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QLNet 1.12.0
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ChangeLog.txt

Lines changed: 429 additions & 277 deletions
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LICENSE

Lines changed: 1 addition & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -1,6 +1,6 @@
11
BSD 3-Clause QLNet License
22

3-
Copyright (c) 2018, Andrea Maggiulli
3+
Copyright (c) 2018-2021, Andrea Maggiulli
44
All rights reserved.
55

66
Redistribution and use in source and binary forms, with or without

News.txt

Lines changed: 20 additions & 23 deletions
Original file line numberDiff line numberDiff line change
@@ -1,38 +1,35 @@
1-
QLNet 1.11.4
1+
QLNet 1.12.0
22
=========================
33

4-
QLNet 1.11.4
4+
QLNet 1.12.0
55
A detailed list of changes is available in ChangeLog.txt.
66

7-
WARNING : This is the last version supporting old Visual Studio projects, with
8-
the upcoming version 1.12 the QLNetOld.sln will be removed and a general cleanup
9-
will be done.
10-
11-
MATH
12-
13-
+ Added Cumulative Gamma distribution
7+
FRAMEWORK
148

15-
INSTRUMENTS
9+
+ Removed QLNet old framework solution
10+
+ Updated tests to use only xunit
11+
+ Updated library to netstandard 2.1
12+
+ Updated test suite to .Net Core 5
13+
+ Updated samples to .Net Core 5
1614

17-
+ Fixed Weighted Average Life calculation for past dates
15+
MATH
1816

19-
TERMSTRUCTURES
17+
+ Fixed LineSearchBasedMethod.minimize, thx @hhaldn for spotting it.
2018

21-
+ Added Quanto Term Structure
19+
CALENDARS
2220

23-
METHODS
21+
+ Fixed Denmark holidays, thx @hhaldn
22+
+ Added Austrian, French and Chilean calendars
23+
+ Updated all existing calendars up to 2021
2424

25-
+ Added Cranck-Nicholson, Method of Lines & TrBDF2 schemes
25+
TIME
2626

27-
ENGINES
27+
+ Added utility Date.ToDateTime() method
28+
+ Fixed ActualActualISMA daycounter calculation for long/short final periods, thanks @kristofferpagels.
29+
2830

29-
+ Fixed Broadie-Kaya exact scheme [Heston process]
30-
+ Added Monte Carlo Barrier Engine
31-
+ Fixed AdaptiveRungeKutta
32-
+ Added Cumulative & Inverse Cumulative Chi² Distrib
31+
TERMSTRUCTURES
3332

34-
FRAMEWORK
33+
+ Fixed helpers sort for Piecewise Curves
3534

36-
+ Added more QLNet Exceptions
37-
+ Bug fixing and refactoring.
3835

QLNet.sln

Lines changed: 2 additions & 72 deletions
Original file line numberDiff line numberDiff line change
@@ -1,7 +1,7 @@
11

22
Microsoft Visual Studio Solution File, Format Version 12.00
3-
# Visual Studio 15
4-
VisualStudioVersion = 15.0.26228.10
3+
# Visual Studio Version 16
4+
VisualStudioVersion = 16.0.30011.22
55
MinimumVisualStudioVersion = 10.0.40219.1
66
Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "src", "src", "{0E7C422B-F8C0-433E-9E54-D3D55968222D}"
77
EndProject
@@ -11,26 +11,6 @@ Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "QLNet", "src\QLNet\QLNet.cs
1111
EndProject
1212
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "QLNet.Tests", "tests\QLNet.Tests\QLNet.Tests.csproj", "{5D0C9349-1A5B-455F-9485-0EF4860C8F62}"
1313
EndProject
14-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "BermudanSwaption", "src\BermudanSwaption\BermudanSwaption.csproj", "{B616E3F5-7201-4BE2-801D-6A084F77690E}"
15-
EndProject
16-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Bonds", "src\Bonds\Bonds.csproj", "{39C6B719-526E-4BEF-98E6-8E48319ABF0B}"
17-
EndProject
18-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "CallableBonds", "src\CallableBonds\CallableBonds.csproj", "{0B96DC4B-9B75-4926-A583-1D049B88731E}"
19-
EndProject
20-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "CVAIRS", "src\CVAIRS\CVAIRS.csproj", "{C2D21176-2143-48C3-A364-D6ED28B0FAD7}"
21-
EndProject
22-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "EquityOption", "src\EquityOption\EquityOption.csproj", "{A11F2EEA-C561-42C3-A3C0-BDBF8A8A0758}"
23-
EndProject
24-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "FittedBondCurve", "src\FittedBondCurve\FittedBondCurve.csproj", "{4AB97803-A149-45C0-9D8B-5E93851E296B}"
25-
EndProject
26-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "FRA", "src\FRA\FRA.csproj", "{683CF269-1F05-4C9B-9DCC-877977BC8C25}"
27-
EndProject
28-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Repo", "src\Repo\Repo.csproj", "{40456B2A-0B05-4DF1-951E-504BB339452A}"
29-
EndProject
30-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "Swap", "src\Swap\Swap.csproj", "{A653D5D9-660D-4DB2-938C-1676F5E35033}"
31-
EndProject
32-
Project("{9A19103F-16F7-4668-BE54-9A1E7A4F7556}") = "ConvertibleBonds", "src\ConvertibleBonds\ConvertibleBonds.csproj", "{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}"
33-
EndProject
3414
Global
3515
GlobalSection(SolutionConfigurationPlatforms) = preSolution
3616
Debug|Any CPU = Debug|Any CPU
@@ -45,63 +25,13 @@ Global
4525
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4626
{5D0C9349-1A5B-455F-9485-0EF4860C8F62}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{5D0C9349-1A5B-455F-9485-0EF4860C8F62}.Release|Any CPU.Build.0 = Release|Any CPU
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{B616E3F5-7201-4BE2-801D-6A084F77690E}.Release|Any CPU.Build.0 = Release|Any CPU
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{39C6B719-526E-4BEF-98E6-8E48319ABF0B}.Debug|Any CPU.Build.0 = Debug|Any CPU
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{C2D21176-2143-48C3-A364-D6ED28B0FAD7}.Release|Any CPU.ActiveCfg = Release|Any CPU
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{C2D21176-2143-48C3-A364-D6ED28B0FAD7}.Release|Any CPU.Build.0 = Release|Any CPU
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66-
{A11F2EEA-C561-42C3-A3C0-BDBF8A8A0758}.Release|Any CPU.ActiveCfg = Release|Any CPU
67-
{A11F2EEA-C561-42C3-A3C0-BDBF8A8A0758}.Release|Any CPU.Build.0 = Release|Any CPU
68-
{4AB97803-A149-45C0-9D8B-5E93851E296B}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
69-
{4AB97803-A149-45C0-9D8B-5E93851E296B}.Debug|Any CPU.Build.0 = Debug|Any CPU
70-
{4AB97803-A149-45C0-9D8B-5E93851E296B}.Release|Any CPU.ActiveCfg = Release|Any CPU
71-
{4AB97803-A149-45C0-9D8B-5E93851E296B}.Release|Any CPU.Build.0 = Release|Any CPU
72-
{683CF269-1F05-4C9B-9DCC-877977BC8C25}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
73-
{683CF269-1F05-4C9B-9DCC-877977BC8C25}.Debug|Any CPU.Build.0 = Debug|Any CPU
74-
{683CF269-1F05-4C9B-9DCC-877977BC8C25}.Release|Any CPU.ActiveCfg = Release|Any CPU
75-
{683CF269-1F05-4C9B-9DCC-877977BC8C25}.Release|Any CPU.Build.0 = Release|Any CPU
76-
{40456B2A-0B05-4DF1-951E-504BB339452A}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
77-
{40456B2A-0B05-4DF1-951E-504BB339452A}.Debug|Any CPU.Build.0 = Debug|Any CPU
78-
{40456B2A-0B05-4DF1-951E-504BB339452A}.Release|Any CPU.ActiveCfg = Release|Any CPU
79-
{40456B2A-0B05-4DF1-951E-504BB339452A}.Release|Any CPU.Build.0 = Release|Any CPU
80-
{A653D5D9-660D-4DB2-938C-1676F5E35033}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
81-
{A653D5D9-660D-4DB2-938C-1676F5E35033}.Debug|Any CPU.Build.0 = Debug|Any CPU
82-
{A653D5D9-660D-4DB2-938C-1676F5E35033}.Release|Any CPU.ActiveCfg = Release|Any CPU
83-
{A653D5D9-660D-4DB2-938C-1676F5E35033}.Release|Any CPU.Build.0 = Release|Any CPU
84-
{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}.Debug|Any CPU.ActiveCfg = Debug|Any CPU
85-
{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}.Debug|Any CPU.Build.0 = Debug|Any CPU
86-
{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}.Release|Any CPU.ActiveCfg = Release|Any CPU
87-
{F0F89FDF-F7D9-46CA-9177-A06BA64E306F}.Release|Any CPU.Build.0 = Release|Any CPU
8828
EndGlobalSection
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GlobalSection(SolutionProperties) = preSolution
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HideSolutionNode = FALSE
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EndGlobalSection
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GlobalSection(NestedProjects) = preSolution
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{A12A9BB7-9C80-4ED2-ADA7-A267D1D36DA4} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
9434
{5D0C9349-1A5B-455F-9485-0EF4860C8F62} = {7509F81A-396A-4765-AF64-F5DB3ECD227C}
95-
{B616E3F5-7201-4BE2-801D-6A084F77690E} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
96-
{39C6B719-526E-4BEF-98E6-8E48319ABF0B} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
97-
{0B96DC4B-9B75-4926-A583-1D049B88731E} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
98-
{C2D21176-2143-48C3-A364-D6ED28B0FAD7} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
99-
{A11F2EEA-C561-42C3-A3C0-BDBF8A8A0758} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
100-
{4AB97803-A149-45C0-9D8B-5E93851E296B} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
101-
{683CF269-1F05-4C9B-9DCC-877977BC8C25} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
102-
{40456B2A-0B05-4DF1-951E-504BB339452A} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
103-
{A653D5D9-660D-4DB2-938C-1676F5E35033} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
104-
{F0F89FDF-F7D9-46CA-9177-A06BA64E306F} = {0E7C422B-F8C0-433E-9E54-D3D55968222D}
10535
EndGlobalSection
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GlobalSection(ExtensibilityGlobals) = postSolution
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SolutionGuid = {D4B9C389-D195-4E74-9536-587E7D349B67}

QLNetOld.sln

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This file was deleted.

README.md

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Original file line numberDiff line numberDiff line change
@@ -10,11 +10,15 @@ QLNet also contains new developments on the bond market like MBS, Amortized Cost
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[![NuGet](https://buildstats.info/nuget/qlnet)](https://www.nuget.org/packages/qlnet/)
1111
[![Donate](https://img.shields.io/badge/Donate-PayPal-green.svg)](https://www.paypal.com/cgi-bin/webscr?item_name=Donation+to+QLNet&cmd=_donations&business=a.maggiulli%40gmail.com)
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[![Quality Gate](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=alert_status)](https://sonarcloud.io/dashboard?id=QLNet-develop)
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[![Bugs](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=bugs)](https://sonarcloud.io/project/issues?id=QLNet-develop&resolved=false&types=BUG)
15-
[![Vulnerabilities](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=vulnerabilities)](https://sonarcloud.io/project/issues?id=QLNet-develop&resolved=false&types=VULNERABILITY)
16-
[![Code Smells](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=code_smells)](https://sonarcloud.io/project/issues?id=QLNet-develop&resolved=false&types=CODE_SMELL)
17-
[![Duplicated Lines](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=duplicated_lines_density)](https://sonarcloud.io/component_measures?id=QLNet-develop&metric=duplicated_lines_density)
13+
[![Quality Gate Status](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=alert_status)](https://sonarcloud.io/dashboard?id=QLNet)
14+
[![Bugs](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=bugs)](https://sonarcloud.io/dashboard?id=QLNet)
15+
[![Vulnerabilities](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=vulnerabilities)](https://sonarcloud.io/dashboard?id=QLNet)
16+
[![Code Smells](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=code_smells)](https://sonarcloud.io/dashboard?id=QLNet)
17+
[![Duplicated Lines (%)](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=duplicated_lines_density)](https://sonarcloud.io/dashboard?id=QLNet)
18+
[![Lines of Code](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=ncloc)](https://sonarcloud.io/dashboard?id=QLNet)
19+
[![Maintainability Rating](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=sqale_rating)](https://sonarcloud.io/dashboard?id=QLNet)
20+
[![Reliability Rating](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=reliability_rating)](https://sonarcloud.io/dashboard?id=QLNet)
21+
[![Security Rating](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=security_rating)](https://sonarcloud.io/dashboard?id=QLNet)
1822
[![Technical Debt](https://sonarcloud.io/api/project_badges/measure?project=QLNet-develop&metric=sqale_index)](https://sonarcloud.io/dashboard?id=QLNet-develop)
1923

2024
## Development workflow

appveyor.yml

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Original file line numberDiff line numberDiff line change
@@ -6,7 +6,7 @@
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branches:
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only:
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- master
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version: 1.11.4
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version: 1.12.0
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configuration: Release
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platform: Any CPU
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image: Visual Studio 2019
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do_not_increment_build_number: true
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nuget:
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disable_publish_on_pr: true
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before_build:
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- cmd: dotnet restore qlnet.sln
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build:
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project: QLNet.sln
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verbosity: minimal
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build_script:
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- cmd: dotnet build -c Release
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after_build:
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- cmd: dotnet pack src/qlnet/qlnet.csproj -c Release -o ./
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artifacts:
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- path: src\QLNet\bin\Release\netstandard12\QLNet.dll
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- path: src\QLNet\bin\Release\netstandard2.1\QLNet.dll
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name: Windows
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- path: .\*.nupkg
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name: ng
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deploy:
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- provider: GitHub
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tag: QLNet-v1.11.4
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release: QLNet Version 1.11.4
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description: QLNet 1.11.4
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tag: QLNet-v1.12.0
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release: QLNet Version 1.12.0
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description: QLNet 1.12.0
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auth_token:
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secure: rK95hgNgZt9ybzXBJ/1W0nbqsG/aENQ22eyY2qxn5xjbi7ZEjv+5BmNjY/l1cAYH
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artifact: src\QLNet\bin\Release\netstandard12\QLNet.dll
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artifact: src\QLNet\bin\Release\netstandard2.1\QLNet.dll
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draft: false
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force_update: false
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- provider: NuGet
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api_key:
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secure: HcilScZbZnJrCk5hoEPz9MSzKQanBzsQCfulI9gFpcT7wurwxIy3hwSwPfjXmr/v
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secure: PfSWPcbGqOhlEhGG74+J7tmJMa5RU/N19DEyjVP2GUXGQG4MWBeTmrKE/W4A70dh
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skip_symbols: true
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artifact: ng
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# Configuration for "develop" branch
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# build in Debug mode, run tests , deploy to Sonar
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# build in Release mode, run tests , deploy to Sonar
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-
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branches:
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only:
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- develop
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version: 1.11.4-preview.{build}
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configuration: Debug
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version: 1.12.0-preview.{build}
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configuration: Release
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platform: Any CPU
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image: Visual Studio 2019
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skip_tags: true
@@ -60,20 +57,16 @@
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do_not_increment_build_number: true
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nuget:
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disable_publish_on_pr: true
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init:
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- cmd: set JAVA_HOME=C:\Program Files\Java\jdk11
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before_build:
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- cmd: "dotnet tool install --global dotnet-sonarscanner\ndotnet restore qlnet.sln"
65-
- cmd: "dotnet clean qlnet.sln"
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- cmd: "dotnet tool install --global dotnet-sonarscanner"
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- cmd: "SET runner_args=\"\""
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- cmd: "if \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_commit%"
68-
- cmd: "if not \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_pr%"
65+
- cmd: "if \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_commit_new%"
66+
- cmd: "if not \"%APPVEYOR_PULL_REQUEST_NUMBER%\"==\"\" SET runner_args=%sonar_pr_new%"
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- cmd: "dotnet sonarscanner begin %runner_args%"
70-
- cmd: "dotnet build qlnet.sln /p:Configuration=Debug /logger:\"C:\\Program Files\\AppVeyor\\BuildAgent\\dotnetcore\\Appveyor.MSBuildLogger.dll\" /target:src\\qlnet"
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- cmd: "dotnet sonarscanner end /d:\"sonar.login=%sonar_token%\""
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build:
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project: QLNet.sln
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verbosity: minimal
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after_build:
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- cmd: dotnet pack src/qlnet/qlnet.csproj -c Debug -o ./
68+
build_script:
69+
- cmd: dotnet build -c Release
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artifacts:
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- path: .\*.nupkg
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name: ng
@@ -86,39 +79,37 @@
8679
file_version: '{version}'
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informational_version: '{version}'
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test_script:
89-
- cmd: vstest.console /logger:Appveyor /TestCaseFilter:"TestCategory!=LongRun" "c:\projects\qlnet_develop\tests\QLNet.Tests\bin\Debug\net452\QLNet.Tests.dll"
82+
- cmd: dotnet test -v=normal --no-build -p:Configuration=Release --collect "XPlat Code Coverage" -- DataCollectionRunSettings.DataCollectors.DataCollector.Configuration.Format=opencover
83+
after_test:
84+
- cmd: "dotnet sonarscanner end /d:\"sonar.login=%sonar_token_new%\""
85+
- cmd: dotnet pack src/qlnet/qlnet.csproj -c Release -o ./
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deploy:
9187
- provider: NuGet
9288
api_key:
93-
secure: HcilScZbZnJrCk5hoEPz9MSzKQanBzsQCfulI9gFpcT7wurwxIy3hwSwPfjXmr/v
89+
secure: PfSWPcbGqOhlEhGG74+J7tmJMa5RU/N19DEyjVP2GUXGQG4MWBeTmrKE/W4A70dh
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skip_symbols: false
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artifact: ng
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# Configuration for "feature/*" branch
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# build in Debug mode, run tests , deploy to Sonar
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# build in Release mode, run tests , deploy to Nuget
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-
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branches:
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only:
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- /feature/
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version: 1.11.4-{build}
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configuration: Debug
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version: 1.12.0-{build}
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configuration: Release
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platform: Any CPU
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image: Visual Studio 2019
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skip_tags: true
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clone_folder: c:\projects\qlnet_feature
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init:
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- cmd: set JAVA_HOME=C:\Program Files\Java\jdk11
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- cmd: "set branch=%APPVEYOR_REPO_BRANCH%\necho branch:%branch%\nset gitVersion=%branch:/=.%\necho gitversion:%gitVersion%\nset newVersion=%gitVersion%.%APPVEYOR_BUILD_NUMBER%\necho %newVersion%"
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- cmd: appveyor UpdateBuild -Version "1.11.4-%newVersion%"
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- cmd: appveyor UpdateBuild -Version "1.12.0-%newVersion%"
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before_build:
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- cmd: dotnet restore qlnet.sln
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build:
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project: QLNet.sln
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verbosity: minimal
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after_build:
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- cmd: dotnet pack src/qlnet/qlnet.csproj -c Debug -o ./
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artifacts:
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- path: .\*.nupkg
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name: ng
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build_script:
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- cmd: dotnet build -c Release
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dotnet_csproj:
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patch: true
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file: '**\*.csproj'
@@ -131,18 +122,6 @@
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do_not_increment_build_number: true
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nuget:
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disable_publish_on_pr: true
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deploy:
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- provider: NuGet
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api_key:
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secure: HcilScZbZnJrCk5hoEPz9MSzKQanBzsQCfulI9gFpcT7wurwxIy3hwSwPfjXmr/v
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skip_symbols: true
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artifact: ng
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test: off
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# test_script:
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# - cmd: vstest.console /logger:Appveyor /TestCaseFilter:"TestCategory!=LongRun" "c:\projects\qlnet_feature\tests\QLNet.Tests\bin\Release\net45\QLNet.Tests.dll"
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test_script:
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- cmd: dotnet test -v=normal --no-build -p:Configuration=Release
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# "fall back" configuration for all other branches
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# no "branches" section defined
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# do not deploy at all
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-
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configuration: Debug
File renamed without changes.

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