Changeset 203

Timestamp:

06/05/08 22:08:14 (3 months ago)

Author:

snovik

Message:

Fix: Observability of Index fixings
Change: Some code cleaning in InterestRateIndex? / IndexManager?

Files:

• trunk/QLNet/QLNet.vsmdi (modified) (3 diffs)
• trunk/QLNet/QLNet/Cashflows/DigitalCoupon.cs (modified) (2 diffs)
• trunk/QLNet/QLNet/Cashflows/Iborcoupon.cs (modified) (5 diffs)
• trunk/QLNet/QLNet/Index.cs (modified) (2 diffs)
• trunk/QLNet/QLNet/Indexes/Indexmanager.cs (modified) (1 diff)
• trunk/QLNet/QLNet/Indexes/InterestRateIndex.cs (modified) (2 diffs)
• trunk/QLNet/QLNet/Math/Interpolation.cs (modified) (1 diff)
• trunk/QLNet/QLNet/Patterns/observablevalue.cs (added)
• trunk/QLNet/QLNet/QLNet.csproj (modified) (1 diff)
• trunk/QLNet/QLNet/Termstructures/Bootstraphelper.cs (modified) (2 diffs)
• trunk/QLNet/Test2008/T_Piecewiseyieldcurve.cs (modified) (7 diffs)
• trunk/QLNet/Test2008/Utilities.cs (modified) (1 diff)

trunk/QLNet/QLNet.vsmdi

@@ -10 +10 @@
-  <TestList name="Swap" id="1fb9da58-c37b-40da-9772-c8899ed4f8c6" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6">
-    <TestLinks>
-019427b9-dea4-5598-dd43-a00afdcf7984" name="testCachedValue
+bfdd9348-cf70-0cc9-aefe-30e8f235d572" name="testSpreadDependency
-      <TestLink id="cd832602-6407-a10e-5585-88a96542e91e" name="testInArrears" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="4a7f54ba-aa40-17eb-4f2c-4e956babf8b3" name="testRateDependency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="6d8e3375-fefb-38b0-2f10-3bb7dcdc7cc6" name="testFairRate" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-bfdd9348-cf70-0cc9-aefe-30e8f235d572" name="testSpreadDependency
+019427b9-dea4-5598-dd43-a00afdcf7984" name="testCachedValue
-      <TestLink id="f909c484-4167-4782-e0bc-cd5f18e918ba" name="testFairSpread" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-    </TestLinks>
@@ -33 +33 @@
-    <TestLinks>
-      <TestLink id="013d24e4-afd3-db12-eb66-7e64ca4f1139" name="testSplineOnRPN15AValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="27b002f6-e817-5440-bdb6-415bc2a07d84" name="testBackwardFlat" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="1ef1148e-88a3-f814-99cb-a7af6bd40cac" name="testForwardFlat" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="ff5e5f35-412d-4921-c02d-078965669fbb" name="testAsFunctor" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-27b002f6-e817-5440-bdb6-415bc2a07d84" name="testBackwardFlat
+81819301-dea7-5865-26c2-d526c9ea96e2" name="testSplineErrorOnGaussianValues
-      <TestLink id="5e0a8cf6-5ecb-3988-77cb-1408470c0c79" name="testSimmetricEndConditions" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="5d82722c-95c4-0f3e-007e-8fe11b6247ab" name="testNonRestrictiveHymanFilter" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="81819301-dea7-5865-26c2-d526c9ea96e2" name="testSplineErrorOnGaussianValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="4d4733e1-3186-bfe0-5834-d791f70989d0" name="testDerivativeEndConditions" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="7580c3ac-9665-58cb-9817-6d2a78af1641" name="testSplineOnGaussianValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
@@ -78 +78 @@
-  <TestList name="American Option" id="da9a808d-acf7-4baf-9dfb-e4b091d30fef" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6">
-    <TestLinks>
-33c4d801-48ac-44c4-329e-d6fe84f5e034" name="testJu
+2bbf531b-68cb-84c0-a06f-6bedfb89f20f" name="testBaroneAdesiWhaley
-      <TestLink id="3be50179-04ee-902d-73d8-3c94e9305a67" name="testFdShoutGreeks" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="783f96db-cce8-bf61-b280-f5010f7d7eb3" name="testFdValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="1e42c90a-8e82-1369-9ed9-52b036b1c07e" name="testBjerksundStenslandValues" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="9f4ff6f8-9938-8ecb-5608-7dbc928cbda3" name="testFdAmericanGreeks" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-2bbf531b-68cb-84c0-a06f-6bedfb89f20f" name="testBaroneAdesiWhaley
+33c4d801-48ac-44c4-329e-d6fe84f5e034" name="testJu
-    </TestLinks>
-  </TestList>
-  <TestList name="PiecewiseYieldCurve" id="db6f77ff-70a4-4779-821e-8f5548c91d54" parentListId="8c43106b-9dc1-4907-a29f-aa66a61bf5b6">
-    <TestLinks>
+      <TestLink id="561fa88b-37bb-98f4-4628-a77e4d9a9cd6" name="testFlatForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="bad5af99-6228-d0eb-b51f-d1568cb399b5" name="testConvexMonotoneForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="4bcf3c17-3471-0971-a4dd-d7a19bd23019" name="testSplineForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="7b66dffe-f838-19e6-54b9-2d30645b0501" name="testLogLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="d0a4985d-c3d0-7f0b-42cf-1f5a8b45bff4" name="testLogCubicDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="56925441-bb1d-00d2-1f1b-030dfeaa3048" name="testLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="05e8bb09-b9c7-65f3-dbc2-8539b17dd117" name="testSplineZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="7983d6ff-7560-7f7c-183d-ac795fe2654c" name="testLiborFixing" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="ef62ddb1-2d60-38aa-e6b5-1fa2091c548c" name="testLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="c1eb7a21-2e89-2c67-d40b-f6ad422def58" name="testLogLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="b61b2dd1-c391-ff6e-c17b-a16304449f43" name="testObservability" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
+      <TestLink id="af05efc7-7a38-bc81-5740-41720115b250" name="testLocalBootstrapConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="388385b3-7adb-345f-3889-6bb251cc8534" name="testLinearForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="7b66dffe-f838-19e6-54b9-2d30645b0501" name="testLogLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="56925441-bb1d-00d2-1f1b-030dfeaa3048" name="testLinearDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="561fa88b-37bb-98f4-4628-a77e4d9a9cd6" name="testFlatForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="c1eb7a21-2e89-2c67-d40b-f6ad422def58" name="testLogLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="d0a4985d-c3d0-7f0b-42cf-1f5a8b45bff4" name="testLogCubicDiscountConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="bad5af99-6228-d0eb-b51f-d1568cb399b5" name="testConvexMonotoneForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="05e8bb09-b9c7-65f3-dbc2-8539b17dd117" name="testSplineZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="4bcf3c17-3471-0971-a4dd-d7a19bd23019" name="testSplineForwardConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="ef62ddb1-2d60-38aa-e6b5-1fa2091c548c" name="testLinearZeroConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="af05efc7-7a38-bc81-5740-41720115b250" name="testLocalBootstrapConsistency" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-      <TestLink id="b61b2dd1-c391-ff6e-c17b-a16304449f43" name="testObservability" storage="test2008\bin\debug\test2008.dll" type="Microsoft.VisualStudio.TestTools.TestTypes.Unit.UnitTestElement, Microsoft.VisualStudio.QualityTools.Tips.UnitTest.ObjectModel,   PublicKeyToken=b03f5f7f11d50a3a" />
-    </TestLinks>
-  </TestList>

trunk/QLNet/QLNet/Cashflows/DigitalCoupon.cs

@@ -74 +74 @@
-                //@{
-                //! general constructor
-               public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition, bool isPutATMIncluded, double? putDigitalPayoff) : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, new DigitalReplication()
-               
-               
-               public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition, bool isPutATMIncluded) : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, null, new DigitalReplication()
-               
-               
-               public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition) : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, false, null, new DigitalReplication()
-               
-               
-               public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike) : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, Position.Type.Long, false, null, new DigitalReplication()
-               
-               
-               public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double callDigitalPayoff) : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, null, Position.Type.Long, false, null, new DigitalReplication()
-               
-               
-               public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded) : this(underlying, callStrike, callPosition, isCallATMIncluded, null, null, Position.Type.Long, false, null, new DigitalReplication()
-               
-               
-               public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition) : this(underlying, callStrike, callPosition, false, null, null, Position.Type.Long, false, null, new DigitalReplication()
-               
-               
-               public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike) : this(underlying, callStrike, Position.Type.Long, false, null, null, Position.Type.Long, false, null, new DigitalReplication()
-               
-               
-               public DigitalCoupon(FloatingRateCoupon underlying) : this(underlying, null, Position.Type.Long, false, null, null, Position.Type.Long, false, null, new DigitalReplication()
-               
-               
-               public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition, bool isPutATMIncluded, double? putDigitalPayoff, DigitalReplication replication) : base(underlying.date(), underlying.nominal(), underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays, underlying.index(), underlying.gearing(), underlying.spread(), underlying.refPeriodStart, underlying.refPeriodEnd, underlying.dayCounter(), underlying.isInArrears()
-               
+        public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition, bool isPutATMIncluded, double? putDigitalPayoff
+            : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, putDigitalPayoff, new DigitalReplication()) 
+        
+        public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition, bool isPutATMIncluded
+            : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, isPutATMIncluded, null, new DigitalReplication()) 
+        
+        public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition
+            : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, putPosition, false, null, new DigitalReplication()) 
+        
+        public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike
+            : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, putStrike, Position.Type.Long, false, null, new DigitalReplication()) 
+        
+        public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double callDigitalPayoff
+            : this(underlying, callStrike, callPosition, isCallATMIncluded, callDigitalPayoff, null, Position.Type.Long, false, null, new DigitalReplication()) 
+        
+        public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded
+            : this(underlying, callStrike, callPosition, isCallATMIncluded, null, null, Position.Type.Long, false, null, new DigitalReplication()) 
+        
+        public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition
+            : this(underlying, callStrike, callPosition, false, null, null, Position.Type.Long, false, null, new DigitalReplication()) 
+        
+        public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike
+            : this(underlying, callStrike, Position.Type.Long, false, null, null, Position.Type.Long, false, null, new DigitalReplication()) 
+        
+        public DigitalCoupon(FloatingRateCoupon underlying
+            : this(underlying, null, Position.Type.Long, false, null, null, Position.Type.Long, false, null, new DigitalReplication()) 
+        
+        public DigitalCoupon(FloatingRateCoupon underlying, double? callStrike, Position.Type callPosition, bool isCallATMIncluded, double? callDigitalPayoff, double? putStrike, Position.Type putPosition, bool isPutATMIncluded, double? putDigitalPayoff, DigitalReplication replication
+            : base(underlying.date(), underlying.nominal(), underlying.accrualStartDate(), underlying.accrualEndDate(), underlying.fixingDays, underlying.index(), underlying.gearing(), underlying.spread(), underlying.refPeriodStart, underlying.refPeriodEnd, underlying.dayCounter(), underlying.isInArrears()) 
-                        underlying_ = underlying;
-                        callCsi_ = 0.0;
@@ -281 +281 @@
-                        {
-                                // might have been fixed
-getHistory((underlying_.index()).name()
+instance().getHistory((underlying_.index()).name()).value(
-                if (pastFixing != default(double))
-                                {

trunk/QLNet/QLNet/Cashflows/Iborcoupon.cs

@@ -43 +43 @@
-        //! Implemented in order to manage the case of par coupon
-        public override double indexFixing() {
-
-return index_->
-
+            
+    return index_.
+            
-            if (isInArrears()) {
-                return index_.fixing(fixingDate());
@@ -52 +52 @@
-                if (termStructure.empty()) throw new ArgumentException("null term structure set to par coupon");
-                Date today = Settings.evaluationDate();
-
-
-
-
-
-
-
-
-
-
-
-
-
-
-
+
+
+
+
+
+
+
+
+
+
+
+
-                        // fall through and forecast
-                    }
@@ -72 +69 @@
-
-                // forecast: 1) startDiscount
-_d
+D
-                double startDiscount = termStructure.link.discount(fixingValueDate);
-                // forecast: 2) endDiscount
@@ -83 +80 @@
-                return (startDiscount / endDiscount - 1.0) / spanningTime;
-            }
-
+            
-        }
-
@@ -202 +199 @@
-            return cashflows;
-        }
-
-
+
-}

trunk/QLNet/QLNet/Index.cs

@@ -44 +44 @@
-
-        //! returns the fixing TimeSeries
-TimeSeries<double> timeSeries() { return IndexManager
+ObservableValue<TimeSeries<double>> timeSeries() { return IndexManager.instance()
-
-        //! clears all stored historical fixings
-
+instance().
-
-        // stores the historical fixing at the given date
@@ -70 +70 @@
-        public void addFixings(TimeSeries<double> source) { addFixings(source, false); }
-        public void addFixings(TimeSeries<double> source, bool forceOverwrite) {
-TimeSeries<double> target = IndexManager
+ObservableValue<TimeSeries<double>> target = IndexManager.instance()
-            foreach (Date d in source.Keys) {
-                if (isValidFixingDate(d))
-
-
+value().
+value().
-                    else
-                        if (forceOverwrite)
-
+.value()
-                        else
-                            throw new ArgumentException("Duplicated fixing provided: " + d + ", " + source[d] + 
-
+.value()
-                else
-                    throw new ArgumentException("Invalid fixing provided: " + d.DayOfWeek + " " + d + ", " + source[d]);
-            }
-
-
+instance().
-        }
-

trunk/QLNet/QLNet/Indexes/Indexmanager.cs

@@ -24 +24 @@
-namespace QLNet {
-    //! global repository for past index fixings
-
+
+
+
-
-
-
-
-
-
-
-
-
-
-
-
-
+
+
+
+
+
+
+
-        }
-
-                //! returns whether historical fixings were stored for the index
-        public static bool hasHistory(string name) {
-                        return Data.ContainsKey(name);
-                }
-                
-        //! returns the (possibly empty) history of the index fixings
-
-
-
-
+
+
+
+
+
+
-        //! stores the historical fixings of the index
-
-
-
-
-
+
+
+
+
-        }
-
-        //! observer notifying of changes in the index fixings
-
-
+
+
+
+
-        }
-
-        //! returns all names of the indexes for which fixings were stored
-static 
+
-            List<string> t = new List<string>();
-Data
+data_
-                t.Add(s);
-       
-       
-
+    
+    
+
-        //! clears the historical fixings of the index
-static 
-                       Data[name].Clear(
-               
+
+            data_[name].Assign(new TimeSeries<double>()
+        
-
-        //! clears all stored fixings
-
-
-
-
+
+
+
+
+
-}

trunk/QLNet/QLNet/Indexes/InterestRateIndex.cs

@@ -63 +63 @@
-            Settings.registerWith(update);
-            // recheck
-
-
+
-        }
-
@@ -93 +92 @@
-
-            Date today = Settings.evaluationDate();
-
-
-
-
-
-
+
+
+
+
+
+
+
+
-                    throw new ArgumentException("Missing " + name() + " fixing for " + fixingDate);
-                }
+                if ((fixingDate == today) && !forecastTodaysFixing) {
+                    // might have been fixed but forecast since it does not exist
+                    // so fall through and forecast
+                }
+                // forecast
+                return forecastFixing(fixingDate);
-            }
-
-            if ((fixingDate == today) && !forecastTodaysFixing) {
-                // might have been fixed
-                try {
-                    return IndexManager.getHistory(name())[fixingDate];
-                } catch (KeyNotFoundException) { } // fall through and forecast
-            }
-            // forecast
-            return forecastFixing(fixingDate);
-        }
-        #endregion

trunk/QLNet/QLNet/Math/Interpolation.cs

@@ -92 +92 @@
-            List<double> yValues();
-            bool isInRange(double d);
-            double value(double d);
-            double primitive(double d);
-            double derivative(double d);

trunk/QLNet/QLNet/QLNet.csproj

@@ -247 +247 @@
-    <Compile Include="Option.cs" />
-    <Compile Include="Patterns\LazyObject.cs" />
+    <Compile Include="Patterns\observablevalue.cs" />
-    <Compile Include="Patterns\Observer.cs" />
-    <Compile Include="Patterns\Visitor.cs" />

trunk/QLNet/QLNet/Termstructures/Bootstraphelper.cs

@@ -39 +39 @@
-     * class to ensure consistancy between the algorithms used during bootstrapping
-       and later instrument pricing. This is not yet fully enforced in the available rate helpers. */
-
-
+
-        protected Handle<Quote> quote_;
-        protected TS termStructure_;
-        protected Date earliestDate_, latestDate_;
+
+        public BootstrapHelper() { } // required for generics
-
-        public BootstrapHelper(Handle<Quote> quote) {
@@ -58 +59 @@
-        public double quoteValue() { return quote_.link.value(); }
-        public bool quoteIsValid() { return quote_.link.isValid(); }
-abstract double impliedQuote();
+virtual double impliedQuote() { throw new NotSupportedException(); }
-
-

trunk/QLNet/Test2008/T_Piecewiseyieldcurve.cs

@@ -17 +17 @@
- FOR A PARTICULAR PURPOSE.  See the license for more details.
-*/
-
-using System;
-using System.Collections.Generic;
@@ -223 +222 @@
-        }
-
-
+//
-        public void testLogCubicDiscountConsistency() {
-            // "Testing consistency of piecewise-log-cubic discount curve...");
@@ -319 +318 @@
-        }
-
-
+//
-        public void testSplineForwardConsistency() {
-
@@ -387 +386 @@
-        }
-
+        [TestMethod()]
+        public void testLiborFixing() {
+
+            // "Testing use of today's LIBOR fixings in swap curve...");
+
+            CommonVars vars = new CommonVars();
+
+            var swapHelpers = new InitializedList<BootstrapHelper<YieldTermStructure>>();
+            IborIndex euribor6m = new Euribor6M();
+
+            for (int i=0; i<vars.swaps; i++) {
+                Handle<Quote> r = new Handle<Quote>(vars.rates[i+vars.deposits]);
+                swapHelpers.Add(new SwapRateHelper(r, new Period(vars.swapData[i].n, vars.swapData[i].units),
+                                   vars.calendar,
+                                   vars.fixedLegFrequency, vars.fixedLegConvention,
+                                   vars.fixedLegDayCounter, euribor6m));
+            }
+
+            vars.termStructure = new PiecewiseYieldCurve<Discount, LogLinear>(vars.settlement, swapHelpers, new Actual360());
+
+            Handle<YieldTermStructure> curveHandle = new Handle<YieldTermStructure>(vars.termStructure);
+
+            IborIndex index = new Euribor6M(curveHandle);
+            for (int i=0; i<vars.swaps; i++) {
+                Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
+
+                VanillaSwap swap = new MakeVanillaSwap(tenor, index, 0.0)
+                                        .withEffectiveDate(vars.settlement)
+                                        .withFixedLegDayCount(vars.fixedLegDayCounter)
+                                        .withFixedLegTenor(new Period(vars.fixedLegFrequency))
+                                        .withFixedLegConvention(vars.fixedLegConvention)
+                                        .withFixedLegTerminationDateConvention(vars.fixedLegConvention)
+                                        .value();
+
+                double expectedRate = vars.swapData[i].rate / 100,
+                     estimatedRate = swap.fairRate();
+                double tolerance = 1.0e-9;
+                if (Math.Abs(expectedRate-estimatedRate) > tolerance) {
+                    Assert.Fail("before LIBOR fixing:\n"
+                                + vars.swapData[i].n + " year(s) swap:\n"
+                                + "    estimated rate: "
+                                + (estimatedRate) + "\n"
+                                + "    expected rate:  "
+                                + (expectedRate));
+                }
+            }
+
+            Flag f = new Flag();
+            vars.termStructure.registerWith(f.update);
+            f.lower();
+
+            index.addFixing(vars.today, 0.0425);
+
+            if (!f.isUp())
+                Assert.Fail("Observer was not notified of rate fixing");
+
+            for (int i=0; i<vars.swaps; i++) {
+                Period tenor = new Period(vars.swapData[i].n, vars.swapData[i].units);
+
+                VanillaSwap swap = new MakeVanillaSwap(tenor, index, 0.0)
+                    .withEffectiveDate(vars.settlement)
+                    .withFixedLegDayCount(vars.fixedLegDayCounter)
+                    .withFixedLegTenor(new Period(vars.fixedLegFrequency))
+                    .withFixedLegConvention(vars.fixedLegConvention)
+                    .withFixedLegTerminationDateConvention(vars.fixedLegConvention)
+                    .value();
+
+                double expectedRate = vars.swapData[i].rate / 100,
+                     estimatedRate = swap.fairRate();
+                double tolerance = 1.0e-9;
+                if (Math.Abs(expectedRate-estimatedRate) > tolerance) {
+                    Assert.Fail("after LIBOR fixing:\n"
+                                + vars.swapData[i].n + " year(s) swap:\n"
+                                + "    estimated rate: "
+                                + (estimatedRate) + "\n"
+                                + "    expected rate:  "
+                                + (expectedRate));
+                }
+            }
+        }
+
+
-//void PiecewiseYieldCurveTest::testLiborFixing() {
-
@@ -430 +511 @@
-//        if (std::fabs(expectedRate-estimatedRate) > tolerance) {
-//            BOOST_ERROR("before LIBOR fixing:\n"
-<< swapData[i].n <<
-<<
-<<
-<< io::rate(estimatedRate) <<
-<<
-<<
++ swapData[i].n +
++
++
++ io::rate(estimatedRate) +
++
++
-//        }
-//    }
@@ -463 +544 @@
-//        if (std::fabs(expectedRate-estimatedRate) > tolerance) {
-//            BOOST_ERROR("after LIBOR fixing:\n"
-<< swapData[i].n <<
-<<
-<<
-<< io::rate(estimatedRate) <<
-<<
-<<
++ swapData[i].n +
++
++
++ io::rate(estimatedRate) +
++
++
-//        }
-//    }
@@ -693 +774 @@
-            // this is a workaround for grabage collection
-            // garbage collection needs a proper solution
-
+instance().
-        }
-   }

trunk/QLNet/Test2008/Utilities.cs

@@ -24 +24 @@
-using QLNet;
-
-
-
-
-
-
+
+
+
-
-
-
-
-
+
+
+
-
-
-
-
-
-
+  
+  
+  
+  
+ 
-
-
-
-
-
-
-
-
-
-
-
+
+
+
+
+
+
+
-
-
-
-
-
+
+
+
-
-
-
-
-
+
+
+
-
-
-
-
-
+
+
+
-
-
-
+   
+    
-
-
-
-