QLNet Version 1.9.1.0

QLNet 1.9

QLNet 1.9 stable version.

The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.

FRAMEWORK

• Multiframework deployment on NUGET ( 4.0, 4.5 and Core 1.1 )
• Refactoring & Update BlackScholesProcess, LocalVolCurve, bsmlattice
• Optimized npvbps calculation
• List and InitializedList refactoring

CASHFLOWS

• Fixed CappedFlooredCoupon factory

INSTRUMENTS

• Added CompositeInstrument.
• Added DividendBarrierOption.
• Added ForwardVanillaOption.
• Added LookbackOption.
• Added CMS Helper.
• Added BarrierOption.
• Added Cliquet Option.
• Added DoubleBarrier Option.
• Added CPICapFloor.
• Added CPISwap.

DATE/TIME

• Added ECB dates for 2017.
• Fixed rule for the Japanese Mountain Day holiday.
• Fixed United States holidays before 1971.

INDEXES

• Added Ibor indexes : Aonia , Bbsw, Bkbm and Nzocr.

MATH

• Added Matrix inverse calculation with Crout's LU decomposition.
• Added VannaVolga Interpolation.

TERMSTRUCTURES

• Added Swaption volatility cube.
• Allow negative jumps in yield term structures.

PRICING ENGINES

• Added ForwardVanillaEngine engine.
• Added AnalyticContinuousFixedLookbackEngine engine.
• Added AnalyticContinuousFloatingLookbackEngine engine.
• Added AnalyticContinuousPartialFixedLookbackEngine engine.
• Added AnalyticContinuousPartialFloatingLookbackEngine engine.
• Added AnalyticBinaryBarrierEngine.
• Added AnalyticCliquetEngine.
• Added AnalyticPerformanceEngine.
• Added BlackDeltaCalculator and DeltaVolQuote.
• Added VannaVolga BarrierEngine.
• Added AnalyticDoubleBarrierEngine.
• Added VannaVolgaDoubleBarrierEngine.
• Added WulinYongDoubleBarrierEngine.
• Added InterpolatingCPICapFloorEngine.

TESTS

• Added theta pertubation in AmericanOption & DividendOption tests.
• Added tests for China SSE and IB calendars and a missing Chinese holiday
• Added Test : Chambers-Nawalkha implied vol approximation
• Added CapFloored coupon tests.
• Added Digital Coupon tests.

QLNet Version 1.9.0.1

QLNet 1.9

QLNet 1.9 stable version.

The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.

FRAMEWORK

• Refactoring & Update BlackScholesProcess, LocalVolCurve, bsmlattice
• Optimized npvbps calculation
• List and InitializedList refactoring

CASHFLOWS

• Fixed CappedFlooredCoupon factory

INSTRUMENTS

• Added CompositeInstrument.
• Added DividendBarrierOption.
• Added ForwardVanillaOption.
• Added LookbackOption.
• Added CMS Helper.
• Added BarrierOption.
• Added Cliquet Option.
• Added DoubleBarrier Option.
• Added CPICapFloor.
• Added CPISwap.

DATE/TIME

• Added ECB dates for 2017.
• Fixed rule for the Japanese Mountain Day holiday.
• Fixed United States holidays before 1971.

INDEXES

• Added Ibor indexes : Aonia , Bbsw, Bkbm and Nzocr.

MATH

• Added Matrix inverse calculation with Crout's LU decomposition.
• Added VannaVolga Interpolation.

TERMSTRUCTURES

• Added Swaption volatility cube.
• Allow negative jumps in yield term structures.

PRICING ENGINES

• Added ForwardVanillaEngine engine.
• Added AnalyticContinuousFixedLookbackEngine engine.
• Added AnalyticContinuousFloatingLookbackEngine engine.
• Added AnalyticContinuousPartialFixedLookbackEngine engine.
• Added AnalyticContinuousPartialFloatingLookbackEngine engine.
• Added AnalyticBinaryBarrierEngine.
• Added AnalyticCliquetEngine.
• Added AnalyticPerformanceEngine.
• Added BlackDeltaCalculator and DeltaVolQuote.
• Added VannaVolga BarrierEngine.
• Added AnalyticDoubleBarrierEngine.
• Added VannaVolgaDoubleBarrierEngine.
• Added WulinYongDoubleBarrierEngine.
• Added InterpolatingCPICapFloorEngine.

TESTS

• Added theta pertubation in AmericanOption & DividendOption tests.
• Added tests for China SSE and IB calendars and a missing Chinese holiday
• Added Test : Chambers-Nawalkha implied vol approximation
• Added CapFloored coupon tests.
• Added Digital Coupon tests.

QLNet Version 1.8.0.0

QLNet 1.8

QLNet 1.8 stable version.

The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.

FRAMEWORK

• Refactored code to be compatible with .NET Core , created VS 2015 solution QLNet_Core.sln
  that build the .NET Core version.
• Refactored test project to work with Microsoft UnitTesting and Xunit.

INTEREST RATES

• Fixed links to documentation for LIBOR indexes.

INSTRUMENTS

• Added basic CVA IRS pricing engine.

CURRENCIES

• Added Ukrainian hryvnia.

DATE/TIME

• Added new Ukrainian holiday, Defender's Day.

MATH

• Added mixed log interpolation.
• Added FlatExtrapolator2D
• Added BackwardflatLinear Interpolation.
• Added AbcdInterpolation.
• Implemented Lagrange boundary condition for cubic interpolation

PRICING ENGINES

• Added CounterpartyAdjSwapEngine engine with example program.

QLNet Version 1.7.0.1

QLNet 1.7

QLNet 1.7 stable version.

The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.

TERM STRUCTURES

• Added FittedBondDiscountCurve with example project.

INTEREST RATES

• Added rate helper to bootstrap on cross-currency swaps .
  The curve to be bootstrapped can be the one for either of the two currencies.
• Added the possibility for bootstrap helpers to define their pillar
  date in different ways . For each helper, the date of the corresponding
  node can be defined as the maturity date of the corresponding instrument,
  as the latest date used on the term structure to price the instrument,
  or as a custom date. Currently, the feature is enabled for FRAs and swaps.
• Added the possibility to pass weight when fitting a bond discount
  curve. Also, it is now possible to fit a spread over an existing
  term structure.

INFLATION

• Added Kerkhof seasonality model.
• Retrieve inflation fixings from the first day of the month .
  This avoids the need to store them for each day of the corresponding month.

VOLATILITY

• Improve consistency between caplet stripping and pricing.

MODELS

• Added Heston model.

SETTINGS

• Make SavedSettings disposable and update tests accordingly.
  Now the full test suite can be launched from Visual Studio IDE
  without errors ( false negative ) .

DATE/TIME

• Added Romanian and Israelian calendars.
• Added ECB reserve maintenance periods for 2016.
• Updated South Korean calendar until the end of 2032.
• Added new Mountain Day holiday for Japan.
• Remove MLK day from list of US holidays before 1983.
• Added Christmas Eve to BOVESPA holidays.
• Added intraday component to dates. Date specifications now include hours,
  minutes, seconds and milliseconds. Day counters are aware of the added data
  and include them in results.

MATH

• Added polynomial and abcd functions.
• Added Pascal triangle coefficients.
• Added Goldstein line-search method.

PATTERNS

• Use WeakEventSource in Observer/Observable pattern to avoid memory leaks.

QLNet Version 1.6.0.0

QLNet 1.6

QLNet 1.6 stable version.

The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.

DATE/TIME

• Added Moscow Exchange calendar .
• Added 70th anniversary of anti-Japanese day to Chinese calendar.
• Fixed Chinese New Year date for 2010.
• Added nearest-trading-day business day convention.
• Prevented normalization of a 7-days period to a 1-week period, since
  this doesn't apply to business days.
• Allowed schedules built with a vector of dates to be used for coupon
  generation, given that the required information was provided.
• Added support for Australian Security Exchange (ASX) dates.
• Added ECB dates for April and June 2016.

INSTRUMENTS

• Fix capfloor bug on ctor.
• Extended digital American options to handle knock-off case.
• Added Bachelier engine for caps/floors based on normal volatility.
• Allowed non strike/type payoffs in finite-differences engine for
  vanilla options.
• Fixed settlement days of BTP bonds.
• Added IPrepayModel interface, ConstantCPR class, and updated MBSFixedRateBond to use the interface rather than the PSACurve class.

PRICING ENGINE

• Black Formula rewritten
• Added StulzEngine and KirkEngine

INDEXES

• Fixed day-count convention for Fed Funds rate.

TERM STRUCTURES

• Fixed bug where a valid previous curve state could be a bad guess
  for the next and lead to a bootstrap failure.

VOLATILITY

• BlackVarianceSurface implementation

MATH

• Fix close and close_enough comparison.
• Better comparison between double numbers.
• Allowed user-defined Jacobian in optimization.

MISCELLANEA

• Added IDR, MYR, RUB and VND currencies.

CODE REFACTORING

• Fix Handle ctor to avoid empty constructors.
• Removed Count() with property access , removed ThreadStatic initialize
• Replace ?: operator with ?? operator.
• Removed all redundant using directive.

QLNet Version 1.5.0.1

AppVeyor Automatic Release

QLNet Version 1.4.0.30

AppVeyor Automatic Release

QLNet Version 1.4.0.28

AppVeyor Automatic Release

QLNet Version 1.4.0.27

AppVeyor Automatic Release

QLNet Version 1.4.0.25

AppVeyor Automatic Release