- 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 BasketOption
- Replace with STL algorithms
- 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 BinomialVanillaEngine
- Greeks are not overly accurate. They could be improved by building a tree so that it has three points at the current time. The value would be fetched from the middle one, while the two side points would be used for estimating partial derivatives.
- 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, end-of-month adjustment, 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 FixedRateBondForward
- Add preconditions and tests
- Class FixedRateBondForward
- Create switch- if coupon goes to seller is toggled on, don't consider income in the
calculation.
- Class FixedRateBondForward
- Verify this works when the underlying is paper (in which case ignore all AI.)
- 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
- Class IborIndex
- 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.
- 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
- 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 and end-of-month adjustment.
- 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 TRLibor
- check end-of-month adjustment.
- Class UnitedKingdom
- add LIFFE
- Class YieldTermStructure
- add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure
- Class Zibor
- check settlement days, end-of-month adjustment, and day-count convention.