==========================
QuantLib 1.34 includes 35 pull requests from several contributors.
Some of the most notable changes are included below.
A detailed list of changes is available in ChangeLog.txt and at
<https://github.com/lballabio/QuantLib/milestone/32?closed=1>.
Portability
-----------
- **Future end of support:** as announced in release 1.32, we're
targeting next release (1.35) as the last to support Visual C++
2015, g++ up to version 6.x, and clang up to version 4; support for
those compilers will be dropped in release 1.36, about six months
from now. From that point onwards, this will allows us to enable
the use of C++17 in the code base.
Also, given the testing environments available on GitHub actions,
clang 5 is already no longer available to us for testing, and in a
while the same will hold for clang 6 and g++ 7. Therefore, it is
suggested to upgrade to a newer version if possible.
- **Future end of support:** at the same time as the above, we'll also
remove the configure switch that allows to use `boost::tuple`,
`boost::function` and `boost::bind` instead of their `std`
counterparts; the `std` classes are already the default since
release 1.32.
- Generate and install pkg-config files in CMake builds; thanks to
GitHub user jez6.
Dates and calendars
-------------------
- Prevent `Calendar::advance` from returning the business end of month
(instead of the calendar end) when `endOfMonth` is `true` and
`convention` is `Unadjusted`; thanks to GitHub user DeimosXing.
- Add good Friday holiday for SOFR fixing; thanks to GitHub user
PaulXiCao.
- Properly restrict São Paulo city holiday to years before 2022;
thanks to Marco Bruno Ferreira Vasconcellos (marcobfv).
- Update holidays for 2023 and 2024 in calendars for India, Thailand,
Singapore and South Africa; thanks to Fredrik Gerdin Börjesson
(gbfredrik).
Cash flows
----------
- Fixed a couple of cases in which notifications were not forwarded
properly; thanks to GitHub user djkrystul for the heads-up.
- Fixed past payment dates and added support for OIS in
`LinearTsrPricer`; thanks to Peter Caspers (pcaspers).
Instruments
-----------
- Swaptions can now take an OIS as underlying; thanks to Guillaume
Horel (thrasibule) and Peter Caspers (pcaspers). So far, only
`BlackSwaptionEngine` manages OIS explicitly; other engines might
work and return approximated values.
- More methods in `MakeOIS` and `MakeVanillaSwap`; thanks to Eugene Toder
(eltoder).
- More methods in the `BondFunctions` class now support either clean or
dirty prices; thanks to Francois Botha (igitur).
- The `basisPointValue` and `yieldValueBasisPoint` methods in
`BondFunctions` didn't always manage the settlement date correctly;
this is now fixed (thanks to GitHub user jez6).
- Add `Custom` to `Futures::Type` enumeration to allow passing custom
dates to futures; thanks to Eugene Toder (eltoder).
Term structures
---------------
- Inflation curves can now be built passing an explicit base date
(corresponding to the last published fixing) instead of an
observation lag (lballabio).
- Fixed calculation of year fraction under Actual/365 Canadian
convention in `FuturesRateHelper`; thanks to GitHub user PaulXiCao.
- Fixed settlement date calculation in cross-currency basis-swap rate
helpers in some cases; thanks to Marcin Rybacki (marcin-rybacki)
for the fix and to Aleksis Ali Raza for the heads-up.
Math
----
- Handle non-equidistant grids and arbitrary dimensions in Laplace
interpolation; thanks to Peter Caspers (pcaspers).
Deprecated features
-------------------
- **Removed** features deprecated in version 1.29:
- The `argument_type`, `first_argument_type`, `second_argument_type`
and `result_type` typedefs in several classes;
- The overloads of zero-rate inflation index constructors taking an
`interpolated` argument;
- The `interpolated` method and the protected `interpolated_` data
member in `InflationIndex`;
- The overload of `CashFlows::npvbps` taking the result by reference;
- The protected `rateCurve_` method in `InflationCouponPricer`;
- The `ThreadKey` typedef;
- The empty header `ql/experimental/credit/riskybond.hpp`.
- Deprecated the constructors of `InflationTermStructure`,
`ZeroInflationTermStructure`, `YoYInflationTermStructure`,
`InterpolatedZeroInflationCurve`, `InterpolatedYoYInflationCurve`,
`PiecewiseZeroInflationCurve` and `PiecewiseYoYInflationCurve`
taking an observation lag; use the overloads taking an explicit base
date instead.
- Deprecated the `Bond::yield`, `BondFunctions::atmRate`,
`BondFunctions::yield` and `BondFunctions::zSpread` overloads taking
a clean price as a number; use the overloads taking a `Bond::Price`
instead.
- Deprecated the `InflationTermStructure::setSeasonality` overload
taking no arguments; use the overload taking a pointer and pass an
empty one to remove seasonality.
- Deprecated the `InflationTermStructure::setBaseRate` method; set
`baseRate_` directly if needed.
- Deprecated the `Swaption::underlyingSwap` and
`SwaptionHelper::underlyingSwap` methods; use `underlying` instead.
- Deprecated the broken `FixedRateBondHelper::fixedRateBond` and
`CPIBondHelper::cpiBond` methods and the corresponding
`fixedRateBond_` and `cpiBond_` data members.
**Thanks go also** to Isuru Fernando (isuruf), Viktor Zhou
(yyuuhhjjnnmm), Stephen Dacek (sdacek), Yi Jiang (yjian012),
Jonathan Sweemer (sweemer), Eugene Toder (eltoder), the XAD team
(auto-differentiation-dev) and GitHub user PaulXiCao and klin333
for miscellaneous fixes, improvements or reports.
commit d3fe049dfd501250ec09513174b95aedd9243816
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.34 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 9a9c15480a1de15708267c16b345c517ee65155b
Author: github-actions[bot] <41898282+github-actions[bot]users.noreply.github.com>
Date: Wed, 17 Apr 2024 13:43:28 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 4 ++--
ql/instruments/overnightindexedswap.hpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit 5ea96972bae030909c8ba564247f4d0f02665693
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.34-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit e448f8d8fc16497209707a529667e0059dca0b57
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 15 Apr 2024 14:56:57 +0200
Update news and changelog
ChangeLog.txt | 6844 +++++++++--------------------------------------
Contributors.txt | 4 +
Docs/pages/history.docs | 106 +-
News.md | 169 +-
4 files changed, 1526 insertions(+), 5597 deletions(-)
commit e8bd858c87df8b7c199b5b3df20bb04acf04f2a2
Merge: acc3b125e 1e6247489
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 16 Apr 2024 19:46:34 +0200
Avoid an out-of-bounds access in fitted discount curve (1950)
commit acc3b125ebce15dade1b6faffb5f7108baa83f5a
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 16 Apr 2024 10:40:34 +0200
Clang 18 in CI build matrix
.github/workflows/linux-full-tests.yml | 8 +++++++-
.github/workflows/linux-nondefault.yml | 5 +++--
.github/workflows/linux.yml | 5 +++--
3 files changed, 13 insertions(+), 5 deletions(-)
commit 1e624748955320e99086bdf85f69dc82b904832c
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 16 Apr 2024 12:58:44 +0200
Avoid an out-of-bounds access in fitted discount curve
.../yield/fittedbonddiscountcurve.cpp | 2 ++
test-suite/fittedbonddiscountcurve.cpp | 30 ++++++++++++++++++++++
2 files changed, 32 insertions(+)
commit b27b23e0e0b9d06ce7adf84d5ff193bd8e72ddee
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 16 Apr 2024 08:54:27 +0200
Upgrade to latest Boost in CI builds
.github/workflows/cmake.yml | 6 +++---
.github/workflows/msvc-all-configs.yml | 2 +-
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/msvc-nondefault.yml | 2 +-
.github/workflows/msvc.yml | 2 +-
5 files changed, 7 insertions(+), 7 deletions(-)
commit 077a1eeaf866b07b90b2defec9ecb4a082e6199b
Author: github-actions[bot] <41898282+github-actions[bot]users.noreply.github.com>
Date: Sun, 14 Apr 2024 01:09:17 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 2 +-
ql/instruments/overnightindexedswap.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 2eca967d1aed7a1fc9a790865af6e869907c4c71
Merge: 0d57fb48b d6beb7063
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 12 Apr 2024 09:58:58 +0200
Make `ZeroInflationCashFlow` properly lazy (1947)
commit 0d57fb48b0e5a50cb0ff2d823fed089c1f6f679f
Merge: daec722c5 f3a2e923f
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 11 Apr 2024 17:35:43 +0200
Register floating cash flows with OIS; add tests (1946)
commit d6beb7063d66c8a28be8d3effb387ecdb3dfc48b
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 11 Apr 2024 16:14:19 +0200
Make ZeroInflationCashFlow properly lazy
ql/cashflows/indexedcashflow.hpp | 3 ++-
ql/cashflows/zeroinflationcashflow.cpp | 6 +++---
ql/cashflows/zeroinflationcashflow.hpp | 2 +-
test-suite/inflation.cpp | 37 ++++++++++++++++++++++++++++++++++
4 files changed, 43 insertions(+), 5 deletions(-)
commit f3a2e923f9808f27a065b70ab59c25b848b499c3
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 11 Apr 2024 14:34:20 +0200
Register floating cash flows with OIS; add tests
ql/instruments/overnightindexedswap.cpp | 2 ++
ql/instruments/vanillaswap.cpp | 4 +--
test-suite/overnightindexedswap.cpp | 42 +++++++++++++++++++++++++++++++
test-suite/swap.cpp | 44 +++++++++++++++++++++++++++++++++
4 files changed, 90 insertions(+), 2 deletions(-)
commit daec722c516a2de9742ccf59238a8373e1898caf
Merge: 7c12452aa bdbb8e179
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 8 Apr 2024 09:41:41 +0200
Pass Schedule by value and move (1942)
commit bdbb8e179f0a486d3f8f22c91fc7dbc80aa564b4
Author: Jonathan Sweemer <sweemergmail.com>
Date: Sat, 6 Apr 2024 16:09:02 +0900
Pass Schedule by value and move
ql/cashflows/cpicoupon.cpp | 16 ++++++-------
ql/cashflows/cpicoupon.hpp | 2 +-
ql/cashflows/fixedratecoupon.cpp | 4 ++--
ql/cashflows/fixedratecoupon.hpp | 2 +-
ql/cashflows/overnightindexedcoupon.cpp | 8 +++----
ql/cashflows/overnightindexedcoupon.hpp | 2 +-
ql/cashflows/subperiodcoupon.cpp | 9 ++++---
ql/cashflows/subperiodcoupon.hpp | 2 +-
.../averageois/arithmeticaverageois.cpp | 20 ++++++++--------
.../averageois/arithmeticaverageois.hpp | 11 ++++-----
ql/experimental/callablebonds/callablebond.cpp | 11 ++++-----
ql/experimental/callablebonds/callablebond.hpp | 2 +-
ql/experimental/catbonds/catbond.cpp | 6 ++---
ql/experimental/catbonds/catbond.hpp | 2 +-
ql/experimental/credit/nthtodefault.cpp | 13 +++++-----
ql/experimental/credit/nthtodefault.hpp | 8 +++----
ql/experimental/credit/syntheticcdo.cpp | 22 ++++++++---------
ql/experimental/credit/syntheticcdo.hpp | 24 +++++++++----------
ql/instruments/assetswap.cpp | 28 +++++++++++-----------
ql/instruments/assetswap.hpp | 2 +-
ql/instruments/bmaswap.cpp | 12 ++++++----
ql/instruments/bmaswap.hpp | 5 ++--
ql/instruments/bonds/amortizingcmsratebond.cpp | 4 ++--
ql/instruments/bonds/amortizingcmsratebond.hpp | 2 +-
ql/instruments/bonds/amortizingfixedratebond.cpp | 4 ++--
ql/instruments/bonds/amortizingfixedratebond.hpp | 2 +-
.../bonds/amortizingfloatingratebond.cpp | 4 ++--
.../bonds/amortizingfloatingratebond.hpp | 4 ++--
ql/instruments/bonds/cmsratebond.cpp | 4 ++--
ql/instruments/bonds/cmsratebond.hpp | 2 +-
ql/instruments/bonds/cpibond.cpp | 5 ++--
ql/instruments/bonds/cpibond.hpp | 2 +-
ql/instruments/bonds/fixedratebond.cpp | 4 ++--
ql/instruments/bonds/fixedratebond.hpp | 2 +-
ql/instruments/bonds/floatingratebond.cpp | 4 ++--
ql/instruments/bonds/floatingratebond.hpp | 2 +-
ql/instruments/equitytotalreturnswap.cpp | 22 ++++++++---------
ql/instruments/floatfloatswap.cpp | 25 +++++++++----------
ql/instruments/floatfloatswap.hpp | 4 ++--
ql/instruments/overnightindexedswap.cpp | 25 ++++++++++---------
ql/instruments/overnightindexedswap.hpp | 10 ++++----
.../calibrationhelpers/swaptionhelper.cpp | 12 +++++-----
.../calibrationhelpers/swaptionhelper.hpp | 4 ++--
ql/termstructures/yield/bondhelpers.cpp | 8 +++----
ql/termstructures/yield/bondhelpers.hpp | 4 ++--
ql/time/daycounters/actualactual.cpp | 5 ++--
ql/time/daycounters/actualactual.hpp | 8 +++----
test-suite/crosscurrencyratehelpers.cpp | 16 ++++++-------
48 files changed, 195 insertions(+), 204 deletions(-)
commit 7c12452aa18f08f873d926b6a9f9f87eaba1a0b0
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 4 Apr 2024 10:08:27 +0200
Add CI builds on MacOS 14 M1 runner
.github/workflows/macos-nondefault.yml | 6 +++---
.github/workflows/macos.yml | 6 +++---
2 files changed, 6 insertions(+), 6 deletions(-)
commit 0e6892246e51a407f60d89fbbc0000aa916ef8a0
Merge: 2f384b134 c71e2531e
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 2 Apr 2024 18:12:58 +0200
Restore backward compatibility (1939)
commit c71e2531e3e39e981550b5d6a623b7a1c6d38af6
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 2 Apr 2024 09:12:11 +0200
Restore backward compatibility
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 6 +++---
ql/experimental/basismodels/swaptioncfs.cpp | 2 +-
ql/instruments/nonstandardswaption.cpp | 2 +-
ql/instruments/swaption.cpp | 2 ++
ql/instruments/swaption.hpp | 13 ++++++++++++-
ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 12 +++++++++++-
test-suite/swaption.cpp | 4 ++--
test-suite/swaptionvolatilitymatrix.cpp | 4 ++--
8 files changed, 34 insertions(+), 11 deletions(-)
commit 2f384b134675adc67b27016b33dab9023bf9ce1f
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 2 Apr 2024 10:21:31 +0200
Fewer builds in default CI matrix
.github/workflows/linux.yml | 51 ---------------------------------------------
1 file changed, 51 deletions(-)
commit 217dd4a39bc878447653afc73d8fdd9e0f938eca
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 2 Apr 2024 09:21:30 +0200
Remove extra output in tests
test-suite/cashflows.cpp | 6 ------
1 file changed, 6 deletions(-)
commit 56c63cca3ea298e15927d52ef87ec9bc70a737d0
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Sun, 31 Mar 2024 21:37:00 +0200
Use checkout action v3 until available on older images
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 47ba67de86a64d738b3ea09bff6d7d3f4681d515
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 29 Mar 2024 11:09:42 +0100
Simplify workflow matrix for MacOS
.github/workflows/macos-nondefault.yml | 13 +++----------
.github/workflows/macos.yml | 14 +++++---------
2 files changed, 8 insertions(+), 19 deletions(-)
commit 9ff05427c30042b97dbd4b1c485f24f680cfebbf
Merge: d6f6c13a5 9b4efa33c
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 28 Mar 2024 15:50:35 +0100
allow swaptions to take OvernightIndexedSwap (1593)
commit 9b4efa33c4cf21e503ff45a5acef79ef4fea3ee3
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 28 Mar 2024 14:17:24 +0100
Add warnings to docs
ql/instruments/swaption.hpp | 6 ++++++
ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 9 +++++++--
2 files changed, 13 insertions(+), 2 deletions(-)
commit d6f6c13a57cd5980d6cd619795a82a6ac55b8731
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 28 Mar 2024 11:05:02 +0100
Update checkout action
.github/workflows/cmake.yml | 12 ++++++------
.github/workflows/codeql-analysis.yml | 2 +-
.github/workflows/copyrights.yml | 2 +-
.github/workflows/coveralls.yml | 2 +-
.github/workflows/devenv-images.yml | 2 +-
.github/workflows/doxygen.yml | 4 ++--
.github/workflows/filelists.yml | 2 +-
.github/workflows/generated-headers.yml | 2 +-
.github/workflows/headers.yml | 2 +-
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 2 +-
.github/workflows/macos-nondefault.yml | 2 +-
.github/workflows/macos.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/msvc-all-configs.yml | 2 +-
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/msvc-nondefault.yml | 2 +-
.github/workflows/msvc.yml | 2 +-
.github/workflows/sanitizer.yml | 4 ++--
.github/workflows/test-times.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
22 files changed, 29 insertions(+), 29 deletions(-)
commit 1b422725fd0677bf2283f15fd3e05ba680e0e86f
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 25 Mar 2024 15:06:28 +0100
Workflow for MSVC++ build via traditional solution
.appveyor.yml | 12 +--
{.appveyor => .ci}/Unity.props | 0
{.appveyor => .ci}/VS2015.props | 0
.ci/VS2017.props | 19 +++++
.ci/VS2019.alt.props | 15 ++++
{.appveyor => .ci}/VS2019.props | 5 +-
.ci/VS2022.alt.props | 15 ++++
{.appveyor => .ci}/VS2022.props | 5 +-
.ci/userconfig2019.alt.hpp | 137 +++++++++++++++++++++++++++++++++
.ci/userconfig2022.alt.hpp | 137 +++++++++++++++++++++++++++++++++
.github/workflows/msvc-all-configs.yml | 68 ++++++++++++++++
.github/workflows/msvc-nondefault.yml | 66 ++++++++++++++++
.github/workflows/msvc.yml | 61 +++++++++++++++
README.md | 8 +-
14 files changed, 528 insertions(+), 20 deletions(-)
commit 0685ba0073842bcf84fa3f11ee72e34a3729c7b2
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 27 Mar 2024 13:20:24 +0100
Ensure mathconstants.hpp is not included before qldefines.hpp
ql/math/randomnumbers/stochasticcollocationinvcdf.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 65225778397324f7fd8a97cca83aced9e721e028
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 26 Mar 2024 08:55:08 +0100
Don't optimize VC++ 2015 build, don't run tests.
For some reason Appveyor got a lot slower. We might have to move
away from it.
.appveyor.yml | 2 --
.appveyor/VS2015.props | 1 +
2 files changed, 1 insertion(+), 2 deletions(-)
commit c566b6db9e5aa750eb88b87ca9580cd1cad5d863
Author: github-actions[bot] <41898282+github-actions[bot]users.noreply.github.com>
Date: Sun, 24 Mar 2024 01:27:50 +0000
Automated fixes by clang-tidy
ql/experimental/math/laplaceinterpolation.cpp | 9 +++++----
ql/experimental/math/laplaceinterpolation.hpp | 2 +-
2 files changed, 6 insertions(+), 5 deletions(-)
commit 8c0386b4496b15805dd3eee0f3cce7c30d167a81
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 25 Mar 2024 17:32:37 +0100
Speed up CI build for VC++ 2015
.appveyor/VS2015.props | 3 +++
1 file changed, 3 insertions(+)
commit 27d4f37fd3bd3223c0bf9b4661609e86d8bb6053
Merge: c7943e5a2 a5a6c5504
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 22 Mar 2024 18:34:07 +0100
Add conversions to Real in Laplace Interpolation file for consistency (1935)
commit c7943e5a23606ab698ec8f7eb050c746f2a0df7b
Merge: a5612b907 fffcb9f5f
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 22 Mar 2024 15:31:52 +0100
LinearTsrPricer: fix past payment dates, support overnight swap indices, add missing include (1775)
commit a5612b907701e6e4159c9320158f6fef9b2ab5c0
Author: github-actions[bot] <41898282+github-actions[bot]users.noreply.github.com>
Date: Thu, 21 Mar 2024 15:44:58 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit fffcb9f5fb6dd53dea39eca51aeb1ec82f40fec1
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 22 Mar 2024 12:00:39 +0100
Use fixed vs floater swap
ql/cashflows/lineartsrpricer.cpp | 17 ++++++-----------
ql/cashflows/lineartsrpricer.hpp | 4 ++--
2 files changed, 8 insertions(+), 13 deletions(-)
commit a5a6c5504ef50be09733f2409a8454724240f3db
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-devusers.noreply.github.com>
Date: Fri, 22 Mar 2024 08:08:21 +0000
Fixes accumulate to work with the Real type in laplaceinterpolation.cpp
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2a7555baef3be926f8fe2ddff7b5a436ee7f812b
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-devusers.noreply.github.com>
Date: Fri, 22 Mar 2024 07:48:23 +0000
Correct cast to Real for ternary expression
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7356c36b276a36d1e8cd96db353d807af91ea2b0
Merge: bdeb56ff9 5727400e1
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 21 Mar 2024 16:44:30 +0100
handle non-equidistant grids and arbitrary dimensions in Laplace interpolation, add unit tests (1931)
commit 5727400e1738fdf0935c0e600eaad01c77ab8922
Author: Peter Caspers <peter.caspersacadia.inc>
Date: Thu, 21 Mar 2024 15:07:03 +0100
remove template version, just support QuantLib::Matrix
ql/experimental/math/laplaceinterpolation.cpp | 10 +---------
ql/experimental/math/laplaceinterpolation.hpp | 4 ++--
2 files changed, 3 insertions(+), 11 deletions(-)
commit bdeb56ff99d43087825818f226e1e31c100983bc
Merge: 8b687cb2e ea5fe1b55
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 20 Mar 2024 16:13:35 +0100
Bug fix - cross currency basis swap rate helpers settlement date payment (1930)
commit 85448fc9950e3bf71e891804d37ff4440a2565ab
Author: Peter Caspers <peter.caspersacadia.inc>
Date: Tue, 19 Mar 2024 15:27:48 +0100
make ctor explicit
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 93586e09011074f8d01976315ea067e5e3abe3d8
Author: Peter Caspers <peter.caspersacadia.inc>
Date: Tue, 19 Mar 2024 15:10:48 +0100
update make file
ql/experimental/math/Makefile.am | 1 +
1 file changed, 1 insertion(+)
commit 3e1e10ffea614dd3da1f4ce1b86db83bcbd27858
Author: Peter Caspers <peter.caspersacadia.inc>
Date: Tue, 19 Mar 2024 15:02:48 +0100
update project files, fix typo
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
3 files changed, 5 insertions(+), 1 deletion(-)
commit 628ebc5810accc29eab68de65fb78689682e0af0
Author: Peter Caspers <peter.caspersacadia.inc>
Date: Tue, 19 Mar 2024 14:54:08 +0100
handle non-equidistant grids and arbitrary dimensions
ql/CMakeLists.txt | 1 +
ql/experimental/math/laplaceinterpolation.cpp | 253 +++++++++++++++++++++++++
ql/experimental/math/laplaceinterpolation.hpp | 173 +++++------------
test-suite/interpolations.cpp | 261 ++++++++++++++++++++++++++
4 files changed, 557 insertions(+), 131 deletions(-)
commit ea5fe1b55d34e1661c5564ecc790fcb7983f3085
Author: Marcin Rybacki <m.rybackibasispoint.io>
Date: Mon, 18 Mar 2024 11:27:37 +0100
Use correct discount rate for settlement date cash flow
.../termstructures/crosscurrencyratehelpers.cpp | 5 ++-
test-suite/crosscurrencyratehelpers.cpp | 37 ++++++++++++++--------
2 files changed, 27 insertions(+), 15 deletions(-)
commit ebf1f8871d5ed07d6bbf2fad6daf98b84021352f
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 15 Mar 2024 17:01:43 +0100
Extract swap-building function
.../calibrationhelpers/swaptionhelper.cpp | 43 +++++++++-------------
.../calibrationhelpers/swaptionhelper.hpp | 4 ++
2 files changed, 22 insertions(+), 25 deletions(-)
commit c329d29b788f41e192b520ca30633157595ba51f
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 15 Mar 2024 16:48:58 +0100
Use correct fixed rate and float schedule in OIS case
ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 12 +++++++-----
ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 9 +++------
2 files changed, 10 insertions(+), 11 deletions(-)
commit 8b687cb2ede10619ef8caa6a19b7ccc9c4ccc12b
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Sun, 10 Mar 2024 20:39:18 +0100
Avoid brew errors in CI setup
.github/workflows/doxygen.yml | 1 -
1 file changed, 1 deletion(-)
commit f2597af011b10ff1cba8a05d1d8eb404bf866f1f
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Sun, 10 Mar 2024 20:29:33 +0100
Remove OSX 11 from build matrix.
.github/workflows/macos-nondefault.yml | 6 ------
.github/workflows/macos.yml | 2 --
2 files changed, 8 deletions(-)
commit 3e086ede50f25d8ea1d86eb14084c5c6fc5c12f2
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Sun, 10 Mar 2024 16:54:42 +0100
Avoid reinstalling brew dependent packages
.github/workflows/cmake.yml | 2 ++
.github/workflows/macos-nondefault.yml | 2 ++
.github/workflows/macos.yml | 2 ++
3 files changed, 6 insertions(+)
commit 992a8e18c34a637ce8a572d048c8a8ef5f1e56d0
Merge: b56bebad8 6bb9c1f18
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 8 Mar 2024 19:17:35 +0100
Uses Real in GeometricBrownianMotionProcess instead of double (1927)
commit b56bebad829222290a71f01b7ae4b8a9c796feb5
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 8 Mar 2024 16:36:50 +0100
Add missing argument to uninstantiated template method call
ql/pricingengines/bond/bondfunctions.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1f5518c17351e46b8e9371dbfba6e9c674dcbcc9
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 8 Mar 2024 12:11:23 +0100
Avoid ambiguous calls
ql/pricingengines/bond/bondfunctions.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 6bb9c1f18ff6d4c47f06a66136fb83411207e67c
Author: Auto Differentiation Dev Team <devauto-differentiation.com>
Date: Fri, 8 Mar 2024 09:04:41 +0000
Uses Real in GemoetricBrownianMotionProcess instead of double
ql/processes/geometricbrownianprocess.cpp | 6 +++---
ql/processes/geometricbrownianprocess.hpp | 12 ++++++------
2 files changed, 9 insertions(+), 9 deletions(-)
commit 6d5892e02871436fd00f19a30ee123e0bed77bab
Merge: 028c76e91 f1ed88696
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 7 Mar 2024 00:39:19 +0100
More functions to support both clean and dirty prices as input parameter (1813)
commit f1ed88696825015763807e78ab4687bd010705d2
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 6 Mar 2024 17:50:51 +0100
More concise default
ql/pricingengines/bond/bondfunctions.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 072a71e36e5bbd86bfc2fa746d85b48d1897ab2e
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 6 Mar 2024 17:24:28 +0100
Document deprecations in Doxygen
ql/instruments/bond.hpp | 8 +++++---
ql/pricingengines/bond/bondfunctions.hpp | 21 +++++++++++++++++----
2 files changed, 22 insertions(+), 7 deletions(-)
commit d944c52183c7338787ae66088acbaec1c402b6a6
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 6 Mar 2024 17:15:33 +0100
Use aggregate initialization for brevity
Examples/Bonds/Bonds.cpp | 8 +---
Examples/FittedBondCurve/FittedBondCurve.cpp | 2 +-
ql/instruments/bond.cpp | 2 +-
ql/instruments/bonds/btp.cpp | 8 ++--
ql/pricingengines/bond/bondfunctions.cpp | 8 ++--
test-suite/bonds.cpp | 61 +++++++++++++++-------------
test-suite/fittedbonddiscountcurve.cpp | 4 +-
7 files changed, 48 insertions(+), 45 deletions(-)
commit 0c9b9a801b8f54292665dc1d8e1a90d22684a360
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 6 Mar 2024 16:53:58 +0100
Remove implicit conversion from Real
ql/instruments/bond.hpp | 1 -
1 file changed, 1 deletion(-)
commit cf1a1c5bf5fbccc88b8407c738fbc624b8f0b0fe
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 6 Mar 2024 16:51:28 +0100
Replace comparison to null with isValid method
ql/instruments/bond.cpp | 8 --------
ql/instruments/bond.hpp | 9 +--------
ql/pricingengines/bond/bondfunctions.cpp | 16 +++++++---------
3 files changed, 8 insertions(+), 25 deletions(-)
commit 028c76e914a43218efaf5f6e5a4f057f434666fe
Merge: 589b042de 368c13b06
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 5 Mar 2024 09:02:15 +0100
Test failure: Recompute fixingDays after add/subtract 10 years (1925)
commit 368c13b0641ecd9940915e865331b2c1bc01e8b3
Author: Paul <d.goldbauerprotonmail.com>
Date: Mon, 4 Mar 2024 13:29:19 +0100
make use of Calendar::businessDaysBetween()
test-suite/convertiblebonds.cpp | 5 +----
1 file changed, 1 insertion(+), 4 deletions(-)
commit 589b042de50dd2ec629e0a085af2db50bef60b75
Merge: 2d1fd5b5e 4dd52ef0e
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 4 Mar 2024 12:20:32 +0100
Fix Thailand, Singapore, South African calendars for 2023, 2024 (1922)
commit 2d1fd5b5e4bd102cdaddb168860afd310a0f5c80
Merge: 014d08a6c 73192b60d
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 4 Mar 2024 12:18:42 +0100
Fixes data type used for test tolerances in boost (1923)
commit 3a984131765801f50302611d42c2f2e45a9c3ec7
Author: Paul <d.goldbauerprotonmail.com>
Date: Sun, 3 Mar 2024 23:26:30 +0100
recompute fixingDays after add/subtract 10 years
test-suite/convertiblebonds.cpp | 16 ++++++++++------
1 file changed, 10 insertions(+), 6 deletions(-)
commit 73192b60d61c241ec70e7554a46e7cc6b897dadd
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-devusers.noreply.github.com>
Date: Fri, 1 Mar 2024 16:03:10 +0000
Fixes data type used for test tolerances (tolerances with mistmatched types are ignored)
test-suite/cashflows.cpp | 2 +-
test-suite/period.cpp | 4 ++--
test-suite/prices.cpp | 10 +++++-----
3 files changed, 8 insertions(+), 8 deletions(-)
commit 4dd52ef0e19127afc77a5908957f2544544f21e6
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjessonhotmail.com>
Date: Fri, 1 Mar 2024 15:12:19 +0100
Add South African election holiday 2024-05-29
https://www.gov.za/news/media-statements/president-cyril-ramaphosa-announces-2024-general-elections-date-20-feb-2024
ql/time/calendars/southafrica.cpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit dbf861e4533f8c8e8a195270e78237b9823bec51
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjessonhotmail.com>
Date: Fri, 1 Mar 2024 10:55:27 +0100
Add Thai holiday for 2024-04-12
ql/time/calendars/thailand.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 07b4e62589d277fa472fbddc6e3dbfbc6ccc88f0
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjessonhotmail.com>
Date: Fri, 1 Mar 2024 10:54:41 +0100
Patch Singapore calendar for 2023, 2024
ql/time/calendars/singapore.cpp | 18 ++++++++++++++++++
ql/time/calendars/singapore.hpp | 3 ++-
2 files changed, 20 insertions(+), 1 deletion(-)
commit 95ac5fa2783a10cf626d5fa3dc6d1ec80c8c87d8
Author: Francois Botha <igiturgmail.com>
Date: Tue, 27 Feb 2024 11:02:14 +0200
Add BondFunctions::dirtyPrice() functions
ql/pricingengines/bond/bondfunctions.cpp | 26 ++++++++++++++++++++++++--
ql/pricingengines/bond/bondfunctions.hpp | 10 ++++++++++
test-suite/bonds.cpp | 31 +++++++++++++++++++++++++++++++
3 files changed, 65 insertions(+), 2 deletions(-)
commit 28c71b7318d9413016d314bdba860d65a0495cfe
Author: Francois Botha <igiturgmail.com>
Date: Wed, 18 Nov 2020 14:42:41 +0200
More functions to support both clean and dirty prices as input parameter
ql/pricingengines/bond/bondfunctions.cpp | 48 +++++++++++++++++-----
ql/pricingengines/bond/bondfunctions.hpp | 16 ++++++++
test-suite/bonds.cpp | 69 +++++++++++++++++++++++++++-----
3 files changed, 114 insertions(+), 19 deletions(-)
commit 2ee2bf7721fe57f9bffab87e08a36052bef22845
Author: Francois Botha <igiturgmail.com>
Date: Tue, 27 Feb 2024 10:46:14 +0200
Add Bond::Price constructor and equality/inequality operators with single arguemnt to enable Null<Bond::Price> support
ql/instruments/bond.cpp | 8 ++++++++
ql/instruments/bond.hpp | 11 ++++++++++-
2 files changed, 18 insertions(+), 1 deletion(-)
commit 014d08a6cfab211f1bba2ca539cb5eac7dbb3fe0
Merge: bd7242c49 89d300930
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 29 Feb 2024 14:56:05 +0100
Update 2023-2024 holidays in Indian calendar (1919)
commit ceef8c0d96e213a050066c9c8947adbeb7cc570c
Author: Francois Botha <igiturgmail.com>
Date: Mon, 26 Feb 2024 20:38:19 +0200
Use Bond::Price class instead of separate Real/Bond::Price::Type arguments. Mark old methods as deprecated.
Examples/Bonds/Bonds.cpp | 5 +-
Examples/FittedBondCurve/FittedBondCurve.cpp | 2 +-
Examples/Repo/Repo.cpp | 2 +-
ql/instruments/bond.cpp | 17 ++-
ql/instruments/bond.hpp | 11 ++
ql/instruments/bonds/btp.cpp | 15 +-
ql/pricingengines/bond/bondfunctions.cpp | 14 +-
ql/pricingengines/bond/bondfunctions.hpp | 36 ++++-
.../yield/fittedbonddiscountcurve.cpp | 5 +-
test-suite/bonds.cpp | 152 +++++++++------------
test-suite/fittedbonddiscountcurve.cpp | 6 +-
11 files changed, 154 insertions(+), 111 deletions(-)
commit 53346f890af4d2577b380af949092da8ec203f83
Author: Francois Botha <igiturgmail.com>
Date: Tue, 17 Oct 2023 17:13:00 +0200
Fix spelling of 'frequency'
test-suite/bonds.cpp | 50 +++++++++++++++++++++++++-------------------------
1 file changed, 25 insertions(+), 25 deletions(-)
commit 2a30164d719e3abc8c96dbe9f9d1645a4fc6e755
Author: Francois Botha <igiturgmail.com>
Date: Wed, 18 Oct 2023 10:16:45 +0200
Fix indentation after 1040 changed it
test-suite/bonds.cpp | 109 +++++++++++++++++++++++++++------------------------
1 file changed, 58 insertions(+), 51 deletions(-)
commit bd7242c49fa79238afbd1029596ac0336458855d
Merge: ea15ebbf8 4ed9da411
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 28 Feb 2024 17:52:03 +0100
Fix calendar advance for unadjusted convention (1917)
Fix calendar advance for unadjusted convention
commit ea15ebbf8f80c89190d6d75286ff2f2dcea45055
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 27 Feb 2024 21:14:46 +0100
Pin test date to default for test suite
test-suite/convertiblebonds.cpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 89d300930a2ff83036e70e04641856abb70f2489
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjessonhotmail.com>
Date: Tue, 27 Feb 2024 10:07:48 +0100
Update 2023-2024 holidays in Indian calendar
ql/time/calendars/india.cpp | 30 ++++++++++++++++++------------
1 file changed, 18 insertions(+), 12 deletions(-)
commit 4ed9da4116c50e798db4c50cee19592b71430afc
Author: DeimosXing <deimos.xingoutlook.com>
Date: Mon, 26 Feb 2024 10:07:06 -0800
check if end of calendar day before moving
ql/time/calendar.cpp | 9 +++++----
1 file changed, 5 insertions(+), 4 deletions(-)
commit af1e9dbfd78299db6e2e8db4b538817eb93387ee
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 26 Feb 2024 10:52:10 +0100
Disable warning in CI build with uncommon configuration
.github/workflows/linux-nondefault.yml | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 21d1b154e838a4980d517acd189b4764fb974221
Author: github-actions[bot] <41898282+github-actions[bot]users.noreply.github.com>
Date: Sun, 25 Feb 2024 01:10:15 +0000
Automated fixes by clang-tidy
ql/termstructures/yield/ratehelpers.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit cddfec43489a06414d1b3b30ce76ed570a467433
Author: DeimosXing <deimos.xingoutlook.com>
Date: Fri, 23 Feb 2024 11:21:31 -0800
fix lint; fix businessday convention unadjusted case
ql/time/calendar.cpp | 3 ++-
test-suite/businessdayconventions.cpp | 2 +-
2 files changed, 3 insertions(+), 2 deletions(-)
commit 1db1904cd26c532f46afa830cfb838621529fd08
Merge: 012754dc4 93fcafc20
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 22 Feb 2024 15:49:30 +0100
Generate and install pkg-config files as part of CMake builds, too (1916)
commit 108de597b9b394147c3755e84dda2549d2d25259
Author: DeimosXing <deimos.xingoutlook.com>
Date: Tue, 20 Feb 2024 23:50:52 -0800
fix bug, add test for date and cashflow
ql/time/calendar.cpp | 3 +--
test-suite/cashflows.cpp | 16 +++++++++++++---
2 files changed, 14 insertions(+), 5 deletions(-)
commit a338de4ea1284bc6642ba4e592911e86a905ae2b
Author: DeimosXing <deimos.xingoutlook.com>
Date: Fri, 16 Feb 2024 17:40:26 -0800
fix irregular first date with eom true, add test
ql/time/calendar.cpp | 7 ++++++-
test-suite/cashflows.cpp | 22 ++++++++++++++++++++++
2 files changed, 28 insertions(+), 1 deletion(-)
commit 012754dc444101143d645eda8d48558e6764e867
Merge: 72012a72d 1917baf04
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 21 Feb 2024 20:27:16 +0100
Add Futures::Type Custom (1915)
commit 93fcafc2096a0c7e5e9d84dd8e3e5fde30b6e432
Author: JZ <135723295+jez6users.noreply.github.com>
Date: Wed, 21 Feb 2024 11:09:40 -0500
Update CMakeLists.txt
use FILES target for quantlib.pc so it doesn't get executable bits set
CMakeLists.txt | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1917baf040c7a0c8b98e00609827919f3b272e8e
Author: Eugene Toder <eltodertwosigma.com>
Date: Tue, 20 Feb 2024 18:45:54 -0500
Add Futures::Type Custom
This allows passing custom future dates. Closes 1855
ql/instruments/futures.cpp | 4 +++-
ql/instruments/futures.hpp | 3 ++-
ql/termstructures/yield/ratehelpers.cpp | 9 +++++----
3 files changed, 10 insertions(+), 6 deletions(-)
commit 9c3e65f9f1e9be27e8c71450bcda9edb0d4bb006
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Tue, 20 Feb 2024 22:21:24 -0500
check if OI swap index or not
ql/instruments/makeswaption.cpp | 31 ++++++++++++++++++++++++-------
1 file changed, 24 insertions(+), 7 deletions(-)
commit 74be0b16905ee14fca3982b5f0101ba27ecb991d
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Tue, 20 Feb 2024 22:05:05 -0500
use reference to prevent copy
ql/pricingengines/swaption/blackswaptionengine.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit c9e7de27eddc53a7e4d45e3bdbee2ce20ce04271
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Tue, 20 Feb 2024 22:03:49 -0500
use index valueDate implementation
ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 15 ++++++++-------
1 file changed, 8 insertions(+), 7 deletions(-)
commit 7130a22f2fa5fa16a72be1310f1d1cc83f27105d
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Tue, 20 Feb 2024 21:44:48 -0500
use unique_ptr to prevent leaking
.../shortrate/calibrationhelpers/swaptionhelper.cpp | 17 ++++++++++-------
1 file changed, 10 insertions(+), 7 deletions(-)
commit 72012a72da1e3bce984a8e7784701390483fdee2
Merge: ce909f40f 30d6eb5be
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 19 Feb 2024 15:43:52 +0100
Reduce duplication in rate helpers constructors (1911)
commit ce909f40fb316efb3d7acca53006d30c169497b4
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 19 Feb 2024 13:07:59 +0100
Install ninja manually to avoid choco failures
.github/workflows/cmake.yml | 15 ++++++++++++---
1 file changed, 12 insertions(+), 3 deletions(-)
commit 30d6eb5be8e9637572258ee57455887b92f9aa42
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 19 Feb 2024 12:17:18 +0100
Rename convenience function
Examples/CDS/CDS.cpp | 2 +-
Examples/CVAIRS/CVAIRS.cpp | 2 +-
Examples/ConvertibleBonds/ConvertibleBonds.cpp | 4 ++--
Examples/DiscreteHedging/DiscreteHedging.cpp | 2 +-
Examples/EquityOption/EquityOption.cpp | 2 +-
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 10 ++++-----
ql/quotes/simplequote.hpp | 4 ++--
ql/termstructures/bootstraphelper.hpp | 2 +-
ql/termstructures/yield/ratehelpers.cpp | 28 +++++++++++++-------------
9 files changed, 28 insertions(+), 28 deletions(-)
commit 408493f89afa86189006d974ad2aaa20fd1127df
Author: github-actions[bot] <41898282+github-actions[bot]users.noreply.github.com>
Date: Sun, 18 Feb 2024 01:18:17 +0000
Automated fixes by clang-tidy
ql/math/integrals/discreteintegrals.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 22dc9118b8082a3b77e04ad0cb6d293b0a61921d
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 16 Feb 2024 12:32:32 +0100
Create relinkable handle in convenience function
ql/quotes/simplequote.hpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit f1db18fa543973945c8ff67d9034127cdb3453a6
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 16 Feb 2024 11:48:36 +0100
Use convenience function in examples
Examples/CDS/CDS.cpp | 2 +-
Examples/CVAIRS/CVAIRS.cpp | 2 +-
Examples/ConvertibleBonds/ConvertibleBonds.cpp | 4 ++--
Examples/DiscreteHedging/DiscreteHedging.cpp | 3 +--
Examples/EquityOption/EquityOption.cpp | 2 +-
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 10 ++++------
6 files changed, 10 insertions(+), 13 deletions(-)
commit 9ca941007ef0bf4f926312583e23abf1793da749
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 16 Feb 2024 10:22:35 +0100
Extract static method to function for shorter calls
ql/quotes/simplequote.hpp | 6 ++--
ql/termstructures/bootstraphelper.hpp | 2 +-
ql/termstructures/yield/ratehelpers.cpp | 49 ++++++++++++++-------------------
3 files changed, 26 insertions(+), 31 deletions(-)
commit cef64cc98651cc9f44cf930a2018cb2da0369976
Author: Eugene Toder <eltodertwosigma.com>
Date: Fri, 9 Feb 2024 15:26:52 -0500
Reduce duplication in rate helpers constructors
ql/handle.hpp | 16 +--
ql/quotes/simplequote.hpp | 5 +
ql/termstructures/bootstraphelper.hpp | 3 +-
ql/termstructures/yield/ratehelpers.cpp | 197 ++++++--------------------------
4 files changed, 50 insertions(+), 171 deletions(-)
commit c5eb7e30091d0be89ffe56442fbb22c2af5fc2c5
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Tue, 13 Feb 2024 13:06:43 -0500
move test to Faster section
test-suite/swaption.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ace449ba350e14a9c34b2bfe15b7b55174c24e9c
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Tue, 13 Feb 2024 13:06:25 -0500
make constructor explicit
ql/instruments/nonstandardswap.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit cbec61ea00011fa00189dad0a698acd8c4fffb03
Author: github-actions[bot] <41898282+github-actions[bot]users.noreply.github.com>
Date: Sun, 11 Feb 2024 02:23:00 +0000
Automated fixes by clang-tidy
ql/math/integrals/discreteintegrals.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8c87dc2ffe241e260b248385348bb272301f32dd
Merge: 4a2171330 b0a40f0f7
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 12 Feb 2024 10:30:15 +0100
Add MakeVanillaSwap.withPaymentConvention (1907)
commit 4a2171330ac91854f3f198e6dff5edb3b3edda55
Merge: c29d49cbf 6a67c30a6
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 12 Feb 2024 10:29:15 +0100
Return cached fixingDate in IborCoupon (1908)
commit 6a67c30a6a2e1ff8f96391b792cbbc0ed68d57f7
Author: Eugene Toder <eltodertwosigma.com>
Date: Fri, 9 Feb 2024 14:19:11 -0500
Return cached fixingDate in IborCoupon
Return the cached date from fixingDate() method since it is used
internally in indexFixing().
ql/cashflows/iborcoupon.cpp | 6 +++++-
ql/cashflows/iborcoupon.hpp | 1 +
2 files changed, 6 insertions(+), 1 deletion(-)
commit b0a40f0f7d337a7b917477efb4bf0cf2a705b015
Author: Eugene Toder <eltodertwosigma.com>
Date: Fri, 9 Feb 2024 13:46:08 -0500
Add MakeVanillaSwap.withPaymentConvention
ql/instruments/makevanillaswap.cpp | 9 +++++++--
ql/instruments/makevanillaswap.hpp | 2 ++
2 files changed, 9 insertions(+), 2 deletions(-)
commit c29d49cbf0d5a786d626c650576b43a8a852c7f5
Merge: f63cb21e0 f466c3ccd
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 8 Feb 2024 09:00:59 +0100
generate schedules with DateGeneration::Backward in linear time (1906)
commit f466c3ccdbebdab56a845d596b482caf36545f19
Author: Steve Dacek <stephen.dacektwosigma.com>
Date: Wed, 7 Feb 2024 11:04:05 -0500
generate schedules with DateGeneration::Backward linearly
push_back all new dates/regular flags and reverse at the end
ql/time/schedule.cpp | 27 +++++++++++++--------------
1 file changed, 13 insertions(+), 14 deletions(-)
commit f63cb21e0a99d2bfab4bb625e1c8805f011c924d
Author: dependabot[bot] <49699333+dependabot[bot]users.noreply.github.com>
Date: Mon, 5 Feb 2024 11:24:24 +0000
Bump peter-evans/create-pull-request from 5 to 6
Bumps [peter-evans/create-pull-request](https://github.com/peter-evans/create-pull-request) from 5 to 6.
- [Release notes](https://github.com/peter-evans/create-pull-request/releases)
- [Commits](https://github.com/peter-evans/create-pull-request/compare/v5...v6)
---
updated-dependencies:
- dependency-name: peter-evans/create-pull-request
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <supportgithub.com>
.github/workflows/copyrights.yml | 2 +-
.github/workflows/generated-headers.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
4 files changed, 4 insertions(+), 4 deletions(-)
commit 1d05432b694236f8e12f00f9e7115992e5003ee2
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Mon, 5 Feb 2024 14:09:48 -0500
try to prevent notifying the swaption
ql/pricingengines/swaption/blackswaptionengine.hpp | 2 ++
1 file changed, 2 insertions(+)
commit 14e26318bff20d335105e91207df29d3242ddf57
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Mon, 5 Feb 2024 13:42:24 -0500
extend MakeSwaption
ql/instruments/makeswaption.cpp | 52 +++++++++++++++++++++++++++--------------
ql/instruments/makeswaption.hpp | 2 +-
2 files changed, 36 insertions(+), 18 deletions(-)
commit 78bc02b2fa5a2d21007537be06c0c2b47e423f0c
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Tue, 10 Oct 2023 16:06:45 -0400
add missing includes
Examples/BermudanSwaption/BermudanSwaption.cpp | 1 +
test-suite/basismodels.cpp | 1 +
test-suite/libormarketmodel.cpp | 1 +
3 files changed, 3 insertions(+)
commit 4235e31ff9e448e0cef1ca67ef41233cf3b73471
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 6 Mar 2023 17:38:21 +0100
Add a couple of tests for OI swaption
test-suite/swaption.cpp | 142 ++++++++++++++++++++++++++++++++++++++++++++++--
1 file changed, 138 insertions(+), 4 deletions(-)
commit 22d077080177125894fbad30ec91b5aa7c9b0434
Author: Guillaume Horel <guillaume.horelgmail.com>
Date: Wed, 8 Feb 2023 10:58:32 -0500
allow swaptions to take OvernightIndexedSwap
ql/cashflows/overnightindexedcoupon.cpp | 2 +-
ql/cashflows/overnightindexedcoupon.hpp | 3 +
ql/experimental/basismodels/swaptioncfs.cpp | 2 +-
ql/experimental/basismodels/swaptioncfs.hpp | 2 +-
ql/experimental/basismodels/tenorswaptionvts.cpp | 13 ++--
ql/instruments/nonstandardswap.cpp | 2 +-
ql/instruments/nonstandardswap.hpp | 4 +-
ql/instruments/swaption.cpp | 10 ++-
ql/instruments/swaption.hpp | 12 ++--
ql/legacy/libormarketmodels/lfmswaptionengine.cpp | 17 +++--
.../utilities/fdmaffinemodelswapinnervalue.hpp | 26 ++++----
.../calibrationhelpers/swaptionhelper.cpp | 76 ++++++++++++++--------
.../calibrationhelpers/swaptionhelper.hpp | 22 +++++--
ql/pricingengines/swaption/blackswaptionengine.hpp | 50 +++++++-------
ql/pricingengines/swaption/g2swaptionengine.hpp | 10 +--
.../swaption/gaussian1dswaptionengine.cpp | 6 +-
16 files changed, 148 insertions(+), 109 deletions(-)
commit c6492d00290d55d1113fddde10997c617ce401c4
Merge: 6d66cced3 19987be07
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 5 Feb 2024 09:55:47 +0100
Reduce space usage of Discrete Integrals (1877)
commit 19987be07f0f66e70a6e819e289c9aa4dcc1fc8d
Author: Yi Jiang <yijiangcontactgmail.com>
Date: Sat, 3 Feb 2024 15:54:32 -0800
N/A
ql/math/integrals/discreteintegrals.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 6d66cced3fef4a1ef42f47ab61771dc377736b5d
Merge: daba5abec fca2359b7
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 1 Feb 2024 12:03:34 +0100
Deprecate unused and broken bond helper inspector (1901)
commit fca2359b73e2519097eeebb4a3ed1f1ee26472e0
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 1 Feb 2024 10:44:54 +0100
Avoid a couple more warnings
ql/termstructures/yield/bondhelpers.cpp | 10 ++++++++++
1 file changed, 10 insertions(+)
commit e0a6d1066106f5987cc0090e452ee460985aa413
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 1 Feb 2024 10:18:27 +0100
Avoid deprecation warnings
ql/termstructures/yield/bondhelpers.hpp | 12 ++++++++++--
1 file changed, 10 insertions(+), 2 deletions(-)
commit ebdcda4e661747198628e6211fae5ed303b8815e
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 1 Feb 2024 10:09:43 +0100
Deprecate methods instead of removing them
ql/termstructures/yield/bondhelpers.cpp | 30 ++++++++++++------------------
ql/termstructures/yield/bondhelpers.hpp | 32 ++++++++++++++++++++++++++++++++
2 files changed, 44 insertions(+), 18 deletions(-)
commit 10201c5ec76b0839645419a399479b9f6f3a0e56
Author: Viktor Zhou <viktorzhou97hotmail.com>
Date: Wed, 31 Jan 2024 14:02:26 -0500
[QL-333] deprecate unused and broken bond helper inspector
ql/termstructures/yield/bondhelpers.hpp | 17 -----------------
1 file changed, 17 deletions(-)
commit daba5abec7fdf37d38953e61667f7fcbaa51ea85
Merge: 772d19a96 96a0e1207
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 31 Jan 2024 18:08:06 +0100
FuturesRateHelper supplying reference dates for yearFraction computation (1829)
commit 96a0e120752a1e7415f2fd042f561f1d5dc7359e
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 31 Jan 2024 16:36:51 +0100
Add test case
test-suite/piecewiseyieldcurve.cpp | 35 +++++++++++++++++++++++++++++++++++
1 file changed, 35 insertions(+)
commit 0c4e45260e81b427c24b8320b406cac3b2791c6f
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 31 Jan 2024 15:49:36 +0100
FuturesRateHelperDates and APPLY_DATES no longer required
ql/termstructures/yield/ratehelpers.cpp | 75 +++++++++++++--------------------
1 file changed, 30 insertions(+), 45 deletions(-)
commit efd32183e7df09974dff814fcb69615bf5b021e4
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 31 Jan 2024 15:24:39 +0100
Initialization code is no longer deprecated, no need for functions
ql/termstructures/yield/ratehelpers.cpp | 130 +++++++++++++-------------------
1 file changed, 52 insertions(+), 78 deletions(-)
commit 685847fc87f577eac2747f00941aad9c027ac48b
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 31 Jan 2024 15:04:17 +0100
Use delegating constructors
ql/termstructures/yield/ratehelpers.cpp | 30 +++++++++++++-----------------
1 file changed, 13 insertions(+), 17 deletions(-)
commit 772d19a967a9a708066b9f1d49f2fb20e9b037e7
Merge: eb68e03cf ff16f2fc1
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 31 Jan 2024 11:59:45 +0100
Fix - São Paulo city holiday just for years before 2022 (1897)
commit ff16f2fc16d477a6f385473fcc9cc700a9add18c
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 31 Jan 2024 09:28:40 +0100
Update documentation
ql/time/calendars/brazil.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit eb68e03cf02fc2f46fd770510bde178a75b3c76d
Merge: c6e9323d8 ff1124a0e
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 31 Jan 2024 09:25:01 +0100
Allow setting conventions and per-leg EOM in MakeOIS (1890)
commit c6e9323d8b2a9d14b1d14e65ec8a7bee1412a8b4
Merge: a72b76b4f a80fbc0fb
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Tue, 30 Jan 2024 14:47:30 +0100
Make BondFunctions BPV and YVBP consistent (1900)
commit a80fbc0fbac4c57fbeeebc83a15c43fc88a5b75b
Author: JZ <135723295+jez6users.noreply.github.com>
Date: Mon, 29 Jan 2024 14:02:27 -0500
Make BondFunctions BPV and YVBP consistent
- Make BondFunctions::basisPointValue() and yieldValueBasisPoint()
overloads taking DayCounter, Compounding, and Frequency call
the overloads taking an InterestRate to correct settlement date-
handling as well as to be consistent with similarly-paired
methods
ql/pricingengines/bond/bondfunctions.cpp | 6 +--
test-suite/bonds.cpp | 72 +++++++++++++++++++++++++++++++-
2 files changed, 72 insertions(+), 6 deletions(-)
commit a72b76b4f8aca4c3a6937cdfc08073a70dd3d309
Merge: d5bfae627 1e019ea2d
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 29 Jan 2024 12:55:49 +0100
Good Friday holiday for SOFR (1898)
commit 1e019ea2db2706c430620d4f802891f21ac4a719
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 29 Jan 2024 11:40:27 +0100
Add comment
ql/time/calendars/unitedstates.cpp | 3 +++
1 file changed, 3 insertions(+)
commit d5bfae62717ddb51f21c687f9d1b05de12b7a7f3
Author: github-actions[bot] <41898282+github-actions[bot]users.noreply.github.com>
Date: Sun, 28 Jan 2024 02:25:28 +0000
Automated fixes by clang-tidy
ql/experimental/inflation/cpicapfloortermpricesurface.cpp | 4 ++--
ql/experimental/inflation/cpicapfloortermpricesurface.hpp | 2 +-
test-suite/curvestates.cpp | 5 ++---
3 files changed, 5 insertions(+), 6 deletions(-)
commit c6732187d30d84318fb2ae3a285897223dad23a4
Author: Paul <d.goldbauerprotonmail.com>
Date: Sat, 27 Jan 2024 21:42:40 +0100
Good Friday holiday for SOFR; unit test
ql/time/calendars/unitedstates.cpp | 8 ++++++--
test-suite/calendars.cpp | 21 ++++++++++-----------
2 files changed, 16 insertions(+), 13 deletions(-)
commit 7b773f65b51d81d78c9dd04de35416663c1ad9f9
Author: Marco Bruno Ferreira Vasconcellos <marco.bfvgmail.com>
Date: Fri, 26 Jan 2024 15:25:53 -0300
Fix - São Paulo city holiday just for years before 2022 for Brazilian exchange holidays
ql/time/calendars/brazil.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ff1124a0e6a587b29b8676af13b709de526c2811
Author: Eugene Toder <eltodertwosigma.com>
Date: Fri, 26 Jan 2024 11:59:10 -0500
Simplify and add convenience methods
ql/instruments/makeois.cpp | 41 +++++++++++++++++++++++------------------
ql/instruments/makeois.hpp | 3 +++
2 files changed, 26 insertions(+), 18 deletions(-)
commit 605ce81dbb453b75f363b886014aad40a8a59ae3
Merge: 73d76d2e0 0f27598c3
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 26 Jan 2024 14:41:17 +0100
Pass an explicit base date to inflation curves instead of an observation lag (1896)
commit 73d76d2e0e6b26f3f03ef7c356bd9e13ef733ebd
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Fri, 26 Jan 2024 13:05:58 +0100
Remove job from main CI build matrix if ccache is not working.
Sidestep ccache and use full compilation in weekly CI build.
.github/workflows/linux-full-tests.yml | 12 ++----------
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 22 +---------------------
3 files changed, 4 insertions(+), 32 deletions(-)
commit 0f27598c3412ebfbc96165b82c9ad102044052e1
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 25 Jan 2024 18:50:44 +0100
Add constructors for YoY inflation curves taking the base date
.../inflation/yoycapfloortermpricesurface.hpp | 19 ++-
ql/termstructures/inflation/inflationtraits.hpp | 1 +
.../inflation/interpolatedyoyinflationcurve.hpp | 90 +++++++++++-
.../inflation/piecewiseyoyinflationcurve.hpp | 36 ++++-
ql/termstructures/inflationtermstructure.cpp | 35 +++++
ql/termstructures/inflationtermstructure.hpp | 66 +++++++--
test-suite/inflation.cpp | 161 ++++++++++++++++++++-
test-suite/inflationcapfloor.cpp | 12 +-
test-suite/inflationcapflooredcoupon.cpp | 12 +-
test-suite/inflationvolatility.cpp | 7 +-
10 files changed, 395 insertions(+), 44 deletions(-)
commit b15c427d193280eccfc6c19100498d43d96672c3
Merge: 11f96621a 9d0e70e79
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 25 Jan 2024 17:25:16 +0100
Refactoring Curve State Unit Tests (1895)
commit 7e0554ad4eface90276d23acfff1e8dfa8c300b9
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 25 Jan 2024 16:03:34 +0100
Add utility function to get last inflation fixing date
ql/indexes/inflationindex.cpp | 6 +++++
ql/indexes/inflationindex.hpp | 1 +
test-suite/inflation.cpp | 46 +++++++++++++++++++++++++------------
test-suite/inflationcpibond.cpp | 3 ++-
test-suite/inflationcpicapfloor.cpp | 2 +-
test-suite/inflationcpiswap.cpp | 2 +-
6 files changed, 42 insertions(+), 18 deletions(-)
commit cfe8c3e3cc1766a2a1ac3ee11bfd40f12d196eb7
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 25 Jan 2024 15:20:03 +0100
Remove temporary output
test-suite/inflation.cpp | 7 -------
1 file changed, 7 deletions(-)
commit 56de61633796f59ee548f65dc617287a35486051
Author: Viktor Zhou <viktorzhou97hotmail.com>
Date: Thu, 25 Jan 2024 09:03:28 -0500
[QL-230] refactor checks and removed comments
test-suite/curvestates.cpp | 91 ++++++++++++++--------------------------------
1 file changed, 28 insertions(+), 63 deletions(-)
commit 6e41eb8cf6c7f268f06c0d08fa6899d72697920b
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 25 Jan 2024 14:43:02 +0100
Avoid gcc issue
ql/termstructures/inflation/piecewisezeroinflationcurve.hpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit 15216303f01e1e529d76f89fb3dbeeff9f098448
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 25 Jan 2024 13:20:27 +0100
Extend backward from first node during zero inflation bootstrap.
This removes the need for a base rate in zero inflation curves.
ql/termstructures/inflation/inflationtraits.hpp | 15 +++++----------
.../inflation/interpolatedzeroinflationcurve.hpp | 6 ++----
.../inflation/piecewisezeroinflationcurve.hpp | 4 +---
ql/termstructures/inflationtermstructure.cpp | 17 ++++++-----------
ql/termstructures/inflationtermstructure.hpp | 15 ++++++---------
test-suite/inflation.cpp | 10 ++++++++--
test-suite/inflationcpibond.cpp | 4 +---
test-suite/inflationcpicapfloor.cpp | 3 +--
test-suite/inflationcpiswap.cpp | 4 +---
9 files changed, 31 insertions(+), 47 deletions(-)
commit 0d425cb39a679b82232ec890898f9cc2c1e6d4e0
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 25 Jan 2024 11:26:13 +0100
Add constructors for zero-rate inflation curves taking the base date
ql/termstructures/inflation/inflationtraits.hpp | 9 +-
.../inflation/interpolatedzeroinflationcurve.hpp | 81 ++++++++-
.../inflation/piecewisezeroinflationcurve.hpp | 31 +++-
ql/termstructures/inflationtermstructure.cpp | 105 +++++++++++-
ql/termstructures/inflationtermstructure.hpp | 98 +++++++++--
test-suite/inflation.cpp | 186 ++++++++++++++++++++-
test-suite/inflationcpibond.cpp | 28 ++--
test-suite/inflationcpicapfloor.cpp | 26 ++-
test-suite/inflationcpiswap.cpp | 33 ++--
9 files changed, 520 insertions(+), 77 deletions(-)
commit 1c0c1f1697d895d193726c25fe9cdd9b6c6503b9
Author: Viktor Zhou <viktorzhou97hotmail.com>
Date: Wed, 24 Jan 2024 18:57:06 -0500
[QL-230] adding comment
test-suite/curvestates.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 272aa390feb865aaceac67fde3f515f0736de5e9
Author: Viktor Zhou <viktorzhou97hotmail.com>
Date: Wed, 24 Jan 2024 18:57:06 -0500
[QL-230] more refactor
test-suite/curvestates.cpp | 86 ++++++++++------------------------------------
1 file changed, 18 insertions(+), 68 deletions(-)
commit 0b0d9f172bafc0a81ba6557ab9e07210586f3155
Author: Viktor Zhou <viktorzhou97hotmail.com>
Date: Wed, 24 Jan 2024 18:57:06 -0500
[QL-230] refactor COT unit tests
test-suite/curvestates.cpp | 201 +++++++++++++++++++++++++++++++++------------
1 file changed, 150 insertions(+), 51 deletions(-)
commit 73c1a6efe05adee15f2410ba790d004a37475749
Author: Viktor Zhou <viktorzhou97hotmail.com>
Date: Wed, 24 Jan 2024 18:57:06 -0500
[QL-230] refactor CMS unit test
test-suite/curvestates.cpp | 102 ++++++++++++++++++++++++++++-----------------
1 file changed, 64 insertions(+), 38 deletions(-)
commit ec3a3e0f8600ce4c7a9ff27f385e6a5f09399339
Author: Viktor Zhou <viktorzhou97hotmail.com>
Date: Wed, 24 Jan 2024 18:57:06 -0500
[QL-230] refactor test for LMM Curve State
test-suite/curvestates.cpp | 181 +++++++++++++++++++++++++++++++++------------
1 file changed, 132 insertions(+), 49 deletions(-)
commit 11f96621ad6aa947d94a5555675a386fed269daa
Merge: ce606b06d 216eec2ff
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 24 Jan 2024 22:25:39 +0100
Remove use of BOOST_ALL_DYN_LINK (1893)
commit 216eec2fffbcd40d0706dd74596de65cfc917b2f
Author: Isuru Fernando <ifernandoquansight.com>
Date: Wed, 24 Jan 2024 10:33:59 -0600
Remove use of BOOST_ALL_DYN_LINK
Since we are using header only parts using BOOST_ALL_NO_LIB
test-suite/CMakeLists.txt | 6 ------
1 file changed, 6 deletions(-)
commit 1ebd2428aff7b8900f311518ab28d72b39136805
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 24 Jan 2024 15:10:35 +0100
Don't inherit XXXCapFloorTermPriceSurface from InflationTermStructure
.../inflation/cpicapfloortermpricesurface.cpp | 5 +++--
.../inflation/cpicapfloortermpricesurface.hpp | 20 ++++++++++++++++----
.../inflation/yoycapfloortermpricesurface.cpp | 6 ++----
.../inflation/yoycapfloortermpricesurface.hpp | 14 +++++++++++++-
4 files changed, 34 insertions(+), 11 deletions(-)
commit 1fe84c1d201b2130383887d89cb2a49746512a30
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Wed, 24 Jan 2024 13:04:37 +0100
Deprecate a couple of utility methods
ql/termstructures/inflationtermstructure.hpp | 26 ++++++++++++--------------
test-suite/inflation.cpp | 2 +-
2 files changed, 13 insertions(+), 15 deletions(-)
commit ce606b06d5f5cd9fee6af786a98252f0094d8c21
Merge: 806e455b0 8be4136fc
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 22 Jan 2024 14:08:52 +0100
Remove features deprecated in version 1.29 (1891)
commit 806e455b0d1486e0e3da3192ab00831f1de3648c
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Thu, 15 Apr 2021 16:25:45 +0200
Set version to 1.34-dev.
CMakeLists.txt | 6 +++---
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 6 insertions(+), 6 deletions(-)
commit 1a4c8e20505515a3f8d213fa5c7d178e834bafe0
Author: Eugene Toder <eltodertwosigma.com>
Date: Tue, 16 Jan 2024 20:58:29 -0500
Allow setting conventions and per-leg EOM in MakeOIS
Closes 1875
ql/instruments/makeois.cpp | 65 ++++++++++++++++++++++++++++++++++++----------
ql/instruments/makeois.hpp | 12 ++++++++-
2 files changed, 63 insertions(+), 14 deletions(-)
commit 8be4136fce4debd5e80e167f2aa9c21fe108bb42
Author: Luigi Ballabio <luigi.ballabiogmail.com>
Date: Mon, 15 Jan 2024 17:32:39 +0100
Remove features deprecated in version 1.29
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 -
cmake/GenerateHeaders.cmake | 1 -
ql/CMakeLists.txt | 1 -
ql/cashflow.hpp | 18 --
ql/cashflows/cashflows.cpp | 11 -
ql/cashflows/cashflows.hpp | 13 -
ql/cashflows/conundrumpricer.hpp | 11 -
ql/cashflows/inflationcouponpricer.hpp | 5 -
ql/experimental/credit/Makefile.am | 3 +-
ql/experimental/credit/riskybond.hpp | 27 --
.../inflation/cpicapfloortermpricesurface.cpp | 2 +-
ql/experimental/inflation/genericindexes.hpp | 16 --
ql/experimental/math/convolvedstudentt.hpp | 22 --
ql/experimental/math/latentmodel.hpp | 6 -
ql/indexes/inflation/aucpi.hpp | 14 -
ql/indexes/inflation/euhicp.hpp | 26 --
ql/indexes/inflation/frhicp.hpp | 13 -
ql/indexes/inflation/ukrpi.hpp | 13 -
ql/indexes/inflation/uscpi.hpp | 13 -
ql/indexes/inflation/zacpi.hpp | 13 -
ql/indexes/inflationindex.cpp | 113 +-------
ql/indexes/inflationindex.hpp | 55 +---
ql/instruments/cpicapfloor.cpp | 2 +-
ql/instruments/zerocouponinflationswap.cpp | 6 +-
ql/math/abcdmathfunction.hpp | 12 -
ql/math/comparison.hpp | 18 --
ql/math/copulas/alimikhailhaqcopula.hpp | 18 --
ql/math/copulas/claytoncopula.hpp | 18 --
ql/math/copulas/farliegumbelmorgensterncopula.hpp | 18 --
ql/math/copulas/frankcopula.hpp | 18 --
ql/math/copulas/galamboscopula.hpp | 18 --
ql/math/copulas/gaussiancopula.hpp | 18 --
ql/math/copulas/gumbelcopula.hpp | 18 --
ql/math/copulas/huslerreisscopula.hpp | 18 --
ql/math/copulas/independentcopula.hpp | 18 --
ql/math/copulas/marshallolkincopula.hpp | 18 --
ql/math/copulas/maxcopula.hpp | 18 --
ql/math/copulas/mincopula.hpp | 18 --
ql/math/copulas/plackettcopula.hpp | 18 --
ql/math/distributions/binomialdistribution.hpp | 24 --
ql/math/distributions/chisquaredistribution.hpp | 48 ----
ql/math/distributions/gammadistribution.hpp | 24 --
ql/math/distributions/normaldistribution.hpp | 72 -----
ql/math/distributions/poissondistribution.hpp | 36 ---
ql/math/distributions/studenttdistribution.hpp | 36 ---
ql/math/errorfunction.hpp | 12 -
ql/math/interpolation.hpp | 12 -
ql/math/interpolations/interpolation2d.hpp | 17 --
ql/math/linearleastsquaresregression.hpp | 11 -
ql/math/polynomialmathfunction.hpp | 12 -
.../randomnumbers/stochasticcollocationinvcdf.hpp | 12 -
.../operators/numericaldifferentiation.hpp | 12 -
ql/methods/montecarlo/pathpricer.hpp | 5 -
ql/patterns/singleton.hpp | 16 --
ql/payoff.hpp | 12 -
ql/termstructures/inflation/inflationhelpers.cpp | 4 +-
ql/termstructures/volatility/abcd.hpp | 12 -
test-suite/inflation.cpp | 307 +++++----------------
59 files changed, 86 insertions(+), 1270 deletions(-)
commit dacef8baf74c491af0ca32cadb4d611de881fd93
Author: Yi Jiang <yijiangcontactgmail.com>
Date: Mon, 8 Jan 2024 02:02:56 -0500
Remove boost accumulator dependence. Revert back to simple summation.
ql/math/integrals/discreteintegrals.cpp | 53 +++++++++++++++------------------
1 file changed, 24 insertions(+), 29 deletions(-)
commit 377f578ce51dc6ecdc4fa23c369fbdc240f2fb7e
Author: Yi Jiang <yijiangcontactgmail.com>
Date: Sat, 6 Jan 2024 18:25:05 -0500
Revert to accumulator
ql/math/integrals/discreteintegrals.cpp | 34 ++++++++++++++++++++++-----------
1 file changed, 23 insertions(+), 11 deletions(-)
commit cc31f4c1eb705c608da9b77f6fcf7e5d2b963da6
Author: Yi Jiang <yijiangcontactgmail.com>
Date: Fri, 5 Jan 2024 22:52:37 -0800
Don't need accumulator
ql/math/integrals/discreteintegrals.cpp | 44 +++++++++++++++------------------
1 file changed, 20 insertions(+), 24 deletions(-)
commit 68fdb6e327653858881deda4efde63374c0f2377
Author: Yi Jiang <yijiangcontactgmail.com>
Date: Fri, 5 Jan 2024 22:16:53 -0800
Actually, no need to use extra space here. Don't need statistics on that.
ql/math/integrals/discreteintegrals.cpp | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
commit e3305b74eaa8a9c32c21a313a4200dca00b39715
Author: Yi Jiang <yijiangcontactgmail.com>
Date: Fri, 5 Jan 2024 10:00:07 -0500
Lower space usage of numerical integration when evenly spaced.
ql/math/integrals/discreteintegrals.cpp | 50 +++++++++++++++++++++++----------
1 file changed, 35 insertions(+), 15 deletions(-)
commit 905d8fe5d0cd001a8e89a8eaa327fa6aa07a6f23
Author: JZ <135723295+jez6users.noreply.github.com>
Date: Thu, 16 Nov 2023 17:48:29 -0500
Build/install pkgconfig files in CMake builds
- Generate and install quantlib.pc in addition to quantlib-config
as part of CMake builds
Issues: jez6/QuantLib1
CMakeLists.txt | 3 +++
1 file changed, 3 insertions(+)
commit b63c81665f30cc1fd301f6daac5989ad9373a661
Author: Paul <d.goldbauerprotonmail.com>
Date: Sat, 11 Nov 2023 16:10:54 +0100
clang format
ql/termstructures/yield/ratehelpers.cpp | 91 ++++++++++++++++-----------------
1 file changed, 44 insertions(+), 47 deletions(-)
commit 85fcf794740c5e538101e9e63b69bfb59e2182b3
Author: Paul <d.goldbauerprotonmail.com>
Date: Fri, 10 Nov 2023 22:34:01 +0100
supply dates as references for A_365_CA yearFraction computation
ql/termstructures/yield/ratehelpers.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 478ddcc8ae93bd334927a40deb1ed6e6315036b6
Author: Paul <d.goldbauerprotonmail.com>
Date: Fri, 10 Nov 2023 21:42:33 +0100
refactor FuturesRateHelper ctors
ql/termstructures/yield/ratehelpers.cpp | 280 ++++++++++++++------------------
1 file changed, 122 insertions(+), 158 deletions(-)
commit d2cff826c49bf8c6e7e28becca0ba29da499c378
Author: Peter Caspers <peter.caspersacadia.inc>
Date: Sat, 26 Aug 2023 20:10:14 +0200
fix namespace
ql/cashflows/lineartsrpricer.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 17883f220952299fd20bf4caa047bad1b43a4f1d
Author: Peter Caspers <peter.caspersacadia.inc>
Date: Sat, 26 Aug 2023 19:53:28 +0200
fix handling of past payment dates, add missing include
ql/cashflows/lineartsrpricer.cpp | 72 +++++++++++++++++++++++-----------------
ql/cashflows/lineartsrpricer.hpp | 4 ++-
2 files changed, 44 insertions(+), 32 deletions(-)