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ChangeLog.txt
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commit 6cf92a77edb292dd6e0ac17916d40c7dd8718304
Author: Andrea Maggiulli <[email protected]>
Date: Sat Jun 9 18:01:13 2018 +0200
Added raw calculation for WeightedAverageLife given a list of dates and a list of amounts.
src/QLNet/Pricingengines/Bond/BondFunctions.cs | 31 ++++++++++++++++++++++++++
tests/QLNet.Tests/T_Bonds.cs | 19 ++++++++++++++++
2 files changed, 50 insertions(+)
commit c5bd5e10a6e84a18b6fc4686aa2e691b8e747d77
Merge: c7e5102 b4fe2d2
Author: Andrea Maggiulli <[email protected]>
Date: Mon Apr 9 16:52:48 2018 +0200
Merge pull request #203 from igitur/indexmanager-trygethistory
Add helper method IndexManager.tryGetHistory
commit b4fe2d2449d853ede448844bbe765053b329c537
Author: Francois Botha <[email protected]>
Date: Mon Apr 9 16:22:53 2018 +0200
Add helper method IndexManager.tryGetHistory
src/QLNet/Indexes/Indexmanager.cs | 21 +++++++++++++++++++++
1 file changed, 21 insertions(+)
commit c7e5102e339f2b8a6c258c10ac4565561093c3dc
Merge: 3a6a865 2b6d998
Author: Andrea Maggiulli <[email protected]>
Date: Thu Apr 5 16:39:57 2018 +0200
Merge pull request #202 from igitur/fix-LfmCovarianceProxy-filename
Fix filename after rename
commit 2b6d998f91eca90910bc319102fd56285b052fa0
Author: Francois Botha <[email protected]>
Date: Thu Apr 5 16:18:01 2018 +0200
Fix filename after rename in https://github.com/amaggiulli/QLNet/commit/c0ea99c26b198c04bf51de5dad55394b9debe3e5
src/QLNet.Old/QLNet.Old.csproj | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 3a6a865bb791df07012c4fd7f7663d18c346c3bc
Author: Andrea Maggiulli <[email protected]>
Date: Wed Feb 28 15:37:21 2018 +0100
Added Range Accrual tests and fixed 2 bugs on RangeAccrual and InterpolatedSmileSection
src/QLNet/Cashflows/RangeAccrual.cs | 2 +-
.../Volatility/InterpolatedSmileSection.cs | 10 +
tests/QLNet.Tests/T_RangeAccrual.cs | 1584 ++++++++++++++++++++
3 files changed, 1595 insertions(+), 1 deletion(-)
commit 1d2312bcd32b82d39f8fa6275280331234fb28c5
Author: Andrea Maggiulli <[email protected]>
Date: Tue Feb 6 13:59:06 2018 +0100
Updated BlackVanillaOptionPricer constructor, check volatility type and shift.
src/QLNet/Cashflows/ConundrumPricer.cs | 4 ++++
1 file changed, 4 insertions(+)
commit ef4dbd40e6eb76a73984b51216c1824d1a37b8de
Author: Andrea Maggiulli <[email protected]>
Date: Tue Feb 6 13:43:12 2018 +0100
Updated day count convention and spot lag by CAD fixings.
src/QLNet/Indexes/Ibor/Cadlibor.cs | 32 +++++++++++++++++++++-----------
src/QLNet/Indexes/Ibor/Cdor.cs | 32 +++++++++++++++++---------------
2 files changed, 38 insertions(+), 26 deletions(-)
commit e59cdfed0bc1fcadf652d962e7a45ef968bd9b12
Author: Andrea Maggiulli <[email protected]>
Date: Tue Feb 6 12:49:47 2018 +0100
Updated Vanna Volga test values according with previous fix to double barrier KI.
tests/QLNet.Tests/T_DoubleBarrierOption.cs | 180 +++++++++++++----------------
1 file changed, 82 insertions(+), 98 deletions(-)
commit eac972a2f10a667c96be3df15e92e81df05f0c3a
Author: Andrea Maggiulli <[email protected]>
Date: Tue Feb 6 12:24:01 2018 +0100
Fixed bug in Vanna-Volga method for double barrier knock in options.
.../barrier/VannaVolgaBarrierEngine.cs | 20 +++++++++++++-------
.../barrier/VannaVolgaDoubleBarrierEngine.cs | 4 ++--
2 files changed, 15 insertions(+), 9 deletions(-)
commit 1e7f51dcb3590bdfcdbe68fd108b6035df4ea1f6
Merge: 19269b8 d807825
Author: Andrea Maggiulli <[email protected]>
Date: Tue Feb 6 11:55:00 2018 +0100
Merge branch 'develop' of https://github.com/amaggiulli/qlnet into develop
commit 19269b86bf31caad7bce1eb3f6de5ac665070d6a
Author: Andrea Maggiulli <[email protected]>
Date: Tue Feb 6 11:54:20 2018 +0100
Added Kirk Option Engine with test.
src/QLNet/Instruments/SpreadOption.cs | 35 ++++
.../Option/KirkSpreadOptionEngine.cs | 106 ++++++++++++
tests/QLNet.Tests/T_SpreadOption.cs | 189 +++++++++++++++++++++
3 files changed, 330 insertions(+)
commit d807825f1c925b4bae6bbe6b9977fe47e9d59672
Author: Andrea Maggiulli <[email protected]>
Date: Tue Feb 6 10:17:00 2018 +0100
Updated CONTRIBUTING.md [skip ci]
.github/CONTRIBUTING.md | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 00b1f476e4743b5a69d33edca5ea97c79549efd5
Author: Andrea Maggiulli <[email protected]>
Date: Tue Feb 6 00:13:24 2018 +0100
Updated Copyright License link to github.
src/BermudanSwaption/BermudanSwaption.cs | 2 +-
src/Bonds/Bonds.cs | 2 +-
src/CVAIRS/CVAIRS.cs | 2 +-
src/CallableBonds/CallableBonds.cs | 4 ++--
src/EquityOption/EquityOption.cs | 2 +-
src/FRA/FRA.cs | 2 +-
src/FittedBondCurve/FittedBondCurve.cs | 2 +-
src/QLNet/CashflowBase.cs | 2 +-
src/QLNet/Cashflows/AverageBMACoupon.cs | 2 +-
src/QLNet/Cashflows/CPICoupon.cs | 2 +-
src/QLNet/Cashflows/CPICouponPricer.cs | 2 +-
src/QLNet/Cashflows/CappedFlooredCoupon.cs | 2 +-
.../Cashflows/CappedFlooredYoYInflationCoupon.cs | 2 +-
src/QLNet/Cashflows/CashFlows.cs | 2 +-
src/QLNet/Cashflows/Cashflowvectors.cs | 2 +-
src/QLNet/Cashflows/CmsCoupon.cs | 2 +-
src/QLNet/Cashflows/CmsSpreadCoupon.cs | 2 +-
src/QLNet/Cashflows/ConundrumPricer.cs | 2 +-
src/QLNet/Cashflows/Coupon.cs | 2 +-
src/QLNet/Cashflows/CouponPricer.cs | 2 +-
src/QLNet/Cashflows/DigitalCmsCoupon.cs | 2 +-
src/QLNet/Cashflows/DigitalCoupon.cs | 2 +-
src/QLNet/Cashflows/DigitalIborCoupon.cs | 2 +-
src/QLNet/Cashflows/Dividend.cs | 2 +-
src/QLNet/Cashflows/FixedRateCoupon.cs | 2 +-
src/QLNet/Cashflows/FloatingRateCoupon.cs | 2 +-
src/QLNet/Cashflows/Iborcoupon.cs | 2 +-
src/QLNet/Cashflows/IndexedCashFlow.cs | 2 +-
src/QLNet/Cashflows/InflationCoupon.cs | 2 +-
src/QLNet/Cashflows/InflationCouponPricer.cs | 2 +-
src/QLNet/Cashflows/LinearTsrPricer.cs | 2 +-
src/QLNet/Cashflows/OvernightIndexedCoupon.cs | 2 +-
src/QLNet/Cashflows/Principal.cs | 2 +-
src/QLNet/Cashflows/PrincipalLegBase.cs | 2 +-
src/QLNet/Cashflows/RangeAccrual.cs | 2 +-
src/QLNet/Cashflows/RateLegBase.cs | 2 +-
src/QLNet/Cashflows/Replication.cs | 2 +-
src/QLNet/Cashflows/SimpleCashFlow.cs | 2 +-
src/QLNet/Cashflows/YoYInflationCoupon.cs | 2 +-
src/QLNet/Currencies/Africa.cs | 2 +-
src/QLNet/Currencies/America.cs | 2 +-
src/QLNet/Currencies/Asia.cs | 2 +-
src/QLNet/Currencies/Currency.cs | 2 +-
src/QLNet/Currencies/Europe.cs | 2 +-
src/QLNet/Currencies/ExchangeRate.cs | 2 +-
src/QLNet/Currencies/ExchangeRateManager.cs | 2 +-
src/QLNet/Currencies/Oceania.cs | 2 +-
src/QLNet/DiscretizedAsset.cs | 2 +-
src/QLNet/Event.cs | 2 +-
src/QLNet/Exercise.cs | 2 +-
src/QLNet/Extensions/DoubleExtension.cs | 2 +-
src/QLNet/Grid.cs | 2 +-
src/QLNet/Handle.cs | 2 +-
src/QLNet/Index.cs | 2 +-
src/QLNet/Indexes/BMAIndex.cs | 2 +-
src/QLNet/Indexes/IBORIndex.cs | 2 +-
src/QLNet/Indexes/Ibor/Aonia.cs | 2 +-
src/QLNet/Indexes/Ibor/Audlibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Bbsw.cs | 2 +-
src/QLNet/Indexes/Ibor/Bkbm.cs | 2 +-
src/QLNet/Indexes/Ibor/Cadlibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Cdor.cs | 2 +-
src/QLNet/Indexes/Ibor/Chflibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Dkklibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Eonia.cs | 2 +-
src/QLNet/Indexes/Ibor/Euribor.cs | 2 +-
src/QLNet/Indexes/Ibor/Eurlibor.cs | 2 +-
src/QLNet/Indexes/Ibor/FedFunds.cs | 2 +-
src/QLNet/Indexes/Ibor/Gbplibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Jibar.cs | 2 +-
src/QLNet/Indexes/Ibor/Jpylibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Libor.cs | 2 +-
src/QLNet/Indexes/Ibor/Nzdlibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Nzocr.cs | 2 +-
src/QLNet/Indexes/Ibor/Seklibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Shibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Sonia.cs | 2 +-
src/QLNet/Indexes/Ibor/Tibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Trylibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Usdlibor.cs | 2 +-
src/QLNet/Indexes/Ibor/Zibor.cs | 2 +-
src/QLNet/Indexes/Indexmanager.cs | 2 +-
src/QLNet/Indexes/Inflation/AUCPI.cs | 2 +-
src/QLNet/Indexes/Inflation/EUHICP.cs | 2 +-
src/QLNet/Indexes/Inflation/FRHICP.cs | 2 +-
src/QLNet/Indexes/Inflation/UKRPI.cs | 2 +-
src/QLNet/Indexes/Inflation/USCPI.cs | 2 +-
src/QLNet/Indexes/Inflation/ZACPI.cs | 2 +-
src/QLNet/Indexes/InflationIndex.cs | 2 +-
src/QLNet/Indexes/InterestRateIndex.cs | 2 +-
src/QLNet/Indexes/Region.cs | 2 +-
src/QLNet/Indexes/Swapindex.cs | 2 +-
src/QLNet/Indexes/swap/ChfLiborSwap.cs | 2 +-
src/QLNet/Indexes/swap/EurLiborSwap.cs | 2 +-
src/QLNet/Indexes/swap/EuriborSwap.cs | 2 +-
src/QLNet/Indexes/swap/GbpLiborSwap.cs | 2 +-
src/QLNet/Indexes/swap/JpyLiborSwap.cs | 2 +-
src/QLNet/Indexes/swap/SwapSpreadIndex.cs | 2 +-
src/QLNet/Indexes/swap/UsdLiborSwap.cs | 2 +-
src/QLNet/Instruments/AsianOption.cs | 2 +-
src/QLNet/Instruments/AssetSwap.cs | 2 +-
src/QLNet/Instruments/AverageType.cs | 2 +-
src/QLNet/Instruments/BMASwap.cs | 2 +-
src/QLNet/Instruments/BarrierOption.cs | 2 +-
src/QLNet/Instruments/BarrierType.cs | 2 +-
src/QLNet/Instruments/BasisSwap.cs | 2 +-
src/QLNet/Instruments/BasketOption.cs | 2 +-
src/QLNet/Instruments/Bond.cs | 2 +-
src/QLNet/Instruments/Bonds/AmortizingBond.cs | 2 +-
.../Instruments/Bonds/AmortizingCmsRateBond.cs | 2 +-
.../Instruments/Bonds/AmortizingFixedRateBond.cs | 2 +-
.../Bonds/AmortizingFloatingRateBond.cs | 2 +-
src/QLNet/Instruments/Bonds/BTP.cs | 2 +-
src/QLNet/Instruments/Bonds/BondFactory.cs | 2 +-
src/QLNet/Instruments/Bonds/CPIBond.cs | 2 +-
src/QLNet/Instruments/Bonds/CallableBond.cs | 2 +-
src/QLNet/Instruments/Bonds/CmsRateBond.cs | 2 +-
src/QLNet/Instruments/Bonds/ConstantCPR.cs | 2 +-
src/QLNet/Instruments/Bonds/ConvertibleBond.cs | 2 +-
.../Bonds/DiscretizedCallableFixedRateBond.cs | 2 +-
src/QLNet/Instruments/Bonds/Fixedratebond.cs | 2 +-
src/QLNet/Instruments/Bonds/FloatingRateBond.cs | 2 +-
src/QLNet/Instruments/Bonds/IPrepayModel.cs | 2 +-
src/QLNet/Instruments/Bonds/MBSFixedRateBond.cs | 2 +-
src/QLNet/Instruments/Bonds/PSACurve.cs | 2 +-
src/QLNet/Instruments/Bonds/Zerocouponbond.cs | 2 +-
src/QLNet/Instruments/CPICapFloor.cs | 2 +-
src/QLNet/Instruments/CPISwap.cs | 2 +-
src/QLNet/Instruments/Callability.cs | 2 +-
src/QLNet/Instruments/CapFloor.cs | 2 +-
src/QLNet/Instruments/Claim.cs | 2 +-
src/QLNet/Instruments/CliquetOption.cs | 2 +-
src/QLNet/Instruments/CompositeInstrument.cs | 2 +-
src/QLNet/Instruments/CreditDefaultSwap.cs | 2 +-
src/QLNet/Instruments/DividendBarrierOption.cs | 2 +-
src/QLNet/Instruments/DividendSchedule.cs | 2 +-
src/QLNet/Instruments/DividendVanillaOption.cs | 2 +-
src/QLNet/Instruments/DoubleBarrierOption.cs | 2 +-
src/QLNet/Instruments/EuropeanOption.cs | 2 +-
src/QLNet/Instruments/FixedRateBondForward.cs | 2 +-
src/QLNet/Instruments/FloatFloatSwap.cs | 2 +-
src/QLNet/Instruments/Forward.cs | 2 +-
src/QLNet/Instruments/ForwardRateAgreement.cs | 2 +-
src/QLNet/Instruments/ForwardVanillaOption.cs | 2 +-
src/QLNet/Instruments/Futures.cs | 2 +-
src/QLNet/Instruments/ImpliedVolatility.cs | 2 +-
src/QLNet/Instruments/InflationCapFloor.cs | 2 +-
src/QLNet/Instruments/Instrument.cs | 2 +-
src/QLNet/Instruments/Loan.cs | 2 +-
src/QLNet/Instruments/LookbackOption.cs | 2 +-
src/QLNet/Instruments/MakeBasisSwap.cs | 2 +-
src/QLNet/Instruments/MakeCDS.cs | 2 +-
src/QLNet/Instruments/MakeCapFloor.cs | 2 +-
src/QLNet/Instruments/MakeCms.cs | 2 +-
src/QLNet/Instruments/MakeLoans.cs | 2 +-
src/QLNet/Instruments/MakeOIS.cs | 2 +-
src/QLNet/Instruments/Makeswaption.cs | 2 +-
src/QLNet/Instruments/Makevanillaswap.cs | 2 +-
src/QLNet/Instruments/MultiAssetOption.cs | 2 +-
src/QLNet/Instruments/OneAssetOption.cs | 2 +-
src/QLNet/Instruments/OvernightIndexedSwap.cs | 2 +-
src/QLNet/Instruments/Payoffs.cs | 2 +-
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.../Volatility/Optionlet/StrippedOptionletBase.cs | 2 +-
src/QLNet/Termstructures/Volatility/Sabr.cs | 2 +-
.../Volatility/SabrInterpolatedSmileSection.cs | 2 +-
.../Termstructures/Volatility/SmileSection.cs | 2 +-
.../Volatility/SpreadedSmileSection.cs | 2 +-
src/QLNet/Termstructures/Volatility/Svi.cs | 2 +-
.../Volatility/SviInterpolatedSmileSection.cs | 2 +-
.../Termstructures/Volatility/SviSmileSection.cs | 2 +-
.../Volatility/equityfx/BlackConstantVol.cs | 2 +-
.../Volatility/equityfx/BlackVarianceCurve.cs | 2 +-
.../Volatility/equityfx/BlackVarianceSurface.cs | 2 +-
.../Volatility/equityfx/BlackVolTermStructure.cs | 2 +-
.../Volatility/equityfx/FixedLocalVolSurface.cs | 2 +-
.../Volatility/equityfx/HestonBlackVolSurface.cs | 2 +-
.../Volatility/equityfx/ImpliedVolTermStructure.cs | 2 +-
.../Volatility/equityfx/LocalConstantVol.cs | 2 +-
.../Volatility/equityfx/LocalVolCurve.cs | 2 +-
.../Volatility/equityfx/LocalVolSurface.cs | 2 +-
.../Volatility/equityfx/LocalVolTermStructure.cs | 2 +-
.../Volatility/equityfx/NoExceptLocalVolSurface.cs | 2 +-
.../swaption/SpreadedSwaptionVolatility.cs | 2 +-
.../Volatility/swaption/SwaptionConstantVol.cs | 2 +-
.../Volatility/swaption/SwaptionVolCube1.cs | 2 +-
.../Volatility/swaption/SwaptionVolCube2.cs | 2 +-
.../Volatility/swaption/SwaptionVolDiscrete.cs | 2 +-
.../Volatility/swaption/SwaptionVolMatrix.cs | 2 +-
.../Volatility/swaption/SwaptionVolatilityCube.cs | 2 +-
.../swaption/SwaptionVolatilityStructure.cs | 2 +-
src/QLNet/Termstructures/Yield/BasisSwapHelper.cs | 2 +-
src/QLNet/Termstructures/Yield/Bondhelpers.cs | 2 +-
src/QLNet/Termstructures/Yield/Bootstraptraits.cs | 2 +-
.../Yield/CompositeZeroYieldStructure.cs | 2 +-
src/QLNet/Termstructures/Yield/DiscountCurve.cs | 2 +-
.../Yield/FittedBondDiscountCurve.cs | 2 +-
src/QLNet/Termstructures/Yield/Flatforward.cs | 2 +-
src/QLNet/Termstructures/Yield/ForwardCurve.cs | 2 +-
.../Yield/ForwardSpreadedTermStructure.cs | 2 +-
src/QLNet/Termstructures/Yield/ForwardStructure.cs | 2 +-
.../Termstructures/Yield/ImpliedTermStructure.cs | 2 +-
...terpolatedPiecewiseZeroSpreadedTermStructure.cs | 2 +-
.../Yield/NonLinearFittingMethods.cs | 2 +-
src/QLNet/Termstructures/Yield/OISRateHelper.cs | 2 +-
.../Termstructures/Yield/PiecewiseYieldCurve.cs | 2 +-
src/QLNet/Termstructures/Yield/Ratehelpers.cs | 2 +-
src/QLNet/Termstructures/Yield/ZeroCurve.cs | 2 +-
.../Yield/ZeroSpreadedTermStructure.cs | 2 +-
.../Termstructures/Yield/Zeroyieldstructure.cs | 2 +-
src/QLNet/Termstructures/YieldTermStructure.cs | 2 +-
src/QLNet/Time/ASX.cs | 2 +-
src/QLNet/Time/Calendar.cs | 2 +-
src/QLNet/Time/Calendars/Argentina.cs | 2 +-
src/QLNet/Time/Calendars/Australia.cs | 2 +-
src/QLNet/Time/Calendars/BespokeCalendar.cs | 2 +-
src/QLNet/Time/Calendars/Botswana.cs | 2 +-
src/QLNet/Time/Calendars/Brazil.cs | 2 +-
src/QLNet/Time/Calendars/Canada.cs | 2 +-
src/QLNet/Time/Calendars/China.cs | 2 +-
src/QLNet/Time/Calendars/CzechRepublic.cs | 2 +-
src/QLNet/Time/Calendars/Denmark.cs | 2 +-
src/QLNet/Time/Calendars/Finland.cs | 2 +-
src/QLNet/Time/Calendars/Germany.cs | 2 +-
src/QLNet/Time/Calendars/HongKong.cs | 2 +-
src/QLNet/Time/Calendars/Hungary.cs | 2 +-
src/QLNet/Time/Calendars/Iceland.cs | 2 +-
src/QLNet/Time/Calendars/India.cs | 2 +-
src/QLNet/Time/Calendars/Indonesia.cs | 2 +-
src/QLNet/Time/Calendars/Israel.cs | 2 +-
src/QLNet/Time/Calendars/Italy.cs | 2 +-
src/QLNet/Time/Calendars/Japan.cs | 2 +-
src/QLNet/Time/Calendars/JointCalendar.cs | 2 +-
src/QLNet/Time/Calendars/Mexico.cs | 2 +-
src/QLNet/Time/Calendars/NewZealand.cs | 2 +-
src/QLNet/Time/Calendars/Norway.cs | 2 +-
src/QLNet/Time/Calendars/NullCalendar.cs | 2 +-
src/QLNet/Time/Calendars/Poland.cs | 2 +-
src/QLNet/Time/Calendars/Romania.cs | 2 +-
src/QLNet/Time/Calendars/Russia.cs | 2 +-
src/QLNet/Time/Calendars/SaudiArabia.cs | 2 +-
src/QLNet/Time/Calendars/Singapore.cs | 2 +-
src/QLNet/Time/Calendars/Slovakia.cs | 2 +-
src/QLNet/Time/Calendars/SouthAfrica.cs | 2 +-
src/QLNet/Time/Calendars/SouthKorea.cs | 2 +-
src/QLNet/Time/Calendars/Sweden.cs | 2 +-
src/QLNet/Time/Calendars/Switzerland.cs | 2 +-
src/QLNet/Time/Calendars/TARGET.cs | 2 +-
src/QLNet/Time/Calendars/Taiwan.cs | 2 +-
src/QLNet/Time/Calendars/Turkey.cs | 2 +-
src/QLNet/Time/Calendars/Ukraine.cs | 2 +-
src/QLNet/Time/Calendars/UnitedKingdom.cs | 2 +-
src/QLNet/Time/Calendars/UnitedStates.cs | 2 +-
src/QLNet/Time/Calendars/WeekendsOnly.cs | 2 +-
src/QLNet/Time/Date.cs | 2 +-
src/QLNet/Time/DayCounter.cs | 2 +-
src/QLNet/Time/DayCounters/Actual360.cs | 2 +-
src/QLNet/Time/DayCounters/Actual365Fixed.cs | 2 +-
src/QLNet/Time/DayCounters/Actual365NoLeap.cs | 2 +-
src/QLNet/Time/DayCounters/ActualActual.cs | 2 +-
src/QLNet/Time/DayCounters/Business252.cs | 2 +-
src/QLNet/Time/DayCounters/OneDayCounter.cs | 2 +-
src/QLNet/Time/DayCounters/SimpleDayCounter.cs | 2 +-
src/QLNet/Time/DayCounters/Thirty360.cs | 2 +-
src/QLNet/Time/ECB.cs | 2 +-
src/QLNet/Time/Imm.cs | 2 +-
src/QLNet/Time/Period.cs | 2 +-
src/QLNet/Time/Schedule.cs | 2 +-
src/QLNet/TimeGrid.cs | 2 +-
src/QLNet/Types.cs | 2 +-
src/QLNet/Utils.cs | 2 +-
.../legacy/libormarketmodels/LfmCovarParam.cs | 2 +-
.../legacy/libormarketmodels/LfmCovarianceProxy.cs | 2 +-
.../legacy/libormarketmodels/LfmHullWhiteParam.cs | 2 +-
src/QLNet/legacy/libormarketmodels/LfmProcess.cs | 2 +-
.../legacy/libormarketmodels/LfmSwaptionEngine.cs | 2 +-
.../legacy/libormarketmodels/LiborForwardModel.cs | 2 +-
.../libormarketmodels/LmConstWrapperCorrModel.cs | 2 +-
.../libormarketmodels/LmConstWrapperVolModel.cs | 2 +-
src/QLNet/legacy/libormarketmodels/LmCorrModel.cs | 2 +-
.../legacy/libormarketmodels/LmExpCorrModel.cs | 2 +-
.../libormarketmodels/LmExtLinExpVolModel.cs | 2 +-
.../legacy/libormarketmodels/LmFixedVolModel.cs | 2 +-
.../legacy/libormarketmodels/LmLinExpCorrModel.cs | 2 +-
.../legacy/libormarketmodels/LmLinExpVolModel.cs | 2 +-
src/QLNet/legacy/libormarketmodels/LmVolModel.cs | 2 +-
src/QLNet/processes/BlackScholesProcess.cs | 2 +-
src/QLNet/processes/Defaultable.cs | 2 +-
src/QLNet/processes/EulerDiscretization.cs | 2 +-
src/QLNet/processes/ForwardMeasureProcess.cs | 2 +-
.../processes/GeometricBrownianMotionProcess.cs | 2 +-
src/QLNet/processes/HestonProcess.cs | 2 +-
src/QLNet/processes/HullWhiteProcess.cs | 2 +-
.../processes/HybridHestonHullWhiteProcess.cs | 2 +-
src/QLNet/processes/Ornsteinuhlenbeckprocess.cs | 2 +-
src/QLNet/processes/Squarerootprocess.cs | 2 +-
src/QLNet/processes/StochasticProcessArray.cs | 2 +-
src/Repo/Repo.cs | 2 +-
src/Swap/swapvaluation.cs | 2 +-
tests/QLNet.Tests/T_AmericanOption.cs | 2 +-
tests/QLNet.Tests/T_AsianOptions.cs | 4 ++--
tests/QLNet.Tests/T_AssetSwap.cs | 2 +-
tests/QLNet.Tests/T_BarrierOption.cs | 2 +-
tests/QLNet.Tests/T_BasketOption.cs | 2 +-
tests/QLNet.Tests/T_Bermudanswaption.cs | 4 ++--
tests/QLNet.Tests/T_BinaryOption.cs | 2 +-
tests/QLNet.Tests/T_BlackDeltaCalculator.cs | 2 +-
tests/QLNet.Tests/T_BlackFormula.cs | 2 +-
tests/QLNet.Tests/T_Bonds.cs | 2 +-
tests/QLNet.Tests/T_BusinessDayConvention.cs | 2 +-
tests/QLNet.Tests/T_CPISwap.cs | 2 +-
tests/QLNet.Tests/T_Calendars.cs | 2 +-
tests/QLNet.Tests/T_CapFloor.cs | 2 +-
tests/QLNet.Tests/T_CapFlooredCoupon.cs | 2 +-
tests/QLNet.Tests/T_CashFlows.cs | 2 +-
tests/QLNet.Tests/T_CliquetOption.cs | 2 +-
tests/QLNet.Tests/T_Cms.cs | 2 +-
tests/QLNet.Tests/T_CreditDefaultSwap.cs | 2 +-
tests/QLNet.Tests/T_Dates.cs | 2 +-
tests/QLNet.Tests/T_DayCounters.cs | 2 +-
tests/QLNet.Tests/T_DefaultProbabilityCurves.cs | 2 +-
tests/QLNet.Tests/T_DigitalCoupon.cs | 2 +-
tests/QLNet.Tests/T_DigitalOption.cs | 2 +-
tests/QLNet.Tests/T_DividendOption.cs | 4 ++--
tests/QLNet.Tests/T_DoubleBarrierOption.cs | 2 +-
tests/QLNet.Tests/T_DoubleBinaryOption.cs | 2 +-
tests/QLNet.Tests/T_EuropeanOption.cs | 2 +-
tests/QLNet.Tests/T_ExchangeRate.cs | 2 +-
tests/QLNet.Tests/T_FdmLinearOp.cs | 22 ++++++++++++++++++++--
tests/QLNet.Tests/T_ForwardOption.cs | 2 +-
tests/QLNet.Tests/T_Functions.cs | 2 +-
tests/QLNet.Tests/T_HestonModel.cs | 2 +-
.../QLNet.Tests/T_HybridHestonHullWhiteProcess.cs | 2 +-
tests/QLNet.Tests/T_Inflation.cs | 2 +-
tests/QLNet.Tests/T_InflationCPICapFloor.cs | 2 +-
tests/QLNet.Tests/T_InflationCapFloorTest.cs | 2 +-
.../QLNet.Tests/T_InflationCapFlooredCouponTest.cs | 2 +-
tests/QLNet.Tests/T_Instruments.cs | 2 +-
tests/QLNet.Tests/T_InterestRate.cs | 2 +-
tests/QLNet.Tests/T_Interpolations.cs | 2 +-
tests/QLNet.Tests/T_LiborMarketModel.cs | 4 ++--
tests/QLNet.Tests/T_LiborMarketModelProcess.cs | 2 +-
.../QLNet.Tests/T_LinearLeastSquaresRegression.cs | 2 +-
tests/QLNet.Tests/T_LookbackOption.cs | 2 +-
tests/QLNet.Tests/T_LowDiscrepancySequences.cs | 2 +-
tests/QLNet.Tests/T_Matrices.cs | 2 +-
tests/QLNet.Tests/T_Mclongstaffschwartzengine.cs | 2 +-
tests/QLNet.Tests/T_Money.cs | 2 +-
tests/QLNet.Tests/T_Operators.cs | 2 +-
tests/QLNet.Tests/T_Optimizers.cs | 2 +-
tests/QLNet.Tests/T_OptionletStripper.cs | 2 +-
tests/QLNet.Tests/T_OvernightIndexedSwap.cs | 2 +-
tests/QLNet.Tests/T_PSACurve.cs | 2 +-
tests/QLNet.Tests/T_PathGenerator.cs | 2 +-
.../T_PiecewiseZeroSpreadedTermStructure.cs | 2 +-
tests/QLNet.Tests/T_Piecewiseyieldcurve.cs | 2 +-
tests/QLNet.Tests/T_Quotes.cs | 2 +-
tests/QLNet.Tests/T_RNGTraits.cs | 2 +-
tests/QLNet.Tests/T_RiskStats.cs | 2 +-
tests/QLNet.Tests/T_Rounding.cs | 2 +-
tests/QLNet.Tests/T_SVI.cs | 2 +-
tests/QLNet.Tests/T_SampledCurve.cs | 2 +-
tests/QLNet.Tests/T_Schedule.cs | 2 +-
tests/QLNet.Tests/T_ShortRateModels.cs | 2 +-
tests/QLNet.Tests/T_Solvers.cs | 2 +-
tests/QLNet.Tests/T_Stats.cs | 2 +-
tests/QLNet.Tests/T_Swaps.cs | 2 +-
tests/QLNet.Tests/T_Swaption.cs | 2 +-
tests/QLNet.Tests/T_SwaptionVolatilityCube.cs | 2 +-
tests/QLNet.Tests/T_SwaptionVolatilitymatrix.cs | 2 +-
tests/QLNet.Tests/T_TermStructures.cs | 2 +-
tests/QLNet.Tests/T_Vector.cs | 2 +-
tests/QLNet.Tests/Utilities.cs | 2 +-
760 files changed, 784 insertions(+), 766 deletions(-)
commit 9319304a01dccb62bc19f4306bea4e30e8eadb43
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 23:53:31 2018 +0100
Updated PULL_REQUEST_TEMPLATE.md [skip ci]
.github/PULL_REQUEST_TEMPLATE.md | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit d47ccd8d2a3867f67f2373158f1292f0971c3350
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 23:52:39 2018 +0100
Renamed CONTRIBUTING.md to .github/CONTRIBUTING.md [skip ci]
CONTRIBUTING.md => .github/CONTRIBUTING.md | 0
1 file changed, 0 insertions(+), 0 deletions(-)
commit ae37d9f9381de5af0d51751f2e072eb17c0cc67f
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 23:50:06 2018 +0100
Renamed CODE_OF_CONDUCT.md to .github/CODE_OF_CONDUCT.md [skip ci]
CODE_OF_CONDUCT.md => .github/CODE_OF_CONDUCT.md | 0
1 file changed, 0 insertions(+), 0 deletions(-)
commit 3c6e4e7a5c5109c49900e1ecfb25895b9c74ba84
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 23:40:26 2018 +0100
Created PULL_REQUEST_TEMPLATE.md [skip ci]
.github/PULL_REQUEST_TEMPLATE.md | 23 +++++++++++++++++++++++
1 file changed, 23 insertions(+)
commit 5d48369aa34f2c7159bf50298bf913d58e0bf70e
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 23:23:41 2018 +0100
Created ISSUE_TEMPLATE.md [skip ci]
.github/ISSUE_TEMPLATE.md | 31 +++++++++++++++++++++++++++++++
1 file changed, 31 insertions(+)
commit ea44f825b127bcc6bce931c01c194c489b6670d4
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 23:13:10 2018 +0100
Created LICENSE [skip ci]
LICENSE | 29 +++++++++++++++++++++++++++++
1 file changed, 29 insertions(+)
commit 281f56a5ca2b743596c325cffc7ccb6a3967b2cf
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 22:54:21 2018 +0100
Updated CONTRIBUTING.md [skip ci]
CONTRIBUTING.md | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 99f2d14896b638fd79ec1598d6ea1b94bf2793ce
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 22:50:40 2018 +0100
Created CONTRIBUTING.md [skip ci]
CONTRIBUTING.md | 124 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 124 insertions(+)
commit 876597239a2771b3407ade5e49d3310e58f15c76
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 22:08:43 2018 +0100
Created CODE_OF_CONDUCT.md
CODE_OF_CONDUCT.md | 43 +++++++++++++++++++++++++++++++++++++++++++
1 file changed, 43 insertions(+)
commit c328d3973dbc215daa823e362fae9f2723abd87f
Merge: 5bd4f20 7ad8913
Author: Andrea Maggiulli <[email protected]>
Date: Mon Feb 5 17:27:40 2018 +0100
Merge pull request #201 from amaggiulli/formatcode
Formatcode
commit 7ad891384b81ff92c1ee556bd277a6f72c8ba404
Author: Andrea Maggiulli <[email protected]>
Date: Fri Feb 2 17:27:04 2018 +0100
Removed unnecessary semicolons.
src/QLNet/Cashflows/CouponPricer.cs | 2 +-
src/QLNet/Cashflows/InflationCouponPricer.cs | 2 +-
src/QLNet/Cashflows/YoYInflationCoupon.cs | 2 +-
src/QLNet/Indexes/Inflation/UKRPI.cs | 2 +-
src/QLNet/Indexes/Swapindex.cs | 2 +-
src/QLNet/Indexes/swap/ChfLiborSwap.cs | 2 +-
src/QLNet/Indexes/swap/EuriborSwap.cs | 2 +-
src/QLNet/Instruments/BMASwap.cs | 2 +-
src/QLNet/Instruments/BasisSwap.cs | 2 +-
src/QLNet/Instruments/Bonds/CallableBond.cs | 2 +-
src/QLNet/Instruments/Bonds/ConvertibleBond.cs | 4 ++--
src/QLNet/Instruments/CPISwap.cs | 2 +-
src/QLNet/Instruments/Callability.cs | 6 +++---
src/QLNet/Instruments/CapFloor.cs | 8 ++++----