nanoql 2.3.1

Added

• Two guides: the FAQ, on the platforms, the .NET versions, how nanoql relates to QuantLib, the
  licences and where to ask; and how nanoql is checked, from the references and the tolerance to the
  checks on each change and release. Getting started's first swap runs in Python too.

Fixed

• The Excel add-in under multi-threaded calculation, Excel's default: every generated worksheet function was
  registered thread-safe, so Excel's calculation threads showed handles too, through Excel's RTD function, which Excel
  can refuse there. On some machines it did: Excel-DNA's log window opened with "The RTD server … could not be
  registered" for each cell making a handle, and the cell's result rested on Excel recalculating it later on its main
  thread. A function whose result is a handle, or holds handles, now runs on Excel's main thread; every other function
  still runs on all of Excel's threads. A workbook building many costly objects at once, such as bootstrapped curves,
  calibrations or engines' results, now builds them one at a time; the values computed from them still use all of
  Excel's threads (#28).
• nqlxlVersion() named 2.0 in every 2.y add-in, and a repro export's vectors named their generator
  nanoql-excel 2.0.0: both read the add-in's assembly version, which stays 2.0.0.0 within 2.y. Both now give the
  release's version.

Known limits

• The Excel add-ins are unsigned. A firm whose Excel requires add-ins signed by a trusted publisher signs the .xll
  with its own certificate.
• The add-ins run on the .NET 10 Desktop Runtime, Excel-DNA's just-in-time path, not compiled to native code.
• The Function Wizard shows some functions' argument names cut short, since Excel takes a function's argument names
  as one text of 255 characters at most: nqlOISRateHelper, nqlOISRateHelper2, nqlOvernightIndexedCoupon and
  nqlSabrSwaptionVolatilityCube, and in the experimental add-in nqlConstNotionalCrossCurrencyBasisSwapRateHelper
  and nqlMtMCrossCurrencyBasisSwapRateHelper too. Each still takes every argument.
• The bindings, the C++ layer among them, cover Windows x64 and Arm64, Linux x64 and Arm64 (glibc 2.28 or later) and
  macOS on Apple silicon (14 or later); Intel Macs have none, though nanoql's .NET library runs there.
• A .NET app of your own published with Native AOT for osx-arm64 carries .NET 10's unwind fault
  (dotnet/runtime#135616) until .NET ships its fix;
  nanoql-bind fix-unwind corrects its object before the link (the bindings guide, "On macOS").
• macOS's C archive isn't notarized: a browser download opened in Finder carries the quarantine attribute into its
  folder, which xattr -dr com.apple.quarantine <folder> clears.
• On macOS, a caller of the C library through its own libffi (ctypes, cffi's ABI mode, JNA) misreads a by-value period
  that five functions take on the stack, until its libffi carries the fix of libffi issue #750; nanoql's Python package
  and callers compiled by clang are unaffected (the bindings guide, "C and C++").
• Python 3.11 or later; NumPy 1.26 or later, 2.3 or later on Windows Arm64.
• The Java layer is built and tested in the repository and not released.

The platforms in this release's run

• Windows x64: 8,729 of 8,729 tests pass, the reference platform.
• Windows Arm64: 8,667 of 8,729 tests pass; 62 fail, reported and not blocking: NanoQL.Tests.Conventions.BoostSignTests.TheSignOfANaNIsItsSignBit, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.AmericanBasketStrikeScalingTests.APositiveStrikeKeepsQuantLibsBits, NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheFixedVsFloatingSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheMtMSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CurveRecalculationTests.ACurveOnAChangedQuoteIsBootstrappedAfresh and 52 more.
• Linux x64: 8,656 of 8,729 tests pass; 73 fail, reported and not blocking: NanoQL.Tests.Conventions.HestonSlvMcQualityMaximumTests.TheCalibrationsLargestErrorIsWithinFifteenBasisPoints, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheFixedVsFloatingSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheMtMSwapsCompoundingLegsFairSpreadIsSolved and 63 more.
• Linux Arm64: 8,654 of 8,729 tests pass; 75 fail, reported and not blocking: NanoQL.Tests.Conventions.BoostSignTests.TheSignOfANaNIsItsSignBit, NanoQL.Tests.Conventions.HestonSlvMcQualityMaximumTests.TheCalibrationsLargestErrorIsWithinFifteenBasisPoints, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheFixedVsFloatingSwapsCompoundingLegsFairSpreadIsSolved and 65 more.
• macOS Arm64: 8,653 of 8,729 tests pass; 76 fail, reported and not blocking: NanoQL.Tests.Conventions.BoostSignTests.TheSignOfANaNIsItsSignBit, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.BetaRiskTests.AMultiEventPathMovesItsLaterDatesOnly, NanoQL.Tests.Divergences.CTSMMCapletAlphaFormCalibrationTests.ACalibrationWhoseReturnedPassFitsKeepsQuantLibsNumbers, NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved and 66 more.
• The linux-arm64 bindings: every check green.
• The linux-x64 bindings: every check green.
• The osx-arm64 bindings: every check green.
• The win-arm64 bindings: every check green.
• The win-x64 bindings: every check green.

nanoql 2.3

Added

• The bindings on three more platforms: Python's wheels and the C archive, its C++ header and CMake package among
  it, for Windows Arm64, Linux Arm64 (glibc 2.28 or later) and macOS on Apple silicon (14 or later), each built and
  checked in every release run as Windows x64 and Linux x64 are, its replays of the vector suite bit for bit with .NET
  on the same machine (#19).

Changed

• Complex exponentials, powers, sines and cosines take the angle's sine and cosine apart, in nanoql's own
  functions in place of System.Numerics.Complex's, which take both from Math.SinCos: under .NET's JIT the
  platform's combined routine, an ulp off for some angles on macOS and on Linux x64 with glibc older than 2.36. There
  a result resting on them can move in its last bits, and now matches the native library's bit for bit: the Heston
  family's semi-analytic engines (Bates's and the COS engine among them), the Heston process's density and its
  Broadie–Kaya schemes, the variance-gamma FFT engines, and the complex Expm1, exponential integrals and Bessel
  functions. On Windows and on Linux Arm64 nothing moves.

Fixed

• nanoql-bind build on macOS: a native library it built for osx-arm64 could read a caller's floating-point
  values wrong, with no refusal, after an exception thrown and caught inside a call, an internal fallback's: .NET 10's
  Native AOT writes the unwind information of a function that saves d8 to d15 in the wrong bits
  (dotnet/runtime#135616). The tool now corrects it before the
  link; rebuild such a library with this release's tool.

Known limits

• The Excel add-ins are unsigned. A firm whose Excel requires add-ins signed by a trusted publisher signs the .xll
  with its own certificate.
• The add-ins run on the .NET 10 Desktop Runtime, Excel-DNA's just-in-time path, not compiled to native code.
• The bindings, the C++ layer among them, cover Windows x64 and Arm64, Linux x64 and Arm64 (glibc 2.28 or later) and
  macOS on Apple silicon (14 or later); Intel Macs have none, though nanoql's .NET library runs there.
• A .NET app of your own published with Native AOT for osx-arm64 carries the same unwind fault until .NET ships its
  fix; nanoql-bind fix-unwind corrects its object before the link (the bindings guide, "On macOS").
• macOS's C archive isn't notarized: a browser download opened in Finder carries the quarantine attribute into its
  folder, which xattr -dr com.apple.quarantine <folder> clears.
• On macOS, a caller of the C library through its own libffi (ctypes, cffi's ABI mode, JNA) misreads a by-value period
  that five functions take on the stack, until its libffi carries the fix of libffi issue #750; nanoql's Python package
  and callers compiled by clang are unaffected (the bindings guide, "C and C++").
• Python 3.11 or later; NumPy 1.26 or later, 2.3 or later on Windows Arm64.
• The Java layer is built and tested in the repository and not released.

The platforms in this release's run

• Windows x64: 8,729 of 8,729 tests pass, the reference platform.
• Windows Arm64: 8,667 of 8,729 tests pass; 62 fail, reported and not blocking: NanoQL.Tests.Conventions.BoostSignTests.TheSignOfANaNIsItsSignBit, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.AmericanBasketStrikeScalingTests.APositiveStrikeKeepsQuantLibsBits, NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheFixedVsFloatingSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheMtMSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CurveRecalculationTests.ACurveOnAChangedQuoteIsBootstrappedAfresh and 52 more.
• Linux x64: 8,656 of 8,729 tests pass; 73 fail, reported and not blocking: NanoQL.Tests.Conventions.HestonSlvMcQualityMaximumTests.TheCalibrationsLargestErrorIsWithinFifteenBasisPoints, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheFixedVsFloatingSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheMtMSwapsCompoundingLegsFairSpreadIsSolved and 63 more.
• Linux Arm64: 8,654 of 8,729 tests pass; 75 fail, reported and not blocking: NanoQL.Tests.Conventions.BoostSignTests.TheSignOfANaNIsItsSignBit, NanoQL.Tests.Conventions.HestonSlvMcQualityMaximumTests.TheCalibrationsLargestErrorIsWithinFifteenBasisPoints, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheFixedVsFloatingSwapsCompoundingLegsFairSpreadIsSolved and 65 more.
• macOS Arm64: 8,653 of 8,729 tests pass; 76 fail, reported and not blocking: NanoQL.Tests.Conventions.BoostSignTests.TheSignOfANaNIsItsSignBit, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.BetaRiskTests.AMultiEventPathMovesItsLaterDatesOnly, NanoQL.Tests.Divergences.CTSMMCapletAlphaFormCalibrationTests.ACalibrationWhoseReturnedPassFitsKeepsQuantLibsNumbers, NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved and 66 more.
• The linux-arm64 bindings: every check green.
• The linux-x64 bindings: every check green.
• The osx-arm64 bindings: every check green.
• The win-arm64 bindings: every check green.
• The win-x64 bindings: every check green.

nanoql 2.2

Added

• Experimental: a tranche's expected loss from the saddle-point model's own tail.
  SaddlePointTailLossModel<TCopula, TInitTraits> integrates the model's saddle-point tail over the tranche, where
  SaddlePointLossModel reads a large-pool loss. On a 100-name pool (hazard 1%, recovery 40%), where that reading puts
  the whole loss in the first tranche at correlation 0, it is within 2% of the recursive model on the same latent model
  on the 3% to 22% tranches at correlations from 0.3, at one and five years. At high correlation it refuses a tranche
  whose tail it can't read: one attaching close above zero, [0.1%, 3%] from 0.6, or a senior one crowding the pool's
  largest loss, [22%, 60%] at 0.9 (#13).
• Experimental: the analytic GJR-GARCH engine within the no-arbitrage bounds.
  AnalyticGJRGARCHEngine.CalculateWithinBounds, on an engine or static, returns Calculate's results but refuses a
  price outside a call's or a put's no-arbitrage bounds beyond rounding: the Edgeworth price leaves them in both wings
  at every λ, and everywhere once the variance's moments grow. Calculate is unchanged (#14).
• Where the closed-form barrier and lookback engines are exact: each engine's remarks state its condition under term
  structures, on a volatility of time alone: (r − q)/σ² constant over the option's life; for a rebate paid at the hit,
  r/σ² and q/σ² each constant; for the partial-time windows, σ and r − q flat. Each names the engine to use outside it,
  where the library has one (#15).

Fixed

• Black's formula: a price below zero within rounding, which its arithmetic can reach at tiny standard deviations,
  is 0, where QuantLib's check refused it ("negative value"): within 16 ε of the discounted larger of the forward and
  the strike, a few ulps of the forward. A larger negative and NaN still refuse. The Gaussian copula spread engine then
  prices volatilities within rounding of zero, from about 1e-14 to 1e-8, but for most from 4e-14 to 1.3e-9, which its
  density calculator refuses (#12).
• Kahale's interpolated smile section: a segment whose fit missed its right end's price, a jump in the section and
  an arbitrage, is refitted to the same ends and slopes, so nothing else in the section moves; on 163 SABR smiles of a
  sweep the fit missed on 60. The route is opt-in: KahaleSmileSection's interpolate, and the Markov-functional
  model's KahaleInterpolation adjustment (#16).

Known limits

• The Excel add-ins are unsigned. A firm whose Excel requires add-ins signed by a trusted publisher signs the .xll
  with its own certificate.
• The add-ins run on the .NET 10 Desktop Runtime, Excel-DNA's just-in-time path, not compiled to native code.
• The bindings, the C++ layer among them, cover Windows x64 and Linux x64 (glibc 2.28 or later); Windows Arm64,
  Linux Arm64 and macOS on Apple silicon follow in later releases, and Intel Macs have none, though nanoql's .NET
  library runs there.
• Python 3.11 or later.
• The Java layer is built and tested in the repository and not released.

The platforms in this release's run

• Windows x64: 8,728 of 8,728 tests pass, the reference platform.
• Linux x64: 8,655 of 8,728 tests pass; 73 fail, reported and not blocking: NanoQL.Tests.Conventions.HestonSlvMcQualityMaximumTests.TheCalibrationsLargestErrorIsWithinFifteenBasisPoints, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheFixedVsFloatingSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheMtMSwapsCompoundingLegsFairSpreadIsSolved and 63 more.
• macOS Arm64: 8,652 of 8,728 tests pass; 76 fail, reported and not blocking: NanoQL.Tests.Conventions.BoostSignTests.TheSignOfANaNIsItsSignBit, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.BetaRiskTests.AMultiEventPathMovesItsLaterDatesOnly, NanoQL.Tests.Divergences.CTSMMCapletAlphaFormCalibrationTests.ACalibrationWhoseReturnedPassFitsKeepsQuantLibsNumbers, NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved and 66 more.
• The linux-x64 bindings: every check green.
• The win-x64 bindings: every check green.

nanoql 2.1

Added

• The C++ layer: each platform's C archive carries nanoql.hpp, C++17 over nanoql.h, and a CMake package in
  lib/cmake/nanoql/: find_package(nanoql CONFIG) gives nanoql::cpp and nanoql::c, and a version request
  follows CMake's SameMajorVersion rule. The C++ page covers installing, CMake and a first program
  (#7).
• nanoql-bind writes the C++ layer for a library of your own: cpp, and build's include/ beside the C
  headers.
• Migrating from QuantLib's C++: a guide pairs QuantLib's C++ with nanoql's
  C++ layer for the rates products, beside the QuantLib-Python and QLNet guides.

Fixed

• Python: OISRateHelper's tenor form and SwapRateHelper's two forms taking a rate can be called without
  forward_start or fwd_start, as their defaults allow; they raised "no overload takes these arguments" (#8).

Validation

• The coverage figures count only the lines a test executes: the test data the runner built while discovering the
  tests no longer counts as covered, so the same tests read slightly lower figures than 2.0's.

Known limits

• The Excel add-ins are unsigned. A firm whose Excel requires add-ins signed by a trusted publisher signs the .xll
  with its own certificate.
• The add-ins run on the .NET 10 Desktop Runtime, Excel-DNA's just-in-time path, not compiled to native code.
• The bindings, the C++ layer among them, cover Windows x64 and Linux x64 (glibc 2.28 or later); Windows Arm64,
  Linux Arm64 and macOS on Apple silicon follow in later releases, and Intel Macs have none, though nanoql's .NET
  library runs there.
• Python 3.11 or later.
• The Java layer is built and tested in the repository and not released.

The platforms in this release's run

• Windows x64: 8,622 of 8,622 tests pass, the reference platform.
• Linux x64: 8,549 of 8,622 tests pass; 73 fail, reported and not blocking: NanoQL.Tests.Conventions.HestonSlvMcQualityMaximumTests.TheCalibrationsLargestErrorIsWithinFifteenBasisPoints, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheFixedVsFloatingSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheMtMSwapsCompoundingLegsFairSpreadIsSolved and 63 more.
• macOS Arm64: 8,546 of 8,622 tests pass; 76 fail, reported and not blocking: NanoQL.Tests.Conventions.BoostSignTests.TheSignOfANaNIsItsSignBit, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.BetaRiskTests.AMultiEventPathMovesItsLaterDatesOnly, NanoQL.Tests.Divergences.CTSMMCapletAlphaFormCalibrationTests.ACalibrationWhoseReturnedPassFitsKeepsQuantLibsNumbers, NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved and 66 more.
• The linux-x64 bindings: every check green.
• The win-x64 bindings: every check green.

nanoql 2.0

nanoql's first public release is 2.0, the whole library rather than a preview. Its versions have two parts: a minor
release adds, and nothing stable is removed until it has been deprecated for at least two releases and a year. The
experimental API may change in any release, and its released names are never reused.

Added

• The library, NanoQL on NuGet, for .NET 10: dates, calendars and day counts; interest-rate, credit, equity, FX,
  inflation and commodity term structures, bootstrapped or fitted; instruments with their cash flows; and the pricing
  engines and models over them, analytic, tree, finite-difference and Monte Carlo. Every pricer is a plain function of
  its inputs: there are no observers, lazy objects or global evaluation date.
• The extensions, NanoQL.Extensions: market conventions as XML records, which a desk reads, overrides and
  versions, with every preset nanoql ships; and instruments and models beyond the core.
• Python, pip install nanoql: one wheel per platform for Python 3.11 or later, nanoql's native library inside,
  no .NET runtime needed.
• C, an archive per platform on the GitHub Release: nanoql.h, the library and the notices, for C and any
  language that calls C. The symbols ship in an archive of their own.
• Excel, nanoql-excel-2.0-win-x64.zip on the GitHub Release: the stable add-in and the experimental one, and five
  example workbooks; their symbols in a zip of their own.
• The bindings tool, NanoQL.Bind on NuGet: a library, a Python package or an Excel add-in of your own, your
  assembly's functions beside nanoql's in one native library; and NanoQL.Excel, the add-in's runtime, which the tool's
  builds restore.
• Debugging: each NuGet package's symbols on NuGet's symbol server, and the native library's in the release's
  symbols archives, their sources mapped to this release's commit on GitHub.

Validation

Checked against QuantLib 1.44 on Windows x64.

• The vectors: 3,348,122 reference outputs in 1,169 vector files, of which four files and 39,887 outputs check
  QLNet's additions against QLNet 1.13.2. Each output agrees within a relative 1e-10 of the larger of the two values and
  the output's scale (an amount's is its notional), except 4,854 (0.14%) held to a documented looser tolerance.
• The tests: QuantLib's own tests, ported at QuantLib's tolerances.
• The types: 2,281 of the 2,282 public types with executable code are run by a QuantLib-checked test, QLNet's
  additions by a QLNet-checked one. The one apart, FactorReductionFunctions, every output of which is QuantLib's
  defect fixed, is checked by its own tests. 303 more are listed apart, 291 with no executable code and 12 own-tested
  (six of them extensions, five experimental and one a term structure), and three are equality-only. 89.5% of the ported
  lines are covered.
• The divergences: 720 documented divergences from QuantLib, each with its own test class.

What each module's checks cover is on the validation page.

Platforms

• Windows x64: the validated platform, where every test and vector passes; a failure there blocks a release.
• Linux and macOS, the .NET library: supported; their known differences, a result's last bits where the C
  runtime's maths functions differ, are counted in each release's notes.
• The bindings, the native library under C and Python: Windows x64 and Linux x64 (glibc 2.28 or later), each built
  and tested natively in every release run, its differences counted in each release's notes. Windows Arm64, Linux
  Arm64 and macOS on Apple silicon follow in later releases.

Versions

• A version is major and minor, with a third part only for a fix (2.0.1). A minor release adds; a 2.y release removes
  or changes the stable API only where it was deprecated at least two releases and at least a year before, and a
  deprecated member says so in every language.
• The experimental API (the NQL0001 diagnostic, C's NANOQL_EXPERIMENTAL, the experimental add-in) may change or go
  in any release. Its released names still never move and are never reused: a removed function's name is retired.
• A released C function's, type's or Excel function's name never moves, in any release.

Extension points

The public bases QuantLib's hierarchy derives from, abstract or unsealed, are nanoql's extension points: term
structures, stochastic processes, volatility structures, calendars, day counters and the rest, listed on
the extension points page. Six generic types are open in 2.0 where
QuantLib's are sealed by their use:

• three extension points: PiecewiseSpreadYieldCurve<,>, InterpolatedPiecewiseForwardSpreadedTermStructure<> and
  InterpolatedYoYOptionletStripper<>;
• three open to nanoql's own named classes only, through private protected constructors:
  InterpolatedYoYCapFloorTermPriceSurface<,>, InterpolatedYoYOptionletVolatilityCurve<> and
  KInterpolatedYoYOptionletVolatilitySurface<>.

Known limits

• The Excel add-ins are unsigned. A firm whose Excel requires add-ins signed by a trusted publisher signs the .xll
  with its own certificate.
• The add-ins run on the .NET 10 Desktop Runtime, Excel-DNA's just-in-time path, not compiled to native code.
• No bindings for Intel Macs; nanoql's .NET library runs there.
• Python 3.11 or later.
• The Java and C++ layers are built and tested in the repository and not released; C++ includes nanoql.h as it is.

The platforms in this release's run

• Windows x64: 8,605 of 8,605 tests pass, the reference platform.
• Linux x64: 8,533 of 8,605 tests pass; 72 fail, reported and not blocking: NanoQL.Tests.Conventions.HestonSlvMcQualityMaximumTests.TheCalibrationsLargestErrorIsWithinFifteenBasisPoints, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheFixedVsFloatingSwapsCompoundingLegsFairSpreadIsSolved, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheMtMSwapsCompoundingLegsFairSpreadIsSolved and 62 more.
• macOS Arm64: 8,530 of 8,605 tests pass; 75 fail, reported and not blocking: NanoQL.Tests.Conventions.BoostSignTests.TheSignOfANaNIsItsSignBit, NanoQL.Tests.Divergences.AbcdCalibrationGuardTests.TheFitsQuantLibCompletesKeepItsBits(set: 5, a: 0.45336334464724903, b: -1.4254877636528123, c: 1.5935876342523034, d: 0.26597942707915356), NanoQL.Tests.Divergences.BetaRiskTests.AMultiEventPathMovesItsLaterDatesOnly, NanoQL.Tests.Divergences.CTSMMCapletAlphaFormCalibrationTests.ACalibrationWhoseReturnedPassFitsKeepsQuantLibsNumbers, NanoQL.Tests.Divergences.CalibrationBasketNominalTests.AFlippedSolutionKeepsItsNominal, NanoQL.Tests.Divergences.CirFellerConstraintTests.ACalibrationWithTheSpeedAndLevelFixedIsQuantLibs, NanoQL.Tests.Divergences.CmsCalibrationGuessTests.TheFixedPathStartsAtTheGuess, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheLevenbergMarquardtFitsKeepQuantLibsValues, NanoQL.Tests.Divergences.CmsCalibrationReversionTransformTests.TheSimplexFitsHaveAFiniteReversion, NanoQL.Tests.Divergences.CrossCurrencySwapCompoundedSpreadFairSpreadTests.TheBasisSwapsCompoundingLegsFairSpreadIsSolved and 65 more.
• The linux-x64 bindings: every check green.
• The win-x64 bindings: every check green.