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Merge pull request #62 from amaggiulli/Ver-1.5
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Ver 1.5
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amaggiulli committed Nov 18, 2015
2 parents 03c314d + ddd671c commit d346fa2
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241 changes: 82 additions & 159 deletions ChangeLog.txt
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commit 1ab2e71de4384e1a431dbcaa0226ec216320dc9f
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed, 5 Mar 2014 18:54:43 +0100

Enable new Pricing Engines

commit c717f91876d97d0b4dbad2e3cf2573b510ce89d2
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed, 5 Mar 2014 17:55:46 +0100

New vanilla pricing engines :AnalyticDividendEuropeanEngine,FDDividendAmericanEngine,FDDividendEuropeanEngine ...with tests.

commit 40586b45c6629b3009435a71b906adbd307755b2
Merge: b468bb4 1dafb00
Author: Andrea Maggiulli <amaggiulli@users.noreply.github.com>
Date: Mon, 2 Dec 2013 03:29:18 -0800

Merge pull request #4 from qusma/Ver-1.3.0.0

Moved Easter Monday offsets to a field, greatly improving performance of the easterMonday() functions.
Thanks qusma.

commit 1dafb003cc494738a830f2825723c581f8578f89
Author: qusma <qusmablog@gmail.com>
Date: Mon, 2 Dec 2013 01:43:14 +0200

Moved Easter Monday offsets to a field, greatly improving performance of the easterMonday() functions.

commit b468bb41a285d60e4190e8e2e283f212d360050e
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Fri, 29 Nov 2013 17:19:11 +0100

ZeroCouponInflationSwap update.

commit 3cf271c1f576aa1c2953eec4f95cf9c54b8b7e0b
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Tue, 26 Nov 2013 16:44:37 +0100

formatting

commit 3c8ee280a214b3066859dfacbcd7f3949372223d
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Tue, 26 Nov 2013 16:38:51 +0100

New instruments : Italian BTP (Buoni Poliennali del Tesoro), Italian CCTEU (Certificato di credito del tesoro)

commit 35e1d42bd3b243d4be7100f59f9e71ad1fcfff20
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Tue, 26 Nov 2013 16:35:36 +0100

Fix Calendar comparison bug

commit d9b263287280c9c10c5b57b152bb45f06ef54bbf
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Wed, 20 Nov 2013 17:55:22 +0100

old code removed

commit a76410c70fe25d0119dd122ff5e6b35020b55cb2
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Wed, 20 Nov 2013 16:43:00 +0100

Termstructure update, start credit implementation, various fixes

commit d67e5938d5d74684c277c9454d92ab48a653e85e
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Wed, 6 Nov 2013 11:39:42 +0100

Update some base class : Event , CashFlow , Settings

commit fa47b02aaa93d9acd44e5b0edff0be5a401baaa3
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Tue, 5 Nov 2013 14:17:28 +0100

Remove IndexHistoryCleaner from T_AssetSwap tests ( it make fail tests when run all together )

commit 466967174cb3ac05b7287337e24f6bc424698b9a
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Mon, 4 Nov 2013 15:45:51 +0100

New Instrument : AssetSwap ( with tests )

commit fdf772f12997ae71bd0004a3281f1dacd32fa789
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Thu, 31 Oct 2013 14:18:57 +0100

Swap Update + cleanup commented code

commit 81a0a11c2444eb78800acfeba259c9beee213c66
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Thu, 31 Oct 2013 12:36:38 +0100

Bond Update

commit d2950f7fe69916f9b9c84021ce1503326fd03866
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Wed, 30 Oct 2013 17:21:12 +0100

Cashflows functions update

commit 884a155a1338ced42c7cd22103048dcdbb2905a4
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Fri, 30 Aug 2013 14:37:37 +0200

Fix compilation Warnings

commit 64cdeca5b0d465d1c9a198abe218ea500a5b5b96
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Fri, 30 Aug 2013 11:30:30 +0200

Fix compilation Warnings ( Observer interface )

commit 55071b5b1fa4d8dd36c82a2900af3ac340ada996
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Fri, 30 Aug 2013 11:14:11 +0200

Fix compilation Warnings

commit 811b627162da5a4a38c9e9f1ba4467e2c47efff3
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Thu, 29 Aug 2013 16:15:44 +0200

Fix compilation Warnings

commit 2a497c4f06405566c0e18215dd60dcb707603428
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Thu, 29 Aug 2013 14:52:40 +0200

Fix compilation Warnings

commit 60afe4f5c5457075e46f8b72450be987adda2ca9
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Thu, 29 Aug 2013 14:49:55 +0200

Add Akima Interpolation

commit c661fbfa8255711fbd299058b7b56c646f0a1a29
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Thu, 29 Aug 2013 14:46:41 +0200

Fix several compiler warnings

commit 9bcde34582d95dc4787069a49e903bf8fde3b3ff
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Sun, 25 Aug 2013 19:07:07 +0200

Update holidays for 2013.

commit 63bc1992dfc5d5c8b53fb16dc10df100be1102c1
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Sun, 25 Aug 2013 19:06:19 +0200

Update Version info

commit 063fdcabc6c8cf85a56497567f8598c9a93ce3f7
Author: a.maggiulli <a.maggiulli@gmail.com>
Date: Sun, 25 Aug 2013 17:58:03 +0200

Update QLNet information.
Commits on Aug 20, 2015
@amaggiulli amaggiulli Update version 0f35442
@amaggiulli amaggiulli Update version bc6f14f
Commits on Aug 21, 2015
@amaggiulli amaggiulli Merge pull request #53 from amaggiulli/master �

Fix Vanilla Swap Pricer - thanks OfirMarom dc3892e
Commits on Aug 24, 2015
@amaggiulli amaggiulli Merge pull request #56 from amaggiulli/master �

Merge fix on branch 1.5 e78dc6f
@amaggiulli amaggiulli Update Asia Currencies 5495847
@amaggiulli amaggiulli Add Shibor Index a2af90a
@amaggiulli amaggiulli Added China Inter-Bank calendar 65b75e6
@amaggiulli amaggiulli Added half-month modified following convention 4482e3b
@amaggiulli amaggiulli Added a few more historical closings for NYSE. bed2e9f
@amaggiulli amaggiulli Updated the Hong Kong calendar for 2014-2015. 3222f8b
@amaggiulli amaggiulli Updated India calendar for 2014. 710231d
@amaggiulli amaggiulli Updated Indonesia calendar for 2014. 12588f0
@amaggiulli amaggiulli Updated Singapore calendar for 2014. 15eb039
@amaggiulli amaggiulli Updated SouthKorea calendar for 2014. 701dbd5
@amaggiulli amaggiulli Updated Taiwan,Turkey calendars for 2014. e7681bd
@amaggiulli amaggiulli Added Ukraine calendar f33ea96
Commits on Aug 25, 2015
@amaggiulli amaggiulli Added ECB reserve maintenance dates with tests. ef0b0bc
@amaggiulli amaggiulli Add FedFunds index. 940bf03
@amaggiulli amaggiulli Added Sonia (Sterling Overnight Index Average) index. 8449a21
Commits on Aug 26, 2015
@amaggiulli amaggiulli Fix Barone-Adesi and Whaley approximation for r=0.0 3807747
@amaggiulli amaggiulli fixed behavior of the Bjerksund Stensland engine for very small � d0ec0dd
Commits on Aug 27, 2015
@amaggiulli amaggiulli Bond : added cashflow lists Stable Sort 56464f9
Commits on Aug 30, 2015
@amaggiulli amaggiulli AmortizingFixedRateBond minor fix and a new test. 934024e
Commits on Sep 04, 2015
@amaggiulli amaggiulli Fix Factorial bug - tabulated length 814096d
Commits on Sep 07, 2015
@amaggiulli amaggiulli QL_EPSILON refactoring to upper case. 986e967
@amaggiulli amaggiulli Added modified Bessel functions with Tests. 9a77fa9
@amaggiulli amaggiulli Update QLNet project URL. 10ed135
Commits on Sep 09, 2015
@igitur igitur Fix indentation of Schedule.cs c0e7d68
@igitur igitur Extend schedule constructor in line with QuantLib 4620d41
@igitur igitur avoided degenerate schedules; ignored EndOfMonth for tenor below 1M 1cef439
@igitur igitur Add degenerate schedule check 046cfa8
Commits on Sep 16, 2015
@amaggiulli amaggiulli Move class TqrEigenDecomposition to right folder 8089d5c
@amaggiulli amaggiulli Move class TqrEigenDecomposition to right folder a824265
Commits on Sep 28, 2015
@amaggiulli amaggiulli Added SABRInterpolation with tests ( also fix a bug in Constraint.cs ) 6b3dd1e
Commits on Oct 09, 2015
@igitur igitur Check for null ccc91df
@igitur igitur Reformat file 10e2662
@igitur igitur Merge pull request #57 from igitur/extend-schedule-constructor � e379aa3
@igitur igitur Add new Schedule tests e3a6f1c
@igitur igitur Port fix of lballabio/quantlib@054efcb f465920
Commits on Oct 12, 2015
@igitur igitur Fix default isRegular value 9a9050b
@igitur igitur Merge pull request #58 from igitur/add_schedule_tests � 67af2bd
@igitur igitur Reformat file a61727b
@igitur igitur Add bond test for South African R2048 which requires Schedule from cu� � e3a44b2
@igitur igitur Merge pull request #59 from igitur/add-R2048-ZA-bond-test � ff887fa
@amaggiulli amaggiulli Fix compilation warning e39048d
Commits on Oct 13, 2015
@amaggiulli amaggiulli Fix MatrixUtilities ( qrDecomposition , qrSolve ) with tests. 33b452d
@amaggiulli amaggiulli Added Kernel Interpolation with tests c608668
@amaggiulli amaggiulli Added KernelInterpolation2D with test. 1839ad4
Commits on Oct 14, 2015
@amaggiulli amaggiulli Added BicubicSpline Interpolation with test. 34d645c
@amaggiulli amaggiulli Test Bicubic splines update. 7913b16
@amaggiulli amaggiulli Added Richardson Extrapolation with test. 351f115
@amaggiulli amaggiulli test sabr single cases 48797ef
Commits on Nov 16, 2015
@amaggiulli amaggiulli Fixed MCDiscreteAveragingAsianEngine ctor , fixed testSpecializedBond� � 154f733
@amaggiulli amaggiulli Fixed Bond ctor wrong check. cea55f2
@amaggiulli amaggiulli Fixed SmileSection,SabrSmileSection,FlatSmileSection, ctor's 22fe490
@amaggiulli amaggiulli Cleanup LfmHullWhiteParameterization integratedCovariance function. 02cec14
Commits on Nov 17, 2015
@amaggiulli amaggiulli Fixed india calendar bug ( cov 33751 ). b925e56
@amaggiulli amaggiulli Fixed dead code in SouthKorea Calendar( cov 32789 ) d0922da
@amaggiulli amaggiulli Fix Bond ctor ( cov 32792 ) 92bc4c9
@amaggiulli amaggiulli Avoid possible division by zero ( cov 32791 ) 846a25a
Binary file modified QLNet/Cashflow.cs
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28 changes: 14 additions & 14 deletions QLNet/Cashflows/CPICoupon.cs
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
/*
Copyright (C) 2008, 2009 , 2010, 2011, 2012 Andrea Maggiulli (a.maggiulli@gmail.com)
This file is part of QLNet Project http://qlnet.sourceforge.net/
This file is part of QLNet Project https://github.com/amaggiulli/qlnet
QLNet is free software: you can redistribute it and/or modify it
under the terms of the QLNet license. You should have received a
Expand Down Expand Up @@ -117,7 +117,7 @@ public CPICoupon(double baseCPI, // user provided, could be arbitrary
baseCPI_ = baseCPI;
fixedRate_ = fixedRate;
spread_ = spread;
observationInterpolation_ = observationInterpolation;
observationInterpolation_ = observationInterpolation;
Utils.QL_REQUIRE( Math.Abs( baseCPI_ ) > 1e-16, () => "|baseCPI_| < 1e-16, future divide-by-zero problem" );
}

Expand Down Expand Up @@ -255,7 +255,7 @@ public CPILeg(Schedule schedule,
baseCPI_ = baseCPI;
observationLag_ = observationLag;
paymentDayCounter_ = new Thirty360();
paymentAdjustment_ = BusinessDayConvention.ModifiedFollowing;
paymentAdjustment_ = BusinessDayConvention.ModifiedFollowing;
paymentCalendar_ = schedule.calendar();
fixingDays_ = new List<int>() { 0 };
observationInterpolation_ = InterpolationType.AsIndex;
Expand All @@ -282,17 +282,17 @@ public override List<CashFlow> value()
{
refStart = start = schedule_.date(i);
refEnd = end = schedule_.date(i + 1);
Date paymentDate = paymentCalendar_.adjust(end, paymentAdjustment_);

Date exCouponDate = null;
if (exCouponPeriod_ != null)
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}

Date paymentDate = paymentCalendar_.adjust(end, paymentAdjustment_);

Date exCouponDate = null;
if (exCouponPeriod_ != null)
{
exCouponDate = exCouponCalendar_.advance(paymentDate,
-exCouponPeriod_,
exCouponAdjustment_,
exCouponEndOfMonth_);
}

if (i == 0 && !schedule_.isRegular(i + 1))
{
BusinessDayConvention bdc = schedule_.businessDayConvention();
Expand Down
6 changes: 3 additions & 3 deletions QLNet/Cashflows/CPICouponPricer.cs
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Original file line number Diff line number Diff line change
@@ -1,7 +1,7 @@
/*
Copyright (C) 2008, 2009 , 2010, 2011 , 2012 Andrea Maggiulli (a.maggiulli@gmail.com)
This file is part of QLNet Project http://qlnet.sourceforge.net/
This file is part of QLNet Project https://github.com/amaggiulli/qlnet
QLNet is free software: you can redistribute it and/or modify it
under the terms of the QLNet license. You should have received a
Expand Down Expand Up @@ -45,7 +45,7 @@ public virtual Handle<CPIVolatilitySurface> capletVolatility()
}

public virtual void setCapletVolatility(Handle<CPIVolatilitySurface> capletVol)
{
{
Utils.QL_REQUIRE( !capletVol.empty(), () => "empty capletVol handle" );
capletVol_ = capletVol;
capletVol_.registerWith(update);
Expand Down Expand Up @@ -130,7 +130,7 @@ protected virtual double optionletPrice(Option.Type optionType, double effStrike
}
else
{
// not yet determined, use Black/DD1/Bachelier/whatever from Impl
// not yet determined, use Black/DD1/Bachelier/whatever from Impl
Utils.QL_REQUIRE( !capletVolatility().empty(), () => "missing optionlet volatility" );
double stdDev = Math.Sqrt(capletVolatility().link.totalVariance(fixingDate, effStrike));
double fixing = optionletPriceImp(optionType,
Expand Down
2 changes: 1 addition & 1 deletion QLNet/Cashflows/CappedFlooredCoupon.cs
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Expand Up @@ -3,7 +3,7 @@
Copyright (C) 2009 Siarhei Novik (snovik@gmail.com)
Copyright (C) 2008, 2009 , 2010 Andrea Maggiulli (a.maggiulli@gmail.com)
This file is part of QLNet Project http://qlnet.sourceforge.net/
This file is part of QLNet Project https://github.com/amaggiulli/qlnet
QLNet is free software: you can redistribute it and/or modify it
under the terms of the QLNet license. You should have received a
Expand Down
6 changes: 3 additions & 3 deletions QLNet/Cashflows/CappedFlooredYoYInflationCoupon.cs
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@@ -1,7 +1,7 @@
/*
Copyright (C) 2008, 2009 , 2010 Andrea Maggiulli (a.maggiulli@gmail.com)
This file is part of QLNet Project http://qlnet.sourceforge.net/
This file is part of QLNet Project https://github.com/amaggiulli/qlnet
QLNet is free software: you can redistribute it and/or modify it
under the terms of the QLNet license. You should have received a
Expand Down Expand Up @@ -121,11 +121,11 @@ public override double rate()
if(isFloored_ || isCapped_)
{
if (underlying_ != null)
{
{
Utils.QL_REQUIRE( underlying_.pricer() != null, () => "pricer not set" );
}
else
{
{
Utils.QL_REQUIRE( pricer_ != null, () => "pricer not set" );
}
}
Expand Down
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