.net 6.0 package support

cetusfinance · Oct 13, 2022 · 5d43e04 · 5d43e04
1 parent 486bfb2
commit 5d43e04
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Showing 16 changed files with 35 additions and 15 deletions.
diff --git a/src/Qwack.Core/Qwack.Core.csproj b/src/Qwack.Core/Qwack.Core.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+    <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
     <AssemblyName>Qwack.Core</AssemblyName>
     <PackageId>Qwack.Core</PackageId>
   </PropertyGroup>

diff --git a/src/Qwack.Dates/Qwack.Dates.csproj b/src/Qwack.Dates/Qwack.Dates.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+    <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
     <AssemblyName>Qwack.Dates</AssemblyName>
     <PackageId>Qwack.Dates</PackageId>
   </PropertyGroup>

diff --git a/src/Qwack.Futures/Qwack.Futures.csproj b/src/Qwack.Futures/Qwack.Futures.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
   </PropertyGroup>
 
   <ItemGroup>

diff --git a/src/Qwack.Math.Interpolation/Qwack.Math.Interpolation.csproj b/src/Qwack.Math.Interpolation/Qwack.Math.Interpolation.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+    <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
     <AssemblyName>Qwack.Math.Interpolation</AssemblyName>
     <PackageId>Qwack.Math.Interpolation</PackageId>
   </PropertyGroup>

diff --git a/src/Qwack.Math/BondUtils.cs b/src/Qwack.Math/BondUtils.cs
@@ -1,6 +1,7 @@
 using System;
 using System.Collections.Generic;
 using System.Linq;
+using Qwack.Math.Solvers;
 
 namespace Qwack.Math
 {
@@ -9,6 +10,25 @@ public static class BondUtils
         public static double YieldToMaturity(double couponRate, double faceValue, double cleanPrice, double t)
             => (couponRate + (faceValue - cleanPrice) / t) / ((faceValue + cleanPrice) / 2.0);
 
+        public static double YieldToMaturity(double couponRate, double faceValue, double periodsPerYear, double tMaturity, double tNext, double cleanPrice)
+        {
+            var source = BondFlows(couponRate / faceValue, faceValue, periodsPerYear, tMaturity, tNext);
+            var tPerP = 1 / periodsPerYear;
+            return Brent.BrentsMethodSolve(delegate (double ytm)
+            {
+                var num = 0.0;
+                foreach (var item in source)
+                {
+                    var y = (item.Key) / tPerP;
+                    num += item.Value / System.Math.Pow(1.0 + ytm / periodsPerYear, y);
+                }
+                return num - cleanPrice;
+            }, -0.1, 1.0, 1E-06);
+        }
+
+        public static double YieldToWorst(double couponRate, double[] redemptionPrices, double cleanPrice, double[] tRedeem, double periodsPerYear, double tNext)
+            => tRedeem.Select((t, ix) => YieldToMaturity(couponRate, redemptionPrices[ix], periodsPerYear, t, tNext, cleanPrice)).Min();
+
         public static double YieldToWorst(double couponRate, double faceValue, double cleanPrice, double tMaturity, double tCall, double callPrice)
             => System.Math.Min(
                 YieldToMaturity(couponRate, faceValue, cleanPrice, tMaturity),

diff --git a/src/Qwack.Math/Qwack.Math.csproj b/src/Qwack.Math/Qwack.Math.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
     <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
     <AssemblyName>Qwack.Math</AssemblyName>
     <PackageId>Qwack.Math</PackageId>

diff --git a/src/Qwack.Models/Qwack.Models.csproj b/src/Qwack.Models/Qwack.Models.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFramework>netstandard2.0</TargetFramework>
+    <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
 	<AssemblyName>Qwack.Models</AssemblyName>
     <PackageId>Qwack.Models</PackageId>
   </PropertyGroup>

diff --git a/src/Qwack.Options/Qwack.Options.csproj b/src/Qwack.Options/Qwack.Options.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
     <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
     <AssemblyName>Qwack.Options</AssemblyName>
     <PackageId>Qwack.Options</PackageId>

diff --git a/src/Qwack.Paths/Qwack.Paths.csproj b/src/Qwack.Paths/Qwack.Paths.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
     <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
     <AssemblyName>Qwack.Paths</AssemblyName>
     <PackageId>Qwack.Paths</PackageId>

diff --git a/src/Qwack.Providers/Qwack.Providers.csproj b/src/Qwack.Providers/Qwack.Providers.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
     <AssemblyName>Qwack.Providers</AssemblyName>
     <PackageId>Qwack.Providers</PackageId>
   </PropertyGroup>

diff --git a/src/Qwack.Random/Qwack.Random.csproj b/src/Qwack.Random/Qwack.Random.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
     <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
     <AssemblyName>Qwack.Random</AssemblyName>
     <PackageId>Qwack.Random</PackageId>

diff --git a/src/Qwack.Serialization/Qwack.Serialization.csproj b/src/Qwack.Serialization/Qwack.Serialization.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFramework>netstandard2.0</TargetFramework>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
   </PropertyGroup>
 
   <ItemGroup>

diff --git a/src/Qwack.Storage/Qwack.Storage.csproj b/src/Qwack.Storage/Qwack.Storage.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>netstandard2.0</TargetFramework>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
   </PropertyGroup>
 
   <ItemGroup>

diff --git a/src/Qwack.Transport/Qwack.Transport.csproj b/src/Qwack.Transport/Qwack.Transport.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <TargetFramework>netstandard2.0</TargetFramework>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
   </PropertyGroup>
 
   <ItemGroup>

diff --git a/src/Qwack.Utils/Qwack.Utils.csproj b/src/Qwack.Utils/Qwack.Utils.csproj
@@ -1,7 +1,7 @@
 <Project Sdk="Microsoft.NET.Sdk">
   <Import Project="..\..\common.props" />
   <PropertyGroup>
-    <TargetFrameworks>netstandard2.0</TargetFrameworks>
+      <TargetFrameworks>netstandard2.0;net6.0</TargetFrameworks>
     <AllowUnsafeBlocks>true</AllowUnsafeBlocks>
     <AssemblyName>Qwack.Utils</AssemblyName>
     <PackageId>Qwack.Utils</PackageId>

diff --git a/version.txt b/version.txt
@@ -1 +1 @@
-0.7.2
+0.7.3