Todo List

Class AmericanCondition
Unify the intrinsicValues/Payoff thing

Member Side
Generalize for n-dimensional conditions

Class CADLibor
check settlement days

Class CapFlatVolatilityVector
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 CHFLibor
check settlement days and day-count

Class ContinuousGeometricAPO
add Average Strike version and make it backward starting

Class DirichletBC
generalize to time-dependent conditions.

Class DiscreteGeometricAPO
add analytical greeks

Class DiscreteGeometricASO
add analytical greeks

Class ExplicitEuler
add Richardson extrapolation

Class FdAmericanOption
make american call with no dividends = european

Class FraRateHelper
convexity adjustment should be implemented.

Class Interpolation2D
Bicubic interpolation and bicubic spline

Class McDiscreteArithmeticAPO
Continous Averaging version

Class McDiscreteArithmeticASO
Continous Averaging version

Class MixedScheme
add Douglas Scheme

Class MultiPath
make it time-aware

Class NeumannBC
generalize to time-dependent conditions.

Class ShoutCondition
Unify the intrinsicValues/Payoff thing

Class SwaptionVolatilityMatrix
Either add correct copy behavior or inhibit copy. Right now, a copied instance would end up with its own copy of the exercise date and length vector but an interpolation pointing to the original ones.

Class TermStructure
add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure

allow for different compounding rules and compounding frequencies

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 ZARLibor
check settlement days

Member FloatingRateCouponVector (const std::vector< double > &nominals, const Date &startDate, const Date &endDate, int frequency, const Calendar &calendar, RollingConvention rollingConvention, const Handle< Indexes::Xibor > &index, int fixingDays, const std::vector< Spread > &spreads, const Date &stubDate=Date())
A suitable algorithm should be implemented for the calculation of the interpolated index fixing for a short/long first coupon.

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