Release QLNet-v1.13.1

News.txt

@@ -1,42 +1,36 @@
-QLNet 1.13.0
+QLNet 1.13.1
 =========================
 
-QLNet 1.13.0
-Mayor changes <https://github.com/amaggiulli/QLNet/milestone/4?closed=1>.
+QLNet 1.13.1
+Mayor changes <https://github.com/amaggiulli/QLNet/milestone/5?closed=1>.
 A detailed list of changes is available in ChangeLog.txt.
 
 FRAMEWORK
 
-+ Updated to .NET 7.0 / netstandard 2.0
-+ Removed AStyle formatting for more standard ediconfig setting
++ Updated to .NET 8.0
 
-PRICING ENGINES
+INSTRUMENTS
 
-+ Fixed MCDiscreteAveragingAsianEngine timeGrid and ArithmeticAPOPathPricer path value retrieval thanks @mookid8000 
-
-CASHFLOWS
-
-+  Added new CashFlows method to return both accrued days and accrued amount.
++ Fixed DividendVanillaOption Engine bug, thx to Lorenzo Di Puccio for reporting it.
++ Updated callable bonds.
++ Added Bond Equivalent Yield calculation.
++ Added Futures Type - Custom, thx @ninetiger and Xiao Gong
 
 INDEXES  
 
-+ Added SOFR Index 
++ Added CAD-CORRA overnight index, thx Konstantin Novitsky 
 
 CALENDARS
 
-+ Support New Zealand's new publish holiday: Matariki holiday, thanks @ninetiger
++ Added 2023-12-15 as South African public holiday, thx Francois Botha
++ Added early close logic for US bond market.
++ Updated several caledars up to 2024
++ Fixed Aboriginal people day in Chile calendar, thx @bet0x10
 
 MISC
 
-+ Added batch calculations
++ Added Compounded Then Simple calculation.
 
 TIME
 
-+ Refactoring DayCounters
-+ Added Actual/366 daycounter. 
-+ Added Actual364, Actual36525 and Thirty365 daycounters.
-+ Refactoring Calendars 
-+ Added Cyprus and Greece calendars, thanks @pamboscy
-+ Fixed Schedule until method. 
-+ Updated several caledars up to 2023
-
++ Fixd Schedule.previousDate and Schedule.nextDate, thx Francois Botha

README.md

@@ -8,6 +8,7 @@ QLNet also contains new developments on the bond market like MBS, Amortized Cost
 
 [![Build status](https://ci.appveyor.com/api/projects/status/nn0a2mw6qu8mg481?svg=true)](https://ci.appveyor.com/project/amaggiulli/qlnet-p0t4r)
 [![NuGet](https://buildstats.info/nuget/qlnet)](https://www.nuget.org/packages/qlnet/)
+[![NuGet](https://img.shields.io/nuget/vpre/QLNet?style=flat-square)](https://www.nuget.org/packages/QLNet)
 [![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)
 
 [![Quality Gate Status](https://sonarcloud.io/api/project_badges/measure?project=QLNet&metric=alert_status)](https://sonarcloud.io/dashboard?id=QLNet)
@@ -58,4 +59,5 @@ As soon as the fix is complete, it will be merged into both *master* and *develo
 
 Thanks to all Quantlib creators and contributors.
 Thanks to all QLNet contributors.
-Special thanks to [JetBrains](https://www.jetbrains.com/?from=qlnet) for their support of open source projects; QLNet makes extensive use of [Resharper](https://www.jetbrains.com/dotnet/?from=qlnet).   
+Special thanks to [JetBrains](https://www.jetbrains.com/?from=qlnet) for their support of open source projects; QLNet makes extensive use of [Resharper](https://www.jetbrains.com/dotnet/?from=qlnet).  
+

appveyor.yml

@@ -6,7 +6,7 @@
   branches:
     only:
       - master
-  version: 1.13.0
+  version: 1.13.1
   configuration: Release
   platform: Any CPU
   image: Visual Studio 2022
@@ -21,23 +21,23 @@
   after_build:
     - cmd: dotnet pack src/qlnet/qlnet.csproj -c Release -o ./
   artifacts:
-    - path: src\QLNet\bin\Release\net7.0\QLNet.dll
+    - path: src\QLNet\bin\Release\net8.0\QLNet.dll
       name: Windows
     - path: .\*.nupkg
       name: ng
   deploy:
   - provider: GitHub
-    tag: QLNet-v1.13.0
-    release: QLNet Version 1.13.0
-    description: QLNet 1.13.0
+    tag: QLNet-v1.13.1
+    release: QLNet Version 1.13.1
+    description: QLNet 1.13.1
     auth_token:
-      secure: 4cCBgQRwNh1N6VbvMJTCUMoq7BVD0Cmj04AjQa8L3k5k6MirTm8dz5TFUuqRDbHhj5x2QJS4l2EfoTsAMgc8ZhWYVJ2CV1deITs7sHYG98BrXl8NGKdPivoOZZdZT9oo
-    artifact: src\QLNet\bin\Release\net7.0\QLNet.dll
+      secure: 4cCBgQRwNh1N6VbvMJTCUDVyo4z4acn5q6z4PXSgW5wOA0M2e6alGZms4fBx5Vw+6W8FieXgzRUvUfxmJ/xAnjxJZAFMeqI0mifvwMxjW9JAVC3EcFnV4NNZX/QoQRk6
+    artifact: src\QLNet\bin\Release\net8.0\QLNet.dll
     draft: false
     force_update: false
   - provider: NuGet
     api_key:
-      secure: B/mINFQqQ7mV7FjaOEErtgDWsvkgcnajcscRwCm6tTVFnu8+fc1Xti79M9CAZcgd
+      secure: LfB0vicMVT0ZgtDL1NtPmI+zC4he3BfQcO+2BlaN/0qlEnH4F6cz8K5QrM78OnoZ
     skip_symbols: true
     artifact: ng
 
@@ -47,7 +47,7 @@
   branches:
     only:
       - develop
-  version: 1.12.1-preview.{build}
+  version: 1.13.2-preview.{build}
   configuration: Release
   platform: Any CPU
   image: Visual Studio 2022
@@ -86,7 +86,7 @@
   deploy:
     - provider: NuGet
       api_key:
-        secure: B/mINFQqQ7mV7FjaOEErtgDWsvkgcnajcscRwCm6tTVFnu8+fc1Xti79M9CAZcgd
+        secure: LfB0vicMVT0ZgtDL1NtPmI+zC4he3BfQcO+2BlaN/0qlEnH4F6cz8K5QrM78OnoZ
       skip_symbols: false
       artifact: ng
 
@@ -96,7 +96,7 @@
   branches:
     only:
       - /feature/
-  version: 1.12.1-{build}
+  version: 1.13.2-{build}
   configuration: Release
   platform: Any CPU
   image: Visual Studio 2022
@@ -105,7 +105,7 @@
   init:
     - cmd: set JAVA_HOME=C:\Program Files\Java\jdk11
     - cmd: "set branch=%APPVEYOR_REPO_BRANCH%\necho branch:%branch%\nset gitVersion=%branch:/=.%\necho gitversion:%gitVersion%\nset newVersion=%gitVersion%.%APPVEYOR_BUILD_NUMBER%\necho %newVersion%"
-    - cmd: appveyor UpdateBuild -Version "1.12.1-%newVersion%"
+    - cmd: appveyor UpdateBuild -Version "1.13.2-%newVersion%"
   before_build:
     - cmd: dotnet restore qlnet.sln
   build_script:

src/QLNet/Indexes/Ibor/Corra.cs

@@ -0,0 +1,33 @@
+/*
+ Copyright (C) 2024 Konstantin Novitsky ([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 at <https://github.com/amaggiulli/QLNet/blob/develop/LICENSE>.
+
+ 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.
+*/
+
+namespace QLNet
+{
+   /*! CORRA (Canadian Overnight Repo Rate Average) rate fixed by the RBA.
+   See <https://www.isda.org/2023/10/16/overview-of-the-canadian-derivatives-market/>.
+   */
+   public class Corra : OvernightIndex
+   {
+      public Corra(Handle<YieldTermStructure> h = null)
+         : base("Corra", 0, new CADCurrency(), new Canada(), new Actual365Fixed(),
+            h ?? new Handle<YieldTermStructure>())
+      { }
+   }
+
+}

src/QLNet/Instruments/Bond.cs

@@ -18,6 +18,7 @@ under the terms of the QLNet license.  You should have received a
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
+using System;
 using System.Collections.Generic;
 using System.Linq;
 
@@ -33,6 +34,44 @@ namespace QLNet
        - price/yield calculations are checked against known good values. */
    public class Bond : Instrument
    {
+      public enum BondEquivalentYearType
+      {
+         Always365,
+         Always366,
+         SettlementFwdOneYear,
+         IssueFwdOneYear,
+         MaturityBackOneYear
+      }
+
+      /// <summary>
+      /// Bond price information
+      /// </summary>
+      public class Price
+      {
+         private double? amount_;
+         private Type type_;
+         public enum Type { Dirty, Clean }
+
+         public Price()
+         {
+            amount_ = null;
+         }
+
+         public Price(double amount, Type type)
+         {
+            amount_ = amount;
+            type_ = type;
+         }
+
+         public double amount()
+         {
+            Utils.QL_REQUIRE(amount_ != null, () => "no amount given");
+            return amount_.Value;
+         }
+
+         public Type type() { return type_; }
+      }
+
       #region Constructors
       //! constructor for amortizing or non-amortizing bonds.
       /*! Redemptions and maturity are calculated from the coupon
@@ -282,6 +321,59 @@ public virtual double accruedAmount(Date settlement = null)
 
       }
 
+      // Bond equivalent yield
+      public virtual double bondEquivalentYield(BondEquivalentYearType yearType, DateTime settlementDate, decimal price,
+         DayCounter dc, Calendar calendar, Frequency frequency)
+      {
+         Utils.QL_REQUIRE(settlementDate != DateTime.MinValue, () => "invalid settlement date");
+         Utils.QL_REQUIRE(maturityDate_ != null, () => "maturity date not provided");
+         double yearDays = 365;
+
+         // Year type calculation
+         bool eom;
+         Date endDate;
+         switch (yearType)
+         {
+            case BondEquivalentYearType.Always365:
+               break;
+            case BondEquivalentYearType.Always366:
+               yearDays = 366;
+               break;
+            case BondEquivalentYearType.SettlementFwdOneYear:
+               eom = calendar.isEndOfMonth(settlementDate);
+               endDate = calendar.advance(settlementDate, new Period(1, TimeUnit.Years), BusinessDayConvention.Unadjusted, eom);
+               yearDays = dc.dayCount(settlementDate, endDate);
+               break;
+            case BondEquivalentYearType.IssueFwdOneYear:
+               if (issueDate_ != null)
+               {
+                  eom = calendar.isEndOfMonth(issueDate_);
+                  endDate = calendar.advance(issueDate_, new Period(1, TimeUnit.Years), BusinessDayConvention.Unadjusted, eom);
+                  yearDays = dc.dayCount(issueDate_, endDate);
+               }
+               break;
+            case BondEquivalentYearType.MaturityBackOneYear:
+               eom = calendar.isEndOfMonth(maturityDate_);
+               endDate = calendar.advance(maturityDate_, new Period(-1, TimeUnit.Years), BusinessDayConvention.Unadjusted, eom);
+               yearDays = dc.dayCount(endDate, maturityDate_);
+               break;
+            default:
+               throw new ArgumentOutOfRangeException(nameof(yearType), yearType, null);
+         }
+
+         // BEY Calc
+         double daysToMaturity = dc.dayCount(settlementDate, maturityDate_);
+         var periodLenght = Math.Ceiling(365 / (double)frequency);
+         if (daysToMaturity <= periodLenght)
+         {
+            return (double)((100 - price) / price * ((decimal)yearDays /  dc.dayCount(settlementDate, maturityDate_)));
+         }
+         var numerator = ((-2 * daysToMaturity) / yearDays) + 2 * Math.Pow(
+            Math.Pow(daysToMaturity / yearDays, 2) - ((2 * daysToMaturity / yearDays - 1) * (1 - 100 / (double)price)), 0.5);
+         var denominator = 2 * daysToMaturity / yearDays - 1;
+         return numerator / denominator;
+      }
+
       #endregion
 
       /*! Expected next coupon: depending on (the bond and) the given date