QLNet 1.12.0

amaggiulli · Nov 24, 2021 · b6679ec · b6679ec
2 parents 08ab703 + daa7201
commit b6679ec
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diff --git a/ChangeLog.txt b/ChangeLog.txt
diff --git a/LICENSE b/LICENSE
@@ -1,6 +1,6 @@
 BSD 3-Clause QLNet License
 
-Copyright (c) 2018, Andrea Maggiulli
+Copyright (c) 2018-2021, Andrea Maggiulli
 All rights reserved.
 
 Redistribution and use in source and binary forms, with or without

diff --git a/News.txt b/News.txt
@@ -1,38 +1,35 @@
-QLNet 1.11.4
+QLNet 1.12.0
 =========================
 
-QLNet 1.11.4
+QLNet 1.12.0
 A detailed list of changes is available in ChangeLog.txt.
 
-WARNING : This is the last version supporting old Visual Studio projects, with
-the upcoming version 1.12 the QLNetOld.sln will be removed and a general cleanup
-will be done. 
-
-MATH 
-
-+ Added Cumulative Gamma distribution
+FRAMEWORK
 
-INSTRUMENTS
++ Removed QLNet old framework solution
++ Updated tests to use only xunit
++ Updated library to netstandard 2.1
++ Updated test suite to .Net Core 5
++ Updated samples to .Net Core 5
 
-+ Fixed Weighted Average Life calculation for past dates
+MATH 
 
-TERMSTRUCTURES
++ Fixed LineSearchBasedMethod.minimize, thx @hhaldn for spotting it.
 
-+ Added Quanto Term Structure
+CALENDARS
 
-METHODS
++ Fixed Denmark holidays, thx @hhaldn
++ Added Austrian, French and Chilean calendars
++ Updated all existing calendars up to 2021
 
-+ Added Cranck-Nicholson, Method of Lines & TrBDF2 schemes 
+TIME
 
-ENGINES
++ Added utility Date.ToDateTime() method
++ Fixed ActualActualISMA daycounter calculation for long/short final periods, thanks @kristofferpagels.
+
 
-+ Fixed Broadie-Kaya exact scheme [Heston process]
-+ Added Monte Carlo Barrier Engine
-+ Fixed AdaptiveRungeKutta
-+ Added Cumulative & Inverse Cumulative Chi² Distrib
+TERMSTRUCTURES
 
-FRAMEWORK
++ Fixed helpers sort for Piecewise Curves
 
-+ Added more QLNet Exceptions
-+ Bug fixing and refactoring.
 
diff --git a/QLNet.sln b/QLNet.sln
@@ -1,7 +1,7 @@
 
 Microsoft Visual Studio Solution File, Format Version 12.00
-# Visual Studio 15
-VisualStudioVersion = 15.0.26228.10
+# Visual Studio Version 16
+VisualStudioVersion = 16.0.30011.22
 MinimumVisualStudioVersion = 10.0.40219.1
 Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "src", "src", "{0E7C422B-F8C0-433E-9E54-D3D55968222D}"
 EndProject
@@ -11,26 +11,6 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "QLNet", "src\QLNet\QLNet.cs
 EndProject
 Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "QLNet.Tests", "tests\QLNet.Tests\QLNet.Tests.csproj", "{5D0C9349-1A5B-455F-9485-0EF4860C8F62}"
 EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "BermudanSwaption", "src\BermudanSwaption\BermudanSwaption.csproj", "{B616E3F5-7201-4BE2-801D-6A084F77690E}"
-EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Bonds", "src\Bonds\Bonds.csproj", "{39C6B719-526E-4BEF-98E6-8E48319ABF0B}"
-EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "CallableBonds", "src\CallableBonds\CallableBonds.csproj", "{0B96DC4B-9B75-4926-A583-1D049B88731E}"
-EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "CVAIRS", "src\CVAIRS\CVAIRS.csproj", "{C2D21176-2143-48C3-A364-D6ED28B0FAD7}"
-EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "EquityOption", "src\EquityOption\EquityOption.csproj", "{A11F2EEA-C561-42C3-A3C0-BDBF8A8A0758}"
-EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "FittedBondCurve", "src\FittedBondCurve\FittedBondCurve.csproj", "{4AB97803-A149-45C0-9D8B-5E93851E296B}"
-EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "FRA", "src\FRA\FRA.csproj", "{683CF269-1F05-4C9B-9DCC-877977BC8C25}"
-EndProject
-Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Repo", "src\Repo\Repo.csproj", "{40456B2A-0B05-4DF1-951E-504BB339452A}"
-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
@@ -45,63 +25,13 @@ Global
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-		{B616E3F5-7201-4BE2-801D-6A084F77690E}.Debug|Any CPU.Build.0 = Debug|Any CPU
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-		{B616E3F5-7201-4BE2-801D-6A084F77690E}.Release|Any CPU.Build.0 = Release|Any CPU
-		{39C6B719-526E-4BEF-98E6-8E48319ABF0B}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
-		{39C6B719-526E-4BEF-98E6-8E48319ABF0B}.Debug|Any CPU.Build.0 = Debug|Any CPU
-		{39C6B719-526E-4BEF-98E6-8E48319ABF0B}.Release|Any CPU.ActiveCfg = Release|Any CPU
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-		{C2D21176-2143-48C3-A364-D6ED28B0FAD7}.Release|Any CPU.ActiveCfg = Release|Any CPU
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-		{40456B2A-0B05-4DF1-951E-504BB339452A}.Debug|Any CPU.Build.0 = Debug|Any CPU
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 	EndGlobalSection
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 		{5D0C9349-1A5B-455F-9485-0EF4860C8F62} = {7509F81A-396A-4765-AF64-F5DB3ECD227C}
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diff --git a/QLNetOld.sln b/QLNetOld.sln
diff --git a/README.md b/README.md
@@ -10,11 +10,15 @@ QLNet also contains new developments on the bond market like MBS, Amortized Cost
 [![NuGet](https://buildstats.info/nuget/qlnet)](https://www.nuget.org/packages/qlnet/)
 [![Donate](https://img.shields.io/badge/Donate-PayPal-green.svg)](https://www.paypal.com/cgi-bin/webscr?item_name=Donation+to+QLNet&cmd=_donations&business=a.maggiulli%40gmail.com)
 
-[![Quality Gate](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=alert_status)](https://sonarcloud.io/dashboard?id=QLNet-develop)
-[![Bugs](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=bugs)](https://sonarcloud.io/project/issues?id=QLNet-develop&resolved=false&types=BUG)
-[![Vulnerabilities](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=vulnerabilities)](https://sonarcloud.io/project/issues?id=QLNet-develop&resolved=false&types=VULNERABILITY)
-[![Code Smells](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=code_smells)](https://sonarcloud.io/project/issues?id=QLNet-develop&resolved=false&types=CODE_SMELL)
-[![Duplicated Lines](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=duplicated_lines_density)](https://sonarcloud.io/component_measures?id=QLNet-develop&metric=duplicated_lines_density)
+[![Quality Gate Status](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=alert_status)](https://sonarcloud.io/dashboard?id=QLNet)
+[![Bugs](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=bugs)](https://sonarcloud.io/dashboard?id=QLNet)
+[![Vulnerabilities](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=vulnerabilities)](https://sonarcloud.io/dashboard?id=QLNet)
+[![Code Smells](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=code_smells)](https://sonarcloud.io/dashboard?id=QLNet)
+[![Duplicated Lines (%)](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=duplicated_lines_density)](https://sonarcloud.io/dashboard?id=QLNet)
+[![Lines of Code](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=ncloc)](https://sonarcloud.io/dashboard?id=QLNet)
+[![Maintainability Rating](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=sqale_rating)](https://sonarcloud.io/dashboard?id=QLNet)
+[![Reliability Rating](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=reliability_rating)](https://sonarcloud.io/dashboard?id=QLNet)
+[![Security Rating](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=security_rating)](https://sonarcloud.io/dashboard?id=QLNet)
 [![Technical Debt](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=sqale_index)](https://sonarcloud.io/dashboard?id=QLNet-develop)
 
 ## Development workflow 

diff --git a/appveyor.yml b/appveyor.yml
@@ -6,7 +6,7 @@
   branches:
     only:
       - master
-  version: 1.11.4
+  version: 1.12.0
   configuration: Release
   platform: Any CPU
   image: Visual Studio 2019
@@ -16,42 +16,39 @@
     do_not_increment_build_number: true  
   nuget:
     disable_publish_on_pr: true
-  before_build:
-    - cmd: dotnet restore qlnet.sln
-  build:
-    project: QLNet.sln
-    verbosity: minimal
+  build_script:
+   - cmd:  dotnet build -c Release
   after_build:
     - cmd: dotnet pack src/qlnet/qlnet.csproj -c Release -o ./
   artifacts:
-    - path: src\QLNet\bin\Release\netstandard12\QLNet.dll
+    - path: src\QLNet\bin\Release\netstandard2.1\QLNet.dll
       name: Windows
     - path: .\*.nupkg
       name: ng
   deploy:
   - provider: GitHub
-    tag: QLNet-v1.11.4
-    release: QLNet Version 1.11.4
-    description: QLNet 1.11.4 
+    tag: QLNet-v1.12.0
+    release: QLNet Version 1.12.0
+    description: QLNet 1.12.0 
     auth_token:
       secure: rK95hgNgZt9ybzXBJ/1W0nbqsG/aENQ22eyY2qxn5xjbi7ZEjv+5BmNjY/l1cAYH
-    artifact: src\QLNet\bin\Release\netstandard12\QLNet.dll
+    artifact: src\QLNet\bin\Release\netstandard2.1\QLNet.dll
     draft: false
     force_update: false
   - provider: NuGet
     api_key:
-      secure: HcilScZbZnJrCk5hoEPz9MSzKQanBzsQCfulI9gFpcT7wurwxIy3hwSwPfjXmr/v
+      secure: PfSWPcbGqOhlEhGG74+J7tmJMa5RU/N19DEyjVP2GUXGQG4MWBeTmrKE/W4A70dh
     skip_symbols: true
     artifact: ng
 
 # Configuration for "develop" branch
-# build in Debug mode, run tests , deploy to Sonar
+# build in Release mode, run tests , deploy to Sonar
 -
   branches:
     only:
       - develop
-  version: 1.11.4-preview.{build}
-  configuration: Debug
+  version: 1.12.0-preview.{build}
+  configuration: Release
   platform: Any CPU
   image: Visual Studio 2019
   skip_tags: true
@@ -60,20 +57,16 @@
     do_not_increment_build_number: true
   nuget:
     disable_publish_on_pr: true
+  init:
+    - cmd: set JAVA_HOME=C:\Program Files\Java\jdk11
   before_build:
-  - cmd: "dotnet tool install --global dotnet-sonarscanner\ndotnet restore qlnet.sln"
-  - cmd: "dotnet clean qlnet.sln"
+  - cmd: "dotnet tool install --global dotnet-sonarscanner"
   - cmd: "SET runner_args=\"\""
-  - cmd: "if \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_commit%"
-  - cmd: "if not \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_pr%"
+  - cmd: "if \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_commit_new%"
+  - cmd: "if not \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_pr_new%"
   - cmd: "dotnet sonarscanner begin %runner_args%"
-  - cmd: "dotnet build qlnet.sln /p:Configuration=Debug /logger:\"C:\\Program Files\\AppVeyor\\BuildAgent\\dotnetcore\\Appveyor.MSBuildLogger.dll\" /target:src\\qlnet"
-  - cmd: "dotnet sonarscanner end /d:\"sonar.login=%sonar_token%\""
-  build:
-    project: QLNet.sln
-    verbosity: minimal
-  after_build:
-    - cmd: dotnet pack src/qlnet/qlnet.csproj -c Debug -o ./
+  build_script:
+   - cmd:  dotnet build -c Release
   artifacts:
     - path: .\*.nupkg
       name: ng
@@ -86,39 +79,37 @@
     file_version: '{version}'
     informational_version: '{version}'
   test_script:
-    - cmd: vstest.console /logger:Appveyor /TestCaseFilter:"TestCategory!=LongRun" "c:\projects\qlnet_develop\tests\QLNet.Tests\bin\Debug\net452\QLNet.Tests.dll"
+    - cmd: dotnet test -v=normal --no-build -p:Configuration=Release --collect "XPlat Code Coverage" -- DataCollectionRunSettings.DataCollectors.DataCollector.Configuration.Format=opencover
+  after_test:
+    - cmd: "dotnet sonarscanner end /d:\"sonar.login=%sonar_token_new%\""  
+    - cmd: dotnet pack src/qlnet/qlnet.csproj -c Release -o ./
   deploy:
     - provider: NuGet
       api_key:
-        secure: HcilScZbZnJrCk5hoEPz9MSzKQanBzsQCfulI9gFpcT7wurwxIy3hwSwPfjXmr/v
+        secure: PfSWPcbGqOhlEhGG74+J7tmJMa5RU/N19DEyjVP2GUXGQG4MWBeTmrKE/W4A70dh
       skip_symbols: false
       artifact: ng
 
 # Configuration for "feature/*" branch
-# build in Debug mode, run tests , deploy to Sonar
+# build in Release mode, run tests , deploy to Nuget
 -
   branches:
     only:
       - /feature/
-  version: 1.11.4-{build}
-  configuration: Debug
+  version: 1.12.0-{build}
+  configuration: Release
   platform: Any CPU
   image: Visual Studio 2019
   skip_tags: true
   clone_folder: c:\projects\qlnet_feature
   init:
+    - cmd: set JAVA_HOME=C:\Program Files\Java\jdk11
     - 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 "1.11.4-%newVersion%"
+    - cmd: appveyor UpdateBuild -Version "1.12.0-%newVersion%"
   before_build:
     - cmd: dotnet restore qlnet.sln
-  build:
-    project: QLNet.sln
-    verbosity: minimal
-  after_build:
-    - cmd: dotnet pack src/qlnet/qlnet.csproj -c Debug -o ./	
-  artifacts:
-    - path: .\*.nupkg
-      name: ng
+  build_script:
+   - cmd:  dotnet build -c Release
   dotnet_csproj:
     patch: true
     file: '**\*.csproj'
@@ -131,18 +122,6 @@
     do_not_increment_build_number: true
   nuget:
     disable_publish_on_pr: true
-  deploy:
-    - provider: NuGet
-      api_key:
-        secure: HcilScZbZnJrCk5hoEPz9MSzKQanBzsQCfulI9gFpcT7wurwxIy3hwSwPfjXmr/v
-      skip_symbols: true
-      artifact: ng
-  test: off 
-#  test_script:
-#  - cmd: vstest.console /logger:Appveyor /TestCaseFilter:"TestCategory!=LongRun" "c:\projects\qlnet_feature\tests\QLNet.Tests\bin\Release\net45\QLNet.Tests.dll"
+  test_script:
+    - cmd:  dotnet test -v=normal --no-build -p:Configuration=Release   
 
-# "fall back" configuration for all other branches
-# no "branches" section defined
-# do not deploy at all
--
-  configuration: Debug  
diff --git a/src/BermudanSwaption/.editorconfig → samples/BermudanSwaption/.editorconfig b/src/BermudanSwaption/.editorconfig → samples/BermudanSwaption/.editorconfig
diff --git a/src/BermudanSwaption/BermudanSwaption.cs → samples/BermudanSwaption/BermudanSwaption.cs b/src/BermudanSwaption/BermudanSwaption.cs → samples/BermudanSwaption/BermudanSwaption.cs