News.txt

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

+ 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.