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Changeset 144

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Timestamp:
04/30/08 19:46:44 (2 months ago)
Author:
snovik
Message:

Changed: Updates to the current QL trunk (PiecewiesYieldcurve? test and Bootstraptraits)

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  • trunk/QLNet/QLNet/Indexes/Ibor/Usdlibor.cs

    r61 r144  
    2929    */ 
    3030    public class USDLibor : Libor { 
    31         // public USDLibor(Period tenor, YieldTermStructure h = YieldTermStructure()) 
     31        public USDLibor(Period tenor) : this(tenor, new Handle<YieldTermStructure>()) { } 
    3232        public USDLibor(Period tenor, Handle<YieldTermStructure> h) 
    3333            : base("USDLibor", tenor, 2, new USDCurrency(), new UnitedStates(UnitedStates.Market.NYSE), new Actual360(), h) { } 

  • trunk/QLNet/QLNet/Termstructures/Yield/Bootstraptraits.cs

    r80 r144  
    6363        // update with new guess 
    6464        public void updateGuess(List<double> data, double discount, int i) { data[i] = discount; } 
    65         public int maxIterations() { return 300; }   // upper bound for convergence loop 
     65        public int maxIterations() { return 50; }   // upper bound for convergence loop 
    6666 
    6767        public double discountImpl(Interpolation i, double t) { return i.value(t, true); } 

  • trunk/QLNet/Test2008/T_Piecewiseyieldcurve.cs

    r130 r144  
    436436            where I : IInterpolationFactory, new() { 
    437437 
     438            // readjust settlement 
     439            vars.calendar = new JointCalendar(new BMAIndex().fixingCalendar(), 
     440                                          new USDLibor(new Period(6, TimeUnit.Months)).fixingCalendar(), 
     441                                          JointCalendar.JointCalendarRule.JoinHolidays); 
     442            vars.today = vars.calendar.adjust(Date.Today); 
     443            Settings.setEvaluationDate(vars.today); 
     444            vars.settlement = vars.calendar.advance(vars.today,vars.settlementDays, TimeUnit.Days); 
     445 
    438446            Handle<YieldTermStructure> riskFreeCurve = new Handle<YieldTermStructure>( 
    439447                                                       new FlatForward(vars.settlement, 0.04, new Actual360())); 

  • trunk/QLNet/Test2008/Test2008.csproj

    r143 r144  
    5252    <Compile Include="T_Instruments.cs" /> 
    5353    <Compile Include="T_InterestRate.cs" /> 
    54     <Compile Include="T_Interpolatedyieldcurve.cs" /> 
     54    <Compile Include="T_Piecewiseyieldcurve.cs" /> 
    5555    <Compile Include="T_Money.cs" /> 
    5656    <Compile Include="T_Operators.cs" />