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ChangeLog.txt
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commit 3dce73f39710dba45f4306ea6f69e599385322c8
Author: Sean O'Connor <[email protected]>
Date: Thu Apr 2 15:46:49 2020 -0700
Fixing outdated sonarqube and adding dotnet core tests (#248)
* Enabling dotnet core tests.
* Switching to the dotnet tool for sonar.
* Updating all appveyor images.
* Temp disable netstandard tests.
* Updating appveyor logger.
* Removing bad test merge.
* Fixing nuget publish
* Fixing artifacts.
* Fixing typo in last commit.
* Adding gitignore.
.gitignore | 362 ++++++++++++++++++++++++++++++++++-
appveyor.yml | 25 ++-
src/QLNet/QLNet.csproj | 2 +-
tests/QLNet.Tests/QLNet.Tests.csproj | 12 +-
tests/QLNet.Tests/Utilities.cs | 6 +-
5 files changed, 384 insertions(+), 23 deletions(-)
commit 46075c83fa23c0714918684654c6cb08d67e8481
Author: tournierjc <[email protected]>
Date: Wed Jan 29 19:53:02 2020 +0100
Add Cranck-Nicholson, Method of Lines & TrBDF2 schemes (#244)
* Update step method & add new schemes
- Update step method by adding theta parameter.
- Add Cranck-Nicholson, Method of Lines & TrBDF2 schemes
* Add new schemes to FdmBackwardSolver
* Update IMixedScheme interface and dependencies
* Update QLNet Old project file
* Delete FdmBackwardSolver.cs
* Move to Solvers folder
src/QLNet.Old/QLNet.Old.csproj | 9 ++
src/QLNet/Methods/Finitedifferences/MixedScheme.cs | 4 +-
.../Methods/Finitedifferences/ParallelEvolver.cs | 2 +-
.../Finitedifferences/Schemes/CraigSneydScheme.cs | 2 +-
.../Schemes/CrankNicolsonScheme.cs | 85 ++++++++++++
.../Finitedifferences/Schemes/DouglasScheme.cs | 2 +-
.../Schemes/ExplicitEulerScheme.cs | 5 +-
.../Finitedifferences/Schemes/HundsdorferScheme.cs | 2 +-
.../Schemes/ImplicitEulerScheme.cs | 48 ++++---
.../Schemes/MethodOfLinesScheme.cs | 87 +++++++++++++
.../Schemes/ModifiedCraigSneydScheme.cs | 2 +-
.../Finitedifferences/Schemes/TrBDF2Scheme.cs | 143 +++++++++++++++++++++
.../Finitedifferences/Solvers/FdmBackwardSolver.cs | 36 +++++-
src/QLNet/Methods/Finitedifferences/TRBDF2.cs | 2 +-
14 files changed, 399 insertions(+), 30 deletions(-)
commit 3b313eceb8cc438161a60786035be8edaf29eece
Author: tournierjc <[email protected]>
Date: Mon Jan 20 22:23:03 2020 +0100
Add Quanto Term Structure (#243)
* Add QuantoTermStructure class
* Add FdmQuantoHelper class
* Extend FdmBlackScholesMesher with FdmQuantoHelper
* Extend FdmBlackScholesOp with FdmQuantoHelper
* Extend FdmBlackScholesSolver with FdmQuantoHelper
* Fix FdmDividendHandler using wrong array index
* Dividends in Fd BS Barrier Engines
Ensure dividend cash-flows are well taken into account in FDM pricing for Black-Scholes Barrier Engine.
* Extend FDM BS Vanilla with CashDividendModel
Add CashDividendModel to Black-Scholes Vanilla engine under Finite Difference model.
Add MakeFdBlackScholesVanillaEngine class.
* Update Old Project File
Also update filename convention
src/QLNet.Old/QLNet.Old.csproj | 662 +++++++++++----------
.../Meshers/FdmBlackScholesMesher.cs | 75 ++-
.../Operators/FdmBlackScholesOp.cs | 41 +-
.../Solvers/FdmBlackScholesSolver.cs | 14 +-
.../Utilities/FdmDividendHandler.cs | 8 +-
.../Finitedifferences/Utilities/FdmQuantoHelper.cs | 110 ++++
.../barrier/FdBlackScholesBarrierEngine.cs | 4 +-
.../barrier/FdBlackScholesRebateEngine.cs | 4 +-
.../vanilla/FdBlackScholesVanillaEngine.cs | 353 +++++++----
.../Termstructures/Yield/QuantoTermStructure.cs | 107 ++++
10 files changed, 927 insertions(+), 451 deletions(-)
commit 68b7f68293e2166edb70d3d43db4bb51e96bbc88
Author: tournierjc <[email protected]>
Date: Mon Jan 20 22:01:54 2020 +0100
Add Cumulative & Inverse Cumulative Chi² Distrib (#242)
.../Math/Distributions/ChiSquareDistribution.cs | 521 ++++++++++++++-------
1 file changed, 359 insertions(+), 162 deletions(-)
commit a170d037b717dfe29db2c416f1d5863dedeef4d2
Author: tournierjc <[email protected]>
Date: Mon Jan 20 21:41:01 2020 +0100
Fix AdaptiveRungeKutta (#241)
Lists need to be initialized
src/QLNet/Math/ODE/AdaptiveRungeKutta.cs | 16 ++++++++--------
1 file changed, 8 insertions(+), 8 deletions(-)
commit 7ed37d532161526f32397671219232fdb7a7908c
Author: tournierjc <[email protected]>
Date: Sat Jan 18 11:26:43 2020 +0100
MC Barrier Engine (#240)
* RNGTraits - force IRNG type for factory return
* MCBarrierEngine - add file
* Update tests with MC Barrier Engine
* Project - update old project file
* Delete rngtraits.cs
* RNGTraits - force IRNG type for factory function
* update RNGTraits filename
src/QLNet.Old/QLNet.Old.csproj | 9 +-
src/QLNet/Math/randomnumbers/RNGTraits.cs | 6 +-
.../Pricingengines/barrier/MCBarrierEngine.cs | 587 +++++++++++++++++++++
tests/QLNet.Tests/T_BarrierOption.cs | 85 +--
4 files changed, 639 insertions(+), 48 deletions(-)
commit b08aeba13ab13510a8480de9c7cb7541a1f220ae
Author: tournierjc <[email protected]>
Date: Fri Jan 17 22:57:57 2020 +0100
[Heston process] Fix Broadie-Kaya exact scheme (#239)
src/QLNet/processes/HestonProcess.cs | 22 ++++++++++++++++++++--
1 file changed, 20 insertions(+), 2 deletions(-)
commit e5560686fe70161e5ab17ab6ff81438cef3d2963
Author: tournierjc <[email protected]>
Date: Fri Jan 17 15:10:58 2020 +0100
Add Cumulative Gamma distribution (#236)
src/QLNet/Math/Distributions/GammaDistribution.cs | 59 +++++++++++++++++++++++
1 file changed, 59 insertions(+)
commit 0405f1c742c86d52e1170de2ce9da5ca124992c7
Author: tournierjc <[email protected]>
Date: Fri Jan 17 15:09:45 2020 +0100
Old Project Files Fix (#235) [skip ci]
* [QLNet Old Project]
Fix missing files
* [QLNet Test Old]
Update framework and fix dependency error message
* Delete QLNet.Old.csproj
* [QLnet old project] fix missing Exceptions
src/QLNet.Old/QLNet.Old.csproj | 31 ++++++++++++++++++++---
tests/QLNet.Tests.Old/QLNet.Tests.Old.csproj | 38 +++++++++++++---------------
2 files changed, 44 insertions(+), 25 deletions(-)
commit 4ed7bee8a371f771ef5dcf0f909ea563ef30a31f
Author: Andrea Maggiulli <[email protected]>
Date: Fri Dec 6 17:43:45 2019 +0100
Update ReadMe. [skip ci]
README.md | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8954646338eaf0ee9aff0571e628af54a4d84707
Author: Andrea Maggiulli <[email protected]>
Date: Tue Nov 19 18:31:37 2019 +0100
Added a new QLNet Exception.
src/QLNet/Exceptions/NullEffectiveDateException.cs | 21 +++++++++++++++++++++
src/QLNet/Exceptions/QLNetExceptionEnum.cs | 3 ++-
src/QLNet/Time/Schedule.cs | 4 ++--
src/QLNet/Utils.cs | 4 ++++
tests/QLNet.Tests/T_Bonds.cs | 4 ++++
5 files changed, 33 insertions(+), 3 deletions(-)
commit 1a0a999ad90c82f0fdaa22e725904a061a4ad48a
Author: Andrea Maggiulli <[email protected]>
Date: Tue Oct 29 16:56:27 2019 +0100
Fixed Date GetHashCode , compute hash on readonly field.
src/QLNet/Time/Date.cs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 66170a26489eb04d20ee6ca1db33eb68d789b969
Merge: 8dc18ef af5d041
Author: Andrea Maggiulli <[email protected]>
Date: Tue Oct 29 15:42:15 2019 +0100
Merge pull request #234 from QtRoS/develop
Date.GetHashCode() implemented (closes #233)
commit af5d04175d5f982f766f4893f4655a7b3e98c20d
Author: Roman Shchekin <[email protected]>
Date: Tue Oct 22 11:54:23 2019 +0300
Date.GetHashCode() implemented
src/QLNet/Time/Date.cs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8dc18ef5116bdfbe1f0a4e82de7a57e5a6db8380
Author: Andrea Maggiulli <[email protected]>
Date: Fri Sep 20 16:13:23 2019 +0200
Trying to fix Sonar build
appveyor.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 800542f9ed9ab35423583c17b644ebb5af42212f
Author: Andrea Maggiulli <[email protected]>
Date: Fri Sep 20 16:04:58 2019 +0200
Fixed WAL calculation for past dates with test.
src/QLNet/Cashflows/CashFlows.cs | 4 ++--
src/QLNet/Cashflows/ConundrumPricer.cs | 4 ++--
src/QLNet/Instruments/AssetSwap.cs | 2 +-
src/QLNet/Instruments/BMASwap.cs | 4 ++--
src/QLNet/Instruments/BasisSwap.cs | 2 +-
src/QLNet/Instruments/Bonds/AmortizingFixedRateBond.cs | 2 +-
src/QLNet/Instruments/CPISwap.cs | 2 +-
src/QLNet/Instruments/OvernightIndexedSwap.cs | 2 +-
src/QLNet/Instruments/VanillaSwap.cs | 2 +-
src/QLNet/Instruments/YearOnYearInflationSwap.cs | 2 +-
src/QLNet/Math/Solvers1d/Bisection.cs | 2 +-
src/QLNet/Math/Solvers1d/Brent.cs | 2 +-
src/QLNet/Math/Solvers1d/FalsePosition.cs | 2 +-
src/QLNet/Math/Solvers1d/FiniteDifferenceNewtonSafe.cs | 2 +-
src/QLNet/Math/Solvers1d/Newton.cs | 2 +-
src/QLNet/Math/Solvers1d/Newtonsafe.cs | 2 +-
src/QLNet/Math/Solvers1d/Ridder.cs | 2 +-
src/QLNet/Math/Solvers1d/Secant.cs | 2 +-
src/QLNet/Math/integrals/Kronrodintegral.cs | 2 +-
src/QLNet/Pricingengines/Bond/BondFunctions.cs | 6 ++++--
src/QLNet/Pricingengines/credit/IntegralCdsEngine.cs | 2 +-
src/QLNet/Pricingengines/credit/IsdaCdsEngine.cs | 2 +-
src/QLNet/Pricingengines/credit/MidPointCdsEngine.cs | 2 +-
src/QLNet/Termstructures/Yield/Ratehelpers.cs | 2 +-
src/QLNet/legacy/libormarketmodels/LfmSwaptionEngine.cs | 2 +-
tests/QLNet.Tests/T_Bonds.cs | 8 ++++++++
26 files changed, 39 insertions(+), 29 deletions(-)
commit 57e816e2051cda87fef1757ba75f997f5b1d7bb4
Author: Andrea Maggiulli <[email protected]>
Date: Fri Aug 16 13:58:05 2019 +0200
Added a new QLNet Exceptions (fixed missing source file).
src/QLNet/Cashflows/CashFlows.cs | 9 +++------
src/QLNet/Exceptions/InvalidPriceSignException.cs | 21 +++++++++++++++++++++
src/QLNet/Utils.cs | 2 ++
tests/QLNet.Tests/T_Bonds.cs | 4 ++++
4 files changed, 30 insertions(+), 6 deletions(-)
commit 9633df8179a07cb9e8f7663a3372544504ff5d68
Author: Andrea Maggiulli <[email protected]>
Date: Fri Aug 16 13:32:28 2019 +0200
Added a new QLNet Exceptions.
src/QLNet/Cashflows/CashFlows.cs | 9 ++++++---
src/QLNet/Exceptions/QLNetExceptionEnum.cs | 3 ++-
src/QLNet/Utils.cs | 2 ++
3 files changed, 10 insertions(+), 4 deletions(-)
commit ac2ca38e9c491fd4d20730b8411c7c52b7afe4e1
Author: Andrea Maggiulli <[email protected]>
Date: Wed Jun 5 20:09:42 2019 +0200
Updated development versions. [skip ci]
appveyor.yml | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 7b57f231127e1821689d672dbea11d09cba58555
Author: Andrea Maggiulli <[email protected]>
Date: Wed Jun 5 19:38:05 2019 +0200
Fixed appveyor.yml [skip ci]
appveyor.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)