Releases: amaggiulli/QLNet
QLNet Version 1.13.0
QLNet 1.13.0
QLNet 1.13.0
Mayor changes https://github.com/amaggiulli/QLNet/milestone/4?closed=1.
A detailed list of changes is available in ChangeLog.txt.
FRAMEWORK
- Updated to .NET 7.0 / netstandard 2.0
- Removed AStyle formatting for more standard ediconfig setting
PRICING ENGINES
- Fixed MCDiscreteAveragingAsianEngine timeGrid and ArithmeticAPOPathPricer path value retrieval thanks @mookid8000
CASHFLOWS
- Added new CashFlows method to return both accrued days and accrued amount.
INDEXES
- Added SOFR Index
CALENDARS
- Support New Zealand's new publish holiday: Matariki holiday, thanks @ninetiger
MISC
- Added batch calculations
TIME
- Refactoring DayCounters
- Added Actual/366 daycounter.
- Added Actual364, Actual36525 and Thirty365 daycounters.
- Refactoring Calendars
- Added Cyprus and Greece calendars, thanks @pamboscy
- Fixed Schedule until method.
- Updated several caledars up to 2023
QLNet Version 1.12.0
QLNet 1.12.0
QLNet 1.12.0
A detailed list of changes is available in ChangeLog.txt.
FRAMEWORK
- Removed QLNet old framework solution
- Updated tests to use only xunit
- Updated library to netstandard 2.1
- Updated test suite to .Net Core 5
- Updated samples to .Net Core 5
MATH
- Fixed LineSearchBasedMethod.minimize, thx @hhaldn for spotting it.
CALENDARS
- Fixed Denmark holidays, thx @hhaldn
- Added Austrian, French and Chilean calendars
- Updated all existing calendars up to 2021
TIME
- Added utility Date.ToDateTime() method
- Fixed ActualActualISMA daycounter calculation for long/short final periods, thanks @kristofferpagels.
TERMSTRUCTURES
- Fixed helpers sort for Piecewise Curves
QLNet Version 1.11.4
QLNet 1.11.4
QLNet 1.11.4
A detailed list of changes is available in ChangeLog.txt.
WARNING : This is the last version supporting old Visual Studio projects, with
the upcoming version 1.12 the QLNetOld.sln will be removed and a general cleanup
will be done.
MATH
- Added Cumulative Gamma distribution
INSTRUMENTS
- Fixed Weighted Average Life calculation for past dates
TERMSTRUCTURES
- Added Quanto Term Structure
METHODS
- Added Cranck-Nicholson, Method of Lines & TrBDF2 schemes
ENGINES
- Fixed Broadie-Kaya exact scheme [Heston process]
- Added Monte Carlo Barrier Engine
- Fixed AdaptiveRungeKutta
- Added Cumulative & Inverse Cumulative Chi² Distrib
FRAMEWORK
- Added more QLNet Exceptions
- Bug fixing and refactoring.
QLNet Version 1.11.3
QLNet 1.11.3
QLNet 1.11.3
A detailed list of changes is available in ChangeLog.txt.
DATE-TIME
- Added Thailand calendar
- Updated china holidays up to 2019
INDEXES
- Added bibor index
INSTRUMENTS
- Added CatBond with MonteCarlo pricing engine
- Added Collateralized Cash Swaption
ENGINES
- Added Binomial Tsiveriotis-Fernandes engine for convertible bonds
FRAMEWORK
- Making all projects dotnet standard. (Changes minimum framework to net 4.5.1)
- Added QLNet Exceptions
- Bug fixing and refactoring.
QLNet Version 1.11.2
QLNet 1.11.2
QLNet 1.11.2 is a bug-fix release for version 1.11
A detailed list of changes is available in ChangeLog.txt.
ENGINES
- Fixed a bug int FDMultiPeriodEngine.Thanks to Jakub Pstrusiński.
CASHFLOWS
- Fixed accrual calculation
- Fixed yield calculation when settlement date falls on 31st
- Added OAS calculation to callable bonds
QLNet Version 1.11.1.2
QLNet 1.11.1
QLNet 1.11.1 stable version includes 91 pull requests .
The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.
ENGINES
- Added raw calculation for WeightedAverageLife given a list of dates and a list of amounts.
FRAMEWORK
- Added Artistic Style 3.1 tool for formatting code.
- Uniformed file names to CamelCase standard
TERMSTRUCTURES
- Implement CompositeZeroYieldStructure
TIME
- Add Botswana calendar
INSTRUMENTS
- Added new instrument FloatFloatSwap, with CmsSpreadCoupon and SwapSpreadIndex.
- Added Kirk Option Engine with test.
- Fixed bug in Vanna-Volga method for double barrier knock in options.
MATH
- Add Differential Evolution algorithm
- Add a XABR Constraint class
- Add LevenbergMarquardt precondition checks
INDEXES
- Updated day count convention and spot lag by CAD fixings.
CASHFLOWS
- Updated BlackVanillaOptionPricer constructor, check volatility type and shift.
- Added Range Accrual tests and fixed 2 bugs on RangeAccrual and InterpolatedSmileSection
- Added accrual calculation for irregular periods
QLNet Version 1.11.0.0
QLNet 1.11.0
QLNet 1.11.0 stable version includes 91 pull requests .
The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.
ENGINES
- Added raw calculation for WeightedAverageLife given a list of dates and a list of amounts.
FRAMEWORK
- Added Artistic Style 3.1 tool for formatting code.
- Uniformed file names to CamelCase standard
TERMSTRUCTURES
- Implement CompositeZeroYieldStructure
TIME
- Add Botswana calendar
INSTRUMENTS
- Added new instrument FloatFloatSwap, with CmsSpreadCoupon and SwapSpreadIndex.
- Added Kirk Option Engine with test.
- Fixed bug in Vanna-Volga method for double barrier knock in options.
MATH
- Add Differential Evolution algorithm
- Add a XABR Constraint class
- Add LevenbergMarquardt precondition checks
INDEXES
- Updated day count convention and spot lag by CAD fixings.
CASHFLOWS
- Updated BlackVanillaOptionPricer constructor, check volatility type and shift.
- Added Range Accrual tests and fixed 2 bugs on RangeAccrual and InterpolatedSmileSection
QLNet Version 1.10.0.1
QLNet 1.10.0
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
- Updated documentation to standard XML format
- Updated to net standard 2.0
- Several bug fixes
TERMSTRUCTURES
- Added Interpolated YoY Inflation Curve
- Added normal volatility interpolation to SABR
TIME
- Updated Schedule for CDS2015 with test.
- Updated Actual360 daycounter to include/exclude last day
INSTRUMENTS
- 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
QLNet Version 1.9.2
QLNet 1.9.2
QLNet 1.9.2 stable version.
The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.
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.
TERMSTRUCTURES
- Added HestonBlackVolSurface
INDEXES
- Fixed inflation index reference period
INSTRUMENTS
- Added normal implied vol cap floor
- Added Bachelier volatility for CapFloor
QLNet Version 1.9.1.0
QLNet 1.9
QLNet 1.9 stable version.
The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.
FRAMEWORK
- Multiframework deployment on NUGET ( 4.0, 4.5 and Core 1.1 )
- Refactoring & Update BlackScholesProcess, LocalVolCurve, bsmlattice
- Optimized npvbps calculation
- List and InitializedList refactoring
CASHFLOWS
- Fixed CappedFlooredCoupon factory
INSTRUMENTS
- Added CompositeInstrument.
- Added DividendBarrierOption.
- Added ForwardVanillaOption.
- Added LookbackOption.
- Added CMS Helper.
- Added BarrierOption.
- Added Cliquet Option.
- Added DoubleBarrier Option.
- Added CPICapFloor.
- Added CPISwap.
DATE/TIME
- Added ECB dates for 2017.
- Fixed rule for the Japanese Mountain Day holiday.
- Fixed United States holidays before 1971.
INDEXES
- Added Ibor indexes : Aonia , Bbsw, Bkbm and Nzocr.
MATH
- Added Matrix inverse calculation with Crout's LU decomposition.
- Added VannaVolga Interpolation.
TERMSTRUCTURES
- Added Swaption volatility cube.
- Allow negative jumps in yield term structures.
PRICING ENGINES
- Added ForwardVanillaEngine engine.
- Added AnalyticContinuousFixedLookbackEngine engine.
- Added AnalyticContinuousFloatingLookbackEngine engine.
- Added AnalyticContinuousPartialFixedLookbackEngine engine.
- Added AnalyticContinuousPartialFloatingLookbackEngine engine.
- Added AnalyticBinaryBarrierEngine.
- Added AnalyticCliquetEngine.
- Added AnalyticPerformanceEngine.
- Added BlackDeltaCalculator and DeltaVolQuote.
- Added VannaVolga BarrierEngine.
- Added AnalyticDoubleBarrierEngine.
- Added VannaVolgaDoubleBarrierEngine.
- Added WulinYongDoubleBarrierEngine.
- Added InterpolatingCPICapFloorEngine.
TESTS
- Added theta pertubation in AmericanOption & DividendOption tests.
- Added tests for China SSE and IB calendars and a missing Chinese holiday
- Added Test : Chambers-Nawalkha implied vol approximation
- Added CapFloored coupon tests.
- Added Digital Coupon tests.