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ChangeLog.txt
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ChangeLog.txt
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commit 696a418cb6ab47bf8caa571d1e7d69ddade6d0f3
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Nov 14 00:03:37 2024 +0100
Calendars sync.
src/QLNet/Time/Calendar.cs | 12 +++++-
src/QLNet/Time/Calendars/Brazil.cs | 10 ++---
src/QLNet/Time/Calendars/India.cs | 146 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++--
src/QLNet/Time/Calendars/Mexico.cs | 4 +-
src/QLNet/Time/Calendars/Poland.cs | 52 ++++++++++++++++++++++---
src/QLNet/Time/Calendars/Singapore.cs | 109 ++++++++++++++++++++++++++++++++++++++++++++++++++-
src/QLNet/Time/Calendars/SouthAfrica.cs | 4 +-
src/QLNet/Time/Calendars/SouthKorea.cs | 188 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++-----------------------------
src/QLNet/Time/Calendars/Thailand.cs | 82 ++++++++++++++++++++++++++++++++------
src/QLNet/Time/Calendars/UnitedStates.cs | 17 ++++++--
src/QLNet/Time/Date.cs | 11 +++++-
tests/QLNet.Tests/T_Calendars.cs | 74 ++++++++++++++++++++++++++++++++++-
12 files changed, 611 insertions(+), 98 deletions(-)
commit 18e33a000e02c874424a24cceb8b6e0381033ba0
Author: bet0x10 <97778431+bet0x10@users.noreply.github.com>
Date: Tue Nov 12 12:35:40 2024 -0300
Fix Aboriginal people day in Chile calendar (#290)
src/QLNet/Time/Calendars/Chile.cs | 35 +++++++++++++++++++++++++++++++++--
1 file changed, 33 insertions(+), 2 deletions(-)
commit 2c734128c5ec72b0da84d2b493095a33a4384256
Author: Andrea Maggiulli <amaggiulli@users.noreply.github.com>
Date: Mon Aug 5 17:31:12 2024 +0200
[skip ci] Updated README.md
Added latest nuget preview version
README.md | 1 +
1 file changed, 1 insertion(+)
commit 0eebec0446f6b091341fdbb208219e79740254e1
Author: Konstantin Novitsky <37964436+novitk@users.noreply.github.com>
Date: Mon Aug 5 10:57:22 2024 -0400
Added CAD-CORRA overnight index (#289)
* added Corra.cs
* added Corra.cs
src/QLNet/Indexes/Ibor/Corra.cs | 33 +++++++++++++++++++++++++++++++++
1 file changed, 33 insertions(+)
commit b532510c3bdd343c95d78a02a60438c6ab864eb4
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jul 18 22:06:27 2024 +0200
Updated Nuget token
appveyor.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 26a731fcf36eca3177f22c0b1c851b7eb1453c8a
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jul 18 21:09:16 2024 +0200
Force rebuild
README.md | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 96ede3aabba7143ff5bf0ba319dbf064d3ef3721
Merge: 296897c 470ffe5
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Apr 17 16:21:13 2024 +0200
Merge branch 'develop' of github.com:amaggiulli/QLNet into develop
commit 296897c321cb3b1b57daa72b294b890c514852da
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Apr 17 16:20:49 2024 +0200
[skip ci] Token update
appveyor.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 470ffe5a5f167d89ab93ad21655b75ea30318eaf
Author: ninetiger <ninetiger@gmail.com>
Date: Wed Apr 17 03:57:14 2024 +1200
Added Futures Type - Custom; (#288)
* Added Futures Type - Custom;
This is trnasfered from the C++ code: https://github.com/lballabio/QuantLib/pull/1915
This allows passing custom future dates. Closes #1855: https://github.com/lballabio/QuantLib/issues/1855
* Update the default case message only
---------
Co-authored-by: Xiao Gong <xiao.gong@nzfunds.co.nz>
src/QLNet/Instruments/Futures.cs | 8 ++------
src/QLNet/Termstructures/Yield/Ratehelpers.cs | 35 +++++++++++++++++++++++------------
2 files changed, 25 insertions(+), 18 deletions(-)
commit 9d1a564bf9835ffc47089101b115e2e2a6886af7
Author: jerhat <2805041+jerhat@users.noreply.github.com>
Date: Sat Feb 17 00:00:10 2024 +0800
Closes #283 (#285)
Co-authored-by: Jeremy Bonnet <jeremy.bonnet@nittan.com.hk>
appveyor.yml | 4 ++--
src/QLNet/QLNet.csproj | 2 +-
tests/QLNet.Tests/QLNet.Tests.csproj | 2 +-
3 files changed, 4 insertions(+), 4 deletions(-)
commit df15e394f4a9fec8b58f67a7b43f4e25323a6669
Author: Francois Botha <igitur@gmail.com>
Date: Tue Dec 5 17:14:51 2023 +0200
Fix Schedule.previousDate and Schedule.nextDate (#284)
src/QLNet/Time/Schedule.cs | 28 +++++++++++++++++++++-------
tests/QLNet.Tests/T_Schedule.cs | 46 ++++++++++++++++++++++++++++++++++++++++++++++
2 files changed, 67 insertions(+), 7 deletions(-)
commit e5d6e5da1ed59546e13028a41aa8c5a632221544
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Nov 16 18:19:53 2023 +0100
Revert "Updated to .NET 8"
This reverts commit 0c8e87efa279e1b52a29050ac2fea2b6a714eb03.
appveyor.yml | 4 ++--
src/QLNet/QLNet.csproj | 2 +-
tests/QLNet.Tests/QLNet.Tests.csproj | 10 +++++-----
3 files changed, 8 insertions(+), 8 deletions(-)
commit 0c8e87efa279e1b52a29050ac2fea2b6a714eb03
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Nov 16 18:12:42 2023 +0100
Updated to .NET 8
appveyor.yml | 4 ++--
src/QLNet/QLNet.csproj | 2 +-
tests/QLNet.Tests/QLNet.Tests.csproj | 10 +++++-----
3 files changed, 8 insertions(+), 8 deletions(-)
commit 066d20070bedc385b49c3955899c65ba98e8a440
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed Nov 15 18:32:20 2023 +0100
Avoid exception on EasterMonday calculation when date out of range
src/QLNet/Time/Calendar.cs | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 107ed94aa358c262667f72fd2de20d3cf0a733b4
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Mon Nov 6 20:27:12 2023 +0100
Fixing tests.
tests/QLNet.Tests/T_CallableBonds.cs | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 27a0cb77c535e7cee3c227a644719ac61a8dbeb1
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Mon Nov 6 20:03:48 2023 +0100
Fixing tests.
src/QLNet/Time/Calendars/UnitedStates.cs | 2 +-
tests/QLNet.Tests/T_CallableBonds.cs | 3 ++-
2 files changed, 3 insertions(+), 2 deletions(-)
commit 9aea63cccb4d8dc936e0bf34d719f30ef39f3d2e
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Mon Nov 6 19:11:47 2023 +0100
#282 Added early close logic for US bond market.
src/QLNet/Time/Calendar.cs | 16 ++++++++++++++++
src/QLNet/Time/Calendars/UnitedStates.cs | 55 +++++++++++++++++++++++++++++++++++++++++++++++++++++--
tests/QLNet.Tests/T_Calendars.cs | 20 ++++++++++++++++++++
3 files changed, 89 insertions(+), 2 deletions(-)
commit 07dce8766239b4f25d0ead96302b52d698556f82
Author: Francois Botha <igitur@gmail.com>
Date: Fri Nov 3 13:58:37 2023 +0200
Add 2023-12-15 as South African public holiday (#281)
src/QLNet/Time/Calendars/SouthAfrica.cs | 2 ++
1 file changed, 2 insertions(+)
commit 7bbf04d29a1524c4c73c7ed1e49c40e3bbeef3dc
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Sep 28 18:11:20 2023 +0200
Fixing Bond equivalent yield edge date calculation
src/QLNet/Instruments/Bond.cs | 2 +-
tests/QLNet.Tests/QLNet.Tests.csproj | 11 ++++++-----
2 files changed, 7 insertions(+), 6 deletions(-)
commit e907016247941e17890cfa06a8cc2fdf36bec205
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 15 20:23:48 2023 +0200
Updated NuGet settings
appveyor.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit bd3bc883cb036c69964e718e1ddc079003516909
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 15 19:39:58 2023 +0200
[#279] Added Bond Equivalent Yield calculation.
src/QLNet/Instruments/Bond.cs | 62 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
tests/QLNet.Tests/T_Bonds.cs | 26 ++++++++++++++++++++++++++
2 files changed, 88 insertions(+)
commit 00f230a4d1f3d393461b36f11d024ea613083a34
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 15 19:37:04 2023 +0200
[#278] Updated callable bonds with tests.
src/QLNet/Instruments/Bond.cs | 30 +++
src/QLNet/Instruments/Bonds/CallableBond.cs | 378 ++++++++++++++++++-----------------
src/QLNet/Instruments/Bonds/ConvertibleBond.cs | 4 +-
src/QLNet/Instruments/Bonds/DiscretizedCallableFixedRateBond.cs | 104 +++++++---
src/QLNet/Instruments/Callability.cs | 34 +---
src/QLNet/Models/Shortrate/OneFactorModel.cs | 8 +-
src/QLNet/Pricingengines/Bond/BlackCallableBondEngine.cs | 156 +++++++--------
src/QLNet/Pricingengines/Bond/TreeCallableBondEngine.cs | 97 +++++----
src/QLNet/Pricingengines/LatticeShortRateModelEngine.cs | 13 +-
tests/QLNet.Tests/QLNet.Tests.csproj | 1 +
tests/QLNet.Tests/T_Bonds.cs | 11 +-
tests/QLNet.Tests/T_CallableBonds.cs | 692 +++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
12 files changed, 1158 insertions(+), 370 deletions(-)
commit a84c79a5de76ca285207ba3b2a0a820aae8e1d66
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Jun 15 19:15:58 2023 +0200
[#280] Added Compounded Then Simple calculation.
src/QLNet/InterestRate.cs | 13 ++++++++++++-
src/QLNet/Types.cs | 3 ++-
2 files changed, 14 insertions(+), 2 deletions(-)
commit 518b39d7b6bdf61607d99a3f548f18c6dd3093fc
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Wed May 17 20:57:47 2023 +0200
[#277] Fixing DividendVanillaOption Engine.
src/QLNet/Instruments/DividendVanillaOption.cs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d3b709a76098d5765b11da83d0217786b118bd58
Author: Andrea Maggiulli <a.maggiulli@gmail.com>
Date: Thu Apr 20 15:50:14 2023 +0200
Fixing tests.
tests/QLNet.Tests/T_Piecewiseyieldcurve.cs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)