Update to QLNet-1.8.0.0

amaggiulli · Sep 9, 2016 · 1fc2e7f · 1fc2e7f
2 parents 43568bc + 8bc8542
commit 1fc2e7f
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diff --git a/ChangeLog.txt b/ChangeLog.txt
diff --git a/Examples/BermudanSwaption/Properties/AssemblyInfo.cs b/Examples/BermudanSwaption/Properties/AssemblyInfo.cs
@@ -5,12 +5,12 @@
 // Le informazioni generali relative a un assembly sono controllate dal seguente 
 // insieme di attributi. Per modificare le informazioni associate a un assembly
 // occorre quindi modificare i valori di questi attributi.
-[assembly: AssemblyTitle("BermudanSwaption")]
+[assembly: AssemblyTitle( "QLNet BermudanSwaption Example" )]
 [assembly: AssemblyDescription("")]
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
-[assembly: AssemblyProduct("BermudanSwaption")]
-[assembly: AssemblyCopyright("Copyright ©  2010")]
+[assembly: AssemblyProduct( "QLNet Examples" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli ([email protected])" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // È possibile specificare tutti i valori oppure impostare i valori predefiniti per i numeri relativi alla build e alla revisione 
 // utilizzando l'asterisco (*) come descritto di seguito:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.7.0.0")]
-[assembly: AssemblyFileVersion("1.7.0.0")]
+[assembly: AssemblyVersion("1.8.0.0")]
+[assembly: AssemblyFileVersion("1.8.0.0")]
diff --git a/Examples/Bonds/Properties/AssemblyInfo.cs b/Examples/Bonds/Properties/AssemblyInfo.cs
@@ -5,12 +5,12 @@
 // General Information about an assembly is controlled through the following 
 // set of attributes. Change these attribute values to modify the information
 // associated with an assembly.
-[assembly: AssemblyTitle("Bonds")]
+[assembly: AssemblyTitle( "QLNet Bonds Example" )]
 [assembly: AssemblyDescription("")]
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
-[assembly: AssemblyProduct("Bonds")]
-[assembly: AssemblyCopyright("Copyright ©  2008")]
+[assembly: AssemblyProduct( "QLNet Examples" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli ([email protected])" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // You can specify all the values or you can default the Build and Revision Numbers 
 // by using the '*' as shown below:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.7.0.0")]
-[assembly: AssemblyFileVersion("1.7.0.0")]
+[assembly: AssemblyVersion("1.8.0.0")]
+[assembly: AssemblyFileVersion("1.8.0.0")]
diff --git a/Examples/CVAIRS/CVAIRS.cs b/Examples/CVAIRS/CVAIRS.cs
@@ -0,0 +1,189 @@
+//  Copyright (C) 2008-2016 Andrea Maggiulli ([email protected])
+//  
+//  This file is part of QLNet Project https://github.com/amaggiulli/qlnet
+//  QLNet is free software: you can redistribute it and/or modify it
+//  under the terms of the QLNet license.  You should have received a
+//  copy of the license along with this program; if not, license is  
+//  available online at <http://qlnet.sourceforge.net/License.html>.
+//   
+//  QLNet is a based on QuantLib, a free-software/open-source library
+//  for financial quantitative analysts and developers - http://quantlib.org/
+//  The QuantLib license is available online at http://quantlib.org/license.shtml.
+//  
+//  This program is distributed in the hope that it will be useful, but WITHOUT
+//  ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+//  FOR A PARTICULAR PURPOSE.  See the license for more details.
+using System;
+using System.Collections.Generic;
+using QLNet;
+
+namespace CVAIRS
+{
+   class CVAIRS
+   {
+      static void Main( string[] args )
+      {
+         try 
+         {
+
+            DateTime timer = DateTime.Now;
+            Calendar calendar = new TARGET();
+            Date todaysDate = new Date(10,Month.March, 2004);
+            // must be a business day
+            todaysDate = calendar.adjust(todaysDate);
+
+            Settings.setEvaluationDate(todaysDate);
+
+            IborIndex yieldIndx = new Euribor3M();
+            int[] tenorsSwapMkt = {5,10,15,20,25,30};
+
+            // rates ignoring counterparty risk:
+            double[] ratesSwapmkt = {.03249,.04074,.04463,.04675,.04775,.04811};
+
+            List<RateHelper> swapHelpers = new List<RateHelper>();
+            for (int i = 0; i < tenorsSwapMkt.Length; i++)
+               swapHelpers.Add(new SwapRateHelper(new Handle<Quote>(new SimpleQuote(ratesSwapmkt[i])),
+                  new Period(tenorsSwapMkt[i],TimeUnit.Years),
+                  new TARGET(),
+                  Frequency.Quarterly, 
+                  BusinessDayConvention.ModifiedFollowing, 
+                  new ActualActual(ActualActual.Convention.ISDA),
+                  yieldIndx));
+
+            YieldTermStructure swapTS = new PiecewiseYieldCurve<Discount, LogLinear>(2, new TARGET(), swapHelpers, 
+               new ActualActual(ActualActual.Convention.ISDA));
+            swapTS.enableExtrapolation();
+
+            IPricingEngine riskFreeEngine = new DiscountingSwapEngine(new Handle<YieldTermStructure>(swapTS));
+
+            List<Handle<DefaultProbabilityTermStructure>> defaultIntensityTS = 
+               new List<Handle<DefaultProbabilityTermStructure>>();
+
+            int[] defaultTenors = {0,12,36,60,84,120,180,240,300,360}; // months
+            // Three risk levels:
+            double[] intensitiesLow = {0.0036,0.0036,0.0065,0.0099,0.0111,0.0177,0.0177,0.0177,0.0177,0.0177,0.0177};
+            double[] intensitiesMedium = {0.0202,0.0202,0.0231,0.0266,0.0278,0.0349,0.0349,0.0349,0.0349,0.0349,0.0349};
+            double[] intensitiesHigh = {0.0534,0.0534,0.0564,0.06,0.0614,0.0696,0.0696,0.0696,0.0696,0.0696,0.0696};
+            // Recovery rates:
+            double ctptyRRLow = 0.4, ctptyRRMedium = 0.35, ctptyRRHigh = 0.3;
+
+            List<Date> defaultTSDates = new List<Date>();
+            List<double> intesitiesVLow = new List<double>(), 
+                         intesitiesVMedium = new List<double>(), 
+                         intesitiesVHigh = new List<double>();
+
+            for (int i = 0; i < defaultTenors.Length; i++)
+            {
+               defaultTSDates.Add(new TARGET().advance(todaysDate,new Period(defaultTenors[i], TimeUnit.Months)));
+               intesitiesVLow.Add(intensitiesLow[i]);
+               intesitiesVMedium.Add(intensitiesMedium[i]);
+               intesitiesVHigh.Add(intensitiesHigh[i]);
+            }
+
+            defaultIntensityTS.Add(new Handle<DefaultProbabilityTermStructure>(
+                  new InterpolatedHazardRateCurve<BackwardFlat>(
+                     defaultTSDates,
+                     intesitiesVLow,
+                     new Actual360(),
+                     new TARGET())));
+            defaultIntensityTS.Add(new Handle<DefaultProbabilityTermStructure>(
+                  new InterpolatedHazardRateCurve<BackwardFlat>(
+                     defaultTSDates,
+                     intesitiesVMedium,
+                     new Actual360(),
+                     new TARGET())));
+            defaultIntensityTS.Add(new Handle<DefaultProbabilityTermStructure>(
+                  new InterpolatedHazardRateCurve<BackwardFlat>(
+                     defaultTSDates,
+                     intesitiesVHigh,
+                     new Actual360(),
+                     new TARGET())));
+
+            double blackVol = 0.15;
+            IPricingEngine ctptySwapCvaLow = new CounterpartyAdjSwapEngine(new Handle<YieldTermStructure>(swapTS),
+                  blackVol,defaultIntensityTS[0],ctptyRRLow);
+
+            IPricingEngine ctptySwapCvaMedium = new CounterpartyAdjSwapEngine(new Handle<YieldTermStructure>(swapTS),
+                  blackVol,defaultIntensityTS[1],ctptyRRMedium);
+
+            IPricingEngine ctptySwapCvaHigh = new CounterpartyAdjSwapEngine(new Handle<YieldTermStructure>(swapTS),
+                  blackVol,defaultIntensityTS[2],ctptyRRHigh);
+
+            defaultIntensityTS[0].link.enableExtrapolation();
+            defaultIntensityTS[1].link.enableExtrapolation();
+            defaultIntensityTS[2].link.enableExtrapolation();
+
+            // SWAP RISKY REPRICE----------------------------------------------
+
+            // fixed leg
+            Frequency fixedLegFrequency = Frequency.Quarterly;
+            BusinessDayConvention fixedLegConvention = BusinessDayConvention.ModifiedFollowing;
+            DayCounter fixedLegDayCounter = new ActualActual(ActualActual.Convention.ISDA);
+            DayCounter floatingLegDayCounter = new ActualActual(ActualActual.Convention.ISDA);
+
+            VanillaSwap.Type swapType =
+               //VanillaSwap::Receiver ;
+               VanillaSwap.Type.Payer;
+            IborIndex yieldIndxS = new Euribor3M(new Handle<YieldTermStructure>(swapTS));
+            List<VanillaSwap> riskySwaps = new List<VanillaSwap>();
+            for (int i = 0; i < tenorsSwapMkt.Length; i++)
+               riskySwaps.Add(new MakeVanillaSwap(new Period(tenorsSwapMkt[i],TimeUnit.Years),
+                  yieldIndxS,
+                  ratesSwapmkt[i],
+                  new Period(0,TimeUnit.Days))
+                  .withSettlementDays(2)
+                  .withFixedLegDayCount(fixedLegDayCounter)
+                  .withFixedLegTenor(new Period(fixedLegFrequency))
+                  .withFixedLegConvention(fixedLegConvention)
+                  .withFixedLegTerminationDateConvention(fixedLegConvention)
+                  .withFixedLegCalendar(calendar)
+                  .withFloatingLegCalendar(calendar)
+                  .withNominal(100.0)
+                  .withType(swapType).value());
+
+            Console.WriteLine("-- Correction in the contract fix rate in bp --" );
+            /* The paper plots correction to be substracted, here is printed
+               with its sign 
+            */
+            for (int i = 0; i < riskySwaps.Count; i++)
+            {
+               riskySwaps[i].setPricingEngine(riskFreeEngine);
+               // should recover the input here:
+               double nonRiskyFair = riskySwaps[i].fairRate();
+               Console.Write( (tenorsSwapMkt[i]).ToString( "0" ).PadLeft( 6 ) );
+               Console.Write( " | " + nonRiskyFair.ToString( "P3" ).PadLeft( 6 ) );
+               // Low Risk:
+               riskySwaps[i].setPricingEngine(ctptySwapCvaLow);
+               Console.Write( " | " + ( 10000.0 * ( riskySwaps[i].fairRate() - nonRiskyFair ) ).ToString( "#0.00" ).PadLeft( 6 ) );
+               //cout << " | " << setw(6) << riskySwaps[i].NPV() ;
+
+               // Medium Risk:
+               riskySwaps[i].setPricingEngine(ctptySwapCvaMedium);
+               Console.Write( " | " + ( 10000.0 * ( riskySwaps[i].fairRate() - nonRiskyFair ) ).ToString( "#0.00" ).PadLeft( 6 ) );
+               //cout << " | " << setw(6) << riskySwaps[i].NPV() ;
+
+               riskySwaps[i].setPricingEngine(ctptySwapCvaHigh);
+               Console.Write( " | " + ( 10000.0 * ( riskySwaps[i].fairRate() - nonRiskyFair ) ).ToString( "#0.00" ).PadLeft( 6 ) );
+               //cout << " | " << setw(6) << riskySwaps[i].NPV() ;
+
+               Console.WriteLine();
+            }
+
+           Console.WriteLine();
+
+            Console.WriteLine(" \nRun completed in {0}", DateTime.Now - timer);
+            Console.WriteLine();
+
+            Console.Write("Press any key to continue ...");
+            Console.ReadKey();
+
+         } 
+         catch (Exception e)
+         {
+            Console.Write(e.Message);
+            Console.Write( "Press any key to continue ..." );
+            Console.ReadKey();
+         } 
+      }
+   }
+}
diff --git a/Examples/CVAIRS/CVAIRS.csproj b/Examples/CVAIRS/CVAIRS.csproj
@@ -0,0 +1,61 @@
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="4.0" DefaultTargets="Build" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <Import Project="$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props" Condition="Exists('$(MSBuildExtensionsPath)\$(MSBuildToolsVersion)\Microsoft.Common.props')" />
+  <PropertyGroup>
+    <Configuration Condition=" '$(Configuration)' == '' ">Debug</Configuration>
+    <Platform Condition=" '$(Platform)' == '' ">AnyCPU</Platform>
+    <ProjectGuid>{46817C48-9DE1-4A56-82CF-3B7A3BEF712B}</ProjectGuid>
+    <OutputType>Exe</OutputType>
+    <AppDesignerFolder>Properties</AppDesignerFolder>
+    <RootNamespace>CVAIRS</RootNamespace>
+    <AssemblyName>CVAIRS</AssemblyName>
+    <TargetFrameworkVersion>v4.0</TargetFrameworkVersion>
+    <FileAlignment>512</FileAlignment>
+  </PropertyGroup>
+  <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Debug|AnyCPU' ">
+    <PlatformTarget>AnyCPU</PlatformTarget>
+    <DebugSymbols>true</DebugSymbols>
+    <DebugType>full</DebugType>
+    <Optimize>false</Optimize>
+    <OutputPath>bin\Debug\</OutputPath>
+    <DefineConstants>DEBUG;TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+  </PropertyGroup>
+  <PropertyGroup Condition=" '$(Configuration)|$(Platform)' == 'Release|AnyCPU' ">
+    <PlatformTarget>AnyCPU</PlatformTarget>
+    <DebugType>pdbonly</DebugType>
+    <Optimize>true</Optimize>
+    <OutputPath>bin\Release\</OutputPath>
+    <DefineConstants>TRACE</DefineConstants>
+    <ErrorReport>prompt</ErrorReport>
+    <WarningLevel>4</WarningLevel>
+  </PropertyGroup>
+  <ItemGroup>
+    <Reference Include="System" />
+    <Reference Include="System.Core" />
+    <Reference Include="System.Xml.Linq" />
+    <Reference Include="System.Data.DataSetExtensions" />
+    <Reference Include="Microsoft.CSharp" />
+    <Reference Include="System.Data" />
+    <Reference Include="System.Xml" />
+  </ItemGroup>
+  <ItemGroup>
+    <Compile Include="CVAIRS.cs" />
+    <Compile Include="Properties\AssemblyInfo.cs" />
+  </ItemGroup>
+  <ItemGroup>
+    <ProjectReference Include="..\..\QLNet\QLNet.csproj">
+      <Project>{f6e762bd-dcdf-4ca0-abad-cb21c7d03bec}</Project>
+      <Name>QLNet</Name>
+    </ProjectReference>
+  </ItemGroup>
+  <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
+  <!-- To modify your build process, add your task inside one of the targets below and uncomment it. 
+       Other similar extension points exist, see Microsoft.Common.targets.
+  <Target Name="BeforeBuild">
+  </Target>
+  <Target Name="AfterBuild">
+  </Target>
+  -->
+</Project>
diff --git a/Examples/CVAIRS/Properties/AssemblyInfo.cs b/Examples/CVAIRS/Properties/AssemblyInfo.cs
@@ -0,0 +1,36 @@
+using System.Reflection;
+using System.Runtime.CompilerServices;
+using System.Runtime.InteropServices;
+
+// General Information about an assembly is controlled through the following 
+// set of attributes. Change these attribute values to modify the information
+// associated with an assembly.
+[assembly: AssemblyTitle( "QLNet CVAIRS Example" )]
+[assembly: AssemblyDescription( "" )]
+[assembly: AssemblyConfiguration( "" )]
+[assembly: AssemblyCompany( "" )]
+[assembly: AssemblyProduct( "QLNet Examples" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli ([email protected])" )]
+[assembly: AssemblyTrademark( "" )]
+[assembly: AssemblyCulture( "" )]
+
+// Setting ComVisible to false makes the types in this assembly not visible 
+// to COM components.  If you need to access a type in this assembly from 
+// COM, set the ComVisible attribute to true on that type.
+[assembly: ComVisible( false )]
+
+// The following GUID is for the ID of the typelib if this project is exposed to COM
+[assembly: Guid( "c4a8eb32-aee9-471f-98f0-43dc343ad495" )]
+
+// Version information for an assembly consists of the following four values:
+//
+//      Major Version
+//      Minor Version 
+//      Build Number
+//      Revision
+//
+// You can specify all the values or you can default the Build and Revision Numbers 
+// by using the '*' as shown below:
+// [assembly: AssemblyVersion("1.0.*")]
+[assembly: AssemblyVersion( "1.8.0.0" )]
+[assembly: AssemblyFileVersion( "1.8.0.0" )]
diff --git a/Examples/CallableBonds/Properties/AssemblyInfo.cs b/Examples/CallableBonds/Properties/AssemblyInfo.cs
@@ -5,12 +5,12 @@
 // Le informazioni generali relative a un assembly sono controllate dal seguente 
 // set di attributi. Per modificare le informazioni associate a un assembly
 // occorre quindi modificare i valori di questi attributi.
-[assembly: AssemblyTitle("CallableBonds")]
+[assembly: AssemblyTitle( "QLNet CallableBonds Example" )]
 [assembly: AssemblyDescription("")]
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
-[assembly: AssemblyProduct("CallableBonds")]
-[assembly: AssemblyCopyright("Copyright ©  2012")]
+[assembly: AssemblyProduct( "QLNet Examples" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli ([email protected])" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 
@@ -32,5 +32,5 @@
 // È possibile specificare tutti i valori oppure impostare valori predefiniti per i numeri relativi alla revisione e alla build 
 // utilizzando l'asterisco (*) come descritto di seguito:
 // [assembly: AssemblyVersion("1.0.*")]
-[assembly: AssemblyVersion("1.7.0.0")]
-[assembly: AssemblyFileVersion("1.7.0.0")]
+[assembly: AssemblyVersion("1.8.0.0")]
+[assembly: AssemblyFileVersion("1.8.0.0")]
diff --git a/Examples/EquityOption/Properties/AssemblyInfo.cs b/Examples/EquityOption/Properties/AssemblyInfo.cs
@@ -5,12 +5,12 @@
 // General Information about an assembly is controlled through the following 
 // set of attributes. Change these attribute values to modify the information
 // associated with an assembly.
-[assembly: AssemblyTitle("EquityOption")]
+[assembly: AssemblyTitle( "QLNet EquityOption Example" )]
 [assembly: AssemblyDescription("")]
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
-[assembly: AssemblyProduct("EquityOption")]
-[assembly: AssemblyCopyright("Copyright ©  2008")]
+[assembly: AssemblyProduct( "QLNet Examples" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli ([email protected])" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]
 

diff --git a/Examples/FRA/Properties/AssemblyInfo.cs b/Examples/FRA/Properties/AssemblyInfo.cs
@@ -5,12 +5,12 @@
 // Le informazioni generali relative a un assembly sono controllate dal seguente 
 // insieme di attributi. Per modificare le informazioni associate a un assembly
 // occorre quindi modificare i valori di questi attributi.
-[assembly: AssemblyTitle("FRA")]
+[assembly: AssemblyTitle( "QLNet FRA Example" )]
 [assembly: AssemblyDescription("")]
 [assembly: AssemblyConfiguration("")]
 [assembly: AssemblyCompany("")]
-[assembly: AssemblyProduct("FRA")]
-[assembly: AssemblyCopyright("Copyright ©  2008")]
+[assembly: AssemblyProduct( "QLNet Examples" )]
+[assembly: AssemblyCopyright( "Copyright (c) 2008-2016 Andrea Maggiulli ([email protected])" )]
 [assembly: AssemblyTrademark("")]
 [assembly: AssemblyCulture("")]