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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<h1><a class="anchor" name="todo">Todo List</a></h1><a class="anchor" name="_todo000008"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_american_condition.html">AmericanCondition</a> </dt>
<dd>unify the intrinsicValues/Payoff thing </dd>
</dl>
<p>
<a class="anchor" name="_todo000006"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_american_exercise.html">AmericanExercise</a> </dt>
<dd>check that everywhere the American condition is applied from earliestDate and not earlier </dd>
</dl>
<p>
<a class="anchor" name="_todo000046"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_american_payoff_at_expiry.html">AmericanPayoffAtExpiry</a> </dt>
<dd>calculate greeks </dd>
</dl>
<p>
<a class="anchor" name="_todo000047"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_american_payoff_at_hit.html">AmericanPayoffAtHit</a> </dt>
<dd>calculate greeks </dd>
</dl>
<p>
<a class="anchor" name="_todo000050"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_analytic_barrier_engine.html">AnalyticBarrierEngine</a> </dt>
<dd>rework to avoid repeated casts inside utility methods </dd>
</dl>
<p>
<a class="anchor" name="_todo000048"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_analytic_continuous_geometric_average_price_asian_engine.html">AnalyticContinuousGeometricAveragePriceAsianEngine</a> </dt>
<dd>handle seasoned options </dd>
</dl>
<p>
<a class="anchor" name="_todo000052"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_analytic_digital_american_engine.html">AnalyticDigitalAmericanEngine</a> </dt>
<dd>add more greeks (as of now only delta and rho available)<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000049"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_analytic_discrete_geometric_average_price_asian_engine.html">AnalyticDiscreteGeometricAveragePriceAsianEngine</a> </dt>
<dd>implement correct theta, rho, and dividend-rho calculation<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000007"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_bermudan_exercise.html">BermudanExercise</a> </dt>
<dd>it would be nice to have a way for making a Bermudan with one exercise date equivalent to an European </dd>
</dl>
<p>
<a class="anchor" name="_todo000034"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_bicubic_spline.html">BicubicSpline</a> </dt>
<dd>revise end conditions </dd>
</dl>
<p>
<a class="anchor" name="_todo000035"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_bivariate_cumulative_normal_distribution_dr78.html">BivariateCumulativeNormalDistributionDr78</a> </dt>
<dd>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.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000061"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_black_variance_curve.html">BlackVarianceCurve</a> </dt>
<dd>check time extrapolation<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000062"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_black_variance_surface.html">BlackVarianceSurface</a> </dt>
<dd>check time extrapolation<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000011"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_boundary_condition.html#8c0137d7160ad71b6ed265c53c99ed00">BoundaryCondition::Side</a> </dt>
<dd>Generalize for n-dimensional conditions </dd>
</dl>
<p>
<a class="anchor" name="_todo000063"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_cap_volatility_vector.html">CapVolatilityVector</a> </dt>
<dd>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. </dd>
</dl>
<p>
<a class="anchor" name="_todo000002"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_cashflows.html">Cashflows</a> </dt>
<dd>add tests </dd>
</dl>
<p>
<a class="anchor" name="_todo000015"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_cdor.html">Cdor</a> </dt>
<dd>check settlement days and day-count convention. </dd>
</dl>
<p>
<a class="anchor" name="_todo000022"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_cliquet_option.html">CliquetOption</a> </dt>
<dd><ul>
<li>add local/global caps/floors</li><li>add accrued coupon and last fixing</li></ul>
<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000021"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_continuous_averaging_asian_option.html">ContinuousAveragingAsianOption</a> </dt>
<dd>add running average<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000010"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_dirichlet_b_c.html">DirichletBC</a> </dt>
<dd>generalize to time-dependent conditions.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000044"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_discrete_geometric_a_s_o.html">DiscreteGeometricASO</a> </dt>
<dd>add analytical greeks </dd>
</dl>
<p>
<a class="anchor" name="_todo000005"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_event.html#5d95069505c22ba0bdf59e099481cdac">Event::hasOccurred</a> (const Date &d, bool includeToday=false) const </dt>
<dd>make QL_TODAYS_PAYMENT dynamically configurable? </dd>
</dl>
<p>
<a class="anchor" name="_todo000012"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_explicit_euler.html">ExplicitEuler</a> </dt>
<dd>add Richardson extrapolation<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000023"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_fixed_coupon_bond_forward.html">FixedCouponBondForward</a> </dt>
<dd>Add preconditions and tests<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000023"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_fixed_coupon_bond_forward.html">FixedCouponBondForward</a> </dt>
<dd>Create switch- if coupon goes to seller is toggled on, don't consider income in the <img class="formulaInl" alt="$ P_{DirtyFwd}(t) $" src="form_70.png"> calculation.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000023"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_fixed_coupon_bond_forward.html">FixedCouponBondForward</a> </dt>
<dd>Verify this works when the underlying is paper (in which case ignore all AI.)<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000004"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_floating_rate_coupon.html">FloatingRateCoupon</a> </dt>
<dd>add gearing unit test </dd>
</dl>
<p>
<a class="anchor" name="_todo000026"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_forward.html">Forward</a> </dt>
<dd>Add preconditions and tests<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000027"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html">ForwardRateAgreement</a> </dt>
<dd>Add preconditions and tests<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000027"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html">ForwardRateAgreement</a> </dt>
<dd>Should put an instance of ForwardRateAgreement in the FraRateHelper to ensure consistency with the piecewise yield curve.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000027"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_forward_rate_agreement.html">ForwardRateAgreement</a> </dt>
<dd>Differentiate between BBA (British)/AFB (French) [assumed here] and ABA (Australian) banker conventions in the calculations.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000059"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_futures_rate_helper.html">FuturesRateHelper</a> </dt>
<dd>implement/refactor constructors with: Index instead of (nMonths, calendar, convention, dayCounter), IMM code </dd>
</dl>
<p>
<a class="anchor" name="_todo000055"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#c0fef0634785539f761f09c6fe6fa566">GeneralizedBlackScholesProcess::drift</a> (Time t, Real x) const </dt>
<dd>revise extrapolation </dd>
</dl>
<p>
<a class="anchor" name="_todo000056"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_generalized_black_scholes_process.html#5ab4b67d548a4674f8a989868c0a922b">GeneralizedBlackScholesProcess::diffusion</a> (Time t, Real x) const </dt>
<dd>revise extrapolation </dd>
</dl>
<p>
<a class="anchor" name="_todo000039"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_generic_risk_statistics.html">GenericRiskStatistics</a> </dt>
<dd>add historical annualized volatility<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000014"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_index.html#0d2675713373f2539534cddfcfb22b52">Index::name</a> () const=0 </dt>
<dd>add methods returning InterestRate </dd>
</dl>
<p>
<a class="anchor" name="_todo000054"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_integral_engine.html">IntegralEngine</a> </dt>
<dd>define tolerance for calculate()<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000016"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_interest_rate_index.html">InterestRateIndex</a> </dt>
<dd>add methods returning InterestRate </dd>
</dl>
<p>
<a class="anchor" name="_todo000017"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_jibar.html">Jibar</a> </dt>
<dd>check settlement days and day-count convention. </dd>
</dl>
<p>
<a class="anchor" name="_todo000036"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_log_linear_interpolation.html">LogLinearInterpolation</a> </dt>
<dd>implement primitive, derivative, and secondDerivative functions. </dd>
</dl>
<p>
<a class="anchor" name="_todo000038"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_matrix.html#bbbd1fbdec84c274b421380416f9716a">pseudoSqrt</a> </dt>
<dd><ul>
<li>implement Higham algorithm: Higham "Computing the nearest correlation matrix"</li></ul>
<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000045"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_mc_discrete_arithmetic_a_s_o.html">McDiscreteArithmeticASO</a> </dt>
<dd>continous-averaging version </dd>
</dl>
<p>
<a class="anchor" name="_todo000051"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_m_c_variance_swap_engine.html">MCVarianceSwapEngine</a> </dt>
<dd>define tolerance of numerical integral and incorporate it in errorEstimate<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000013"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_mixed_scheme.html">MixedScheme</a> </dt>
<dd><ul>
<li>derive variable theta schemes</li><li>introduce multi time-level schemes.</li></ul>
<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000037"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_multi_cubic_spline.html">MultiCubicSpline</a> </dt>
<dd><ul>
<li>fix it for Borland compilation</li><li>allow extrapolation as for the other interpolations</li><li>investigate if and how to implement Hyman filters and different boundary conditions</li></ul>
<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000009"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_neumann_b_c.html">NeumannBC</a> </dt>
<dd>generalize to time-dependent conditions.<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000043"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_option_1_1arguments.html">Option::arguments</a> </dt>
<dd><ul>
<li>remove std::vector<Time> stoppingTimes</li><li>how to handle strike-less option (asian average strike, forward, etc.)? </li></ul>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000057"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_randomized_l_d_s.html">RandomizedLDS</a> </dt>
<dd>implement the other randomization algorithms<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000040"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_sampled_curve.html#8dc677f32351794fcb706d7f008318b2">SampledCurve::valueAtCenter</a> () const </dt>
<dd>replace or complement with a more general function valueAt(spot) </dd>
</dl>
<p>
<a class="anchor" name="_todo000041"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_sampled_curve.html#1282d2459b8817e0a0c69d186593391c">SampledCurve::firstDerivativeAtCenter</a> () const </dt>
<dd>replace or complement with a more general function firstDerivativeAt(spot) </dd>
</dl>
<p>
<a class="anchor" name="_todo000042"></a> <dl>
<dt>Member <a class="el" href="class_quant_lib_1_1_sampled_curve.html#ef66dd6de85c1f3c407119405a223e4d">SampledCurve::secondDerivativeAtCenter</a> () const </dt>
<dd>replace or complement with a more general function secondDerivativeAt(spot) </dd>
</dl>
<p>
<a class="anchor" name="_todo000058"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_solver1_d.html">Solver1D</a> </dt>
<dd><ul>
<li>clean up the interface so that it is clear whether the accuracy is specified for <img class="formulaInl" alt="$ x $" src="form_89.png"> or <img class="formulaInl" alt="$ f(x) $" src="form_164.png">.</li><li>add target value (now the target value is 0.0) </li></ul>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000030"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_swaption.html">Swaption</a> </dt>
<dd>add greeks and explicit exercise lag </dd>
</dl>
<p>
<a class="anchor" name="_todo000018"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_tibor.html">Tibor</a> </dt>
<dd>check settlement days. </dd>
</dl>
<p>
<a class="anchor" name="_todo000060"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_time_grid.html">TimeGrid</a> </dt>
<dd>what was the rationale for limiting the grid to positive times? Investigate and see whether we can use it for negative ones as well. </dd>
</dl>
<p>
<a class="anchor" name="_todo000001"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_united_kingdom.html">UnitedKingdom</a> </dt>
<dd>add LIFFE<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000019"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_xibor.html">Xibor</a> </dt>
<dd>add methods returning InterestRate </dd>
</dl>
<p>
<a class="anchor" name="_todo000064"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> </dt>
<dd>add derived class ParSwapTermStructure similar to ZeroYieldTermStructure, DiscountStructure, ForwardRateStructure<p>
</dd>
</dl>
<p>
<a class="anchor" name="_todo000020"></a> <dl>
<dt>Class <a class="el" href="class_quant_lib_1_1_zibor.html">Zibor</a> </dt>
<dd>check settlement days and day-count. </dd>
</dl>
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