Merge pull request #232 from amaggiulli/develop

QLNet 1.11.3

.github/ISSUE_TEMPLATE/bug_report.md

@@ -0,0 +1,28 @@
+---
+name: Bug report
+about: Create a report to help us improve
+title: "[BUG]"
+labels: ''
+assignees: ''
+
+---
+
+**Describe the bug**
+A clear and concise description of what the bug is.
+
+**To Reproduce**
+Steps to reproduce the behavior:
+1. Go to '...'
+2. Click on '....'
+3. Scroll down to '....'
+4. See error
+
+**Expected behavior**
+A clear and concise description of what you expected to happen.
+
+**Desktop (please complete the following information):**
+ - OS: [e.g. iOS]
+ - .Net version [e.g. .Net Framework 4.5, .Net Core 2.2]
+
+**Additional context**
+Add any other context about the problem here.

.github/ISSUE_TEMPLATE/feature_request.md

@@ -0,0 +1,20 @@
+---
+name: Feature request
+about: Suggest an idea for this project
+title: "[FEATURE]"
+labels: ''
+assignees: ''
+
+---
+
+**Is your feature request related to a problem? Please describe.**
+A clear and concise description of what the problem is. Ex. I'm always frustrated when [...]
+
+**Describe the solution you'd like**
+A clear and concise description of what you want to happen.
+
+**Describe alternatives you've considered**
+A clear and concise description of any alternative solutions or features you've considered.
+
+**Additional context**
+Add any other context or screenshots about the feature request here.

News.txt

@@ -1,15 +1,30 @@
-QLNet 1.11.2
+QLNet 1.11.3
 =========================
 
-QLNet 1.11.2 is a bug-fix release for version 1.11
+QLNet 1.11.3
 A detailed list of changes is available in ChangeLog.txt.
 
+DATE-TIME
+
++ Added Thailand calendar 
++ Updated china holidays up to 2019
+
+INDEXES
+
++ Added bibor index
+
+INSTRUMENTS
+
++ Added CatBond with MonteCarlo pricing engine
++ Added Collateralized Cash Swaption
+
 ENGINES
 
-+ Fixed a bug int FDMultiPeriodEngine.Thanks to Jakub Pstrusiński.
++ Added Binomial Tsiveriotis-Fernandes engine for convertible bonds
+
+FRAMEWORK
 
-CASHFLOWS
++ Making all projects dotnet standard.  (Changes minimum framework to net 4.5.1)
++ Added QLNet Exceptions
++ Bug fixing and refactoring.
 
-+ Fixed accrual calculation
-+ Fixed yield calculation when settlement date falls on 31st
-+ Added OAS calculation to callable bonds

QLNet.sln

@@ -29,6 +29,8 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Repo", "src\Repo\Repo.cspro
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Swap", "src\Swap\Swap.csproj", "{A653D5D9-660D-4DB2-938C-1676F5E35033}"
 EndProject
+Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "ConvertibleBonds", "src\ConvertibleBonds\ConvertibleBonds.csproj", "{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}"
+EndProject
 Global
 	GlobalSection(SolutionConfigurationPlatforms) = preSolution
 		Debug|Any CPU = Debug|Any CPU
@@ -79,6 +81,10 @@ Global
 		{A653D5D9-660D-4DB2-938C-1676F5E35033}.Debug|Any CPU.Build.0 = Debug|Any CPU
 		{A653D5D9-660D-4DB2-938C-1676F5E35033}.Release|Any CPU.ActiveCfg = Release|Any CPU
 		{A653D5D9-660D-4DB2-938C-1676F5E35033}.Release|Any CPU.Build.0 = Release|Any CPU
+		{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}.Release|Any CPU.Build.0 = Release|Any CPU
 	EndGlobalSection
 	GlobalSection(SolutionProperties) = preSolution
 		HideSolutionNode = FALSE
@@ -95,5 +101,9 @@ Global
 		{683CF269-1F05-4C9B-9DCC-877977BC8C25} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
 		{40456B2A-0B05-4DF1-951E-504BB339452A} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
 		{A653D5D9-660D-4DB2-938C-1676F5E35033} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
+		{F0F89FDF-F7D9-46CA-9177-A06BA64E306F} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
+	EndGlobalSection
+	GlobalSection(ExtensibilityGlobals) = postSolution
+		SolutionGuid = {D4B9C389-D195-4E74-9536-587E7D349B67}
 	EndGlobalSection
 EndGlobal

appveyor.yml

@@ -6,7 +6,7 @@
   branches:
     only:
       - master
-  version: 1.11.2
+  version: 1.11.3
   configuration: Release
   platform: Any CPU
   image: Visual Studio 2017
@@ -24,18 +24,18 @@
   after_build:
     - cmd: dotnet pack src/qlnet/qlnet.csproj -c Release -o ./
   artifacts:
-    - path: src\QLNet\bin\Release\net40\QLNet.dll
+    - path: src\QLNet\bin\Release\net452\QLNet.dll
       name: Windows
     - path: src\qlnet\*.nupkg
       name: ng
   deploy:
   - provider: GitHub
-    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
+    tag: QLNet-v1.11.3
+    release: QLNet Version 1.11.3
+    description: QLNet 1.11.3 
     auth_token:
       secure: rK95hgNgZt9ybzXBJ/1W0nbqsG/aENQ22eyY2qxn5xjbi7ZEjv+5BmNjY/l1cAYH
-    artifact: src\QLNet\bin\Release\net40\QLNet.dll
+    artifact: src\QLNet\bin\Release\net452\QLNet.dll
     draft: false
     force_update: false
   - provider: NuGet
@@ -45,13 +45,13 @@
     artifact: ng
 
 # Configuration for "develop" branch
-# build in Release mode, run tests , deploy to Sonar
+# build in Debug mode, run tests , deploy to Sonar
 -
   branches:
     only:
       - develop
-  version: 1.11.2-preview.{build}
-  configuration: Release
+  version: 1.11.3-preview.{build}
+  configuration: Debug
   platform: Any CPU
   image: Visual Studio 2017
   skip_tags: true
@@ -61,12 +61,12 @@
   nuget:
     disable_publish_on_pr: true
   before_build:
-  - cmd: "choco install msbuild-sonarqube-runner --version 2.3 -y\ndotnet restore qlnet.sln\ndotnet clean qlnet.sln\nSET runner_args=\"\"\nif \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_commit% \nif not \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_pr% \nMSBuild.SonarQube.Runner.exe begin %runner_args%\nmsbuild qlnet.sln /p:TargetFrameworkVersion=v4.5 /p:TargetFrameworks=net45 /p:Configuration=Release /logger:\"C:\\Program Files\\AppVeyor\\BuildAgent\\Appveyor.MSBuildLogger.dll\" /target:src\\qlnet > log.txt\nMSBuild.SonarQube.Runner.exe end /d:\"sonar.login=%sonar_token%\""
+  - cmd: "choco install msbuild-sonarqube-runner --version 2.3 -y\ndotnet restore qlnet.sln\ndotnet clean qlnet.sln\nSET runner_args=\"\"\nif \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_commit% \nif not \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_pr% \nMSBuild.SonarQube.Runner.exe begin %runner_args%\nmsbuild qlnet.sln /p:TargetFrameworkVersion=v4.5.2 /p:TargetFrameworks=net452 /p:Configuration=Debug /logger:\"C:\\Program Files\\AppVeyor\\BuildAgent\\Appveyor.MSBuildLogger.dll\" /target:src\\qlnet > log.txt\nMSBuild.SonarQube.Runner.exe end /d:\"sonar.login=%sonar_token%\""
   build:
     project: QLNet.sln
     verbosity: minimal
   after_build:
-    - cmd: dotnet pack src/qlnet/qlnet.csproj -c Release -o ./
+    - cmd: dotnet pack src/qlnet/qlnet.csproj -c Debug -o ./
   artifacts:
     - path: src\qlnet\*.nupkg
       name: ng
@@ -79,12 +79,12 @@
     file_version: '{version}'
     informational_version: '{version}'
   test_script:
-    - cmd: vstest.console /logger:Appveyor /TestCaseFilter:"TestCategory!=LongRun" "c:\projects\qlnet_develop\tests\QLNet.Tests\bin\Release\net45\QLNet.Tests.dll"
+    - cmd: vstest.console /logger:Appveyor /TestCaseFilter:"TestCategory!=LongRun" "c:\projects\qlnet_develop\tests\QLNet.Tests\bin\Debug\net452\QLNet.Tests.dll"
   deploy:
     - provider: NuGet
       api_key:
         secure: HcilScZbZnJrCk5hoEPz9MSzKQanBzsQCfulI9gFpcT7wurwxIy3hwSwPfjXmr/v
-      skip_symbols: true
+      skip_symbols: false
       artifact: ng
 
 # Configuration for "feature/*" branch
@@ -93,15 +93,15 @@
   branches:
     only:
       - /feature/
-  version: 1.11.2-{build}
+  version: 1.11.3-{build}
   configuration: Debug
   platform: Any CPU
   image: Visual Studio 2017
   skip_tags: true
   clone_folder: c:\projects\qlnet_feature
   init:
     - cmd: "set branch=%APPVEYOR_REPO_BRANCH%\necho branch:%branch%\nset gitVersion=%branch:/=.%\necho gitversion:%gitVersion%\nset newVersion=%gitVersion%.%APPVEYOR_BUILD_NUMBER%\necho %newVersion%"
-    - cmd: appveyor UpdateBuild -Version "1.11.2-%newVersion%"
+    - cmd: appveyor UpdateBuild -Version "1.11.3-%newVersion%"
   before_build:
     - cmd: dotnet restore qlnet.sln
   build:

format_code.bat

@@ -1 +1,2 @@
-tools\AStyle.exe --options=qlnet.astyle --recursive src/*.cs tests/*.cs
+tools\AStyle.exe --options=qlnet.astyle --recursive src/*.cs tests/*.cs
+pause

src/BermudanSwaption/BermudanSwaption.csproj

@@ -1,8 +1,8 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.11.0</VersionPrefix>
-    <TargetFrameworks>net45</TargetFrameworks>
+    <VersionPrefix>1.11.3</VersionPrefix>
+    <TargetFrameworks>netcoreapp2.2</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>BermudanSwaption</AssemblyName>
     <PackageId>BermudanSwaption</PackageId>

src/Bonds/Bonds.csproj

@@ -1,8 +1,8 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.11.0</VersionPrefix>
-    <TargetFrameworks>net45</TargetFrameworks>
+    <VersionPrefix>1.11.3</VersionPrefix>
+    <TargetFrameworks>netcoreapp2.2</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>Bonds</AssemblyName>
     <PackageId>Bonds</PackageId>

src/CVAIRS/CVAIRS.csproj

@@ -1,8 +1,8 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.11.0</VersionPrefix>
-    <TargetFrameworks>net45</TargetFrameworks>
+    <VersionPrefix>1.11.3</VersionPrefix>
+    <TargetFrameworks>netcoreapp2.2</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>CVAIRS</AssemblyName>
     <PackageId>CVAIRS</PackageId>

src/CallableBonds/CallableBonds.csproj

@@ -1,8 +1,8 @@
 <Project Sdk="Microsoft.NET.Sdk">
 
   <PropertyGroup>
-    <VersionPrefix>1.11.0</VersionPrefix>
-    <TargetFrameworks>net45</TargetFrameworks>
+    <VersionPrefix>1.11.3</VersionPrefix>
+    <TargetFrameworks>netcoreapp2.2</TargetFrameworks>
     <DefineConstants>$(DefineConstants);QL_NEGATIVE_RATES</DefineConstants>
     <AssemblyName>CallableBonds</AssemblyName>
     <PackageId>CallableBonds</PackageId>

src/ConvertibleBonds/.editorconfig

@@ -0,0 +1,16 @@
+# EditorConfig is awesome: http://EditorConfig.org
+
+# top-most EditorConfig file
+root = true
+
+# Windows-style newlines with a newline ending every file
+[*]
+end_of_line = crlf
+insert_final_newline = true
+trim_trailing_whitespace = true
+
+# 3 space indentation
+[*.cs]
+indent_style = space
+indent_size = 3
+