Finish QLNet-v1.10.0

amaggiulli · Oct 30, 2017 · cc527d0 · cc527d0
2 parents 4cb47c8 + bff1913
commit cc527d0
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diff --git a/ChangeLog.txt b/ChangeLog.txt
diff --git 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
++ 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
diff --git a/src/BermudanSwaption/BermudanSwaption.csproj b/src/BermudanSwaption/BermudanSwaption.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFrameworks>net45</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>BermudanSwaption</AssemblyName>

diff --git a/src/Bonds/Bonds.csproj b/src/Bonds/Bonds.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFrameworks>net45</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>Bonds</AssemblyName>

diff --git a/src/CVAIRS/CVAIRS.csproj b/src/CVAIRS/CVAIRS.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFrameworks>net45</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>CVAIRS</AssemblyName>

diff --git a/src/CallableBonds/CallableBonds.csproj b/src/CallableBonds/CallableBonds.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFrameworks>net45</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>CallableBonds</AssemblyName>

diff --git a/src/EquityOption/EquityOption.csproj b/src/EquityOption/EquityOption.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFrameworks>net45</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>EquityOption</AssemblyName>

diff --git a/src/FRA/FRA.csproj b/src/FRA/FRA.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFrameworks>net45</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>FRA</AssemblyName>

diff --git a/src/FittedBondCurve/FittedBondCurve.csproj b/src/FittedBondCurve/FittedBondCurve.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFrameworks>net45</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>FittedBondCurve</AssemblyName>

diff --git 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/Math/Interpolations/SviInterpolation.cs b/src/QLNet/Math/Interpolations/SviInterpolation.cs
@@ -144,15 +144,16 @@ public SviInterpolation(List<double> xBegin,  // x = strikes
                                 OptimizationMethod optMethod = null,
                                 double errorAccept = 0.0020,
                                 bool useMaxError = false,
-                                int maxGuesses = 50)
+                                int maxGuesses = 50,
+                                List<double?> addParams = null)
         {
 
             impl_ = new XABRInterpolationImpl<SVISpecs>(
                     xBegin, size, yBegin, t, forward,
                     new List<double?>() { a, b, sigma, rho, m },
                     new List<bool>() { aIsFixed, bIsFixed, sigmaIsFixed, rhoIsFixed, mIsFixed },
                     vegaWeighted, endCriteria, optMethod, errorAccept, useMaxError,
-                    maxGuesses);
+                    maxGuesses, addParams);
             coeffs_ = (impl_ as XABRInterpolationImpl<SVISpecs>).coeff_;
         }
         public double expiry() { return coeffs_.t_; }
@@ -178,7 +179,7 @@ public SVI(double t, double forward, double a, double b, double sigma, double rh
                     bool vegaWeighted = false,
                     EndCriteria endCriteria = null,
                     OptimizationMethod optMethod = null,
-                    double errorAccept = 0.0020, bool useMaxError = false, int maxGuesses = 50)
+                    double errorAccept = 0.0020, bool useMaxError = false, int maxGuesses = 50, List<double?> addParams = null)
         {
             t_ = t;
             forward_ = forward;
@@ -198,6 +199,7 @@ public SVI(double t, double forward, double a, double b, double sigma, double rh
             errorAccept_ = errorAccept;
             useMaxError_ = useMaxError;
             maxGuesses_ = maxGuesses;
+            addParams_ = addParams;
         }
 
         public Interpolation interpolate(List<double> xBegin, int xEnd, List<double> yBegin)
@@ -208,7 +210,6 @@ public Interpolation interpolate(List<double> xBegin, int xEnd, List<double> yBe
         }
         public const bool global = true;
 
-
         private double t_;
         private double forward_;
         private double a_, b_, sigma_, rho_, m_;
@@ -219,5 +220,6 @@ public Interpolation interpolate(List<double> xBegin, int xEnd, List<double> yBe
         private double errorAccept_;
         private bool useMaxError_;
         private int maxGuesses_;
+        private List<double?> addParams_;
     }
 }
diff --git a/src/QLNet/QLNet.csproj b/src/QLNet/QLNet.csproj
@@ -1,8 +1,8 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
-    <TargetFrameworks>net45;net40;netstandard1.6;netcoreapp1.1</TargetFrameworks>
+    <VersionPrefix>1.10.0</VersionPrefix>
+    <TargetFrameworks>net45;net40;netstandard2.0;netcoreapp1.1</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>QLNet</AssemblyName>
     <PackageId>QLNet</PackageId>
@@ -30,7 +30,7 @@
     <Reference Include="Microsoft.CSharp" />
   </ItemGroup>
 
-  <ItemGroup Condition=" '$(TargetFramework)' == 'netstandard1.6' ">
+  <ItemGroup Condition=" '$(TargetFramework)' == 'netstandard2.0' ">
     <PackageReference Include="System.Reflection.Emit.Lightweight" Version="4.0.1" />
   </ItemGroup>
 

diff --git a/src/QLNet/Termstructures/Volatility/equityfx/BlackVarianceSurface.cs b/src/QLNet/Termstructures/Volatility/equityfx/BlackVarianceSurface.cs
@@ -46,8 +46,10 @@ public enum Extrapolation
       private DayCounter dayCounter_;
       private Date maxDate_;
       private List<double> strikes_;
-      private List<double> times_;
-      private Matrix variances_;
+      private List<double> times_;
+      private List<Date> dates_;
+      private Matrix variances_;
+      private Matrix volatilities_;
       private Interpolation2D varianceSurface_;
       private Extrapolation lowerExtrapolation_, upperExtrapolation_;
 
@@ -64,7 +66,14 @@ public override Date maxDate()
       public override double maxStrike()
       {
          return strikes_.Last();
-      }
+      }
+
+      //public accessors
+      public virtual List<double> strikes() { return strikes_; }
+      public virtual List<double> times() { return times_; }
+      public virtual List<Date> dates() { return dates_; }
+      public virtual Matrix volatilities() { return volatilities_; }
+      public virtual Matrix variances() { return variances_; }
 
       // required for Handle
       public BlackVarianceSurface() { }
@@ -83,7 +92,9 @@ public BlackVarianceSurface(Date referenceDate,
          maxDate_ = dates.Last();
          strikes_ = strikes;
          lowerExtrapolation_ = lowerExtrapolation;
-         upperExtrapolation_ = upperExtrapolation;
+         upperExtrapolation_ = upperExtrapolation;
+         dates_ = dates;
+         volatilities_ = blackVolMatrix;
 
          Utils.QL_REQUIRE(dates.Count == blackVolMatrix.columns(), () =>
            "mismatch between date vector and vol matrix colums");

diff --git a/src/Repo/Repo.csproj b/src/Repo/Repo.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFrameworks>net45</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>Repo</AssemblyName>

diff --git a/src/Swap/Swap.csproj b/src/Swap/Swap.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFrameworks>net45</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>Swap</AssemblyName>

diff --git 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
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.9.2</VersionPrefix>
+    <VersionPrefix>1.10.0</VersionPrefix>
     <TargetFramework>net45</TargetFramework>
     <AssemblyName>QLNet.Tests</AssemblyName>
     <PackageId>QLNet.Tests</PackageId>