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QLNet Version 1.11.1.2
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@amaggiulli amaggiulli released this 13 Jun 13:13
QLNet-v1.11.1.2
487747f

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
Assets 3
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