1todo(3) QuantLib todo(3)
2
6 todo - Todo List
7 Class AmericanCondition
10 unify the intrinsicValues/Payoff thing
11 Class AmericanExercise
13 check that everywhere the American condition is applied from
14 earliestDate and not earlier
15 Class AmericanPayoffAtExpiry
17 calculate greeks
18 Class AmericanPayoffAtHit
20 calculate greeks
21 Class AnalyticBarrierEngine
23 rework to avoid repeated casts inside utility methods
24 Class AnalyticContinuousGeometricAveragePriceAsianEngine
26 handle seasoned options
27 Class AnalyticDigitalAmericanEngine
29 add more greeks (as of now only delta and rho available)
30 Class AnalyticDiscreteGeometricAveragePriceAsianEngine
32 implement correct theta, rho, and dividend-rho calculation
33 Class BasketOption
35 Replace with STL algorithms
36 Class BermudanExercise
38 it would be nice to have a way for making a Bermudan with one
39 exercise date equivalent to an European
40 Class BicubicSpline
42 revise end conditions
43 Class BinomialVanillaEngine
45 Greeks are not overly accurate. They could be improved by building
46 a tree so that it has three points at the current time. The value
47 would be fetched from the middle one, while the two side points
48 would be used for estimating partial derivatives.
49 Class BivariateCumulativeNormalDistributionDr78
51 check accuracy of this algorithm and compare with: 1) Drezner, Z,
52 (1978), Computation of the bivariate normal integral, Mathematics
53 of Computation 32, pp. 277-279. 2) Drezner, Z. and Wesolowsky, G.
54 O. (1990) `On the Computation of the Bivariate Normal Integral',
55 Journal of Statistical Computation and Simulation 35, pp. 101-107.
56 3) Drezner, Z (1992) Computation of the Multivariate Normal
57 Integral, ACM Transactions on Mathematics Software 18, pp. 450-460.
58 4) Drezner, Z (1994) Computation of the Trivariate Normal Integral,
59 Mathematics of Computation 62, pp. 289-294. 5) Genz, A. (1992)
60 `Numerical Computation of the Multivariate Normal Probabilities',
61 J. Comput. Graph. Stat. 1, pp. 141-150.
62 Class BlackVarianceCurve
64 check time extrapolation
65 Class BlackVarianceSurface
67 check time extrapolation
68 Member QuantLib::BoundaryCondition::Side
70 Generalize for n-dimensional conditions
71 Class CapVolatilityVector
73 either add correct copy behavior or inhibit copy. Right now, a
74 copied instance would end up with its own copy of the length vector
75 but an interpolation pointing to the original ones.
76 Class CashFlows
78 add tests
79 Class Cdor
81 check settlement days, end-of-month adjustment, and day-count
82 convention.
83 Class CliquetOption
85 · add local/global caps/floors
87 · add accrued coupon and last fixing
89 Class ContinuousAveragingAsianOption
91 add running average
92 Class DirichletBC
94 generalize to time-dependent conditions.
95 Class DiscreteGeometricASO
97 add analytical greeks
98 Member QuantLib::Event::hasOccurred(const Date &d, bool
100 includeToday=false) const
101 make QL_TODAYS_PAYMENT dynamically configurable?
102 Class ExplicitEuler
104 add Richardson extrapolation
105 Class FixedRateBondForward
107 Add preconditions and tests
108 Class FixedRateBondForward
110 Create switch- if coupon goes to seller is toggled on, don't
111 consider income in the $ P_{DirtyFwd}(t) $ calculation.
112 Class FixedRateBondForward
114 Verify this works when the underlying is paper (in which case
115 ignore all AI.)
116 Class Forward
118 Add preconditions and tests
119 Class ForwardRateAgreement
121 Add preconditions and tests
122 Class ForwardRateAgreement
124 Should put an instance of ForwardRateAgreement in the FraRateHelper
125 to ensure consistency with the piecewise yield curve.
126 Class ForwardRateAgreement
128 Differentiate between BBA (British)/AFB (French) [assumed here] and
129 ABA (Australian) banker conventions in the calculations.
130 Class FuturesRateHelper
132 implement/refactor constructors with: Index instead of (nMonths,
133 calendar, convention, dayCounter), IMM code
134 Member QuantLib::GeneralizedBlackScholesProcess::drift(Time t, Real x)
136 const
137 revise extrapolation
138 Member QuantLib::GeneralizedBlackScholesProcess::diffusion(Time t, Real
140 x) const
141 revise extrapolation
142 Class GenericRiskStatistics
144 add historical annualized volatility
145 Class IborIndex
147 add methods returning InterestRate
148 Class IntegralEngine
150 define tolerance for calculate()
151 Class InterestRateIndex
153 add methods returning InterestRate
154 Class Jibar
156 check settlement days and day-count convention.
157 Class LogLinearInterpolation
159 implement primitive, derivative, and secondDerivative functions.
160 Class MCVarianceSwapEngine
162 define tolerance of numerical integral and incorporate it in
163 errorEstimate
164 Class MixedScheme
166 · derive variable theta schemes
168 · introduce multi time-level schemes.
170 Class MultiCubicSpline
172 · allow extrapolation as for the other interpolations
174 · investigate if and how to implement Hyman filters and different
176 boundary conditions
177 Class NeumannBC
179 generalize to time-dependent conditions.
180 Class Option::arguments
182 · remove std::vector<Time> stoppingTimes
184 · how to handle strike-less option (asian average strike, forward,
186 etc.)?
187 Class RandomizedLDS
189 implement the other randomization algorithms
190 Member QuantLib::SampledCurve::valueAtCenter() const
192 replace or complement with a more general function valueAt(spot)
193 Member QuantLib::SampledCurve::firstDerivativeAtCenter() const
195 replace or complement with a more general function
196 firstDerivativeAt(spot)
197 Member QuantLib::SampledCurve::secondDerivativeAtCenter() const
199 replace or complement with a more general function
200 secondDerivativeAt(spot)
201 Class Solver1D
203 · clean up the interface so that it is clear whether the accuracy is
205 specified for $ x $ or $ f(x) $.
206 · add target value (now the target value is 0.0)
208 Class Swaption
210 add greeks and explicit exercise lag
211 Class Tibor
213 check settlement days and end-of-month adjustment.
214 Class TimeGrid
216 what was the rationale for limiting the grid to positive times?
217 Investigate and see whether we can use it for negative ones as
218 well.
219 Class TRLibor
221 check end-of-month adjustment.
222 Class UnitedKingdom
224 add LIFFE
225 Class YieldTermStructure
227 add derived class ParSwapTermStructure similar to
228 ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure
229 Class Zibor
231 check settlement days, end-of-month adjustment, and day-count
232 convention.
233Version 0.8.1 29 Oct 2007 todo(3)