Update to QLNet-1.9.1.0

amaggiulli · Jan 25, 2017 · fc15b5b · fc15b5b
2 parents 0a5428c + 8a235c7
commit fc15b5b
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diff --git a/QLNet.sln b/QLNet.sln
@@ -1,26 +1,38 @@
-
-Microsoft Visual Studio Solution File, Format Version 11.00
-# Visual Studio 2010
-Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "QLNet", "QLNet\QLNet.csproj", "{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}"
-EndProject
-Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Test", "Test\Test.csproj", "{2EF8B45B-940A-4B77-8776-E8CE0036961E}"
-EndProject
-Global
-	GlobalSection(SolutionConfigurationPlatforms) = preSolution
-		Debug|Any CPU = Debug|Any CPU
-		Release|Any CPU = Release|Any CPU
-	EndGlobalSection
-	GlobalSection(ProjectConfigurationPlatforms) = postSolution
-		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
-		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Debug|Any CPU.Build.0 = Debug|Any CPU
-		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Release|Any CPU.ActiveCfg = Release|Any CPU
-		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Release|Any CPU.Build.0 = Release|Any CPU
-		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
-		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Debug|Any CPU.Build.0 = Debug|Any CPU
-		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Release|Any CPU.ActiveCfg = Release|Any CPU
-		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Release|Any CPU.Build.0 = Release|Any CPU
-	EndGlobalSection
-	GlobalSection(SolutionProperties) = preSolution
-		HideSolutionNode = FALSE
-	EndGlobalSection
-EndGlobal
+
+Microsoft Visual Studio Solution File, Format Version 12.00
+# Visual Studio 14
+VisualStudioVersion = 14.0.25420.1
+MinimumVisualStudioVersion = 10.0.40219.1
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "QLNet", "QLNet\QLNet.csproj", "{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}"
+EndProject
+Project("{FAE04EC0-301F-11D3-BF4B-00C04F79EFBC}") = "Test", "Test\Test.csproj", "{2EF8B45B-940A-4B77-8776-E8CE0036961E}"
+EndProject
+Global
+	GlobalSection(SolutionConfigurationPlatforms) = preSolution
+		Debug|Any CPU = Debug|Any CPU
+		Debug-net45|Any CPU = Debug-net45|Any CPU
+		Release|Any CPU = Release|Any CPU
+		Release-net45|Any CPU = Release-net45|Any CPU
+	EndGlobalSection
+	GlobalSection(ProjectConfigurationPlatforms) = postSolution
+		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Debug-net45|Any CPU.ActiveCfg = Debug-net45|Any CPU
+		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Debug-net45|Any CPU.Build.0 = Debug-net45|Any CPU
+		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Release|Any CPU.Build.0 = Release|Any CPU
+		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Release-net45|Any CPU.ActiveCfg = Release-net45|Any CPU
+		{F6E762BD-DCDF-4CA0-ABAD-CB21C7D03BEC}.Release-net45|Any CPU.Build.0 = Release-net45|Any CPU
+		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
+		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Debug|Any CPU.Build.0 = Debug|Any CPU
+		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Debug-net45|Any CPU.ActiveCfg = Debug-net45|Any CPU
+		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Debug-net45|Any CPU.Build.0 = Debug-net45|Any CPU
+		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Release|Any CPU.ActiveCfg = Release|Any CPU
+		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Release|Any CPU.Build.0 = Release|Any CPU
+		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Release-net45|Any CPU.ActiveCfg = Release-net45|Any CPU
+		{2EF8B45B-940A-4B77-8776-E8CE0036961E}.Release-net45|Any CPU.Build.0 = Release-net45|Any CPU
+	EndGlobalSection
+	GlobalSection(SolutionProperties) = preSolution
+		HideSolutionNode = FALSE
+	EndGlobalSection
+EndGlobal
diff --git a/QLNet/Properties/AssemblyInfo.cs b/QLNet/Properties/AssemblyInfo.cs
@@ -30,5 +30,5 @@
 //
 // È possibile specificare tutti i valori o impostare come predefiniti i valori Numero revisione e Numero build 
 // utilizzando l'asterisco (*) come descritto di seguito:
-[assembly: AssemblyVersion( "1.9.0.0" )]
-[assembly: AssemblyFileVersion( "1.9.0.0" )]
+[assembly: AssemblyVersion( "1.9.1.0" )]
+[assembly: AssemblyFileVersion( "1.9.1.0" )]
diff --git a/QLNet/QLNet.csproj b/QLNet/QLNet.csproj
@@ -37,7 +37,7 @@
     <DebugSymbols>true</DebugSymbols>
     <DebugType>full</DebugType>
     <Optimize>false</Optimize>
-    <OutputPath>bin\Debug\</OutputPath>
+    <OutputPath>bin\Debug\net40\</OutputPath>
     <DefineConstants>TRACE;DEBUG;QL_NEGATIVE_RATES,QL_DOTNET_FRAMEWORK</DefineConstants>
     <ErrorReport>prompt</ErrorReport>
     <WarningLevel>4</WarningLevel>
@@ -48,13 +48,33 @@
   <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
     <DebugType>pdbonly</DebugType>
     <Optimize>true</Optimize>
-    <OutputPath>bin\Release\</OutputPath>
+    <OutputPath>bin\Release\net40\</OutputPath>
     <DefineConstants>TRACE;QL_NEGATIVE_RATES,QL_DOTNET_FRAMEWORK</DefineConstants>
     <ErrorReport>prompt</ErrorReport>
     <WarningLevel>4</WarningLevel>
     <CodeAnalysisRuleSet>AllRules.ruleset</CodeAnalysisRuleSet>
     <Prefer32Bit>false</Prefer32Bit>
   </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)' == 'Debug-net45|AnyCPU'">
+    <DebugSymbols>true</DebugSymbols>
+    <OutputPath>bin\Debug\net45\</OutputPath>
+    <DefineConstants>TRACE;DEBUG;QL_NEGATIVE_RATES,QL_DOTNET_FRAMEWORK</DefineConstants>
+    <DebugType>full</DebugType>
+    <TargetFrameworkVersion>v4.5</TargetFrameworkVersion>
+    <PlatformTarget>AnyCPU</PlatformTarget>
+    <ErrorReport>prompt</ErrorReport>
+    <CodeAnalysisRuleSet>AllRules.ruleset</CodeAnalysisRuleSet>
+  </PropertyGroup>
+  <PropertyGroup Condition="'$(Configuration)|$(Platform)' == 'Release-net45|AnyCPU'">
+    <OutputPath>bin\Release\net45\</OutputPath>
+    <DefineConstants>TRACE;QL_NEGATIVE_RATES,QL_DOTNET_FRAMEWORK</DefineConstants>
+    <Optimize>true</Optimize>
+    <DebugType>pdbonly</DebugType>
+    <TargetFrameworkVersion>v4.5</TargetFrameworkVersion>
+    <PlatformTarget>AnyCPU</PlatformTarget>
+    <ErrorReport>prompt</ErrorReport>
+    <CodeAnalysisRuleSet>AllRules.ruleset</CodeAnalysisRuleSet>
+  </PropertyGroup>
   <ItemGroup>
     <Reference Include="System" />
     <Reference Include="System.Core">
@@ -699,5 +719,5 @@
   </Target>
   <Target Name="AfterBuild">
   </Target>
-  -->
+-->
 </Project>
diff --git a/QLNet/QLNet.nuspec b/QLNet/QLNet.nuspec
@@ -2,16 +2,21 @@
 <package >
   <metadata>
     <id>QLNet</id>
-    <version>$version$</version>
+    <version>1.9.1.0</version>
     <title>QLNet</title>
     <authors>Andrea Maggiulli</authors>
     <owners>Andrea Maggiulli</owners>
     <licenseUrl>http://qlnet.sourceforge.net/License.html</licenseUrl>
     <projectUrl>http://github.com/amaggiulli/qlnet</projectUrl>
     <requireLicenseAcceptance>false</requireLicenseAcceptance>
     <description>A free/open-source library for quantitative finance</description>
-    <releaseNotes>Version $version$</releaseNotes>
-    <copyright>Copyright (c) 2008-2014 Andrea Maggiulli (a.maggiulli@gmail.com)</copyright>
+    <releaseNotes>Version 1.9.1.0</releaseNotes>
+    <copyright>Copyright (c) 2008-2017 Andrea Maggiulli (a.maggiulli@gmail.com)</copyright>
     <tags>QLNet QuantLib quantitative finance financial</tags>
   </metadata>
+    <files>
+      <file src="bin\Release\net40\QLNet.dll" target="lib\net40\QLNet.dll" />
+	   <file src="bin\Release\net45\QLNet.dll" target="lib\net45\QLNet.dll" />
+	   <file src="bin\Release\netstandard1.1\QLNet.dll" target="lib\netstandard1.1\QLNet.dll" />	
+    </files>
 </package>
diff --git a/QLNet/project.json b/QLNet/project.json
@@ -1,5 +1,5 @@
 {
-  "version": "1.8.0-*",
+  "version": "1.9.1-*",
 
   "dependencies": {
     "NETStandard.Library": "1.6.0"

diff --git a/Test/Properties/AssemblyInfo.cs b/Test/Properties/AssemblyInfo.cs
@@ -35,5 +35,5 @@
 //
 // È possibile specificare tutti i valori oppure impostare i valori predefiniti per i numeri relativi alla build e alla revisione 
 // utilizzando l'asterisco (*) come descritto di seguito:
-[assembly: AssemblyVersion( "1.9.0.0" )]
+[assembly: AssemblyVersion( "1.9.1.0" )]
 [assembly: AssemblyFileVersion( "1.9.0.0" )]
diff --git a/Test/T_BarrierOption.cs b/Test/T_BarrierOption.cs
@@ -764,7 +764,7 @@ public void testLocalVolAndHestonComparison()
 
          if (Math.Abs(expectedHestonNPV - calculatedHestonNPV) > tol*expectedHestonNPV) 
          {
-            Assert.Fail("Failed to reproduce Heston barrier price for "
+            QAssert.Fail("Failed to reproduce Heston barrier price for "
                         + "\n    strike:     " + payoff.strike()
                         + "\n    barrier:    " + barrier
                         + "\n    maturity:   " + exDate
@@ -773,7 +773,7 @@ public void testLocalVolAndHestonComparison()
          }
          if (Math.Abs(expectedLocalVolNPV - calculatedLocalVolNPV) > tol*expectedLocalVolNPV) 
          {
-            Assert.Fail("Failed to reproduce Heston barrier price for "
+            QAssert.Fail("Failed to reproduce Heston barrier price for "
                         + "\n    strike:     " + payoff.strike()
                         + "\n    barrier:    " + barrier
                         + "\n    maturity:   " + exDate

diff --git a/Test/T_BlackDeltaCalculator.cs b/Test/T_BlackDeltaCalculator.cs
@@ -149,7 +149,7 @@ public void testDeltaValues()
 
             if (error>tolerance) 
             {
-               Assert.Fail("\n Delta-from-strike calculation failed for delta. \n"
+               QAssert.Fail("\n Delta-from-strike calculation failed for delta. \n"
                            + "Iteration: "+ i + "\n"
                            + "Calculated Strike:" + calculated + "\n"
                            + "Expected   Strike:" + expected + "\n"
@@ -167,7 +167,7 @@ public void testDeltaValues()
 
             if (error>tolerance) 
             {
-               Assert.Fail("\n Strike-from-delta calculation failed for delta. \n"
+               QAssert.Fail("\n Strike-from-delta calculation failed for delta. \n"
                            + "Iteration: "+ i + "\n"
                            + "Calculated Strike:" + calculated + "\n"
                            + "Expected   Strike:" + expected + "\n"
@@ -292,7 +292,7 @@ public void testDeltaPriceConsistency()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Premium-adjusted spot delta test failed. \n" 
+               QAssert.Fail("\n Premium-adjusted spot delta test failed. \n" 
                            + "Calculated Delta: " + calculatedVal + "\n"
                            + "Expected Value:   " + expectedVal + "\n"
                            + "Error: "+ error);
@@ -306,7 +306,7 @@ public void testDeltaPriceConsistency()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Premium-adjusted forward delta test failed. \n"
+               QAssert.Fail("\n Premium-adjusted forward delta test failed. \n"
                            + "Calculated Delta: " + calculatedVal + "\n"
                            + "Expected Value:   " + expectedVal + "\n"
                            + "Error: "+ error);
@@ -322,7 +322,7 @@ public void testDeltaPriceConsistency()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n spot delta in BlackDeltaCalculator differs from delta in BlackScholesCalculator. \n"
+               QAssert.Fail("\n spot delta in BlackDeltaCalculator differs from delta in BlackScholesCalculator. \n"
                            + "Calculated Value: " + calculatedVal + "\n"
                            + "Expected Value:   " + expectedVal + "\n"
                            + "Error: " + error);
@@ -461,7 +461,7 @@ public void testPutCallParity()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Put-call parity failed for spot delta. \n"
+               QAssert.Fail("\n Put-call parity failed for spot delta. \n"
                            + "Calculated Call Delta: " + deltaCall + "\n"
                            + "Calculated Put Delta:  " + deltaPut + "\n"
                            + "Expected Difference:   " + expectedDiff + "\n"
@@ -480,7 +480,7 @@ public void testPutCallParity()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Put-call parity failed for forward delta. \n"
+               QAssert.Fail("\n Put-call parity failed for forward delta. \n"
                            + "Calculated Call Delta: " + deltaCall + "\n"
                            + "Calculated Put Delta:  " + deltaPut + "\n"
                            + "Expected Difference:   " + expectedDiff + "\n"
@@ -500,7 +500,7 @@ public void testPutCallParity()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Put-call parity failed for premium-adjusted spot delta. \n"
+               QAssert.Fail("\n Put-call parity failed for premium-adjusted spot delta. \n"
                            + "Calculated Call Delta: " + deltaCall + "\n"
                            + "Calculated Put Delta:  " + deltaPut + "\n"
                            + "Expected Difference:   " + expectedDiff + "\n"
@@ -520,7 +520,7 @@ public void testPutCallParity()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Put-call parity failed for premium-adjusted forward delta. \n"
+               QAssert.Fail("\n Put-call parity failed for premium-adjusted forward delta. \n"
                            + "Calculated Call Delta: " + deltaCall + "\n"
                            + "Calculated Put Delta:  " + deltaPut + "\n"
                            + "Expected Difference:   " + expectedDiff + "\n"
@@ -599,7 +599,7 @@ public void testAtmCalcs()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Delta neutrality failed for spot delta in Delta Calculator. \n"
+               QAssert.Fail("\n Delta neutrality failed for spot delta in Delta Calculator. \n"
                            + "Iteration: "+ i + "\n"
                            + "Calculated Delta Sum: " + calculated + "\n"
                            + "Expected Delta Sum:   " + expected + "\n"
@@ -619,7 +619,7 @@ public void testAtmCalcs()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Delta neutrality failed for forward delta in Delta Calculator. \n"
+               QAssert.Fail("\n Delta neutrality failed for forward delta in Delta Calculator. \n"
                            + "Iteration: " + i + "\n"
                            + "Calculated Delta Sum: " + calculated + "\n"
                            + "Expected Delta Sum:   " + expected + "\n"
@@ -639,7 +639,7 @@ public void testAtmCalcs()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Delta neutrality failed for premium-adjusted spot delta in Delta Calculator. \n"
+               QAssert.Fail("\n Delta neutrality failed for premium-adjusted spot delta in Delta Calculator. \n"
                            + "Iteration: " + i + "\n"
                            + "Calculated Delta Sum: " + calculated + "\n"
                            + "Expected Delta Sum:   " + expected + "\n"
@@ -660,7 +660,7 @@ public void testAtmCalcs()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Delta neutrality failed for premium-adjusted forward delta in Delta Calculator. \n"
+               QAssert.Fail("\n Delta neutrality failed for premium-adjusted forward delta in Delta Calculator. \n"
                            + "Iteration: " + i + "\n"
                            + "Calculated Delta Sum: " + calculated + "\n"
                            + "Expected Delta Sum:   " + expected + "\n"
@@ -674,7 +674,7 @@ public void testAtmCalcs()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Atm forward test failed. \n"
+               QAssert.Fail("\n Atm forward test failed. \n"
                            + "Calculated Value: " + calculated + "\n"
                            + "Expected   Value: " + expected + "\n"
                            + "Error: " + error);
@@ -689,7 +689,7 @@ public void testAtmCalcs()
 
             if(error>tolerance)
             {
-               Assert.Fail("\n Atm 0.50 delta strike test failed. \n"
+               QAssert.Fail("\n Atm 0.50 delta strike test failed. \n"
                            + "Iteration:" + i + "\n"
                            + "Calculated Value: " + calculated + "\n"
                            + "Expected   Value: " + expected + "\n"

diff --git a/Test/T_BlackFormula.cs b/Test/T_BlackFormula.cs
@@ -112,7 +112,7 @@ public void testChambersImpliedVol()
                               if(moneyness > 1.0) moneyness = 1.0 / moneyness;
                               double error = (iStdDev - stdDevs[i5]) / stdDevs[i5] * moneyness;
                               if(error > tol)
-                                 Assert.Fail("Failed to verify Chambers-Nawalkha approximation for "
+                                 QAssert.Fail("Failed to verify Chambers-Nawalkha approximation for "
                                        + types[i1]
                                        + " displacement=" + displacements[i2]
                                        + " forward=" + forwards[i3]

diff --git a/Test/T_CPISwap.cs b/Test/T_CPISwap.cs
@@ -337,14 +337,14 @@ public void consistency()
             if (zicV != null)
             {
                diff = Math.Abs( zicV.rate() - (fixedRate*(zicV.indexFixing()/baseCPI)) );
-               Assert.IsTrue(diff<1e-8, "failed "+i+"th coupon reconstruction as "
+               QAssert.IsTrue(diff<1e-8, "failed "+i+"th coupon reconstruction as "
                            + (fixedRate*(zicV.indexFixing()/baseCPI)) + " vs rate = "
                            +zicV.rate() + ", with difference: " + diff);
             }
          }
 
          double error = Math.Abs(testInfLegNPV - zisV.legNPV(0).Value);
-         Assert.IsTrue( error < 1e-5, "failed manual inf leg NPV calc vs pricing engine: " + testInfLegNPV + " vs " + 
+         QAssert.IsTrue( error < 1e-5, "failed manual inf leg NPV calc vs pricing engine: " + testInfLegNPV + " vs " + 
             zisV.legNPV(0));
 
          diff = Math.Abs(1-zisV.NPV()/4191660.0);
@@ -353,7 +353,7 @@ public void consistency()
          #else
          double max_diff = 3e-5;
          #endif
-         Assert.IsTrue( diff < max_diff, "failed stored consistency value test, ratio = " + diff );
+         QAssert.IsTrue( diff < max_diff, "failed stored consistency value test, ratio = " + diff );
 
          // remove circular refernce
          common.hcpi.linkTo(null);
@@ -385,7 +385,7 @@ public void zciisconsistency()
          DiscountingSwapEngine dse = new DiscountingSwapEngine(common.nominalUK);
 
          zciis.setPricingEngine(dse);
-         Assert.IsTrue(Math.Abs(zciis.NPV())<1e-3,"zciis does not reprice to zero");
+         QAssert.IsTrue(Math.Abs(zciis.NPV())<1e-3,"zciis does not reprice to zero");
 
          List<Date> oneDate = new List<Date>();
          oneDate.Add(endDate);
@@ -408,13 +408,13 @@ public void zciisconsistency()
                   common.ii, InterpolationType.AsIndex, inflationNominal);
 
          cS.setPricingEngine(dse);
-         Assert.IsTrue(Math.Abs(cS.NPV())<1e-3,"CPISwap as ZCIIS does not reprice to zero");
+         QAssert.IsTrue(Math.Abs(cS.NPV())<1e-3,"CPISwap as ZCIIS does not reprice to zero");
 
          for (int i=0; i<2; i++)
          {
             double cs = cS.legNPV(i).GetValueOrDefault();
             double z = zciis.legNPV(i).GetValueOrDefault();
-            Assert.IsTrue(Math.Abs(cs - z)<1e-3, "zciis leg does not equal CPISwap leg");
+            QAssert.IsTrue(Math.Abs(cs - z)<1e-3, "zciis leg does not equal CPISwap leg");
          }
          // remove circular refernce
          common.hcpi.linkTo(null);
@@ -508,7 +508,7 @@ public void cpibondconsistency()
          DiscountingBondEngine dbe = new DiscountingBondEngine(common.nominalUK);
          cpiB.setPricingEngine(dbe);
 
-         Assert.IsTrue(Math.Abs(cpiB.NPV() - zisV.legNPV(0).GetValueOrDefault())<1e-5,
+         QAssert.IsTrue(Math.Abs(cpiB.NPV() - zisV.legNPV(0).GetValueOrDefault())<1e-5,
             "cpi bond does not equal equivalent cpi swap leg");
          // remove circular refernce
          common.hcpi.linkTo(null);