- Class AmericanCondition
- unify the intrinsicValues/Payoff thing
- Class AmericanExercise
- check that everywhere the American condition is applied from earliestDate and not earlier
- Class AmericanPayoffAtExpiry
- calculate greeks
- Class AmericanPayoffAtHit
- calculate greeks
- Class AnalyticBarrierEngine
- rework to avoid repeated casts inside utility methods
- Class AnalyticContinuousGeometricAveragePriceAsianEngine
- handle seasoned options
- Class AnalyticDigitalAmericanEngine
- add more greeks (as of now only delta and rho available)
- Class AnalyticDiscreteGeometricAveragePriceAsianEngine
- implement correct theta, rho, and dividend-rho calculation
- Class BermudanExercise
- it would be nice to have a way for making a Bermudan with one exercise date equivalent to an European
- Class BicubicSpline
- revise end conditions
- Class BivariateCumulativeNormalDistributionDr78
- check accuracy of this algorithm and compare with: 1) Drezner, Z, (1978), Computation of the bivariate normal integral, Mathematics of Computation 32, pp. 277-279. 2) Drezner, Z. and Wesolowsky, G. O. (1990) `On the Computation of the Bivariate Normal Integral', Journal of Statistical Computation and Simulation 35, pp. 101-107. 3) Drezner, Z (1992) Computation of the Multivariate Normal Integral, ACM Transactions on Mathematics Software 18, pp. 450-460. 4) Drezner, Z (1994) Computation of the Trivariate Normal Integral, Mathematics of Computation 62, pp. 289-294. 5) Genz, A. (1992) `Numerical Computation of the Multivariate Normal Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150.
- Class BlackVarianceCurve
- check time extrapolation
- Class BlackVarianceSurface
- check time extrapolation
- Member BoundaryCondition::Side
- Generalize for n-dimensional conditions
- Class CapVolatilityVector
- either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the length vector but an interpolation pointing to the original ones.
- Class Cashflows
- add tests
- Class Cdor
- check settlement days and day-count convention.
- Class CliquetOption
- add local/global caps/floors
- add accrued coupon and last fixing
- Class ContinuousAveragingAsianOption
- add running average
- Class DirichletBC
- generalize to time-dependent conditions.
- Class DiscreteGeometricASO
- add analytical greeks
- Member Event::hasOccurred (const Date &d, bool includeToday=false) const
- make QL_TODAYS_PAYMENT dynamically configurable?
- Class ExplicitEuler
- add Richardson extrapolation
- Class FixedCouponBondForward
- Add preconditions and tests
- Class FixedCouponBondForward
- Create switch- if coupon goes to seller is toggled on, don't consider income in the
calculation.
- Class FixedCouponBondForward
- Verify this works when the underlying is paper (in which case ignore all AI.)
- Class FloatingRateCoupon
- add gearing unit test
- Class Forward
- Add preconditions and tests
- Class ForwardRateAgreement
- Add preconditions and tests
- Class ForwardRateAgreement
- Should put an instance of ForwardRateAgreement in the FraRateHelper to ensure consistency with the piecewise yield curve.
- Class ForwardRateAgreement
- Differentiate between BBA (British)/AFB (French) [assumed here] and ABA (Australian) banker conventions in the calculations.
- Class FuturesRateHelper
- implement/refactor constructors with: Index instead of (nMonths, calendar, convention, dayCounter), IMM code
- Member GeneralizedBlackScholesProcess::drift (Time t, Real x) const
- revise extrapolation
- Member GeneralizedBlackScholesProcess::diffusion (Time t, Real x) const
- revise extrapolation
- Class GenericRiskStatistics
- add historical annualized volatility
- Member Index::name () const=0
- add methods returning InterestRate
- Class IntegralEngine
- define tolerance for calculate()
- Class InterestRateIndex
- add methods returning InterestRate
- Class Jibar
- check settlement days and day-count convention.
- Class LogLinearInterpolation
- implement primitive, derivative, and secondDerivative functions.
- Member pseudoSqrt
- implement Higham algorithm: Higham "Computing the nearest correlation matrix"
- Class McDiscreteArithmeticASO
- continous-averaging version
- Class MCVarianceSwapEngine
- define tolerance of numerical integral and incorporate it in errorEstimate
- Class MixedScheme
- derive variable theta schemes
- introduce multi time-level schemes.
- Class MultiCubicSpline
- fix it for Borland compilation
- allow extrapolation as for the other interpolations
- investigate if and how to implement Hyman filters and different boundary conditions
- Class NeumannBC
- generalize to time-dependent conditions.
- Class Option::arguments
- remove std::vector<Time> stoppingTimes
- how to handle strike-less option (asian average strike, forward, etc.)?
- Class RandomizedLDS
- implement the other randomization algorithms
- Member SampledCurve::valueAtCenter () const
- replace or complement with a more general function valueAt(spot)
- Member SampledCurve::firstDerivativeAtCenter () const
- replace or complement with a more general function firstDerivativeAt(spot)
- Member SampledCurve::secondDerivativeAtCenter () const
- replace or complement with a more general function secondDerivativeAt(spot)
- Class Solver1D
- clean up the interface so that it is clear whether the accuracy is specified for
or
. - add target value (now the target value is 0.0)
- Class Swaption
- add greeks and explicit exercise lag
- Class Tibor
- check settlement days.
- Class TimeGrid
- what was the rationale for limiting the grid to positive times? Investigate and see whether we can use it for negative ones as well.
- Class UnitedKingdom
- add LIFFE
- Class Xibor
- add methods returning InterestRate
- Class YieldTermStructure
- add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure
- Class Zibor
- check settlement days and day-count.