Merge branch 'master' of https://github.com/fametrano/quantlib

.gitignore

@@ -118,6 +118,7 @@ Makefile.in
 *.exp
 *.lib
 *.pdb
+*.ilk
 *.class
 *~
 *.ncb
@@ -128,6 +129,7 @@ Makefile.in
 *.sdf
 
 # Outputs
+QuantLib/Examples/BasketLosses/BasketLosses
 QuantLib/Examples/BermudanSwaption/BermudanSwaption
 QuantLib/Examples/Bonds/Bonds
 QuantLib/Examples/CDS/CDS
@@ -137,7 +139,9 @@ QuantLib/Examples/DiscreteHedging/DiscreteHedging
 QuantLib/Examples/EquityOption/EquityOption
 QuantLib/Examples/FRA/FRA
 QuantLib/Examples/FittedBondCurve/FittedBondCurve
+QuantLib/Examples/LatentModel/LatentModel
 QuantLib/Examples/MarketModels/MarketModels
+QuantLib/Examples/MultidimIntegral/MultidimIntegral
 QuantLib/Examples/Gaussian1dModels/Gaussian1dModels
 QuantLib/Examples/Replication/Replication
 QuantLib/Examples/Repo/Repo
@@ -174,3 +178,4 @@ QuantLibAddin/Docs/*.chm
 QuantLibAddin/Docs/doxywarnings.txt
 QuantLibXL/Docs/*.chm
 QuantLibXL/Docs/doxywarnings.txt
+

QuantLib-SWIG/Python/examples/bonds.py

@@ -211,14 +211,9 @@
                                     libor3m,
                                     Actual360(),
                                     ModifiedFollowing,
-                                    2,
-                                    [1.0],   # Gearings
-                                    [0.001], # Spreads
-                                    [],      # Caps
-                                    [],      # Floors
-                                    True,    # Fixing in arrears
-                                    100.0,
-                                    Date(21, October, 2005))
+                                    spreads=[0.001],
+                                    inArrears=True,
+                                    issueDate=Date(21, October, 2005))
 
 floatingRateBond.setPricingEngine(bondEngine);
 

QuantLib-SWIG/Python/examples/cds.py

@@ -0,0 +1,86 @@
+# -*- mode: python; tab-width: 4;
+
+# Copyright (C) 2014 Thema Consulting
+#
+# This file is part of QuantLib, a free-software/open-source library
+# for financial quantitative analysts and developers - http://quantlib.org/
+#
+# QuantLib is free software: you can redistribute it and/or modify it under the
+# terms of the QuantLib license.  You should have received a copy of the
+# license along with this program; if not, please email
+# <quantlib-dev@lists.sf.net>. The license is also 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.
+
+from QuantLib import *
+
+calendar = TARGET()
+
+# set evaluation date
+todaysDate = Date(15,May,2007);
+todaysDate = calendar.adjust(todaysDate)
+Settings.instance().evaluationDate = todaysDate
+
+risk_free_rate = YieldTermStructureHandle(
+        FlatForward(todaysDate, 0.01, Actual365Fixed()))
+
+# CDS parameters
+recovery_rate = 0.5
+quoted_spreads = [ 0.0150, 0.0150, 0.0150, 0.0150 ]
+tenors = [ Period(3, Months), Period(6, Months),
+           Period(1, Years), Period(2, Years) ]
+maturities = [ calendar.adjust(todaysDate + x, Following) for x in tenors]
+
+instruments = [
+    SpreadCdsHelper(QuoteHandle(SimpleQuote(s)),
+                    tenor,
+                    0,
+                    calendar,
+                    Quarterly,
+                    Following,
+                    DateGeneration.TwentiethIMM,
+                    Actual365Fixed(),
+                    recovery_rate,
+                    risk_free_rate)
+    for s,tenor in zip(quoted_spreads, tenors) ]
+
+hazard_curve = PiecewiseFlatHazardRate(todaysDate, instruments,
+                                       Actual365Fixed())
+print "Calibrated hazard rate values: "
+for x in hazard_curve.nodes():
+    print "hazard rate on %s is %.7f" % x
+
+print "Some survival probability values: "
+print "1Y survival probability: %.4g, \n\t\texpected %.4g" % (
+    hazard_curve.survivalProbability(todaysDate + Period("1Y")),
+    0.9704)
+print "2Y survival probability: %.4g, \n\t\texpected %.4g" % (
+    hazard_curve.survivalProbability(todaysDate + Period("2Y")),
+    0.9418)
+
+# reprice instruments
+nominal = 1000000.0
+probability = DefaultProbabilityTermStructureHandle(hazard_curve)
+
+# create a cds for every maturity
+all_cds = []
+for maturity, s in zip(maturities, quoted_spreads):
+    schedule = Schedule(todaysDate, maturity, Period(Quarterly),
+                        calendar, Following, Unadjusted,
+                        DateGeneration.TwentiethIMM, False)
+    cds = CreditDefaultSwap(Protection.Seller, nominal, s,
+                            schedule, Following, Actual365Fixed())
+    engine = MidPointCdsEngine(probability, recovery_rate, risk_free_rate)
+    cds.setPricingEngine(engine)
+    all_cds.append(cds)
+
+print "Repricing of quoted CDSs employed for calibration: "
+for i in range(len(tenors)):
+    print "%s fair spread: %.7g" % (tenors[i], all_cds[i].fairSpread())
+    print "   NPV: %g" % all_cds[i].NPV()
+    print "   default leg: %.7g" % all_cds[i].defaultLegNPV()
+    print "   coupon leg: %.7g" % all_cds[i].couponLegNPV()
+    print

QuantLib-SWIG/SWIG/basketoptions.i

@@ -101,7 +101,9 @@ typedef boost::shared_ptr<PricingEngine> MCEuropeanBasketEnginePtr;
 
 %rename(MCEuropeanBasketEngine) MCEuropeanBasketEnginePtr;
 class MCEuropeanBasketEnginePtr : public boost::shared_ptr<PricingEngine> {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") MCEuropeanBasketEnginePtr;
+    #endif
   public:
     %extend {
         MCEuropeanBasketEnginePtr(const StochasticProcessArrayPtr& process,
@@ -153,7 +155,9 @@ typedef boost::shared_ptr<PricingEngine> MCAmericanBasketEnginePtr;
 
 %rename(MCAmericanBasketEngine) MCAmericanBasketEnginePtr;
 class MCAmericanBasketEnginePtr : public boost::shared_ptr<PricingEngine> {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") MCAmericanBasketEnginePtr;
+    #endif
   public:
     %extend {
         MCAmericanBasketEnginePtr(const StochasticProcessArrayPtr& process,
@@ -249,7 +253,9 @@ class EverestOptionPtr : public MultiAssetOptionPtr {
 
 %rename(MCEverestEngine) MCEverestEnginePtr;
 class MCEverestEnginePtr : public boost::shared_ptr<PricingEngine> {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") MCEverestEnginePtr;
+    #endif
   public:
     %extend {
         MCEverestEnginePtr(const StochasticProcessArrayPtr& process,
@@ -316,7 +322,9 @@ class HimalayaOptionPtr : public MultiAssetOptionPtr {
 
 %rename(MCHimalayaEngine) MCHimalayaEnginePtr;
 class MCHimalayaEnginePtr : public boost::shared_ptr<PricingEngine> {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") MCHimalayaEnginePtr;
+    #endif
   public:
     %extend {
         MCHimalayaEnginePtr(const StochasticProcessArrayPtr& process,

QuantLib-SWIG/SWIG/bondfunctions.i

@@ -235,12 +235,13 @@ class BondFunctions {
                         Frequency frequency,
                         Duration::Type type = Duration::Modified,
                         Date settlementDate = Date()) {
-            return QuantLib::BondFunctions::yield(
+            return QuantLib::BondFunctions::duration(
                         *(boost::dynamic_pointer_cast<Bond>(bond)),
                         yield,
                         dayCounter,
                         compounding,
                         frequency,
+                        type,
                         settlementDate);
         }
         static Real convexity(const BondPtr& bond,

QuantLib-SWIG/SWIG/bonds.i

@@ -208,7 +208,9 @@ class BondPtr : public boost::shared_ptr<Instrument> {
 
 %rename(ZeroCouponBond) ZeroCouponBondPtr;
 class ZeroCouponBondPtr : public BondPtr {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") ZeroCouponBondPtr;
+    #endif
   public:
     %extend {
         ZeroCouponBondPtr(
@@ -230,7 +232,9 @@ class ZeroCouponBondPtr : public BondPtr {
 
 %rename(FixedRateBond) FixedRateBondPtr;
 class FixedRateBondPtr : public BondPtr {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") FixedRateBondPtr;
+    #endif
   public:
     %extend {
         FixedRateBondPtr(
@@ -268,23 +272,26 @@ class FixedRateBondPtr : public BondPtr {
 
 %rename(FloatingRateBond) FloatingRateBondPtr;
 class FloatingRateBondPtr : public BondPtr {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") FloatingRateBondPtr;
+    #endif
   public:
     %extend {
-        FloatingRateBondPtr(Size settlementDays,
-                            Real faceAmount,
-                            const Schedule& schedule,
-                            const IborIndexPtr& index,
-                            const DayCounter& paymentDayCounter,
-                            BusinessDayConvention paymentConvention,
-                            Size fixingDays,
-                            const std::vector<Real>& gearings,
-                            const std::vector<Spread>& spreads,
-                            const std::vector<Rate>& caps,
-                            const std::vector<Rate>& floors,
-                            bool inArrears,
-                            Real redemption,
-                            const Date& issueDate) {
+        FloatingRateBondPtr(
+            Size settlementDays,
+            Real faceAmount,
+            const Schedule& schedule,
+            const IborIndexPtr& index,
+            const DayCounter& paymentDayCounter,
+            BusinessDayConvention paymentConvention = Following,
+            Size fixingDays = Null<Size>(),
+            const std::vector<Real>& gearings = std::vector<Real>(),
+            const std::vector<Spread>& spreads = std::vector<Spread>(),
+            const std::vector<Rate>& caps = std::vector<Rate>(),
+            const std::vector<Rate>& floors = std::vector<Rate>(),
+            bool inArrears = false,
+            Real redemption = 100.0,
+            const Date& issueDate = Date()) {
             boost::shared_ptr<IborIndex> libor =
                 boost::dynamic_pointer_cast<IborIndex>(index);
             return new FloatingRateBondPtr(
@@ -314,7 +321,9 @@ typedef boost::shared_ptr<Instrument> CmsRateBondPtr;
 
 %rename(CmsRateBond) CmsRateBondPtr;
 class CmsRateBondPtr : public BondPtr {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") CmsRateBondPtr;
+    #endif
   public:
     %extend {
         CmsRateBondPtr(Size settlementDays,
@@ -375,7 +384,9 @@ typedef boost::shared_ptr<PricingEngine> TreeCallableFixedRateBondEnginePtr;
 
 %rename(CallableFixedRateBond) CallableFixedRateBondPtr;
 class CallableFixedRateBondPtr : public BondPtr {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") CallableFixedRateBondPtr;
+    #endif
   public:
     %extend {
         CallableFixedRateBondPtr(
@@ -430,7 +441,9 @@ typedef boost::shared_ptr<Instrument> CPIBondPtr;
 
 %rename(CPIBond) CPIBondPtr;
 class CPIBondPtr : public BondPtr {
+    #if !defined(SWIGJAVA) && !defined(SWIGCSHARP)
     %feature("kwargs") CPIBondPtr;
+    #endif
   public:
     %extend {
         CPIBondPtr(