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ChangeLog.txt
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commit f56d26565978e74cd649807971da0e0550451464
Author: Andrea Maggiulli <[email protected]>
Date: Fri May 24 20:20:41 2019 +0200
Added a new QLNet Exceptions.
src/QLNet/Exceptions/MaxNumberFuncEvalExceeded.cs | 21 +++++++++++++++++++++
src/QLNet/Exceptions/QLNetExceptionEnum.cs | 3 ++-
src/QLNet/Math/Solvers1d/Bisection.cs | 4 +++-
src/QLNet/Math/Solvers1d/Brent.cs | 4 +++-
src/QLNet/Math/Solvers1d/FalsePosition.cs | 4 +++-
.../Math/Solvers1d/FiniteDifferenceNewtonSafe.cs | 4 +++-
src/QLNet/Math/Solvers1d/Newton.cs | 3 ++-
src/QLNet/Math/Solvers1d/Newtonsafe.cs | 3 ++-
src/QLNet/Math/Solvers1d/Ridder.cs | 4 +++-
src/QLNet/Math/Solvers1d/Secant.cs | 4 +++-
src/QLNet/Math/integrals/Kronrodintegral.cs | 2 +-
src/QLNet/Utils.cs | 5 ++++-
12 files changed, 50 insertions(+), 11 deletions(-)
commit 591ece9936f61cf671982770b2463d502a7a0526
Merge: 1c28fa0 0d0abe5
Author: Andrea Maggiulli <[email protected]>
Date: Mon May 6 17:11:48 2019 +0200
Merge pull request #230 from muichkine/develop
Filename convention and BasisPoint definition
commit 0d0abe54a780ae16d74b1c3dde5db6cbbc867c69
Author: Olivier Milla <[email protected]>
Date: Mon May 6 16:22:11 2019 +0200
Merged Constatns.BasisPoint into Const.BASIS_POINT
src/QLNet/Cashflows/CashFlows.cs | 4 ++--
src/QLNet/Cashflows/ConundrumPricer.cs | 2 +-
src/QLNet/Constants.cs | 8 --------
src/QLNet/Instruments/AssetSwap.cs | 2 +-
src/QLNet/Instruments/BMASwap.cs | 4 ++--
src/QLNet/Instruments/BasisSwap.cs | 4 ++--
src/QLNet/Instruments/CPISwap.cs | 4 ++--
src/QLNet/Instruments/OvernightIndexedSwap.cs | 4 ++--
src/QLNet/Instruments/VanillaSwap.cs | 4 ++--
src/QLNet/Instruments/YearOnYearInflationSwap.cs | 4 ++--
src/QLNet/Pricingengines/credit/IntegralCdsEngine.cs | 4 ++--
src/QLNet/Pricingengines/credit/IsdaCdsEngine.cs | 4 ++--
src/QLNet/Pricingengines/credit/MidPointCdsEngine.cs | 4 ++--
src/QLNet/Pricingengines/swaption/BlackSwaptionEngine.cs | 4 ++--
src/QLNet/Termstructures/Yield/Ratehelpers.cs | 4 ++--
src/QLNet/Types.cs | 2 ++
src/QLNet/legacy/libormarketmodels/LfmSwaptionEngine.cs | 2 +-
17 files changed, 29 insertions(+), 35 deletions(-)
commit 1c28fa0bdf743745098bc67e3281e890386a2dbe
Merge: 6d0024d 37dfa23
Author: Andrea Maggiulli <[email protected]>
Date: Fri May 3 18:17:35 2019 +0200
Merge pull request #231 from potatman/develop
Making all projects dotnet standard/coreapp. (Changes minimum framework to net 4.5.1)
commit 37dfa2350dece12b7c1c0fdd6ca99c486d5af0d1
Author: Sean O'Connor <[email protected]>
Date: Thu May 2 15:06:07 2019 -0700
One more fix for appveyor
src/QLNet/QLNet.csproj | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4dfb599202e5d77f4bef58d276db91e7524cd49b
Author: Sean O'Connor <[email protected]>
Date: Thu May 2 15:03:26 2019 -0700
Build fix
appveyor.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit ebd39f2c300788d787a0d3a302d0e2b76082ae62
Author: Sean O'Connor <[email protected]>
Date: Thu May 2 14:50:34 2019 -0700
Making all projects dotnet standard. (Changes minimum framework to net 4.5.1)
src/BermudanSwaption/BermudanSwaption.csproj | 2 +-
src/Bonds/Bonds.csproj | 2 +-
src/CVAIRS/CVAIRS.csproj | 2 +-
src/CallableBonds/CallableBonds.csproj | 2 +-
src/ConvertibleBonds/ConvertibleBonds.csproj | 2 +-
src/EquityOption/EquityOption.csproj | 2 +-
src/FRA/FRA.csproj | 2 +-
src/FittedBondCurve/FittedBondCurve.csproj | 2 +-
src/QLNet/Patterns/FastActivator.cs | 2 +-
src/QLNet/Patterns/WeakEventSource.cs | 6 +--
src/QLNet/QLNet.csproj | 22 +---------
src/QLNet/Utils.cs | 2 +-
src/Repo/Repo.csproj | 2 +-
src/Swap/Swap.csproj | 2 +-
tests/QLNet.Tests/QLNet.Tests.csproj | 3 +-
tests/QLNet.Tests/T_AmericanOption.cs | 20 ++++-----
tests/QLNet.Tests/T_AsianOptions.cs | 14 +++---
tests/QLNet.Tests/T_AssetSwap.cs | 26 +++++------
tests/QLNet.Tests/T_BarrierOption.cs | 14 +++---
tests/QLNet.Tests/T_BasketOption.cs | 6 +--
tests/QLNet.Tests/T_Bermudanswaption.cs | 10 ++---
tests/QLNet.Tests/T_BinaryOption.cs | 8 ++--
tests/QLNet.Tests/T_BlackDeltaCalculator.cs | 12 +++---
tests/QLNet.Tests/T_BlackFormula.cs | 8 ++--
tests/QLNet.Tests/T_Bonds.cs | 50 +++++++++++-----------
tests/QLNet.Tests/T_BusinessDayConvention.cs | 6 +--
tests/QLNet.Tests/T_CPISwap.cs | 10 ++---
tests/QLNet.Tests/T_Calendars.cs | 46 ++++++++++----------
tests/QLNet.Tests/T_CapFloor.cs | 22 +++++-----
tests/QLNet.Tests/T_CapFlooredCoupon.cs | 8 ++--
tests/QLNet.Tests/T_CashFlows.cs | 12 +++---
tests/QLNet.Tests/T_CatBonds.cs | 18 ++++----
tests/QLNet.Tests/T_CliquetOption.cs | 12 +++---
tests/QLNet.Tests/T_Cms.cs | 10 ++---
tests/QLNet.Tests/T_ConvertibleBond.cs | 10 ++---
tests/QLNet.Tests/T_CreditDefaultSwap.cs | 16 +++----
tests/QLNet.Tests/T_Dates.cs | 16 +++----
tests/QLNet.Tests/T_DayCounters.cs | 24 +++++------
tests/QLNet.Tests/T_DefaultProbabilityCurves.cs | 10 ++---
tests/QLNet.Tests/T_DigitalCoupon.cs | 20 ++++-----
tests/QLNet.Tests/T_DigitalOption.cs | 20 ++++-----
tests/QLNet.Tests/T_DividendOption.cs | 20 ++++-----
tests/QLNet.Tests/T_DoubleBarrierOption.cs | 8 ++--
tests/QLNet.Tests/T_DoubleBinaryOption.cs | 6 +--
tests/QLNet.Tests/T_EuropeanOption.cs | 24 +++++------
tests/QLNet.Tests/T_ExchangeRate.cs | 14 +++---
tests/QLNet.Tests/T_FastFourierTransform.cs | 8 ++--
tests/QLNet.Tests/T_FdmLinearOp.cs | 24 +++++------
tests/QLNet.Tests/T_ForwardOption.cs | 14 +++---
tests/QLNet.Tests/T_Functions.cs | 14 +++---
tests/QLNet.Tests/T_HestonModel.cs | 24 +++++------
.../QLNet.Tests/T_HybridHestonHullWhiteProcess.cs | 26 +++++------
tests/QLNet.Tests/T_Inflation.cs | 12 +++---
tests/QLNet.Tests/T_InflationCPICapFloor.cs | 8 ++--
tests/QLNet.Tests/T_InflationCapFloorTest.cs | 14 +++---
.../QLNet.Tests/T_InflationCapFlooredCouponTest.cs | 12 +++---
tests/QLNet.Tests/T_Instruments.cs | 6 +--
tests/QLNet.Tests/T_InterestRate.cs | 6 +--
tests/QLNet.Tests/T_Interpolations.cs | 40 ++++++++---------
tests/QLNet.Tests/T_LiborMarketModel.cs | 16 +++----
tests/QLNet.Tests/T_LiborMarketModelProcess.cs | 14 +++---
.../QLNet.Tests/T_LinearLeastSquaresRegression.cs | 14 +++---
tests/QLNet.Tests/T_LookbackOption.cs | 12 +++---
tests/QLNet.Tests/T_LowDiscrepancySequences.cs | 12 +++---
tests/QLNet.Tests/T_Matrices.cs | 18 ++++----
tests/QLNet.Tests/T_Money.cs | 10 ++---
tests/QLNet.Tests/T_Operators.cs | 8 ++--
tests/QLNet.Tests/T_Optimizers.cs | 10 ++---
tests/QLNet.Tests/T_OptionletStripper.cs | 16 +++----
tests/QLNet.Tests/T_OvernightIndexedSwap.cs | 16 +++----
tests/QLNet.Tests/T_PSACurve.cs | 6 +--
tests/QLNet.Tests/T_PathGenerator.cs | 12 +++---
.../T_PiecewiseZeroSpreadedTermStructure.cs | 24 +++++------
tests/QLNet.Tests/T_Piecewiseyieldcurve.cs | 40 ++++++++---------
tests/QLNet.Tests/T_Quotes.cs | 12 +++---
tests/QLNet.Tests/T_RNGTraits.cs | 10 ++---
tests/QLNet.Tests/T_RangeAccrual.cs | 10 ++---
tests/QLNet.Tests/T_RiskStats.cs | 6 +--
tests/QLNet.Tests/T_Rounding.cs | 14 +++---
tests/QLNet.Tests/T_SVI.cs | 6 +--
tests/QLNet.Tests/T_SampledCurve.cs | 6 +--
tests/QLNet.Tests/T_Schedule.cs | 22 +++++-----
tests/QLNet.Tests/T_ShortRateModels.cs | 10 ++---
tests/QLNet.Tests/T_Solvers.cs | 16 +++----
tests/QLNet.Tests/T_SpreadOption.cs | 6 +--
tests/QLNet.Tests/T_Stats.cs | 12 +++---
tests/QLNet.Tests/T_Swaps.cs | 22 +++++-----
tests/QLNet.Tests/T_Swaption.cs | 22 +++++-----
tests/QLNet.Tests/T_SwaptionVolatilityCube.cs | 14 +++---
tests/QLNet.Tests/T_SwaptionVolatilitymatrix.cs | 12 +++---
tests/QLNet.Tests/T_TermStructures.cs | 26 +++++------
tests/QLNet.Tests/T_TimeGrid.cs | 20 ++++-----
tests/QLNet.Tests/T_Vector.cs | 14 +++---
tests/QLNet.Tests/Utilities.cs | 32 +++++++-------
94 files changed, 632 insertions(+), 651 deletions(-)
commit 182c17e768b3fc0392d1a62a268426d2ebd97c3c
Author: Olivier Milla <[email protected]>
Date: Tue Apr 23 13:07:21 2019 +0200
Constants.BasisPoint
src/QLNet/Cashflows/CashFlows.cs | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit e05f74881c6b0499143c9b8b9f13e34f43b3389e
Author: Olivier Milla <[email protected]>
Date: Tue Apr 23 13:07:13 2019 +0200
use Constants.BasisPoint
src/QLNet/Cashflows/CashFlows.cs | 4 +---
src/QLNet/Cashflows/ConundrumPricer.cs | 5 ++---
2 files changed, 3 insertions(+), 6 deletions(-)
commit b3f085236da44335f2af763eb63c7a55643a4f49
Author: Olivier Milla <[email protected]>
Date: Tue Apr 23 12:53:47 2019 +0200
Centralized the definition of BasisPoint
src/QLNet/Constants.cs | 8 ++++++++
src/QLNet/Instruments/AssetSwap.cs | 5 ++---
src/QLNet/Instruments/BMASwap.cs | 11 ++++-------
src/QLNet/Instruments/BasisSwap.cs | 7 +++----
src/QLNet/Instruments/CPISwap.cs | 8 +++-----
src/QLNet/Instruments/OvernightIndexedSwap.cs | 8 +++-----
src/QLNet/Instruments/VanillaSwap.cs | 8 +++-----
src/QLNet/Instruments/YearOnYearInflationSwap.cs | 7 +++----
src/QLNet/Pricingengines/credit/IntegralCdsEngine.cs | 8 +++-----
src/QLNet/Pricingengines/credit/IsdaCdsEngine.cs | 8 +++-----
src/QLNet/Pricingengines/credit/MidPointCdsEngine.cs | 8 +++-----
src/QLNet/Pricingengines/swaption/BlackSwaptionEngine.cs | 5 ++---
src/QLNet/Termstructures/Yield/Ratehelpers.cs | 7 +++----
src/QLNet/legacy/libormarketmodels/LfmSwaptionEngine.cs | 6 ++----
14 files changed, 45 insertions(+), 59 deletions(-)
commit f3d65d21c34fd8038e0f54208c946a53af6012fc
Author: Olivier Milla <[email protected]>
Date: Tue Apr 23 12:42:43 2019 +0200
Fixed 2 Filename Case
src/QLNet.Old/QLNet.Old.csproj | 8 ++++----
src/QLNet/Cashflows/{Iborcoupon.cs => IborCoupon.cs} | 0
.../Swap/{Discountingswapengine.cs => DiscountingSwapEngine.cs} | 0
3 files changed, 4 insertions(+), 4 deletions(-)
commit 6d0024d752650015adf1f8c002104d011150804c
Author: Andrea Maggiulli <[email protected]>
Date: Fri Apr 19 19:22:33 2019 +0200
Update issue templates
.github/ISSUE_TEMPLATE/bug_report.md | 28 ++++++++++++++++++++++++++++
.github/ISSUE_TEMPLATE/feature_request.md | 20 ++++++++++++++++++++
2 files changed, 48 insertions(+)
commit 30859f726120ce63f8b20d28b169f0034313dc46
Merge: e876186 90623b7
Author: Andrea Maggiulli <[email protected]>
Date: Thu Apr 11 17:57:43 2019 +0200
Merge pull request #227 from muichkine/develop
Fixedratebond.cs => FixedRateBond.cs
commit 90623b706e9a752067a209f9059b07d9827315ef
Author: Olivier Milla <[email protected]>
Date: Thu Apr 11 11:36:08 2019 +0200
Fixed CSProj for file name changed (Fixedbondrate.cs)
src/QLNet.Old/QLNet.Old.csproj | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit e876186ab38c40b6bebe7074ce8ff8b639547eb9
Merge: a8d738d 0bb9d2e
Author: Andrea Maggiulli <[email protected]>
Date: Wed Apr 10 16:46:55 2019 +0200
Merge pull request #226 from muichkine/patch-1
Assignment was made twice.
commit bb0bbb4660c0080e0351b88addc9961d5d6efa0b
Author: Olivier Milla <[email protected]>
Date: Wed Apr 10 14:33:43 2019 +0200
Fixedratebond.cs => FixedRateBond.cs
src/QLNet/Instruments/Bonds/{Fixedratebond.cs => FixedRateBond.cs} | 0
1 file changed, 0 insertions(+), 0 deletions(-)
commit 0bb9d2edc941eca6364552005035eeb64c4a1b9e
Author: Olivier Milla <[email protected]>
Date: Wed Apr 10 14:19:44 2019 +0200
Assignment was made twice.
src/QLNet/Instruments/Bonds/AmortizingFixedRateBond.cs | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit a8d738d71c352ce766dca0bee0253817aee75efb
Author: Andrea Maggiulli <[email protected]>
Date: Tue Mar 19 10:27:12 2019 +0100
TimeGrid, added tests & refactoring.
src/QLNet/Time/Calendars/China.cs | 10 +-
src/QLNet/Time/Calendars/UnitedStates.cs | 2 +-
src/QLNet/TimeGrid.cs | 186 ++++++++++++++++-----
.../QLNet.Tests/T_HybridHestonHullWhiteProcess.cs | 4 +-
tests/QLNet.Tests/T_TimeGrid.cs | 179 ++++++++++++++++++++
tests/QLNet.Tests/Utilities.cs | 19 ++-
6 files changed, 350 insertions(+), 50 deletions(-)
commit 81aa149f79be52b389813c6b0ae890a7a3196135
Author: Andrea Maggiulli <[email protected]>
Date: Wed Mar 13 15:18:48 2019 +0100
Updated china holidays up to 2019
src/QLNet/Time/Calendars/China.cs | 45 +++++++++++++++++++++-
tests/QLNet.Tests/T_Calendars.cs | 81 ++++++++++++++++++++++++++++++++++++++-
2 files changed, 122 insertions(+), 4 deletions(-)
commit d9ccac6f0a26f05e07234afffe3f605590596be5
Author: Andrea Maggiulli <[email protected]>
Date: Wed Mar 13 14:28:16 2019 +0100
Added Day of Mourning for George HW Bush to Special US Holidays
src/QLNet/Time/Calendars/UnitedStates.cs | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit 3e0e699aa03d3ff526aafcb0499c1b7499e8de4f
Author: Andrea Maggiulli <[email protected]>
Date: Wed Mar 13 14:13:35 2019 +0100
Fixed business days between logic when from and to are same date.
src/QLNet/Instruments/Makeswaption.cs | 2 +-
.../swaption/JamshidianSwaptionEngine.cs | 3 +-
src/QLNet/Time/Calendar.cs | 5 +
tests/QLNet.Tests/T_Calendars.cs | 102 ++++++++++++++++++++-
4 files changed, 107 insertions(+), 5 deletions(-)
commit 38dd4b7e88b4bbc9dca70e9890340238df1e897f
Merge: 21af0b1 efa4106
Author: Andrea Maggiulli <[email protected]>
Date: Wed Mar 13 13:44:48 2019 +0100
Merge pull request #223 from tournierjc/CashCollatSwaption
Collateralized Cash Swaption
commit 21af0b17862a5295f1ccc822270dc456a2029f9e
Author: Andrea Maggiulli <[email protected]>
Date: Wed Mar 13 12:31:21 2019 +0100
Added a new ActualActual day counter implementation that use a schedule, with tests.
Updated net core version to 2.2
src/QLNet/QLNet.csproj | 2 +-
src/QLNet/Time/DayCounters/ActualActual.cs | 145 ++++++++++--
tests/QLNet.Tests/T_DayCounters.cs | 340 +++++++++++++++++++++++++++++
3 files changed, 471 insertions(+), 16 deletions(-)
commit efa41062dbb5004142bd157d46d231e19b431686
Author: tournierjc <[email protected]>
Date: Wed Jan 9 15:49:34 2019 +0100
[Swaption Test] add settlement method
tests/QLNet.Tests/T_Swaption.cs | 38 +++++++++++++++++++++++++-------------
1 file changed, 25 insertions(+), 13 deletions(-)
commit 195435ec2901ec0eab9661712c7e06192c8eef9c
Author: tournierjc <[email protected]>
Date: Wed Jan 9 15:49:10 2019 +0100
[Swaption Engines] add settlement method
.../Pricingengines/swaption/BlackSwaptionEngine.cs | 56 +++++++++++-----------
.../swaption/JamshidianSwaptionEngine.cs | 5 +-
.../Pricingengines/swaption/TreeSwaptionEngine.cs | 5 +-
3 files changed, 34 insertions(+), 32 deletions(-)
commit ba53c042bdc77ee4fe02d8dfb8ef8e1622d3a14d
Author: tournierjc <[email protected]>
Date: Wed Jan 9 15:48:31 2019 +0100
[LfmSwaptionEngine] add settlement method
src/QLNet/legacy/libormarketmodels/LfmSwaptionEngine.cs | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit fa580ec13fff36bef2cb7e903c1f7e28e59cf355
Author: tournierjc <[email protected]>
Date: Wed Jan 9 15:47:53 2019 +0100
[Makewaption] add settlement method & more
src/QLNet/Instruments/Makeswaption.cs | 50 ++++++++++++++++++++++++++++++++---
1 file changed, 47 insertions(+), 3 deletions(-)
commit 1bb0a47df99fb68fdc9d22853b2a30abd5ed126b
Author: tournierjc <[email protected]>
Date: Wed Jan 9 15:46:50 2019 +0100
[Swaption] add settlement method
src/QLNet/Instruments/Swaption.cs | 48 +++++++++++++++++++++++++++++++--------
1 file changed, 38 insertions(+), 10 deletions(-)
commit 39d4390d8c11cb2d62c280a78807cefba1c99e27
Author: Andrea Maggiulli <[email protected]>
Date: Wed Jan 2 18:29:26 2019 +0100
Added specific type for exceptions, initial version. Close #112.
src/QLNet/Exceptions/NotTradableException.cs | 21 ++++++++
src/QLNet/Exceptions/QLNetExceptionEnum.cs | 9 ++++
src/QLNet/Exceptions/RootNotBracketException.cs | 21 ++++++++
src/QLNet/Instruments/CouponConversionSchedule.cs | 2 +-
src/QLNet/Math/Solver1d.cs | 3 +-
src/QLNet/Pricingengines/Bond/BondFunctions.cs | 63 ++++++++++++++--------
.../Yield/FittedBondDiscountCurve.cs | 3 +-
src/QLNet/Utils.cs | 26 +++++++--
tests/QLNet.Tests/T_Bonds.cs | 58 ++++++++++++++++++++
9 files changed, 178 insertions(+), 28 deletions(-)
commit 8733d7672f73f9ba9ce3f32ae85df4edbc0f0ab1
Merge: bf13789 0b40d8f
Author: Andrea Maggiulli <[email protected]>
Date: Tue Nov 27 15:43:16 2018 +0100
Merge pull request #222 from tournierjc/add_fft
Add Fast Fourier Transform
commit f2dfa64180cb8089dc46a2202dafdd2b398d00d0
Author: tournierjc <[email protected]>
Date: Tue Nov 27 14:39:28 2018 +0100
update from master (#15)
* Added Binomial Tsiveriotis-Fernandes engine for convertible bonds with tests.Thanks @maittaeb for the initial version. This close #217
* Added CatBond with MonteCarlo pricing engine and tests.
* Added a new test for Stepped Coupon Bonds.
* [Cost Function] Fix omitted "ref" keyword in base class
* Delete Problem.cs
* Rename problem.cs to Problem.cs
commit 0b40d8f88baf565e22600dd1376cdd6c9a11bd9b
Author: tournierjc <[email protected]>
Date: Tue Nov 27 14:35:49 2018 +0100
Update QLNet.Tests old project file
tests/QLNet.Tests.Old/QLNet.Tests.Old.csproj | 405 ++++++++++++++-------------
1 file changed, 209 insertions(+), 196 deletions(-)
commit 0b9a00e1d2f621578725ac65b35d243a9de39549
Author: tournierjc <[email protected]>
Date: Tue Nov 27 14:35:19 2018 +0100
Update QLNet old project file
src/QLNet.Old/QLNet.Old.csproj | 9 +++++++--
1 file changed, 7 insertions(+), 2 deletions(-)
commit 32a160e8dc642cc0971b11d3fc72ce7da6d5cfdc
Author: tournierjc <[email protected]>
Date: Tue Nov 27 14:34:55 2018 +0100
Add FFT tests
tests/QLNet.Tests/T_FastFourierTransform.cs | 135 ++++++++++++++++++++++++++++
1 file changed, 135 insertions(+)
commit 349f44a63737ff97b8c12b0874a321d6af6db1ae
Author: tournierjc <[email protected]>
Date: Tue Nov 27 14:34:27 2018 +0100
Add FFT
src/QLNet/Math/FastFourierTransform.cs | 121 +++++++++++++++++++++++++++++++++
1 file changed, 121 insertions(+)
commit 27a8e02c0be2188b4afb583370ea0ac4a7d4574a
Author: tournierjc <[email protected]>
Date: Tue Nov 27 13:57:43 2018 +0100
update from master (#14)
* Added Binomial Tsiveriotis-Fernandes engine for convertible bonds with tests.Thanks @maittaeb for the initial version. This close #217
* Added CatBond with MonteCarlo pricing engine and tests.
* Added a new test for Stepped Coupon Bonds.
* [Cost Function] Fix omitted "ref" keyword in base class
* Delete Problem.cs
* Rename problem.cs to Problem.cs
QLNet.sln | 10 +
src/ConvertibleBonds/.editorconfig | 16 +
src/ConvertibleBonds/ConvertibleBonds.cs | 201 ++++++++
src/ConvertibleBonds/ConvertibleBonds.csproj | 18 +
src/QLNet/Instruments/Bonds/CatBond.cs | 220 ++++++++
src/QLNet/Instruments/Bonds/CatRisk.cs | 125 +++++
src/QLNet/Instruments/Bonds/ConvertibleBond.cs | 10 +-
.../Instruments/Bonds/DiscretizedConvertible.cs | 270 ++++++++++
src/QLNet/Instruments/Bonds/RiskyNotional.cs | 131 +++++
src/QLNet/Instruments/CouponConversionSchedule.cs | 52 ++
src/QLNet/Math/Optimization/ArmijoLineSearch.cs | 4 +-
src/QLNet/Math/Optimization/CostFunction.cs | 7 +-
src/QLNet/Math/Optimization/GoldsteinLineSearch.cs | 37 +-
src/QLNet/Math/Optimization/LeastSquareProblem.cs | 7 +-
.../Math/Optimization/LineSearchBasedMethod.cs | 2 +-
src/QLNet/Math/Optimization/Problem.cs | 10 +-
src/QLNet/Methods/lattices/BsmLattice.cs | 4 +-
.../lattices/TsiveriotisFernandesLattice.cs | 97 ++++
.../Bond/BinomialConvertibleEngine.cs | 95 ++++
.../Pricingengines/Bond/MonteCarloCatBondEngine.cs | 158 ++++++
tests/QLNet.Tests/T_Bonds.cs | 167 +++++-
tests/QLNet.Tests/T_CatBonds.cs | 564 +++++++++++++++++++++
tests/QLNet.Tests/T_ConvertibleBond.cs | 434 ++++++++++++++++
tests/QLNet.Tests/Utilities.cs | 12 +
24 files changed, 2606 insertions(+), 45 deletions(-)
commit bf1378905ef0d7ca5642364722268eb85d717be2
Merge: b9b15d6 8edefee
Author: Andrea Maggiulli <[email protected]>
Date: Mon Nov 26 12:15:25 2018 +0100
Merge pull request #221 from tournierjc/costfunctionfix
[Cost Function] Fix omitted 'ref' keyword
commit 8edefee706b6ea7c05ee613b7dbb26cbf81eb156
Author: tournierjc <[email protected]>
Date: Mon Nov 26 10:28:37 2018 +0100
Rename problem.cs to Problem.cs
src/QLNet/Math/Optimization/{problem.cs => Problem.cs} | 0
1 file changed, 0 insertions(+), 0 deletions(-)
commit dca281428426fbf73a53e28685d0bd79de2c97a8
Author: tournierjc <[email protected]>
Date: Mon Nov 26 10:28:27 2018 +0100
Delete Problem.cs
src/QLNet/Math/Optimization/Problem.cs | 112 ---------------------------------
1 file changed, 112 deletions(-)
commit 2030b0109a560bb27b19ee9a4aaec657c2aba70e
Author: tournierjc <[email protected]>
Date: Mon Nov 26 10:25:26 2018 +0100
[Cost Function] Fix omitted "ref" keyword in base class
src/QLNet/Math/Optimization/ArmijoLineSearch.cs | 4 +-
src/QLNet/Math/Optimization/CostFunction.cs | 7 +-
src/QLNet/Math/Optimization/GoldsteinLineSearch.cs | 37 +++----
src/QLNet/Math/Optimization/LeastSquareProblem.cs | 7 +-
.../Math/Optimization/LineSearchBasedMethod.cs | 2 +-
src/QLNet/Math/Optimization/problem.cs | 112 +++++++++++++++++++++
6 files changed, 143 insertions(+), 26 deletions(-)
commit b9b15d62c49fbbf208e6cb9ebeefec0fa9dbfa5b
Author: Andrea Maggiulli <[email protected]>
Date: Thu Sep 27 22:21:45 2018 +0200
Added a new test for Stepped Coupon Bonds.
src/QLNet/Instruments/CouponConversionSchedule.cs | 52 +++++++
tests/QLNet.Tests/T_Bonds.cs | 167 ++++++++++++++++++++--
tests/QLNet.Tests/T_CatBonds.cs | 10 +-
3 files changed, 216 insertions(+), 13 deletions(-)
commit 037cce653ad7f98638555f326ee6bbfa7fe59871
Author: Andrea Maggiulli <[email protected]>
Date: Fri Sep 21 15:56:09 2018 +0200
Added CatBond with MonteCarlo pricing engine and tests.
src/QLNet/Instruments/Bonds/CatBond.cs | 220 ++++++++
src/QLNet/Instruments/Bonds/CatRisk.cs | 125 +++++
src/QLNet/Instruments/Bonds/RiskyNotional.cs | 131 +++++
.../Bond/BinomialConvertibleEngine.cs | 16 +-
.../Pricingengines/Bond/MonteCarloCatBondEngine.cs | 158 ++++++
tests/QLNet.Tests/T_CatBonds.cs | 564 +++++++++++++++++++++
tests/QLNet.Tests/T_ConvertibleBond.cs | 336 ++++++------
tests/QLNet.Tests/Utilities.cs | 12 +
8 files changed, 1386 insertions(+), 176 deletions(-)
commit 15cca8cb202db576a6ae2b4e137634838530dff2
Author: Andrea Maggiulli <[email protected]>
Date: Thu Sep 20 10:11:17 2018 +0200
Added Binomial Tsiveriotis-Fernandes engine for convertible bonds with tests.Thanks @maittaeb for the initial version. This close #217
QLNet.sln | 10 +
src/ConvertibleBonds/.editorconfig | 16 +
src/ConvertibleBonds/ConvertibleBonds.cs | 201 ++++++++++
src/ConvertibleBonds/ConvertibleBonds.csproj | 18 +
src/QLNet/Instruments/Bonds/ConvertibleBond.cs | 10 +-
.../Instruments/Bonds/DiscretizedConvertible.cs | 270 +++++++++++++
src/QLNet/Methods/lattices/BsmLattice.cs | 4 +-
.../lattices/TsiveriotisFernandesLattice.cs | 97 +++++
.../Bond/BinomialConvertibleEngine.cs | 95 +++++
tests/QLNet.Tests/T_ConvertibleBond.cs | 434 +++++++++++++++++++++
10 files changed, 1149 insertions(+), 6 deletions(-)
commit 2913809c61ddc5645ed7f1c053a73b113fcacb5f
Merge: 8cef399 69305f4
Author: tournierjc <[email protected]>
Date: Thu Sep 13 16:11:51 2018 +0200
Merge pull request #11 from amaggiulli/develop
Update 1.8.0.0
commit 69305f413b8ed737315cf764bfe3e184c5b2456d
Author: Andrea Maggiulli <[email protected]>
Date: Wed Sep 12 17:38:43 2018 +0200
Fix msbuild-sonarqube-runner
appveyor.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 03d4c765f085b937abffd18fa728b0b5960a6da1
Author: Andrea Maggiulli <[email protected]>
Date: Wed Sep 12 17:05:35 2018 +0200
Fix msbuild-sonarqube-runner
appveyor.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 11b3c7f77ba8de5013070278c590231f92b497a3
Author: Andrea Maggiulli <[email protected]>
Date: Wed Sep 12 16:49:13 2018 +0200
Fix msbuild-sonarqube-runner
appveyor.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 65c3db0aee49862eca0a139b45f155bb8a884e16
Merge: 880228a c048c2f
Author: Andrea Maggiulli <[email protected]>
Date: Wed Sep 12 15:59:43 2018 +0200
Merge branch 'develop' of https://github.com/amaggiulli/qlnet into develop
commit 880228a3c2ce2d70312dc78035a2a859c0a9ffca
Author: Andrea Maggiulli <[email protected]>
Date: Wed Sep 12 15:59:26 2018 +0200
Fix msbuild-sonarqube-runner
appveyor.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c048c2f6f4cbf3b55d8e3c7ca6aff7cec23e669a
Merge: 46530ae 170036b
Author: Andrea Maggiulli <[email protected]>
Date: Fri Aug 24 16:06:50 2018 +0200
Merge pull request #216 from papaneko/settings_clear_observers
Being able to clear settings Observers
commit 170036be017c3e903436e94dae10dbb502f5252f
Author: Niklas Holma <[email protected]>
Date: Thu Aug 23 16:17:35 2018 +0200
Fix problem with not being able to cut loose old yield curves from new evaluation date changes
src/QLNet/Patterns/WeakEventSource.cs | 8 ++++++++
src/QLNet/Settings.cs | 7 ++++++-
2 files changed, 14 insertions(+), 1 deletion(-)
commit 46530aeca4cf4d21648b3abcb31d118df7ba31d4
Author: Andrea Maggiulli <[email protected]>
Date: Thu Aug 23 11:41:00 2018 +0200
Added bibor index
src/QLNet/Indexes/Ibor/Bibor.cs | 136 +++++++++++++++++++++++++++++++++++
src/QLNet/Time/Calendars/Thailand.cs | 100 +++++++++++++-------------
2 files changed, 186 insertions(+), 50 deletions(-)
commit 1eb832d0ef14d9c3750018e9c63db48c7e18eb50
Author: Andrea Maggiulli <[email protected]>
Date: Thu Aug 23 11:19:40 2018 +0200
Added Thailand calendar
src/QLNet/Time/Calendars/Thailand.cs | 274 +++++++++++++++++++++++++++++++++++
1 file changed, 274 insertions(+)
commit c74a5abb9fa5f6e563847af294531086c00a67a6
Author: Andrea Maggiulli <[email protected]>
Date: Fri Aug 3 15:52:20 2018 +0200
Simplified testDurations
format_code.bat | 3 ++-
tests/QLNet.Tests/T_AmericanOption.cs | 2 +-
tests/QLNet.Tests/T_Bonds.cs | 16 +++++++---------
3 files changed, 10 insertions(+), 11 deletions(-)
commit 2503f49485cfc1e036fb05b1b7f7fa2e934fc4cd
Author: Andrea Maggiulli <[email protected]>
Date: Thu Aug 2 09:56:29 2018 +0200
Test develop preview debug publishing.
appveyor.yml | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 060801ae16d049dee4d44d70a1c35932ac18090c
Author: Andrea Maggiulli <[email protected]>
Date: Wed Jul 25 19:28:24 2018 +0200
Updated version for previews and features [skip ci]
appveyor.yml | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)