QLNet Version 1.13.0

QLNet 1.13.0

QLNet 1.13.0
Mayor changes https://github.com/amaggiulli/QLNet/milestone/4?closed=1.
A detailed list of changes is available in ChangeLog.txt.

FRAMEWORK

• Updated to .NET 7.0 / netstandard 2.0
• Removed AStyle formatting for more standard ediconfig setting

PRICING ENGINES

• Fixed MCDiscreteAveragingAsianEngine timeGrid and ArithmeticAPOPathPricer path value retrieval thanks @mookid8000

CASHFLOWS

• Added new CashFlows method to return both accrued days and accrued amount.

INDEXES

• Added SOFR Index

CALENDARS

• Support New Zealand's new publish holiday: Matariki holiday, thanks @ninetiger

MISC

• Added batch calculations

TIME

• Refactoring DayCounters
• Added Actual/366 daycounter.
• Added Actual364, Actual36525 and Thirty365 daycounters.
• Refactoring Calendars
• Added Cyprus and Greece calendars, thanks @pamboscy
• Fixed Schedule until method.
• Updated several caledars up to 2023

QLNet Version 1.12.0

QLNet 1.12.0

QLNet 1.12.0
A detailed list of changes is available in ChangeLog.txt.

FRAMEWORK

• 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

MATH

• Fixed LineSearchBasedMethod.minimize, thx @hhaldn for spotting it.

CALENDARS

• Fixed Denmark holidays, thx @hhaldn
• Added Austrian, French and Chilean calendars
• Updated all existing calendars up to 2021

TIME

• Added utility Date.ToDateTime() method
• Fixed ActualActualISMA daycounter calculation for long/short final periods, thanks @kristofferpagels.

TERMSTRUCTURES

• Fixed helpers sort for Piecewise Curves

QLNet Version 1.11.4

QLNet 1.11.4

QLNet 1.11.4
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

INSTRUMENTS

• Fixed Weighted Average Life calculation for past dates

TERMSTRUCTURES

• Added Quanto Term Structure

METHODS

• Added Cranck-Nicholson, Method of Lines & TrBDF2 schemes

ENGINES

• Fixed Broadie-Kaya exact scheme [Heston process]
• Added Monte Carlo Barrier Engine
• Fixed AdaptiveRungeKutta
• Added Cumulative & Inverse Cumulative Chi² Distrib

FRAMEWORK

• Added more QLNet Exceptions
• Bug fixing and refactoring.

QLNet Version 1.11.3

QLNet 1.11.3

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

• Added Binomial Tsiveriotis-Fernandes engine for convertible bonds

FRAMEWORK

• Making all projects dotnet standard. (Changes minimum framework to net 4.5.1)
• Added QLNet Exceptions
• Bug fixing and refactoring.

QLNet Version 1.11.2

QLNet 1.11.2

QLNet 1.11.2 is a bug-fix release for version 1.11
A detailed list of changes is available in ChangeLog.txt.

ENGINES

• Fixed a bug int FDMultiPeriodEngine.Thanks to Jakub Pstrusiński.

CASHFLOWS

• Fixed accrual calculation
• Fixed yield calculation when settlement date falls on 31st
• Added OAS calculation to callable bonds

QLNet Version 1.11.1.2

QLNet 1.11.1

QLNet 1.11.1 stable version includes 91 pull requests .
The most notable changes are included below.
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.

CASHFLOWS

• Updated BlackVanillaOptionPricer constructor, check volatility type and shift.
• Added Range Accrual tests and fixed 2 bugs on RangeAccrual and InterpolatedSmileSection
• Added accrual calculation for irregular periods

QLNet Version 1.11.0.0

QLNet 1.11.0

QLNet 1.11.0 stable version includes 91 pull requests .
The most notable changes are included below.
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.

CASHFLOWS

• Updated BlackVanillaOptionPricer constructor, check volatility type and shift.
• Added Range Accrual tests and fixed 2 bugs on RangeAccrual and InterpolatedSmileSection

QLNet Version 1.10.0.1

QLNet 1.10.0

QLNet 1.10.0 stable version.

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

ENGINES

• Added DiscountingLoanEngine
• Updated Swaption Engine
• Added IsdaCdsEngine, InterpolatedSurvivalProbabilityCurve and SurvivalProbabilityStructure with test
• Added AnalyticDoubleBarrierBinaryEngine and BinomialDoubleBarrierEngine
• Added HW swaption engine

FRAMEWORK

• Updated documentation to standard XML format
• Updated to net standard 2.0
• Several bug fixes

TERMSTRUCTURES

• Added Interpolated YoY Inflation Curve
• Added normal volatility interpolation to SABR

TIME

• Updated Schedule for CDS2015 with test.
• Updated Actual360 daycounter to include/exclude last day

INSTRUMENTS

• Add gearing interface for CMS and Floating legs
• Swaption instrument update
• Updated bonds constructors
• Added Finite differences method
• Updated CreditDefaultSwap + helper

MATH

• Add SVI Interpolation class
• Add shift to SABR & XABR

CASHFLOWS

• Added LastPeriodDayCounter to FixedRateCoupon

QLNet Version 1.9.2

QLNet 1.9.2

QLNet 1.9.2 stable version.

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

FRAMEWORK

• Fixed floating point numbers equality.
• Added FastActivator to avoid new() on generic classes
• Project updated to Visual Studio 2017 new .csproj model.
• General project refactoring
• Removed "System.Exception" thrown by user code.

TERMSTRUCTURES

• Added HestonBlackVolSurface

INDEXES

• Fixed inflation index reference period

INSTRUMENTS

• Added normal implied vol cap floor
• Added Bachelier volatility for CapFloor

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.