From 15770a51b158ae8fc5bd873f47d54329d8287667 Mon Sep 17 00:00:00 2001 From: Andrea Maggiulli Date: Wed, 25 Jul 2018 18:59:51 +0200 Subject: [PATCH] Updated versions. --- ChangeLog.txt | 2616 ++-------------------------------------- News.txt | 41 +- appveyor.yml | 8 +- src/QLNet/QLNet.csproj | 6 +- 4 files changed, 102 insertions(+), 2569 deletions(-) diff --git a/ChangeLog.txt b/ChangeLog.txt index dc866ef89..4358f44ef 100644 --- a/ChangeLog.txt +++ b/ChangeLog.txt @@ -1,2586 +1,148 @@ -commit 6cf92a77edb292dd6e0ac17916d40c7dd8718304 -Author: Andrea Maggiulli -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 -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 -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 -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 -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 -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 -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 -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 -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 -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 -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 -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 -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 -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 +- - src/QLNet/Instruments/Stock.cs | 2 +- - src/QLNet/Instruments/Swap.cs | 2 +- - src/QLNet/Instruments/Swaption.cs | 2 +- - src/QLNet/Instruments/VanillaOption.cs | 2 +- - src/QLNet/Instruments/VanillaSwap.cs | 2 +- - src/QLNet/Instruments/YearOnYearInflationSwap.cs | 2 +- - src/QLNet/Instruments/ZeroCouponInflationSwap.cs | 2 +- - src/QLNet/InterestRate.cs | 2 +- - src/QLNet/Math/AbcdMathFunction.cs | 2 +- - src/QLNet/Math/BSpline.cs | 2 +- - src/QLNet/Math/BernsteinPolynomial.cs | 2 +- - src/QLNet/Math/Beta.cs | 2 +- - src/QLNet/Math/Comparison.cs | 2 +- - .../Math/Distributions/BinomialDistribution.cs | 2 +- - .../Distributions/BivariateNormalDistribution.cs | 2 +- - .../Math/Distributions/ChiSquareDistribution.cs | 2 +- - src/QLNet/Math/Distributions/GammaDistribution.cs | 2 +- - src/QLNet/Math/Distributions/NormalDistribution.cs | 2 +- - .../Math/Distributions/PoissonDistribution.cs | 2 +- - src/QLNet/Math/Factorial.cs | 2 +- - src/QLNet/Math/Interpolation.cs | 2 +- - src/QLNet/Math/Interpolations/Abcdinterpolation.cs | 2 +- - .../Interpolations/BackwardFlatInterpolation.cs | 2 +- - .../BackwardflatLinearInterpolation.cs | 2 +- - .../Interpolations/BicubicSplineInterpolation.cs | 2 +- - .../Math/Interpolations/BilinearInterpolation.cs | 2 +- - .../Interpolations/ConvexMonotoneInterpolation.cs | 2 +- - .../Math/Interpolations/CubicInterpolation.cs | 2 +- - src/QLNet/Math/Interpolations/Extrapolator.cs | 2 +- - .../Math/Interpolations/FlatExtrapolator2D.cs | 2 +- - .../Interpolations/ForwardFlatInterpolation.cs | 2 +- - src/QLNet/Math/Interpolations/Interpolation2D.cs | 2 +- - .../Math/Interpolations/KernelInterpolation.cs | 2 +- - .../Math/Interpolations/KernelInterpolation2D.cs | 2 +- - .../Math/Interpolations/Linearinterpolation.cs | 2 +- - src/QLNet/Math/Interpolations/Loginterpolation.cs | 2 +- - .../Math/Interpolations/MixedInterpolation.cs | 2 +- - src/QLNet/Math/Interpolations/MultiCubicSpline.cs | 2 +- - src/QLNet/Math/Interpolations/SABRInterpolation.cs | 2 +- - src/QLNet/Math/Interpolations/SviInterpolation.cs | 2 +- - .../Math/Interpolations/VannaVolgaInterpolation.cs | 2 +- - src/QLNet/Math/Interpolations/XABRInterpolation.cs | 2 +- - src/QLNet/Math/KernelFunctions.cs | 2 +- - src/QLNet/Math/LinearLeastSquaresRegression.cs | 2 +- - src/QLNet/Math/Matrix.cs | 2 +- - src/QLNet/Math/ModifiedBessel.cs | 2 +- - src/QLNet/Math/NumericalDifferentiation.cs | 2 +- - src/QLNet/Math/ODE/AdaptiveRungeKutta.cs | 2 +- - src/QLNet/Math/Optimization/ArmijoLineSearch.cs | 2 +- - src/QLNet/Math/Optimization/BFGS.cs | 2 +- - src/QLNet/Math/Optimization/ConjugateGradient.cs | 2 +- - src/QLNet/Math/Optimization/Constraint.cs | 2 +- - src/QLNet/Math/Optimization/CostFunction.cs | 2 +- - .../Math/Optimization/DifferentialEvolution.cs | 2 +- - src/QLNet/Math/Optimization/EndCriteria.cs | 2 +- - src/QLNet/Math/Optimization/GoldsteinLineSearch.cs | 2 +- - src/QLNet/Math/Optimization/LeastSquareProblem.cs | 2 +- - src/QLNet/Math/Optimization/LevenbergMarquardt.cs | 2 +- - src/QLNet/Math/Optimization/LineSearch.cs | 2 +- - .../Math/Optimization/LineSearchBasedMethod.cs | 2 +- - src/QLNet/Math/Optimization/LmDif.cs | 2 +- - src/QLNet/Math/Optimization/Method.cs | 2 +- - src/QLNet/Math/Optimization/Problem.cs | 2 +- - src/QLNet/Math/Optimization/ProjectedConstraint.cs | 2 +- - .../Math/Optimization/ProjectedCostFunction.cs | 2 +- - src/QLNet/Math/Optimization/Projection.cs | 2 +- - src/QLNet/Math/Optimization/Simplex.cs | 2 +- - src/QLNet/Math/Optimization/SimulatedAnnealing.cs | 2 +- - src/QLNet/Math/Optimization/SteepestDescent.cs | 2 +- - src/QLNet/Math/PascalTriangle.cs | 2 +- - src/QLNet/Math/PolynomialFunction.cs | 2 +- - src/QLNet/Math/PrimeNumbers.cs | 2 +- - src/QLNet/Math/RichardsonExtrapolation.cs | 2 +- - src/QLNet/Math/Rounding.cs | 2 +- - src/QLNet/Math/SampledCurve.cs | 2 +- - src/QLNet/Math/Solver1d.cs | 2 +- - src/QLNet/Math/Solvers1d/Bisection.cs | 2 +- - src/QLNet/Math/Solvers1d/Brent.cs | 2 +- - src/QLNet/Math/Solvers1d/FalsePosition.cs | 2 +- - .../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 +- - 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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 -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 -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 -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 +commit 0f24982939e96465c0de8d1fb7fdad0aeb4ecb70 +Merge: 668dcdf eb4b917 Author: Andrea Maggiulli -Date: Mon Feb 5 23:40:26 2018 +0100 +Date: Wed Jul 25 18:21:15 2018 +0200 - Created PULL_REQUEST_TEMPLATE.md [skip ci] - - .github/PULL_REQUEST_TEMPLATE.md | 23 +++++++++++++++++++++++ - 1 file changed, 23 insertions(+) - -commit 5d48369aa34f2c7159bf50298bf913d58e0bf70e -Author: Andrea Maggiulli -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 -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 -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 -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 -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 -Date: Mon Feb 5 17:27:40 2018 +0100 - - Merge pull request #201 from amaggiulli/formatcode + Merge pull request #213 from amaggiulli/feature/callable.oas - Formatcode - -commit 7ad891384b81ff92c1ee556bd277a6f72c8ba404 -Author: Andrea Maggiulli -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 ++++---- - src/QLNet/Instruments/Forward.cs | 2 +- - src/QLNet/Instruments/Loan.cs | 2 +- - src/QLNet/Instruments/MultiAssetOption.cs | 2 +- - src/QLNet/Instruments/OvernightIndexedSwap.cs | 2 +- - src/QLNet/Instruments/Swaption.cs | 2 +- - src/QLNet/Instruments/VanillaSwap.cs | 2 +- - src/QLNet/Instruments/YearOnYearInflationSwap.cs | 4 ++-- - src/QLNet/Instruments/ZeroCouponInflationSwap.cs | 4 ++-- - src/QLNet/Math/Interpolations/ConvexMonotoneInterpolation.cs | 2 +- - src/QLNet/Math/Interpolations/KernelInterpolation.cs | 2 +- - src/QLNet/Math/Interpolations/Linearinterpolation.cs | 4 ++-- - src/QLNet/Math/Interpolations/Loginterpolation.cs | 2 +- - src/QLNet/Math/LinearLeastSquaresRegression.cs | 2 +- - src/QLNet/Math/NumericalDifferentiation.cs | 2 +- - src/QLNet/Math/Optimization/Constraint.cs | 2 +- - src/QLNet/Math/TransformedGrid.cs | 2 +- - src/QLNet/Math/matrixutilities/TqrEigenDecomposition.cs | 2 +- - src/QLNet/Math/randomnumbers/SobolRsg.cs | 2 +- - src/QLNet/Methods/Finitedifferences/BoundaryCondition.cs | 2 +- - src/QLNet/Methods/lattices/BinominalTree.cs | 2 +- - src/QLNet/Methods/lattices/Lattice2D.cs | 2 +- - src/QLNet/Methods/lattices/TrinomialTree.cs | 2 +- - src/QLNet/Methods/montecarlo/LsmBasisSystem.cs | 2 +- - .../MarketModels/BrownianGenerators/SobolBrownianGenerator.cs | 2 +- - src/QLNet/Pricingengines/credit/IsdaCdsEngine.cs | 2 +- - src/QLNet/Pricingengines/inflation/InflationCapFloorEngines.cs | 2 +- - src/QLNet/Pricingengines/swaption/BlackSwaptionEngine.cs | 2 +- - src/QLNet/Pricingengines/vanilla/AnalyticHestonEngine.cs | 2 +- - src/QLNet/Pricingengines/vanilla/HestonExpansionEngine.cs | 2 +- - src/QLNet/Pricingengines/vanilla/MCEuropeanHestonEngine.cs | 2 +- - .../Termstructures/Volatility/Optionlet/OptionletStripper.cs | 2 +- - src/QLNet/Termstructures/Volatility/Sabr.cs | 2 +- - src/QLNet/Termstructures/Volatility/swaption/SwaptionVolCube1.cs | 2 +- - src/QLNet/Time/ASX.cs | 2 +- - src/QLNet/Time/Calendars/Argentina.cs | 4 ++-- - src/QLNet/Time/Calendars/Australia.cs | 4 ++-- - src/QLNet/Time/Calendars/Canada.cs | 2 +- - src/QLNet/Time/Calendars/China.cs | 4 ++-- - src/QLNet/Time/Calendars/Germany.cs | 6 +++--- - src/QLNet/Time/Calendars/Indonesia.cs | 2 +- - src/QLNet/Time/Calendars/Italy.cs | 6 +++--- - src/QLNet/Time/Calendars/Japan.cs | 4 ++-- - src/QLNet/Time/Calendars/JointCalendar.cs | 2 +- - src/QLNet/Time/Calendars/Switzerland.cs | 4 ++-- - src/QLNet/Time/Calendars/Taiwan.cs | 4 ++-- - src/QLNet/Time/Calendars/Turkey.cs | 2 +- - src/QLNet/Time/Calendars/Ukraine.cs | 4 ++-- - src/QLNet/Time/Calendars/UnitedStates.cs | 2 +- - src/QLNet/Time/DayCounters/Actual360.cs | 2 +- - src/QLNet/Time/DayCounters/ActualActual.cs | 8 ++++---- - src/QLNet/Time/DayCounters/Thirty360.cs | 8 ++++---- - src/QLNet/Time/ECB.cs | 2 +- - src/QLNet/processes/HybridHestonHullWhiteProcess.cs | 2 +- - tests/QLNet.Tests/T_BasketOption.cs | 4 ++-- - tests/QLNet.Tests/T_EuropeanOption.cs | 2 +- - tests/QLNet.Tests/T_Inflation.cs | 2 +- - tests/QLNet.Tests/T_InterestRate.cs | 2 +- - tests/QLNet.Tests/T_LowDiscrepancySequences.cs | 6 +++--- - tests/QLNet.Tests/T_OvernightIndexedSwap.cs | 6 +++--- - tests/QLNet.Tests/T_Piecewiseyieldcurve.cs | 4 ++-- - tests/QLNet.Tests/T_Solvers.cs | 2 +- - tests/QLNet.Tests/Utilities.cs | 4 ++-- - 76 files changed, 109 insertions(+), 109 deletions(-) - -commit 56e31900bbcbed88038fdc8f81b6f542df81ca52 -Author: Andrea Maggiulli -Date: Fri Feb 2 14:11:48 2018 +0100 - - Initial tests refactoring + Feature/callable.oas - tests/QLNet.Tests.Old/AssemblyInfo.cs | 16 +- - tests/QLNet.Tests/T_AmericanOption.cs | 1026 ++--- - tests/QLNet.Tests/T_AsianOptions.cs | 610 +-- - tests/QLNet.Tests/T_AssetSwap.cs | 4164 ++++++++++---------- - tests/QLNet.Tests/T_BarrierOption.cs | 992 ++--- - tests/QLNet.Tests/T_BasketOption.cs | 272 +- - tests/QLNet.Tests/T_Bermudanswaption.cs | 438 +- - tests/QLNet.Tests/T_BinaryOption.cs | 233 +- - tests/QLNet.Tests/T_BlackDeltaCalculator.cs | 624 +-- - tests/QLNet.Tests/T_BlackFormula.cs | 133 +- - tests/QLNet.Tests/T_Bonds.cs | 702 ++-- - tests/QLNet.Tests/T_BusinessDayConvention.cs | 170 +- - tests/QLNet.Tests/T_CPISwap.cs | 350 +- - tests/QLNet.Tests/T_Calendars.cs | 2443 ++++++------ - tests/QLNet.Tests/T_CapFloor.cs | 992 ++--- - tests/QLNet.Tests/T_CapFlooredCoupon.cs | 420 +- - tests/QLNet.Tests/T_CashFlows.cs | 70 +- - tests/QLNet.Tests/T_CliquetOption.cs | 194 +- - tests/QLNet.Tests/T_Cms.cs | 354 +- - tests/QLNet.Tests/T_CreditDefaultSwap.cs | 174 +- - tests/QLNet.Tests/T_Dates.cs | 229 +- - tests/QLNet.Tests/T_DayCounters.cs | 341 +- - tests/QLNet.Tests/T_DefaultProbabilityCurves.cs | 44 +- - tests/QLNet.Tests/T_DigitalCoupon.cs | 900 ++--- - tests/QLNet.Tests/T_DigitalOption.cs | 405 +- - tests/QLNet.Tests/T_DividendOption.cs | 100 +- - tests/QLNet.Tests/T_DoubleBarrierOption.cs | 526 +-- - tests/QLNet.Tests/T_DoubleBinaryOption.cs | 341 +- - tests/QLNet.Tests/T_EuropeanOption.cs | 94 +- - tests/QLNet.Tests/T_ExchangeRate.cs | 162 +- - tests/QLNet.Tests/T_FdmLinearOp.cs | 1605 ++++---- - tests/QLNet.Tests/T_ForwardOption.cs | 283 +- - tests/QLNet.Tests/T_Functions.cs | 270 +- - tests/QLNet.Tests/T_HestonModel.cs | 863 ++-- - .../QLNet.Tests/T_HybridHestonHullWhiteProcess.cs | 372 +- - tests/QLNet.Tests/T_Inflation.cs | 613 +-- - tests/QLNet.Tests/T_InflationCPICapFloor.cs | 304 +- - tests/QLNet.Tests/T_InflationCapFloorTest.cs | 964 ++--- - .../QLNet.Tests/T_InflationCapFlooredCouponTest.cs | 798 ++-- - tests/QLNet.Tests/T_Instruments.cs | 14 +- - tests/QLNet.Tests/T_InterestRate.cs | 99 +- - tests/QLNet.Tests/T_Interpolations.cs | 2013 +++++----- - tests/QLNet.Tests/T_LiborMarketModel.cs | 869 ++-- - tests/QLNet.Tests/T_LiborMarketModelProcess.cs | 670 ++-- - .../QLNet.Tests/T_LinearLeastSquaresRegression.cs | 422 +- - tests/QLNet.Tests/T_LookbackOption.cs | 327 +- - tests/QLNet.Tests/T_LowDiscrepancySequences.cs | 500 +-- - tests/QLNet.Tests/T_Matrices.cs | 616 +-- - tests/QLNet.Tests/T_Mclongstaffschwartzengine.cs | 124 +- - tests/QLNet.Tests/T_Money.cs | 34 +- - tests/QLNet.Tests/T_Operators.cs | 74 +- - tests/QLNet.Tests/T_Optimizers.cs | 952 ++--- - tests/QLNet.Tests/T_OptionletStripper.cs | 296 +- - tests/QLNet.Tests/T_OvernightIndexedSwap.cs | 345 +- - tests/QLNet.Tests/T_PSACurve.cs | 37 +- - tests/QLNet.Tests/T_PathGenerator.cs | 584 +-- - .../T_PiecewiseZeroSpreadedTermStructure.cs | 188 +- - tests/QLNet.Tests/T_Piecewiseyieldcurve.cs | 1631 ++++---- - tests/QLNet.Tests/T_Quotes.cs | 75 +- - tests/QLNet.Tests/T_RNGTraits.cs | 36 +- - tests/QLNet.Tests/T_RiskStats.cs | 502 +-- - tests/QLNet.Tests/T_Rounding.cs | 75 +- - tests/QLNet.Tests/T_SVI.cs | 209 +- - tests/QLNet.Tests/T_SampledCurve.cs | 20 +- - tests/QLNet.Tests/T_Schedule.cs | 198 +- - tests/QLNet.Tests/T_ShortRateModels.cs | 428 +- - tests/QLNet.Tests/T_Solvers.cs | 46 +- - tests/QLNet.Tests/T_Stats.cs | 208 +- - tests/QLNet.Tests/T_Swaps.cs | 178 +- - tests/QLNet.Tests/T_Swaption.cs | 1693 ++++---- - tests/QLNet.Tests/T_SwaptionVolatilityCube.cs | 290 +- - tests/QLNet.Tests/T_SwaptionVolatilitymatrix.cs | 829 ++-- - tests/QLNet.Tests/T_TermStructures.cs | 225 +- - tests/QLNet.Tests/T_Vector.cs | 56 +- - tests/QLNet.Tests/Utilities.cs | 562 +-- - 75 files changed, 19890 insertions(+), 19126 deletions(-) - -commit 59e2bf145c064afb13eb94b1447fddd3bbf9d96f +commit eb4b917e0ca88b0b96ef9b9225bae01b4ca726c5 Author: Andrea Maggiulli -Date: Fri Feb 2 14:11:21 2018 +0100 +Date: Wed Jul 25 18:03:21 2018 +0200 - Added test to code format. + Fixed Sonar issues - format_code.bat | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + src/QLNet/Cashflows/CashFlows.cs | 2 +- + src/QLNet/Instruments/Bonds/CallableBond.cs | 22 +++++++++++----------- + 2 files changed, 12 insertions(+), 12 deletions(-) -commit c0ea99c26b198c04bf51de5dad55394b9debe3e5 +commit 99d913a42927deff7f6ed27dc9b17f6050a28c70 Author: Andrea Maggiulli -Date: Fri Feb 2 12:52:02 2018 +0100 - - Uniformed file names to CamelCase standard +Date: Wed Jul 25 17:25:01 2018 +0200 - src/QLNet/Cashflows/{averagebmacoupon.cs => AverageBMACoupon.cs} | 0 - src/QLNet/{discretizedasset.cs => DiscretizedAsset.cs} | 0 - src/QLNet/{grid.cs => Grid.cs} | 0 - src/QLNet/Indexes/{bmaindex.cs => BMAIndex.cs} | 0 - src/QLNet/Instruments/{bmaswap.cs => BMASwap.cs} | 0 - .../Instruments/{fixedratebondforward.cs => FixedRateBondForward.cs} | 0 - src/QLNet/Instruments/{forward.cs => Forward.cs} | 0 - .../Instruments/{forwardrateagreement.cs => ForwardRateAgreement.cs} | 0 - src/QLNet/Instruments/{payoffs.cs => Payoffs.cs} | 0 - src/QLNet/Math/{beta.cs => Beta.cs} | 0 - .../Distributions/{binomialdistribution.cs => BinomialDistribution.cs} | 0 - .../Distributions/{chisquaredistribution.cs => ChiSquareDistribution.cs} | 0 - .../Math/Distributions/{poissondistribution.cs => PoissonDistribution.cs} | 0 - src/QLNet/Math/{factorial.cs => Factorial.cs} | 0 - .../{backwardflatinterpolation.cs => BackwardFlatInterpolation.cs} | 0 - .../Interpolations/{bilinearinterpolation.cs => BilinearInterpolation.cs} | 0 - .../{convexmonotoneinterpolation.cs => ConvexMonotoneInterpolation.cs} | 0 - .../{forwardflatinterpolation.cs => ForwardFlatInterpolation.cs} | 0 - src/QLNet/Math/Interpolations/{interpolation2d.cs => Interpolation2D.cs} | 0 - .../Math/Interpolations/{multicubicspline.cs => MultiCubicSpline.cs} | 0 - .../Math/Interpolations/{sabrinterpolation.cs => SABRInterpolation.cs} | 0 - .../{linearleastsquaresregression.cs => LinearLeastSquaresRegression.cs} | 0 - .../Math/Optimization/{levenbergmarquardt.cs => LevenbergMarquardt.cs} | 0 - src/QLNet/Math/Optimization/{lmdif.cs => LmDif.cs} | 0 - src/QLNet/Math/Optimization/{method.cs => Method.cs} | 0 - src/QLNet/Math/Optimization/{problem.cs => Problem.cs} | 0 - src/QLNet/Math/{transformedgrid.cs => TransformedGrid.cs} | 0 - .../{gaussianorthogonalpolynomial.cs => GaussianOrthogonalPolynomial.cs} | 0 - src/QLNet/Math/integrals/{simpsonintegral.cs => SimpsonIntegral.cs} | 0 - src/QLNet/Math/integrals/{trapezoidintegral.cs => TrapezoidIntegral.cs} | 0 - .../{choleskydecomposition.cs => CholeskyDecomposition.cs} | 0 - src/QLNet/Math/matrixutilities/{pseudosqrt.cs => PseudoSqrt.cs} | 0 - src/QLNet/Math/matrixutilities/{qrdecomposition.cs => QRDecomposition.cs} | 0 - src/QLNet/Math/matrixutilities/{svd.cs => SVD.cs} | 0 - .../{symmetricschurdecomposition.cs => SymmetricSchurDecomposition.cs} | 0 - .../randomnumbers/{inversecumulativerng.cs => InverseCumulativeRng.cs} | 0 - .../randomnumbers/{inversecumulativersg.cs => InverseCumulativeRsg.cs} | 0 - .../Math/randomnumbers/{mt19937uniformrng.cs => MT19937UniformRng.cs} | 0 - .../randomnumbers/{primitivepolynomials.cs => PrimitivePolynomials.cs} | 0 - src/QLNet/Math/randomnumbers/{rngtraits.cs => RNGTraits.cs} | 0 - .../{randomsequencegenerator.cs => RandomSequenceGenerator.cs} | 0 - src/QLNet/Math/randomnumbers/{seedgenerator.cs => SeedGenerator.cs} | 0 - src/QLNet/Math/randomnumbers/{sobolrsg.cs => SobolRsg.cs} | 0 - src/QLNet/Math/randomnumbers/{sobolrsg2.cs => SobolRsg2.cs} | 0 - .../statistics/{convergencestatistics.cs => ConvergenceStatistics.cs} | 0 - .../Math/statistics/{gaussianstatistics.cs => GaussianStatistics.cs} | 0 - src/QLNet/Math/statistics/{generalstatistics.cs => GeneralStatistics.cs} | 0 - .../statistics/{incrementalstatistics.cs => IncrementalStatistics.cs} | 0 - src/QLNet/Math/statistics/{riskstatistics.cs => RiskStatistics.cs} | 0 - .../Math/statistics/{sequencestatistics.cs => SequenceStatistics.cs} | 0 - src/QLNet/Methods/Finitedifferences/{bsmoperator.cs => BSMOperator.cs} | 0 - .../Methods/Finitedifferences/{cranknicolson.cs => CrankNicolson.cs} | 0 - src/QLNet/Methods/Finitedifferences/{dzero.cs => DZero.cs} | 0 - .../{finitedifferencemodel.cs => FiniteDifferenceModel.cs} | 0 - src/QLNet/Methods/Finitedifferences/{mixedscheme.cs => MixedScheme.cs} | 0 - src/QLNet/Methods/Finitedifferences/{pde.cs => Pde.cs} | 0 - src/QLNet/Methods/Finitedifferences/{pdebsm.cs => PdeBsm.cs} | 0 - src/QLNet/Methods/Finitedifferences/{pdeshortrate.cs => PdeShortRate.cs} | 0 - src/QLNet/Methods/lattices/{binominaltree.cs => BinominalTree.cs} | 0 - src/QLNet/Methods/lattices/{bsmlattice.cs => BsmLattice.cs} | 0 - src/QLNet/Methods/lattices/{lattice.cs => Lattice.cs} | 0 - src/QLNet/Methods/lattices/{lattice1d.cs => Lattice1D.cs} | 0 - src/QLNet/Methods/lattices/{lattice2d.cs => Lattice2D.cs} | 0 - src/QLNet/Methods/lattices/{tree.cs => Tree.cs} | 0 - src/QLNet/Methods/lattices/{trinomialtree.cs => TrinomialTree.cs} | 0 - src/QLNet/Methods/montecarlo/{brownianbridge.cs => BrownianBridge.cs} | 0 - .../montecarlo/{earlyexercisepathpricer.cs => EarlyExercisePathPricer.cs} | 0 - .../{longstaffschwartzpathpricer.cs => LongstaffSchwartzPathPricer.cs} | 0 - src/QLNet/Methods/montecarlo/{lsmbasissystem.cs => LsmBasisSystem.cs} | 0 - src/QLNet/Methods/montecarlo/{mctraits.cs => MCTraits.cs} | 0 - src/QLNet/Methods/montecarlo/{montecarlomodel.cs => MontecarloModel.cs} | 0 - src/QLNet/Methods/montecarlo/{multipath.cs => MultiPath.cs} | 0 - .../Methods/montecarlo/{multipathgenerator.cs => MultiPathGenerator.cs} | 0 - src/QLNet/Methods/montecarlo/{path.cs => Path.cs} | 0 - src/QLNet/Methods/montecarlo/{pathgenerator.cs => PathGenerator.cs} | 0 - src/QLNet/Methods/montecarlo/{pathpricer.cs => PathPricer.cs} | 0 - src/QLNet/Methods/montecarlo/{sample.cs => Sample.cs} | 0 - src/QLNet/Models/{model.cs => Model.cs} | 0 - 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.../{latticeshortratemodelengine.cs => LatticeShortRateModelEngine.cs} | 0 - .../{mclongstaffschwartzengine.cs => MCLongstaffSchwartzEngine.cs} | 0 - src/QLNet/Pricingengines/{mcsimulation.cs => McSimulation.cs} | 0 - src/QLNet/Pricingengines/Swap/{discretizedswap.cs => DiscretizedSwap.cs} | 0 - src/QLNet/Pricingengines/Swap/{treeswapengine.cs => TreeSwapEngine.cs} | 0 - .../asian/{mcdiscreteasianengine.cs => McDiscreteAsianEngine.cs} | 0 - .../asian/{mc_discr_arith_av_price.cs => Mc_Discr_Arith_Av_Price.cs} | 0 - .../asian/{mc_discr_arith_av_strike.cs => Mc_Discr_Arith_Av_Strike.cs} | 0 - .../asian/{mc_discr_geom_av_price.cs => Mc_Discr_Geom_Av_Price.cs} | 0 - .../swaption/{blackswaptionengine.cs => BlackSwaptionEngine.cs} | 0 - .../swaption/{discretizedswaption.cs => DiscretizedSwaption.cs} | 0 - .../Pricingengines/swaption/{g2swaptionengine.cs => G2SwaptionEngine.cs} | 0 - .../swaption/{jamshidianswaptionengine.cs => JamshidianSwaptionEngine.cs} | 0 - .../swaption/{treeswaptionengine.cs => TreeSwaptionEngine.cs} | 0 - .../vanilla/{baroneadesiwhaleyengine.cs => BaroneAdesiWhaleyEngine.cs} | 0 - src/QLNet/Pricingengines/vanilla/{binomialengine.cs => BinomialEngine.cs} | 0 - .../vanilla/{bjerksundstenslandengine.cs => BjerksundStenslandEngine.cs} | 0 - .../vanilla/{discretizedvanillaoption.cs => DiscretizedVanillaOption.cs} | 0 - .../Pricingengines/vanilla/{mcamericanengine.cs => McAmericanEngine.cs} | 0 - .../Pricingengines/vanilla/{mceuropeanengine.cs => McEuropeanEngine.cs} | 0 - .../Pricingengines/vanilla/{mcvanillaengine.cs => McVanillaEngine.cs} | 0 - src/QLNet/Termstructures/{interpolatedcurve.cs => InterpolatedCurve.cs} | 0 - src/QLNet/Termstructures/{localbootstrap.cs => LocalBootstrap.cs} | 0 - src/QLNet/Termstructures/{voltermstructure.cs => VolTermStructure.cs} | 0 - ...volatilitystructure.cs => YoYInflationOptionletVolatilityStructure.cs} | 0 - .../Optionlet/{capletvariancecurve.cs => CapletVarianceCurve.cs} | 0 - .../swaption/{swaptionconstantvol.cs => SwaptionConstantVol.cs} | 0 - .../swaption/{swaptionvoldiscrete.cs => SwaptionVolDiscrete.cs} | 0 - .../Volatility/swaption/{swaptionvolmatrix.cs => SwaptionVolMatrix.cs} | 0 - src/QLNet/Time/Calendars/{argentina.cs => Argentina.cs} | 0 - src/QLNet/Time/Calendars/{australia.cs => Australia.cs} | 0 - src/QLNet/Time/Calendars/{bespokecalendar.cs => BespokeCalendar.cs} | 0 - src/QLNet/Time/Calendars/{botswana.cs => Botswana.cs} | 0 - src/QLNet/Time/Calendars/{brazil.cs => Brazil.cs} | 0 - src/QLNet/Time/Calendars/{canada.cs => Canada.cs} | 0 - src/QLNet/Time/Calendars/{china.cs => China.cs} | 0 - src/QLNet/Time/Calendars/{czechrepublic.cs => CzechRepublic.cs} | 0 - src/QLNet/Time/Calendars/{denmark.cs => Denmark.cs} | 0 - src/QLNet/Time/Calendars/{finland.cs => Finland.cs} | 0 - src/QLNet/Time/Calendars/{germany.cs => Germany.cs} | 0 - src/QLNet/Time/Calendars/{hongkong.cs => HongKong.cs} | 0 - src/QLNet/Time/Calendars/{hungary.cs => Hungary.cs} | 0 - src/QLNet/Time/Calendars/{iceland.cs => Iceland.cs} | 0 - src/QLNet/Time/Calendars/{india.cs => India.cs} | 0 - src/QLNet/Time/Calendars/{indonesia.cs => Indonesia.cs} | 0 - src/QLNet/Time/Calendars/{italy.cs => Italy.cs} | 0 - src/QLNet/Time/Calendars/{japan.cs => Japan.cs} | 0 - src/QLNet/Time/Calendars/{mexico.cs => Mexico.cs} | 0 - src/QLNet/Time/Calendars/{newzealand.cs => NewZealand.cs} | 0 - src/QLNet/Time/Calendars/{norway.cs => Norway.cs} | 0 - src/QLNet/Time/Calendars/{nullcalendar.cs => NullCalendar.cs} | 0 - src/QLNet/Time/Calendars/{poland.cs => Poland.cs} | 0 - src/QLNet/Time/Calendars/{russia.cs => Russia.cs} | 0 - src/QLNet/Time/Calendars/{saudiarabia.cs => SaudiArabia.cs} | 0 - src/QLNet/Time/Calendars/{singapore.cs => Singapore.cs} | 0 - src/QLNet/Time/Calendars/{slovakia.cs => Slovakia.cs} | 0 - src/QLNet/Time/Calendars/{southafrica.cs => SouthAfrica.cs} | 0 - src/QLNet/Time/Calendars/{southkorea.cs => SouthKorea.cs} | 0 - src/QLNet/Time/Calendars/{sweden.cs => Sweden.cs} | 0 - src/QLNet/Time/Calendars/{switzerland.cs => Switzerland.cs} | 0 - src/QLNet/Time/Calendars/{taiwan.cs => Taiwan.cs} | 0 - src/QLNet/Time/Calendars/{turkey.cs => Turkey.cs} | 0 - src/QLNet/{timegrid.cs => TimeGrid.cs} | 0 - src/QLNet/legacy/libormarketmodels/{lfmcovarparam.cs => LfmCovarParam.cs} | 0 - .../legacy/libormarketmodels/{lfmcovarproxy.cs => LfmCovarianceProxy.cs} | 0 - .../libormarketmodels/{lfmhullwhiteparam.cs => LfmHullWhiteParam.cs} | 0 - src/QLNet/legacy/libormarketmodels/{lfmprocess.cs => LfmProcess.cs} | 0 - .../libormarketmodels/{lfmswaptionengine.cs => LfmSwaptionEngine.cs} | 0 - .../libormarketmodels/{liborforwardmodel.cs => LiborForwardModel.cs} | 0 - .../{lmconstwrappercorrmodel.cs => LmConstWrapperCorrModel.cs} | 0 - .../{lmconstwrappervolmodel.cs => LmConstWrapperVolModel.cs} | 0 - src/QLNet/legacy/libormarketmodels/{lmcorrmodel.cs => LmCorrModel.cs} | 0 - .../legacy/libormarketmodels/{lmexpcorrmodel.cs => LmExpCorrModel.cs} | 0 - .../libormarketmodels/{lmextlinexpvolmodel.cs => LmExtLinExpVolModel.cs} | 0 - .../legacy/libormarketmodels/{lmfixedvolmodel.cs => LmFixedVolModel.cs} | 0 - .../libormarketmodels/{lmlinexpcorrmodel.cs => LmLinExpCorrModel.cs} | 0 - .../legacy/libormarketmodels/{lmlinexpvolmodel.cs => LmLinExpVolModel.cs} | 0 - src/QLNet/legacy/libormarketmodels/{lmvolmodel.cs => LmVolModel.cs} | 0 - .../processes/{stochasticprocessarray.cs => StochasticProcessArray.cs} | 0 - 172 files changed, 0 insertions(+), 0 deletions(-) - -commit 0af035b918146b415c9b1328d7d107fd1bb538c8 -Author: Andrea Maggiulli -Date: Fri Feb 2 11:36:12 2018 +0100 - - Initial code refactoring - - src/BermudanSwaption/BermudanSwaption.cs | 539 +- - src/Bonds/Bonds.cs | 999 +- - src/CVAIRS/CVAIRS.cs | 142 +- - src/CallableBonds/CallableBonds.cs | 114 +- - src/EquityOption/EquityOption.cs | 509 +- - src/FRA/FRA.cs | 345 +- - src/FittedBondCurve/FittedBondCurve.cs | 419 +- - src/QLNet.Old/AssemblyInfo.cs | 14 +- - src/QLNet/CashflowBase.cs | 52 +- - src/QLNet/Cashflows/CPICoupon.cs | 198 +- - src/QLNet/Cashflows/CPICouponPricer.cs | 59 +- - src/QLNet/Cashflows/CappedFlooredCoupon.cs | 76 +- - .../Cashflows/CappedFlooredYoYInflationCoupon.cs | 120 +- - src/QLNet/Cashflows/CashFlows.cs | 539 +- - src/QLNet/Cashflows/Cashflowvectors.cs | 178 +- - src/QLNet/Cashflows/CmsCoupon.cs | 122 +- - src/QLNet/Cashflows/CmsSpreadCoupon.cs | 82 +- - src/QLNet/Cashflows/ConundrumPricer.cs | 1848 +- - src/QLNet/Cashflows/Coupon.cs | 64 +- - src/QLNet/Cashflows/CouponPricer.cs | 232 +- - src/QLNet/Cashflows/DigitalCmsCoupon.cs | 26 +- - src/QLNet/Cashflows/DigitalCoupon.cs | 49 +- - src/QLNet/Cashflows/DigitalIborCoupon.cs | 28 +- - src/QLNet/Cashflows/Dividend.cs | 12 +- - src/QLNet/Cashflows/FixedRateCoupon.cs | 230 +- - src/QLNet/Cashflows/FloatingRateCoupon.cs | 47 +- - src/QLNet/Cashflows/Iborcoupon.cs | 82 +- - src/QLNet/Cashflows/IndexedCashFlow.cs | 24 +- - src/QLNet/Cashflows/InflationCoupon.cs | 117 +- - src/QLNet/Cashflows/InflationCouponPricer.cs | 99 +- - src/QLNet/Cashflows/LinearTsrPricer.cs | 228 +- - src/QLNet/Cashflows/OvernightIndexedCoupon.cs | 234 +- - src/QLNet/Cashflows/Principal.cs | 34 +- - src/QLNet/Cashflows/PrincipalLegBase.cs | 12 +- - src/QLNet/Cashflows/RangeAccrual.cs | 402 +- - 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.../Volatility/equityfx/LocalVolSurface.cs | 257 +- - .../Volatility/equityfx/LocalVolTermStructure.cs | 34 +- - .../Volatility/equityfx/NoExceptLocalVolSurface.cs | 24 +- - .../swaption/SpreadedSwaptionVolatility.cs | 32 +- - .../Volatility/swaption/SwaptionVolCube1.cs | 683 +- - .../Volatility/swaption/SwaptionVolCube2.cs | 80 +- - .../Volatility/swaption/SwaptionVolatilityCube.cs | 184 +- - .../swaption/SwaptionVolatilityStructure.cs | 104 +- - .../Volatility/swaption/swaptionconstantvol.cs | 258 +- - .../Volatility/swaption/swaptionvoldiscrete.cs | 42 +- - .../Volatility/swaption/swaptionvolmatrix.cs | 882 +- - src/QLNet/Termstructures/Yield/BasisSwapHelper.cs | 60 +- - src/QLNet/Termstructures/Yield/Bondhelpers.cs | 112 +- - src/QLNet/Termstructures/Yield/Bootstraptraits.cs | 400 +- - src/QLNet/Termstructures/Yield/DiscountCurve.cs | 38 +- - .../Yield/FittedBondDiscountCurve.cs | 186 +- - src/QLNet/Termstructures/Yield/Flatforward.cs | 141 +- - src/QLNet/Termstructures/Yield/ForwardCurve.cs | 18 +- - .../Yield/ForwardSpreadedTermStructure.cs | 93 +- - src/QLNet/Termstructures/Yield/ForwardStructure.cs | 32 +- - .../Termstructures/Yield/ImpliedTermStructure.cs | 90 +- - ...terpolatedPiecewiseZeroSpreadedTermStructure.cs | 28 +- - .../Yield/NonLinearFittingMethods.cs | 198 +- - src/QLNet/Termstructures/Yield/OISRateHelper.cs | 58 +- - .../Termstructures/Yield/PiecewiseYieldCurve.cs | 266 +- - src/QLNet/Termstructures/Yield/Ratehelpers.cs | 842 +- - src/QLNet/Termstructures/Yield/ZeroCurve.cs | 36 +- - .../Yield/ZeroSpreadedTermStructure.cs | 54 +- - .../Termstructures/Yield/Zeroyieldstructure.cs | 30 +- - src/QLNet/Termstructures/YieldTermStructure.cs | 163 +- - src/QLNet/Termstructures/interpolatedcurve.cs | 78 +- - src/QLNet/Termstructures/localbootstrap.cs | 379 +- - src/QLNet/Termstructures/voltermstructure.cs | 34 +- - src/QLNet/Time/ASX.cs | 135 +- - src/QLNet/Time/Calendar.cs | 765 +- - src/QLNet/Time/Calendars/Israel.cs | 616 +- - src/QLNet/Time/Calendars/JointCalendar.cs | 205 +- - src/QLNet/Time/Calendars/Romania.cs | 62 +- - src/QLNet/Time/Calendars/TARGET.cs | 106 +- - src/QLNet/Time/Calendars/Ukraine.cs | 66 +- - src/QLNet/Time/Calendars/UnitedKingdom.cs | 378 +- - src/QLNet/Time/Calendars/UnitedStates.cs | 425 +- - src/QLNet/Time/Calendars/WeekendsOnly.cs | 8 +- - src/QLNet/Time/Calendars/argentina.cs | 144 +- - src/QLNet/Time/Calendars/australia.cs | 136 +- - src/QLNet/Time/Calendars/bespokecalendar.cs | 89 +- - src/QLNet/Time/Calendars/botswana.cs | 10 +- - src/QLNet/Time/Calendars/brazil.cs | 256 +- - src/QLNet/Time/Calendars/canada.cs | 279 +- - src/QLNet/Time/Calendars/china.cs | 385 +- - src/QLNet/Time/Calendars/czechrepublic.cs | 142 +- - src/QLNet/Time/Calendars/denmark.cs | 126 +- - src/QLNet/Time/Calendars/finland.cs | 132 +- - src/QLNet/Time/Calendars/germany.cs | 587 +- - src/QLNet/Time/Calendars/hongkong.cs | 457 +- - src/QLNet/Time/Calendars/hungary.cs | 124 +- - src/QLNet/Time/Calendars/iceland.cs | 142 +- - src/QLNet/Time/Calendars/india.cs | 544 +- - src/QLNet/Time/Calendars/indonesia.cs | 518 +- - src/QLNet/Time/Calendars/italy.cs | 299 +- - src/QLNet/Time/Calendars/japan.cs | 215 +- - src/QLNet/Time/Calendars/mexico.cs | 100 +- - src/QLNet/Time/Calendars/newzealand.cs | 150 +- - src/QLNet/Time/Calendars/norway.cs | 126 +- - src/QLNet/Time/Calendars/nullcalendar.cs | 39 +- - src/QLNet/Time/Calendars/poland.cs | 96 +- - src/QLNet/Time/Calendars/russia.cs | 182 +- - src/QLNet/Time/Calendars/saudiarabia.cs | 123 +- - src/QLNet/Time/Calendars/singapore.cs | 206 +- - src/QLNet/Time/Calendars/slovakia.cs | 162 +- - src/QLNet/Time/Calendars/southafrica.cs | 161 +- - src/QLNet/Time/Calendars/southkorea.cs | 391 +- - src/QLNet/Time/Calendars/sweden.cs | 110 +- - src/QLNet/Time/Calendars/switzerland.cs | 124 +- - src/QLNet/Time/Calendars/taiwan.cs | 484 +- - src/QLNet/Time/Calendars/turkey.cs | 244 +- - src/QLNet/Time/Date.cs | 28 +- - src/QLNet/Time/DayCounter.cs | 107 +- - src/QLNet/Time/DayCounters/Actual360.cs | 8 +- - src/QLNet/Time/DayCounters/Actual365Fixed.cs | 52 +- - src/QLNet/Time/DayCounters/Actual365NoLeap.cs | 74 +- - src/QLNet/Time/DayCounters/ActualActual.cs | 394 +- - src/QLNet/Time/DayCounters/Business252.cs | 8 +- - src/QLNet/Time/DayCounters/OneDayCounter.cs | 54 +- - src/QLNet/Time/DayCounters/SimpleDayCounter.cs | 70 +- - src/QLNet/Time/DayCounters/Thirty360.cs | 176 +- - src/QLNet/Time/ECB.cs | 364 +- - src/QLNet/Time/Imm.cs | 308 +- - src/QLNet/Time/Period.cs | 659 +- - src/QLNet/Time/Schedule.cs | 139 +- - src/QLNet/Types.cs | 38 +- - src/QLNet/Utils.cs | 287 +- - src/QLNet/discretizedasset.cs | 16 +- - src/QLNet/grid.cs | 68 +- - .../legacy/libormarketmodels/lfmcovarparam.cs | 8 +- - .../legacy/libormarketmodels/lfmcovarproxy.cs | 236 +- - .../legacy/libormarketmodels/lfmhullwhiteparam.cs | 291 +- - src/QLNet/legacy/libormarketmodels/lfmprocess.cs | 431 +- - .../legacy/libormarketmodels/lfmswaptionengine.cs | 97 +- - .../legacy/libormarketmodels/liborforwardmodel.cs | 399 +- - .../libormarketmodels/lmconstwrappercorrmodel.cs | 8 +- - .../libormarketmodels/lmconstwrappervolmodel.cs | 8 +- - src/QLNet/legacy/libormarketmodels/lmcorrmodel.cs | 12 +- - .../legacy/libormarketmodels/lmexpcorrmodel.cs | 8 +- - .../libormarketmodels/lmextlinexpvolmodel.cs | 32 +- - .../legacy/libormarketmodels/lmfixedvolmodel.cs | 30 +- - .../legacy/libormarketmodels/lmlinexpcorrmodel.cs | 26 +- - .../legacy/libormarketmodels/lmlinexpvolmodel.cs | 10 +- - src/QLNet/legacy/libormarketmodels/lmvolmodel.cs | 8 +- - src/QLNet/numericalmethod.cs | 8 +- - src/QLNet/payoff.cs | 47 +- - src/QLNet/processes/BlackScholesProcess.cs | 198 +- - src/QLNet/processes/Defaultable.cs | 113 +- - src/QLNet/processes/EulerDiscretization.cs | 100 +- - src/QLNet/processes/ForwardMeasureProcess.cs | 24 +- - .../processes/GeometricBrownianMotionProcess.cs | 80 +- - src/QLNet/processes/HestonProcess.cs | 541 +- - src/QLNet/processes/HullWhiteProcess.cs | 104 +- - .../processes/HybridHestonHullWhiteProcess.cs | 146 +- - src/QLNet/processes/Ornsteinuhlenbeckprocess.cs | 36 +- - src/QLNet/processes/Squarerootprocess.cs | 83 +- - src/QLNet/processes/stochasticprocessarray.cs | 203 +- - src/QLNet/timegrid.cs | 33 +- - src/Repo/Repo.cs | 307 +- - src/Swap/swapvaluation.cs | 1051 +- - 687 files changed, 116004 insertions(+), 112724 deletions(-) - -commit 26c1d4c6b4c55c3180a6c549e037258bc362784e -Author: Andrea Maggiulli -Date: Fri Feb 2 11:33:30 2018 +0100 - - Added Artistic Style 3.1 tool for formatting code. - - format_code.bat | 1 + - qlnet.astyle | 28 ++++++++++++++++++++++++++++ - tools/AStyle.exe | Bin 0 -> 595456 bytes - 3 files changed, 29 insertions(+) - -commit 5bd4f2092b01ee461a70276c441bd945a4b7dbba -Merge: fe7222a e41c3c8 -Author: Andrea Maggiulli -Date: Thu Feb 1 13:30:02 2018 +0100 - - Merge pull request #200 from igitur/levenberg-precondition-checks - - Add LevenbergMarquardt precondition checks - -commit fe7222a29141e269a00094c4a74e59b92d5fb7f1 -Merge: c3fe00e fc2a9ea -Author: Andrea Maggiulli -Date: Thu Feb 1 12:30:24 2018 +0100 - - Merge pull request #199 from igitur/composite-yield-term-structure - - Implement CompositeZeroYieldStructure - -commit c3fe00e982117eee8a91bdca6c95ae88c98f50d1 -Merge: bbc2742 a591b25 -Author: Andrea Maggiulli -Date: Thu Feb 1 11:50:04 2018 +0100 - - Merge pull request #193 from tournierjc/StrikerGetterOnHestonHelper - - Strike and Type getters on Heston helper - -commit fc2a9ea09639d6ce3e4216cde4b9b27dd3f3c18e -Author: Francois Botha -Date: Wed Jan 31 15:10:47 2018 +0200 - - Clean up SonarLint warnings - - .../Yield/CompositeZeroYieldStructure.cs | 10 +- - tests/QLNet.Tests/T_TermStructures.cs | 159 ++++++++++----------- - 2 files changed, 83 insertions(+), 86 deletions(-) - -commit e41c3c899c940e4bbd7dc003a5e1762ea199e544 -Author: Francois Botha -Date: Wed Jan 31 14:41:34 2018 +0200 - - Add LevenbergMarquardt precondition checks - - src/QLNet/Math/Optimization/levenbergmarquardt.cs | 8 ++++++++ - 1 file changed, 8 insertions(+) - -commit e37748a454dd204e7408157d8c9efe9841bc2dfe -Author: Francois Botha -Date: Wed Jan 31 14:37:29 2018 +0200 - - Implement CompositeZeroYieldStructure - - src/QLNet.Old/QLNet.Old.csproj | 5 +- - .../Yield/CompositeZeroYieldStructure.cs | 108 +++++++++++ - tests/QLNet.Tests/T_TermStructures.cs | 216 ++++++++++++++++++--- - 3 files changed, 300 insertions(+), 29 deletions(-) - -commit bbc27424ea6814a5fe3a05bbd92e409ef0cc4b4b -Author: Andrea Maggiulli -Date: Tue Jan 30 16:56:52 2018 +0100 + Formats code - Cleanup code and reformat. - - src/QLNet/Math/Interpolations/XABRInterpolation.cs | 377 +++++++++++---------- - 1 file changed, 203 insertions(+), 174 deletions(-) - -commit 749d654a189b36bf8d02496d90ae2f51220f130d -Merge: 7abac70 d4e0950 -Author: Andrea Maggiulli -Date: Tue Jan 30 16:44:28 2018 +0100 - - Merge pull request #190 from tournierjc/AllowConstraintOnXABRInterpolation - - Allow constraint on XABR interpolation - -commit a591b255e78302378d52ae047f7758d86ca759e6 -Author: tournierjc -Date: Mon Jan 22 10:13:30 2018 +0100 - - Add option type getter - - src/QLNet/Models/Equity/HestonModelHelper.cs | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) - -commit 82d12b25dde4448cd51694b194392447176cfa5f -Author: tournierjc -Date: Mon Jan 22 10:11:33 2018 +0100 - - Add strike getter - - src/QLNet/Models/Equity/HestonModelHelper.cs | 7 ++++--- - 1 file changed, 4 insertions(+), 3 deletions(-) - -commit d4e0950d5124d667cd99d2e1b9b11db10b2c2598 -Author: tournierjc -Date: Fri Jan 19 18:05:49 2018 +0100 - - Correct param name - - src/QLNet/Math/Interpolations/XABRInterpolation.cs | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) - -commit 7abac70e2b92fd1f10db2e31a246efd1f3a3de6c -Merge: 89e4ca3 b7bb9f4 -Author: Andrea Maggiulli -Date: Fri Jan 19 17:22:34 2018 +0100 - - Merge pull request #189 from tournierjc/BugFixOnLevenberg - - Bug fix on LMDIF algorithm + tests/QLNet.Tests/T_Bonds.cs | 20 ++++++++++---------- + 1 file changed, 10 insertions(+), 10 deletions(-) -commit 89e4ca3ef37feedabde0dc391a3f5e83e31378b1 -Merge: e79b486 87f92e2 +commit 668dcdf84b8fbcb3432a213bd2801d78bbdcb490 +Merge: 2e48bf0 a1d51d6 Author: Andrea Maggiulli -Date: Fri Jan 19 17:22:00 2018 +0100 - - Merge pull request #188 from tournierjc/MissingRegisterWithUpdate - - Missing register with update - -commit 0578d7f501bd2536e789f183a79a748ee8ce4748 -Author: tournierjc -Date: Fri Jan 19 17:12:06 2018 +0100 - - Add files via upload - - src/QLNet/Math/Interpolations/XABRInterpolation.cs | 6 +++--- - 1 file changed, 3 insertions(+), 3 deletions(-) - -commit c8cf9ba8e9125fef39e7cf91bfa2f1e850f81741 -Author: tournierjc -Date: Fri Jan 19 17:07:45 2018 +0100 +Date: Wed Jul 25 00:45:15 2018 +0200 - Add files via upload - - src/QLNet/Math/Interpolations/XABRInterpolation.cs | 76 +++++++++++----------- - 1 file changed, 37 insertions(+), 39 deletions(-) - -commit beffca2767b8af5e72293d18d1021aa861268ec4 -Author: tournierjc -Date: Fri Jan 19 17:06:20 2018 +0100 - - Add a XABR Constraint class + Merge pull request #212 from amaggiulli/feature/211-FDDividendAmericanEngine - This way we can add constraint on the parameters - - src/QLNet/Math/Interpolations/XABRInterpolation.cs | 50 +++++++++++++++++++--- - 1 file changed, 44 insertions(+), 6 deletions(-) - -commit b7bb9f442a20b3744eb822d4dec349ba9c06a325 -Author: tournierjc -Date: Fri Jan 19 16:40:17 2018 +0100 - - jacobian matrix was not updated - - src/QLNet/Math/Optimization/lmdif.cs | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) - -commit 87f92e22ce2cdb8442476ff66f117d1850003c61 -Author: tournierjc -Date: Fri Jan 19 14:30:53 2018 +0100 + Fix for Issue #211.Thanks to Jakub Pstrusiński. - Missing register on discount curve - - src/QLNet/Indexes/Swapindex.cs | 3 ++- - 1 file changed, 2 insertions(+), 1 deletion(-) - -commit 8cef39963e3e9c26e546887c9d524651311cf8c7 -Author: tournierjc -Date: Wed Jan 17 17:37:21 2018 +0100 - - Add files via upload - - .../Inflation/PiecewiseYoYInflationCurve.cs | 207 ++++++++++---------- - .../Inflation/PiecewiseZeroInflationCurve.cs | 210 +++++++++++---------- - 2 files changed, 216 insertions(+), 201 deletions(-) - -commit b2b9a48ece79175264110badd5923cbee15b3066 -Merge: d064e8f e79b486 -Author: tournierjc -Date: Wed Jan 17 17:34:09 2018 +0100 - - Merge pull request #8 from amaggiulli/develop - - last commits - -commit d064e8f96e455aeb08943e139c019aa049717f3d -Author: tournierjc -Date: Tue Jan 16 19:00:46 2018 +0100 - - calculate before having baseDate - - .../Inflation/PiecewiseYoYInflationCurve.cs | 207 ++++++++++---------- - .../Inflation/PiecewiseZeroInflationCurve.cs | 210 ++++++++++----------- - 2 files changed, 201 insertions(+), 216 deletions(-) - -commit d76e254f2540454d154ed89d4b1f266fcfc3a620 -Author: tournierjc -Date: Tue Jan 16 13:34:42 2018 +0100 - - Delete VanillaSwap.cs - - VanillaSwap.cs | 333 --------------------------------------------------------- - 1 file changed, 333 deletions(-) - -commit e79b4861833ac6e8ae3aedc33b69633709285081 -Author: Andrea Maggiulli -Date: Wed Dec 27 17:20:44 2017 +0100 - - Fixed Sonar Vulnerability issues. - - src/QLNet/Instruments/FloatFloatSwap.cs | 48 ++++++++++++++++++++++----------- - 1 file changed, 33 insertions(+), 15 deletions(-) - -commit 69b622772f2d5a955e0fa3e4b60194e717d2453d +commit a1d51d620b2c7a2b8159116588065f7f6ee1b8b9 Author: Andrea Maggiulli -Date: Wed Dec 27 13:03:11 2017 +0100 +Date: Wed Jul 25 00:19:56 2018 +0200 - Added new instrument FloatFloatSwap, with CmsSpreadCoupon and SwapSpreadIndex. + Fix for Issue #211.Thanks to Jakub Pstrusiński. - src/QLNet/Cashflows/CmsSpreadCoupon.cs | 108 +++++ - src/QLNet/Indexes/swap/SwapSpreadIndex.cs | 113 ++++++ - src/QLNet/Instruments/FloatFloatSwap.cs | 653 ++++++++++++++++++++++++++++++ - 3 files changed, 874 insertions(+) + src/QLNet/Pricingengines/vanilla/FDConditions.cs | 2 +- + src/QLNet/Pricingengines/vanilla/FDMultiPeriodEngine.cs | 5 ----- + tests/QLNet.Tests/T_AmericanOption.cs | 11 ++++++++++- + 3 files changed, 11 insertions(+), 7 deletions(-) -commit ef91d43fb5357d876ff15a246a7e4ee43e7e4e0b +commit 7673e5606c960a6eaf21aa3e561ece54919d4d19 Author: Andrea Maggiulli -Date: Thu Dec 21 17:12:38 2017 +0100 +Date: Mon Jul 23 23:35:28 2018 +0200 - Sonar links updated [skip ci] + Test case to for Issue #211. - README.md | 20 ++++++++++---------- - 1 file changed, 10 insertions(+), 10 deletions(-) + tests/QLNet.Tests/T_AmericanOption.cs | 48 +++++++++++++++++++++++++++++++++++ + 1 file changed, 48 insertions(+) -commit 497826fa9fbaeba95da15bd7c90790cfa9c93a03 +commit 8cf3f110f5b4d161b61157a442373df391d9df26 Author: Andrea Maggiulli -Date: Thu Dec 21 16:31:19 2017 +0100 +Date: Mon Jul 23 19:41:28 2018 +0200 - Fixed Sonar Vulnerability issues. + Added more durations tests. - src/QLNet/Math/Optimization/DifferentialEvolution.cs | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + tests/QLNet.Tests/T_Bonds.cs | 67 ++++++++++++++++++++++++++++++++++++++++++++ + 1 file changed, 67 insertions(+) -commit 8c43b93a546606e458cccc1e0983c5b4af9f883b +commit 629d8ac24fec33f9eba4fcc8eb10492236d9c153 Author: Andrea Maggiulli -Date: Thu Dec 21 16:10:24 2017 +0100 +Date: Fri Jul 13 14:19:21 2018 +0200 - Fixed Sonar Vulnerability issues. + Added OAS calculation to callable bonds - .../Math/Optimization/DifferentialEvolution.cs | 28 +++++++++++----------- - 1 file changed, 14 insertions(+), 14 deletions(-) + src/QLNet/Cashflows/CashFlows.cs | 28 +- + src/QLNet/Instruments/Bonds/CallableBond.cs | 444 ++++++++++++++++---- + tests/QLNet.Tests/T_Bonds.cs | 624 ++++++++++++++-------------- + 3 files changed, 699 insertions(+), 397 deletions(-) -commit 9fb1100d3a0c2bb3c455ff6eca8f1cc6170a59ae +commit b3d328d0b032bec84b15f2fe295f04999229e0c0 Author: Andrea Maggiulli -Date: Thu Dec 21 12:00:34 2017 +0100 - - Cleanup +Date: Fri Jul 13 14:16:56 2018 +0200 - src/QLNet/Cashflows/CappedFlooredCoupon.cs | 37 +- - .../Math/Optimization/DifferentialEvolution.cs | 1021 ++++++++++---------- - src/QLNet/Math/Optimization/SimulatedAnnealing.cs | 514 +++++----- - 3 files changed, 817 insertions(+), 755 deletions(-) + Updated yearFraction calculation to next coupon date to fix yield calculation when settlement date falls on 31st -commit cd95b0e8aabb3727d8213d20369dac851e7de3db -Merge: d2b7a1f 726596e -Author: Andrea Maggiulli -Date: Thu Dec 21 11:45:48 2017 +0100 - - Merge pull request #187 from tournierjc/BugFixProjectedConstraint - - Bug fix projected constraint + src/QLNet/Cashflows/CashFlows.cs | 149 ++++++---------- + tests/QLNet.Tests/T_Bonds.cs | 354 +++++++++++++++++++++++++++++++++++++++ + 2 files changed, 406 insertions(+), 97 deletions(-) -commit d2b7a1f9120acac353cc0347ddcd0ac110fbcd0b -Merge: 41adf31 152d0cd +commit 2e48bf0fcbff9806305004a1bba5f3c3509d2e5b Author: Andrea Maggiulli -Date: Thu Dec 21 10:58:00 2017 +0100 +Date: Fri Jul 13 12:18:54 2018 +0200 - Merge pull request #186 from tournierjc/Port_DifferentialEvolution + Feature/fix.accrual (#210) - Ported Differential Evolution - -commit 152d0cde8e685d57b86ceb57f49a86a07ff39110 -Merge: 630c999 41adf31 -Author: Andrea Maggiulli -Date: Thu Dec 21 10:57:32 2017 +0100 - - Merge branch 'develop' into Port_DifferentialEvolution - -commit 630c999f71b36ff1571d81c2d7280b5919b428ee -Merge: aaf40b6 41adf31 -Author: Andrea Maggiulli -Date: Thu Dec 21 10:56:08 2017 +0100 + * Fixed accrual calculation with test. - Merge branch 'develop' into Port_DifferentialEvolution + appveyor.yml | 6 +-- + src/QLNet/Cashflows/CashFlows.cs | 40 +-------------- + src/QLNet/Pricingengines/Bond/BondFunctions.cs | 4 +- + tests/QLNet.Tests/T_Bonds.cs | 69 ++++++++++++++++++++++++++ + 4 files changed, 76 insertions(+), 43 deletions(-) -commit 41adf3125036694ac8d041c2b34be5203f8f2ff6 -Merge: cf02901 33cd9fd +commit 80fc80d4291e5f6c070bdd891373e12cead51b36 +Merge: 322e36f 84c92a9 Author: Andrea Maggiulli -Date: Thu Dec 21 10:30:07 2017 +0100 +Date: Fri Jul 13 12:17:46 2018 +0200 - Merge pull request #184 from tournierjc/Port_SimulatedAnnealing + Merge pull request #208 from geobmx540/feature/updating_readme_links [skip ci] - Port simulated annealing + Updating badges in README.md -commit 33cd9fd1bff75a5124eaa81c6e3fc2b00a203b83 -Merge: 6827380 cf02901 -Author: Andrea Maggiulli -Date: Thu Dec 21 10:28:50 2017 +0100 - - Merge branch 'develop' into Port_SimulatedAnnealing - -commit 6827380553d60d2ebf85e0881a86a2d9bd0fce43 -Merge: ce84a80 cf02901 -Author: Andrea Maggiulli -Date: Thu Dec 21 10:26:43 2017 +0100 - - Merge branch 'develop' into Port_SimulatedAnnealing - -commit cf02901a52452dc4fc19552c241cb2da7c8eda67 -Merge: 0f61ba3 748c278 -Author: Andrea Maggiulli -Date: Wed Dec 20 17:39:27 2017 +0100 - - Merge pull request #185 from igitur/botswana-calendar - - Added Botswana calendar - -commit 0f61ba3a1c70660eda7515892eddb85e403a1007 -Merge: c83d695 0d1b15b -Author: Andrea Maggiulli -Date: Wed Dec 20 16:03:10 2017 +0100 - - Merge branch 'develop' of https://github.com/amaggiulli/qlnet into develop - -commit c83d6952c5bc953f6ef9306cfd6ccca98f095242 +commit 322e36f133883d335de1c72f1c29bd423b6489da Author: Andrea Maggiulli -Date: Wed Dec 20 16:02:48 2017 +0100 +Date: Thu Jul 12 14:23:40 2018 +0200 - Index manager refactoring . Notice index name is ALWAYS uppercase. This close #182 + Publishing develop branch on nuget as version-preview.buildnumber - src/QLNet/Cashflows/DigitalCoupon.cs | 2 +- - src/QLNet/Cashflows/OvernightIndexedCoupon.cs | 4 +- - src/QLNet/Index.cs | 16 +-- - src/QLNet/Indexes/Indexmanager.cs | 174 +++++++++++++++++--------- - src/QLNet/Indexes/InflationIndex.cs | 28 ++--- - src/QLNet/Indexes/InterestRateIndex.cs | 4 +- - src/QLNet/Quotes/LastFixingQuote.cs | 4 +- - tests/QLNet.Tests/T_ShortRateModels.cs | 10 +- - 8 files changed, 148 insertions(+), 94 deletions(-) + appveyor.yml | 8 ++++++++ + 1 file changed, 8 insertions(+) -commit 0d1b15b9460cc98568cb0b7cef3c86575b72b26d -Merge: d2b2ae7 e91cea3 +commit e83e954348bb036460c1bfc614fa643fc21acb6e Author: Andrea Maggiulli -Date: Wed Dec 20 14:27:21 2017 +0100 - - Merge pull request #181 from tournierjc/BugFixSwapIndex - - Bug fix swap index - -commit 731ccfe4d6392dbbc53b6920208d2ac6fac56676 -Author: tournierjc -Date: Fri Dec 8 12:29:35 2017 +0100 - - Add files via upload - - VanillaSwap.cs | 333 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++ - 1 file changed, 333 insertions(+) - -commit aaf40b6e4778edcc499bd19fa68b0e20e4489107 -Author: tournierjc -Date: Wed Dec 6 10:59:31 2017 +0100 - - Manage NaN case - - .../Math/Optimization/DifferentialEvolution.cs | 47 +++++----------------- - 1 file changed, 11 insertions(+), 36 deletions(-) - -commit 726596ef18bbb254c8dd7e6d3adb8b1b48108327 -Author: tournierjc -Date: Fri Dec 1 14:38:41 2017 +0100 - - Add files via upload - - src/QLNet/Math/Optimization/Constraint.cs | 16 +++++++++++++--- - src/QLNet/Math/Optimization/ProjectedConstraint.cs | 6 +++--- - 2 files changed, 16 insertions(+), 6 deletions(-) - -commit 610009eed1e1f0ae5520f8c4408831846175273e -Author: tournierjc -Date: Fri Nov 17 17:07:48 2017 +0100 - - Remove unecessary header - - src/QLNet/Methods/Finitedifferences/Utilities/ListUtils.cs | 3 +-- - 1 file changed, 1 insertion(+), 2 deletions(-) - -commit d4385e51f9d87cceda3d8a9466d3a9e05aa9455a -Author: tournierjc -Date: Fri Nov 17 17:03:27 2017 +0100 - - Update old project file - - src/QLNet.Old/QLNet.Old.csproj | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) - -commit 61697f9381e5db68aece656fe22d813d0abc2fe1 -Author: tournierjc -Date: Fri Nov 17 17:01:39 2017 +0100 - - Update optimizer tests for Differential Evolution - - tests/QLNet.Tests/T_Optimizers.cs | 193 ++++++++++++++++++++++++++++++++++++++ - 1 file changed, 193 insertions(+) - -commit 6a7a626e5260cc07c9a07c8460f4d3db47bb623c -Author: tournierjc -Date: Fri Nov 17 17:00:35 2017 +0100 - - Add Differential Evolution algorithm +Date: Thu Jul 12 13:49:54 2018 +0200 - .../Math/Optimization/DifferentialEvolution.cs | 579 +++++++++++++++++++++ - 1 file changed, 579 insertions(+) - -commit 6729342b346e1f08dd281d3a05b0881b0aab6d37 -Author: tournierjc -Date: Fri Nov 17 16:59:28 2017 +0100 - - Add shuffle function for IList - - .../Finitedifferences/Utilities/ListUtils.cs | 35 +++++++++++++++++++++- - 1 file changed, 34 insertions(+), 1 deletion(-) - -commit 748c278e89abc463dc4e8b771895da72d5eacb52 -Author: Francois Botha -Date: Fri Nov 17 12:14:44 2017 +0200 - - Add Botswana calendar - - src/QLNet.Old/QLNet.Old.csproj | 3 + - src/QLNet/Time/Calendars/botswana.cs | 110 +++++++++++++++++++++++++++++++++++ - 2 files changed, 113 insertions(+) - -commit ce84a80f9c41f960a2e38d947fcfc5966cc66b14 -Author: tournierjc -Date: Tue Nov 14 15:05:25 2017 +0100 - - Add files via upload - - src/QLNet.Old/QLNet.Old.csproj | 4 +++- - 1 file changed, 3 insertions(+), 1 deletion(-) - -commit 222e311e4dbbf17c74c26889e21c22126611d4ad -Author: tournierjc -Date: Tue Nov 14 15:04:38 2017 +0100 - - Add files via upload - - src/QLNet/Math/Optimization/SimulatedAnnealing.cs | 19 ++++++++----------- - 1 file changed, 8 insertions(+), 11 deletions(-) - -commit de1d698030466f395e4b80e38bbe0989900acb66 -Author: tournierjc -Date: Tue Nov 14 14:20:29 2017 +0100 - - Add files via upload - - src/QLNet.Old/QLNet.Old.csproj | 4199 ++++++++++++++++++++-------------------- - 1 file changed, 2101 insertions(+), 2098 deletions(-) - -commit db7b7fa19374e40a4385104ebe0b8b42b3030a46 -Author: tournierjc -Date: Tue Nov 14 14:09:20 2017 +0100 - - Add files via upload - - src/QLNet/Math/Optimization/Constraint.cs | 16 +- - src/QLNet/Math/Optimization/CostFunction.cs | 13 +- - src/QLNet/Math/Optimization/Simplex.cs | 2 +- - src/QLNet/Math/Optimization/SimulatedAnnealing.cs | 275 ++++++++++++++++++++++ - src/QLNet/Math/Optimization/problem.cs | 3 +- - 5 files changed, 301 insertions(+), 8 deletions(-) - -commit fa376549cb17d5309c7f4f2e4316ea8c35c39216 -Author: tournierjc -Date: Tue Nov 14 14:08:48 2017 +0100 - - Add files via upload - - src/QLNet/Math/Interpolations/KernelInterpolation2D.cs | 7 +------ - 1 file changed, 1 insertion(+), 6 deletions(-) - -commit b8c1cc7a71e40a12a201990b5f5a8643d5e45f85 -Author: tournierjc -Date: Tue Nov 14 14:08:19 2017 +0100 - - Add files via upload - - src/QLNet.Old/QLNet.Old.csproj | 4197 ++++++++++++++++++++-------------------- - 1 file changed, 2099 insertions(+), 2098 deletions(-) - -commit 2e361187bd3fba3816fefd73deab1f5b300deab2 -Author: tournierjc -Date: Tue Nov 14 14:07:47 2017 +0100 - - Delete MakeOIS.cs - - MakeOIS.cs | 270 ------------------------------------------------------------- - 1 file changed, 270 deletions(-) - -commit 775f6eb5298c71ca8fee0288ec6e86d96d957cdd -Merge: 2479113 d2b2ae7 -Author: tournierjc -Date: Tue Nov 14 14:06:46 2017 +0100 - - Merge pull request #6 from amaggiulli/develop + Feature/appveyorscript (#209) - Schedule : more accurate effective date. - -commit 2479113619684541cb2205730cdf3e689c37f783 -Author: tournierjc -Date: Mon Nov 13 12:49:15 2017 +0100 + * Build configuration with appveyor.xml - Add files via upload + appveyor.yml | 133 +++++++++++++++++++++++++++++++++++++++++++++++++ + src/QLNet/QLNet.csproj | 1 + + 2 files changed, 134 insertions(+) - MakeOIS.cs | 270 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ - 1 file changed, 270 insertions(+) - -commit d2b2ae71a4e867d4f8309fe3d1cc551e87fbf1fc -Author: Andrea Maggiulli -Date: Tue Oct 31 18:21:03 2017 +0100 +commit 84c92a9f84b21099deb4e6439742cfda152bcdff +Author: Prescott Nasser +Date: Tue Jul 10 14:05:19 2018 -0700 - Schedule : more accurate effective date. + Looks like sonar cube no longer supports badges to get individual issue levels counts - src/QLNet/Time/Schedule.cs | 5 +++++ - 1 file changed, 5 insertions(+) + README.md | 7 ------- + 1 file changed, 7 deletions(-) -commit e91cea3569c7d17217e423e8a63de2bb01e44a91 -Author: tournierjc -Date: Mon Oct 30 16:30:14 2017 +0100 +commit ae62cc2df2e06f7f32c0578846fd82d5105d2d4a +Author: Prescott Nasser +Date: Tue Jul 10 14:02:40 2018 -0700 - Call to base constructor is missing + Updating Sonarcube badges - src/QLNet/Indexes/Swapindex.cs | 3 ++- - 1 file changed, 2 insertions(+), 1 deletion(-) \ No newline at end of file + README.md | 24 ++++++++++++++---------- + 1 file changed, 14 insertions(+), 10 deletions(-) diff --git a/News.txt b/News.txt index 4ac9dbb88..74cbb7ec5 100644 --- a/News.txt +++ b/News.txt @@ -1,44 +1,15 @@ -QLNet 1.11.0 +QLNet 1.11.2 ========================= -QLNet 1.11.0 stable version includes 91 pull requests . -The most notable changes are included below. +QLNet 1.11.2 is a bug-fix release for version 1.11 A detailed list of changes is available in ChangeLog.txt. ENGINES -+ Added raw calculation for WeightedAverageLife given a list of dates and a list of amounts. - -FRAMEWORK - -+ Added Artistic Style 3.1 tool for formatting code. -+ Uniformed file names to CamelCase standard - -TERMSTRUCTURES - -+ Implement CompositeZeroYieldStructure - -TIME - - + Add Botswana calendar - -INSTRUMENTS - -+ Added new instrument FloatFloatSwap, with CmsSpreadCoupon and SwapSpreadIndex. -+ Added Kirk Option Engine with test. -+ Fixed bug in Vanna-Volga method for double barrier knock in options. - -MATH - -+ Add Differential Evolution algorithm -+ Add a XABR Constraint class -+ Add LevenbergMarquardt precondition checks - -INDEXES - -+ Updated day count convention and spot lag by CAD fixings. ++ Fixed a bug int FDMultiPeriodEngine.Thanks to Jakub Pstrusiński. CASHFLOWS -+ Updated BlackVanillaOptionPricer constructor, check volatility type and shift. -+ Added Range Accrual tests and fixed 2 bugs on RangeAccrual and InterpolatedSmileSection \ No newline at end of file ++ Fixed accrual calculation ++ Fixed yield calculation when settlement date falls on 31st ++ Added OAS calculation to callable bonds \ No newline at end of file diff --git a/appveyor.yml b/appveyor.yml index f64e7bf4f..d843b6b39 100644 --- a/appveyor.yml +++ b/appveyor.yml @@ -26,13 +26,13 @@ artifacts: - path: src\QLNet\bin\Release\net40\QLNet.dll name: Windows - - path: src\qlnet\QLNet.1.11.1.nupkg + - path: src\qlnet\*.nupkg name: ng deploy: - provider: GitHub - tag: QLNet-v$(appveyor_build_version) - release: QLNet Version $(appveyor_build_version) - description: AppVeyor Automatic Release + tag: QLNet-v1.11.2 + release: QLNet Version 1.11.2 + description: QLNet 1.11.2 is a bug-fix release for version 1.11 auth_token: secure: rK95hgNgZt9ybzXBJ/1W0nbqsG/aENQ22eyY2qxn5xjbi7ZEjv+5BmNjY/l1cAYH artifact: src\QLNet\bin\Release\net40\QLNet.dll diff --git a/src/QLNet/QLNet.csproj b/src/QLNet/QLNet.csproj index 91c6cbb96..a4702e8e6 100644 --- a/src/QLNet/QLNet.csproj +++ b/src/QLNet/QLNet.csproj @@ -1,18 +1,18 @@  - 1.11.1 + 1.11.2 net45;net40;netstandard2.0;netcoreapp1.1 $(DefineConstants);QL_NEGATIVE_RATES QLNet QLNet - 1.11.1 + 1.11.2 $(PackageTargetFallback);dnxcore50 1.6.0 Andrea Maggiulli A free/open-source library for quantitative finance - Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com) + Copyright (c) 2008-2018 Andrea Maggiulli (a.maggiulli@gmail.com) http://qlnet.sourceforge.net/License.html http://github.com/amaggiulli/qlnet QLNet QuantLib quantitative finance financial