QLNet Version 1.9.0.1

QLNet 1.9

QLNet 1.9 stable version.

The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.

FRAMEWORK

• Refactoring & Update BlackScholesProcess, LocalVolCurve, bsmlattice
• Optimized npvbps calculation
• List and InitializedList refactoring

CASHFLOWS

• Fixed CappedFlooredCoupon factory

INSTRUMENTS

• Added CompositeInstrument.
• Added DividendBarrierOption.
• Added ForwardVanillaOption.
• Added LookbackOption.
• Added CMS Helper.
• Added BarrierOption.
• Added Cliquet Option.
• Added DoubleBarrier Option.
• Added CPICapFloor.
• Added CPISwap.

DATE/TIME

• Added ECB dates for 2017.
• Fixed rule for the Japanese Mountain Day holiday.
• Fixed United States holidays before 1971.

INDEXES

• Added Ibor indexes : Aonia , Bbsw, Bkbm and Nzocr.

MATH

• Added Matrix inverse calculation with Crout's LU decomposition.
• Added VannaVolga Interpolation.

TERMSTRUCTURES

• Added Swaption volatility cube.
• Allow negative jumps in yield term structures.

PRICING ENGINES

• Added ForwardVanillaEngine engine.
• Added AnalyticContinuousFixedLookbackEngine engine.
• Added AnalyticContinuousFloatingLookbackEngine engine.
• Added AnalyticContinuousPartialFixedLookbackEngine engine.
• Added AnalyticContinuousPartialFloatingLookbackEngine engine.
• Added AnalyticBinaryBarrierEngine.
• Added AnalyticCliquetEngine.
• Added AnalyticPerformanceEngine.
• Added BlackDeltaCalculator and DeltaVolQuote.
• Added VannaVolga BarrierEngine.
• Added AnalyticDoubleBarrierEngine.
• Added VannaVolgaDoubleBarrierEngine.
• Added WulinYongDoubleBarrierEngine.
• Added InterpolatingCPICapFloorEngine.

TESTS

• Added theta pertubation in AmericanOption & DividendOption tests.
• Added tests for China SSE and IB calendars and a missing Chinese holiday
• Added Test : Chambers-Nawalkha implied vol approximation
• Added CapFloored coupon tests.
• Added Digital Coupon tests.