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ChangeLog.txt
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commit d7536399ebac07f40ab396a5756398de75f06535
Author: Andrea Maggiulli <[email protected]>
Date: Thu Jan 19 10:51:16 2017 +0100
Assembly version updated to 1.9.0.0
Examples/BermudanSwaption/Properties/AssemblyInfo.cs | 6 +++---
Examples/Bonds/Properties/AssemblyInfo.cs | 6 +++---
Examples/CVAIRS/Properties/AssemblyInfo.cs | 6 +++---
Examples/CallableBonds/Properties/AssemblyInfo.cs | 6 +++---
Examples/EquityOption/Properties/AssemblyInfo.cs | 6 +++---
Examples/FRA/Properties/AssemblyInfo.cs | 6 +++---
Examples/FittedBondCurve/Properties/AssemblyInfo.cs | 6 +++---
Examples/Repo/Properties/AssemblyInfo.cs | 6 +++---
Examples/Swap/Properties/AssemblyInfo.cs | 6 +++---
QLNet/Properties/AssemblyInfo.cs | 6 +++---
Test/Properties/AssemblyInfo.cs | 6 +++---
11 files changed, 33 insertions(+), 33 deletions(-)
commit 40dfdf8e9e286fa9a8ebce9473e31c8dd352b691
Author: Andrea Maggiulli <[email protected]>
Date: Tue Jan 17 17:51:08 2017 +0100
Fix Empty redundant statement.
Test/T_BlackDeltaCalculator.cs | 16 ++++++++--------
1 file changed, 8 insertions(+), 8 deletions(-)
commit 9d3ecd117391a05e8bc127332ee22df0b3a754d8
Author: Andrea Maggiulli <[email protected]>
Date: Tue Jan 17 17:45:05 2017 +0100
Fix inconsistent modifiers declaration order
QLNet/Models/Parameter.cs | 6 +++---
QLNet/StochasticProcess.cs | 2 +-
2 files changed, 4 insertions(+), 4 deletions(-)
commit 7b655e21afaf09736d419fac5a146283551852c0
Author: Andrea Maggiulli <[email protected]>
Date: Tue Jan 17 15:27:12 2017 +0100
List and InitializedList refactoring : base class is always a List , InitializedList is an utility to construct a initialized list.
QLNet/Extensions/ListExtension.cs | 7 +++++
QLNet/Instruments/Bonds/BTP.cs | 12 ++++----
QLNet/Instruments/Loan.cs | 7 +++--
QLNet/Instruments/Swap.cs | 32 ++++++++++++++++------
QLNet/Math/Interpolations/CubicInterpolation.cs | 4 +--
QLNet/Math/Interpolations/Linearinterpolation.cs | 2 +-
QLNet/Math/Optimization/Simplex.cs | 5 ++--
.../Shortrate/calibrationhelpers/caphelper.cs | 2 +-
.../inflation/InflationCapFloorEngines.cs | 7 +++--
Test/T_Bonds.cs | 12 ++++----
Test/T_InflationCapFlooredCouponTest.cs | 14 +++++-----
11 files changed, 66 insertions(+), 38 deletions(-)
commit 89158a3c8688d654bce232d3c129286267ee5ad4
Author: Andrea Maggiulli <[email protected]>
Date: Tue Jan 17 12:18:17 2017 +0100
Sorted modifiers.
QLNet/Instruments/AsianOption.cs | 8 ++++----
QLNet/Instruments/BarrierOption.cs | 4 ++--
QLNet/Instruments/BasisSwap.cs | 2 +-
QLNet/Instruments/DividendVanillaOption.cs | 4 ++--
QLNet/Instruments/MultiAssetOption.cs | 2 +-
QLNet/Instruments/OneAssetOption.cs | 2 +-
QLNet/Instruments/VanillaSwap.cs | 2 +-
7 files changed, 12 insertions(+), 12 deletions(-)
commit 1c30f44c4f6d16800fa4125c6b8af368cc7e497d
Merge: cbe01ab b0fce11
Author: Andrea Maggiulli <[email protected]>
Date: Fri Jan 13 14:57:49 2017 +0100
Merge pull request #116 from jiskin/BermudeanSwaption-fix
Issue with times in the TimeGrid
commit b0fce11897ae56022837be08046188522b52abfb
Author: Andrea Maggiulli <[email protected]>
Date: Fri Jan 13 14:51:47 2017 +0100
Fix BermudaSwaption example
Grid construction is wrong yes , this give also correct numbers.
Examples/BermudanSwaption/BermudanSwaption.cs | 592 +++++++++++++-------------
1 file changed, 296 insertions(+), 296 deletions(-)
commit eec9f49481446084d0ce43be14ac6735e6c1748a
Author: jiskin <[email protected]>
Date: Fri Jan 13 14:03:17 2017 +0100
Issue with times in the TimeGrid
Not sure this is the expected results, but at least the example is running
Examples/BermudanSwaption/BermudanSwaption.cs | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit cbe01abeb181e3cc54759b240bb48ffac38af764
Merge: f0fa658 213b554
Author: Andrea Maggiulli <[email protected]>
Date: Fri Jan 13 10:44:06 2017 +0100
Fix Issue #115
commit 213b554f5d1f3bfe53bc198e2ac799a43538b21f
Author: Andrea Maggiulli <[email protected]>
Date: Fri Jan 13 10:43:14 2017 +0100
Fix Issue #115
.../asian/mc_discr_arith_av_price.cs | 12 ++--
Test/T_AsianOptions.cs | 68 ++++++++++++++++++++++
2 files changed, 74 insertions(+), 6 deletions(-)
commit f0fa658c382639d320b8b03c9eb5b7045f951234
Merge: e7f3c79 32e83c7
Author: Andrea Maggiulli <[email protected]>
Date: Thu Jan 5 12:25:17 2017 +0100
Merge branch 'develop' of https://github.com/amaggiulli/qlnet into develop
commit e7f3c794292ba52a9fee64d2dde4fd12cefcb24f
Author: Andrea Maggiulli <[email protected]>
Date: Thu Jan 5 12:24:55 2017 +0100
Added CPISwap with tests.
QLNet/Instruments/CPISwap.cs | 327 +++++++++++++++++++++++++++
QLNet/QLNet.csproj | 1 +
Test/T_CPISwap.cs | 517 +++++++++++++++++++++++++++++++++++++++++++
Test/Test.csproj | 1 +
4 files changed, 846 insertions(+)
commit 15c40dfae7af76dfd8982f3e2fa8e8b18dd3421f
Author: Andrea Maggiulli <[email protected]>
Date: Thu Jan 5 12:15:28 2017 +0100
BUGFIX : PricingEngineResults copy reference list instead of duplicate data.
This fix problems when pricing different Swaps with same engine loosing previous calculation.
QLNet/Instruments/Instrument.cs | 2 +-
QLNet/Instruments/Loan.cs | 8 ++++----
QLNet/Instruments/Swap.cs | 20 ++++++++++----------
3 files changed, 15 insertions(+), 15 deletions(-)
commit 32e83c75392b0df343df8bb1489f5a4cd21b8172
Merge: 0197f33 3a1c06f
Author: Andrea Maggiulli <[email protected]>
Date: Wed Jan 4 17:14:39 2017 +0100
Merge pull request #113 from jiskin/develop
Cast issue in TreeCallableBondEngine
commit 0197f3300e08f68a0e93bcb2dacadd5813d8a162
Author: Andrea Maggiulli <[email protected]>
Date: Wed Jan 4 17:10:50 2017 +0100
Added CPICapFloor with engine and tests.
QLNet/Instruments/CPICapFloor.cs | 178 +++++++++
.../inflation/InterpolatingCPICapFloorEngine.cs | 111 ++++++
QLNet/QLNet.csproj | 3 +
.../Inflation/CPICapFloorTermPriceSurface.cs | 346 ++++++++++++++++
Test/T_InflationCPICapFloor.cs | 444 +++++++++++++++++++++
Test/Test.csproj | 1 +
6 files changed, 1083 insertions(+)
commit 3a1c06f85d987504ce17228a58a6f9bb126a91d4
Author: jiskin <[email protected]>
Date: Wed Jan 4 16:20:49 2017 +0100
Add files via upload
The Callable Bond example was raising an issue.
QLNet/Pricingengines/Bond/TreeCallableBondEngine.cs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e6686b894d3d1ed9a68ba9531c7533825d567ed8
Merge: d1e3f65 9dde204
Author: jiskin <[email protected]>
Date: Wed Dec 28 11:10:35 2016 +0100
Merge pull request #1 from amaggiulli/develop
integrate amaggiulli changes
commit 9dde204faa0689aeff2ecf0c687fc1049bd9854e
Author: Andrea Maggiulli <[email protected]>
Date: Fri Dec 23 16:40:55 2016 +0100
Issue #103 - This should fix issue.
QLNet/Termstructures/Yield/ZeroCurve.cs | 21 +++++---
Test/T_TermStructures.cs | 90 ++++++++++++++++++++++++++++++++-
2 files changed, 102 insertions(+), 9 deletions(-)
commit a29e83ce406d363f72f73caad8c8c3d16f8ba609
Author: Andrea Maggiulli <[email protected]>
Date: Thu Dec 22 17:43:27 2016 +0100
FX feature - Added DoubleBarrier Option, AnalyticDoubleBarrierEngine, VannaVolgaDoubleBarrierEngine, WulinYongDoubleBarrierEngine with tests.
QLNet/Instruments/DoubleBarrierOption.cs | 146 ++++++
.../barrier/AnalyticDoubleBarrierEngine.cs | 237 ++++++++++
.../barrier/VannaVolgaDoubleBarrierEngine.cs | 356 +++++++++++++++
.../barrier/WulinYongDoubleBarrierEngine.cs | 172 +++++++
QLNet/QLNet.csproj | 4 +
Test/T_DoubleBarrierOption.cs | 507 +++++++++++++++++++++
Test/Test.csproj | 1 +
7 files changed, 1423 insertions(+)
commit 8aa30c97d2d62cf6aef0bf05f0552141632673cd
Author: Andrea Maggiulli <[email protected]>
Date: Thu Dec 22 14:18:18 2016 +0100
FX feature - Added VannaVolga Interpolation and VannaVolga BarrierEngine with test.
QLNet/Instruments/DividendBarrierOption.cs | 2 +-
.../Math/Interpolations/VannaVolgaInterpolation.cs | 142 ++++++++
.../barrier/VannaVolgaBarrierEngine.cs | 382 +++++++++++++++++++++
QLNet/QLNet.csproj | 2 +
Test/T_BarrierOption.cs | 233 ++++++++++++-
5 files changed, 759 insertions(+), 2 deletions(-)
commit 178ddce515e60ca3b5d4ea412490c8eddb506925
Author: Andrea Maggiulli <[email protected]>
Date: Thu Dec 22 14:15:19 2016 +0100
FX feature - Added Matrix inverse calculation with Crout's LU decomposition with test.
QLNet/Math/Matrix.cs | 135 ++++++++++++++++++++++++++++++++++++++++++++++++++-
Test/T_Matrices.cs | 38 ++++++++++++++-
2 files changed, 169 insertions(+), 4 deletions(-)
commit c350b0b183571dc0d915cc1168fc80f1372f33ee
Author: Andrea Maggiulli <[email protected]>
Date: Tue Dec 20 14:38:18 2016 +0100
FX feature - Added BlackDeltaCalculator and DeltaVolQuote with tests.
QLNet/Pricingengines/BlackDeltaCalculator.cs | 406 ++++++++++++++++
QLNet/QLNet.csproj | 2 +
QLNet/Quotes/DeltaVolQuote.cs | 85 ++++
Test/T_BlackDeltaCalculator.cs | 701 +++++++++++++++++++++++++++
Test/Test.csproj | 1 +
5 files changed, 1195 insertions(+)
commit f3abab53aeb0183fbce470ce5d71eea0c5e23b2d
Author: Andrea Maggiulli <[email protected]>
Date: Wed Dec 14 14:05:49 2016 +0100
Added Digital Coupon tests.
Test/T_DigitalCoupon.cs | 1070 +++++++++++++++++++++++++++++++++++++++++++++++
Test/Test.csproj | 1 +
2 files changed, 1071 insertions(+)
commit d1e3f65752a67bd798fb0827752793446bf56245
Author: Andrea Maggiulli <[email protected]>
Date: Thu Dec 8 15:11:04 2016 +0100
Added Cliquet Option with pricing engines and tests.
QLNet/Instruments/CliquetOption.cs | 90 +++++++
.../Cliquet/AnalyticCliquetEngine.cs | 108 ++++++++
.../Cliquet/AnalyticPerformanceEngine.cs | 105 ++++++++
QLNet/QLNet.csproj | 3 +
Test/T_CliquetOption.cs | 295 +++++++++++++++++++++
Test/Test.csproj | 1 +
6 files changed, 602 insertions(+)
commit d32e5fe33fd98ed968b94dfa80e9f7539625159b
Author: Andrea Maggiulli <[email protected]>
Date: Wed Dec 7 17:26:20 2016 +0100
Added CapFloored coupon tests.
Test/T_CapFlooredCoupon.cs | 509 +++++++++++++++++++++++++++++++++++++++++++++
Test/Test.csproj | 1 +
2 files changed, 510 insertions(+)
commit 9d26c0b8527cdde9542e9fc47e82707210f8e20d
Author: Andrea Maggiulli <[email protected]>
Date: Wed Dec 7 17:25:44 2016 +0100
fix CappedFlooredCoupon factory
QLNet/Cashflows/CappedFlooredCoupon.cs | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 71a3ca69d3ded4a347611c71bbfbf9914d5d794a
Author: Andrea Maggiulli <[email protected]>
Date: Wed Dec 7 17:24:56 2016 +0100
optimize npvbps calculation
QLNet/Cashflows/CashFlows.cs | 18 ++++++++++--------
1 file changed, 10 insertions(+), 8 deletions(-)
commit 847c5b28245ebb4d1c5ea182cfb648efa62b6aa1
Author: Andrea Maggiulli <[email protected]>
Date: Tue Dec 6 17:22:30 2016 +0100
Added Test : Chambers-Nawalkha implied vol approximation
Test/T_BlackFormula.cs | 68 ++++++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 68 insertions(+)
commit 11c95bf79b4e354f2f4a7c43044ed86d80450f08
Author: Andrea Maggiulli <[email protected]>
Date: Tue Dec 6 17:10:17 2016 +0100
Added AnalyticBinaryBarrierEngine with tests.
.../barrier/AnalyticBinaryBarrierEngine.cs | 344 +++++++++++++++++++++
QLNet/QLNet.csproj | 1 +
Test/T_BinaryOption.cs | 283 +++++++++++++++++
Test/Test.csproj | 1 +
4 files changed, 629 insertions(+)
commit ff2d983f24091ba4303a30128f3d6e3ff6f150f0
Author: Andrea Maggiulli <[email protected]>
Date: Tue Dec 6 15:25:45 2016 +0100
Added BarrierOption with tests.
.../barrier/BinomialBarrierEngine.cs | 182 +++++
.../barrier/DiscretizedBarrierOption.cs | 243 +++++++
QLNet/QLNet.csproj | 2 +
Test/T_BarrierOption.cs | 785 +++++++++++++++++++++
Test/Test.csproj | 1 +
5 files changed, 1213 insertions(+)
commit 26465eb87736cf9bb15b352602e3d63f15460e50
Author: Andrea Maggiulli <[email protected]>
Date: Tue Dec 6 13:01:59 2016 +0100
Refactoring & Update BlackScholesProcess, LocalVolCurve, bsmlattice
QLNet/Methods/lattices/bsmlattice.cs | 123 +++--
.../Volatility/equityfx/LocalVolCurve.cs | 112 +++--
QLNet/processes/BlackScholesProcess.cs | 520 ++++++++++++---------
3 files changed, 462 insertions(+), 293 deletions(-)
commit d364bd11df894762256e28d6f0291b2532dd754b
Author: Andrea Maggiulli <[email protected]>
Date: Wed Nov 30 12:01:02 2016 +0100
Added tests for China SSE and IB calendars and a missing Chinese holiday
QLNet/Time/Calendars/china.cs | 15 +++-
Test/T_Calendars.cs | 169 +++++++++++++++++++++++++++++++++++++++++-
2 files changed, 180 insertions(+), 4 deletions(-)
commit b8039da3cd702b108fdc1c078d94697f829719ae
Author: Andrea Maggiulli <[email protected]>
Date: Wed Nov 30 11:58:44 2016 +0100
Fixed United States holidays before 1971
QLNet/Time/Calendars/UnitedStates.cs | 487 ++++++++++++++++++++---------------
1 file changed, 273 insertions(+), 214 deletions(-)
commit 9830843dab74c1b34c52bc9434c2249587e18b0e
Author: Andrea Maggiulli <[email protected]>
Date: Wed Nov 30 11:58:09 2016 +0100
Fixed rule for the Japanese Mountain Day holiday
QLNet/Time/Calendars/japan.cs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d90c3ebd3b0233e3ae520e0d0f686e9115bb4228
Author: Andrea Maggiulli <[email protected]>
Date: Wed Nov 30 11:57:03 2016 +0100
Added ECB dates for 2017
QLNet/Time/ECB.cs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 881aa9e36e7fc9b51a69ef837fb7f1fb1b2c3dec
Author: Andrea Maggiulli <[email protected]>
Date: Wed Nov 30 11:43:24 2016 +0100
Allow negative jumps in yield term structures.
QLNet/Termstructures/YieldTermStructure.cs | 9 ++++++---
1 file changed, 6 insertions(+), 3 deletions(-)
commit 48cb25fde280719f672cd0bedae4b2423408706c
Merge: 5c0eab7 07a5010
Author: Andrea Maggiulli <[email protected]>
Date: Tue Nov 29 10:40:46 2016 +0100
Merge pull request #111 from callmecary/feature/lianze
made Bicubic inherited from IInterpolationFactory2D, so that vol surface like BlackVarianceSurface can set it to interpolation
commit 07a5010d93ce29b87b0898730a35a9b329c9c1db
Author: Ma, Lianze <[email protected]>
Date: Mon Nov 28 14:34:43 2016 -0500
made Bicubic inherited from IInterpolationFactory2D, so that vol surface like BlackVarianceSurface can set it to interpolation
.../Interpolations/BicubicSplineInterpolation.cs | 80 +++++++++++-----------
1 file changed, 40 insertions(+), 40 deletions(-)
commit 5c0eab7d52e7a6b088abcfd920233fe355f95dbb
Author: Andrea Maggiulli <[email protected]>
Date: Mon Nov 28 14:52:44 2016 +0100
Revert "Make theta pertubation in AmericanOption & DividendOption tests."
This reverts commit 3bbf8f8049b468e20a107d61ed0336b1a202d967.
Test/T_AmericanOption.cs | 12 ++++++------
Test/T_DividendOption.cs | 18 +++++++++---------
2 files changed, 15 insertions(+), 15 deletions(-)
commit 3bbf8f8049b468e20a107d61ed0336b1a202d967
Author: Andrea Maggiulli <[email protected]>
Date: Mon Nov 28 14:02:53 2016 +0100
Make theta pertubation in AmericanOption & DividendOption tests.
Test/T_AmericanOption.cs | 12 ++++++------
Test/T_DividendOption.cs | 18 +++++++++---------
2 files changed, 15 insertions(+), 15 deletions(-)
commit 0b972139989d3c9ba0ba3c9ebabb9c768e3103b3
Author: Andrea Maggiulli <[email protected]>
Date: Wed Nov 16 11:58:10 2016 +0100
Added new Ibor indexes : Aonia , Bbsw, Bkbm and Nzocr.
QLNet/Indexes/Ibor/Aonia.cs | 31 ++++++++++++++++
QLNet/Indexes/Ibor/Bbsw.cs | 85 +++++++++++++++++++++++++++++++++++++++++++
QLNet/Indexes/Ibor/Bkbm.cs | 88 +++++++++++++++++++++++++++++++++++++++++++++
QLNet/Indexes/Ibor/Nzocr.cs | 32 +++++++++++++++++
QLNet/QLNet.csproj | 4 +++
5 files changed, 240 insertions(+)
commit 7de335002ee933c05720db9e6b7a884c1061082f
Author: Andrea Maggiulli <[email protected]>
Date: Wed Nov 16 10:15:46 2016 +0100
CMS Helper and tests
QLNet/Cashflows/ConundrumPricer.cs | 27 +-
QLNet/Cashflows/LinearTsrPricer.cs | 556 +++++++++++++++++++++
QLNet/Instruments/MakeCms.cs | 348 +++++++++++++
QLNet/QLNet.csproj | 3 +
QLNet/Termstructures/Volatility/AtmSmileSection.cs | 45 ++
.../Termstructures/Volatility/FlatSmileSection.cs | 2 +-
Test/T_Cms.cs | 467 +++++++++++++++++
Test/Test.csproj | 3 +
8 files changed, 1442 insertions(+), 9 deletions(-)
commit a21bb52afc3b123659da5a2b30aae55dbe319a71
Author: Andrea Maggiulli <[email protected]>
Date: Mon Nov 14 14:14:52 2016 +0100
Added Swaption volatility cube with tests.
QLNet/QLNet.csproj | 4 +
.../Volatility/InterpolatedSmileSection.cs | 123 +--
QLNet/Termstructures/Volatility/Sabr.cs | 6 +-
.../swaption/SpreadedSwaptionVolatility.cs | 82 ++
.../Volatility/swaption/SwaptionVolCube1.cs | 980 +++++++++++++++++++++
.../Volatility/swaption/SwaptionVolCube2.cs | 115 +++
.../Volatility/swaption/SwaptionVolatilityCube.cs | 218 +++++
.../swaption/SwaptionVolatilityStructure.cs | 60 ++
.../Volatility/swaption/swaptionvoldiscrete.cs | 8 +-
QLNet/Time/Period.cs | 13 +-
README.md | 1 +
Test/T_SwaptionVolatilityCube.cs | 424 +++++++++
Test/Test.csproj | 1 +
Test/Utilities.cs | 269 ++++--
14 files changed, 2163 insertions(+), 141 deletions(-)
commit 0d37226a4445ddf78aacd922eec94410c930b50b
Author: Andrea Maggiulli <[email protected]>
Date: Wed Oct 12 12:47:24 2016 +0200
Instruments feature : add LookbackOption with engines and tests.
QLNet/Instruments/LookbackOption.cs | 223 +++++++++
.../AnalyticContinuousFixedLookbackEngine.cs | 125 ++++++
.../AnalyticContinuousFloatingLookbackEngine.cs | 89 ++++
...AnalyticContinuousPartialFixedLookbackEngine.cs | 134 ++++++
...lyticContinuousPartialFloatingLookbackEngine.cs | 155 +++++++
QLNet/QLNet.csproj | 5 +
Test/T_LookbackOption.cs | 497 +++++++++++++++++++++
Test/Test.csproj | 1 +
8 files changed, 1229 insertions(+)
commit afa34ae97e5a5911567ffbb75a305dc368511a21
Author: Andrea Maggiulli <[email protected]>
Date: Tue Oct 11 12:42:42 2016 +0200
Instruments feature : add CompositeInstrument,DividendBarrierOption,ForwardVanillaOption with engine and tests.
.gitignore | 1 +
QLNet/Instruments/CompositeInstrument.cs | 72 +++
QLNet/Instruments/DividendBarrierOption.cs | 75 +++
QLNet/Instruments/ForwardVanillaOption.cs | 73 +++
.../Forward/ForwardPerformanceVanillaEngine.cs | 64 +++
.../Pricingengines/Forward/ForwardVanillaEngine.cs | 128 +++++
QLNet/QLNet.csproj | 6 +
.../Volatility/equityfx/ImpliedVolTermStructure.cs | 74 +++
Test/T_ForwardOption.cs | 538 +++++++++++++++++++++
Test/Test.csproj | 1 +
10 files changed, 1032 insertions(+)