli amaggiulli Fix Factorial bug - tabulated length 814096d -Commits on Sep 07, 2015 - @amaggiulli amaggiulli QL_EPSILON refactoring to upper case. 986e967 - @amaggiulli amaggiulli Added modified Bessel functions with Tests. 9a77fa9 - @amaggiulli amaggiulli Update QLNet project URL. 10ed135 -Commits on Sep 09, 2015 - @igitur igitur Fix indentation of Schedule.cs c0e7d68 - @igitur igitur Extend schedule constructor in line with QuantLib 4620d41 - @igitur igitur avoided degenerate schedules; ignored EndOfMonth for tenor below 1M 1cef439 - @igitur igitur Add degenerate schedule check 046cfa8 -Commits on Sep 16, 2015 - @amaggiulli amaggiulli Move class TqrEigenDecomposition to right folder 8089d5c - @amaggiulli amaggiulli Move class TqrEigenDecomposition to right folder a824265 -Commits on Sep 28, 2015 - @amaggiulli amaggiulli Added SABRInterpolation with tests ( also fix a bug in Constraint.cs ) 6b3dd1e -Commits on Oct 09, 2015 - @igitur igitur Check for null ccc91df - @igitur igitur Reformat file 10e2662 - @igitur igitur Merge pull request #57 from igitur/extend-schedule-constructor … e379aa3 - @igitur igitur Add new Schedule tests e3a6f1c - @igitur igitur Port fix of lballabio/quantlib@054efcb f465920 -Commits on Oct 12, 2015 - @igitur igitur Fix default isRegular value 9a9050b - @igitur igitur Merge pull request #58 from igitur/add_schedule_tests … 67af2bd - @igitur igitur Reformat file a61727b - @igitur igitur Add bond test for South African R2048 which requires Schedule from cu… … e3a44b2 - @igitur igitur Merge pull request #59 from igitur/add-R2048-ZA-bond-test … ff887fa - @amaggiulli amaggiulli Fix compilation warning e39048d -Commits on Oct 13, 2015 - @amaggiulli amaggiulli Fix MatrixUtilities ( qrDecomposition , qrSolve ) with tests. 33b452d - @amaggiulli amaggiulli Added Kernel Interpolation with tests c608668 - @amaggiulli amaggiulli Added KernelInterpolation2D with test. 1839ad4 -Commits on Oct 14, 2015 - @amaggiulli amaggiulli Added BicubicSpline Interpolation with test. 34d645c - @amaggiulli amaggiulli Test Bicubic splines update. 7913b16 - @amaggiulli amaggiulli Added Richardson Extrapolation with test. 351f115 - @amaggiulli amaggiulli test sabr single cases 48797ef -Commits on Nov 16, 2015 - @amaggiulli amaggiulli Fixed MCDiscreteAveragingAsianEngine ctor , fixed testSpecializedBond… … 154f733 - @amaggiulli amaggiulli Fixed Bond ctor wrong check. cea55f2 - @amaggiulli amaggiulli Fixed SmileSection,SabrSmileSection,FlatSmileSection, ctor's 22fe490 - @amaggiulli amaggiulli Cleanup LfmHullWhiteParameterization integratedCovariance function. 02cec14 -Commits on Nov 17, 2015 - @amaggiulli amaggiulli Fixed india calendar bug ( cov 33751 ). b925e56 - @amaggiulli amaggiulli Fixed dead code in SouthKorea Calendar( cov 32789 ) d0922da - @amaggiulli amaggiulli Fix Bond ctor ( cov 32792 ) 92bc4c9 - @amaggiulli amaggiulli Avoid possible division by zero ( cov 32791 ) 846a25a \ No newline at end of file +commit f9f8170029e1dad6a96f5d198dee589f09f6f1cf +Author: Andrea Maggiulli +Date: Wed, 23 Mar 2016 16:10:38 +0100 + + Fix Example Projects configurations. + + Examples/BermudanSwaption/BermudanSwaption.csproj | 3 --- + Examples/Bonds/Bonds.csproj | 3 --- + Examples/CallableBonds/CallableBonds.csproj | 3 --- + Examples/EquityOption/EquityOption.csproj | 3 --- + Examples/FRA/FRA.csproj | 3 --- + Examples/Repo/Repo.csproj | 3 --- + Examples/Swap/Swap.csproj | 3 --- + 7 files changed, 21 deletions(-) + +commit 1c056a4c85f1ba746b6705f819ded188a9ec9885 +Author: Andrea Maggiulli +Date: Mon, 21 Mar 2016 12:41:43 +0100 + + Allowed user-defined Jacobian in optimization + + QLNet/Math/CostFunction.cs | 53 ----- + QLNet/Math/Optimization/CostFunction.cs | 89 ++++++++ + QLNet/Math/Optimization/levenbergmarquardt.cs | 292 +++++++++++++++----------- + QLNet/Math/Optimization/lmdif.cs | 11 +- + QLNet/QLNet.csproj | 2 +- + Test/T_Optimizers.cs | 12 +- + 6 files changed, 279 insertions(+), 180 deletions(-) + +commit 5e360e2b4468080efd2fb1c69cdbdc361a5c35e6 +Author: Andrea Maggiulli +Date: Mon, 21 Mar 2016 11:15:07 +0100 + + Allowed non strike/type payoffs in finite-differences engine for vanilla options. + + QLNet/Pricingengines/vanilla/FDVanillaEngine.cs | 5 ++--- + 1 file changed, 2 insertions(+), 3 deletions(-) + +commit b6578411a98f50c58cefabc5dfaea0cc4fd112cf +Author: Andrea Maggiulli +Date: Mon, 21 Mar 2016 11:04:16 +0100 + + Extended digital American options to handle knock-off case. Added Digital Option tests. + + QLNet/Pricingengines/Americanpayoffatexpiry.cs | 380 ++++++----- + .../vanilla/AnalyticDigitalAmericanEngine.cs | 124 ++++ + QLNet/QLNet.csproj | 1 + + Test/T_DigitalOption.cs | 720 +++++++++++++++++++++ + Test/Test.csproj | 1 + + 5 files changed, 1066 insertions(+), 160 deletions(-) + +commit 3190fbc364960c91c1cd15931a010f4a2d6b0287 +Author: Andrea Maggiulli +Date: Wed, 16 Mar 2016 00:30:22 +0100 + + Fixed bug in IterativeBootstrap to avoid bootstrap failure in scenario analysis. + + QLNet/Termstructures/Iterativebootstrap.cs | 16 +++++++++++----- + 1 file changed, 11 insertions(+), 5 deletions(-) + +commit 3f19c9272a6a67983dbb742cc2dd5822e3b38584 +Author: Andrea Maggiulli +Date: Tue, 15 Mar 2016 23:06:48 +0100 + + Added Bachelier engine for caps/floors based on normal volatility. + New classes CapFloorTermVolCurve,CapFloorTermVolSurface,InterpolatedSmileSection,Optionlet strippers,SpreadedOptionletVolatility, + StrippedOptionletAdapter,SpreadedSmileSection with tests on T_OptionletStripper. + + QLNet/Instruments/MakeCapFloor.cs | 172 ++++++++ + .../CapFloor/BachelierCapFloorEngine.cs | 136 +++++++ + QLNet/QLNet.csproj | 12 + + .../Volatility/CapFloor/CapFloorTermVolCurve.cs | 232 +++++++++++ + .../Volatility/CapFloor/CapFloorTermVolSurface.cs | 273 +++++++++++++ + .../Volatility/InterpolatedSmileSection.cs | 189 +++++++++ + .../Volatility/Optionlet/OptionletStripper.cs | 167 ++++++++ + .../Volatility/Optionlet/OptionletStripper1.cs | 228 +++++++++++ + .../Volatility/Optionlet/OptionletStripper2.cs | 195 +++++++++ + .../Optionlet/SpreadedOptionletVolatility.cs | 74 ++++ + .../Optionlet/StrippedOptionletAdapter.cs | 97 +++++ + .../Volatility/Optionlet/StrippedOptionletBase.cs | 40 ++ + .../Volatility/SpreadedSmileSection.cs | 57 +++ + Test/T_BasketOption.cs | 4 +- + Test/T_OptionletStripper.cs | 441 +++++++++++++++++++++ + Test/Test.csproj | 1 + + 16 files changed, 2316 insertions(+), 2 deletions(-) + +commit 6ef9105980c1529ce2993bc68029d2ec3857947f +Author: Andrea Maggiulli +Date: Tue, 15 Mar 2016 23:06:14 +0100 + + Refactoring BlackCapFloorEngine, SmileSection and FlatSmileSection classes. + + .../Pricingengines/CapFloor/BlackCapFloorEngine.cs | 98 ++--- + .../Termstructures/Volatility/FlatSmileSection.cs | 7 +- + QLNet/Termstructures/Volatility/SmileSection.cs | 404 ++++++++++++--------- + 3 files changed, 296 insertions(+), 213 deletions(-) + +commit d3f192c2cb39e020256749a93946d2bd33dabf38 +Author: Andrea Maggiulli +Date: Tue, 15 Mar 2016 23:04:21 +0100 + + Fix capfloor bug on ctor. + + QLNet/Instruments/CapFloor.cs | 4 ++-- + 1 file changed, 2 insertions(+), 2 deletions(-) + +commit bfe222dc93cf56a74e3a67f13ee5d56eb82c645f +Author: Andrea Maggiulli +Date: Tue, 15 Mar 2016 22:41:38 +0100 + + Better comparison between double numbers. + + QLNet/Math/Solver1d.cs | 13 +++++++------ + QLNet/Math/Solvers1d/Bisection.cs | 3 ++- + QLNet/Math/Solvers1d/Brent.cs | 5 +++-- + QLNet/Math/Solvers1d/FalsePosition.cs | 3 ++- + QLNet/Math/Solvers1d/Newton.cs | 3 ++- + QLNet/Math/Solvers1d/Newtonsafe.cs | 3 ++- + QLNet/Math/Solvers1d/Ridder.cs | 9 +++++---- + QLNet/Math/Solvers1d/Secant.cs | 5 +++-- + Test/T_SwaptionVolatilitymatrix.cs | 27 ++++++++++++++------------- + 9 files changed, 40 insertions(+), 31 deletions(-) + +commit 9445d4ac72f68b1f922edfb2c41d2c47660cc204 +Author: Andrea Maggiulli +Date: Tue, 15 Mar 2016 22:39:08 +0100 + + Fix close and close_enough comparison. + + QLNet/Math/Comparison.cs | 33 +++++++++++++++++++++++++++------ + 1 file changed, 27 insertions(+), 6 deletions(-) + +commit cc7eaf5e13dbb357128c9ac6652e2d14c6a7e368 +Author: Andrea Maggiulli +Date: Thu, 10 Mar 2016 17:59:05 +0100 + + Fixed settlement days of BTP bonds. + + QLNet/Instruments/Bonds/BTP.cs | 8 ++++---- + 1 file changed, 4 insertions(+), 4 deletions(-) + +commit b366cc5adde697ad7e1ebb9fb4e100b59ec8ef9f +Author: Andrea Maggiulli +Date: Thu, 10 Mar 2016 17:51:22 +0100 + + Cleanup wrong tags + + QLNet/Currencies/Europe.cs | 21 --------------------- + 1 file changed, 21 deletions(-) + +commit 1c8d6f27acef3835b08ea838a2b63afcea89d2ea +Author: Andrea Maggiulli +Date: Thu, 10 Mar 2016 17:42:30 +0100 + + Added IDR, MYR, RUB and VND currencies + + QLNet/Currencies/Asia.cs | 33 +++++++++++++++++++++++++++++++++ + QLNet/Currencies/Europe.cs | 11 +++++++++++ + 2 files changed, 44 insertions(+) + +commit 7df4d7038d3fe9605f13a681005528f9ba1ed70b +Author: Andrea Maggiulli +Date: Wed, 2 Mar 2016 00:45:59 +0100 + + Fix Nuget badge [skip ci] + + README.md | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit e60779cad2a39f05eae3208e1ecddda810595eb4 +Author: Andrea Maggiulli +Date: Wed, 2 Mar 2016 00:38:22 +0100 + + From version 1.6 we start to use git flow workflow. Updated README.md to explain this. [skip ci] + + README.md | 6 +++--- + 1 file changed, 3 insertions(+), 3 deletions(-) + +commit 2533251dc8a00f13abcabcc325ea8ef8c47c6fba +Author: Andrea Maggiulli +Date: Wed, 2 Mar 2016 00:33:40 +0100 + + From version 1.6 we start to use git flow workflow. Updated README.md to explain this. [skip ci] + + README.md | 33 +++++++++++++++++++++++++++------ + 1 file changed, 27 insertions(+), 6 deletions(-) + +commit 6777be57ce4a5c1df0a9ece86c1c34bb8af5ae8d +Author: Andrea Maggiulli +Date: Wed, 24 Feb 2016 22:58:48 +0100 + + Fix linear least squares regression - Thx xiangtaoliu + + QLNet/Math/linearleastsquaresregression.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 49512b7c08e38b7dcc5d9730e7beeea04289f0d9 +Author: Andrea Maggiulli +Date: Tue, 16 Feb 2016 13:55:59 +0100 + + Fix Handle ctor to avoid empty constructors. + + QLNet/Handle.cs | 18 +++++++++--------- + .../Termstructures/DefaultProbabilityTermStructure.cs | 2 +- + .../Inflation/InterpolatedZeroInflationCurve.cs | 2 ++ + .../Inflation/PiecewiseYoYInflationCurve.cs | 6 +++--- + QLNet/Termstructures/InflationTermStructure.cs | 4 ++-- + .../Volatility/Bond/CallableBondVolatilityStructure.cs | 10 +++++----- + .../Volatility/Inflation/CPIVolatilitySurface.cs | 4 ++-- + .../yoyinflationoptionletvolatilitystructure.cs | 4 ++-- + .../Optionlet/OptionletVolatilityStructure.cs | 4 ++-- + .../Volatility/equityfx/BlackVarianceCurve.cs | 2 +- + .../Volatility/equityfx/BlackVolTermStructure.cs | 6 +++--- + .../Volatility/equityfx/LocalVolTermStructure.cs | 4 ++-- + .../Volatility/swaption/SwaptionVolatilityStructure.cs | 4 ++-- + QLNet/Termstructures/YieldTermStructure.cs | 6 +++--- + 14 files changed, 39 insertions(+), 37 deletions(-) + +commit 57db666cbf5de980d887dbc3004cb3c319e1360b +Author: Andrea Maggiulli +Date: Fri, 12 Feb 2016 18:18:46 +0100 + + Black Formula rewritten . Added : + Approximated Black 1976 implied standard deviation, + Black 1976 implied standard deviation, + Black 1976 probability of being in the money + Black 1976 formula for derivative with respect to implied vol + Black 1976 formula for second derivative by standard deviation + Bachelier formula for standard deviation derivative + + QLNet/Math/ModifiedBessel.cs | 8 +- + QLNet/Pricingengines/blackformula.cs | 840 +++++++++++++++++++++++++---------- + 2 files changed, 600 insertions(+), 248 deletions(-) + +commit 52a209d83ef1e1268553eb8428595586e94a364a +Author: Andrea Maggiulli +Date: Wed, 10 Feb 2016 13:57:27 +0100 + + Updated ECB 2016 dates. + + QLNet/Time/ECB.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 9658bdf859b7d81a61851a5017e9b00da70c1cf8 +Merge: 79cdddb c22f381 +Author: Francois Botha +Date: Thu, 28 Jan 2016 11:58:42 +0200 + + Merge pull request #76 from igitur/BlackVarianceSurface + + BlackVarianceSurface implementation + +commit c22f38103a62ccafb677d61b7f1c2b8a1b04f7a4 +Author: Francois Botha +Date: Thu, 28 Jan 2016 11:49:41 +0200 + + Initial implementation of BlackVarianceSurface - needs test cases. + + QLNet/Math/Interpolations/bilinearinterpolation.cs | 31 +++-- + QLNet/Math/Interpolations/interpolation2d.cs | 67 +++++---- + QLNet/QLNet.csproj | 1 + + .../Volatility/equityfx/BlackVarianceSurface.cs | 151 +++++++++++++++++++++ + 4 files changed, 201 insertions(+), 49 deletions(-) + +commit 79cdddbab2a1fa0a71e2fd2f9f21c5df7aba1a86 +Author: Andrea Maggiulli +Date: Tue, 26 Jan 2016 15:41:51 +0100 + + Added StulzEngine , KirkEngine , BivariateNormalDistribution with Basket option test (to be continued...) . + + QLNet/Instruments/BasketOption.cs | 11 + + .../Distributions/BivariateNormalDistribution.cs | 330 +++++++++++++++++++ + QLNet/Pricingengines/Basket/KirkEngine.cs | 89 ++++++ + .../Basket/MCEuropeanBasketEngine.cs | 28 ++ + QLNet/Pricingengines/Basket/StulzEngine.cs | 206 ++++++++++++ + QLNet/QLNet.csproj | 4 + + Test/T_BasketOption.cs | 348 +++++++++++++++++++++ + Test/Test.csproj | 1 + + Test/Utilities.cs | 52 +++ + 9 files changed, 1069 insertions(+) + +commit 639fafdb7968f3153b703918c4bfe97d356e8cbb +Author: Andrea Maggiulli +Date: Fri, 22 Jan 2016 15:51:58 +0100 + + Code refactoring, removed Count() with property access , removed ThreadStatic initialize + + QLNet/Cashflows/CouponPricer.cs | 10 ++++----- + QLNet/Cashflows/OvernightIndexedCoupon.cs | 4 ++-- + QLNet/Currencies/ExchangeRateManager.cs | 2 +- + QLNet/Instruments/BarrierOption.cs | 25 ++++------------------ + QLNet/Models/Shortrate/Twofactorsmodels/g2.cs | 2 +- + .../asian/analytic_discr_geom_av_price.cs | 6 +++--- + .../Pricingengines/asian/mcdiscreteasianengine.cs | 6 +++--- + QLNet/Quotes/LastFixingQuote.cs | 2 +- + QLNet/Settings.cs | 6 +++--- + QLNet/Time/Calendars/bespokecalendar.cs | 8 ++++--- + QLNet/Time/ECB.cs | 2 +- + QLNet/Time/Schedule.cs | 14 ++++++------ + .../legacy/libormarketmodels/liborforwardmodel.cs | 2 +- + 13 files changed, 36 insertions(+), 53 deletions(-) + +commit 5c0cd5461efda042c514ba19832796dfd6756d95 +Author: Andrea Maggiulli +Date: Fri, 22 Jan 2016 14:20:06 +0100 + + Update examples to TargetFrameworkVersion 4.0 + + Examples/BermudanSwaption/BermudanSwaption.csproj | 196 +++++++++++----------- + Examples/Bonds/Bonds.csproj | 196 +++++++++++----------- + Examples/CallableBonds/CallableBonds.csproj | 116 ++++++------- + Examples/EquityOption/EquityOption.csproj | 196 +++++++++++----------- + Examples/FRA/FRA.csproj | 196 +++++++++++----------- + Examples/Repo/Repo.csproj | 196 +++++++++++----------- + Examples/Swap/Swap.csproj | 196 +++++++++++----------- + 7 files changed, 660 insertions(+), 632 deletions(-) + +commit 29b94f55512f62d7be9d21385c74657f35c6d5f9 +Author: Andrea Maggiulli +Date: Fri, 22 Jan 2016 12:36:52 +0100 + + Removed unnecessary semicolon + + QLNet/Cashflows/OvernightIndexedCoupon.cs | 4 ++-- + QLNet/Currencies/ExchangeRateManager.cs | 1 - + QLNet/Instruments/Swaption.cs | 2 +- + QLNet/Instruments/payoffs.cs | 2 +- + QLNet/Methods/lattices/binominaltree.cs | 4 ++-- + QLNet/Pricingengines/CapFloor/analyticcapfloorengine.cs | 2 +- + QLNet/Termstructures/Yield/ForwardCurve.cs | 2 +- + QLNet/Time/Calendars/UnitedKingdom.cs | 2 +- + QLNet/Time/Calendars/UnitedStates.cs | 2 +- + QLNet/Time/Calendars/canada.cs | 2 +- + QLNet/Time/Calendars/germany.cs | 2 +- + QLNet/Time/Calendars/indonesia.cs | 2 +- + QLNet/Time/Calendars/italy.cs | 2 +- + QLNet/Time/Calendars/russia.cs | 2 +- + QLNet/Time/Calendars/southkorea.cs | 2 +- + QLNet/Time/DayCounters/Thirty360.cs | 2 +- + Test/T_LiborMarketModel.cs | 2 +- + Test/T_LiborMarketModelProcess.cs | 6 +++--- + Test/T_SwaptionVolatilitymatrix.cs | 4 ++-- + 19 files changed, 23 insertions(+), 24 deletions(-) + +commit 040bf579cc636cbe5bb0f0412916ef867bf6e8cb +Author: Andrea Maggiulli +Date: Fri, 22 Jan 2016 12:19:44 +0100 + + Replace ?: operator with ?? operator. + + QLNet/Cashflow.cs | 2 +- + QLNet/Cashflows/CashFlows.cs | 4 ++-- + QLNet/Cashflows/FloatingRateCoupon.cs | 2 +- + QLNet/Currencies/ExchangeRate.cs | 2 +- + QLNet/Currencies/ExchangeRateManager.cs | 2 +- + QLNet/Event.cs | 2 +- + QLNet/Indexes/Ibor/FedFunds.cs | 2 +- + QLNet/Indexes/Ibor/Sonia.cs | 2 +- + QLNet/Instruments/Bond.cs | 4 ++-- + QLNet/Instruments/Bonds/BTP.cs | 2 +- + QLNet/Instruments/Bonds/CPIBond.cs | 2 +- + QLNet/Instruments/Bonds/Fixedratebond.cs | 6 +++--- + QLNet/Instruments/CreditDefaultSwap.cs | 6 +++--- + .../Volatility/Bond/CallableBondVolatilityStructure.cs | 6 +++--- + QLNet/Termstructures/Volatility/SmileSection.cs | 2 +- + QLNet/Time/DayCounters/ActualActual.cs | 4 ++-- + QLNet/Time/ECB.cs | 12 +++--------- + QLNet/Time/Imm.cs | 4 ++-- + QLNet/Time/Schedule.cs | 2 +- + 19 files changed, 31 insertions(+), 37 deletions(-) + +commit 755b6425fd1748d59f83f42e5c3f0e6fb57f7fb9 +Author: Andrea Maggiulli +Date: Fri, 22 Jan 2016 11:41:24 +0100 + + Removed redundant empty ctors + + QLNet/Instruments/AssetSwap.cs | 1 - + QLNet/Instruments/Bonds/CallableBond.cs | 1 - + QLNet/Instruments/CapFloor.cs | 4 ---- + QLNet/Instruments/DividendVanillaOption.cs | 6 ++---- + QLNet/Instruments/InflationCapFloor.cs | 6 +----- + QLNet/Math/Interpolations/interpolation2d.cs | 4 +--- + QLNet/Math/statistics/convergencestatistics.cs | 1 - + QLNet/Option.cs | 4 +--- + QLNet/Termstructures/Iterativebootstrap.cs | 9 --------- + QLNet/Termstructures/localbootstrap.cs | 6 +----- + QLNet/Time/Calendars/bespokecalendar.cs | 4 +--- + QLNet/Time/Calendars/southkorea.cs | 8 +++----- + 12 files changed, 10 insertions(+), 44 deletions(-) + +commit f872e6edc789e47368b916a0f04f0c1c3360a906 +Author: Andrea Maggiulli +Date: Thu, 21 Jan 2016 18:21:17 +0100 + + Removed all redundant using directive. + + QLNet/Cashflow.cs | 1 - + QLNet/Cashflows/CPICoupon.cs | 2 -- + QLNet/Cashflows/CPICouponPricer.cs | 3 --- + QLNet/Cashflows/CappedFlooredCoupon.cs | 3 --- + QLNet/Cashflows/CappedFlooredYoYInflationCoupon.cs | 4 ---- + QLNet/Cashflows/Cashflowvectors.cs | 2 -- + QLNet/Cashflows/CmsCoupon.cs | 4 +--- + QLNet/Cashflows/ConundrumPricer.cs | 1 - + QLNet/Cashflows/Coupon.cs | 4 ---- + QLNet/Cashflows/DigitalCmsCoupon.cs | 4 +--- + QLNet/Cashflows/DigitalCoupon.cs | 3 --- + QLNet/Cashflows/DigitalIborCoupon.cs | 4 +--- + QLNet/Cashflows/Dividend.cs | 2 -- + QLNet/Cashflows/FixedRateCoupon.cs | 1 - + QLNet/Cashflows/Iborcoupon.cs | 2 -- + QLNet/Cashflows/IndexedCashFlow.cs | 5 ----- + QLNet/Cashflows/InflationCoupon.cs | 4 ---- + QLNet/Cashflows/InflationCouponPricer.cs | 4 ---- + QLNet/Cashflows/OvernightIndexedCoupon.cs | 1 - + QLNet/Cashflows/Principal.cs | 4 ---- + QLNet/Cashflows/PrincipalLegBase.cs | 3 --- + QLNet/Cashflows/RateLegBase.cs | 4 +--- + QLNet/Cashflows/Replication.cs | 4 ---- + QLNet/Cashflows/SimpleCashFlow.cs | 3 --- + QLNet/Cashflows/YoYInflationCoupon.cs | 4 ---- + QLNet/Cashflows/averagebmacoupon.cs | 1 - + QLNet/Currencies/Africa.cs | 1 - + QLNet/Currencies/America.cs | 4 ---- + QLNet/Currencies/Asia.cs | 1 - + QLNet/Currencies/Currency.cs | 4 ---- + QLNet/Currencies/Europe.cs | 2 -- + QLNet/Currencies/ExchangeRate.cs | 1 - + QLNet/Currencies/ExchangeRateManager.cs | 2 -- + QLNet/Currencies/Oceania.cs | 4 ---- + QLNet/Error.cs | 2 -- + QLNet/Event.cs | 4 ---- + QLNet/Exercise.cs | 1 - + QLNet/Handle.cs | 1 - + QLNet/Indexes/IBORIndex.cs | 3 --- + QLNet/Indexes/Ibor/Audlibor.cs | 4 ---- + QLNet/Indexes/Ibor/Cadlibor.cs | 4 ---- + QLNet/Indexes/Ibor/Cdor.cs | 4 ---- + QLNet/Indexes/Ibor/Chflibor.cs | 4 ---- + QLNet/Indexes/Ibor/Dkklibor.cs | 4 ---- + QLNet/Indexes/Ibor/Eonia.cs | 5 ----- + QLNet/Indexes/Ibor/Euribor.cs | 3 --- + QLNet/Indexes/Ibor/FedFunds.cs | 5 ----- + QLNet/Indexes/Ibor/Gbplibor.cs | 4 ---- + QLNet/Indexes/Ibor/Jibar.cs | 4 ---- + QLNet/Indexes/Ibor/Jpylibor.cs | 4 ---- + QLNet/Indexes/Ibor/Libor.cs | 3 --- + QLNet/Indexes/Ibor/Nzdlibor.cs | 4 ---- + QLNet/Indexes/Ibor/Seklibor.cs | 4 ---- + QLNet/Indexes/Ibor/Shibor.cs | 5 ----- + QLNet/Indexes/Ibor/Sonia.cs | 4 ---- + QLNet/Indexes/Ibor/Tibor.cs | 4 ---- + QLNet/Indexes/Ibor/Trylibor.cs | 4 ---- + QLNet/Indexes/Ibor/Zibor.cs | 4 ---- + QLNet/Indexes/Indexmanager.cs | 1 - + QLNet/Indexes/Inflation/AUCPI.cs | 5 ----- + QLNet/Indexes/Inflation/EUHICP.cs | 5 ----- + QLNet/Indexes/Inflation/FRHICP.cs | 5 ----- + QLNet/Indexes/Inflation/UKRPI.cs | 5 ----- + QLNet/Indexes/Inflation/USCPI.cs | 4 ---- + QLNet/Indexes/Inflation/ZACPI.cs | 4 ---- + QLNet/Indexes/InflationIndex.cs | 2 -- + QLNet/Indexes/InterestRateIndex.cs | 1 - + QLNet/Indexes/Region.cs | 5 ----- + QLNet/Indexes/Swapindex.cs | 4 ---- + QLNet/Indexes/bmaindex.cs | 3 --- + QLNet/Indexes/swap/ChfLiborSwap.cs | 4 ---- + QLNet/Indexes/swap/EurLiborSwap.cs | 5 ----- + QLNet/Indexes/swap/EuriborSwap.cs | 4 ---- + QLNet/Indexes/swap/GbpLiborSwap.cs | 5 ----- + QLNet/Indexes/swap/JpyLiborSwap.cs | 4 ---- + QLNet/Indexes/swap/UsdLiborSwap.cs | 4 ---- + QLNet/Instruments/AsianOption.cs | 2 -- + QLNet/Instruments/AssetSwap.cs | 3 +-- + QLNet/Instruments/AverageType.cs | 4 ---- + QLNet/Instruments/BarrierOption.cs | 3 --- + QLNet/Instruments/BarrierType.cs | 4 ---- + QLNet/Instruments/BasisSwap.cs | 2 -- + QLNet/Instruments/BasketOption.cs | 3 --- + QLNet/Instruments/Bond.cs | 2 +- + QLNet/Instruments/Bonds/AmortizingBond.cs | 2 -- + QLNet/Instruments/Bonds/AmortizingCmsRateBond.cs | 4 ---- + QLNet/Instruments/Bonds/AmortizingFixedRateBond.cs | 2 -- + QLNet/Instruments/Bonds/AmortizingFloatingRateBond.cs | 5 ----- + QLNet/Instruments/Bonds/BTP.cs | 2 -- + QLNet/Instruments/Bonds/BondFactory.cs | 5 ----- + QLNet/Instruments/Bonds/CPIBond.cs | 4 ---- + QLNet/Instruments/Bonds/CallableBond.cs | 3 --- + QLNet/Instruments/Bonds/ConstantCPR.cs | 3 --- + QLNet/Instruments/Bonds/ConvertibleBond.cs | 2 -- + QLNet/Instruments/Bonds/DiscretizedCallableFixedRateBond.cs | 2 -- + QLNet/Instruments/Bonds/IPrepayModel.cs | 4 ---- + QLNet/Instruments/Bonds/MBSFixedRateBond.cs | 2 -- + QLNet/Instruments/Bonds/PSACurve.cs | 4 ---- + QLNet/Instruments/Bonds/Zerocouponbond.cs | 1 - + QLNet/Instruments/Callability.cs | 4 ---- + QLNet/Instruments/CapFloor.cs | 1 - + QLNet/Instruments/Claim.cs | 4 ---- + QLNet/Instruments/CreditDefaultSwap.cs | 3 +-- + QLNet/Instruments/DividendSchedule.cs | 3 --- + QLNet/Instruments/DividendVanillaOption.cs | 2 -- + QLNet/Instruments/EuropeanOption.cs | 4 ---- + QLNet/Instruments/ImpliedVolatility.cs | 3 --- + QLNet/Instruments/InflationCapFloor.cs | 3 --- + QLNet/Instruments/Instrument.cs | 2 -- + QLNet/Instruments/Loan.cs | 1 - + QLNet/Instruments/MakeBasisSwap.cs | 4 ---- + QLNet/Instruments/MakeLoans.cs | 5 ----- + QLNet/Instruments/MakeOIS.cs | 4 ---- + QLNet/Instruments/Makeswaption.cs | 3 --- + QLNet/Instruments/Makevanillaswap.cs | 3 --- + QLNet/Instruments/MultiAssetOption.cs | 3 --- + QLNet/Instruments/OneAssetOption.cs | 3 --- + QLNet/Instruments/OvernightIndexedSwap.cs | 2 -- + QLNet/Instruments/Stock.cs | 3 --- + QLNet/Instruments/Swap.cs | 3 +-- + QLNet/Instruments/Swaption.cs | 2 -- + QLNet/Instruments/VanillaOption.cs | 3 --- + QLNet/Instruments/VanillaSwap.cs | 2 -- + QLNet/Instruments/YearOnYearInflationSwap.cs | 2 -- + QLNet/Instruments/ZeroCouponInflationSwap.cs | 2 -- + QLNet/Instruments/bmaswap.cs | 2 -- + QLNet/Instruments/fixedratebondforward.cs | 3 --- + QLNet/Instruments/forward.cs | 3 --- + QLNet/Instruments/forwardrateagreement.cs | 3 --- + QLNet/Instruments/payoffs.cs | 3 --- + QLNet/InterestRate.cs | 3 --- + QLNet/Math/Comparison.cs | 3 --- + QLNet/Math/CostFunction.cs | 4 ---- + QLNet/Math/Distributions/GammaDistribution.cs | 3 --- + QLNet/Math/Distributions/binomialdistribution.cs | 3 --- + QLNet/Math/Distributions/chisquaredistribution.cs | 4 +--- + QLNet/Math/Distributions/poissondistribution.cs | 3 --- + QLNet/Math/Interpolation.cs | 1 - + QLNet/Math/Interpolations/BicubicSplineInterpolation.cs | 4 +--- + QLNet/Math/Interpolations/CubicInterpolation.cs | 2 -- + QLNet/Math/Interpolations/Extrapolator.cs | 4 ---- + QLNet/Math/Interpolations/KernelInterpolation.cs | 6 ++---- + QLNet/Math/Interpolations/KernelInterpolation2D.cs | 6 ++---- + QLNet/Math/Interpolations/Linearinterpolation.cs | 3 --- + QLNet/Math/Interpolations/Loginterpolation.cs | 2 -- + QLNet/Math/Interpolations/XABRInterpolation.cs | 5 ++--- + QLNet/Math/Interpolations/backwardflatinterpolation.cs | 3 --- + QLNet/Math/Interpolations/bilinearinterpolation.cs | 3 --- + QLNet/Math/Interpolations/convexmonotoneinterpolation.cs | 1 - + QLNet/Math/Interpolations/forwardflatinterpolation.cs | 4 +--- + QLNet/Math/Interpolations/interpolation2d.cs | 1 - + QLNet/Math/Interpolations/multicubicspline.cs | 3 --- + QLNet/Math/Interpolations/sabrinterpolation.cs | 6 ++---- + QLNet/Math/KernelFunctions.cs | 4 ---- + QLNet/Math/ModifiedBessel.cs | 3 --- + QLNet/Math/Optimization/ArmijoLineSearch.cs | 4 ---- + QLNet/Math/Optimization/ConjugateGradient.cs | 3 --- + QLNet/Math/Optimization/Constraint.cs | 3 --- + QLNet/Math/Optimization/EndCriteria.cs | 3 --- + QLNet/Math/Optimization/LeastSquareProblem.cs | 3 --- + QLNet/Math/Optimization/LineSearch.cs | 3 --- + QLNet/Math/Optimization/LineSearchBasedMethod.cs | 4 ---- + QLNet/Math/Optimization/ProjectedCostFunction.cs | 2 -- + QLNet/Math/Optimization/Simplex.cs | 3 --- + QLNet/Math/Optimization/SteepestDescent.cs | 3 --- + QLNet/Math/Optimization/levenbergmarquardt.cs | 2 -- + QLNet/Math/Optimization/lmdif.cs | 2 -- + QLNet/Math/Optimization/method.cs | 4 ---- + QLNet/Math/Optimization/problem.cs | 4 ---- + QLNet/Math/PrimeNumbers.cs | 1 - + QLNet/Math/RichardsonExtrapolation.cs | 3 --- + QLNet/Math/Rounding.cs | 3 --- + QLNet/Math/SampledCurve.cs | 3 --- + QLNet/Math/Solver1d.cs | 3 --- + QLNet/Math/Solvers1d/Bisection.cs | 3 --- + QLNet/Math/Solvers1d/Brent.cs | 4 +--- + QLNet/Math/Solvers1d/FalsePosition.cs | 3 --- + QLNet/Math/Solvers1d/FiniteDifferenceNewtonSafe.cs | 3 --- + QLNet/Math/Solvers1d/Newton.cs | 3 --- + QLNet/Math/Solvers1d/Newtonsafe.cs | 3 --- + QLNet/Math/Solvers1d/Ridder.cs | 3 --- + QLNet/Math/Solvers1d/Secant.cs | 3 --- + QLNet/Math/Vector.cs | 2 -- + QLNet/Math/beta.cs | 3 --- + QLNet/Math/factorial.cs | 3 --- + QLNet/Math/integrals/GaussianQuadratures.cs | 1 - + QLNet/Math/integrals/Integral.cs | 3 --- + QLNet/Math/integrals/Kronrodintegral.cs | 3 --- + QLNet/Math/integrals/Segmentintegral.cs | 3 --- + QLNet/Math/integrals/gaussianorthogonalpolynomial.cs | 3 --- + QLNet/Math/integrals/simpsonintegral.cs | 3 --- + QLNet/Math/integrals/trapezoidintegral.cs | 3 --- + QLNet/Math/linearleastsquaresregression.cs | 1 - + QLNet/Math/matrixutilities/TqrEigenDecomposition.cs | 2 -- + QLNet/Math/matrixutilities/choleskydecomposition.cs | 3 --- + QLNet/Math/matrixutilities/pseudosqrt.cs | 3 --- + QLNet/Math/matrixutilities/qrdecomposition.cs | 2 -- + QLNet/Math/randomnumbers/Haltonrsg.cs | 2 -- + QLNet/Math/randomnumbers/inversecumulativerng.cs | 4 ---- + QLNet/Math/randomnumbers/inversecumulativersg.cs | 2 -- + QLNet/Math/randomnumbers/mt19937uniformrng.cs | 4 +--- + QLNet/Math/randomnumbers/primitivepolynomials.cs | 5 ----- + QLNet/Math/randomnumbers/randomsequencegenerator.cs | 2 -- + QLNet/Math/randomnumbers/rngtraits.cs | 4 ---- + QLNet/Math/randomnumbers/seedgenerator.cs | 2 -- + QLNet/Math/randomnumbers/sobolrsg.cs | 2 -- + QLNet/Math/randomnumbers/sobolrsg2.cs | 4 ---- + QLNet/Math/statistics/convergencestatistics.cs | 2 -- + QLNet/Math/statistics/gaussianstatistics.cs | 2 -- + QLNet/Math/statistics/generalstatistics.cs | 1 - + QLNet/Math/statistics/incrementalstatistics.cs | 2 -- + QLNet/Math/statistics/riskstatistics.cs | 2 -- + QLNet/Math/statistics/sequencestatistics.cs | 2 -- + QLNet/Math/transformedgrid.cs | 3 --- + QLNet/Methods/Finitedifferences/AmericanCondition.cs | 3 --- + QLNet/Methods/Finitedifferences/BoundaryCondition.cs | 3 --- + QLNet/Methods/Finitedifferences/DPlusDMinus.cs | 4 ---- + QLNet/Methods/Finitedifferences/OperatorFactory.cs | 3 --- + QLNet/Methods/Finitedifferences/ParallelEvolver.cs | 3 --- + QLNet/Methods/Finitedifferences/ShoutCondition.cs | 3 --- + QLNet/Methods/Finitedifferences/StepCondition.cs | 3 --- + QLNet/Methods/Finitedifferences/TridiagonalOperator.cs | 3 --- + QLNet/Methods/Finitedifferences/bsmoperator.cs | 4 ---- + QLNet/Methods/Finitedifferences/cranknicolson.cs | 3 --- + QLNet/Methods/Finitedifferences/dzero.cs | 4 ---- + QLNet/Methods/Finitedifferences/finitedifferencemodel.cs | 1 - + QLNet/Methods/Finitedifferences/mixedscheme.cs | 3 --- + QLNet/Methods/Finitedifferences/pde.cs | 3 --- + QLNet/Methods/Finitedifferences/pdebsm.cs | 3 --- + QLNet/Methods/Finitedifferences/pdeshortrate.cs | 3 --- + QLNet/Methods/lattices/binominaltree.cs | 4 +--- + QLNet/Methods/lattices/bsmlattice.cs | 3 --- + QLNet/Methods/lattices/lattice.cs | 3 +-- + QLNet/Methods/lattices/lattice1d.cs | 4 ---- + QLNet/Methods/lattices/lattice2d.cs | 3 --- + QLNet/Methods/lattices/tree.cs | 4 ---- + QLNet/Methods/lattices/trinomialtree.cs | 2 -- + QLNet/Methods/montecarlo/brownianbridge.cs | 2 -- + QLNet/Methods/montecarlo/earlyexercisepathpricer.cs | 2 -- + QLNet/Methods/montecarlo/longstaffschwartzpathpricer.cs | 2 -- + QLNet/Methods/montecarlo/lsmbasissystem.cs | 1 - + QLNet/Methods/montecarlo/mctraits.cs | 4 ---- + QLNet/Methods/montecarlo/montecarlomodel.cs | 4 ---- + QLNet/Methods/montecarlo/multipath.cs | 2 -- + QLNet/Methods/montecarlo/multipathgenerator.cs | 2 -- + QLNet/Methods/montecarlo/path.cs | 2 -- + QLNet/Methods/montecarlo/pathgenerator.cs | 2 -- + QLNet/Methods/montecarlo/pathpricer.cs | 4 ---- + QLNet/Methods/montecarlo/sample.cs | 4 ---- + QLNet/Models/CalibrationHelper.cs | 2 -- + QLNet/Models/Parameter.cs | 2 -- + QLNet/Models/Shortrate/OneFactorModel.cs | 3 --- + QLNet/Models/Shortrate/Onefactormodels/blackkarasinski.cs | 3 --- + QLNet/Models/Shortrate/Onefactormodels/coxingersollross.cs | 3 --- + QLNet/Models/Shortrate/Onefactormodels/hullwhite.cs | 3 --- + QLNet/Models/Shortrate/Onefactormodels/vasicek.cs | 3 --- + QLNet/Models/Shortrate/Twofactorsmodels/g2.cs | 1 - + QLNet/Models/Shortrate/calibrationhelpers/caphelper.cs | 4 +--- + QLNet/Models/Shortrate/calibrationhelpers/swaptionhelper.cs | 4 +--- + QLNet/Models/Shortrate/twofactormodel.cs | 5 ----- + QLNet/Models/model.cs | 2 -- + QLNet/Money.cs | 4 ---- + QLNet/Option.cs | 3 --- + QLNet/Patterns/LazyObject.cs | 2 -- + QLNet/Patterns/Observer.cs | 4 ---- + QLNet/Patterns/Visitor.cs | 4 ---- + QLNet/Patterns/observablevalue.cs | 4 ---- + QLNet/PricingEngine.cs | 3 --- + QLNet/Pricingengines/Americanpayoffatexpiry.cs | 3 --- + QLNet/Pricingengines/Americanpayoffathit.cs | 3 --- + QLNet/Pricingengines/BlackCalculator.cs | 3 --- + QLNet/Pricingengines/Blackscholescalculator.cs | 3 --- + QLNet/Pricingengines/Bond/BlackCallableBondEngine.cs | 2 -- + QLNet/Pricingengines/Bond/BondFunctions.cs | 4 ---- + QLNet/Pricingengines/Bond/Discountingbondengine.cs | 2 -- + QLNet/Pricingengines/Bond/TreeCallableBondEngine.cs | 4 ---- + QLNet/Pricingengines/CapFloor/BlackCapFloorEngine.cs | 2 -- + QLNet/Pricingengines/CapFloor/analyticcapfloorengine.cs | 3 --- + QLNet/Pricingengines/CapFloor/discretizedcapfloor.cs | 2 -- + QLNet/Pricingengines/Greeks.cs | 4 ---- + QLNet/Pricingengines/Loan/DiscountingLoanEngine.cs | 2 -- + QLNet/Pricingengines/Swap/DiscountingBasisSwapEngine.cs | 2 -- + QLNet/Pricingengines/Swap/Discountingswapengine.cs | 3 --- + QLNet/Pricingengines/Swap/discretizedswap.cs | 3 --- + QLNet/Pricingengines/Swap/treeswapengine.cs | 1 - + QLNet/Pricingengines/asian/analytic_cont_geom_av_price.cs | 3 --- + QLNet/Pricingengines/asian/analytic_discr_geom_av_price.cs | 1 - + QLNet/Pricingengines/asian/mc_discr_arith_av_price.cs | 3 --- + QLNet/Pricingengines/asian/mc_discr_arith_av_strike.cs | 3 --- + QLNet/Pricingengines/asian/mc_discr_geom_av_price.cs | 3 --- + QLNet/Pricingengines/asian/mcdiscreteasianengine.cs | 1 - + QLNet/Pricingengines/barrier/AnalyticBarrierEngine.cs | 3 --- + QLNet/Pricingengines/blackformula.cs | 3 --- + QLNet/Pricingengines/credit/IntegralCdsEngine.cs | 4 ---- + QLNet/Pricingengines/credit/MidPointCdsEngine.cs | 4 ---- + QLNet/Pricingengines/inflation/InflationCapFloorEngines.cs | 3 --- + QLNet/Pricingengines/latticeshortratemodelengine.cs | 3 --- + QLNet/Pricingengines/mclongstaffschwartzengine.cs | 3 --- + QLNet/Pricingengines/mcsimulation.cs | 1 - + QLNet/Pricingengines/swaption/blackswaptionengine.cs | 1 - + QLNet/Pricingengines/swaption/discretizedswaption.cs | 1 - + QLNet/Pricingengines/swaption/jamshidianswaptionengine.cs | 1 - + QLNet/Pricingengines/swaption/treeswaptionengine.cs | 1 - + QLNet/Pricingengines/vanilla/AnalyticDividendEuropeanEngine.cs | 3 --- + QLNet/Pricingengines/vanilla/AnalyticEuropeanEngine.cs | 3 --- + QLNet/Pricingengines/vanilla/FDAmericanEngine.cs | 4 ---- + QLNet/Pricingengines/vanilla/FDBermudanEngine.cs | 3 --- + QLNet/Pricingengines/vanilla/FDConditions.cs | 3 --- + QLNet/Pricingengines/vanilla/FDDividendAmericanEngine.cs | 7 ++----- + QLNet/Pricingengines/vanilla/FDDividendEngine.cs | 2 -- + QLNet/Pricingengines/vanilla/FDDividendEuropeanEngine.cs | 4 ---- + QLNet/Pricingengines/vanilla/FDEuropeanEngine.cs | 4 ---- + QLNet/Pricingengines/vanilla/FDMultiPeriodEngine.cs | 2 -- + QLNet/Pricingengines/vanilla/FDShoutEngine.cs | 4 ---- + QLNet/Pricingengines/vanilla/FDStepConditionEngine.cs | 2 -- + QLNet/Pricingengines/vanilla/FDVanillaEngine.cs | 2 -- + QLNet/Pricingengines/vanilla/Integralengine.cs | 3 --- + QLNet/Pricingengines/vanilla/Juquadraticengine.cs | 3 --- + QLNet/Pricingengines/vanilla/baroneadesiwhaleyengine.cs | 3 --- + QLNet/Pricingengines/vanilla/binomialengine.cs | 3 --- + QLNet/Pricingengines/vanilla/bjerksundstenslandengine.cs | 3 --- + QLNet/Pricingengines/vanilla/discretizedvanillaoption.cs | 2 -- + QLNet/Pricingengines/vanilla/mcamericanengine.cs | 2 -- + QLNet/Pricingengines/vanilla/mceuropeanengine.cs | 3 --- + QLNet/Pricingengines/vanilla/mcvanillaengine.cs | 3 --- + QLNet/Properties/AssemblyInfo.cs | 1 - + QLNet/Quotes/CompositeQuote.cs | 3 --- + QLNet/Quotes/DerivedQuote.cs | 3 --- + QLNet/Quotes/LastFixingQuote.cs | 2 -- + QLNet/Quotes/Quote.cs | 4 ---- + QLNet/Quotes/SimpleQuote.cs | 3 --- + QLNet/Settings.cs | 3 --- + QLNet/StochasticProcess.cs | 3 --- + QLNet/Termstructures/Bootstraphelper.cs | 3 --- + QLNet/Termstructures/Credit/FlatHazardRate.cs | 3 --- + QLNet/Termstructures/Credit/HazardRateStructure.cs | 2 -- + QLNet/Termstructures/Credit/InterpolatedHazardRateCurve.cs | 1 - + QLNet/Termstructures/Credit/ProbabilityTraits.cs | 2 -- + QLNet/Termstructures/Curve.cs | 3 --- + QLNet/Termstructures/DefaultProbabilityTermStructure.cs | 2 -- + QLNet/Termstructures/Inflation/InflationHelpers.cs | 2 -- + QLNet/Termstructures/Inflation/InflationTraits.cs | 1 - + QLNet/Termstructures/Inflation/InterpolatedZeroInflationCurve.cs | 2 -- + QLNet/Termstructures/Inflation/PiecewiseYoYInflationCurve.cs | 1 - + QLNet/Termstructures/Inflation/PiecewiseZeroInflationCurve.cs | 1 - + QLNet/Termstructures/Inflation/Seasonality.cs | 2 -- + QLNet/Termstructures/InflationTermStructure.cs | 2 -- + QLNet/Termstructures/Iterativebootstrap.cs | 2 -- + QLNet/Termstructures/TermStructure.cs | 1 - + .../Volatility/Bond/CallableBondConstantVolatility.cs | 5 ----- + .../Volatility/Bond/CallableBondVolatilityStructure.cs | 2 -- + .../Volatility/CapFloor/CapFloorTermVolatilityStructure.cs | 3 --- + .../Volatility/CapFloor/ConstantCapFloorTermVolatility.cs | 4 ---- + QLNet/Termstructures/Volatility/FlatSmileSection.cs | 4 ---- + QLNet/Termstructures/Volatility/Inflation/CPIVolatilitySurface.cs | 2 -- + .../Inflation/yoyinflationoptionletvolatilitystructure.cs | 2 -- + .../Volatility/Optionlet/ConstantOptionletVolatility.cs | 4 ---- + .../Volatility/Optionlet/OptionletVolatilityStructure.cs | 3 --- + QLNet/Termstructures/Volatility/Optionlet/capletvariancecurve.cs | 3 --- + QLNet/Termstructures/Volatility/Sabr.cs | 3 --- + QLNet/Termstructures/Volatility/SmileSection.cs | 2 -- + QLNet/Termstructures/Volatility/equityfx/BlackConstantVol.cs | 5 +---- + QLNet/Termstructures/Volatility/equityfx/BlackVarianceCurve.cs | 1 - + QLNet/Termstructures/Volatility/equityfx/BlackVolTermStructure.cs | 3 --- + QLNet/Termstructures/Volatility/equityfx/LocalConstantVol.cs | 4 ---- + QLNet/Termstructures/Volatility/equityfx/LocalVolCurve.cs | 3 --- + QLNet/Termstructures/Volatility/equityfx/LocalVolSurface.cs | 4 +--- + QLNet/Termstructures/Volatility/equityfx/LocalVolTermStructure.cs | 4 +--- + .../Volatility/swaption/SwaptionVolatilityStructure.cs | 3 --- + QLNet/Termstructures/Volatility/swaption/swaptionconstantvol.cs | 4 ---- + QLNet/Termstructures/Volatility/swaption/swaptionvoldiscrete.cs | 2 -- + QLNet/Termstructures/Volatility/swaption/swaptionvolmatrix.cs | 1 - + QLNet/Termstructures/Yield/Bondhelpers.cs | 1 - + QLNet/Termstructures/Yield/Bootstraptraits.cs | 1 - + QLNet/Termstructures/Yield/DiscountCurve.cs | 1 - + QLNet/Termstructures/Yield/Flatforward.cs | 4 ---- + QLNet/Termstructures/Yield/ForwardCurve.cs | 2 -- + QLNet/Termstructures/Yield/ForwardSpreadedTermStructure.cs | 4 ---- + QLNet/Termstructures/Yield/ForwardStructure.cs | 2 -- + QLNet/Termstructures/Yield/ImpliedTermStructure.cs | 4 ---- + .../Yield/InterpolatedPiecewiseZeroSpreadedTermStructure.cs | 2 -- + QLNet/Termstructures/Yield/OISRateHelper.cs | 4 ---- + QLNet/Termstructures/Yield/PiecewiseYieldCurve.cs | 1 - + QLNet/Termstructures/Yield/ZeroCurve.cs | 2 -- + QLNet/Termstructures/Yield/ZeroSpreadedTermStructure.cs | 4 ---- + QLNet/Termstructures/Yield/Zeroyieldstructure.cs | 2 -- + QLNet/Termstructures/YieldTermStructure.cs | 1 - + QLNet/Termstructures/interpolatedcurve.cs | 2 -- + QLNet/Termstructures/localbootstrap.cs | 1 - + QLNet/Termstructures/voltermstructure.cs | 3 --- + QLNet/Time/Calendar.cs | 2 -- + QLNet/Time/Calendars/JointCalendar.cs | 1 - + QLNet/Time/Calendars/TARGET.cs | 2 -- + QLNet/Time/Calendars/Ukraine.cs | 3 --- + QLNet/Time/Calendars/UnitedStates.cs | 3 --- + QLNet/Time/Calendars/WeekendsOnly.cs | 5 ----- + QLNet/Time/Calendars/argentina.cs | 3 --- + QLNet/Time/Calendars/australia.cs | 2 -- + QLNet/Time/Calendars/bespokecalendar.cs | 2 -- + QLNet/Time/Calendars/brazil.cs | 3 --- + QLNet/Time/Calendars/canada.cs | 3 --- + QLNet/Time/Calendars/china.cs | 1 - + QLNet/Time/Calendars/czechrepublic.cs | 3 --- + QLNet/Time/Calendars/denmark.cs | 2 -- + QLNet/Time/Calendars/finland.cs | 2 -- + QLNet/Time/Calendars/germany.cs | 3 --- + QLNet/Time/Calendars/hongkong.cs | 2 -- + QLNet/Time/Calendars/hungary.cs | 2 -- + QLNet/Time/Calendars/iceland.cs | 3 --- + QLNet/Time/Calendars/india.cs | 2 -- + QLNet/Time/Calendars/indonesia.cs | 2 -- + QLNet/Time/Calendars/italy.cs | 3 --- + QLNet/Time/Calendars/japan.cs | 2 -- + QLNet/Time/Calendars/mexico.cs | 2 -- + QLNet/Time/Calendars/newzealand.cs | 2 -- + QLNet/Time/Calendars/norway.cs | 2 -- + QLNet/Time/Calendars/nullcalendar.cs | 1 - + QLNet/Time/Calendars/poland.cs | 2 -- + QLNet/Time/Calendars/russia.cs | 3 --- + QLNet/Time/Calendars/saudiarabia.cs | 2 -- + QLNet/Time/Calendars/singapore.cs | 2 -- + QLNet/Time/Calendars/slovakia.cs | 3 --- + QLNet/Time/Calendars/southafrica.cs | 2 -- + QLNet/Time/Calendars/southkorea.cs | 2 -- + QLNet/Time/Calendars/switzerland.cs | 1 - + QLNet/Time/Calendars/taiwan.cs | 2 -- + QLNet/Time/Calendars/turkey.cs | 3 +-- + QLNet/Time/Date.cs | 1 - + QLNet/Time/DayCounter.cs | 1 - + QLNet/Time/DayCounters/Actual360.cs | 1 - + QLNet/Time/DayCounters/Actual365Fixed.cs | 2 -- + QLNet/Time/DayCounters/Actual365NoLeap.cs | 4 ---- + QLNet/Time/DayCounters/ActualActual.cs | 1 - + QLNet/Time/DayCounters/Business252.cs | 4 ---- + QLNet/Time/DayCounters/OneDayCounter.cs | 2 -- + QLNet/Time/DayCounters/SimpleDayCounter.cs | 2 -- + QLNet/Time/DayCounters/Thirty360.cs | 1 - + QLNet/Time/ECB.cs | 5 ++--- + QLNet/Time/Imm.cs | 2 -- + QLNet/Time/Period.cs | 2 -- + QLNet/Time/Schedule.cs | 1 - + QLNet/Types.cs | 1 - + QLNet/Utils.cs | 1 - + QLNet/discretizedasset.cs | 2 -- + QLNet/grid.cs | 3 --- + QLNet/legacy/libormarketmodels/lfmcovarparam.cs | 4 ---- + QLNet/legacy/libormarketmodels/lfmcovarproxy.cs | 3 --- + QLNet/legacy/libormarketmodels/lfmhullwhiteparam.cs | 1 - + QLNet/legacy/libormarketmodels/lfmprocess.cs | 2 -- + QLNet/legacy/libormarketmodels/lfmswaptionengine.cs | 2 -- + QLNet/legacy/libormarketmodels/liborforwardmodel.cs | 1 - + QLNet/legacy/libormarketmodels/lmconstwrappercorrmodel.cs | 4 ---- + QLNet/legacy/libormarketmodels/lmconstwrappervolmodel.cs | 4 ---- + QLNet/legacy/libormarketmodels/lmcorrmodel.cs | 3 --- + QLNet/legacy/libormarketmodels/lmexpcorrmodel.cs | 3 --- + QLNet/legacy/libormarketmodels/lmextlinexpvolmodel.cs | 3 --- + QLNet/legacy/libormarketmodels/lmfixedvolmodel.cs | 1 - + QLNet/legacy/libormarketmodels/lmlinexpcorrmodel.cs | 3 --- + QLNet/legacy/libormarketmodels/lmlinexpvolmodel.cs | 2 -- + QLNet/legacy/libormarketmodels/lmvolmodel.cs | 2 -- + QLNet/numericalmethod.cs | 3 --- + QLNet/payoff.cs | 3 --- + QLNet/processes/BlackScholesProcess.cs | 3 --- + QLNet/processes/Defaultable.cs | 3 --- + QLNet/processes/EulerDiscretization.cs | 3 --- + QLNet/processes/GeometricBrownianMotionProcess.cs | 4 ---- + QLNet/processes/Ornsteinuhlenbeckprocess.cs | 3 --- + QLNet/processes/Squarerootprocess.cs | 3 --- + QLNet/processes/stochasticprocessarray.cs | 2 -- + QLNet/timegrid.cs | 1 - + Test/Properties/AssemblyInfo.cs | 1 - + Test/T_AmericanOption.cs | 1 - + Test/T_AsianOptions.cs | 6 ------ + Test/T_AssetSwap.cs | 2 -- + Test/T_Bermudanswaption.cs | 2 -- + Test/T_BlackFormula.cs | 3 --- + Test/T_Bonds.cs | 2 -- + Test/T_BusinessDayConvention.cs | 4 ---- + Test/T_Calendars.cs | 1 - + Test/T_CapFloor.cs | 2 -- + Test/T_CashFlows.cs | 4 +--- + Test/T_CreditDefaultSwap.cs | 2 -- + Test/T_Dates.cs | 1 - + Test/T_DayCounters.cs | 3 --- + Test/T_DefaultProbabilityCurves.cs | 3 --- + Test/T_DividendOption.cs | 2 -- + Test/T_EuropeanOption.cs | 2 -- + Test/T_ExchangeRate.cs | 4 ---- + Test/T_Functions.cs | 3 --- + Test/T_Inflation.cs | 2 -- + Test/T_InflationCapFloorTest.cs | 2 -- + Test/T_InflationCapFlooredCouponTest.cs | 2 -- + Test/T_Instruments.cs | 4 ---- + Test/T_InterestRate.cs | 2 -- + Test/T_Interpolations.cs | 1 - + Test/T_LiborMarketModel.cs | 2 -- + Test/T_LiborMarketModelProcess.cs | 1 - + Test/T_LinearLeastSquaresRegression.cs | 2 -- + Test/T_Mclongstaffschwartzengine.cs | 2 -- + Test/T_Money.cs | 4 ---- + Test/T_Operators.cs | 3 --- + Test/T_Optimizers.cs | 1 - + Test/T_OvernightIndexedSwap.cs | 2 -- + Test/T_PSACurve.cs | 5 ----- + Test/T_PathGenerator.cs | 2 -- + Test/T_Quotes.cs | 3 --- + Test/T_RNGTraits.cs | 2 -- + Test/T_RiskStats.cs | 1 - + Test/T_Rounding.cs | 4 ---- + Test/T_SampledCurve.cs | 3 --- + Test/T_Schedule.cs | 3 --- + Test/T_ShortRateModels.cs | 1 - + Test/T_Solvers.cs | 3 --- + Test/T_Stats.cs | 1 - + Test/T_Swaps.cs | 2 -- + Test/T_Swaption.cs | 3 --- + Test/T_SwaptionVolatilitymatrix.cs | 1 - + Test/T_TermStructures.cs | 2 -- + Test/Utilities.cs | 1 - + 519 files changed, 34 insertions(+), 1408 deletions(-) + +commit 606cfbd76ebdbcfa53ed04c890e698841a9bd102 +Author: Andrea Maggiulli +Date: Wed, 20 Jan 2016 19:37:09 +0100 + + Added missing Copyright. + + QLNet/Instruments/Bonds/ConstantCPR.cs | 20 +++++++++++++- + .../Bonds/DiscretizedCallableFixedRateBond.cs | 20 +++++++++++++- + QLNet/Instruments/Bonds/IPrepayModel.cs | 20 +++++++++++++- + QLNet/Instruments/Bonds/MBSFixedRateBond.cs | 20 +++++++++++++- + QLNet/Math/ModifiedBessel.cs | 20 +++++++++++++- + .../Pricingengines/CapFloor/BlackCapFloorEngine.cs | 20 +++++++++++++- + QLNet/Termstructures/Credit/ProbabilityTraits.cs | 20 +++++++++++++- + QLNet/Time/Date.cs | 3 +- + QLNet/Time/ECB.cs | 20 +++++++++++++- + Test/T_CashFlows.cs | 20 +++++++++++++- + Test/T_Dates.cs | 3 +- + Test/T_LinearLeastSquaresRegression.cs | 20 +++++++++++++- + Test/T_Mclongstaffschwartzengine.cs | 20 +++++++++++++- + Test/T_PiecewiseZeroSpreadedTermStructure.cs | 32 ++++++++++++---------- + 14 files changed, 230 insertions(+), 28 deletions(-) + +commit 00ee466ad0d9428897b4a99e82fdb4f06eae0a26 +Author: Andrea Maggiulli +Date: Wed, 20 Jan 2016 19:14:10 +0100 + + Fix wrong namespace. + + Test/T_LowDiscrepancySequences.cs | 1729 ++++++++++++++++++++----------------- + Test/T_SampledCurve.cs | 2 +- + Test/T_Stats.cs | 6 +- + 3 files changed, 939 insertions(+), 798 deletions(-) + +commit 7e8f292b40190e2ccffaaefcacf5b0bd33e56fa8 +Author: Andrea Maggiulli +Date: Wed, 20 Jan 2016 19:02:18 +0100 + + Added Australian Security Exchange (ASX) dates with test. + + QLNet/QLNet.csproj | 1 + + QLNet/Time/ASX.cs | 245 +++++++++++++++++++++++++++++++++++++++++++++++++++++ + Test/T_Dates.cs | 65 ++++++++++++++ + 3 files changed, 311 insertions(+) + +commit 5ef847f8421936ce15753e2d042ae1180602a274 +Author: Andrea Maggiulli +Date: Mon, 11 Jan 2016 14:04:02 +0100 + + Fix Garman Kohlagen Process ctor - Thx Bruno L. Kmita + + QLNet/processes/BlackScholesProcess.cs | 4 ++-- + 1 file changed, 2 insertions(+), 2 deletions(-) + +commit 9a66977681070871e22a4e64e879340965ccee1e +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:52:37 +0100 + + Fix Charset + + QLNet/Time/DayCounters/Business252.cs | Bin 3228 -> 1613 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit 8edd36ca751dce7c6de79164bf7b6c2e63d055cf +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:50:38 +0100 + + Fix Charset + + QLNet/PricingEngine.cs | Bin 7952 -> 3975 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit a721bcc10f7f04f269705a8d37b8899fd1bcf85e +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:49:15 +0100 + + Fix Charset + + QLNet/Patterns/Visitor.cs | Bin 3234 -> 1616 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit 4f1ed823cad97ad18c2ba5d59c42afc49c0a515e +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:47:05 +0100 + + Fix Charset + + QLNet/Patterns/LazyObject.cs | Bin 10146 -> 5072 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit 4bb201ebb018ab56c15675f988ce8af2766949d5 +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:45:38 +0100 + + Fix Charset + + QLNet/Option.cs | Bin 5680 -> 2839 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit 0ae515df112ef839bab39d5df8f0b1dd91274342 +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:44:13 +0100 + + Fix Charset + + QLNet/Math/Rounding.cs | Bin 14400 -> 7199 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit 96f26c70fca6dd518be4c809fd4d3a57ffa73697 +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:42:08 +0100 + + Fix Charset + + QLNet/Math/Interpolations/Extrapolator.cs | Bin 3616 -> 1807 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit 6c6649c6b70744c448cd3a8588ea7336240356ab +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:40:29 +0100 + + Fix Charset + + QLNet/InterestRate.cs | Bin 21466 -> 10732 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit bc7f02915dba582dae5f9b43728aa46f8723c88c +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:39:00 +0100 + + Fix Charset + + QLNet/Instruments/Swap.cs | Bin 19758 -> 9878 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit a975e48c3a0de1ecde04f180c83475d5f7b771f6 +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:37:32 +0100 + + Fix Charset + + QLNet/Instruments/Instrument.cs | Bin 13590 -> 6794 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit 7f31f628210aba046a0b03ecda16c1aaecb74618 +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:35:17 +0100 + + Fix Charset + + QLNet/Event.cs | Bin 5470 -> 2734 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit b507a9b179ffbaa6339e4908aaa08feca66a73f2 +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:33:29 +0100 + + Fix Charset + + QLNet/Currencies/Europe.cs | Bin 26780 -> 13393 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit bf9b3963376086be38b6351137acceead75f14e0 +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:31:50 +0100 + + Fix Charset + + QLNet/Currencies/Currency.cs | Bin 9224 -> 4612 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit f94af19618c5709b8e786f5ab15ef2f39ca94b63 +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:29:53 +0100 + + Fix Charset + + QLNet/Currencies/America.cs | Bin 11554 -> 5776 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit caa211c282010533caec9d4bcb72d86b3349262b +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:27:55 +0100 + + Fix Charset + + QLNet/Cashflows/Coupon.cs | Bin 8864 -> 4431 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit 2a9a829842f39e5253b3fd6cca0dad457d877ab3 +Author: Andrea Maggiulli +Date: Mon, 4 Jan 2016 12:26:26 +0100 + + Fix Charset + + QLNet/Cashflow.cs | Bin 5718 -> 2858 bytes + 1 file changed, 0 insertions(+), 0 deletions(-) + +commit df84113411be0a55e13f83a2c531fd5b22a12b77 +Author: Andrea Maggiulli +Date: Sat, 2 Jan 2016 17:42:45 +0100 + + Added IPrepayModel interface, ConstantCPR class, and updated MBSFixedRateBond to use the interface rather than the PSACurve class.Thx vina0007. + + QLNet/Instruments/Bonds/ConstantCPR.cs | 25 +++++++++++++++++++++++++ + QLNet/Instruments/Bonds/IPrepayModel.cs | 13 +++++++++++++ + QLNet/Instruments/Bonds/MBSFixedRateBond.cs | 20 ++++++++++---------- + QLNet/Instruments/Bonds/PSACurve.cs | 4 ++-- + QLNet/QLNet.csproj | 2 ++ + 5 files changed, 52 insertions(+), 12 deletions(-) + +commit 47053b537743269f6c59d902871d97d9912305e0 +Merge: fba0834 e4f8160 +Author: Francois Botha +Date: Wed, 25 Nov 2015 14:07:00 +0200 + + Merge pull request #64 from igitur/update-QL_Epsilon-case + + Fix constant name after changing it to upper case. [skip ci] + +commit e4f81608f1e377dbbf59ec692c89eaf71c6426e9 +Author: Francois Botha +Date: Wed, 25 Nov 2015 12:05:05 +0200 + + Fix constant name after changing it to upper case. [skip ci] + + Examples/CallableBonds/CallableBonds.cs | 26 +++++++++++++------------- + 1 file changed, 13 insertions(+), 13 deletions(-) + +commit fba0834aaca1a8add5829ce08c858b5637402657 +Author: Andrea Maggiulli +Date: Tue, 24 Nov 2015 18:47:35 +0100 + + Added Nearest business day convention + + QLNet/Time/Calendar.cs | 13 ++++ + QLNet/Types.cs | 9 ++- + Test/T_BusinessDayConvention.cs | 129 ++++++++++++++++++++++++++++++++++++++++ + Test/Test.csproj | 1 + + 4 files changed, 150 insertions(+), 2 deletions(-) + +commit 5b8ad0923c3f7eff42c51d5d99bd6c7df0b0118f +Author: Andrea Maggiulli +Date: Tue, 24 Nov 2015 18:16:06 +0100 + + Added 70th anniversary of anti-Japanese day to Chinese calendar + Fixed Chinese New Year date for 2010 + + QLNet/Time/Calendars/china.cs | 6 +++++- + 1 file changed, 5 insertions(+), 1 deletion(-) + +commit 48d48b2b41572bab41b0c5625debd815b849bcab +Author: Andrea Maggiulli +Date: Tue, 24 Nov 2015 12:45:21 +0100 + + Added Moscow Exchange (MOEX) calendar + + QLNet/Time/Calendars/russia.cs | 161 +++++++++++++++++++++++++++++++++++++---- + 1 file changed, 147 insertions(+), 14 deletions(-) + +commit 6858b1a8fd29f0a2d655497b93c799af81a871ba +Author: Andrea Maggiulli +Date: Wed, 18 Nov 2015 10:43:08 +0100 + + Update version to 1.6.0.0 + + QLNet/Properties/AssemblyInfo.cs | 4 ++-- + Test/Properties/AssemblyInfo.cs | 4 ++-- + 2 files changed, 4 insertions(+), 4 deletions(-) \ No newline at end of file diff --git a/News.txt b/News.txt new file mode 100644 index 000000000..2ee923c76 --- /dev/null +++ b/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. \ No newline at end of file diff --git a/README.md b/README.md index 97a14b768..6a53254a8 100644 --- a/README.md +++ b/README.md @@ -45,4 +45,8 @@ Maintenance or “hotfix” branches are used to quickly patch production releas As soon as the fix is complete, it will be merged into both master and develop , and master will be tagged with an updated version number. - \ No newline at end of file +## Acknowledgements + +Thanks to all Quantlib creators and contributors. +Thanks to all QLNet contributors. +Special thanks to JetBrains for their support of open source projects , QLNet make extensive use of Resharper. \ No newline at end of file