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QLNet Version 1.8.0.0
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@amaggiulli amaggiulli released this 09 Sep 10:02
QLNet-v1.8.0.0
1fc2e7f

QLNet 1.8

QLNet 1.8 stable version.

The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.

FRAMEWORK

  • Refactored code to be compatible with .NET Core , created VS 2015 solution QLNet_Core.sln
    that build the .NET Core version.
  • Refactored test project to work with Microsoft UnitTesting and Xunit.

INTEREST RATES

  • Fixed links to documentation for LIBOR indexes.

INSTRUMENTS

  • Added basic CVA IRS pricing engine.

CURRENCIES

  • Added Ukrainian hryvnia.

DATE/TIME

  • Added new Ukrainian holiday, Defender's Day.

MATH

  • Added mixed log interpolation.
  • Added FlatExtrapolator2D
  • Added BackwardflatLinear Interpolation.
  • Added AbcdInterpolation.
  • Implemented Lagrange boundary condition for cubic interpolation

PRICING ENGINES

  • Added CounterpartyAdjSwapEngine engine with example program.
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