QLNet Version 1.7.0.1
QLNet 1.7
QLNet 1.7 stable version.
The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.
TERM STRUCTURES
- Added FittedBondDiscountCurve with example project.
INTEREST RATES
- Added rate helper to bootstrap on cross-currency swaps .
The curve to be bootstrapped can be the one for either of the two currencies. - Added the possibility for bootstrap helpers to define their pillar
date in different ways . For each helper, the date of the corresponding
node can be defined as the maturity date of the corresponding instrument,
as the latest date used on the term structure to price the instrument,
or as a custom date. Currently, the feature is enabled for FRAs and swaps. - Added the possibility to pass weight when fitting a bond discount
curve. Also, it is now possible to fit a spread over an existing
term structure.
INFLATION
- Added Kerkhof seasonality model.
- Retrieve inflation fixings from the first day of the month .
This avoids the need to store them for each day of the corresponding month.
VOLATILITY
- Improve consistency between caplet stripping and pricing.
MODELS
- Added Heston model.
SETTINGS
- Make SavedSettings disposable and update tests accordingly.
Now the full test suite can be launched from Visual Studio IDE
without errors ( false negative ) .
DATE/TIME
- Added Romanian and Israelian calendars.
- Added ECB reserve maintenance periods for 2016.
- Updated South Korean calendar until the end of 2032.
- Added new Mountain Day holiday for Japan.
- Remove MLK day from list of US holidays before 1983.
- Added Christmas Eve to BOVESPA holidays.
- Added intraday component to dates. Date specifications now include hours,
minutes, seconds and milliseconds. Day counters are aware of the added data
and include them in results.
MATH
- Added polynomial and abcd functions.
- Added Pascal triangle coefficients.
- Added Goldstein line-search method.
PATTERNS
- Use WeakEventSource in Observer/Observable pattern to avoid memory leaks.