Cds2 - Githubissues

finmath / finmath-lib

Mathematical Finance Library: Algorithms and methodologies related to mathematical finance.

Apache License 2.0

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Cds2 #32

Closed AlessandroGnoatto closed 6 years ago

AlessandroGnoatto commented 7 years ago

What is this PR for?

We introduce a class representing CDS Dates in a tabular way.

What type of PR is it?

New functionality.

Todos

N/A

What is the related issue?

N/A

How should this be tested?

We provide a small console test. Results have been compared with a vendor library.

Are there breaking changes for older versions? No

finmath commented 7 years ago

Just a little minor comment (sorry for this):

the .project and .classpath should not be part of the pull request.
the Test in src/test should be JUnitTest (then Travis and Jenkins will run it automatically).

With respect to the classes itself: I have to check if it is OK to include a "port" (w.r.t. the license). Why not just implement our own algorithm to perform "IMM"-daterolling?!

AlessandroGnoatto commented 7 years ago

No worries. If you see an issue with this just decline the pull request.