ql-todo (3) - Linux Manuals

ql-todo: Possible Enhancements

NAME

todo - Possible Enhancements
 

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 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 BicubicSpline

revise end conditions

 

Class BinomialVanillaEngine< T >

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 BlackCallableFixedRateBondEngine

set additionalResults (e.g. vega, fairStrike, etc.)

 

Class BlackVarianceCurve

check time extrapolation

 

Class BlackVarianceSurface

check time extrapolation

 

Member QuantLib::BoundaryCondition::Side

Generalize for n-dimensional conditions

 

Class CallableBond

models/shortrate/calibrationHelpers

OAS/OAD

floating rate callable bonds ?

 

Class CashFlows

add tests

 

Class CDO

Investigate and fix cases $ E_{i+1} < E_i. $

 

Class Cdor

check settlement days, end-of-month adjustment, and day-count convention.

 

Class CdsOption

take premium accrual into account

 

Class CdsOption

allow expiry to be different from CDS start date

 

Class CliquetOption

*

add local/global caps/floors

*

add accrued coupon and last fixing

 

Class ContinuousAveragingAsianOption

add running average

 

Class CubicInterpolation

implement missing schemes (FourthOrder and ModifiedParabolic) and missing boundary conditions (Periodic and Lagrange).

 

Class DirichletBC

generalize to time-dependent conditions.

 

Class ExplicitEuler< Operator >

add Richardson extrapolation

 

Class FDDividendEngineBase

The dividend class really needs to be made more sophisticated to distinguish between fixed dividends and fractional dividends

 

Class FittedBondDiscountCurve

refactor the bond helper class so that it is pure virtual and returns a generic bond or its cash flows. Derived classes would include helpers for fixed-rate and zero-coupon bonds. In this way, both bonds and bills can be used to fit a discount curve using the exact same machinery. At present, only fixed-coupon bonds are supported. An even better way to move forward might be to get rate helpers to return cashflows, in which case this class could be used to fit any set of cash flows, not just bonds.

 

Class FittedBondDiscountCurve

add more fitting diagnostics: smoothness, standard deviation, student-t test, etc. Generic smoothness method may be useful for smoothing splines fitting. See Fisher, M., D. Nychka and D. Zervos: 'Fitting the term structure of interest rates with smoothing splines.' Board of Governors of the Federal Reserve System, Federal Resere Board Working Paper, 95-1.

 

Class FittedBondDiscountCurve

add extrapolation routines

 

Class FittingMethod

derive the special-case class LinearFittingMethods from FittingMethod. A linear fitting to a set of basis functions $ b_i(t) $ is any fitting of the form [ d(t) = um_{i=0} c_i b_i(t) ] i.e., linear in the unknown coefficients $ c_i $. Such a fitting can be reduced to a linear algebra problem $ Ax = b $, and for large numbers of bonds, would typically be much faster computationally than the generic non-linear fitting method.

 

Class FixedRateBondForward

Add preconditions and tests

 

Class FixedRateBondForward

Create switch- if coupon goes to seller is toggled on, don't consider income in the $ P_{DirtyFwd}(t) $ calculation.

 

Class FixedRateBondForward

Verify this works when the underlying is paper (in which case ignore all AI.)

 

Class Forward

Add preconditions and tests

 

Member QuantLib::GeneralizedBlackScholesProcess::drift(Time t, Real x) const

revise extrapolation

 

Member QuantLib::GeneralizedBlackScholesProcess::diffusion(Time t, Real x) const

revise extrapolation

 

Class GenericRiskStatistics< S >

add historical annualized volatility

 

Class IntegralEngine

define tolerance for calculate()

 

Class InterestRateIndex

add methods returning InterestRate

 

Class InverseCumulativeStudent

Find/implement an efficient algorithm for evaluating the cumulative Student t-distribution, replacing the Newton iteration

 

Class Jibar

check settlement days and day-count convention.

 

Class MCVarianceSwapEngine< RNG, S >

define tolerance of numerical integral and incorporate it in errorEstimate

 

Class MixedScheme< Operator >

*

derive variable theta schemes

*

introduce multi time-level schemes.

 

Class MultiCubicSpline< i >

*

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 OneFactorCopula

Improve on simple Euler integration

 

Class OneFactorGaussianStudentCopula

Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations?

 

Class OneFactorStudentCopula

Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations?

 

Class OneFactorStudentGaussianCopula

Improve performance/accuracy of the calculation of inverse cumulative Y. Tabulate and store it for selected correlations?

 

Class RandomizedLDS< LDS, PRS >

implement the other randomization algorithms

 

Member QuantLib::SampledCurve::valueAtCenter() const

replace or complement with a more general function valueAt(spot)

 

Member QuantLib::SampledCurve::firstDerivativeAtCenter() const

replace or complement with a more general function firstDerivativeAt(spot)

 

Member QuantLib::SampledCurve::secondDerivativeAtCenter() const

replace or complement with a more general function secondDerivativeAt(spot)

 

Class Solver1D< Impl >

*

clean up the interface so that it is clear whether the accuracy is specified for $ x $ or $ f(x) $.

*

add target value (now the target value is 0.0)

 

Class SwapRateHelper

use input SwapIndex to create the swap

 

Class Swaption

add greeks and explicit exercise lag

 

Class SyntheticCDO

Investigate and fix cases $ E_{i+1} < E_i. $

 

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.

 

File syntheticcdoengines.hpp

Add further engines for analytical expected tranche loss cases - large homogeneous pool with Normal Inverse Gaussian, Gamma copula

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