QLNet 1.8.0
A free/open-source library for quantitative finance
No packages depend on QLNet.
QLNet 1.8
=========================
QLNet 1.8 stable version.
The most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt.
FRAMEWORK
+ Refactored code to be compatible with .NET Core , created VS 2015 solution QLNet_Core.sln
that build the .NET Core version.
+ Refactored test project to work with Microsoft UnitTesting and Xunit.
INTEREST RATES
+ Fixed links to documentation for LIBOR indexes.
INSTRUMENTS
+ Added basic CVA IRS pricing engine.
CURRENCIES
+ Added Ukrainian hryvnia.
DATE/TIME
+ Added new Ukrainian holiday, Defender's Day.
MATH
+ Added mixed log interpolation.
+ Added FlatExtrapolator2D
+ Added BackwardflatLinear Interpolation.
+ Added AbcdInterpolation.
+ Implemented Lagrange boundary condition for cubic interpolation
PRICING ENGINES
+ Added CounterpartyAdjSwapEngine engine with example program.
This package has no dependencies.