From bff1913046cd6b88cfac517afe119ec31740d43d Mon Sep 17 00:00:00 2001 From: Andrea Maggiulli Date: Mon, 30 Oct 2017 15:24:23 +0100 Subject: [PATCH] Update to 1.10.0 version. --- ChangeLog.txt | 4711 ++++++------------ News.txt | 44 +- src/BermudanSwaption/BermudanSwaption.csproj | 2 +- src/Bonds/Bonds.csproj | 2 +- src/CVAIRS/CVAIRS.csproj | 2 +- src/CallableBonds/CallableBonds.csproj | 2 +- src/EquityOption/EquityOption.csproj | 2 +- src/FRA/FRA.csproj | 2 +- src/FittedBondCurve/FittedBondCurve.csproj | 2 +- src/QLNet.Old/AssemblyInfo.cs | 4 +- src/QLNet/QLNet.csproj | 6 +- src/Repo/Repo.csproj | 2 +- src/Swap/Swap.csproj | 2 +- tests/QLNet.Tests.Old/AssemblyInfo.cs | 4 +- tests/QLNet.Tests/QLNet.Tests.csproj | 2 +- 15 files changed, 1472 insertions(+), 3317 deletions(-) diff --git a/ChangeLog.txt b/ChangeLog.txt index 86ad9a38a..6d6e661c7 100644 --- a/ChangeLog.txt +++ b/ChangeLog.txt @@ -1,3567 +1,1702 @@ -commit 8dfaae31b8904e22aab4057c9ebcd65ce0f3d8b1 +commit 4bd55d80a5f7320175a1f3da9224237b3423fe12 +Merge: 440c673 763bdd7 Author: Andrea Maggiulli -Date: Mon, 24 Apr 2017 14:00:19 +0200 +Date: Mon Oct 30 12:31:33 2017 +0100 - Fixed Sonar vulnerabilities. - - src/QLNet/Math/PrimeNumbers.cs | 2 +- - src/QLNet/Math/integrals/Kronrodintegral.cs | 44 +++++++++++++++------- - .../Math/randomnumbers/primitivepolynomials.cs | 3 +- - src/QLNet/Math/randomnumbers/rngtraits.cs | 43 ++++++++++++++------- - 4 files changed, 63 insertions(+), 29 deletions(-) + Merge pull request #180 from tournierjc/SviInterpolationCtorMissingParam + + Svi interpolation ctor missing param -commit 40803d9dab137a7e7187c453e29629ac8c31241e +commit 440c6737dc545b088568f21a3166d15bed500222 +Merge: 4cb47c8 2247182 Author: Andrea Maggiulli -Date: Fri, 21 Apr 2017 18:58:06 +0200 +Date: Mon Oct 30 12:31:23 2017 +0100 - Fixed QLNet.Old compilation. + Merge pull request #179 from tournierjc/NewGettersBlackVarianceSurface + + New getters black variance surface - src/QLNet/Currencies/Currency.cs | 9 ++++ - src/QLNet/Handle.cs | 12 +++++ - src/QLNet/Indexes/Region.cs | 11 +++++ - src/QLNet/Math/PrimeNumbers.cs | 18 ++++---- - src/QLNet/Math/randomnumbers/rngtraits.cs | 12 +---- - src/QLNet/Time/Calendar.cs | 75 ++++++++++++++++++++----------- - src/QLNet/Time/DayCounter.cs | 9 ++++ - tests/QLNet.Tests/QLNet.Tests.csproj | 5 +++ - 8 files changed, 105 insertions(+), 46 deletions(-) +commit 763bdd7486d34151e098dc26f4106f13b0f47c6f +Author: tournierjc +Date: Mon Oct 30 11:53:57 2017 +0100 -commit bfd8e1ea2445560008ca2ba7247df46d249cf894 -Author: Andrea Maggiulli -Date: Fri, 21 Apr 2017 18:03:58 +0200 - - Fixed QLNet.Old compilation. - - src/QLNet/Currencies/Currency.cs | 9 ----- - src/QLNet/Currencies/ExchangeRateManager.cs | 2 +- - src/QLNet/Handle.cs | 12 ------- - src/QLNet/Indexes/Region.cs | 11 ------ - src/QLNet/Instruments/Instrument.cs | 6 +++- - src/QLNet/Math/Interpolations/Abcdinterpolation.cs | 3 +- - .../Math/Interpolations/MixedInterpolation.cs | 6 ++-- - src/QLNet/Math/PrimeNumbers.cs | 17 ++++++---- - src/QLNet/Math/integrals/Kronrodintegral.cs | 30 ++++++++--------- - .../Math/randomnumbers/primitivepolynomials.cs | 2 +- - src/QLNet/Math/randomnumbers/rngtraits.cs | 18 +++++++--- - src/QLNet/Money.cs | 4 +-- - src/QLNet/Time/Calendar.cs | 39 ++++++++-------------- - src/QLNet/Time/DayCounter.cs | 9 ----- - src/QLNet/legacy/libormarketmodels/lfmprocess.cs | 2 +- - 15 files changed, 68 insertions(+), 102 deletions(-) - -commit ada3c89c1aeb73938eabd4f5931d6fcf16b0f7ff + addParams was missing + + src/QLNet/Math/Interpolations/SviInterpolation.cs | 10 ++++++---- + 1 file changed, 6 insertions(+), 4 deletions(-) + +commit 2247182e30c33ebb831852b60c90b082c9b59641 +Author: tournierjc +Date: Mon Oct 30 11:50:03 2017 +0100 + + Add public getters for BlackVarianceSurface + + .../Volatility/equityfx/BlackVarianceSurface.cs | 19 +++++++++++++++---- + 1 file changed, 15 insertions(+), 4 deletions(-) + +commit d78aae5b43fcfb5359b73014a22c4a46d00d8f66 +Merge: 43dd1ff 4cb47c8 +Author: tournierjc +Date: Mon Oct 30 11:49:21 2017 +0100 + + Merge pull request #4 from amaggiulli/develop + + last merge + +commit 4cb47c82a4b7822a2bbe8858367f09ca37b405e7 +Merge: 35fdae7 33c7ab3 Author: Andrea Maggiulli -Date: Fri, 21 Apr 2017 17:03:58 +0200 +Date: Mon Oct 30 09:45:26 2017 +0100 - Fixed Sonar vulnerabilities. + Merge pull request #178 from tournierjc/FdmBermudanSwaptionHW + + Fdm bermudan swaption hw - src/QLNet/Currencies/ExchangeRateManager.cs | 6 ++-- - src/QLNet/Instruments/AssetSwap.cs | 21 ++++++------ - src/QLNet/Instruments/BasisSwap.cs | 28 ++++++++-------- - src/QLNet/Instruments/Bond.cs | 8 ++--- - src/QLNet/Instruments/Bonds/ConvertibleBond.cs | 30 ++++++++--------- - src/QLNet/Instruments/CreditDefaultSwap.cs | 38 +++++++++++----------- - src/QLNet/Instruments/DividendVanillaOption.cs | 35 +++++++++++--------- - src/QLNet/Instruments/Instrument.cs | 2 +- - src/QLNet/Instruments/Loan.cs | 6 ++-- - src/QLNet/Instruments/MultiAssetOption.cs | 7 +++- - src/QLNet/Instruments/OneAssetOption.cs | 13 ++++++-- - src/QLNet/Instruments/Swaption.cs | 10 +++--- - src/QLNet/Instruments/VanillaSwap.cs | 25 +++++++------- - src/QLNet/Instruments/ZeroCouponInflationSwap.cs | 7 +--- - src/QLNet/Math/Interpolations/Abcdinterpolation.cs | 21 ++++++++---- - .../Math/Interpolations/CubicInterpolation.cs | 7 ++-- - .../Math/Interpolations/MixedInterpolation.cs | 4 +-- - src/QLNet/Math/Interpolations/XABRInterpolation.cs | 24 +++++++------- - src/QLNet/Math/PrimeNumbers.cs | 2 +- - src/QLNet/Math/integrals/Kronrodintegral.cs | 28 ++++++++-------- - .../Math/randomnumbers/primitivepolynomials.cs | 2 +- - src/QLNet/Math/randomnumbers/rngtraits.cs | 4 +-- - src/QLNet/Methods/montecarlo/sample.cs | 27 ++++++++------- - src/QLNet/Models/Shortrate/twofactormodel.cs | 2 +- - src/QLNet/Money.cs | 7 ++-- - src/QLNet/Option.cs | 4 +-- - .../Pricingengines/vanilla/FDVanillaEngine.cs | 4 +-- - .../Termstructures/Volatility/AbcdCalibration.cs | 11 ++++--- - src/QLNet/Time/Calendar.cs | 4 +-- - .../legacy/libormarketmodels/lfmcovarproxy.cs | 14 ++++---- - src/QLNet/legacy/libormarketmodels/lfmprocess.cs | 23 ++++++------- - 31 files changed, 229 insertions(+), 195 deletions(-) - -commit 7f836c002b67275c77050248284c6dafa133d9fa +commit 35fdae7745ca66ece0e7dcad0285dcc7586f08e3 +Merge: 9f99b0e 077c4a4 Author: Andrea Maggiulli -Date: Fri, 21 Apr 2017 15:02:21 +0200 +Date: Mon Oct 30 09:45:15 2017 +0100 - Fixed Sonar vulnerabilities. + Merge pull request #177 from tournierjc/ProjetFileFix + + Projet file fix - src/QLNet/Instruments/AsianOption.cs | 12 ++++---- - src/QLNet/Instruments/BarrierOption.cs | 8 ++--- - src/QLNet/Instruments/Bonds/CallableBond.cs | 19 ++++++------ - src/QLNet/Instruments/CPICapFloor.cs | 26 ++++++++++------- - src/QLNet/Instruments/CPISwap.cs | 8 ++--- - src/QLNet/Instruments/CapFloor.cs | 22 +++++++------- - src/QLNet/Instruments/CliquetOption.cs | 10 +++++-- - src/QLNet/Instruments/DividendBarrierOption.cs | 7 +++-- - src/QLNet/Instruments/DoubleBarrierOption.cs | 8 ++--- - src/QLNet/Instruments/ForwardVanillaOption.cs | 4 +-- - src/QLNet/Instruments/InflationCapFloor.cs | 26 ++++++++--------- - src/QLNet/Instruments/Instrument.cs | 32 ++++++++++---------- - src/QLNet/Instruments/LookbackOption.cs | 10 +++---- - src/QLNet/Instruments/Swap.cs | 20 ++++++------- - src/QLNet/Instruments/YearOnYearInflationSwap.cs | 34 +++++++++++----------- - .../Pricingengines/vanilla/AnalyticHestonEngine.cs | 5 ++-- - 16 files changed, 132 insertions(+), 119 deletions(-) - -commit fc64edc8e5a35bddbdc12fcbfbdae1c1f8342437 +commit 9f99b0e3f0286497b169fae0c78bef4cc40f973b +Merge: fae51c7 529e46d Author: Andrea Maggiulli -Date: Thu, 20 Apr 2017 16:01:05 +0200 +Date: Mon Oct 30 09:45:02 2017 +0100 - Fixed Sonar vulnerabilities. + Merge pull request #176 from tournierjc/DoubleBarrierBinaryOptionPort + + Double barrier binary option port - src/QLNet/Cashflows/LinearTsrPricer.cs | 11 ++++++----- - 1 file changed, 6 insertions(+), 5 deletions(-) +commit 529e46d7e8ec90c40d705e49a8a36119ffa5d859 +Author: tournierjc +Date: Fri Oct 27 09:19:15 2017 +0200 -commit b9cc84b41d2524a066ee47ddfdaa67d629bbe52a -Author: Andrea Maggiulli -Date: Thu, 20 Apr 2017 15:04:51 +0200 + Fix some SonarQube issues - Removed useless assignment, make NumericHaganPricer field private. + .../barrier/AnalyticDoubleBarrierBinaryEngine.cs | 12 ++++++------ + 1 file changed, 6 insertions(+), 6 deletions(-) - src/QLNet/Cashflows/ConundrumPricer.cs | 14 +++++++------- - src/QLNet/Cashflows/averagebmacoupon.cs | 13 ++++++------- - 2 files changed, 13 insertions(+), 14 deletions(-) +commit 33c7ab3ed0019e0c641718cddeb2d0e96643f8dd +Author: tournierjc +Date: Fri Oct 27 09:13:44 2017 +0200 -commit c434f050ed5034531b6ef58015d54f6627f0f973 -Author: Andrea Maggiulli -Date: Thu, 20 Apr 2017 14:18:49 +0200 + Add files via upload + + src/QLNet/Pricingengines/vanilla/FdHullWhiteSwaptionEngine.cs | 4 ++-- + 1 file changed, 2 insertions(+), 2 deletions(-) + +commit 406f84ea86f2a0d6703b4743636952607b78c5a4 +Author: tournierjc +Date: Fri Oct 27 09:13:19 2017 +0200 + + Fix SonarQube + + .../Methods/Finitedifferences/Meshers/FdmSimpleProcess1dMesher.cs | 8 ++++---- + 1 file changed, 4 insertions(+), 4 deletions(-) + +commit 66c5b10998ba21a5d929bf607e915ae30ddc0ccb +Author: tournierjc +Date: Fri Oct 27 09:10:30 2017 +0200 + + Fix SonarQube + + .../Methods/Finitedifferences/Operators/FdmHullWhiteOp.cs | 10 +++++----- + 1 file changed, 5 insertions(+), 5 deletions(-) + +commit 243e81d3aefff54c9495af5d641c8d1d5303df0e +Author: tournierjc +Date: Fri Oct 27 09:09:53 2017 +0200 + + Fix AppVeyor + + .../Finitedifferences/StepConditions/FdmBermudanStepCondition.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit a9ff37f70198f00b0b1a561a4014959979bb8670 +Author: tournierjc +Date: Fri Oct 27 09:09:19 2017 +0200 + + Fix SonarQube + + .../Finitedifferences/Utilities/FdmAffineModelSwapInnerValue.cs | 4 ++-- + .../Finitedifferences/Utilities/FdmAffineModelTermStructure.cs | 4 ++-- + 2 files changed, 4 insertions(+), 4 deletions(-) + +commit 43dd1fff6d26167633b975ab7c08f7bb0c8433c8 +Author: tournierjc +Date: Fri Oct 27 09:07:07 2017 +0200 + + Fix SonarQube + + .../Utilities/FdmAffineModelSwapInnerValue.cs | 132 +++++++++++++++++++++ + .../Utilities/FdmAffineModelTermStructure.cs | 59 +++++++++ + 2 files changed, 191 insertions(+) + +commit 71f929423b24dd49f21d97f6a783888f2427d3d9 +Author: tournierjc +Date: Thu Oct 26 18:54:48 2017 +0200 + + Update project file + + src/QLNet.Old/QLNet.Old.csproj | 20 +++++++++++++++++++- + 1 file changed, 19 insertions(+), 1 deletion(-) + +commit 077c4a4d9f84955e375fc10622c4960bd520019a +Author: tournierjc +Date: Thu Oct 26 18:38:05 2017 +0200 + + I missed a line in #175 + + src/QLNet.Old/QLNet.Old.csproj | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 8a7dde3d2264964a904a0065c2221de7c151e77e +Author: tournierjc +Date: Thu Oct 26 18:28:31 2017 +0200 - Removed System.Exception throw , added CashFlow <=, >= operators. + Update test case - src/QLNet/Cashflow.cs | 20 +++++++++------ - src/QLNet/Cashflows/averagebmacoupon.cs | 44 +++++++++++++++++---------------- - 2 files changed, 36 insertions(+), 28 deletions(-) + tests/QLNet.Tests/T_Bermudanswaption.cs | 56 ++++++++++++++++++++++----------- + 1 file changed, 38 insertions(+), 18 deletions(-) -commit 17f2dd982c0e2fb8d451a1cf0ca3ffe780bc2a21 -Merge: 4c4e7b9 31ad9de -Author: Andrea Maggiulli -Date: Thu, 20 Apr 2017 11:47:04 +0200 +commit 4a3ffec87f2c8b156da8bb73d51952c373f67768 +Author: tournierjc +Date: Thu Oct 26 18:27:44 2017 +0200 - Merge pull request #143 from amaggiulli/update + Add HW swaption engine + + .../vanilla/FdHullWhiteSwaptionEngine.cs | 117 +++++++++++++++++++++ + 1 file changed, 117 insertions(+) + +commit c92776e9186201d3d4858b6bcfd074c04b08c7d7 +Author: tournierjc +Date: Thu Oct 26 18:26:48 2017 +0200 + + 1 line was missing + + src/QLNet/Methods/Finitedifferences/finitedifferencemodel.cs | 1 + + 1 file changed, 1 insertion(+) + +commit 48780ce12da77cf4595b2eb777f441b5961b4558 +Author: tournierjc +Date: Thu Oct 26 18:26:08 2017 +0200 + + Affine model utilities add + + .../Utilities/FdmAffineModelSwapInnerValue.cs | 132 +++++++++++++++++++++ + .../Utilities/FdmAffineModelTermStructure.cs | 59 +++++++++ + 2 files changed, 191 insertions(+) + +commit ac9f04a20005b7024dfc9354adb5d2e81e7964a9 +Author: tournierjc +Date: Thu Oct 26 18:25:14 2017 +0200 + + Bermudan condition bug fix + + .../Finitedifferences/StepConditions/FdmBermudanStepCondition.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 2ffa5dfd90f966610b8a7b1eb821cdf595e46d55 +Author: tournierjc +Date: Thu Oct 26 18:24:36 2017 +0200 + + FDM Hull White Solver add + + .../Solvers/FdmHullWhiteSolver.cs | 65 ++++++++++++++++++++++ + 1 file changed, 65 insertions(+) + +commit 103091cdb1c34ffc0202793d67ab404f5bb208de +Author: tournierjc +Date: Thu Oct 26 18:23:17 2017 +0200 + + TripleBandLinear op bug fix + + .../Finitedifferences/Operators/TripleBandLinearOp.cs | 12 ++++++------ + 1 file changed, 6 insertions(+), 6 deletions(-) + +commit a0161badfeb67301683f48dfed1e8d84b45bc079 +Author: tournierjc +Date: Thu Oct 26 18:22:43 2017 +0200 + + Hull White operator add + + .../Finitedifferences/Operators/FdmHullWhiteOp.cs | 105 +++++++++++++++++++++ + 1 file changed, 105 insertions(+) + +commit ee20b5b90f25ee27dbaecea5163e0b37bd8a2798 +Author: tournierjc +Date: Thu Oct 26 18:21:55 2017 +0200 + + 1D Simple mesher add + + .../Meshers/FdmSimpleProcess1dMesher.cs | 74 ++++++++++++++++++++++ + 1 file changed, 74 insertions(+) + +commit 59f451c70f50e151dd653adb5fa80ad2a7ae6d26 +Author: tournierjc +Date: Wed Oct 25 17:39:06 2017 +0200 + + Add pricing engines + + .../barrier/AnalyticDoubleBarrierBinaryEngine.cs | 322 +++++++++++++++++++++ + .../barrier/BinomialDoubleBarrierEngine.cs | 154 ++++++++++ + .../barrier/DiscretizedDoubleBarrierOption.cs | 270 +++++++++++++++++ + 3 files changed, 746 insertions(+) + +commit a7eb97586af20cd17d96d4d12e4c272364a972f8 +Author: tournierjc +Date: Wed Oct 25 17:37:14 2017 +0200 + + Add test + + tests/QLNet.Tests/T_DoubleBinaryOption.cs | 282 ++++++++++++++++++++++++++++++ + 1 file changed, 282 insertions(+) + +commit 8f01ba3dc1759a3a7df6c4ec7c802d9267528aea +Author: tournierjc +Date: Wed Oct 25 17:36:39 2017 +0200 + + QLNet Tests old project file + + tests/QLNet.Tests.Old/QLNet.Tests.Old.csproj | 1 + + 1 file changed, 1 insertion(+) + +commit ce2a6c6d839c9cb5fe21bad84619042ad0da293a +Author: tournierjc +Date: Wed Oct 25 17:36:04 2017 +0200 + + QLNet Old project file + + src/QLNet.Old/QLNet.Old.csproj | 9 +++++++++ + 1 file changed, 9 insertions(+) + +commit ba2136e79db1a9185ab4318afb1c2385c27a86de +Merge: 5ae4482 fae51c7 +Author: tournierjc +Date: Wed Oct 25 16:37:29 2017 +0200 + + Merge pull request #3 from amaggiulli/develop - Update to new project source code layout. + Merge from QLnet -commit 31ad9de917c7d4ed7b6a663dc0e65f1f7c73228d -Author: Andrea Maggiulli -Date: Thu, 20 Apr 2017 11:26:07 +0200 - - test : removed sonar scanner in tools directory. - - .../MSBuild.SonarQube.Internal.PostProcess.exe | Bin 25088 -> 0 bytes - .../MSBuild.SonarQube.Internal.PreProcess.exe | Bin 65536 -> 0 bytes - tools/sonar/MSBuild.SonarQube.Runner.exe | Bin 5632 -> 0 bytes - tools/sonar/Newtonsoft.Json.dll | Bin 513536 -> 0 bytes - tools/sonar/SonarQube.Analysis.xml | 35 -- - tools/sonar/SonarQube.Common.dll | Bin 59904 -> 0 bytes - tools/sonar/SonarQube.Integration.Tasks.dll | Bin 28160 -> 0 bytes - tools/sonar/SonarQube.MSBuild.PreProcessor.exe | Bin 7680 -> 0 bytes - tools/sonar/SonarQube.Scanner.MSBuild.exe | Bin 21504 -> 0 bytes - tools/sonar/SonarScanner.Shim.dll | Bin 40448 -> 0 bytes - tools/sonar/SupportedBootstrapperVersions.xml | 4 - - .../SonarQube.Integration.ImportBefore.targets | 66 --- - tools/sonar/Targets/SonarQube.Integration.targets | 570 --------------------- - tools/sonar/TeamBuild.SonarQube.Integration.dll | Bin 35328 -> 0 bytes - .../sonar/sonar-scanner-3.0.1.733/bin/sonar-runner | 77 --- - .../sonar-scanner-3.0.1.733/bin/sonar-runner.bat | 90 ---- - .../sonar-scanner-3.0.1.733/bin/sonar-scanner | 74 --- - .../bin/sonar-scanner-debug | 14 - - .../bin/sonar-scanner-debug.bat | 14 - - .../sonar-scanner-3.0.1.733/bin/sonar-scanner.bat | 87 ---- - .../conf/sonar-scanner.properties | 9 - - .../lib/sonar-scanner-cli-3.0.1.733.jar | Bin 554821 -> 0 bytes - 22 files changed, 1040 deletions(-) - -commit 547844a36bdadb2ce0a4ccc4a66566e3f859ff62 +commit fae51c7bf38743ee11b05454ab69ced327cf4244 +Merge: 4071869 0f5594d Author: Andrea Maggiulli -Date: Wed, 19 Apr 2017 16:25:34 +0200 - - test : integrate sonar scanner in tools directory until version 2.3 will be in chocolatey packages. - - .../MSBuild.SonarQube.Internal.PostProcess.exe | Bin 0 -> 25088 bytes - .../MSBuild.SonarQube.Internal.PreProcess.exe | Bin 0 -> 65536 bytes - tools/sonar/MSBuild.SonarQube.Runner.exe | Bin 0 -> 5632 bytes - tools/sonar/Newtonsoft.Json.dll | Bin 0 -> 513536 bytes - tools/sonar/SonarQube.Analysis.xml | 35 ++ - tools/sonar/SonarQube.Common.dll | Bin 0 -> 59904 bytes - tools/sonar/SonarQube.Integration.Tasks.dll | Bin 0 -> 28160 bytes - tools/sonar/SonarQube.MSBuild.PreProcessor.exe | Bin 0 -> 7680 bytes - tools/sonar/SonarQube.Scanner.MSBuild.exe | Bin 0 -> 21504 bytes - tools/sonar/SonarScanner.Shim.dll | Bin 0 -> 40448 bytes - tools/sonar/SupportedBootstrapperVersions.xml | 4 + - .../SonarQube.Integration.ImportBefore.targets | 66 +++ - tools/sonar/Targets/SonarQube.Integration.targets | 570 +++++++++++++++++++++ - tools/sonar/TeamBuild.SonarQube.Integration.dll | Bin 0 -> 35328 bytes - .../sonar/sonar-scanner-3.0.1.733/bin/sonar-runner | 77 +++ - .../sonar-scanner-3.0.1.733/bin/sonar-runner.bat | 90 ++++ - .../sonar-scanner-3.0.1.733/bin/sonar-scanner | 74 +++ - .../bin/sonar-scanner-debug | 14 + - .../bin/sonar-scanner-debug.bat | 14 + - .../sonar-scanner-3.0.1.733/bin/sonar-scanner.bat | 87 ++++ - .../conf/sonar-scanner.properties | 9 + - .../lib/sonar-scanner-cli-3.0.1.733.jar | Bin 0 -> 554821 bytes - 22 files changed, 1040 insertions(+) - -commit 62924861c6fee78e11384ba4157f39391f4d212a -Author: Andrea Maggiulli -Date: Fri, 31 Mar 2017 12:38:48 +0200 +Date: Wed Oct 25 15:03:34 2017 +0200 - Fixed solution + Merge pull request #175 from tournierjc/Update_QLNet_Old + + Update QLNet Old Project files - QLNet.sln | 3 --- - 1 file changed, 3 deletions(-) +commit 0f5594dd7ec7d104101610e7be8d2398e51b7881 +Author: tournierjc +Date: Wed Oct 25 14:21:11 2017 +0200 -commit 42722b77e917f4266379d8fdbc260f8696c3e626 -Author: Andrea Maggiulli -Date: Thu, 30 Mar 2017 17:21:21 +0200 + Update QLNet.Test.Old projet file + + Were missing last PR : FdmLinearOp and CreditDefaultSwap - Added old project + tests/QLNet.Tests.Old/QLNet.Tests.Old.csproj | 1 + + 1 file changed, 1 insertion(+) - QLNetOld.sln | 38 ++ - src/QLNet.Old/AssemblyInfo.cs | 34 ++ - src/QLNet.Old/QLNet.Old.csproj | 722 +++++++++++++++++++++++++++ - src/QLNet/Types.cs | 5 +- - tests/QLNet.Tests.Old/AssemblyInfo.cs | 39 ++ - tests/QLNet.Tests.Old/QLNet.Tests.Old.csproj | 199 ++++++++ - 6 files changed, 1036 insertions(+), 1 deletion(-) +commit d952b86afadd9cef1845f8dcf34126890081f672 +Author: tournierjc +Date: Wed Oct 25 14:20:20 2017 +0200 -commit 6c8a787e294b3bfe8b26267452d885c981006a8e -Author: Andrea Maggiulli -Date: Thu, 30 Mar 2017 16:56:09 +0200 - - Refactoring - - src/BermudanSwaption/.editorconfig | 16 + - src/BermudanSwaption/BermudanSwaption.cs | 297 +++++++++++++ - src/BermudanSwaption/BermudanSwaption.csproj | 18 + - src/Bonds/.editorconfig | 16 + - src/Bonds/Bonds.cs | 515 +++++++++++++++++++++++ - src/Bonds/Bonds.csproj | 18 + - src/CVAIRS/CVAIRS.cs | 189 +++++++++ - src/CVAIRS/CVAIRS.csproj | 18 + - src/CallableBonds/.editorconfig | 16 + - src/CallableBonds/CallableBonds.cs | 244 +++++++++++ - src/CallableBonds/CallableBonds.csproj | 18 + - src/EquityOption/.editorconfig | 16 + - src/EquityOption/EquityOption.cs | 275 ++++++++++++ - src/EquityOption/EquityOption.csproj | 18 + - src/FRA/.editorconfig | 16 + - src/FRA/FRA.cs | 249 +++++++++++ - src/FRA/FRA.csproj | 18 + - src/FittedBondCurve/.editorconfig | 16 + - src/FittedBondCurve/FittedBondCurve.cs | 596 +++++++++++++++++++++++++++ - src/FittedBondCurve/FittedBondCurve.csproj | 18 + - src/Repo/.editorconfig | 16 + - src/Repo/Repo.cs | 173 ++++++++ - src/Repo/Repo.csproj | 18 + - src/Swap/.editorconfig | 16 + - src/Swap/Swap.csproj | 18 + - src/Swap/swapvaluation.cs | 576 ++++++++++++++++++++++++++ - src/VB/Swap/Swapvaluation.vb | 531 ++++++++++++++++++++++++ - 27 files changed, 3935 insertions(+) - -commit cb5359e157ecdc504a27d9c0d5286895c0e08391 -Author: Andrea Maggiulli -Date: Thu, 30 Mar 2017 16:55:34 +0200 - - Refactoring - - Examples/BermudanSwaption/.editorconfig | 16 - - Examples/BermudanSwaption/BermudanSwaption.cs | 297 ---------- - Examples/BermudanSwaption/BermudanSwaption.csproj | 107 ---- - .../BermudanSwaption/Properties/AssemblyInfo.cs | 36 -- - Examples/Bonds/.editorconfig | 16 - - Examples/Bonds/Bonds.cs | 515 ------------------ - Examples/Bonds/Bonds.csproj | 107 ---- - Examples/Bonds/Properties/AssemblyInfo.cs | 36 -- - Examples/CVAIRS/CVAIRS.cs | 189 ------- - Examples/CVAIRS/CVAIRS.csproj | 61 --- - Examples/CVAIRS/Properties/AssemblyInfo.cs | 36 -- - Examples/CallableBonds/.editorconfig | 16 - - Examples/CallableBonds/CallableBonds.cs | 244 --------- - Examples/CallableBonds/CallableBonds.csproj | 67 --- - Examples/CallableBonds/Properties/AssemblyInfo.cs | 36 -- - Examples/EquityOption/.editorconfig | 16 - - Examples/EquityOption/EquityOption.cs | 275 ---------- - Examples/EquityOption/EquityOption.csproj | 107 ---- - Examples/EquityOption/Properties/AssemblyInfo.cs | 36 -- - Examples/FRA/.editorconfig | 16 - - Examples/FRA/FRA.cs | 249 --------- - Examples/FRA/FRA.csproj | 107 ---- - Examples/FRA/Properties/AssemblyInfo.cs | 36 -- - Examples/FittedBondCurve/.editorconfig | 16 - - Examples/FittedBondCurve/FittedBondCurve.cs | 596 --------------------- - Examples/FittedBondCurve/FittedBondCurve.csproj | 64 --- - .../FittedBondCurve/Properties/AssemblyInfo.cs | 36 -- - Examples/Repo/.editorconfig | 16 - - Examples/Repo/Properties/AssemblyInfo.cs | 36 -- - Examples/Repo/Repo.cs | 173 ------ - Examples/Repo/Repo.csproj | 107 ---- - Examples/Swap/.editorconfig | 16 - - Examples/Swap/Properties/AssemblyInfo.cs | 36 -- - Examples/Swap/Swap.csproj | 107 ---- - Examples/Swap/swapvaluation.cs | 576 -------------------- - Examples/VB/Swap/Swapvaluation.vb | 531 ------------------ - QLNet.sln | 68 ++- - src/QLNet/QLNet.csproj | 8 +- - tests/QLNet.Tests/QLNet.Tests.csproj | 12 +- - tests/QLNet.Tests/T_Inflation.cs | 6 +- - 40 files changed, 82 insertions(+), 4943 deletions(-) - -commit eb661a6a81b50fb57b126b0f2c5c9069aa37c166 -Author: Andrea Maggiulli -Date: Tue, 28 Mar 2017 18:17:08 +0200 - - Update preprocessor - - src/QLNet/Patterns/FastActivator.cs | 2 +- - src/QLNet/Patterns/WeakEventSource.cs | 4 +- - src/QLNet/QLNet.csproj | 16 +++----- - src/QLNet/Utils.cs | 4 +- - tests/QLNet.Tests/T_AmericanOption.cs | 18 ++++----- - tests/QLNet.Tests/T_AsianOptions.cs | 14 +++---- - tests/QLNet.Tests/T_AssetSwap.cs | 26 ++++++------ - tests/QLNet.Tests/T_BarrierOption.cs | 12 +++--- - tests/QLNet.Tests/T_BasketOption.cs | 6 +-- - tests/QLNet.Tests/T_Bermudanswaption.cs | 10 ++--- - tests/QLNet.Tests/T_BinaryOption.cs | 8 ++-- - tests/QLNet.Tests/T_BlackDeltaCalculator.cs | 12 +++--- - tests/QLNet.Tests/T_BlackFormula.cs | 8 ++-- - tests/QLNet.Tests/T_Bonds.cs | 34 ++++++++-------- - tests/QLNet.Tests/T_BusinessDayConvention.cs | 6 +-- - tests/QLNet.Tests/T_CPISwap.cs | 10 ++--- - tests/QLNet.Tests/T_Calendars.cs | 46 +++++++++++----------- - tests/QLNet.Tests/T_CapFloor.cs | 22 +++++------ - tests/QLNet.Tests/T_CapFlooredCoupon.cs | 8 ++-- - tests/QLNet.Tests/T_CashFlows.cs | 12 +++--- - tests/QLNet.Tests/T_CliquetOption.cs | 10 ++--- - tests/QLNet.Tests/T_Cms.cs | 10 ++--- - tests/QLNet.Tests/T_CreditDefaultSwap.cs | 14 +++---- - tests/QLNet.Tests/T_Dates.cs | 14 +++---- - tests/QLNet.Tests/T_DayCounters.cs | 18 ++++----- - tests/QLNet.Tests/T_DefaultProbabilityCurves.cs | 10 ++--- - tests/QLNet.Tests/T_DigitalCoupon.cs | 20 +++++----- - tests/QLNet.Tests/T_DigitalOption.cs | 20 +++++----- - tests/QLNet.Tests/T_DividendOption.cs | 20 +++++----- - tests/QLNet.Tests/T_DoubleBarrierOption.cs | 8 ++-- - tests/QLNet.Tests/T_EuropeanOption.cs | 24 +++++------ - tests/QLNet.Tests/T_ExchangeRate.cs | 14 +++---- - tests/QLNet.Tests/T_ForwardOption.cs | 14 +++---- - tests/QLNet.Tests/T_Functions.cs | 14 +++---- - tests/QLNet.Tests/T_HestonModel.cs | 24 +++++------ - .../QLNet.Tests/T_HybridHestonHullWhiteProcess.cs | 26 ++++++------ - tests/QLNet.Tests/T_Inflation.cs | 12 +++--- - tests/QLNet.Tests/T_InflationCPICapFloor.cs | 8 ++-- - tests/QLNet.Tests/T_InflationCapFloorTest.cs | 14 +++---- - .../QLNet.Tests/T_InflationCapFlooredCouponTest.cs | 12 +++--- - tests/QLNet.Tests/T_Instruments.cs | 6 +-- - tests/QLNet.Tests/T_InterestRate.cs | 6 +-- - tests/QLNet.Tests/T_Interpolations.cs | 38 +++++++++--------- - tests/QLNet.Tests/T_LiborMarketModel.cs | 16 ++++---- - tests/QLNet.Tests/T_LiborMarketModelProcess.cs | 14 +++---- - .../QLNet.Tests/T_LinearLeastSquaresRegression.cs | 14 +++---- - tests/QLNet.Tests/T_LookbackOption.cs | 12 +++--- - tests/QLNet.Tests/T_LowDiscrepancySequences.cs | 12 +++--- - tests/QLNet.Tests/T_Matrices.cs | 18 ++++----- - tests/QLNet.Tests/T_Money.cs | 10 ++--- - tests/QLNet.Tests/T_Operators.cs | 8 ++-- - tests/QLNet.Tests/T_Optimizers.cs | 8 ++-- - tests/QLNet.Tests/T_OptionletStripper.cs | 16 ++++---- - tests/QLNet.Tests/T_OvernightIndexedSwap.cs | 16 ++++---- - tests/QLNet.Tests/T_PSACurve.cs | 6 +-- - tests/QLNet.Tests/T_PathGenerator.cs | 12 +++--- - .../T_PiecewiseZeroSpreadedTermStructure.cs | 24 +++++------ - tests/QLNet.Tests/T_Piecewiseyieldcurve.cs | 40 +++++++++---------- - tests/QLNet.Tests/T_Quotes.cs | 12 +++--- - tests/QLNet.Tests/T_RNGTraits.cs | 10 ++--- - tests/QLNet.Tests/T_RiskStats.cs | 6 +-- - tests/QLNet.Tests/T_Rounding.cs | 14 +++---- - tests/QLNet.Tests/T_SampledCurve.cs | 6 +-- - tests/QLNet.Tests/T_Schedule.cs | 20 +++++----- - tests/QLNet.Tests/T_ShortRateModels.cs | 10 ++--- - tests/QLNet.Tests/T_Solvers.cs | 16 ++++---- - tests/QLNet.Tests/T_Stats.cs | 12 +++--- - tests/QLNet.Tests/T_Swaps.cs | 22 +++++------ - tests/QLNet.Tests/T_Swaption.cs | 20 +++++----- - tests/QLNet.Tests/T_SwaptionVolatilityCube.cs | 14 +++---- - tests/QLNet.Tests/T_SwaptionVolatilitymatrix.cs | 12 +++--- - tests/QLNet.Tests/T_TermStructures.cs | 24 +++++------ - tests/QLNet.Tests/Utilities.cs | 18 ++++----- - 73 files changed, 536 insertions(+), 540 deletions(-) - -commit 46c3eeaa50f63c917d86ac038445572a4a312150 + Update QLNet.Old projet file + + Were missing last PR : FDM + Local Volatility + CDS ISDA Engine + + src/QLNet.Old/QLNet.Old.csproj | 180 +++++++++++++++++++++++++++++++++++++++++ + 1 file changed, 180 insertions(+) + +commit 407186955c71e019c9899ed6af387279c16c8e9f Author: Andrea Maggiulli -Date: Tue, 28 Mar 2017 17:44:37 +0200 +Date: Fri Oct 20 12:24:39 2017 +0200 - Updated projects + Traits cleanup & update. - QLNet.sln | 42 +- - src/QLNet/QLNet.csproj | 741 ++--------------------------------- - tests/QLNet.Tests/QLNet.Tests.csproj | 26 ++ - tests/QLNet.Tests/Test.csproj | 199 ---------- - 4 files changed, 72 insertions(+), 936 deletions(-) + .../Termstructures/Credit/ProbabilityTraits.cs | 178 ++++++++++++++++++--- + .../Termstructures/Inflation/InflationTraits.cs | 61 +------ + .../Inflation/PiecewiseYoYInflationCurve.cs | 8 - + .../Inflation/PiecewiseZeroInflationCurve.cs | 8 - + src/QLNet/Termstructures/Yield/Bootstraptraits.cs | 86 +--------- + .../Termstructures/Yield/PiecewiseYieldCurve.cs | 5 - + 6 files changed, 163 insertions(+), 183 deletions(-) -commit b38b53c6dfc1e68c08d838b459d82523233eef99 +commit 7bd298f045176abea39eb50eb04c08ce0bbe29b6 Author: Andrea Maggiulli -Date: Tue, 28 Mar 2017 17:41:30 +0200 - - Removed obsolete files - - .../VB/Swap/My Project/Application.Designer.vb | 13 -- - Examples/VB/Swap/My Project/Application.myapp | 10 -- - Examples/VB/Swap/My Project/AssemblyInfo.vb | 35 ----- - Examples/VB/Swap/My Project/Resources.Designer.vb | 63 --------- - Examples/VB/Swap/My Project/Resources.resx | 117 ---------------- - Examples/VB/Swap/My Project/Settings.Designer.vb | 73 ---------- - Examples/VB/Swap/My Project/Settings.settings | 7 - - Examples/VB/Swap/Swap.vbproj | 155 --------------------- - QLNet_with_Examples.sln | 150 -------------------- - 9 files changed, 623 deletions(-) - -commit 2578a4232f80a31a801fad754658ff70dfdd47e3 +Date: Wed Oct 18 17:30:08 2017 +0200 + + Added IsdaCdsEngine, InterpolatedSurvivalProbabilityCurve and SurvivalProbabilityStructure with test . + + src/QLNet/Pricingengines/credit/IsdaCdsEngine.cs | 432 +++++++++++++++++++++ + .../Credit/InterpolatedSurvivalProbabilityCurve.cs | 166 ++++++++ + .../Credit/SurvivalProbabilityStructure.cs | 74 ++++ + tests/QLNet.Tests/T_CreditDefaultSwap.cs | 144 ++++++- + 4 files changed, 815 insertions(+), 1 deletion(-) + +commit 41ed73f7b8c1ef7547c75bb0bd758360c5de583c Author: Andrea Maggiulli -Date: Tue, 28 Mar 2017 17:37:34 +0200 - - Moved tests sources - - tests/Properties/AssemblyInfo.cs | 39 - - tests/{ => QLNet.Tests}/.editorconfig | 0 - tests/{ => QLNet.Tests}/T_AmericanOption.cs | 1232 ++++----- - tests/{ => QLNet.Tests}/T_AsianOptions.cs | 2610 +++++++++--------- - tests/{ => QLNet.Tests}/T_AssetSwap.cs | 138 +- - tests/{ => QLNet.Tests}/T_BarrierOption.cs | 994 +++---- - tests/{ => QLNet.Tests}/T_BasketOption.cs | 22 +- - tests/{ => QLNet.Tests}/T_Bermudanswaption.cs | 40 +- - tests/{ => QLNet.Tests}/T_BinaryOption.cs | 230 +- - tests/{ => QLNet.Tests}/T_BlackDeltaCalculator.cs | 332 +-- - tests/{ => QLNet.Tests}/T_BlackFormula.cs | 36 +- - tests/{ => QLNet.Tests}/T_Bonds.cs | 2638 +++++++++--------- - tests/{ => QLNet.Tests}/T_BusinessDayConvention.cs | 0 - tests/{ => QLNet.Tests}/T_CPISwap.cs | 448 ++-- - tests/{ => QLNet.Tests}/T_Calendars.cs | 296 +- - tests/{ => QLNet.Tests}/T_CapFloor.cs | 112 +- - tests/{ => QLNet.Tests}/T_CapFlooredCoupon.cs | 234 +- - tests/{ => QLNet.Tests}/T_CashFlows.cs | 584 ++-- - tests/{ => QLNet.Tests}/T_CliquetOption.cs | 186 +- - tests/{ => QLNet.Tests}/T_Cms.cs | 536 ++-- - tests/{ => QLNet.Tests}/T_CreditDefaultSwap.cs | 1080 ++++---- - tests/{ => QLNet.Tests}/T_Dates.cs | 0 - tests/{ => QLNet.Tests}/T_DayCounters.cs | 0 - .../T_DefaultProbabilityCurves.cs | 50 +- - tests/{ => QLNet.Tests}/T_DigitalCoupon.cs | 438 +-- - tests/{ => QLNet.Tests}/T_DigitalOption.cs | 1522 +++++------ - tests/{ => QLNet.Tests}/T_DividendOption.cs | 1692 ++++++------ - tests/{ => QLNet.Tests}/T_DoubleBarrierOption.cs | 450 ++-- - tests/{ => QLNet.Tests}/T_EuropeanOption.cs | 116 +- - tests/{ => QLNet.Tests}/T_ExchangeRate.cs | 66 +- - tests/{ => QLNet.Tests}/T_ForwardOption.cs | 376 +-- - tests/{ => QLNet.Tests}/T_Functions.cs | 74 +- - tests/{ => QLNet.Tests}/T_HestonModel.cs | 2834 ++++++++++---------- - .../T_HybridHestonHullWhiteProcess.cs | 1804 ++++++------- - tests/{ => QLNet.Tests}/T_Inflation.cs | 1902 ++++++------- - tests/{ => QLNet.Tests}/T_InflationCPICapFloor.cs | 232 +- - tests/{ => QLNet.Tests}/T_InflationCapFloorTest.cs | 1078 ++++---- - .../T_InflationCapFlooredCouponTest.cs | 1534 +++++------ - tests/{ => QLNet.Tests}/T_Instruments.cs | 28 +- - tests/{ => QLNet.Tests}/T_InterestRate.cs | 30 +- - tests/{ => QLNet.Tests}/T_Interpolations.cs | 222 +- - tests/{ => QLNet.Tests}/T_LiborMarketModel.cs | 28 +- - .../{ => QLNet.Tests}/T_LiborMarketModelProcess.cs | 28 +- - .../T_LinearLeastSquaresRegression.cs | 62 +- - tests/{ => QLNet.Tests}/T_LookbackOption.cs | 480 ++-- - .../{ => QLNet.Tests}/T_LowDiscrepancySequences.cs | 68 +- - tests/{ => QLNet.Tests}/T_Matrices.cs | 88 +- - .../T_Mclongstaffschwartzengine.cs | 0 - tests/{ => QLNet.Tests}/T_Money.cs | 52 +- - tests/{ => QLNet.Tests}/T_Operators.cs | 40 +- - tests/{ => QLNet.Tests}/T_Optimizers.cs | 40 +- - tests/{ => QLNet.Tests}/T_OptionletStripper.cs | 76 +- - tests/{ => QLNet.Tests}/T_OvernightIndexedSwap.cs | 78 +- - tests/{ => QLNet.Tests}/T_PSACurve.cs | 26 +- - tests/{ => QLNet.Tests}/T_PathGenerator.cs | 28 +- - .../T_PiecewiseZeroSpreadedTermStructure.cs | 1066 ++++---- - tests/{ => QLNet.Tests}/T_Piecewiseyieldcurve.cs | 0 - tests/{ => QLNet.Tests}/T_Quotes.cs | 64 +- - tests/{ => QLNet.Tests}/T_RNGTraits.cs | 50 +- - tests/{ => QLNet.Tests}/T_RiskStats.cs | 28 +- - tests/{ => QLNet.Tests}/T_Rounding.cs | 76 +- - tests/{ => QLNet.Tests}/T_SampledCurve.cs | 28 +- - tests/{ => QLNet.Tests}/T_Schedule.cs | 640 ++--- - tests/{ => QLNet.Tests}/T_ShortRateModels.cs | 52 +- - tests/{ => QLNet.Tests}/T_Solvers.cs | 78 +- - tests/{ => QLNet.Tests}/T_Stats.cs | 64 +- - tests/{ => QLNet.Tests}/T_Swaps.cs | 102 +- - tests/{ => QLNet.Tests}/T_Swaption.cs | 102 +- - .../{ => QLNet.Tests}/T_SwaptionVolatilityCube.cs | 230 +- - .../T_SwaptionVolatilitymatrix.cs | 54 +- - tests/{ => QLNet.Tests}/T_TermStructures.cs | 236 +- - tests/{ => QLNet.Tests}/Test.csproj | 396 +-- - tests/{ => QLNet.Tests}/Utilities.cs | 6 +- - tests/{ => QLNet.Tests}/default.testsettings | 0 - 74 files changed, 15281 insertions(+), 15320 deletions(-) - -commit 0c9a6c42099622ead59a50e369055eb8b00e4d6f +Date: Wed Oct 18 17:26:10 2017 +0200 + + Updated Actual360 daycounter to include/exclude last day + + src/QLNet/Time/DayCounters/Actual360.cs | 67 ++++++++++++++++++++++----------- + 1 file changed, 46 insertions(+), 21 deletions(-) + +commit 1bdedbdd76257963549e4068ee72dbf831809de2 Author: Andrea Maggiulli -Date: Tue, 28 Mar 2017 17:35:55 +0200 +Date: Wed Oct 18 17:25:12 2017 +0200 - Removed Properties/AssemblyInfo.cs + Updated Schedule for CDS2015 with test. - src/QLNet/Properties/AssemblyInfo.cs | 34 ---------------------------------- - 1 file changed, 34 deletions(-) + src/QLNet/Time/Schedule.cs | 468 ++++++++++++++++++++++------------------ + tests/QLNet.Tests/T_Schedule.cs | 44 +++- + 2 files changed, 301 insertions(+), 211 deletions(-) -commit c5198a63bd15eba04d6eff9d35c6be314eb30568 +commit 30afffab64083a8360c8eed51db58e18d1b0f351 Author: Andrea Maggiulli -Date: Tue, 28 Mar 2017 17:34:31 +0200 - - Moved sources - - src/Cashflow.cs | 117 -- - src/Cashflows/CPICoupon.cs | 355 ------- - src/Cashflows/CappedFlooredCoupon.cs | 231 ---- - src/Cashflows/CappedFlooredYoYInflationCoupon.cs | 237 ----- - src/Cashflows/Cashflowvectors.cs | 369 ------- - src/Cashflows/CmsCoupon.cs | 84 -- - src/Cashflows/ConundrumPricer.cs | 895 ---------------- - src/Cashflows/Coupon.cs | 117 -- - src/Cashflows/CouponPricer.cs | 409 ------- - src/Cashflows/FixedRateCoupon.cs | 262 ----- - src/Cashflows/FloatingRateCoupon.cs | 172 --- - src/Cashflows/Iborcoupon.cs | 159 --- - src/Cashflows/LinearTsrPricer.cs | 556 ---------- - src/Cashflows/RangeAccrual.cs | 666 ------------ - src/Cashflows/RateLegBase.cs | 356 ------- - src/Cashflows/averagebmacoupon.cs | 246 ----- - src/Currencies/America.cs | 150 --- - src/Currencies/Currency.cs | 96 -- - src/Currencies/Europe.cs | 367 ------- - src/Event.cs | 92 -- - src/Extensions/DoubleExtension.cs | 48 - - src/Extensions/ListExtension.cs | 38 - - src/Handle.cs | 163 --- - src/Index.cs | 132 --- - src/Indexes/IBORIndex.cs | 119 --- - src/Indexes/Ibor/Aonia.cs | 31 - - src/Indexes/Ibor/Audlibor.cs | 37 - - src/Indexes/Ibor/Bbsw.cs | 85 -- - src/Indexes/Ibor/Bkbm.cs | 88 -- - src/Indexes/Ibor/Cadlibor.cs | 51 - - src/Indexes/Ibor/Chflibor.cs | 50 - - src/Indexes/Ibor/Dkklibor.cs | 37 - - src/Indexes/Ibor/Euribor.cs | 144 --- - src/Indexes/Ibor/Eurlibor.cs | 343 ------ - src/Indexes/Ibor/Gbplibor.cs | 57 - - src/Indexes/Ibor/Jpylibor.cs | 54 - - src/Indexes/Ibor/Libor.cs | 154 --- - src/Indexes/Ibor/Nzdlibor.cs | 38 - - src/Indexes/Ibor/Nzocr.cs | 32 - - src/Indexes/Ibor/Seklibor.cs | 38 - - src/Indexes/Ibor/Trylibor.cs | 42 - - src/Indexes/Ibor/Usdlibor.cs | 59 - - src/Indexes/Inflation/ZACPI.cs | 77 -- - src/Indexes/InflationIndex.cs | 443 -------- - src/Indexes/InterestRateIndex.cs | 160 --- - src/Indexes/Region.cs | 132 --- - src/Indexes/Swapindex.cs | 242 ----- - src/Indexes/bmaindex.cs | 107 -- - src/Instruments/AsianOption.cs | 141 --- - src/Instruments/BarrierOption.cs | 133 --- - src/Instruments/Bonds/AmortizingBond.cs | 238 ----- - src/Instruments/Bonds/AmortizingFixedRateBond.cs | 219 ---- - src/Instruments/Bonds/CallableBond.cs | 316 ------ - src/Instruments/Bonds/ConstantCPR.cs | 40 - - .../Bonds/DiscretizedCallableFixedRateBond.cs | 158 --- - src/Instruments/Bonds/Fixedratebond.cs | 192 ---- - src/Instruments/Bonds/FloatingRateBond.cs | 129 --- - src/Instruments/Bonds/IPrepayModel.cs | 27 - - src/Instruments/Bonds/MBSFixedRateBond.cs | 176 --- - src/Instruments/Bonds/PSACurve.cs | 51 - - src/Instruments/Bonds/Zerocouponbond.cs | 37 - - src/Instruments/CPICapFloor.cs | 176 --- - src/Instruments/CPISwap.cs | 331 ------ - src/Instruments/CapFloor.cs | 439 -------- - src/Instruments/Claim.cs | 80 -- - src/Instruments/CliquetOption.cs | 90 -- - src/Instruments/CompositeInstrument.cs | 71 -- - src/Instruments/DividendBarrierOption.cs | 75 -- - src/Instruments/DoubleBarrierOption.cs | 146 --- - src/Instruments/ForwardVanillaOption.cs | 71 -- - src/Instruments/Futures.cs | 35 - - src/Instruments/InflationCapFloor.cs | 295 ----- - src/Instruments/Instrument.cs | 171 --- - src/Instruments/LookbackOption.cs | 223 ---- - src/Instruments/MakeCapFloor.cs | 171 --- - src/Instruments/MakeCms.cs | 346 ------ - src/Instruments/Makeswaption.cs | 128 --- - src/Instruments/OvernightIndexedSwap.cs | 204 ---- - src/Instruments/Swap.cs | 297 ------ - src/Instruments/VanillaOption.cs | 83 -- - src/Instruments/YearOnYearInflationSwap.cs | 319 ------ - src/Instruments/bmaswap.cs | 128 --- - src/Instruments/payoffs.cs | 234 ---- - src/InterestRate.cs | 281 ----- - src/Math/AbcdMathFunction.cs | 195 ---- - src/Math/BSpline.cs | 83 -- - src/Math/BernsteinPolynomial.cs | 33 - - src/Math/Comparison.cs | 90 -- - .../Distributions/BivariateNormalDistribution.cs | 330 ------ - src/Math/Distributions/GammaDistribution.cs | 132 --- - src/Math/Interpolation.cs | 157 --- - src/Math/Interpolations/Abcdinterpolation.cs | 252 ----- - .../BackwardflatLinearInterpolation.cs | 85 -- - .../Interpolations/BicubicSplineInterpolation.cs | 181 ---- - src/Math/Interpolations/Extrapolator.cs | 35 - - src/Math/Interpolations/FlatExtrapolator2D.cs | 78 -- - src/Math/Interpolations/KernelInterpolation.cs | 157 --- - src/Math/Interpolations/KernelInterpolation2D.cs | 203 ---- - src/Math/Interpolations/Loginterpolation.cs | 163 --- - src/Math/Interpolations/MixedInterpolation.cs | 256 ----- - src/Math/Interpolations/VannaVolgaInterpolation.cs | 142 --- - src/Math/Interpolations/XABRInterpolation.cs | 312 ------ - .../Interpolations/convexmonotoneinterpolation.cs | 718 ------------- - src/Math/Interpolations/sabrinterpolation.cs | 211 ---- - src/Math/KernelFunctions.cs | 66 -- - src/Math/Matrix.cs | 323 ------ - src/Math/ModifiedBessel.cs | 237 ----- - src/Math/Optimization/BFGS.cs | 98 -- - src/Math/Optimization/ConjugateGradient.cs | 46 - - src/Math/Optimization/Constraint.cs | 264 ----- - src/Math/Optimization/CostFunction.cs | 95 -- - src/Math/Optimization/GoldsteinLineSearch.cs | 103 -- - src/Math/Optimization/LineSearch.cs | 105 -- - src/Math/Optimization/LineSearchBasedMethod.cs | 123 --- - src/Math/Optimization/ProjectedConstraint.cs | 70 -- - src/Math/Optimization/Projection.cs | 80 -- - src/Math/Optimization/Simplex.cs | 206 ---- - src/Math/Optimization/SteepestDescent.cs | 39 - - src/Math/Optimization/levenbergmarquardt.cs | 167 --- - src/Math/Optimization/method.cs | 29 - - src/Math/PascalTriangle.cs | 57 - - src/Math/PolynomialFunction.cs | 137 --- - src/Math/RichardsonExtrapolation.cs | 109 -- - src/Math/Rounding.cs | 215 ---- - src/Math/Solver1d.cs | 212 ---- - src/Math/integrals/GaussLobattoIntegral.cs | 168 --- - src/Math/integrals/GaussianQuadratures.cs | 235 ---- - src/Math/integrals/Integral.cs | 109 -- - src/Math/integrals/Kronrodintegral.cs | 332 ------ - src/Math/integrals/gaussianorthogonalpolynomial.cs | 178 ---- - src/Math/matrixutilities/qrdecomposition.cs | 156 --- - src/Math/randomnumbers/SobolBrownianBridgeRsg.cs | 64 -- - src/Math/randomnumbers/mt19937uniformrng.cs | 153 --- - src/Math/randomnumbers/sobolrsg.cs | 499 --------- - src/Math/statistics/DiscrepancyStatistics.cs | 121 --- - 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src/PricingEngine.cs | 109 -- - src/Pricingengines/Americanpayoffatexpiry.cs | 239 ----- - src/Pricingengines/Basket/KirkEngine.cs | 89 -- - .../Basket/MCEuropeanBasketEngine.cs | 28 - - src/Pricingengines/Basket/StulzEngine.cs | 206 ---- - src/Pricingengines/BlackCalculator.cs | 363 ------- - src/Pricingengines/BlackDeltaCalculator.cs | 406 ------- - src/Pricingengines/Bond/TreeCallableBondEngine.cs | 91 -- - .../CapFloor/BachelierCapFloorEngine.cs | 136 --- - src/Pricingengines/CapFloor/BlackCapFloorEngine.cs | 147 --- - .../Cliquet/AnalyticCliquetEngine.cs | 108 -- - .../Cliquet/AnalyticPerformanceEngine.cs | 105 -- - .../Forward/ForwardPerformanceVanillaEngine.cs | 64 -- - src/Pricingengines/Forward/ForwardVanillaEngine.cs | 128 --- - .../AnalyticContinuousFixedLookbackEngine.cs | 125 --- - .../AnalyticContinuousFloatingLookbackEngine.cs | 89 -- - ...AnalyticContinuousPartialFixedLookbackEngine.cs | 134 --- - ...lyticContinuousPartialFloatingLookbackEngine.cs | 155 --- - .../Swap/CounterpartyAdjSwapEngine.cs | 226 ---- - 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.../Pricingengines/Bond/TreeCallableBondEngine.cs | 91 ++ - .../CapFloor/BachelierCapFloorEngine.cs | 136 +++ - .../Pricingengines/CapFloor/BlackCapFloorEngine.cs | 147 +++ - .../CapFloor/analyticcapfloorengine.cs | 0 - .../Pricingengines/CapFloor/discretizedcapfloor.cs | 0 - .../Cliquet/AnalyticCliquetEngine.cs | 108 ++ - .../Cliquet/AnalyticPerformanceEngine.cs | 105 ++ - .../Forward/ForwardPerformanceVanillaEngine.cs | 64 ++ - .../Pricingengines/Forward/ForwardVanillaEngine.cs | 128 +++ - src/{ => QLNet}/Pricingengines/Greeks.cs | 0 - .../Pricingengines/Loan/DiscountingLoanEngine.cs | 0 - .../AnalyticContinuousFixedLookbackEngine.cs | 125 +++ - .../AnalyticContinuousFloatingLookbackEngine.cs | 89 ++ - ...AnalyticContinuousPartialFixedLookbackEngine.cs | 134 +++ - ...lyticContinuousPartialFloatingLookbackEngine.cs | 155 +++ - .../Swap/CounterpartyAdjSwapEngine.cs | 226 ++++ - .../Swap/DiscountingBasisSwapEngine.cs | 0 - .../Pricingengines/Swap/Discountingswapengine.cs | 133 +++ - .../Pricingengines/Swap/discretizedswap.cs | 0 - 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.../vanilla/AnalyticHestonHullWhiteEngine.cs | 105 ++ - .../vanilla/AnalyticPTDHestonEngine.cs | 208 ++++ - .../Pricingengines/vanilla/FDAmericanEngine.cs | 0 - .../Pricingengines/vanilla/FDBermudanEngine.cs | 0 - .../Pricingengines/vanilla/FDConditions.cs | 0 - .../vanilla/FDDividendAmericanEngine.cs | 49 + - .../Pricingengines/vanilla/FDDividendEngine.cs | 210 ++++ - .../vanilla/FDDividendEuropeanEngine.cs | 37 + - .../Pricingengines/vanilla/FDEuropeanEngine.cs | 0 - .../Pricingengines/vanilla/FDMultiPeriodEngine.cs | 0 - .../Pricingengines/vanilla/FDShoutEngine.cs | 0 - .../vanilla/FDStepConditionEngine.cs | 0 - .../Pricingengines/vanilla/FDVanillaEngine.cs | 205 ++++ - .../vanilla/FdHestonVanillaEngine.cs | 15 + - .../vanilla/HestonExpansionEngine.cs | 784 ++++++++++++++ - .../Pricingengines/vanilla/Integralengine.cs | 0 - .../Pricingengines/vanilla/Juquadraticengine.cs | 0 - .../vanilla/MCEuropeanHestonEngine.cs | 168 +++ - .../vanilla/MCHestonHullWhiteEngine.cs | 228 ++++ - .../vanilla/baroneadesiwhaleyengine.cs | 0 - 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.../Credit/InterpolatedHazardRateCurve.cs | 186 ++++ - .../Termstructures/Credit/ProbabilityTraits.cs | 63 ++ - src/QLNet/Termstructures/Curve.cs | 47 + - .../DefaultProbabilityTermStructure.cs | 0 - .../Inflation/CPICapFloorTermPriceSurface.cs | 334 ++++++ - .../Termstructures/Inflation/InflationHelpers.cs | 251 +++++ - .../Termstructures/Inflation/InflationTraits.cs | 229 ++++ - .../Inflation/InterpolatedZeroInflationCurve.cs | 169 +++ - .../Inflation/PiecewiseYoYInflationCurve.cs | 305 ++++++ - .../Inflation/PiecewiseZeroInflationCurve.cs | 306 ++++++ - .../Termstructures/Inflation/Seasonality.cs | 0 - .../Termstructures/InflationTermStructure.cs | 0 - src/QLNet/Termstructures/Iterativebootstrap.cs | 278 +++++ - src/{ => QLNet}/Termstructures/TermStructure.cs | 0 - .../Termstructures/Volatility/AbcdCalibration.cs | 285 +++++ - .../Termstructures/Volatility/AbcdFunction.cs | 153 +++ - .../Termstructures/Volatility/AtmSmileSection.cs | 45 + - .../Bond/CallableBondConstantVolatility.cs | 0 - .../Bond/CallableBondVolatilityStructure.cs | 0 - .../Volatility/CapFloor/CapFloorTermVolCurve.cs | 225 ++++ - .../Volatility/CapFloor/CapFloorTermVolSurface.cs | 265 +++++ - .../CapFloor/CapFloorTermVolatilityStructure.cs | 0 - .../CapFloor/ConstantCapFloorTermVolatility.cs | 0 - .../Termstructures/Volatility/FlatSmileSection.cs | 0 - .../Volatility/Inflation/CPIVolatilitySurface.cs | 0 - .../yoyinflationoptionletvolatilitystructure.cs | 0 - .../Volatility/InterpolatedSmileSection.cs | 199 ++++ - .../Optionlet/ConstantOptionletVolatility.cs | 0 - .../Volatility/Optionlet/OptionletStripper.cs | 165 +++ - .../Volatility/Optionlet/OptionletStripper1.cs | 225 ++++ - .../Volatility/Optionlet/OptionletStripper2.cs | 185 ++++ - .../Optionlet/OptionletVolatilityStructure.cs | 0 - .../Optionlet/SpreadedOptionletVolatility.cs | 67 ++ - .../Optionlet/StrippedOptionletAdapter.cs | 95 ++ - .../Volatility/Optionlet/StrippedOptionletBase.cs | 40 + - .../Volatility/Optionlet/capletvariancecurve.cs | 0 - src/QLNet/Termstructures/Volatility/Sabr.cs | 78 ++ - .../Termstructures/Volatility/SmileSection.cs | 227 ++++ - .../Volatility/SpreadedSmileSection.cs | 54 + - .../Volatility/equityfx/BlackConstantVol.cs | 0 - .../Volatility/equityfx/BlackVarianceCurve.cs | 0 - .../Volatility/equityfx/BlackVarianceSurface.cs | 0 - .../Volatility/equityfx/BlackVolTermStructure.cs | 0 - .../Volatility/equityfx/HestonBlackVolSurface.cs | 0 - .../Volatility/equityfx/ImpliedVolTermStructure.cs | 68 ++ - .../Volatility/equityfx/LocalConstantVol.cs | 0 - .../Volatility/equityfx/LocalVolCurve.cs | 0 - .../Volatility/equityfx/LocalVolSurface.cs | 0 - .../Volatility/equityfx/LocalVolTermStructure.cs | 0 - .../swaption/SpreadedSwaptionVolatility.cs | 75 ++ - .../Volatility/swaption/SwaptionVolCube1.cs | 957 +++++++++++++++++ - .../Volatility/swaption/SwaptionVolCube2.cs | 113 ++ - .../Volatility/swaption/SwaptionVolatilityCube.cs | 212 ++++ - .../swaption/SwaptionVolatilityStructure.cs | 297 ++++++ - .../Volatility/swaption/swaptionconstantvol.cs | 0 - .../Volatility/swaption/swaptionvoldiscrete.cs | 239 +++++ - .../Volatility/swaption/swaptionvolmatrix.cs | 253 +++++ - src/QLNet/Termstructures/Yield/Bondhelpers.cs | 149 +++ - src/QLNet/Termstructures/Yield/Bootstraptraits.cs | 333 ++++++ - src/QLNet/Termstructures/Yield/DiscountCurve.cs | 215 ++++ - .../Yield/FittedBondDiscountCurve.cs | 455 ++++++++ - .../Termstructures/Yield/Flatforward.cs | 0 - src/QLNet/Termstructures/Yield/ForwardCurve.cs | 216 ++++ - .../Yield/ForwardSpreadedTermStructure.cs | 0 - .../Termstructures/Yield/ForwardStructure.cs | 0 - .../Termstructures/Yield/ImpliedTermStructure.cs | 0 - ...terpolatedPiecewiseZeroSpreadedTermStructure.cs | 134 +++ - .../Yield/NonLinearFittingMethods.cs | 343 ++++++ - .../Termstructures/Yield/OISRateHelper.cs | 0 - .../Termstructures/Yield/PiecewiseYieldCurve.cs | 0 - src/QLNet/Termstructures/Yield/Ratehelpers.cs | 1122 ++++++++++++++++++++ - src/QLNet/Termstructures/Yield/ZeroCurve.cs | 225 ++++ - .../Yield/ZeroSpreadedTermStructure.cs | 0 - .../Termstructures/Yield/Zeroyieldstructure.cs | 0 - src/QLNet/Termstructures/YieldTermStructure.cs | 313 ++++++ - .../Termstructures/interpolatedcurve.cs | 0 - src/{ => QLNet}/Termstructures/localbootstrap.cs | 0 - src/{ => QLNet}/Termstructures/voltermstructure.cs | 0 - src/QLNet/Time/ASX.cs | 245 +++++ - src/QLNet/Time/Calendar.cs | 432 ++++++++ - src/QLNet/Time/Calendars/Israel.cs | 402 +++++++ - src/{ => QLNet}/Time/Calendars/JointCalendar.cs | 0 - src/QLNet/Time/Calendars/Romania.cs | 86 ++ - src/{ => QLNet}/Time/Calendars/TARGET.cs | 0 - src/QLNet/Time/Calendars/Ukraine.cs | 107 ++ - src/{ => QLNet}/Time/Calendars/UnitedKingdom.cs | 0 - src/QLNet/Time/Calendars/UnitedStates.cs | 396 +++++++ - src/{ => QLNet}/Time/Calendars/WeekendsOnly.cs | 0 - src/{ => QLNet}/Time/Calendars/argentina.cs | 0 - src/{ => QLNet}/Time/Calendars/australia.cs | 0 - src/{ => QLNet}/Time/Calendars/bespokecalendar.cs | 0 - src/{ => QLNet}/Time/Calendars/brazil.cs | 0 - src/{ => QLNet}/Time/Calendars/canada.cs | 0 - src/QLNet/Time/Calendars/china.cs | 309 ++++++ - src/{ => QLNet}/Time/Calendars/czechrepublic.cs | 0 - src/{ => QLNet}/Time/Calendars/denmark.cs | 0 - src/{ => QLNet}/Time/Calendars/finland.cs | 0 - src/{ => QLNet}/Time/Calendars/germany.cs | 0 - src/{ => QLNet}/Time/Calendars/hongkong.cs | 0 - src/{ => QLNet}/Time/Calendars/hungary.cs | 0 - src/{ => QLNet}/Time/Calendars/iceland.cs | 0 - src/QLNet/Time/Calendars/india.cs | 338 ++++++ - src/{ => QLNet}/Time/Calendars/indonesia.cs | 0 - src/{ => QLNet}/Time/Calendars/italy.cs | 0 - src/QLNet/Time/Calendars/japan.cs | 159 +++ - src/{ => QLNet}/Time/Calendars/mexico.cs | 0 - src/{ => QLNet}/Time/Calendars/newzealand.cs | 0 - src/{ => QLNet}/Time/Calendars/norway.cs | 0 - src/{ => QLNet}/Time/Calendars/nullcalendar.cs | 0 - src/{ => QLNet}/Time/Calendars/poland.cs | 0 - src/QLNet/Time/Calendars/russia.cs | 219 ++++ - src/{ => QLNet}/Time/Calendars/saudiarabia.cs | 0 - src/{ => QLNet}/Time/Calendars/singapore.cs | 0 - src/{ => QLNet}/Time/Calendars/slovakia.cs | 0 - src/{ => QLNet}/Time/Calendars/southafrica.cs | 0 - src/QLNet/Time/Calendars/southkorea.cs | 262 +++++ - src/{ => QLNet}/Time/Calendars/sweden.cs | 0 - src/{ => QLNet}/Time/Calendars/switzerland.cs | 0 - src/{ => QLNet}/Time/Calendars/taiwan.cs | 0 - src/{ => QLNet}/Time/Calendars/turkey.cs | 0 - src/QLNet/Time/Date.cs | 342 ++++++ - src/QLNet/Time/DayCounter.cs | 77 ++ - src/QLNet/Time/DayCounters/Actual360.cs | 42 + - src/QLNet/Time/DayCounters/Actual365Fixed.cs | 44 + - .../Time/DayCounters/Actual365NoLeap.cs | 0 - src/QLNet/Time/DayCounters/ActualActual.cs | 226 ++++ - src/QLNet/Time/DayCounters/Business252.cs | 39 + - src/{ => QLNet}/Time/DayCounters/OneDayCounter.cs | 0 - .../Time/DayCounters/SimpleDayCounter.cs | 0 - src/{ => QLNet}/Time/DayCounters/Thirty360.cs | 0 - src/QLNet/Time/ECB.cs | 304 ++++++ - src/{ => QLNet}/Time/Imm.cs | 0 - src/QLNet/Time/Period.cs | 359 +++++++ - src/{ => QLNet}/Time/Schedule.cs | 0 - src/QLNet/Types.cs | 265 +++++ - src/QLNet/Utils.cs | 137 +++ - src/{ => QLNet}/discretizedasset.cs | 0 - src/{ => QLNet}/grid.cs | 0 - .../legacy/libormarketmodels/lfmcovarparam.cs | 0 - .../legacy/libormarketmodels/lfmcovarproxy.cs | 0 - .../legacy/libormarketmodels/lfmhullwhiteparam.cs | 0 - .../legacy/libormarketmodels/lfmprocess.cs | 0 - .../legacy/libormarketmodels/lfmswaptionengine.cs | 0 - .../legacy/libormarketmodels/liborforwardmodel.cs | 0 - .../libormarketmodels/lmconstwrappercorrmodel.cs | 0 - .../libormarketmodels/lmconstwrappervolmodel.cs | 0 - src/QLNet/legacy/libormarketmodels/lmcorrmodel.cs | 80 ++ - .../legacy/libormarketmodels/lmexpcorrmodel.cs | 85 ++ - .../libormarketmodels/lmextlinexpvolmodel.cs | 0 - .../legacy/libormarketmodels/lmfixedvolmodel.cs | 95 ++ - .../legacy/libormarketmodels/lmlinexpcorrmodel.cs | 91 ++ - .../legacy/libormarketmodels/lmlinexpvolmodel.cs | 115 ++ - src/QLNet/legacy/libormarketmodels/lmvolmodel.cs | 68 ++ - src/{ => QLNet}/numericalmethod.cs | 0 - src/{ => QLNet}/payoff.cs | 0 - src/{ => QLNet}/processes/BlackScholesProcess.cs | 0 - src/{ => QLNet}/processes/Defaultable.cs | 0 - src/{ => QLNet}/processes/EulerDiscretization.cs | 0 - src/QLNet/processes/ForwardMeasureProcess.cs | 109 ++ - .../processes/GeometricBrownianMotionProcess.cs | 0 - src/QLNet/processes/HestonProcess.cs | 589 ++++++++++ - src/QLNet/processes/HullWhiteProcess.cs | 146 +++ - .../processes/HybridHestonHullWhiteProcess.cs | 224 ++++ - src/QLNet/processes/Ornsteinuhlenbeckprocess.cs | 96 ++ - src/{ => QLNet}/processes/Squarerootprocess.cs | 0 - .../processes/stochasticprocessarray.cs | 0 - src/{ => QLNet}/timegrid.cs | 0 - src/Quotes/DeltaVolQuote.cs | 85 -- - .../Credit/InterpolatedHazardRateCurve.cs | 186 ---- - src/Termstructures/Credit/ProbabilityTraits.cs | 63 -- - src/Termstructures/Curve.cs | 47 - - .../Inflation/CPICapFloorTermPriceSurface.cs | 334 ------ - src/Termstructures/Inflation/InflationHelpers.cs | 251 ----- - src/Termstructures/Inflation/InflationTraits.cs | 229 ---- - .../Inflation/InterpolatedZeroInflationCurve.cs | 169 --- - .../Inflation/PiecewiseYoYInflationCurve.cs | 305 ------ - .../Inflation/PiecewiseZeroInflationCurve.cs | 306 ------ - src/Termstructures/Iterativebootstrap.cs | 278 ----- - src/Termstructures/Volatility/AbcdCalibration.cs | 285 ----- - src/Termstructures/Volatility/AbcdFunction.cs | 153 --- - src/Termstructures/Volatility/AtmSmileSection.cs | 45 - - .../Volatility/CapFloor/CapFloorTermVolCurve.cs | 225 ---- - .../Volatility/CapFloor/CapFloorTermVolSurface.cs | 265 ----- - .../Volatility/InterpolatedSmileSection.cs | 199 ---- - .../Volatility/Optionlet/OptionletStripper.cs | 165 --- - .../Volatility/Optionlet/OptionletStripper1.cs | 225 ---- - .../Volatility/Optionlet/OptionletStripper2.cs | 185 ---- - .../Optionlet/SpreadedOptionletVolatility.cs | 67 -- - .../Optionlet/StrippedOptionletAdapter.cs | 95 -- - .../Volatility/Optionlet/StrippedOptionletBase.cs | 40 - - src/Termstructures/Volatility/Sabr.cs | 78 -- - src/Termstructures/Volatility/SmileSection.cs | 227 ---- - .../Volatility/SpreadedSmileSection.cs | 54 - - .../Volatility/equityfx/ImpliedVolTermStructure.cs | 68 -- - .../swaption/SpreadedSwaptionVolatility.cs | 75 -- - .../Volatility/swaption/SwaptionVolCube1.cs | 957 ----------------- - .../Volatility/swaption/SwaptionVolCube2.cs | 113 -- - .../Volatility/swaption/SwaptionVolatilityCube.cs | 212 ---- - .../swaption/SwaptionVolatilityStructure.cs | 297 ------ - .../Volatility/swaption/swaptionvoldiscrete.cs | 239 ----- - .../Volatility/swaption/swaptionvolmatrix.cs | 253 ----- - src/Termstructures/Yield/Bondhelpers.cs | 149 --- - src/Termstructures/Yield/Bootstraptraits.cs | 333 ------ - src/Termstructures/Yield/DiscountCurve.cs | 215 ---- - .../Yield/FittedBondDiscountCurve.cs | 455 -------- - src/Termstructures/Yield/ForwardCurve.cs | 216 ---- - ...terpolatedPiecewiseZeroSpreadedTermStructure.cs | 134 --- - .../Yield/NonLinearFittingMethods.cs | 343 ------ - src/Termstructures/Yield/Ratehelpers.cs | 1122 -------------------- - src/Termstructures/Yield/ZeroCurve.cs | 225 ---- - src/Termstructures/YieldTermStructure.cs | 313 ------ - src/Time/ASX.cs | 245 ----- - src/Time/Calendar.cs | 432 -------- - src/Time/Calendars/Israel.cs | 402 ------- - src/Time/Calendars/Romania.cs | 86 -- - src/Time/Calendars/Ukraine.cs | 107 -- - src/Time/Calendars/UnitedStates.cs | 396 ------- - src/Time/Calendars/china.cs | 309 ------ - src/Time/Calendars/india.cs | 338 ------ - src/Time/Calendars/japan.cs | 159 --- - src/Time/Calendars/russia.cs | 219 ---- - src/Time/Calendars/southkorea.cs | 262 ----- - src/Time/Date.cs | 342 ------ - src/Time/DayCounter.cs | 77 -- - src/Time/DayCounters/Actual360.cs | 42 - - src/Time/DayCounters/Actual365Fixed.cs | 44 - - src/Time/DayCounters/ActualActual.cs | 226 ---- - src/Time/DayCounters/Business252.cs | 39 - - src/Time/ECB.cs | 304 ------ - src/Time/Period.cs | 359 ------- - src/Types.cs | 265 ----- - src/Utils.cs | 137 --- - src/legacy/libormarketmodels/lmcorrmodel.cs | 80 -- - src/legacy/libormarketmodels/lmexpcorrmodel.cs | 85 -- - src/legacy/libormarketmodels/lmfixedvolmodel.cs | 95 -- - src/legacy/libormarketmodels/lmlinexpcorrmodel.cs | 91 -- - src/legacy/libormarketmodels/lmlinexpvolmodel.cs | 115 -- - src/legacy/libormarketmodels/lmvolmodel.cs | 68 -- - src/processes/ForwardMeasureProcess.cs | 109 -- - src/processes/HestonProcess.cs | 589 ---------- - src/processes/HullWhiteProcess.cs | 146 --- - src/processes/HybridHestonHullWhiteProcess.cs | 224 ---- - src/processes/Ornsteinuhlenbeckprocess.cs | 96 -- - 893 files changed, 55274 insertions(+), 55274 deletions(-) - -commit d7d90bd552446164c280090a3d42778d4a8983ae +Date: Wed Oct 18 17:22:50 2017 +0200 + + Added LastPeriodDayCounter to FixedRateCoupon + + src/QLNet/Cashflows/FixedRateCoupon.cs | 28 ++++++++++++++++++++-------- + 1 file changed, 20 insertions(+), 8 deletions(-) + +commit be3a170839ff5d98b5bbaf2a214305949ac1be73 Author: Andrea Maggiulli -Date: Tue, 28 Mar 2017 17:29:54 +0200 - - Changed directory names - - {QLNet => src}/.editorconfig | 0 - {QLNet => src}/Cashflow.cs | 0 - {QLNet => src}/Cashflows/CPICoupon.cs | 0 - {QLNet => src}/Cashflows/CPICouponPricer.cs | 0 - 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{Test => tests}/T_PathGenerator.cs | 0 - {Test => tests}/T_PiecewiseZeroSpreadedTermStructure.cs | 0 - {Test => tests}/T_Piecewiseyieldcurve.cs | 0 - {Test => tests}/T_Quotes.cs | 0 - {Test => tests}/T_RNGTraits.cs | 0 - {Test => tests}/T_RiskStats.cs | 0 - {Test => tests}/T_Rounding.cs | 0 - {Test => tests}/T_SampledCurve.cs | 0 - {Test => tests}/T_Schedule.cs | 0 - {Test => tests}/T_ShortRateModels.cs | 0 - {Test => tests}/T_Solvers.cs | 0 - {Test => tests}/T_Stats.cs | 0 - {Test => tests}/T_Swaps.cs | 0 - {Test => tests}/T_Swaption.cs | 0 - {Test => tests}/T_SwaptionVolatilityCube.cs | 0 - {Test => tests}/T_SwaptionVolatilitymatrix.cs | 0 - {Test => tests}/T_TermStructures.cs | 0 - {Test => tests}/Test.csproj | 0 - {Test => tests}/Utilities.cs | 0 - {Test => tests}/default.testsettings | 0 - 673 files changed, 0 insertions(+), 0 deletions(-) - -commit 998210a3e5d88f7743cda03242b4ea12d511cce5 +Date: Wed Oct 18 17:21:53 2017 +0200 + + Updated CreditDefaultSwap + helper + + src/QLNet/Instruments/CreditDefaultSwap.cs | 523 ++++++++++++++++++----------- + src/QLNet/Instruments/MakeCDS.cs | 122 +++++++ + src/QLNet/Types.cs | 5 +- + 3 files changed, 452 insertions(+), 198 deletions(-) + +commit bb61b6794e3c01a9ed580715ba38afc70de0cd27 Author: Andrea Maggiulli -Date: Tue, 28 Mar 2017 17:28:21 +0200 - - Removed vs 2015 files . - - QLNet/QLNet.xproj | 19 - - QLNet/project.json | 14 - - QLNet/project.lock.json | 2588 ---------------- - QLNet/qlnet.project.json | 6 - - QLNet_Core.sln | 39 - - Test/Test.xproj | 22 - - Test/project.json | 20 - - Test/project.lock.json | 7497 ---------------------------------------------- - Test/test.project.json | 7 - - global.json | 6 - - 10 files changed, 10218 deletions(-) - -commit 4c4e7b90ca0c69ab6ee689a2bf05d09091561b39 -Merge: 249f8ec 50e32d2 -Author: Andrea Maggiulli -Date: Tue, 28 Mar 2017 11:14:31 +0200 - - Merge pull request #141 from igitur/HestonBlackVolSurface +Date: Wed Oct 18 14:05:35 2017 +0200 + + Fixed floating comparison + + tests/QLNet.Tests/Utilities.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit a26aeddb912b4738b1e28c26a1c97edbdd181b35 +Author: Andrea Maggiulli +Date: Wed Oct 18 14:03:34 2017 +0200 + + Refactored CallableBonds example + + src/CallableBonds/CallableBonds.cs | 99 ++++++++++++++++++-------------------- + 1 file changed, 47 insertions(+), 52 deletions(-) + +commit b9c4eba498e908395203f989df223d59b11fbad4 +Author: Andrea Maggiulli +Date: Mon Oct 2 14:28:52 2017 +0200 + + Fixed Bugs issues , code refactoring & cleanup. + + .../Meshers/Concentrating1dMesher.cs | 445 +++++++++++---------- + .../Operators/FdmLinearOpIterator.cs | 171 ++++---- + 2 files changed, 319 insertions(+), 297 deletions(-) + +commit ee3f19954cdb6c8b8f07606a939b1bfdfb11b57a +Author: Andrea Maggiulli +Date: Mon Oct 2 14:02:46 2017 +0200 + + Fixed Vulnerability issues , code refactoring & cleanup. + + src/QLNet/Instruments/Makeswaption.cs | 9 +- + .../Math/Distributions/chisquaredistribution.cs | 242 +++++------ + src/QLNet/Math/NumericalDifferentiation.cs | 29 +- + src/QLNet/Math/ODE/AdaptiveRungeKutta.cs | 443 ++++++++++++--------- + src/QLNet/Math/integrals/DiscreteIntegrals.cs | 1 - + src/QLNet/Math/matrixutilities/BiCGStab.cs | 195 +++++---- + src/QLNet/Math/matrixutilities/GMRES.cs | 252 ++++++------ + .../Meshers/Concentrating1dMesher.cs | 3 - + .../Finitedifferences/Meshers/Fdm1dMesher.cs | 68 ++-- + .../Meshers/FdmBlackScholesMesher.cs | 1 - + .../Methods/Finitedifferences/Meshers/FdmMesher.cs | 3 - + .../Meshers/FdmMesherComposite.cs | 3 - + .../Finitedifferences/Meshers/Uniform1dMesher.cs | 47 +-- + .../Finitedifferences/Meshers/UniformGridMesher.cs | 101 ++--- + .../Operators/FdmBlackScholesOp.cs | 3 - + .../Finitedifferences/Operators/FdmLinearOp.cs | 3 - + .../Operators/FdmLinearOpComposite.cs | 3 - + .../Operators/FdmLinearOpIterator.cs | 3 - + .../Operators/FdmLinearOpLayout.cs | 3 - + .../Operators/FirstDerivativeOp.cs | 3 - + .../Operators/NinePointLinearOp.cs | 3 - + .../Operators/SecondDerivativeOp.cs | 3 - + .../Operators/SecondOrderMixedDerivativeOp.cs | 3 - + .../Operators/TripleBandLinearOp.cs | 3 - + .../Schemes/BoundaryConditionSchemeHelper.cs | 1 - + .../Finitedifferences/Schemes/CraigSneydScheme.cs | 153 +++---- + .../Finitedifferences/Schemes/DouglasScheme.cs | 134 ++++--- + .../Schemes/ExplicitEulerScheme.cs | 3 - + .../Finitedifferences/Schemes/HundsdorferScheme.cs | 154 +++---- + .../Schemes/ImplicitEulerScheme.cs | 11 +- + .../Schemes/ModifiedCraigSneydScheme.cs | 1 - + .../Finitedifferences/Solvers/Fdm1DimSolver.cs | 1 - + .../Finitedifferences/Solvers/FdmBackwardSolver.cs | 7 +- + .../Solvers/FdmBlackScholesSolver.cs | 5 - + .../Finitedifferences/Solvers/FdmSolverDesc.cs | 67 +++- + .../StepConditions/FdmAmericanStepCondition.cs | 3 - + .../StepConditions/FdmBermudanStepCondition.cs | 97 ++--- + .../StepConditions/FdmSnapshotCondition.cs | 3 - + .../StepConditions/FdmStepConditionComposite.cs | 3 - + .../Utilities/FdmBoundaryConditionSet.cs | 1 - + .../Utilities/FdmDirichletBoundary.cs | 115 +++--- + .../Utilities/FdmDividendHandler.cs | 195 ++++----- + .../Utilities/FdmIndicesOnBoundary.cs | 75 ++-- + .../Utilities/FdmInnerValueCalculator.cs | 3 - + .../Utilities/FdmMesherIntegral.cs | 1 - + src/QLNet/Methods/montecarlo/montecarlomodel.cs | 2 +- + .../Shortrate/Onefactormodels/coxingersollross.cs | 334 +++++++++------- + .../Models/Shortrate/Onefactormodels/hullwhite.cs | 422 ++++++++++---------- + .../Models/Shortrate/Onefactormodels/vasicek.cs | 94 +++-- + src/QLNet/Pricingengines/Swap/treeswapengine.cs | 129 +++--- + .../asian/mc_discr_arith_av_strike.cs | 339 ++++++++-------- + .../Pricingengines/asian/mc_discr_geom_av_price.cs | 429 ++++++++++---------- + .../barrier/FdBlackScholesBarrierEngine.cs | 355 ++++++++--------- + .../barrier/FdBlackScholesRebateEngine.cs | 5 +- + .../vanilla/FdBlackScholesVanillaEngine.cs | 3 - + .../Volatility/equityfx/FixedLocalVolSurface.cs | 2 - + .../Volatility/equityfx/NoExceptLocalVolSurface.cs | 81 ++-- + 57 files changed, 2393 insertions(+), 2262 deletions(-) + +commit 000c4a45591b42a671230f59af56abbc8fcfdadb +Merge: 44e7459 7c1a140 +Author: Andrea Maggiulli +Date: Mon Oct 2 11:19:57 2017 +0200 + + Merge pull request #173 from tournierjc/LocalVolPort - Implement HestonBlackVolSurface + Fixed Local Vol and No Except Local Vol -commit 50e32d2b18b4562212a84f6a698b2b248dda7b59 -Author: Francois Botha -Date: Tue, 28 Mar 2017 10:28:44 +0200 +commit 44e7459203ba148c6099d416be83e5ca97e45c80 +Author: Andrea Maggiulli +Date: Mon Oct 2 11:06:27 2017 +0200 - Implement HestonBlackVolSurface + Fix pull request #172 - QLNet/QLNet.csproj | 1 + - .../Volatility/equityfx/HestonBlackVolSurface.cs | 143 +++++++++++++++++++++ - 2 files changed, 144 insertions(+) + src/QLNet/Methods/Finitedifferences/Operators/NinePointLinearOp.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit 249f8ec851c3de41020aca10270791a1073bae06 -Merge: a0c57cb 06b33be -Author: Andrea Maggiulli -Date: Mon, 27 Mar 2017 15:54:50 +0200 +commit f072de7672eeb9b44816141269e08a86700a3fad +Merge: 1a0822c 0571bf8 +Author: Andrea Maggiulli +Date: Mon Oct 2 10:58:25 2017 +0200 - Merge pull request #140 from igitur/fix-inflation-reference-period + Merge pull request #172 from tournierjc/FiniteDifferencesMethod_Port - Fix inflation reference period interpolation + Finite differences method port -commit 06b33be82707ffa615ee3f801fe937c2dc98527e -Author: Francois Botha -Date: Mon, 27 Mar 2017 14:45:13 +0200 +commit 7c1a140ac06d727f75d6da39aa4517a8192a78f3 +Author: tournierjc +Date: Fri Sep 29 00:32:37 2017 +0200 - Port of https://github.com/lballabio/QuantLib/pull/224/commits/37a3f312d454ba0baa67f3f1a753606beb4450fd + SonarQube fix - QLNet/Indexes/InflationIndex.cs | 9 +++++++-- - 1 file changed, 7 insertions(+), 2 deletions(-) + .../Volatility/equityfx/FixedLocalVolSurface.cs | 32 ++++++++++------------ + 1 file changed, 15 insertions(+), 17 deletions(-) -commit a0c57cb4190fd5ed7868d3a3ae7946943c8f43a3 -Author: Andrea Maggiulli -Date: Fri, 17 Mar 2017 14:03:04 +0100 +commit 0571bf85a164f1d73592b0961e78c46f84db6fae +Author: tournierjc +Date: Fri Sep 29 00:25:14 2017 +0200 - Code refactoring [skip ci] + SonarQube fixes 3 - QLNet/Types.cs | 264 ++++++++++++++++++++++++++++++--------------------------- - 1 file changed, 139 insertions(+), 125 deletions(-) + src/QLNet/Math/NumericalDifferentiation.cs | 1 - + src/QLNet/Methods/Finitedifferences/TRBDF2.cs | 31 +++++++++++---------------- + 2 files changed, 13 insertions(+), 19 deletions(-) -commit dd5730a19454857499590ab4604bdfc2a86ae8e3 -Author: Andrea Maggiulli -Date: Wed, 15 Mar 2017 18:01:36 +0100 +commit fcc1e90f9f829991b84bd2b8ff77c390246b27f1 +Author: tournierjc +Date: Fri Sep 29 00:07:40 2017 +0200 - Close #133. Indexes values are now double? - TimeSeries now implements IDictionary<,> and HAS a Dictionary<,> instead of BEING a Dictionary<,>. + SonarQube fixes 2 - QLNet/Cashflows/DigitalCoupon.cs | 4 +- - QLNet/Cashflows/OvernightIndexedCoupon.cs | 15 ++--- - QLNet/Index.cs | 12 ++-- - QLNet/Indexes/Indexmanager.cs | 12 ++-- - QLNet/Indexes/InflationIndex.cs | 8 +-- - QLNet/Types.cs | 105 +++++++++++++++++++++++++++--- - Test/T_ShortRateModels.cs | 2 +- - 7 files changed, 121 insertions(+), 37 deletions(-) + .../Finitedifferences/Utilities/FdmDirichletBoundary.cs | 12 +++--------- + 1 file changed, 3 insertions(+), 9 deletions(-) -commit ef14ee30f0a879c7793bba0ce098ac343ce5e731 -Author: Andrea Maggiulli -Date: Tue, 7 Mar 2017 17:37:20 +0100 +commit 4cbf6172fce0eeaa6fa00508d168be5ac8eafe08 +Author: tournierjc +Date: Fri Sep 29 00:04:19 2017 +0200 - Fix .NET Core compilation + SonarQube fixes - QLNet/qlnet.project.json | 6 ++++++ - 1 file changed, 6 insertions(+) + .../Volatility/equityfx/FixedLocalVolSurface.cs | 14 +++++++------- + .../Volatility/equityfx/NoExceptLocalVolSurface.cs | 4 ++-- + src/QLNet/processes/BlackScholesProcess.cs | 2 +- + 3 files changed, 10 insertions(+), 10 deletions(-) -commit 9c0a4db000131221f326e27df2c82c909bdc59a3 -Author: Andrea Maggiulli -Date: Tue, 7 Mar 2017 16:55:12 +0100 +commit 06e40f4056750962bc9d9dcf1100cb541015b109 +Author: tournierjc +Date: Thu Sep 28 23:59:20 2017 +0200 - Fix .NET Core compilation + SonarQube fixes - QLNet/qlnet.project.json | 7 ------- - 1 file changed, 7 deletions(-) + .../Methods/Finitedifferences/ExplicitEuler.cs | 3 -- + .../Methods/Finitedifferences/ImplicitEuler.cs | 3 -- + .../Operators/NinePointLinearOp.cs | 35 +++++++-------- + .../Operators/SecondOrderMixedDerivativeOp.cs | 52 +++++++++++++--------- + .../Finitedifferences/Schemes/CraigSneydScheme.cs | 13 +++--- + .../Finitedifferences/Schemes/DouglasScheme.cs | 8 ++-- + .../Schemes/ExplicitEulerScheme.cs | 8 ++-- + .../Finitedifferences/Schemes/HundsdorferScheme.cs | 11 +++-- + .../Schemes/ImplicitEulerScheme.cs | 12 +++-- + .../Schemes/ModifiedCraigSneydScheme.cs | 15 +++---- + src/QLNet/Methods/Finitedifferences/TRBDF2.cs | 6 +-- + .../Finitedifferences/Utilities/ListUtils.cs | 10 ++--- + 12 files changed, 87 insertions(+), 89 deletions(-) -commit c92e1b9f7c81a78795d2fcb0ba5cd2fb8190caa9 -Author: Andrea Maggiulli -Date: Tue, 7 Mar 2017 16:15:13 +0100 +commit fe07c481179730ca23946caa6403556f3bd4b741 +Author: jiskin +Date: Thu Sep 28 21:33:51 2017 +0200 - Fixed FastActivator for .NET Core + Port Fixed Local Vol and No Except Local Vol - QLNet/Patterns/FastActivator.cs | 10 +++++ - QLNet/project.json | 5 ++- - QLNet/project.lock.json | 84 ++++++++++++++++++++++++++++++++++++++++- - Test/project.json | 2 +- - Test/project.lock.json | 13 ++++--- - 5 files changed, 104 insertions(+), 10 deletions(-) + .../Volatility/equityfx/FixedLocalVolSurface.cs | 233 +++++++++++++++++++++ + .../Volatility/equityfx/NoExceptLocalVolSurface.cs | 68 ++++++ + src/QLNet/processes/BlackScholesProcess.cs | 29 +++ + 3 files changed, 330 insertions(+) -commit 140cdb0788da4085ad26dc6ab37921f66513138c +commit 0cb99dcc6e7df1b5a152a34431ca875816d12495 +Author: jiskin +Date: Tue Sep 26 20:10:15 2017 +0200 + + First port of Finite differences method from Quantlit + + src/QLNet/Cashflows/Dividend.cs | 4 +- + src/QLNet/Instruments/DividendBarrierOption.cs | 6 +- + src/QLNet/Instruments/DividendSchedule.cs | 1 + + src/QLNet/Instruments/DividendVanillaOption.cs | 5 +- + src/QLNet/Instruments/payoffs.cs | 6 + + .../Math/Interpolations/CubicInterpolation.cs | 245 +++++- + src/QLNet/Math/Matrix.cs | 5 +- + src/QLNet/Math/NumericalDifferentiation.cs | 150 ++++ + src/QLNet/Math/ODE/AdaptiveRungeKutta.cs | 229 ++++++ + src/QLNet/Math/Vector.cs | 22 + + src/QLNet/Math/integrals/DiscreteIntegrals.cs | 109 +++ + src/QLNet/Math/integrals/Integral.cs | 8 +- + src/QLNet/Math/matrixutilities/BiCGStab.cs | 128 ++++ + src/QLNet/Math/matrixutilities/GMRES.cs | 188 +++++ + src/QLNet/Math/matrixutilities/SparseMatrix.cs | 292 ++++++++ + src/QLNet/Methods/Finitedifferences/DMinus.cs | 42 ++ + src/QLNet/Methods/Finitedifferences/DPlus.cs | 42 ++ + .../Methods/Finitedifferences/ExplicitEuler.cs | 66 ++ + .../Methods/Finitedifferences/ImplicitEuler.cs | 62 ++ + .../Meshers/Concentrating1dMesher.cs | 257 +++++++ + .../Finitedifferences/Meshers/Fdm1dMesher.cs | 50 ++ + .../Meshers/FdmBlackScholesMesher.cs | 143 ++++ + .../Methods/Finitedifferences/Meshers/FdmMesher.cs | 46 ++ + .../Meshers/FdmMesherComposite.cs | 120 +++ + .../Finitedifferences/Meshers/Uniform1dMesher.cs | 52 ++ + .../Finitedifferences/Meshers/UniformGridMesher.cs | 84 +++ + .../Operators/FdmBlackScholesOp.cs | 155 ++++ + .../Finitedifferences/Operators/FdmLinearOp.cs | 46 ++ + .../Operators/FdmLinearOpComposite.cs | 50 ++ + .../Operators/FdmLinearOpIterator.cs | 108 +++ + .../Operators/FdmLinearOpLayout.cs | 134 ++++ + .../Operators/FirstDerivativeOp.cs | 75 ++ + .../Operators/NinePointLinearOp.cs | 218 ++++++ + .../Operators/SecondDerivativeOp.cs | 67 ++ + .../Operators/SecondOrderMixedDerivativeOp.cs | 126 ++++ + .../Operators/TripleBandLinearOp.cs | 312 ++++++++ + .../Methods/Finitedifferences/ParallelEvolver.cs | 2 +- + .../Schemes/BoundaryConditionSchemeHelper.cs | 58 ++ + .../Finitedifferences/Schemes/CraigSneydScheme.cs | 101 +++ + .../Finitedifferences/Schemes/DouglasScheme.cs | 91 +++ + .../Schemes/ExplicitEulerScheme.cs | 72 ++ + .../Finitedifferences/Schemes/HundsdorferScheme.cs | 102 +++ + .../Schemes/ImplicitEulerScheme.cs | 108 +++ + .../Schemes/ModifiedCraigSneydScheme.cs | 103 +++ + .../Finitedifferences/Solvers/Fdm1DimSolver.cs | 115 +++ + .../Finitedifferences/Solvers/FdmBackwardSolver.cs | 178 +++++ + .../Solvers/FdmBlackScholesSolver.cs | 83 +++ + .../Finitedifferences/Solvers/FdmSolverDesc.cs | 37 + + .../StepConditions/FdmAmericanStepCondition.cs | 57 ++ + .../StepConditions/FdmBermudanStepCondition.cs | 79 ++ + .../StepConditions/FdmSnapshotCondition.cs | 48 ++ + .../StepConditions/FdmStepConditionComposite.cs | 111 +++ + src/QLNet/Methods/Finitedifferences/TRBDF2.cs | 155 ++++ + .../Utilities/FdmBoundaryConditionSet.cs | 30 + + .../Utilities/FdmDirichletBoundary.cs | 83 +++ + .../Utilities/FdmDividendHandler.cs | 116 +++ + .../Utilities/FdmIndicesOnBoundary.cs | 66 ++ + .../Utilities/FdmInnerValueCalculator.cs | 148 ++++ + .../Utilities/FdmMesherIntegral.cs | 67 ++ + .../Finitedifferences/Utilities/ListUtils.cs | 79 ++ + .../Methods/Finitedifferences/ZeroCondition.cs | 37 + + .../Methods/Finitedifferences/cranknicolson.cs | 3 +- + .../Finitedifferences/finitedifferencemodel.cs | 5 + + src/QLNet/Methods/Finitedifferences/mixedscheme.cs | 2 +- + .../barrier/FdBlackScholesBarrierEngine.cs | 210 ++++++ + .../barrier/FdBlackScholesRebateEngine.cs | 139 ++++ + .../vanilla/FdBlackScholesVanillaEngine.cs | 105 +++ + .../Volatility/equityfx/LocalVolSurface.cs | 26 +- + .../Volatility/swaption/swaptionvolmatrix.cs | 421 ++++++----- + tests/QLNet.Tests/T_BarrierOption.cs | 48 +- + tests/QLNet.Tests/T_FdmLinearOp.cs | 827 +++++++++++++++++++++ + tests/QLNet.Tests/T_Interpolations.cs | 2 +- + 72 files changed, 7314 insertions(+), 253 deletions(-) + +commit 5ae4482e80ff32d407311840a7949692a130cdfb +Merge: 3299974 1a0822c +Author: jiskin +Date: Tue Sep 26 19:48:08 2017 +0200 + + Merge pull request #2 from amaggiulli/develop + + merge + +commit 1a0822c1de59823b45ddee5d5bfec85c7e185ba5 +Merge: 6d5c724 362a815 Author: Andrea Maggiulli -Date: Tue, 7 Mar 2017 14:11:31 +0100 +Date: Mon Sep 25 18:23:19 2017 +0200 - Added FastActivator missing file + Merge pull request #171 from jiskin/UpdateSwaptionTestCase + + Update swaption test case - QLNet/Patterns/FastActivator.cs | 68 +++++++++++++++++++++++++++++++++++++++++ - 1 file changed, 68 insertions(+) +commit 362a8158347b0351c1df7ebb5b0a7ddf362bed0c +Author: jiskin +Date: Mon Sep 25 18:07:57 2017 +0200 + + Add Cash Settled Swaption test + + tests/QLNet.Tests/T_Swaption.cs | 372 +++++++++++++++++++++++++++++++++++++--- + 1 file changed, 352 insertions(+), 20 deletions(-) -commit 677e9eb94a3e1327ffef4125a34c162f2ba0b3f5 +commit 6d5c7241296ecac5624d3996c816dc983867ac3c +Merge: 6b15b1b 30f4e5d Author: Andrea Maggiulli -Date: Tue, 7 Mar 2017 14:06:58 +0100 - - Added FastActivator to avoid new() on generic classes that is slow because use reflection. - Thx @igitur to spotting it and @Daniel-Svensson for hints. Close #88 - - QLNet/Cashflows/Cashflowvectors.cs | 637 +++++++++++---------- - QLNet/Math/Interpolations/Loginterpolation.cs | 2 +- - QLNet/Math/Interpolations/XABRInterpolation.cs | 22 +- - QLNet/Math/ModifiedBessel.cs | 16 +- - QLNet/Math/integrals/trapezoidintegral.cs | 2 +- - QLNet/Math/randomnumbers/inversecumulativerng.cs | 2 +- - .../Math/randomnumbers/randomsequencegenerator.cs | 2 +- - QLNet/Math/randomnumbers/rngtraits.cs | 6 +- - QLNet/Math/statistics/convergencestatistics.cs | 4 +- - QLNet/Math/statistics/gaussianstatistics.cs | 2 +- - QLNet/Math/statistics/riskstatistics.cs | 2 +- - QLNet/Methods/Finitedifferences/ParallelEvolver.cs | 2 +- - .../Finitedifferences/finitedifferencemodel.cs | 2 +- - QLNet/Methods/Finitedifferences/pde.cs | 4 +- - QLNet/Patterns/observablevalue.cs | 2 +- - QLNet/PricingEngine.cs | 4 +- - .../asian/mc_discr_arith_av_price.cs | 3 +- - .../asian/mc_discr_arith_av_strike.cs | 2 +- - .../Pricingengines/asian/mc_discr_geom_av_price.cs | 2 +- - .../Pricingengines/asian/mcdiscreteasianengine.cs | 2 +- - QLNet/Pricingengines/mclongstaffschwartzengine.cs | 6 +- - QLNet/Pricingengines/mcsimulation.cs | 4 +- - QLNet/Pricingengines/vanilla/FDConditions.cs | 2 +- - QLNet/Pricingengines/vanilla/FDVanillaEngine.cs | 4 +- - .../vanilla/MCEuropeanHestonEngine.cs | 2 +- - .../vanilla/MCHestonHullWhiteEngine.cs | 2 +- - QLNet/Pricingengines/vanilla/binomialengine.cs | 2 +- - QLNet/Pricingengines/vanilla/mcamericanengine.cs | 2 +- - QLNet/Pricingengines/vanilla/mceuropeanengine.cs | 2 +- - QLNet/Pricingengines/vanilla/mcvanillaengine.cs | 7 +- - QLNet/QLNet.csproj | 1 + - .../Credit/InterpolatedHazardRateCurve.cs | 6 +- - .../Inflation/CPICapFloorTermPriceSurface.cs | 2 +- - .../Inflation/InterpolatedZeroInflationCurve.cs | 4 +- - .../Inflation/PiecewiseYoYInflationCurve.cs | 6 +- - .../Inflation/PiecewiseZeroInflationCurve.cs | 6 +- - QLNet/Termstructures/Iterativebootstrap.cs | 2 +- - .../Volatility/equityfx/BlackVarianceCurve.cs | 2 +- - .../Volatility/equityfx/BlackVarianceSurface.cs | 2 +- - QLNet/Termstructures/Yield/DiscountCurve.cs | 10 +- - QLNet/Termstructures/Yield/ForwardCurve.cs | 10 +- - ...terpolatedPiecewiseZeroSpreadedTermStructure.cs | 2 +- - QLNet/Termstructures/Yield/PiecewiseYieldCurve.cs | 16 +- - QLNet/Termstructures/Yield/ZeroCurve.cs | 8 +- - QLNet/Utils.cs | 2 +- - Test/T_AmericanOption.cs | 2 +- - Test/T_DividendOption.cs | 4 +- - Test/T_Piecewiseyieldcurve.cs | 8 +- - Test/T_Stats.cs | 2 +- - 49 files changed, 430 insertions(+), 418 deletions(-) - -commit 57bd44b74e1acf9520afeb0d199f959ccfc8d520 +Date: Wed Sep 13 14:39:43 2017 +0200 + + Merge branch 'develop' of https://github.com/amaggiulli/qlnet into develop + +commit 6b15b1be205012b477cb6988db54fa47871dfd72 Author: Andrea Maggiulli -Date: Mon, 6 Mar 2017 17:42:15 +0100 - - Removed throw for QL_REQUIRE , general cleanup and formatting. - - QLNet/Cashflows/CPICoupon.cs | 6 +- - QLNet/Math/Interpolations/Loginterpolation.cs | 241 ++++++++------ - QLNet/Math/Solver1d.cs | 353 +++++++++++---------- - QLNet/Math/integrals/Kronrodintegral.cs | 15 +- - QLNet/Math/randomnumbers/Haltonrsg.cs | 139 ++++---- - QLNet/Math/randomnumbers/sobolrsg.cs | 2 +- - .../Pricingengines/latticeshortratemodelengine.cs | 6 +- - .../swaption/jamshidianswaptionengine.cs | 19 +- - .../Pricingengines/swaption/treeswaptionengine.cs | 13 +- - QLNet/Termstructures/Iterativebootstrap.cs | 5 +- - .../Volatility/swaption/swaptionvoldiscrete.cs | 36 +-- - .../Volatility/swaption/swaptionvolmatrix.cs | 18 +- - QLNet/Time/DayCounters/ActualActual.cs | 12 +- - QLNet/legacy/libormarketmodels/lfmcovarproxy.cs | 6 +- - QLNet/legacy/libormarketmodels/lfmprocess.cs | 6 +- - 15 files changed, 462 insertions(+), 415 deletions(-) - -commit df0498c54037f9e3add2fe764b4e9725cb24d2a3 +Date: Wed Sep 13 14:39:19 2017 +0200 + + Fixed a bug in DiscretizedCallableFixedRateBond. + + src/QLNet/Instruments/Bonds/DiscretizedCallableFixedRateBond.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 32999749387a283d0efb691e75c7a7a89883b629 +Merge: 4f1ddba 30f4e5d +Author: jiskin +Date: Thu Sep 7 20:31:23 2017 +0200 + + Merge pull request #1 from amaggiulli/develop + + Merge all PR + +commit 30f4e5d33e75bea8f9a8c07b520652a36befd63f +Merge: 575c5b7 fa74976 Author: Andrea Maggiulli -Date: Mon, 6 Mar 2017 16:13:55 +0100 - - Changed the visibility of abstract classes constructors to protected. - - QLNet/Cashflows/Coupon.cs | 16 +- - QLNet/Cashflows/CouponPricer.cs | 8 +- - QLNet/Cashflows/Dividend.cs | 3 +- - QLNet/Indexes/InterestRateIndex.cs | 4 +- - QLNet/Instruments/BasketOption.cs | 2 +- - QLNet/Math/Interpolation.cs | 2 +- - QLNet/Math/Interpolations/interpolation2d.cs | 6 +- - QLNet/Math/Optimization/LineSearch.cs | 130 ++-- - QLNet/Math/integrals/Integral.cs | 152 +++-- - QLNet/Methods/lattices/binominaltree.cs | 623 ++++++++++-------- - QLNet/Models/CalibrationHelper.cs | 2 +- - QLNet/Models/Shortrate/OneFactorModel.cs | 343 +++++----- - QLNet/Models/Shortrate/twofactormodel.cs | 4 +- - QLNet/Models/model.cs | 2 +- - QLNet/Pricingengines/vanilla/FDDividendEngine.cs | 4 +- - QLNet/Termstructures/Credit/HazardRateStructure.cs | 10 +- - .../DefaultProbabilityTermStructure.cs | 10 +- - .../Inflation/CPICapFloorTermPriceSurface.cs | 26 +- - QLNet/Termstructures/InflationTermStructure.cs | 712 +++++++++++---------- - QLNet/Termstructures/TermStructure.cs | 8 +- - .../Bond/CallableBondVolatilityStructure.cs | 8 +- - .../CapFloor/CapFloorTermVolatilityStructure.cs | 9 +- - .../Volatility/Inflation/CPIVolatilitySurface.cs | 16 +- - .../yoyinflationoptionletvolatilitystructure.cs | 3 +- - .../Optionlet/OptionletVolatilityStructure.cs | 7 +- - QLNet/Termstructures/Volatility/SmileSection.cs | 8 +- - .../Volatility/equityfx/BlackVolTermStructure.cs | 22 +- - .../Volatility/equityfx/LocalVolTermStructure.cs | 6 +- - .../Volatility/swaption/SwaptionVolatilityCube.cs | 16 +- - .../swaption/SwaptionVolatilityStructure.cs | 7 +- - .../Volatility/swaption/swaptionvoldiscrete.cs | 426 ++++++------ - QLNet/Termstructures/Yield/ForwardStructure.cs | 8 +- - QLNet/Termstructures/Yield/Ratehelpers.cs | 4 +- - QLNet/Termstructures/Yield/Zeroyieldstructure.cs | 6 +- - QLNet/Termstructures/YieldTermStructure.cs | 8 +- - QLNet/Termstructures/voltermstructure.cs | 7 +- - QLNet/discretizedasset.cs | 448 +++++++------ - QLNet/legacy/libormarketmodels/lfmcovarparam.cs | 154 +++-- - QLNet/legacy/libormarketmodels/lmcorrmodel.cs | 3 +- - QLNet/legacy/libormarketmodels/lmvolmodel.cs | 2 +- - QLNet/numericalmethod.cs | 65 +- - 41 files changed, 1793 insertions(+), 1507 deletions(-) - -commit b11cecca28b688a914fc13255031c6aa9c0fda1c -Merge: 0bdd2d1 ecf89d3 -Author: Andrea Maggiulli -Date: Mon, 6 Mar 2017 15:13:27 +0100 - - Merge pull request #130 from jiskin/Adding_Normal_ImpliedVol_CapFloor +Date: Fri Sep 1 10:33:34 2017 +0200 + + Merge pull request #170 from jiskin/Allow_ZeroCurve_initialize_children - Adding normal implied vol cap floor + change private to protected for initialize method -commit ecf89d311b924ef76b2fff79e6396919d3e9f164 +commit fa74976741167f4be258fa87817328c11d252edf Author: jiskin -Date: Mon, 6 Mar 2017 13:23:36 +0100 +Date: Thu Aug 31 12:37:55 2017 +0200 - Bachelier volatility for CapFloor as in Quantlib - - https://github.com/lballabio/QuantLib/blob/master/ql/instruments/capfloor.cpp + set members as protected - QLNet/Instruments/CapFloor.cs | 32 ++++++++++++++++++++++++++------ - 1 file changed, 26 insertions(+), 6 deletions(-) + ...terpolatedPiecewiseZeroSpreadedTermStructure.cs | 32 +++++++++++----------- + 1 file changed, 16 insertions(+), 16 deletions(-) -commit f494f892dd580fef4eddd4398187cae23a419083 -Merge: 543f940 0bdd2d1 +commit 4f1ddbad2550305cc86e442581222049498dc641 Author: jiskin -Date: Mon, 6 Mar 2017 13:10:26 +0100 +Date: Thu Aug 31 12:37:19 2017 +0200 - Merge pull request #4 from amaggiulli/develop - - merge last pr + set members as protected + + ...terpolatedPiecewiseZeroSpreadedTermStructure.cs | 32 +++++++++++----------- + 1 file changed, 16 insertions(+), 16 deletions(-) -commit 0bdd2d1066cfc831e309521471a5f5d536c15929 +commit 1063ecfc09319c59f2b69eea02680eecd4f51f7a +Author: jiskin +Date: Thu Aug 31 12:33:40 2017 +0200 + + set members as protected + + .../Termstructures/Yield/ZeroSpreadedTermStructure.cs | 14 +++++++------- + 1 file changed, 7 insertions(+), 7 deletions(-) + +commit 692b803c39b93e4c0dc80d826cd2f3f641f78a92 +Author: jiskin +Date: Thu Aug 31 12:25:20 2017 +0200 + + change private to protected for initialize method + + src/QLNet/Termstructures/Yield/ZeroCurve.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 575c5b7e4256fc3aaf128971a33ab67061c2a4ce Author: Andrea Maggiulli -Date: Thu, 2 Mar 2017 17:13:44 +0100 +Date: Wed Aug 30 11:52:09 2017 +0200 - GitHub badges . Fixed SonarQube links [skip ci] + Updated double extensions. - README.md | 10 +++++----- - 1 file changed, 5 insertions(+), 5 deletions(-) + src/QLNet/Extensions/DoubleExtension.cs | 17 +++++++++++++++++ + 1 file changed, 17 insertions(+) -commit 6514b96bed879b29b1bb94fc0640f56906b87f39 +commit 101cbeb323f18d4e843954355eae12a95c36d2f2 Author: Andrea Maggiulli -Date: Wed, 1 Mar 2017 17:22:14 +0100 - - Removed redundant casts. - - QLNet/Currencies/ExchangeRate.cs | 2 +- - QLNet/Instruments/Bonds/AmortizingFixedRateBond.cs | 2 +- - QLNet/InterestRate.cs | 4 ++-- - QLNet/Math/Optimization/EndCriteria.cs | 2 +- - QLNet/Math/Optimization/LeastSquareProblem.cs | 2 +- - QLNet/Math/statistics/riskstatistics.cs | 16 ++++++++-------- - QLNet/Models/Shortrate/Onefactormodels/vasicek.cs | 4 ++-- - QLNet/Pricingengines/barrier/BinomialBarrierEngine.cs | 2 +- - QLNet/Pricingengines/vanilla/MCHestonHullWhiteEngine.cs | 2 +- - QLNet/Termstructures/InflationTermStructure.cs | 4 ++-- - .../Volatility/Optionlet/OptionletStripper2.cs | 2 +- - QLNet/Termstructures/Yield/FittedBondDiscountCurve.cs | 4 +--- - 12 files changed, 22 insertions(+), 24 deletions(-) - -commit 8b5e7a46f04a6b2419bb78aa3cf5459de778a9e7 +Date: Wed Aug 30 11:51:26 2017 +0200 + + Updated documentation to standard format ( can be used as sample for other classes ). + + src/QLNet/Cashflows/averagebmacoupon.cs | 75 +++++++++++++++++++++++++-------- + 1 file changed, 57 insertions(+), 18 deletions(-) + +commit 7f0d12259585144fb1208bd4780aff872ffd6c66 Author: Andrea Maggiulli -Date: Wed, 1 Mar 2017 17:03:19 +0100 - - Removed redundant inheritance list. - - QLNet/Cashflows/ConundrumPricer.cs | 3 ++- - QLNet/Cashflows/Replication.cs | 2 +- - QLNet/Currencies/ExchangeRate.cs | 2 +- - QLNet/Instruments/AverageType.cs | 2 +- - QLNet/Instruments/BarrierType.cs | 2 +- - QLNet/Math/Interpolations/CubicInterpolation.cs | 2 +- - QLNet/Math/Rounding.cs | 2 +- - QLNet/Methods/montecarlo/path.cs | 2 +- - QLNet/Money.cs | 2 +- - QLNet/Termstructures/Inflation/PiecewiseYoYInflationCurve.cs | 2 +- - QLNet/Termstructures/Inflation/PiecewiseZeroInflationCurve.cs | 2 +- - QLNet/Termstructures/TermStructure.cs | 2 +- - QLNet/Termstructures/Yield/PiecewiseYieldCurve.cs | 2 +- - 13 files changed, 14 insertions(+), 13 deletions(-) - -commit a91be3393035f32ea6f6b4df8202416a58372290 +Date: Wed Aug 30 11:50:04 2017 +0200 + + Fixed sonar code smells + + .../Pricingengines/swaption/blackswaptionengine.cs | 534 +++++++++++---------- + src/QLNet/Termstructures/Volatility/Sabr.cs | 23 +- + 2 files changed, 290 insertions(+), 267 deletions(-) + +commit eaafa76d66293e738ed77fe7199fc0b25db953da Author: Andrea Maggiulli -Date: Wed, 1 Mar 2017 16:40:26 +0100 +Date: Wed Aug 30 11:14:32 2017 +0200 - Merged collapsible if statements. + Fixed Sonar security issue. - QLNet/Cashflows/DigitalCoupon.cs | 7 ++----- - 1 file changed, 2 insertions(+), 5 deletions(-) + src/QLNet/Indexes/Region.cs | 5 +++-- + 1 file changed, 3 insertions(+), 2 deletions(-) -commit a6434a9c1aec7e8a6fd9da8c0eea28064f49ada8 +commit 36edd5a72b24f79b5ced40c492b7fb1851c4eb39 Author: Andrea Maggiulli -Date: Wed, 1 Mar 2017 16:36:56 +0100 - - Removed commented out code , general cleanup and formatting. - - QLNet/Cashflows/Dividend.cs | 4 ++-- - QLNet/Indexes/Ibor/Libor.cs | 4 ++-- - QLNet/Instruments/fixedratebondforward.cs | 2 +- - QLNet/Instruments/forward.cs | 2 +- - QLNet/Instruments/payoffs.cs | 20 +++++++++--------- - QLNet/Math/SampledCurve.cs | 6 +++--- - QLNet/Math/Vector.cs | 4 ++-- - QLNet/Math/statistics/sequencestatistics.cs | 2 +- - QLNet/Methods/lattices/lattice.cs | 2 +- - QLNet/Methods/montecarlo/brownianbridge.cs | 2 +- - QLNet/Methods/montecarlo/multipath.cs | 4 ++-- - QLNet/Methods/montecarlo/path.cs | 2 +- - QLNet/Patterns/observablevalue.cs | 2 +- - .../Pricingengines/Bond/TreeCallableBondEngine.cs | 2 +- - QLNet/Pricingengines/Swap/treeswapengine.cs | 2 +- - .../Pricingengines/swaption/treeswaptionengine.cs | 2 +- - QLNet/StochasticProcess.cs | 2 +- - .../Volatility/Inflation/CPIVolatilitySurface.cs | 2 +- - .../Optionlet/StrippedOptionletAdapter.cs | 24 ++++++++++------------ - .../Volatility/equityfx/LocalVolCurve.cs | 4 ++-- - .../Volatility/equityfx/LocalVolSurface.cs | 4 ++-- - .../Volatility/equityfx/LocalVolTermStructure.cs | 2 +- - .../swaption/SpreadedSwaptionVolatility.cs | 2 +- - QLNet/Termstructures/Yield/Bondhelpers.cs | 2 +- - QLNet/Termstructures/Yield/Ratehelpers.cs | 4 ++-- - QLNet/discretizedasset.cs | 4 ++-- - QLNet/numericalmethod.cs | 2 +- - QLNet/timegrid.cs | 2 +- - 28 files changed, 57 insertions(+), 59 deletions(-) - -commit 2f16df2fe1c7cf956cd79e99f7e57b6a20537d48 +Date: Wed Aug 30 10:46:37 2017 +0200 + + Fix compilation ( something wrong on latest merging ). + + src/Bonds/Bonds.cs | 4 ++-- + src/QLNet/Termstructures/Volatility/Sabr.cs | 11 +++++++++-- + 2 files changed, 11 insertions(+), 4 deletions(-) + +commit 55914c861f07b6beac4ce52799c76afa60b689c2 +Merge: d550cbc 660f118 Author: Andrea Maggiulli -Date: Wed, 1 Mar 2017 16:30:42 +0100 - - Removed commented out code , general cleanup and formatting. - - QLNet/Methods/montecarlo/multipathgenerator.cs | 156 +++++++++++---------- - .../Bond/CallableBondVolatilityStructure.cs | 20 +-- - .../Volatility/CapFloor/CapFloorTermVolCurve.cs | 17 +-- - .../Volatility/CapFloor/CapFloorTermVolSurface.cs | 16 +-- - .../Termstructures/Volatility/FlatSmileSection.cs | 1 - - .../Volatility/Inflation/CPIVolatilitySurface.cs | 17 +-- - .../yoyinflationoptionletvolatilitystructure.cs | 20 +-- - .../Volatility/InterpolatedSmileSection.cs | 1 - - .../Volatility/Optionlet/OptionletStripper.cs | 10 +- - .../Volatility/Optionlet/OptionletStripper1.cs | 5 +- - .../Volatility/Optionlet/OptionletStripper2.cs | 14 +- - .../Optionlet/OptionletVolatilityStructure.cs | 2 - - .../Optionlet/SpreadedOptionletVolatility.cs | 15 +- - .../Volatility/Optionlet/capletvariancecurve.cs | 2 - - QLNet/Termstructures/Volatility/SmileSection.cs | 15 -- - .../Volatility/SpreadedSmileSection.cs | 9 +- - .../Volatility/equityfx/BlackVarianceCurve.cs | 4 - - .../Volatility/equityfx/BlackVarianceSurface.cs | 12 +- - .../Volatility/equityfx/BlackVolTermStructure.cs | 31 +--- - .../Volatility/equityfx/ImpliedVolTermStructure.cs | 12 +- - .../Volatility/equityfx/LocalConstantVol.cs | 7 +- - .../Volatility/equityfx/LocalVolCurve.cs | 12 -- - .../Volatility/equityfx/LocalVolTermStructure.cs | 2 - - .../swaption/SpreadedSwaptionVolatility.cs | 21 +-- - .../Volatility/swaption/SwaptionVolCube1.cs | 41 ++---- - .../Volatility/swaption/SwaptionVolCube2.cs | 10 +- - .../Volatility/swaption/SwaptionVolatilityCube.cs | 22 ++- - .../swaption/SwaptionVolatilityStructure.cs | 12 -- - .../Volatility/swaption/swaptionconstantvol.cs | 15 +- - .../Volatility/swaption/swaptionvolmatrix.cs | 26 ++-- - QLNet/Termstructures/Yield/Bootstraptraits.cs | 15 +- - .../Yield/FittedBondDiscountCurve.cs | 19 +-- - QLNet/Termstructures/Yield/ImpliedTermStructure.cs | 4 +- - .../Yield/NonLinearFittingMethods.cs | 20 +-- - QLNet/Termstructures/Yield/PiecewiseYieldCurve.cs | 14 +- - QLNet/Termstructures/Yield/Ratehelpers.cs | 31 +--- - QLNet/Termstructures/YieldTermStructure.cs | 4 - - QLNet/Termstructures/localbootstrap.cs | 10 +- - QLNet/Time/Calendar.cs | 44 +++--- - QLNet/Time/Calendars/southkorea.cs | 3 +- - QLNet/Time/DayCounters/ActualActual.cs | 2 +- - QLNet/Time/ECB.cs | 4 - - QLNet/Time/Schedule.cs | 23 +-- - QLNet/discretizedasset.cs | 3 - - QLNet/legacy/libormarketmodels/lfmcovarparam.cs | 2 - - QLNet/legacy/libormarketmodels/lfmcovarproxy.cs | 5 - - .../legacy/libormarketmodels/lfmhullwhiteparam.cs | 3 - - QLNet/legacy/libormarketmodels/lfmprocess.cs | 15 +- - .../legacy/libormarketmodels/liborforwardmodel.cs | 7 +- - QLNet/legacy/libormarketmodels/lmexpcorrmodel.cs | 4 - - QLNet/numericalmethod.cs | 14 -- - QLNet/payoff.cs | 3 +- - QLNet/processes/HestonProcess.cs | 17 +-- - QLNet/processes/HullWhiteProcess.cs | 11 +- - QLNet/processes/Ornsteinuhlenbeckprocess.cs | 3 +- - QLNet/processes/Squarerootprocess.cs | 3 +- - QLNet/timegrid.cs | 8 -- - 57 files changed, 214 insertions(+), 624 deletions(-) - -commit 17194150867a111f036747c4f1842c6ba9ddc501 +Date: Wed Aug 30 09:46:04 2017 +0200 + + Merge pull request #168 from jiskin/Improve_MakeCms_with_capfloors + + Add cap/floors setters for CMS and Ibor legs + +commit d550cbc70f1b348aeb97ce218a6aa365e04e749d +Merge: ec0a8ff e675bc5 Author: Andrea Maggiulli -Date: Wed, 1 Mar 2017 15:32:04 +0100 - - Removed commented out code , general cleanup and formatting. - - .../Interpolations/convexmonotoneinterpolation.cs | 1 - - QLNet/Math/Solver1d.cs | 2 +- - QLNet/Math/randomnumbers/inversecumulativersg.cs | 102 +++++----- - QLNet/Math/statistics/sequencestatistics.cs | 10 +- - QLNet/Methods/Finitedifferences/DPlusDMinus.cs | 3 - - QLNet/Methods/Finitedifferences/OperatorFactory.cs | 50 ++--- - .../Finitedifferences/TridiagonalOperator.cs | 2 - - QLNet/Methods/Finitedifferences/bsmoperator.cs | 1 - - QLNet/Methods/Finitedifferences/dzero.cs | 3 - - QLNet/Methods/Finitedifferences/mixedscheme.cs | 4 - - QLNet/Methods/Finitedifferences/pde.cs | 1 - - QLNet/Methods/Finitedifferences/pdebsm.cs | 3 - - QLNet/Methods/Finitedifferences/pdeshortrate.cs | 64 +++--- - QLNet/Methods/lattices/binominaltree.cs | 4 - - QLNet/Methods/lattices/lattice.cs | 17 -- - QLNet/Methods/lattices/lattice1d.cs | 6 - - QLNet/Methods/lattices/lattice2d.cs | 3 - - QLNet/Methods/lattices/tree.cs | 45 ++--- - .../Methods/montecarlo/earlyexercisepathpricer.cs | 34 ++-- - QLNet/Methods/montecarlo/mctraits.cs | 29 +-- - QLNet/Methods/montecarlo/multipathgenerator.cs | 14 +- - QLNet/Methods/montecarlo/pathgenerator.cs | 175 ++++++++-------- - .../BrownianGenerators/SobolBrownianGenerator.cs | 9 - - QLNet/Models/Parameter.cs | 9 - - QLNet/Models/Shortrate/OneFactorModel.cs | 11 +- - .../Shortrate/Onefactormodels/blackkarasinski.cs | 11 -- - .../Shortrate/Onefactormodels/coxingersollross.cs | 11 +- - .../Models/Shortrate/Onefactormodels/hullwhite.cs | 11 -- - QLNet/Models/Shortrate/Onefactormodels/vasicek.cs | 9 - - QLNet/Models/Shortrate/Twofactorsmodels/g2.cs | 15 +- - .../Shortrate/calibrationhelpers/caphelper.cs | 1 - - QLNet/Models/Shortrate/twofactormodel.cs | 219 ++++++++++----------- - QLNet/Models/model.cs | 15 -- - QLNet/Option.cs | 86 ++++---- - QLNet/Patterns/Observer.cs | 36 ++-- - QLNet/Patterns/Visitor.cs | 14 -- - QLNet/PricingEngine.cs | 172 ++++++++-------- - QLNet/Pricingengines/Americanpayoffatexpiry.cs | 1 - - QLNet/Pricingengines/Americanpayoffathit.cs | 7 - - QLNet/Pricingengines/BlackCalculator.cs | 7 +- - .../Pricingengines/Bond/TreeCallableBondEngine.cs | 3 +- - .../Pricingengines/CapFloor/BlackCapFloorEngine.cs | 2 +- - .../Pricingengines/CapFloor/discretizedcapfloor.cs | 3 +- - QLNet/Pricingengines/Loan/DiscountingLoanEngine.cs | 29 --- - .../Swap/CounterpartyAdjSwapEngine.cs | 12 +- - .../Swap/DiscountingBasisSwapEngine.cs | 2 - - QLNet/Pricingengines/Swap/Discountingswapengine.cs | 15 -- - QLNet/Pricingengines/Swap/discretizedswap.cs | 2 - - QLNet/Pricingengines/Swap/treeswapengine.cs | 2 +- - ...icContinuousGeometricAveragePriceAsianEngine.cs | 2 +- - ...yticDiscreteGeometricAveragePriceAsianEngine.cs | 14 +- - .../asian/mc_discr_arith_av_price.cs | 2 - - .../asian/mc_discr_arith_av_strike.cs | 3 - - .../Pricingengines/asian/mc_discr_geom_av_price.cs | 2 +- - .../Pricingengines/asian/mcdiscreteasianengine.cs | 11 +- - .../barrier/AnalyticBarrierEngine.cs | 3 +- - .../barrier/VannaVolgaDoubleBarrierEngine.cs | 1 - - .../barrier/WulinYongDoubleBarrierEngine.cs | 3 - - QLNet/Pricingengines/blackformula.cs | 1 - - .../Pricingengines/latticeshortratemodelengine.cs | 15 -- - QLNet/Pricingengines/mclongstaffschwartzengine.cs | 6 - - QLNet/Pricingengines/swaption/g2swaptionengine.cs | 21 +- - .../swaption/jamshidianswaptionengine.cs | 1 - - .../Pricingengines/swaption/treeswaptionengine.cs | 6 +- - QLNet/Pricingengines/vanilla/AnalyticH1HWEngine.cs | 17 +- - .../Pricingengines/vanilla/AnalyticHestonEngine.cs | 5 +- - .../vanilla/AnalyticHestonHullWhiteEngine.cs | 14 +- - .../vanilla/AnalyticPTDHestonEngine.cs | 2 - - QLNet/Pricingengines/vanilla/FDConditions.cs | 13 -- - QLNet/Pricingengines/vanilla/FDEuropeanEngine.cs | 2 - - .../vanilla/FDStepConditionEngine.cs | 2 - - QLNet/Pricingengines/vanilla/FDVanillaEngine.cs | 5 - - .../vanilla/FdHestonVanillaEngine.cs | 77 -------- - QLNet/Pricingengines/vanilla/Juquadraticengine.cs | 1 - - .../vanilla/MCEuropeanHestonEngine.cs | 2 - - .../vanilla/baroneadesiwhaleyengine.cs | 2 - - .../vanilla/bjerksundstenslandengine.cs | 1 - - QLNet/Pricingengines/vanilla/mcamericanengine.cs | 2 +- - QLNet/Quotes/CompositeQuote.cs | 4 +- - QLNet/StochasticProcess.cs | 77 ++------ - QLNet/Termstructures/Credit/HazardRateStructure.cs | 1 - - .../Credit/InterpolatedHazardRateCurve.cs | 6 +- - QLNet/Termstructures/Credit/ProbabilityTraits.cs | 3 - - QLNet/Termstructures/Curve.cs | 2 +- - .../DefaultProbabilityTermStructure.cs | 2 - - .../Inflation/CPICapFloorTermPriceSurface.cs | 18 +- - QLNet/Termstructures/Inflation/InflationTraits.cs | 1 - - .../Inflation/InterpolatedZeroInflationCurve.cs | 19 +- - .../Inflation/PiecewiseYoYInflationCurve.cs | 16 +- - .../Inflation/PiecewiseZeroInflationCurve.cs | 17 +- - QLNet/Termstructures/Inflation/Seasonality.cs | 12 +- - QLNet/Termstructures/InflationTermStructure.cs | 28 +-- - QLNet/Termstructures/Iterativebootstrap.cs | 2 - - QLNet/Termstructures/TermStructure.cs | 4 +- - QLNet/Termstructures/Volatility/AbcdCalibration.cs | 2 - - .../Bond/CallableBondConstantVolatility.cs | 10 +- - 96 files changed, 590 insertions(+), 1157 deletions(-) - -commit d51bb96c3e28d28ac1d544b52096be27522afe6b +Date: Wed Aug 30 09:45:15 2017 +0200 + + Merge pull request #167 from jiskin/bugfix_cap_floor_to_zero + + Bugfix when cap/floor equals zero + +commit ec0a8fff5fd69e789687c392477949f228736f82 +Merge: c5bbcd8 076dbf8 Author: Andrea Maggiulli -Date: Wed, 1 Mar 2017 14:02:02 +0100 - - Removed commented out code , general cleanup and formatting. - - QLNet/Indexes/InflationIndex.cs | 2 - - QLNet/Instruments/MultiAssetOption.cs | 193 ++-- - QLNet/Instruments/OneAssetOption.cs | 304 ++++--- - QLNet/Instruments/OvernightIndexedSwap.cs | 2 - - QLNet/Instruments/Swap.cs | 2 +- - QLNet/Instruments/Swaption.cs | 13 +- - QLNet/Instruments/ZeroCouponInflationSwap.cs | 5 - - QLNet/Instruments/fixedratebondforward.cs | 250 +++--- - QLNet/Instruments/forward.cs | 10 +- - QLNet/Instruments/forwardrateagreement.cs | 113 +-- - QLNet/InterestRate.cs | 1 - - QLNet/Math/BSpline.cs | 15 +- - QLNet/Math/Comparison.cs | 9 +- - .../Distributions/BivariateNormalDistribution.cs | 2 +- - QLNet/Math/Distributions/GammaDistribution.cs | 2 - - QLNet/Math/Distributions/NormalDistribution.cs | 5 +- - QLNet/Math/Distributions/chisquaredistribution.cs | 7 - - QLNet/Math/Interpolations/Abcdinterpolation.cs | 3 +- - QLNet/Math/Interpolations/CubicInterpolation.cs | 986 +++++++++++---------- - QLNet/Math/Interpolations/KernelInterpolation2D.cs | 6 +- - QLNet/Math/Interpolations/Loginterpolation.cs | 6 +- - QLNet/Math/Interpolations/XABRInterpolation.cs | 15 +- - QLNet/Math/Interpolations/bilinearinterpolation.cs | 122 ++- - .../Interpolations/convexmonotoneinterpolation.cs | 13 - - QLNet/Math/Interpolations/interpolation2d.cs | 10 - - QLNet/Math/Interpolations/multicubicspline.cs | 1 - - QLNet/Math/Interpolations/sabrinterpolation.cs | 4 - - QLNet/Math/Matrix.cs | 3 - - QLNet/Math/Optimization/ArmijoLineSearch.cs | 155 ++-- - QLNet/Math/Optimization/BFGS.cs | 13 +- - QLNet/Math/Optimization/ConjugateGradient.cs | 3 - - QLNet/Math/Optimization/Constraint.cs | 2 +- - QLNet/Math/Optimization/LeastSquareProblem.cs | 9 - - QLNet/Math/Optimization/LineSearchBasedMethod.cs | 3 +- - QLNet/Math/Optimization/ProjectedCostFunction.cs | 4 +- - QLNet/Math/Optimization/Simplex.cs | 19 - - QLNet/Math/Optimization/levenbergmarquardt.cs | 7 +- - QLNet/Math/Rounding.cs | 2 - - QLNet/Math/SampledCurve.cs | 1 - - QLNet/Math/Solver1d.cs | 6 +- - QLNet/Math/Vector.cs | 6 - - QLNet/Math/integrals/GaussianQuadratures.cs | 106 +-- - QLNet/Math/integrals/Integral.cs | 8 +- - QLNet/Math/integrals/Kronrodintegral.cs | 1 - - .../Math/integrals/gaussianorthogonalpolynomial.cs | 8 +- - QLNet/Math/linearleastsquaresregression.cs | 1 - - .../Math/matrixutilities/TqrEigenDecomposition.cs | 1 - - QLNet/Math/matrixutilities/pseudosqrt.cs | 2 - - QLNet/Math/matrixutilities/qrdecomposition.cs | 4 - - QLNet/Math/randomnumbers/Haltonrsg.cs | 2 - - QLNet/Math/randomnumbers/SobolBrownianBridgeRsg.cs | 6 +- - QLNet/Math/randomnumbers/inversecumulativerng.cs | 68 +- - .../Math/randomnumbers/randomsequencegenerator.cs | 12 +- - QLNet/Math/randomnumbers/rngtraits.cs | 13 - - QLNet/Math/randomnumbers/seedgenerator.cs | 2 +- - QLNet/Math/randomnumbers/sobolrsg.cs | 19 - - QLNet/Math/randomnumbers/sobolrsg2.cs | 1 - - QLNet/Math/statistics/DiscrepancyStatistics.cs | 2 - - QLNet/Math/statistics/convergencestatistics.cs | 5 +- - QLNet/Math/statistics/gaussianstatistics.cs | 20 +- - QLNet/Math/statistics/generalstatistics.cs | 19 +- - QLNet/Math/statistics/incrementalstatistics.cs | 14 +- - QLNet/Math/statistics/riskstatistics.cs | 32 +- - 63 files changed, 1210 insertions(+), 1470 deletions(-) - -commit c77cf6afa7e289a7478d683962f4102ac41fc0ca +Date: Wed Aug 30 09:44:11 2017 +0200 + + Merge pull request #166 from jiskin/bad_inheritance_optionletstripper + + Issue with inheritance fixed + +commit c5bbcd8e1222154300df1ee51e7e5770af0dae5e +Merge: d22cca0 17bc2c9 Author: Andrea Maggiulli -Date: Wed, 1 Mar 2017 12:07:27 +0100 - - Removed commented out code , general cleanup and formatting. - - QLNet/Cashflows/CPICoupon.cs | 11 +- - QLNet/Cashflows/CPICouponPricer.cs | 6 +- - QLNet/Cashflows/CappedFlooredCoupon.cs | 6 +- - QLNet/Cashflows/CappedFlooredYoYInflationCoupon.cs | 6 +- - QLNet/Cashflows/CashFlows.cs | 44 -- - QLNet/Cashflows/Cashflowvectors.cs | 1 - - QLNet/Cashflows/CmsCoupon.cs | 16 +- - QLNet/Cashflows/ConundrumPricer.cs | 22 - - QLNet/Cashflows/CouponPricer.cs | 30 +- - QLNet/Cashflows/DigitalCmsCoupon.cs | 12 - - QLNet/Cashflows/DigitalCoupon.cs | 17 +- - QLNet/Cashflows/DigitalIborCoupon.cs | 12 - - QLNet/Cashflows/InflationCoupon.cs | 11 +- - QLNet/Cashflows/InflationCouponPricer.cs | 9 +- - QLNet/Cashflows/OvernightIndexedCoupon.cs | 6 +- - QLNet/Cashflows/RateLegBase.cs | 616 +++++++++++---------- - QLNet/Cashflows/YoYInflationCoupon.cs | 6 +- - QLNet/Currencies/America.cs | 4 +- - QLNet/Currencies/ExchangeRateManager.cs | 234 ++++---- - QLNet/Exercise.cs | 197 ++++--- - QLNet/Handle.cs | 18 +- - QLNet/Indexes/Ibor/Eurlibor.cs | 3 +- - QLNet/Indexes/Ibor/Libor.cs | 2 - - QLNet/Indexes/InflationIndex.cs | 11 +- - QLNet/Indexes/Region.cs | 30 +- - QLNet/Instruments/AsianOption.cs | 4 +- - QLNet/Instruments/BasisSwap.cs | 5 - - QLNet/Instruments/BasketOption.cs | 199 +++---- - QLNet/Instruments/Bond.cs | 3 +- - QLNet/Instruments/Bonds/BTP.cs | 5 - - QLNet/Instruments/Bonds/CallableBond.cs | 23 +- - QLNet/Instruments/Bonds/ConvertibleBond.cs | 2 - - .../Bonds/DiscretizedCallableFixedRateBond.cs | 6 +- - QLNet/Instruments/Bonds/MBSFixedRateBond.cs | 23 - - QLNet/Instruments/Bonds/Zerocouponbond.cs | 26 +- - QLNet/Instruments/CPICapFloor.cs | 9 +- - QLNet/Instruments/Callability.cs | 8 +- - QLNet/Instruments/CapFloor.cs | 5 - - QLNet/Instruments/CompositeInstrument.cs | 5 +- - QLNet/Instruments/CreditDefaultSwap.cs | 21 +- - QLNet/Instruments/ForwardVanillaOption.cs | 8 +- - QLNet/Instruments/InflationCapFloor.cs | 17 +- - QLNet/Instruments/Loan.cs | 2 +- - QLNet/Instruments/MakeCapFloor.cs | 1 - - QLNet/Instruments/MakeCms.cs | 2 - - QLNet/Instruments/MakeLoans.cs | 8 - - QLNet/Instruments/MakeOIS.cs | 3 - - QLNet/Instruments/Makevanillaswap.cs | 6 - - .../legacy/libormarketmodels/lmlinexpcorrmodel.cs | 4 - - 49 files changed, 735 insertions(+), 990 deletions(-) - -commit 91a8a3c8f56fa3dcf7e715cef7bc89c797bb0276 +Date: Wed Aug 30 09:42:44 2017 +0200 + + Merge pull request #165 from jiskin/Normal_Sabr_Interpolation + + New feature : Normal sabr interpolation + +commit 17bc2c9ea308ccd411fd46c0ce8bf64eaf2559a7 +Merge: 00dbef0 d22cca0 Author: Andrea Maggiulli -Date: Wed, 22 Feb 2017 13:53:54 +0100 +Date: Wed Aug 30 09:42:31 2017 +0200 - Added nested comment on empty methods. + Merge branch 'develop' into Normal_Sabr_Interpolation - QLNet/Instruments/Bonds/DiscretizedCallableFixedRateBond.cs | 5 ++++- - QLNet/Instruments/CPICapFloor.cs | 5 ++++- - QLNet/Math/Interpolations/FlatExtrapolator2D.cs | 5 ++++- - QLNet/Methods/Finitedifferences/BoundaryCondition.cs | 10 ++++++++-- - QLNet/Methods/Finitedifferences/StepCondition.cs | 5 ++++- - QLNet/Pricingengines/BlackCalculator.cs | 5 ++++- - 6 files changed, 28 insertions(+), 7 deletions(-) +commit d22cca0fce4ec894a56b3fa2c097821e50a6b21d +Merge: b62b919 c0b727a +Author: Andrea Maggiulli +Date: Wed Aug 30 09:34:26 2017 +0200 -commit ad147ffec7496fabf9d281c878a19c86da3f8665 + Merge pull request #164 from jiskin/swaption_vol_matrix_normal_vol + + Swaption vol matrix normal vol + +commit b62b91932e8edca77426ac60a757bad7d97e044e +Merge: 7e10083 1d80418 Author: Andrea Maggiulli -Date: Tue, 21 Feb 2017 18:49:10 +0100 +Date: Wed Aug 30 09:33:25 2017 +0200 + + Merge pull request #163 from jiskin/calibration_helper_normal_vol + + Calibration helper normal vol - Fixed missing or wrong access modifiers. +commit 7e10083ba18c8140fe4641e5a1853437e031821a +Merge: c541db9 3ac192d +Author: Andrea Maggiulli +Date: Wed Aug 30 09:32:09 2017 +0200 - QLNet/Instruments/Bonds/CallableBond.cs | 2 +- - QLNet/Quotes/CompositeQuote.cs | 4 ++-- - QLNet/Termstructures/Inflation/InflationTraits.cs | 2 +- - QLNet/Termstructures/Volatility/equityfx/BlackVolTermStructure.cs | 2 -- - QLNet/Time/ECB.cs | 2 +- - QLNet/Time/Schedule.cs | 2 +- - 6 files changed, 6 insertions(+), 8 deletions(-) + Merge pull request #162 from jiskin/NewtonSafeAccessibility + + Newtonsafe class wasn't public -commit f30b4225436903b2926002b89307d23c49012140 +commit c541db9313baecd6ee237c8bb5bdedaffdb4d8be +Merge: cd060c5 09f5507 Author: Andrea Maggiulli -Date: Tue, 21 Feb 2017 17:53:51 +0100 - - Fixed missing or wrong access modifiers. - - QLNet/Cashflows/InflationCoupon.cs | 2 +- - QLNet/Instruments/Bonds/AmortizingFixedRateBond.cs | 4 +- - .../Bonds/DiscretizedCallableFixedRateBond.cs | 8 +-- - QLNet/Instruments/Bonds/Fixedratebond.cs | 4 +- - QLNet/Instruments/Instrument.cs | 2 +- - QLNet/Instruments/OvernightIndexedSwap.cs | 6 +- - QLNet/Instruments/Swaption.cs | 2 +- - QLNet/Math/Interpolations/KernelInterpolation2D.cs | 2 +- - QLNet/Math/Interpolations/MixedInterpolation.cs | 2 +- - QLNet/Math/Interpolations/sabrinterpolation.cs | 2 +- - .../Shortrate/calibrationhelpers/swaptionhelper.cs | 64 +++++++++++----------- - 11 files changed, 46 insertions(+), 52 deletions(-) - -commit 7448369acbbd6ee029f18f100b6fe9dcc1557778 +Date: Wed Aug 30 09:30:57 2017 +0200 + + Merge pull request #161 from jiskin/add_normal_vol_to_swaption + + Add normal vol to swaption + +commit cd060c58a6afff1e01aee9c6aefeb68c74c9f9bd +Merge: e04617e 75fcdb6 Author: Andrea Maggiulli -Date: Tue, 21 Feb 2017 15:24:15 +0100 +Date: Wed Aug 30 09:29:57 2017 +0200 + + Merge pull request #160 from jiskin/allow_override_forwardValue + + Put forwardValue method as virtual - Fixed Callable bonds constructors. +commit e04617e4a0b7f39699b262aee89402a297ebc837 +Merge: 9434739 047346e +Author: Andrea Maggiulli +Date: Wed Aug 30 09:23:15 2017 +0200 - QLNet/Instruments/Bonds/CallableBond.cs | 14 ++------------ - 1 file changed, 2 insertions(+), 12 deletions(-) + Merge pull request #157 from igitur/implement-discountingloanengine + + Implement DiscountingLoanEngine -commit 4df8bf66457bfad850ae0833c14649d643054032 +commit 9434739f0612f2b813019b91414c2b79834b4468 +Merge: 5c50127 d14bcd1 Author: Andrea Maggiulli -Date: Tue, 21 Feb 2017 14:42:17 +0100 +Date: Wed Aug 30 09:16:24 2017 +0200 - Fixed inflation coupon pricers constructors. + Merge pull request #156 from jiskin/update_sabr_interpolation + + Update SABR & SVI with shift + SABR Interpolated Smile - QLNet/Cashflows/InflationCouponPricer.cs | 24 +++++------------------- - 1 file changed, 5 insertions(+), 19 deletions(-) +commit 00dbef09021ec4a2af834ba6f0800ccaed0f14f9 +Author: jiskin +Date: Mon Aug 21 10:10:25 2017 +0200 -commit 082247e19844b78aaa691183711527f18a87d0ac -Merge: 020388d a42263a -Author: Andrea Maggiulli -Date: Tue, 21 Feb 2017 14:24:05 +0100 + Allow shift for normal vol - Merge branch 'develop' of https://github.com/amaggiulli/qlnet into develop + src/QLNet/Termstructures/Volatility/Sabr.cs | 10 +++++++--- + src/QLNet/Termstructures/Volatility/SmileSection.cs | 12 ++++++------ + 2 files changed, 13 insertions(+), 9 deletions(-) -commit 020388d6312f2b4182ea7dd63da51f6f55a8cc80 -Author: Andrea Maggiulli -Date: Tue, 21 Feb 2017 14:23:39 +0100 +commit 51417cdd45d8d92eab4050e9f3c54e636cfa15be +Author: jiskin +Date: Mon Aug 21 10:09:41 2017 +0200 - Fix finders members initialization. + Allow shift for normal vol - QLNet/Cashflows/CashFlows.cs | 8 ++++---- + src/QLNet/Math/Interpolations/sabrinterpolation.cs | 8 ++++---- 1 file changed, 4 insertions(+), 4 deletions(-) -commit 543f9406b5bda9d9c945165b4e0307246efaeb6c -Merge: c7f22a1 a42263a +commit 660f118176e8a928e4d8258aa9e3b75a0d7b0afb Author: jiskin -Date: Fri, 17 Feb 2017 16:09:52 +0100 +Date: Tue Aug 8 09:51:20 2017 +0200 - Merge pull request #3 from amaggiulli/develop - - C# revert + new constructors + Add cms spread -commit a42263a08f0c6789772b2613f9a13b0bc3be4689 -Merge: 51575af aa10bfb -Author: Andrea Maggiulli -Date: Thu, 16 Feb 2017 18:06:16 +0100 + src/QLNet/Instruments/MakeCms.cs | 13 +++++-------- + 1 file changed, 5 insertions(+), 8 deletions(-) - Merge pull request #127 from jiskin/Flexibility-of-OvernightIndexedSwap - - Flexibility of overnight indexed swap +commit 07dc7df9b045f4515a592e5d813748e4470710e7 +Author: jiskin +Date: Mon Aug 7 18:13:18 2017 +0200 -commit aa10bfb5828a3fd49991eb7d463f0d02bc477f92 + Add maturity + + src/QLNet/Instruments/MakeCms.cs | 22 ++++++++++++++-------- + 1 file changed, 14 insertions(+), 8 deletions(-) + +commit 7c49350e37f4b237c24b177f6f65b3b9c4d01f5e Author: jiskin -Date: Thu, 16 Feb 2017 17:47:11 +0100 +Date: Fri Aug 4 17:31:28 2017 +0200 - Update OvernightIndexedSwap.cs + Add setter floating coupon pricer - QLNet/Instruments/OvernightIndexedSwap.cs | 258 +++++++++++++++--------------- - 1 file changed, 130 insertions(+), 128 deletions(-) + src/QLNet/Instruments/MakeCms.cs | 26 ++++++++++++++++++++------ + 1 file changed, 20 insertions(+), 6 deletions(-) -commit 51575afac45ec3bf65378ced38c73389ef33d433 -Merge: d8673ec 4370a61 -Author: Andrea Maggiulli -Date: Thu, 16 Feb 2017 17:33:43 +0100 +commit 39a43d48ba3d10ea7326a4692bc1ec239d8599a9 +Author: jiskin +Date: Fri Aug 4 17:25:47 2017 +0200 - Merge pull request #126 from jiskin/New-constructor-fixedratebond - - New constructor fixedratebond + double as double? -commit d8673ec32603bc9bf050c11132ee7a764439ffcf -Author: Andrea Maggiulli -Date: Thu, 16 Feb 2017 17:28:39 +0100 + src/QLNet/Instruments/MakeCms.cs | 8 ++++---- + 1 file changed, 4 insertions(+), 4 deletions(-) - Fix #128 - Reverted C# 6.0 syntax. +commit fa40fc7e180fd59c1fa3cf9520f9ca2fe48ab270 +Author: jiskin +Date: Fri Aug 4 17:19:00 2017 +0200 + + Add cap/floors setters for CMS and Ibor legs - QLNet/Cashflows/InflationCoupon.cs | 9 +++++++-- - QLNet/Time/Date.cs | 30 +++++++++++++----------------- - 2 files changed, 20 insertions(+), 19 deletions(-) + src/QLNet/Instruments/MakeCms.cs | 47 +++++++++++++++++++++++++++++++++------- + 1 file changed, 39 insertions(+), 8 deletions(-) -commit b5d74440c5da85acfe5bdd85502ce1098b0f2143 +commit c0b727a4b3183ebb3e1f7a0f41e3cb2fab6b8e5e Author: jiskin -Date: Thu, 16 Feb 2017 15:58:34 +0100 +Date: Fri Aug 4 12:18:37 2017 +0200 - Add files via upload + Missing volatiltyType set in constructors + + src/QLNet/Termstructures/Volatility/swaption/swaptionvolmatrix.cs | 6 ++++-- + 1 file changed, 4 insertions(+), 2 deletions(-) + +commit 01b215ccd0afb3c9a12207a59272f9a370164c7c +Author: jiskin +Date: Thu Aug 3 15:06:48 2017 +0200 + + Update volatility cube to allow normal vol + + .../Volatility/swaption/SwaptionVolCube1.cs | 37 ++++++++++------------ + .../Volatility/swaption/SwaptionVolatilityCube.cs | 2 +- + .../swaption/SwaptionVolatilityStructure.cs | 2 +- + 3 files changed, 19 insertions(+), 22 deletions(-) + +commit 9dd72972a7c738e7237d8eb74e7e9c3b316d3f7e +Author: jiskin +Date: Thu Aug 3 15:05:53 2017 +0200 + + Bug fix + + src/QLNet/Termstructures/Volatility/swaption/swaptionvolmatrix.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 5e29481cc91bbfa6dd8c97431e56bda05a39194d +Author: jiskin +Date: Thu Aug 3 12:22:56 2017 +0200 + + Update smile section + + .../Termstructures/Volatility/SmileSection.cs | 51 ++++++++++++++-------- + 1 file changed, 34 insertions(+), 17 deletions(-) + +commit e675bc5ece550ad98cd67c2a1e2b3ef90695b3da +Author: jiskin +Date: Wed Aug 2 16:30:52 2017 +0200 + + Overload Get function with nullable type + + src/QLNet/Utils.cs | 36 ++++++++++++++++++++++++++---------- + 1 file changed, 26 insertions(+), 10 deletions(-) + +commit b81b00d5c6deb9b529dd0c048ed2652acaa42dd3 +Author: jiskin +Date: Wed Aug 2 16:27:41 2017 +0200 + + Update cashflows - Allow to define different nominal and daycounter for the fixed and overnight legs. + Allow nullable types for cap and floor + + src/QLNet/Cashflows/Cashflowvectors.cs | 12 ++++++------ + src/QLNet/Cashflows/RateLegBase.cs | 36 +++++++++++++++++----------------- + 2 files changed, 24 insertions(+), 24 deletions(-) + +commit 1e21f2d1093f6a2ed279c740494244cdd77e8d40 +Author: jiskin +Date: Wed Aug 2 16:26:26 2017 +0200 + + Update bonds constructors - Previous behaviour is kept. + Allow nullable type for cap and floors + + src/QLNet/Instruments/Bonds/AmortizingCmsRateBond.cs | 8 ++++---- + src/QLNet/Instruments/Bonds/AmortizingFloatingRateBond.cs | 8 ++++---- + src/QLNet/Instruments/Bonds/BTP.cs | 4 ++-- + src/QLNet/Instruments/Bonds/CmsRateBond.cs | 8 ++++---- + src/QLNet/Instruments/Bonds/FloatingRateBond.cs | 10 +++++----- + 5 files changed, 19 insertions(+), 19 deletions(-) + +commit fce7ca07f2596708adbecbaa001bbdaf91caeceb +Author: jiskin +Date: Wed Aug 2 16:25:37 2017 +0200 + + Update MakeCms - /!\ the getters nominal() and paymentFrequency() are remplaced by fixedNominal() + overnightNominal() and fixedPaymentFrequency() + overnightPaymentFrequency() + Default cap/floors were set to 0.0 => now set to null - QLNet/Instruments/OvernightIndexedSwap.cs | 99 +++++++++++++++++++++++++------ - 1 file changed, 80 insertions(+), 19 deletions(-) + src/QLNet/Instruments/MakeCms.cs | 10 +++++----- + 1 file changed, 5 insertions(+), 5 deletions(-) -commit 4370a61be5bd75b622e78a822a9f4b5a789f8291 +commit 363c0ef647fb5afc7c0054d61cb3ba7261dd2222 Author: jiskin -Date: Thu, 16 Feb 2017 15:15:21 +0100 +Date: Wed Aug 2 16:23:15 2017 +0200 - Additionnal constructor with InterestRate vector + Update test files - QLNet/Instruments/Bonds/AmortizingFixedRateBond.cs | 27 ++++++++++++++++++++++ - 1 file changed, 27 insertions(+) + tests/QLNet.Tests/T_AssetSwap.cs | 46 +++++++++++----------- + tests/QLNet.Tests/T_Bonds.cs | 6 +-- + tests/QLNet.Tests/T_CapFlooredCoupon.cs | 14 +++---- + .../QLNet.Tests/T_InflationCapFlooredCouponTest.cs | 20 +++++----- + 4 files changed, 43 insertions(+), 43 deletions(-) -commit c7f22a128b1e1206f48d5f03f257b8d4d339fe98 -Merge: 3cf26f9 9e40e13 +commit 076dbf80b569a6963263388e7e439ee842fa2dac Author: jiskin -Date: Thu, 16 Feb 2017 11:29:34 +0100 +Date: Tue Aug 1 15:19:08 2017 +0200 - Merge pull request #2 from amaggiulli/develop - - Base develop improvements + Issue with inheritance fixed -commit 9e40e137b598ef6e098366574e483354b65f8883 -Author: Andrea Maggiulli -Date: Wed, 15 Feb 2017 11:08:36 +0100 + .../Termstructures/Volatility/Optionlet/OptionletStripper.cs | 4 ++-- + .../Volatility/Optionlet/StrippedOptionletAdapter.cs | 11 ++++++++++- + .../Volatility/Optionlet/StrippedOptionletBase.cs | 4 +++- + 3 files changed, 15 insertions(+), 4 deletions(-) - Fix - spread_ was initialized before. +commit 18989c8118d09851c800edf5ecbdd3dcf8b4dca7 +Author: jiskin +Date: Wed Jul 26 16:48:35 2017 +0200 - QLNet/Termstructures/Yield/Ratehelpers.cs | 1 - - 1 file changed, 1 deletion(-) + Add normal SABR interpolation test -commit fe72513cd1147d42634a545b718fc0615f1257a4 -Author: Andrea Maggiulli -Date: Wed, 15 Feb 2017 11:06:25 +0100 + tests/QLNet.Tests/T_Interpolations.cs | 176 ++++++++++++++++++++++++++++++++++ + 1 file changed, 176 insertions(+) + +commit ff47598cff280cb330ebe8afccf9e54c263d42e2 +Author: jiskin +Date: Wed Jul 26 16:47:56 2017 +0200 - Empty nullable value should not be accessed. + Manage forward < 0 case - QLNet/Math/Interpolations/Abcdinterpolation.cs | 2 +- + src/QLNet/Termstructures/Volatility/Sabr.cs | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit 2423b410f2fdc7988ea9d78f74414d2d2fe49962 -Author: Andrea Maggiulli -Date: Wed, 15 Feb 2017 11:02:39 +0100 +commit 43ecafe581cdce6716e38a52c9459adf8f5874fd +Author: jiskin +Date: Wed Jul 26 16:47:12 2017 +0200 - Removed always true condition + Manage forward < 0 case in normal SABR - QLNet/Handle.cs | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + src/QLNet/Math/Interpolations/sabrinterpolation.cs | 53 +++++++++++++--------- + 1 file changed, 31 insertions(+), 22 deletions(-) -commit b925a7f462da11fde5f81bcaed7fcb986109688c -Author: Andrea Maggiulli -Date: Mon, 13 Feb 2017 15:39:25 +0100 +commit 9cb5f3c9f838117535d39dbfb188a18e66776f87 +Author: jiskin +Date: Wed Jul 26 16:46:30 2017 +0200 - Fix ConvertibleBond arguments lists init - refs #123 - Thx @datametrics + Remove unnecessary .Create() call - QLNet/Instruments/Bonds/ConvertibleBond.cs | 502 ++++++++++++++++------------- - 1 file changed, 284 insertions(+), 218 deletions(-) + src/QLNet/Math/Interpolations/XABRInterpolation.cs | 72 +++++++++++----------- + 1 file changed, 36 insertions(+), 36 deletions(-) -commit 820c016702e6461ae7a2cc7b1f5539516793e59c -Author: Andrea Maggiulli -Date: Mon, 13 Feb 2017 11:15:14 +0100 +commit 59331a1ee83dea6222836dfe75f52964c591ab06 +Author: jiskin +Date: Tue Jul 25 11:33:29 2017 +0200 - Fix OvernightIndexedCoupon ctor. refs #124 Thanks datametrics + SABR Interpolation allows normal volatility - QLNet/Cashflows/OvernightIndexedCoupon.cs | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) + src/QLNet/Math/Interpolations/sabrinterpolation.cs | 103 +++++++++++++++------ + 1 file changed, 76 insertions(+), 27 deletions(-) -commit c18a5f83f5edb4a30b00d3f1627d6a88af12354c -Author: Andrea Maggiulli -Date: Wed, 8 Feb 2017 18:35:02 +0100 +commit 82dd2072ff066c1d70b6ecf07a65d0002a5bb6ea +Author: jiskin +Date: Tue Jul 25 11:32:44 2017 +0200 - A static field that is neither constant nor read-only is not thread-safe. + New feature : add normal volatility interpolation to SABR - .gitignore | 2 ++ - QLNet/Math/Interpolations/VannaVolgaInterpolation.cs | 2 +- - QLNet/Math/Interpolations/sabrinterpolation.cs | 2 +- - QLNet/Math/PrimeNumbers.cs | 2 +- - QLNet/Math/integrals/GaussLobattoIntegral.cs | 10 +++++----- - 5 files changed, 10 insertions(+), 8 deletions(-) + src/QLNet/Termstructures/Volatility/Sabr.cs | 179 ++++++++++++++++++++++------ + 1 file changed, 143 insertions(+), 36 deletions(-) -commit 89b170253e87aec9133370e630f9ebe755e5e179 -Author: Andrea Maggiulli -Date: Tue, 7 Feb 2017 18:59:21 +0100 +commit d20cb4cd130d3dc2a204ccf3d1da7495895722a4 +Author: jiskin +Date: Mon Jul 24 18:44:53 2017 +0200 - Fixed Date ctor. + optionDateFromTenor as virtual - QLNet/Time/Date.cs | 450 +++++++++++++++++++++++++++++++++++++---------------- - 1 file changed, 320 insertions(+), 130 deletions(-) + src/QLNet/Termstructures/voltermstructure.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit e6c064b228b107a961c2e44beda540bcbc9d606c -Author: Andrea Maggiulli -Date: Tue, 7 Feb 2017 18:59:05 +0100 +commit dad42146cc4bb9891df1d6be2e38304f4fef8e15 +Author: jiskin +Date: Mon Jul 24 18:43:40 2017 +0200 - Fixed Handle ctor. + Allow normal vol - QLNet/Handle.cs | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) + .../Volatility/swaption/swaptionconstantvol.cs | 60 ++++++++++++++++------ + 1 file changed, 45 insertions(+), 15 deletions(-) -commit c4a9e6b3d6ea5b01299abf47b59aabf60445a8bd -Author: Andrea Maggiulli -Date: Tue, 7 Feb 2017 18:34:24 +0100 +commit 9305341c1d75b4624dd263cd28b74cac429ecb7c +Author: jiskin +Date: Mon Jul 24 18:42:55 2017 +0200 - Fixed MersenneTwisterUniformRng ctor. + Allow normal vol - QLNet/Math/randomnumbers/mt19937uniformrng.cs | 3 ++- - 1 file changed, 2 insertions(+), 1 deletion(-) + src/QLNet/Termstructures/Volatility/FlatSmileSection.cs | 17 ++++++++++------- + 1 file changed, 10 insertions(+), 7 deletions(-) -commit b690479b9177ef699ced9ae12a8209fa0b2ccd3f -Author: Andrea Maggiulli -Date: Tue, 7 Feb 2017 18:33:27 +0100 +commit d311f6403767cc4676b69ee4e390e92b9eee4c81 +Author: jiskin +Date: Mon Jul 24 18:42:14 2017 +0200 - Fixed a wrong check. + Allow normal vol - QLNet/Instruments/Makeswaption.cs | 5 ++--- - 1 file changed, 2 insertions(+), 3 deletions(-) + .../Volatility/swaption/swaptionvolmatrix.cs | 330 ++++++++++++++++----- + 1 file changed, 263 insertions(+), 67 deletions(-) -commit 9a43c977211a15a864c34b57b7990c4d6d4577bc -Author: Andrea Maggiulli -Date: Tue, 7 Feb 2017 18:21:34 +0100 +commit 1d804182412c28ac8791af6181eb8b694c1ee17a +Author: jiskin +Date: Mon Jul 24 18:38:41 2017 +0200 - Fixed MakeSwaption ctor. + Add volatility type and shift - QLNet/Instruments/Makeswaption.cs | 203 +++++++++++++++++++------------------- - 1 file changed, 103 insertions(+), 100 deletions(-) + .../Shortrate/calibrationhelpers/swaptionhelper.cs | 44 ++++++++++++++++------ + 1 file changed, 33 insertions(+), 11 deletions(-) -commit c425bdd5f6000427f554e6c16538aa7d9190aacd -Author: Andrea Maggiulli -Date: Tue, 7 Feb 2017 17:48:56 +0100 +commit 2a4c2c2cfd02c7efb7149d747c9a487860bb2be0 +Author: jiskin +Date: Mon Jul 24 18:37:25 2017 +0200 - Implemented "Equals(object o)" and the "<", ">", "==", "!=" operators on CashFlow. + Add volatility type and shift - QLNet/Cashflow.cs | 38 ++++++++++++++++++++++++++++++++++++++ - 1 file changed, 38 insertions(+) + src/QLNet/Models/CalibrationHelper.cs | 29 ++++++++++++++++++++--------- + 1 file changed, 20 insertions(+), 9 deletions(-) -commit 64d1b4d4f969696e62e02b0f62ace923ffe06aa5 -Author: Andrea Maggiulli -Date: Tue, 7 Feb 2017 17:35:00 +0100 +commit 3ac192d457539a0999c7907f328212bcaadb0acd +Author: jiskin +Date: Wed Jul 19 16:56:44 2017 +0200 - Removed empty statement + Newtonsafe class wasn't public - QLNet/Time/Period.cs | 2 +- + src/QLNet/Math/Solvers1d/Newtonsafe.cs | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit 47d2b135c4312cbd5765e4fb3138319b10e653cc -Author: Andrea Maggiulli -Date: Tue, 7 Feb 2017 17:17:34 +0100 - - "System.Exception" should not be thrown by user code. - - QLNet/Methods/lattices/binominaltree.cs | 2 +- - QLNet/Methods/montecarlo/multipathgenerator.cs | 3 +- - .../Pricingengines/asian/mcdiscreteasianengine.cs | 4 +- - .../barrier/AnalyticBarrierEngine.cs | 20 +- - QLNet/Pricingengines/mclongstaffschwartzengine.cs | 3 +- - .../Pricingengines/swaption/blackswaptionengine.cs | 5 +- - QLNet/Pricingengines/swaption/g2swaptionengine.cs | 4 +- - .../vanilla/AnalyticEuropeanEngine.cs | 9 +- - QLNet/Pricingengines/vanilla/FDDividendEngine.cs | 2 +- - .../Pricingengines/vanilla/FDMultiPeriodEngine.cs | 13 +- - .../vanilla/FDStepConditionEngine.cs | 3 +- - QLNet/Pricingengines/vanilla/FDVanillaEngine.cs | 4 +- - QLNet/Pricingengines/vanilla/Integralengine.cs | 29 +- - QLNet/Pricingengines/vanilla/Juquadraticengine.cs | 322 ++++++++--------- - .../vanilla/baroneadesiwhaleyengine.cs | 22 +- - QLNet/Pricingengines/vanilla/binomialengine.cs | 10 +- - .../vanilla/bjerksundstenslandengine.cs | 14 +- - .../vanilla/discretizedvanillaoption.cs | 3 +- - QLNet/Pricingengines/vanilla/mcamericanengine.cs | 26 +- - QLNet/Pricingengines/vanilla/mcvanillaengine.cs | 9 +- - QLNet/Termstructures/Inflation/InflationHelpers.cs | 3 +- - QLNet/Termstructures/Inflation/Seasonality.cs | 20 +- - QLNet/Termstructures/InflationTermStructure.cs | 19 +- - .../Volatility/Inflation/CPIVolatilitySurface.cs | 3 +- - .../yoyinflationoptionletvolatilitystructure.cs | 33 +- - QLNet/Termstructures/Volatility/Sabr.cs | 26 +- - QLNet/Termstructures/Volatility/SmileSection.cs | 6 +- - .../Volatility/equityfx/BlackVarianceCurve.cs | 12 +- - .../Volatility/equityfx/ImpliedVolTermStructure.cs | 2 +- - .../Volatility/equityfx/LocalVolSurface.cs | 22 +- - QLNet/Termstructures/localbootstrap.cs | 27 +- - QLNet/Time/Calendar.cs | 6 +- - QLNet/Time/Calendars/JointCalendar.cs | 9 +- - QLNet/Time/Calendars/Ukraine.cs | 3 +- - QLNet/Time/Calendars/brazil.cs | 3 +- - QLNet/Time/Period.cs | 54 ++- - QLNet/Time/Schedule.cs | 9 +- - QLNet/Utils.cs | 4 +- - QLNet/discretizedasset.cs | 6 +- - QLNet/legacy/libormarketmodels/lfmcovarproxy.cs | 3 +- - .../legacy/libormarketmodels/lfmhullwhiteparam.cs | 12 +- - .../legacy/libormarketmodels/lfmswaptionengine.cs | 4 +- - .../legacy/libormarketmodels/liborforwardmodel.cs | 13 +- - QLNet/payoff.cs | 2 +- - QLNet/processes/Ornsteinuhlenbeckprocess.cs | 6 +- - QLNet/processes/stochasticprocessarray.cs | 7 +- - QLNet/timegrid.cs | 386 +++++++++++---------- - 47 files changed, 587 insertions(+), 620 deletions(-) - -commit 8e04d28508eb94b0e457cb2a01c1310d89fd0857 -Author: Andrea Maggiulli -Date: Tue, 7 Feb 2017 14:23:43 +0100 - - "System.Exception" should not be thrown by user code. - - QLNet/Math/Matrix.cs | 4 +- - QLNet/Math/beta.cs | 2 +- - QLNet/Math/statistics/riskstatistics.cs | 22 +++----- - QLNet/Math/statistics/sequencestatistics.cs | 11 ++-- - .../Finitedifferences/TridiagonalOperator.cs | 25 ++++----- - .../Finitedifferences/finitedifferencemodel.cs | 2 +- - QLNet/Methods/lattices/binominaltree.cs | 14 ++--- - QLNet/Methods/lattices/lattice.cs | 5 +- - QLNet/Methods/montecarlo/brownianbridge.cs | 4 +- - QLNet/Methods/montecarlo/lsmbasissystem.cs | 3 +- - QLNet/Methods/montecarlo/multipath.cs | 2 +- - QLNet/Methods/montecarlo/multipathgenerator.cs | 64 +++++++++++----------- - QLNet/Methods/montecarlo/path.cs | 3 +- - QLNet/Methods/montecarlo/pathgenerator.cs | 10 ++-- - QLNet/Models/Parameter.cs | 6 +- - .../Shortrate/Onefactormodels/coxingersollross.cs | 6 +- - .../Models/Shortrate/Onefactormodels/hullwhite.cs | 15 ++--- - QLNet/Models/Shortrate/Twofactorsmodels/g2.cs | 3 +- - QLNet/Models/model.cs | 4 +- - QLNet/Money.cs | 12 ++-- - QLNet/Option.cs | 7 +-- - QLNet/Pricingengines/Americanpayoffathit.cs | 23 +++----- - QLNet/Pricingengines/BlackCalculator.cs | 64 +++++++++------------- - QLNet/Pricingengines/Blackscholescalculator.cs | 7 +-- - .../asian/mc_discr_arith_av_price.cs | 28 ++++------ - .../asian/mc_discr_arith_av_strike.cs | 14 ++--- - .../Pricingengines/asian/mc_discr_geom_av_price.cs | 20 +++---- - 27 files changed, 160 insertions(+), 220 deletions(-) - -commit eb7a919fa10f69275c1c85bff3dd59faf8c92262 -Author: Andrea Maggiulli -Date: Mon, 6 Feb 2017 18:11:34 +0100 - - "System.Exception" should not be thrown by user code. - - QLNet/Math/Distributions/chisquaredistribution.cs | 2 +- - QLNet/Math/Distributions/poissondistribution.cs | 79 +++-- - .../Interpolations/convexmonotoneinterpolation.cs | 17 +- - QLNet/Math/Matrix.cs | 14 +- - QLNet/Math/Optimization/Constraint.cs | 2 +- - QLNet/Math/Optimization/EndCriteria.cs | 8 +- - QLNet/Math/Optimization/LineSearch.cs | 3 +- - QLNet/Math/Optimization/ProjectedCostFunction.cs | 18 +- - QLNet/Math/Optimization/Simplex.cs | 3 +- - QLNet/Math/Optimization/levenbergmarquardt.cs | 6 +- - QLNet/Math/Rounding.cs | 3 +- - QLNet/Math/SampledCurve.cs | 359 ++++++++++++--------- - QLNet/Math/Solvers1d/Newton.cs | 3 +- - QLNet/Math/Solvers1d/Newtonsafe.cs | 3 +- - QLNet/Math/Solvers1d/Ridder.cs | 2 +- - QLNet/Math/Vector.cs | 8 +- - QLNet/Math/beta.cs | 22 +- - QLNet/Math/integrals/Integral.cs | 4 +- - QLNet/Math/integrals/Segmentintegral.cs | 3 +- - .../Math/integrals/gaussianorthogonalpolynomial.cs | 29 +- - QLNet/Math/integrals/simpsonintegral.cs | 3 +- - QLNet/Math/integrals/trapezoidintegral.cs | 3 +- - QLNet/Math/linearleastsquaresregression.cs | 4 +- - .../Math/matrixutilities/choleskydecomposition.cs | 6 +- - QLNet/Math/matrixutilities/pseudosqrt.cs | 51 ++- - .../matrixutilities/symmetricschurdecomposition.cs | 10 +- - .../Math/randomnumbers/randomsequencegenerator.cs | 2 +- - QLNet/Math/randomnumbers/sobolrsg.cs | 10 +- - QLNet/Math/statistics/gaussianstatistics.cs | 12 +- - QLNet/Math/statistics/generalstatistics.cs | 36 +-- - QLNet/Math/statistics/incrementalstatistics.cs | 26 +- - 31 files changed, 391 insertions(+), 360 deletions(-) - -commit 125ceaf9538e896a62d611e98d466c66dd21b353 -Author: Andrea Maggiulli -Date: Mon, 6 Feb 2017 16:34:15 +0100 - - "System.Exception" should not be thrown by user code. - - QLNet/Exercise.cs | 16 +- - QLNet/Handle.cs | 3 +- - QLNet/Indexes/Ibor/Euribor.cs | 10 +- - QLNet/Indexes/Ibor/Eurlibor.cs | 11 +- - QLNet/Indexes/Ibor/Libor.cs | 22 +-- - QLNet/Indexes/InflationIndex.cs | 53 ++---- - QLNet/Instruments/AsianOption.cs | 42 ++--- - QLNet/Instruments/BarrierOption.cs | 73 ++++---- - QLNet/Instruments/Bonds/AmortizingFixedRateBond.cs | 31 ++-- - QLNet/Instruments/Bonds/CmsRateBond.cs | 12 +- - QLNet/Instruments/Bonds/Fixedratebond.cs | 29 ++- - QLNet/Instruments/Bonds/FloatingRateBond.cs | 24 ++- - QLNet/Instruments/CapFloor.cs | 4 +- - QLNet/Instruments/DividendVanillaOption.cs | 17 +- - QLNet/Instruments/ImpliedVolatility.cs | 3 +- - QLNet/Instruments/MultiAssetOption.cs | 52 +++--- - QLNet/Instruments/OneAssetOption.cs | 47 +++-- - QLNet/Instruments/OvernightIndexedSwap.cs | 18 +- - QLNet/Instruments/Stock.cs | 3 +- - QLNet/Instruments/Swaption.cs | 4 +- - QLNet/Instruments/VanillaSwap.cs | 3 +- - QLNet/Instruments/bmaswap.cs | 26 ++- - QLNet/Instruments/forward.cs | 9 +- - QLNet/Instruments/forwardrateagreement.cs | 3 +- - QLNet/Instruments/payoffs.cs | 17 +- - QLNet/InterestRate.cs | 9 +- - QLNet/Math/Comparison.cs | 117 ++++++------ - QLNet/Math/Distributions/GammaDistribution.cs | 199 ++++++++++---------- - QLNet/Math/Distributions/NormalDistribution.cs | 17 +- - QLNet/Math/Distributions/binomialdistribution.cs | 206 +++++++++++---------- - 30 files changed, 514 insertions(+), 566 deletions(-) - -commit 450958402db10e3aaaf2e38640e68e2759b541c8 -Author: Andrea Maggiulli -Date: Mon, 6 Feb 2017 13:11:41 +0100 +commit 09f550742cc69174fae33b4cde2cf078a573f918 +Author: jiskin +Date: Mon Jul 17 14:18:14 2017 +0200 - clone() in OvernightIndex , thx @datametrics - refs #121 + Set optionDateFromTenor as overridable - QLNet/Indexes/IBORIndex.cs | 2 +- + src/QLNet/Termstructures/voltermstructure.cs | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit 93101b6ad8a2525456a8996bead84ac457013e45 -Author: Andrea Maggiulli -Date: Sat, 4 Feb 2017 18:23:36 +0100 - - "System.Exception" should not be thrown by user code. - - QLNet/Cashflows/Cashflowvectors.cs | 8 ++-- - QLNet/Cashflows/ConundrumPricer.cs | 19 ++++---- - QLNet/Cashflows/DigitalCoupon.cs | 72 +++++++++++++++---------------- - QLNet/Cashflows/Dividend.cs | 6 +-- - QLNet/Cashflows/InflationCoupon.cs | 18 +++----- - QLNet/Cashflows/InflationCouponPricer.cs | 16 +++---- - QLNet/Cashflows/OvernightIndexedCoupon.cs | 30 +++++-------- - QLNet/Cashflows/SimpleCashFlow.cs | 2 +- - QLNet/Currencies/ExchangeRate.cs | 21 ++++----- - QLNet/Currencies/ExchangeRateManager.cs | 9 ++-- - QLNet/Error.cs | 31 ------------- - QLNet/QLNet.csproj | 1 - - QLNet/Time/Calendar.cs | 6 +-- - QLNet/Time/DayCounter.cs | 10 ++--- - QLNet/Time/Period.cs | 10 +++-- - 15 files changed, 105 insertions(+), 154 deletions(-) - -commit ea4609e42fe5e94afec0dfceb67d8f54df395f5f -Author: Andrea Maggiulli -Date: Sat, 4 Feb 2017 15:41:31 +0100 +commit 6b1aaa8b36fa1e8cae9cb7929a729a6cd5485e5f +Author: jiskin +Date: Mon Jul 17 14:17:39 2017 +0200 - "System.Exception" should not be thrown by user code. + Update constant vol + + Take into account the shift value - QLNet/Cashflows/CPICoupon.cs | 26 ++++++++++----------- - QLNet/Cashflows/CappedFlooredCoupon.cs | 11 +++++---- - QLNet/Cashflows/CappedFlooredYoYInflationCoupon.cs | 6 ++--- - QLNet/Cashflows/Cashflowvectors.cs | 27 +++++----------------- - 4 files changed, 27 insertions(+), 43 deletions(-) + .../Volatility/swaption/swaptionconstantvol.cs | 60 ++++++++++++++++------ + 1 file changed, 45 insertions(+), 15 deletions(-) -commit 1615d65d558b9d581dd512d91b30f12162f9962d -Author: Andrea Maggiulli -Date: Sat, 4 Feb 2017 14:52:40 +0100 +commit d56f4cf416adfc94f0c5896bc49e7f6634ab74ec +Author: jiskin +Date: Mon Jul 17 14:15:54 2017 +0200 + + Update Swaption Engine + + - Generic interface + - Black76 engine and Bachelier engine - Removed static field initialized by non-static method. + .../Pricingengines/swaption/blackswaptionengine.cs | 355 ++++++++++++++------- + 1 file changed, 241 insertions(+), 114 deletions(-) - QLNet/Math/randomnumbers/seedgenerator.cs | 2 +- +commit 24f0b0f13dba7caf2e41ebfa091fd7de1819647b +Author: jiskin +Date: Mon Jul 17 14:14:49 2017 +0200 + + Swaption instrument update + + src/QLNet/Instruments/Swaption.cs | 22 ++++++++++++++++++---- + 1 file changed, 18 insertions(+), 4 deletions(-) + +commit 75fcdb63f7f1b3f0f745b26a58ee63f2d8afdcd5 +Author: jiskin +Date: Mon Jul 17 14:13:18 2017 +0200 + + Put forwardValue method as virtual + + Allow to override in child class + + src/QLNet/Instruments/forward.cs | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit f12a1d79492f61f70d28ffdeb35ef9a3303cb66a +commit 047346e1d8bb832e3db911f090e6f81e0d618847 +Author: Francois Botha +Date: Thu Jun 15 17:32:54 2017 +0200 + + Implement DiscountingLoanEngine + + .../Pricingengines/Loan/DiscountingLoanEngine.cs | 44 ++++++++++++++++++++++ + 1 file changed, 44 insertions(+) + +commit d14bcd1d6bcfe7b483819a1cbf97d65114f620c8 +Author: jiskin +Date: Wed May 17 14:31:13 2017 +0200 + + Update SVI Interpolation with addParam input + + src/QLNet/Math/Interpolations/SviInterpolation.cs | 14 +++++++------- + 1 file changed, 7 insertions(+), 7 deletions(-) + +commit 2cce4390c9a477c00567eefb5e5d604f86b6587b +Author: jiskin +Date: Wed May 17 14:25:59 2017 +0200 + + Add sabr interpolated to project file + + src/QLNet.Old/QLNet.Old.csproj | 3 +++ + 1 file changed, 3 insertions(+) + +commit 42d4102f849a60380dfdb4389e1f2e31ba29fec1 +Author: jiskin +Date: Wed May 17 14:25:17 2017 +0200 + + Add Sabr Interpolated + update sabr & svi + + src/QLNet/Termstructures/Volatility/Sabr.cs | 34 ++++ + .../Volatility/SabrInterpolatedSmileSection.cs | 198 +++++++++++++++++++++ + 2 files changed, 232 insertions(+) + +commit a4d381d7543a4543faee5138214436106ddcd46c +Author: jiskin +Date: Wed May 17 14:23:59 2017 +0200 + + Add shift to SABR & XABR + + src/QLNet/Math/Interpolations/XABRInterpolation.cs | 39 ++++++++------- + src/QLNet/Math/Interpolations/sabrinterpolation.cs | 56 ++++++++++++++-------- + 2 files changed, 57 insertions(+), 38 deletions(-) + +commit 8ca8570bfc78b8b0b71f4b44f29faf91e0ede085 +Merge: 6d085c4 5c50127 +Author: jiskin +Date: Wed May 17 12:09:09 2017 +0200 + + Merge pull request #4 from amaggiulli/develop + + merge svi bug fix + +commit 5c50127000c7c0eb7ed73605ab84e4d600b863a9 Author: Andrea Maggiulli -Date: Sat, 4 Feb 2017 14:28:58 +0100 +Date: Tue May 16 18:27:59 2017 +0200 - GitHub badges . Added more SonarQube metrics [skip ci] + Sonar fix : removed useless assignment to local variable 'j' - README.md | 2 +- + src/QLNet/Math/Interpolations/SviInterpolation.cs | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit d16c996f89d4954e080527c7a3d044dcfce5e228 +commit 39ffb948f39711fabed076eba1bf9c032af0a5aa +Merge: ed1181a 0f55bae Author: Andrea Maggiulli -Date: Sat, 4 Feb 2017 14:28:27 +0100 +Date: Tue May 16 14:36:56 2017 +0200 - GitHub badges . Added more SonarQube metrics [skip ci] + Merge pull request #155 from jiskin/SonarQube_SVI_Fix + + SonarQube Issue fix on SVI PR - README.md | 8 ++++---- - 1 file changed, 4 insertions(+), 4 deletions(-) +commit 0f55bae9b0e522e33a1389bfac81bb0fa492951e +Author: jiskin +Date: Tue May 16 14:25:52 2017 +0200 + + Fix SonarQube issue on SVI Volatility + + .../Termstructures/Volatility/SviInterpolatedSmileSection.cs | 12 ++++++------ + src/QLNet/Termstructures/Volatility/SviSmileSection.cs | 4 ++-- + 2 files changed, 8 insertions(+), 8 deletions(-) -commit 2d511104e09ccc31a7f57cfab7d481b491f9845c +commit 4b579a92a2987c0bf98480550104276f9fa65517 +Author: jiskin +Date: Tue May 16 14:25:19 2017 +0200 + + Fix SonarQube issue on SVI Interpolation + + src/QLNet/Math/Interpolations/SviInterpolation.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit ba47fcdbe1264277115b3a1ed4c456cabbca6a5b +Author: jiskin +Date: Tue May 16 14:24:42 2017 +0200 + + Fix Count() + + tests/QLNet.Tests/T_SVI.cs | 10 +++++----- + 1 file changed, 5 insertions(+), 5 deletions(-) + +commit 6d085c4e1e7a6ccb519aba82f0e0da8f33c81b80 +Merge: 17bf67d ed1181a +Author: jiskin +Date: Tue May 16 14:24:06 2017 +0200 + + Merge pull request #3 from amaggiulli/develop + + Add SVI Interpolation + Smile section + +commit ed1181a5f06d287ba73998a86b5033ee866017d6 +Merge: 6b0a879 7b16c24 Author: Andrea Maggiulli -Date: Sat, 4 Feb 2017 14:25:42 +0100 +Date: Tue May 16 13:53:22 2017 +0200 - GitHub badges . Added more SonarQube metrics [skip ci] + Merge pull request #153 from jiskin/add_svi + + Port SVI Interpolation + SmileSection from QuantLib - README.md | 4 ++++ - 1 file changed, 4 insertions(+) +commit 7b16c248c324594d3fdf3626e902411ac642a811 +Author: jiskin +Date: Tue May 16 13:21:45 2017 +0200 + + Update QLNet Test old project file + + tests/QLNet.Tests.Old/QLNet.Tests.Old.csproj | 3 ++- + 1 file changed, 2 insertions(+), 1 deletion(-) + +commit 3a98951ae71d31a7407348fff4f55387f078d932 +Author: jiskin +Date: Tue May 16 13:21:19 2017 +0200 + + Update QLNet old project file + + src/QLNet.Old/QLNet.Old.csproj | 12 ++++++++++++ + 1 file changed, 12 insertions(+) + +commit ce701aefab03b8456fe848adf90dc9a5c02b0082 +Author: jiskin +Date: Tue May 16 12:27:36 2017 +0200 -commit 432de0719dd01ed5a9dd43cf1afa9d27cf5f92e3 + Add SVI Interpolated or not smile section + + src/QLNet/Termstructures/Volatility/Svi.cs | 58 ++++++ + .../Volatility/SviInterpolatedSmileSection.cs | 201 +++++++++++++++++++++ + .../Termstructures/Volatility/SviSmileSection.cs | 70 +++++++ + 3 files changed, 329 insertions(+) + +commit 9c6b08f295ad95140515bcb5b39bd1a88d304002 +Author: jiskin +Date: Tue May 16 12:26:57 2017 +0200 + + Add SVI Interpolation class + + src/QLNet/Math/Interpolations/SviInterpolation.cs | 223 ++++++++++++++++++++++ + 1 file changed, 223 insertions(+) + +commit 6407ce9294ccf286ae1f70acf1de019f96d92b0d +Author: jiskin +Date: Tue May 16 12:13:28 2017 +0200 + + Add test for SVI Calibration + + tests/QLNet.Tests/T_SVI.cs | 125 +++++++++++++++++++++++++++++++++++++++++++++ + 1 file changed, 125 insertions(+) + +commit 17bf67d5cec940c20fc2250ae4241ad30c0cf0bc +Merge: 22860fe 6b0a879 +Author: jiskin +Date: Mon May 15 10:27:59 2017 +0200 + + Merge pull request #2 from amaggiulli/develop + + merge + +commit 6b0a87925a708ebe9d895ea5c339e6346ffd95dc Author: Andrea Maggiulli -Date: Sat, 4 Feb 2017 13:33:37 +0100 +Date: Thu May 11 18:11:14 2017 +0200 - GitHub badges . Removed slow badges and added SonarQube new ones [skip ci] + Cpi bug fix, thx @jiskin. Close #135 - README.md | 7 ++++--- + src/QLNet/Instruments/CPISwap.cs | 7 ++++--- 1 file changed, 4 insertions(+), 3 deletions(-) -commit 901e47a621c8020ac1466e193c29d53f82973f62 +commit edbef7cb4e420952d9a0f3c128f02b750294263e +Merge: 78f929b 88652ad Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 17:26:14 +0100 +Date: Thu May 11 15:39:22 2017 +0200 - GitHub badge . Fixing slow badges [skip ci] - - README.md | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + Merge pull request #150 from jiskin/MakeCms_AddIborGearing + + Add gearing interface for CMS and Floating legs -commit 2b578bf3aa90190484e74e3be32fc23fe2397b45 +commit 78f929be0da0cd00701abeef77b9ef65cabf5e4d +Merge: 4b555ed 6f1e9f9 Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 16:41:29 +0100 +Date: Thu May 11 15:25:29 2017 +0200 + + Merge pull request #149 from jiskin/Swap_AddNewPropertyRetriever + + Retrieve payer information for each leg + +commit 22860fecf3834ff5ae98d4fd8b85fc29834d0725 +Merge: 835befc 4b555ed +Author: jiskin +Date: Thu May 4 23:30:19 2017 +0200 + + Merge pull request #1 from amaggiulli/develop + + Fix inflation + +commit 88652ad57677710939f8450ef824da7d904cf2c7 +Author: jiskin +Date: Thu May 4 17:03:59 2017 +0200 - SonarQube badges and a small indentation fix. + Add gearing interface for CMS and Floating legs - QLNet/Time/Calendars/UnitedStates.cs | 82 ++++++++++++++++++------------------ - README.md | 2 + - 2 files changed, 44 insertions(+), 40 deletions(-) + src/QLNet/Instruments/MakeCms.cs | 16 ++++++++++++++-- + 1 file changed, 14 insertions(+), 2 deletions(-) -commit cefe56a72710abedc0fb28cd3a865a0c6376930a +commit 6f1e9f935b857ea84963cf9eafdb44bc17bac1c1 +Author: jiskin +Date: Thu May 4 16:59:49 2017 +0200 + + Retrieve payer information for each leg + + src/QLNet/Instruments/Swap.cs | 6 ++++++ + 1 file changed, 6 insertions(+) + +commit 4b555ed608d160f334f459651a8627e9c9b083ea +Merge: e4b1028 53a9f3f Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 15:33:38 +0100 - - Fixed indentation. - - QLNet/Cashflows/FixedRateCoupon.cs | 3 +- - QLNet/Cashflows/OvernightIndexedCoupon.cs | 11 ++- - QLNet/Instruments/Makeswaption.cs | 8 +-- - QLNet/Math/randomnumbers/mt19937uniformrng.cs | 14 ++-- - QLNet/Pricingengines/Swap/treeswapengine.cs | 2 +- - .../Pricingengines/swaption/treeswaptionengine.cs | 5 +- - QLNet/Time/Calendars/UnitedStates.cs | 81 +++++++++++----------- - QLNet/Time/Period.cs | 19 ++--- - QLNet/processes/Defaultable.cs | 3 +- - 9 files changed, 74 insertions(+), 72 deletions(-) - -commit 0eb7553188f5a6e9b6606df329831f8903fcd03d +Date: Thu May 4 15:18:13 2017 +0200 + + Merge pull request #147 from igitur/ICloneable-reference-fix + + ICloneable references + +commit 53a9f3f7acfa6c93ffa3b4c2e353a87d3fe8a644 Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 15:24:46 +0100 +Date: Thu May 4 15:17:30 2017 +0200 - Fixed operators syntax. + Update T_Vector.cs - QLNet/Math/Interpolations/XABRInterpolation.cs | 2 +- - QLNet/Math/matrixutilities/svd.cs | 6 +++--- - 2 files changed, 4 insertions(+), 4 deletions(-) + tests/QLNet.Tests/T_Vector.cs | 1 + + 1 file changed, 1 insertion(+) -commit dfb7d941e45e685a004562ef150c42558fbda0da +commit e4b1028ffcaefda638537ee0fa6673b70aed1b55 Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 13:16:04 +0100 +Date: Thu May 4 14:37:29 2017 +0200 - Fixed FiniteDifferenceModel ctors - https://sonarqube.com/issues/search#issues=AVngvKY5aRqHwG08_yg7 + Fixed InflationIndex.needsForecast, testZeroTermStructure test and PiecewiseZeroInflationCurve.maxDate. + Thanks @igitur and @jiskin for finding and fixing. Close #146 - QLNet/Methods/Finitedifferences/finitedifferencemodel.cs | 10 +++++----- - 1 file changed, 5 insertions(+), 5 deletions(-) + src/QLNet/Indexes/InflationIndex.cs | 2 +- + .../Inflation/InterpolatedZeroInflationCurve.cs | 14 ++++++++++---- + .../Inflation/PiecewiseZeroInflationCurve.cs | 16 +++++++++++----- + tests/QLNet.Tests/T_Inflation.cs | 4 ++-- + 4 files changed, 24 insertions(+), 12 deletions(-) -commit 2eed3ce16b4d095b88e76bf7ada7dbf3fd680eda +commit c3cc66d875f38b0b711b1dd0418110db0ad2fba2 Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 12:58:33 +0100 +Date: Thu May 4 14:32:56 2017 +0200 - Added null check - https://sonarqube.com/issues/search#issues=AVngvKC2aRqHwG08_x4Z + Update T_Vector.cs + + removed unused reference - QLNet/Instruments/CPISwap.cs | 20 ++++++++++++-------- - 1 file changed, 12 insertions(+), 8 deletions(-) + tests/QLNet.Tests/T_Vector.cs | 3 +-- + 1 file changed, 1 insertion(+), 2 deletions(-) -commit 13366afdecbae15b38c51dfda6944a0a19fed516 -Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 12:51:02 +0100 +commit c628d8c904cd78c1de24a14c20888099bb706b17 +Author: Francois Botha +Date: Thu May 4 12:56:30 2017 +0200 - Changed condition so that it does not always evaluate to "true" - https://sonarqube.com/issues/search#issues=AVngvKx9aRqHwG08_zS3 + Boolean logic fix for when to implement ICloneable interface. The interface is already available in .NET40 and .NET45 - QLNet/Time/Calendar.cs | 2 +- + src/QLNet/Utils.cs | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit 8c451c0d7963de9664f5422f82cfc49b31ba8ff7 -Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 12:46:43 +0100 +commit fbb760578f3f224cead0ed0c50379f6944a8b9ea +Author: Francois Botha +Date: Thu May 4 12:34:37 2017 +0200 - Fixed nullable value types non compliant code. https://sonarqube.com/issues/search#issues=AVngvKe7aRqHwG08_ys9 + Don't reference ICloneable using namespace, or it will fail for NET40 build. - QLNet/Pricingengines/asian/mcdiscreteasianengine.cs | 4 ++-- - QLNet/Pricingengines/mcsimulation.cs | 6 +++--- - QLNet/Pricingengines/vanilla/mcamericanengine.cs | 4 ++-- - QLNet/Pricingengines/vanilla/mcvanillaengine.cs | 4 ++-- - 4 files changed, 9 insertions(+), 9 deletions(-) + tests/QLNet.Tests/T_Vector.cs | 3 ++- + 1 file changed, 2 insertions(+), 1 deletion(-) -commit 1815923e98fbc7e23059a254797d03286ba2b79a +commit 8141b66969826140f647fe136f5105304fb4a413 Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 11:49:00 +0100 +Date: Fri Apr 28 16:26:40 2017 +0200 - Fixed floating point numbers equality. Added missing file + Removed unnecessary cast. - QLNet/Extensions/DoubleExtension.cs | 48 +++++++++++++++++++++++++++++++++++++ - 1 file changed, 48 insertions(+) + src/QLNet/Math/Optimization/ArmijoLineSearch.cs | 2 +- + src/QLNet/Math/Optimization/problem.cs | 4 ++-- + src/QLNet/Math/SampledCurve.cs | 12 ++++++------ + src/QLNet/Math/transformedgrid.cs | 6 +++--- + src/QLNet/Methods/Finitedifferences/TridiagonalOperator.cs | 8 ++++---- + src/QLNet/Methods/montecarlo/path.cs | 2 +- + 6 files changed, 17 insertions(+), 17 deletions(-) -commit fcfbb62906db71ef18e37f3a027770487f370dc6 +commit 835befc29c2d1c52b81b1a2e0ac10ef0b0574544 Author: Andrea Maggiulli -Date: Thu, 2 Feb 2017 11:39:39 +0100 - - Fixed floating point numbers equality. - - QLNet/Cashflows/CPICoupon.cs | 2 +- - QLNet/Cashflows/CashFlows.cs | 14 ++++---- - QLNet/Cashflows/Cashflowvectors.cs | 8 ++--- - QLNet/Cashflows/ConundrumPricer.cs | 10 +++--- - QLNet/Cashflows/CouponPricer.cs | 2 +- - QLNet/Cashflows/DigitalCoupon.cs | 6 ++-- - QLNet/Cashflows/FloatingRateCoupon.cs | 4 +-- - QLNet/Cashflows/OvernightIndexedCoupon.cs | 5 ++- - QLNet/Cashflows/RangeAccrual.cs | 3 +- - QLNet/Currencies/ExchangeRateManager.cs | 2 +- - QLNet/Instruments/AssetSwap.cs | 2 +- - QLNet/Instruments/BasisSwap.cs | 2 +- - QLNet/Instruments/Bond.cs | 10 +++--- - QLNet/Instruments/Bonds/AmortizingBond.cs | 2 +- - QLNet/Instruments/CapFloor.cs | 4 +-- - QLNet/Instruments/CreditDefaultSwap.cs | 2 +- - QLNet/Instruments/Swaption.cs | 4 +-- - QLNet/Instruments/VanillaSwap.cs | 2 +- - QLNet/Instruments/bmaswap.cs | 2 +- - QLNet/InterestRate.cs | 2 +- - QLNet/Math/AbcdMathFunction.cs | 4 +-- - QLNet/Math/Comparison.cs | 8 ++--- - QLNet/Math/Distributions/binomialdistribution.cs | 8 ++--- - QLNet/Math/Distributions/poissondistribution.cs | 2 +- - .../BackwardflatLinearInterpolation.cs | 2 +- - QLNet/Math/Interpolations/CubicInterpolation.cs | 14 ++++---- - .../Interpolations/backwardflatinterpolation.cs | 2 +- - .../Interpolations/convexmonotoneinterpolation.cs | 6 ++-- - QLNet/Math/Matrix.cs | 2 +- - QLNet/Math/Optimization/Simplex.cs | 2 +- - QLNet/Math/Optimization/lmdif.cs | 42 +++++++++++----------- - QLNet/Math/Solvers1d/Newton.cs | 2 +- - QLNet/Math/Solvers1d/Newtonsafe.cs | 2 +- - QLNet/Math/Solvers1d/Ridder.cs | 6 ++-- - QLNet/Math/Vector.cs | 2 +- - QLNet/Math/beta.cs | 4 +-- - QLNet/Math/integrals/GaussLobattoIntegral.cs | 10 +++--- - QLNet/Math/integrals/Integral.cs | 2 +- - QLNet/Math/integrals/Kronrodintegral.cs | 2 +- - .../Math/integrals/gaussianorthogonalpolynomial.cs | 12 +++---- - .../Math/matrixutilities/TqrEigenDecomposition.cs | 4 +-- - .../Math/matrixutilities/choleskydecomposition.cs | 2 +- - QLNet/Math/matrixutilities/pseudosqrt.cs | 2 +- - QLNet/Math/matrixutilities/qrdecomposition.cs | 2 +- - QLNet/Math/matrixutilities/svd.cs | 16 ++++----- - .../matrixutilities/symmetricschurdecomposition.cs | 2 +- - QLNet/Math/statistics/incrementalstatistics.cs | 6 ++-- - QLNet/Math/statistics/sequencestatistics.cs | 6 ++-- - .../Finitedifferences/TridiagonalOperator.cs | 4 +-- - QLNet/Methods/Finitedifferences/mixedscheme.cs | 8 ++--- - QLNet/Methods/montecarlo/lsmbasissystem.cs | 20 +---------- - QLNet/Models/Parameter.cs | 2 +- - QLNet/Money.cs | 2 +- - QLNet/Pricingengines/Americanpayoffatexpiry.cs | 2 +- - QLNet/Pricingengines/Americanpayoffathit.cs | 4 +-- - QLNet/Pricingengines/Basket/StulzEngine.cs | 2 +- - QLNet/Pricingengines/BlackCalculator.cs | 4 +-- - QLNet/Pricingengines/BlackDeltaCalculator.cs | 4 +-- - QLNet/Pricingengines/Bond/BondFunctions.cs | 2 +- - ...AnalyticContinuousPartialFixedLookbackEngine.cs | 2 +- - ...lyticContinuousPartialFloatingLookbackEngine.cs | 2 +- - .../asian/mc_discr_arith_av_price.cs | 2 +- - .../asian/mc_discr_arith_av_strike.cs | 2 +- - .../Pricingengines/asian/mc_discr_geom_av_price.cs | 2 +- - .../barrier/VannaVolgaBarrierEngine.cs | 8 ++--- - .../barrier/VannaVolgaDoubleBarrierEngine.cs | 8 ++--- - QLNet/Pricingengines/blackformula.cs | 20 +++++------ - QLNet/Pricingengines/credit/IntegralCdsEngine.cs | 8 ++--- - QLNet/Pricingengines/credit/MidPointCdsEngine.cs | 8 ++--- - .../Pricingengines/swaption/blackswaptionengine.cs | 2 +- - .../vanilla/AnalyticBSMHullWhiteEngine.cs | 2 +- - .../Pricingengines/vanilla/AnalyticHestonEngine.cs | 2 +- - QLNet/QLNet.csproj | 1 + - QLNet/Quotes/SimpleQuote.cs | 2 +- - .../Credit/InterpolatedHazardRateCurve.cs | 2 +- - .../DefaultProbabilityTermStructure.cs | 3 +- - QLNet/Termstructures/Volatility/AbcdFunction.cs | 2 +- - .../Volatility/Optionlet/OptionletStripper.cs | 2 +- - .../Volatility/Optionlet/OptionletStripper2.cs | 2 +- - .../Volatility/equityfx/BlackVarianceSurface.cs | 2 +- - .../Volatility/equityfx/BlackVolTermStructure.cs | 6 ++-- - .../Volatility/equityfx/LocalVolSurface.cs | 6 ++-- - .../Volatility/swaption/SwaptionVolCube1.cs | 12 +++---- - QLNet/Termstructures/Yield/Bootstraptraits.cs | 2 +- - QLNet/Termstructures/Yield/DiscountCurve.cs | 2 +- - QLNet/Termstructures/Yield/ForwardCurve.cs | 2 +- - QLNet/Termstructures/Yield/ForwardStructure.cs | 4 +-- - QLNet/Termstructures/Yield/Zeroyieldstructure.cs | 2 +- - QLNet/Termstructures/YieldTermStructure.cs | 4 +-- - QLNet/Utils.cs | 6 ++-- - QLNet/timegrid.cs | 2 +- - 91 files changed, 214 insertions(+), 234 deletions(-) - -commit 93a1417687c2d21e34c3ad0d6096bedd817566b1 +Date: Fri Apr 28 15:55:33 2017 +0200 + + Removed Vector operator == overload , XML doc and a new test. + + src/QLNet/Math/Vector.cs | 74 +++++++++++++++++++++++++++++-------------- + tests/QLNet.Tests/T_Vector.cs | 20 ++++++++++-- + 2 files changed, 69 insertions(+), 25 deletions(-) + +commit 0d319c22ed4a1f9dc8773836a25b7dc768efbcf9 Author: Andrea Maggiulli -Date: Wed, 1 Feb 2017 15:13:48 +0100 +Date: Fri Apr 28 14:22:45 2017 +0200 - Fix file format UTF-8 + Fixed Vector Clone and Equals with tests. - QLNet/Time/Calendars/argentina.cs | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) + src/QLNet/Math/Vector.cs | 34 +++++++--- + tests/QLNet.Tests.Old/QLNet.Tests.Old.csproj | 1 + + tests/QLNet.Tests/T_Vector.cs | 98 ++++++++++++++++++++++++++++ + tests/QLNet.Tests/Utilities.cs | 45 +++++++++++++ + 4 files changed, 169 insertions(+), 9 deletions(-) -commit 522dd7172f956eaec0bc9d6b46708b9f7a1aeddf +commit 7ff1dec239b6667093ce430b93b4b208eda6f7cc Author: Andrea Maggiulli -Date: Wed, 1 Feb 2017 14:52:41 +0100 +Date: Thu Apr 27 17:36:49 2017 +0200 - LmVolatilityModel and sub classes : removed infinite recursion and refactoring. + Removed useless optional parameter. - .../libormarketmodels/lmconstwrappervolmodel.cs | 67 ++++---- - .../libormarketmodels/lmextlinexpvolmodel.cs | 70 ++++---- - QLNet/legacy/libormarketmodels/lmfixedvolmodel.cs | 150 ++++++++--------- - QLNet/legacy/libormarketmodels/lmlinexpvolmodel.cs | 177 +++++++++++---------- - QLNet/legacy/libormarketmodels/lmvolmodel.cs | 78 ++++----- - 5 files changed, 260 insertions(+), 282 deletions(-) + src/QLNet/Termstructures/Inflation/InterpolatedYoYInflationCurve.cs | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit 120a3e873433374cc4d01536f0cc899f51a09f81 +commit a2abf0f4d7d1d7754c94445255165d86b33e4502 Author: Andrea Maggiulli -Date: Wed, 1 Feb 2017 14:24:20 +0100 +Date: Thu Apr 27 17:36:03 2017 +0200 - LmCorrelationModel and sub classes : removed infinite recursion and refactoring. + Code formatted. - .../libormarketmodels/lmconstwrappercorrmodel.cs | 78 ++++++------- - QLNet/legacy/libormarketmodels/lmcorrmodel.cs | 86 +++++++------- - QLNet/legacy/libormarketmodels/lmexpcorrmodel.cs | 114 +++++++++---------- - .../legacy/libormarketmodels/lmlinexpcorrmodel.cs | 123 +++++++++++---------- - 4 files changed, 207 insertions(+), 194 deletions(-) + src/QLNet/Math/Matrix.cs | 672 ++++++++++++++++++++++++++--------------------- + src/QLNet/Math/Vector.cs | 332 +++++++++++++---------- + 2 files changed, 574 insertions(+), 430 deletions(-) -commit f0c8c73914574e339fa694c4ac6494382236ee63 +commit c7e8c19ac242085ff584ce6f1fc6fd477e6100c4 Author: Andrea Maggiulli -Date: Wed, 1 Feb 2017 12:46:16 +0100 +Date: Thu Apr 27 12:05:05 2017 +0200 - DiscrepancyStatistics : removed infinite recursion and refactoring. + Fixed QLNet.Old file name. [skip ci] - QLNet/Math/statistics/DiscrepancyStatistics.cs | 209 +++++++++++-------------- - 1 file changed, 93 insertions(+), 116 deletions(-) + src/QLNet.Old/QLNet.Old.csproj | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit e3ee68c2d8d78813a52d3e3203469974a5c19869 +commit f6fad63c9e9761ec504bb1da4a7bb470a35f1475 Author: Andrea Maggiulli -Date: Fri, 27 Jan 2017 18:49:05 +0100 +Date: Wed Apr 26 18:34:03 2017 +0200 - Fixed unclear operators + TEST : sonar complain about cashflow.cs., it's just a test to see if the problem is the file name . - QLNet/Math/Distributions/BivariateNormalDistribution.cs | 2 +- - QLNet/Math/Distributions/NormalDistribution.cs | 8 ++++---- - QLNet/Math/matrixutilities/pseudosqrt.cs | 12 ++++++------ - QLNet/Pricingengines/vanilla/baroneadesiwhaleyengine.cs | 2 +- - QLNet/Termstructures/Volatility/swaption/SwaptionVolCube1.cs | 4 ++-- - 5 files changed, 14 insertions(+), 14 deletions(-) + src/QLNet/{Cashflow.cs => CashflowBase.cs} | 0 + 1 file changed, 0 insertions(+), 0 deletions(-) -commit cfec7f2c11e76daf1e8a87cc7fccfff0dd7dd625 +commit ba428b56f850a5ce6ffd83088d0e9abd9a5c5180 Author: Andrea Maggiulli -Date: Thu, 26 Jan 2017 10:48:46 +0100 +Date: Wed Apr 26 15:06:28 2017 +0200 - Removed unused reference. + Fixed Sonar vulnerabilities. + + src/QLNet/Instruments/BasisSwap.cs | 3 ++- + 1 file changed, 2 insertions(+), 1 deletion(-) - QLNet/QLNet.csproj | 3 --- - Test/Test.csproj | 3 --- - 2 files changed, 6 deletions(-) \ No newline at end of file +commit aa8e685477d85da7b773e24611ea233d2101fb53 +Author: Andrea Maggiulli +Date: Wed Apr 26 14:24:31 2017 +0200 + + Restored old solution folders, added empty folders [skip ci] + + 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 + src/QLNet.Old/Models/MarketModels/BrownianGenerators/.gitkeep | 0 + src/QLNet.Old/Models/Shortrate/Onefactormodels/.gitkeep | 0 + src/QLNet.Old/Models/Shortrate/Twofactorsmodels/.gitkeep | 0 + src/QLNet.Old/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/Quotes/.gitkeep | 0 + src/QLNet.Old/Termstructures/Credit/.gitkeep | 0 + src/QLNet.Old/Termstructures/Inflation/.gitkeep | 0 + src/QLNet.Old/Termstructures/Volatility/Bond/.gitkeep | 0 + src/QLNet.Old/Termstructures/Volatility/CapFloor/.gitkeep | 0 + src/QLNet.Old/Termstructures/Volatility/Inflation/.gitkeep | 0 + src/QLNet.Old/Termstructures/Volatility/Optionlet/.gitkeep | 0 + src/QLNet.Old/Termstructures/Volatility/equityfx/.gitkeep | 0 + src/QLNet.Old/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 + 52 files changed, 0 insertions(+), 0 deletions(-) + +commit 51f9c6b64880db323c45c187d5c4b49f62f508a8 +Author: Andrea Maggiulli +Date: Wed Apr 26 14:13:04 2017 +0200 + + Added Interpolated YoY Inflation Curve. Close #136 + + src/QLNet.Old/QLNet.Old.csproj | 3 + + .../Inflation/InterpolatedYoYInflationCurve.cs | 161 +++++++++++++++++++++ + 2 files changed, 164 insertions(+) + +commit 98b0fadd6721891c8ba70ac91735f3affed47741 +Author: Andrea Maggiulli +Date: Wed Apr 26 14:04:04 2017 +0200 + + Added Basis swap helper for yield curve bootstrapping. Close #142 + + src/QLNet.Old/QLNet.Old.csproj | 3 + + src/QLNet/Instruments/BasisSwap.cs | 56 ++++++- + src/QLNet/Termstructures/Yield/BasisSwapHelper.cs | 182 ++++++++++++++++++++++ + 3 files changed, 240 insertions(+), 1 deletion(-) + +commit 1c689854edbb90cb297cd0d5331c3f4668c6634d +Author: Andrea Maggiulli +Date: Wed Apr 26 13:59:21 2017 +0200 + + Restored old solution folders [skip ci] + + src/QLNet.Old/QLNet.Old.csproj | 2291 ++++++++++++++++++++++++++++++---------- + 1 file changed, 1720 insertions(+), 571 deletions(-) \ No newline at end of file diff --git a/News.txt b/News.txt index af1c28482..3e33169b0 100644 --- a/News.txt +++ b/News.txt @@ -1,28 +1,48 @@ -QLNet 1.9.2 +QLNet 1.10.0 ========================= -QLNet 1.9.2 stable version. +QLNet 1.10.0 stable version. The most notable changes are included below. A detailed list of changes is available in ChangeLog.txt. +ENGINES + ++ Added DiscountingLoanEngine ++ Updated Swaption Engine ++ Added IsdaCdsEngine, InterpolatedSurvivalProbabilityCurve and SurvivalProbabilityStructure with test ++ Added AnalyticDoubleBarrierBinaryEngine and BinomialDoubleBarrierEngine ++ Added HW swaption engine + FRAMEWORK -+ Fixed floating point numbers equality. -+ Added FastActivator to avoid new() on generic classes -+ Project updated to Visual Studio 2017 new .csproj model. -+ General project refactoring -+ Removed "System.Exception" thrown by user code. ++ Updated documentation to standard XML format ++ Updated to net standard 2.0 ++ Several bug fixes TERMSTRUCTURES -+ Added HestonBlackVolSurface ++ Added Interpolated YoY Inflation Curve ++ Added normal volatility interpolation to SABR -INDEXES +TIME -+ Fixed inflation index reference period + + Updated Schedule for CDS2015 with test. + + Updated Actual360 daycounter to include/exclude last day INSTRUMENTS -+ Added normal implied vol cap floor -+ Added Bachelier volatility for CapFloor \ No newline at end of file ++ Add gearing interface for CMS and Floating legs ++ Swaption instrument update ++ Updated bonds constructors ++ Added Finite differences method ++ Updated CreditDefaultSwap + helper + +MATH + ++ Add SVI Interpolation class ++ Add shift to SABR & XABR + +CASHFLOWS + ++ Added LastPeriodDayCounter to FixedRateCoupon \ No newline at end of file diff --git a/src/BermudanSwaption/BermudanSwaption.csproj b/src/BermudanSwaption/BermudanSwaption.csproj index 972627b72..1c4ba4cb1 100644 --- a/src/BermudanSwaption/BermudanSwaption.csproj +++ b/src/BermudanSwaption/BermudanSwaption.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 $(DefineConstants);QL_NEGATIVE_RATES BermudanSwaption diff --git a/src/Bonds/Bonds.csproj b/src/Bonds/Bonds.csproj index c2fcca1c7..caaa0e307 100644 --- a/src/Bonds/Bonds.csproj +++ b/src/Bonds/Bonds.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 $(DefineConstants);QL_NEGATIVE_RATES Bonds diff --git a/src/CVAIRS/CVAIRS.csproj b/src/CVAIRS/CVAIRS.csproj index 8ccd74bdd..f5ab20e2c 100644 --- a/src/CVAIRS/CVAIRS.csproj +++ b/src/CVAIRS/CVAIRS.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 $(DefineConstants);QL_NEGATIVE_RATES CVAIRS diff --git a/src/CallableBonds/CallableBonds.csproj b/src/CallableBonds/CallableBonds.csproj index d8195dcab..a6bc1af52 100644 --- a/src/CallableBonds/CallableBonds.csproj +++ b/src/CallableBonds/CallableBonds.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 $(DefineConstants);QL_NEGATIVE_RATES CallableBonds diff --git a/src/EquityOption/EquityOption.csproj b/src/EquityOption/EquityOption.csproj index b359f3ade..3d9b9caa2 100644 --- a/src/EquityOption/EquityOption.csproj +++ b/src/EquityOption/EquityOption.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 $(DefineConstants);QL_NEGATIVE_RATES EquityOption diff --git a/src/FRA/FRA.csproj b/src/FRA/FRA.csproj index 8602ec023..1b718fdf1 100644 --- a/src/FRA/FRA.csproj +++ b/src/FRA/FRA.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 $(DefineConstants);QL_NEGATIVE_RATES FRA diff --git a/src/FittedBondCurve/FittedBondCurve.csproj b/src/FittedBondCurve/FittedBondCurve.csproj index 42f4a3bce..745dbeb2c 100644 --- a/src/FittedBondCurve/FittedBondCurve.csproj +++ b/src/FittedBondCurve/FittedBondCurve.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 $(DefineConstants);QL_NEGATIVE_RATES FittedBondCurve diff --git a/src/QLNet.Old/AssemblyInfo.cs b/src/QLNet.Old/AssemblyInfo.cs index 59457c1b0..d0d9b71ba 100644 --- a/src/QLNet.Old/AssemblyInfo.cs +++ b/src/QLNet.Old/AssemblyInfo.cs @@ -30,5 +30,5 @@ // // È possibile specificare tutti i valori o impostare come predefiniti i valori Numero revisione e Numero build // utilizzando l'asterisco (*) come descritto di seguito: -[assembly: AssemblyVersion( "1.9.2.0" )] -[assembly: AssemblyFileVersion( "1.9.2.0" )] +[assembly: AssemblyVersion( "1.10.0.0" )] +[assembly: AssemblyFileVersion( "1.10.0.0" )] diff --git a/src/QLNet/QLNet.csproj b/src/QLNet/QLNet.csproj index 36c385d53..aa7ed0260 100644 --- a/src/QLNet/QLNet.csproj +++ b/src/QLNet/QLNet.csproj @@ -1,8 +1,8 @@  - 1.9.2 - net45;net40;netstandard1.6;netcoreapp1.1 + 1.10.0 + net45;net40;netstandard2.0;netcoreapp1.1 $(DefineConstants);QL_NEGATIVE_RATES QLNet QLNet @@ -30,7 +30,7 @@ - + diff --git a/src/Repo/Repo.csproj b/src/Repo/Repo.csproj index 282ca8c82..36d7d9d11 100644 --- a/src/Repo/Repo.csproj +++ b/src/Repo/Repo.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 $(DefineConstants);QL_NEGATIVE_RATES Repo diff --git a/src/Swap/Swap.csproj b/src/Swap/Swap.csproj index 36d089a25..dedb30c1b 100644 --- a/src/Swap/Swap.csproj +++ b/src/Swap/Swap.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 $(DefineConstants);QL_NEGATIVE_RATES Swap diff --git a/tests/QLNet.Tests.Old/AssemblyInfo.cs b/tests/QLNet.Tests.Old/AssemblyInfo.cs index 080cdd86e..33e20df50 100644 --- a/tests/QLNet.Tests.Old/AssemblyInfo.cs +++ b/tests/QLNet.Tests.Old/AssemblyInfo.cs @@ -35,5 +35,5 @@ // // 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( "1.9.2.0" )] -[assembly: AssemblyFileVersion( "1.9.2.0" )] +[assembly: AssemblyVersion( "1.10.0.0" )] +[assembly: AssemblyFileVersion( "1.10.0.0" )] diff --git a/tests/QLNet.Tests/QLNet.Tests.csproj b/tests/QLNet.Tests/QLNet.Tests.csproj index b411424ae..bb6503df0 100644 --- a/tests/QLNet.Tests/QLNet.Tests.csproj +++ b/tests/QLNet.Tests/QLNet.Tests.csproj @@ -1,7 +1,7 @@  - 1.9.2 + 1.10.0 net45 QLNet.Tests QLNet.Tests