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ChangeLog.txt
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commit e5d1698ba5d3aa20c8c342e90ea065f306932948
Author: Luigi Ballabio <[email protected]>
Date: Wed, 18 Mar 2020 08:34:53 +0100
Avoid a couple of warnings in VC++19 when using std classes.
test-suite/marketmodel.cpp | 2 +-
test-suite/marketmodel.hpp | 2 +-
test-suite/nthorderderivativeop.cpp | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 53db7b9907e20064fecb2d2d883faa7e6152f305
Author: Luigi Ballabio <[email protected]>
Date: Wed, 18 Mar 2020 15:43:34 +0100
Update news.
Contributors.txt | 6 ++
Docs/pages/authors.docs | 6 ++
Docs/pages/history.docs | 90 +++++++++++++++++++++++++++-
News.md | 156 ++++++++++++++++++++++++++++--------------------
4 files changed, 193 insertions(+), 65 deletions(-)
commit c3ad5069eee1aabdee0d921e00fee7ad64ae98b0
Merge: d37b6d8e4 b9b94e20f
Author: Luigi Ballabio <[email protected]>
Date: Tue, 17 Mar 2020 17:33:39 +0100
Merge pull request #784.
Import global boost placeholders into ext::placeholders namespace.
commit b9b94e20f712dffa63976a8bc700b2996701bf4b
Author: Luigi Ballabio <[email protected]>
Date: Tue, 17 Mar 2020 13:03:54 +0100
Avoid Codacy warning.
test-suite/linearleastsquaresregression.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f95ad89151dc5f5836df39dea60f65a2a7a0319f
Author: Luigi Ballabio <[email protected]>
Date: Tue, 17 Mar 2020 10:04:42 +0100
Remove a problematic bind.
test-suite/linearleastsquaresregression.cpp | 17 ++++++++++++-----
1 file changed, 12 insertions(+), 5 deletions(-)
commit cbfa64496599a8ae10965e88ac39304767196de9
Author: Luigi Ballabio <[email protected]>
Date: Tue, 17 Mar 2020 10:01:45 +0100
Remove ambiguity in placeholders.
.../credit/defaultprobabilitylatentmodel.hpp | 10 +++----
ql/experimental/math/latentmodel.hpp | 14 +++++-----
ql/experimental/math/multidimintegrator.hpp | 10 +++----
ql/experimental/math/multidimquadrature.hpp | 31 +++++++++-------------
test-suite/riskneutraldensitycalculator.cpp | 8 ++----
test-suite/squarerootclvmodel.cpp | 4 +--
6 files changed, 32 insertions(+), 45 deletions(-)
commit f42ca6291300a4a8e9dc692ec346e8bb261e3424
Author: Luigi Ballabio <[email protected]>
Date: Tue, 17 Mar 2020 08:42:01 +0100
Import global boost placeholders into namespace.
This makes them available in ext::placeholders regardless of the
choice of implementation.
ql/functional.hpp | 12 +++++++++++-
1 file changed, 11 insertions(+), 1 deletion(-)
commit d37b6d8e4925f8b6ed5d1958e7ebbb27029a0fc1
Merge: c795f3964 78820a854
Author: Luigi Ballabio <[email protected]>
Date: Sat, 14 Mar 2020 15:51:10 +0100
Merge pull request #783.
cmake install files with folder hierarchy
commit 78820a85407d848c2bc5d2f63bf84fb0548b352c
Author: wegamekinglc <[email protected]>
Date: Sat, 14 Mar 2020 16:35:50 +0800
install with folder hierarchy
ql/CMakeLists.txt | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit 3c74e5e82d31033df9aa643e18f69137a22e0628
Merge: 20f8b6c02 c795f3964
Author: Cheng Li <[email protected]>
Date: Sat, 14 Mar 2020 16:29:36 +0800
Merge pull request #7 from lballabio/master
merge from upstream
commit c795f3964d246ea008158aa6c0a1e17a22f18c47
Merge: 2ada341a2 4fb90269a
Author: Luigi Ballabio <[email protected]>
Date: Tue, 10 Mar 2020 18:32:09 +0100
Merge pull request #781.
Boost.Timer might depend on Boost.Chrono.
commit 4fb90269a52606776eeb83a3f39e68de8420619e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 10 Mar 2020 09:36:56 +0100
Boost.Timer might depend on Boost.Chrono.
acinclude.m4 | 41 ++++++++++++++++++++++++++++++++++++++++-
test-suite/CMakeLists.txt | 2 +-
2 files changed, 41 insertions(+), 2 deletions(-)
commit 2ada341a2ff2ada776c119ede43d84d2af66fd2c
Author: Luigi Ballabio <[email protected]>
Date: Mon, 9 Mar 2020 16:01:08 +0100
Avoid warnings while generating docs.
ql/time/calendars/austria.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 799ddaac189382b163ab11b1508c80fc802afbc7
Author: Luigi Ballabio <[email protected]>
Date: Mon, 9 Mar 2020 15:24:41 +0100
Update list of copyrights.
Docs/pages/license.docs | 3 +++
LICENSE.TXT | 3 +++
2 files changed, 6 insertions(+)
commit 5f8d1008b30be1c2eedf6b571c0847bff8310982
Author: Luigi Ballabio <[email protected]>
Date: Sat, 7 Mar 2020 22:28:32 +0100
Run full tests in VS2019 Appveyor build.
.appveyor.yml | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit 940a3b4db517ebae000e968875e7d0483ac901a4
Merge: 58fb6dd15 14a25181e
Author: Luigi Ballabio <[email protected]>
Date: Sat, 7 Mar 2020 18:09:57 +0100
Merge pull request #780.
Enable unity build for test suite
commit 14a25181e23dbacc6c790b325f717b8078ab54cb
Author: Luigi Ballabio <[email protected]>
Date: Sat, 7 Mar 2020 12:28:16 +0100
Enable /bigobj option for Appveyor build.
.appveyor/VS2019.props | 1 +
1 file changed, 1 insertion(+)
commit f08d61b0a76a6ae380ab8e18de7429a13d4f7616
Author: Luigi Ballabio <[email protected]>
Date: Sat, 7 Mar 2020 12:24:18 +0100
Work around gcc7 warning.
test-suite/gaussianquadratures.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 69038bc7c1aa75a8d647bda890f0922b2305f766
Author: Luigi Ballabio <[email protected]>
Date: Sat, 7 Mar 2020 11:12:05 +0100
Remove ambiguities on some compilers.
test-suite/garch.cpp | 64 ++++++++++++++++++--------------------
test-suite/gaussianquadratures.cpp | 4 +--
test-suite/integrals.cpp | 30 +++++++++---------
3 files changed, 47 insertions(+), 51 deletions(-)
commit e102af859a2ab19399a97f7d734d5f1d089a1338
Author: Luigi Ballabio <[email protected]>
Date: Fri, 6 Mar 2020 23:35:20 +0100
Enable unity build for test suite.
.gitignore | 1 +
test-suite/Makefile.am | 38 ++++++++-
test-suite/americanoption.cpp | 1 +
test-suite/andreasenhugevolatilityinterpl.cpp | 24 +++++-
test-suite/array.cpp | 12 ++-
test-suite/asianoptions.cpp | 1 +
test-suite/assetswap.cpp | 20 ++++-
test-suite/barrieroption.cpp | 11 ++-
test-suite/basketoption.cpp | 2 +
test-suite/batesmodel.cpp | 8 +-
test-suite/bermudanswaption.cpp | 6 +-
test-suite/binaryoption.cpp | 7 +-
test-suite/blackdeltacalculator.cpp | 10 ++-
test-suite/bonds.cpp | 41 +++++++---
test-suite/businessdayconventions.cpp | 4 +-
test-suite/capfloor.cpp | 22 +++++-
test-suite/capflooredcoupon.cpp | 6 +-
test-suite/cashflows.cpp | 5 +-
test-suite/catbonds.cpp | 63 +++++++++------
test-suite/cdo.cpp | 4 +-
test-suite/chooseroption.cpp | 1 +
test-suite/cliquetoption.cpp | 1 +
test-suite/cms.cpp | 89 ++++++++++++----------
test-suite/compoundoption.cpp | 7 +-
test-suite/convertiblebonds.cpp | 6 +-
test-suite/covariance.cpp | 6 +-
test-suite/curvestates.cpp | 13 ++--
test-suite/daycounters.cpp | 10 ++-
test-suite/digitalcoupon.cpp | 18 ++++-
test-suite/digitaloption.cpp | 1 +
test-suite/distributions.cpp | 12 ++-
test-suite/dividendoption.cpp | 1 +
test-suite/doublebarrieroption.cpp | 8 +-
test-suite/doublebinaryoption.cpp | 1 +
test-suite/europeanoption.cpp | 41 +++++++++-
test-suite/extendedtrees.cpp | 21 ++++-
test-suite/fdheston.cpp | 6 +-
test-suite/forwardoption.cpp | 1 +
test-suite/garch.cpp | 9 ++-
test-suite/gaussianquadratures.cpp | 16 +++-
test-suite/hestonslvmodel.cpp | 4 +-
test-suite/hybridhestonhullwhiteprocess.cpp | 14 +++-
test-suite/inflation.cpp | 9 ++-
test-suite/inflationcapfloor.cpp | 8 +-
test-suite/inflationcapflooredcoupon.cpp | 6 +-
test-suite/inflationcpibond.cpp | 4 +-
test-suite/inflationcpicapfloor.cpp | 16 ++--
test-suite/inflationcpiswap.cpp | 13 +++-
test-suite/inflationvolatility.cpp | 8 +-
test-suite/instruments.cpp | 19 +++--
test-suite/integrals.cpp | 40 +++++++++-
test-suite/interpolations.cpp | 28 +++----
test-suite/jumpdiffusion.cpp | 2 +
test-suite/libormarketmodel.cpp | 10 ++-
test-suite/libormarketmodelprocess.cpp | 6 +-
test-suite/lookbackoptions.cpp | 2 +
test-suite/margrabeoption.cpp | 2 +
test-suite/marketmodel.cpp | 69 +++++++++++++----
test-suite/marketmodel_cms.cpp | 9 +--
test-suite/marketmodel_smm.cpp | 9 +--
.../marketmodel_smmcapletalphacalibration.cpp | 9 +--
test-suite/marketmodel_smmcapletcalibration.cpp | 9 +--
.../marketmodel_smmcaplethomocalibration.cpp | 12 ++-
test-suite/matrices.cpp | 23 +++++-
test-suite/noarbsabr.cpp | 6 +-
test-suite/normalclvmodel.cpp | 3 +-
test-suite/nthtodefault.cpp | 12 ++-
test-suite/operators.cpp | 8 +-
test-suite/optionletstripper.cpp | 37 ++++++---
test-suite/overnightindexedswap.cpp | 78 ++++++++++---------
test-suite/partialtimebarrieroption.cpp | 4 +-
test-suite/piecewiseyieldcurve.cpp | 46 ++++++++++-
test-suite/piecewisezerospreadedtermstructure.cpp | 22 +++++-
test-suite/quantooption.cpp | 4 +
test-suite/quotes.cpp | 6 +-
test-suite/rangeaccrual.cpp | 8 +-
test-suite/rounding.cpp | 12 ++-
test-suite/sampledcurve.cpp | 12 ++-
test-suite/shortratemodels.cpp | 8 +-
test-suite/spreadoption.cpp | 1 +
test-suite/squarerootclvmodel.cpp | 12 ++-
test-suite/swap.cpp | 14 +++-
test-suite/swaption.cpp | 16 +++-
test-suite/swaptionvolatilitycube.cpp | 12 ++-
test-suite/swaptionvolatilitymatrix.cpp | 6 +-
test-suite/swingoption.cpp | 10 ++-
test-suite/termstructures.cpp | 22 +++++-
test-suite/testsuite.vcxproj | 18 ++---
test-suite/tqreigendecomposition.cpp | 10 +--
test-suite/variancegamma.cpp | 1 +
test-suite/varianceswaps.cpp | 1 +
test-suite/vpp.cpp | 22 ++++--
92 files changed, 968 insertions(+), 328 deletions(-)
commit f6f6a377c114b786f8cc6969e301b67ec7a8b271
Author: Luigi Ballabio <[email protected]>
Date: Fri, 6 Mar 2020 11:52:00 +0100
Enable unity build of root ql directory.
ql/Makefile.am | 26 ++++++++++++++++++++++++--
1 file changed, 24 insertions(+), 2 deletions(-)
commit adbcc74e58bb91080cfd26531ff60fbf8f57ae63
Author: Luigi Ballabio <[email protected]>
Date: Fri, 6 Mar 2020 11:02:46 +0100
Allow out-of-source unity build.
ql/cashflows/Makefile.am | 8 ++++----
ql/currencies/Makefile.am | 8 ++++----
ql/experimental/amortizingbonds/Makefile.am | 8 ++++----
ql/experimental/averageois/Makefile.am | 8 ++++----
ql/experimental/barrieroption/Makefile.am | 8 ++++----
ql/experimental/basismodels/Makefile.am | 8 ++++----
ql/experimental/callablebonds/Makefile.am | 8 ++++----
ql/experimental/catbonds/Makefile.am | 8 ++++----
ql/experimental/commodities/Makefile.am | 8 ++++----
ql/experimental/convertiblebonds/Makefile.am | 8 ++++----
ql/experimental/coupons/Makefile.am | 8 ++++----
ql/experimental/credit/Makefile.am | 8 ++++----
ql/experimental/exoticoptions/Makefile.am | 8 ++++----
ql/experimental/finitedifferences/Makefile.am | 8 ++++----
ql/experimental/futures/Makefile.am | 8 ++++----
ql/experimental/fx/Makefile.am | 8 ++++----
ql/experimental/inflation/Makefile.am | 8 ++++----
ql/experimental/lattices/Makefile.am | 8 ++++----
ql/experimental/math/Makefile.am | 8 ++++----
ql/experimental/mcbasket/Makefile.am | 9 +++++----
ql/experimental/models/Makefile.am | 8 ++++----
ql/experimental/processes/Makefile.am | 8 ++++----
ql/experimental/risk/Makefile.am | 8 ++++----
ql/experimental/shortrate/Makefile.am | 8 ++++----
ql/experimental/swaptions/Makefile.am | 8 ++++----
ql/experimental/variancegamma/Makefile.am | 8 ++++----
ql/experimental/varianceoption/Makefile.am | 8 ++++----
ql/experimental/volatility/Makefile.am | 8 ++++----
ql/indexes/Makefile.am | 8 ++++----
ql/indexes/ibor/Makefile.am | 8 ++++----
ql/indexes/swap/Makefile.am | 8 ++++----
ql/instruments/Makefile.am | 8 ++++----
ql/instruments/bonds/Makefile.am | 8 ++++----
ql/legacy/libormarketmodels/Makefile.am | 8 ++++----
ql/math/Makefile.am | 8 ++++----
ql/math/copulas/Makefile.am | 8 ++++----
ql/math/distributions/Makefile.am | 8 ++++----
ql/math/integrals/Makefile.am | 8 ++++----
ql/math/matrixutilities/Makefile.am | 8 ++++----
ql/math/optimization/Makefile.am | 8 ++++----
ql/math/randomnumbers/Makefile.am | 8 ++++----
ql/math/statistics/Makefile.am | 8 ++++----
ql/methods/finitedifferences/Makefile.am | 8 ++++----
ql/methods/finitedifferences/meshers/Makefile.am | 8 ++++----
ql/methods/finitedifferences/operators/Makefile.am | 8 ++++----
ql/methods/finitedifferences/schemes/Makefile.am | 8 ++++----
ql/methods/finitedifferences/solvers/Makefile.am | 8 ++++----
ql/methods/finitedifferences/stepconditions/Makefile.am | 8 ++++----
ql/methods/finitedifferences/utilities/Makefile.am | 8 ++++----
ql/methods/lattices/Makefile.am | 8 ++++----
ql/methods/montecarlo/Makefile.am | 8 ++++----
ql/models/Makefile.am | 8 ++++----
ql/models/equity/Makefile.am | 8 ++++----
ql/models/marketmodels/Makefile.am | 8 ++++----
ql/models/marketmodels/browniangenerators/Makefile.am | 8 ++++----
ql/models/marketmodels/callability/Makefile.am | 8 ++++----
ql/models/marketmodels/correlations/Makefile.am | 8 ++++----
ql/models/marketmodels/curvestates/Makefile.am | 8 ++++----
ql/models/marketmodels/driftcomputation/Makefile.am | 8 ++++----
ql/models/marketmodels/evolvers/Makefile.am | 8 ++++----
ql/models/marketmodels/evolvers/volprocesses/Makefile.am | 8 ++++----
ql/models/marketmodels/models/Makefile.am | 8 ++++----
ql/models/marketmodels/pathwisegreeks/Makefile.am | 8 ++++----
ql/models/marketmodels/products/Makefile.am | 8 ++++----
ql/models/marketmodels/products/multistep/Makefile.am | 8 ++++----
ql/models/marketmodels/products/onestep/Makefile.am | 8 ++++----
ql/models/marketmodels/products/pathwise/Makefile.am | 8 ++++----
ql/models/shortrate/Makefile.am | 8 ++++----
ql/models/shortrate/calibrationhelpers/Makefile.am | 8 ++++----
ql/models/shortrate/onefactormodels/Makefile.am | 8 ++++----
ql/models/shortrate/twofactormodels/Makefile.am | 8 ++++----
ql/models/volatility/Makefile.am | 8 ++++----
ql/patterns/Makefile.am | 8 ++++----
ql/pricingengines/Makefile.am | 8 ++++----
ql/pricingengines/asian/Makefile.am | 8 ++++----
ql/pricingengines/barrier/Makefile.am | 8 ++++----
ql/pricingengines/basket/Makefile.am | 8 ++++----
ql/pricingengines/bond/Makefile.am | 8 ++++----
ql/pricingengines/capfloor/Makefile.am | 8 ++++----
ql/pricingengines/cliquet/Makefile.am | 8 ++++----
ql/pricingengines/credit/Makefile.am | 8 ++++----
ql/pricingengines/inflation/Makefile.am | 8 ++++----
ql/pricingengines/lookback/Makefile.am | 8 ++++----
ql/pricingengines/swap/Makefile.am | 8 ++++----
ql/pricingengines/swaption/Makefile.am | 8 ++++----
ql/pricingengines/vanilla/Makefile.am | 8 ++++----
ql/processes/Makefile.am | 8 ++++----
ql/quotes/Makefile.am | 8 ++++----
ql/termstructures/Makefile.am | 8 ++++----
ql/termstructures/credit/Makefile.am | 8 ++++----
ql/termstructures/inflation/Makefile.am | 8 ++++----
ql/termstructures/volatility/Makefile.am | 8 ++++----
ql/termstructures/volatility/capfloor/Makefile.am | 8 ++++----
ql/termstructures/volatility/equityfx/Makefile.am | 8 ++++----
ql/termstructures/volatility/inflation/Makefile.am | 8 ++++----
ql/termstructures/volatility/optionlet/Makefile.am | 8 ++++----
ql/termstructures/volatility/swaption/Makefile.am | 8 ++++----
ql/termstructures/yield/Makefile.am | 8 ++++----
ql/time/Makefile.am | 8 ++++----
ql/time/calendars/Makefile.am | 8 ++++----
ql/time/daycounters/Makefile.am | 8 ++++----
ql/utilities/Makefile.am | 8 ++++----
102 files changed, 409 insertions(+), 408 deletions(-)
commit 58fb6dd15ec1672893258606065cf0798de4de50
Merge: 709224993 f29adac3e
Author: Luigi Ballabio <[email protected]>
Date: Fri, 6 Mar 2020 11:00:46 +0100
Merge pull request #778.
use Setting includeTodaysCashFlows() In DiscretizedSwap
commit 7092249939b852ab2bfaa1b8d1fde95da035a6a9
Author: Luigi Ballabio <[email protected]>
Date: Thu, 5 Mar 2020 18:31:18 +0100
Add unity build to Travis build matrix.
.travis.yml | 8 +++++++-
1 file changed, 7 insertions(+), 1 deletion(-)
commit a9002008ad41c8b11f11556babcbc65393a6ce84
Author: Luigi Ballabio <[email protected]>
Date: Wed, 4 Mar 2020 22:53:57 +0100
Add badge for GitHub Actions build
README.md | 1 +
1 file changed, 1 insertion(+)
commit f29adac3e387b0fd9fc1b7fe40799158c34f26a8
Author: RalfKonrad <[email protected]>
Date: Wed, 4 Mar 2020 22:40:34 +0100
Removed "boost::optional<T>.has_value()" and "boost::optional<T>.value()" as older boost version do not support them.
ql/pricingengines/swap/discretizedswap.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 1b8ff7b47d669c77a5cc33973a23f57e0d2f7995
Author: RalfKonrad <[email protected]>
Date: Wed, 4 Mar 2020 22:33:21 +0100
Set "includeTodaysCashFlows" in constructor.
ql/pricingengines/swap/discretizedswap.cpp | 11 +++++------
ql/pricingengines/swap/discretizedswap.hpp | 1 +
2 files changed, 6 insertions(+), 6 deletions(-)
commit 64678bbf3a3e400fb073e2ef06a7c7ddcdc237f7
Author: RalfKonrad <[email protected]>
Date: Mon, 2 Mar 2020 22:03:07 +0100
use Setting::includeTodaysCashFlows() In DiscretizedSwap
ql/pricingengines/swap/discretizedswap.cpp | 18 +++++++++++++++---
1 file changed, 15 insertions(+), 3 deletions(-)
commit e27831a5155f1a457b58cd4c74f56f72a7138dc1
Author: Luigi Ballabio <[email protected]>
Date: Mon, 2 Mar 2020 15:52:43 +0100
Add run id to coverage report.
.github/workflows/coveralls.yml | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit 2c4ef4c67d25ccf0aa33916dc52b2d4c72128e2a
Merge: acb58592d ae8b84926
Author: Luigi Ballabio <[email protected]>
Date: Sun, 1 Mar 2020 20:45:31 +0100
Merge pull request #771.
add global bootstrapper to reproduce BBG curve with serial FRAs
commit acb58592d15f5c49281e72d821382e58d7b039f2
Merge: 703089814 8d842c328
Author: Luigi Ballabio <[email protected]>
Date: Sun, 1 Mar 2020 19:54:40 +0100
Merge pull request #776.
Enable use of normal volatility in cap helpers.
commit ae8b84926a3a677f540fa6183de2d201d01bfc1c
Author: Luigi Ballabio <[email protected]>
Date: Sun, 1 Mar 2020 16:34:02 +0100
Old-style include guard.
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
ql/termstructures/globalbootstrap.hpp | 5 ++++-
3 files changed, 8 insertions(+), 1 deletion(-)
commit a8a5feeea599f294bc218cecb11cc73dc72e3c26
Author: Luigi Ballabio <[email protected]>
Date: Sun, 1 Mar 2020 16:30:14 +0100
Remove intermediate class.
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 -
ql/CMakeLists.txt | 2 -
ql/termstructures/yield/Makefile.am | 6 +-
ql/termstructures/yield/all.hpp | 1 -
.../yield/interpolatedsimplezerocurve.hpp | 41 ++++----
.../yield/zeroyieldstructure_simple.cpp | 41 --------
.../yield/zeroyieldstructure_simple.hpp | 103 ---------------------
8 files changed, 21 insertions(+), 177 deletions(-)
commit 79e350253b158834d574110531d077b29264cb0b
Author: Luigi Ballabio <[email protected]>
Date: Sun, 1 Mar 2020 16:17:46 +0100
Rename InterpolatedSimpleZeroCurve.
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 ++
ql/CMakeLists.txt | 2 +-
ql/termstructures/all.hpp | 1 +
ql/termstructures/yield/Makefile.am | 2 +-
ql/termstructures/yield/all.hpp | 2 +
ql/termstructures/yield/bootstraptraits.hpp | 4 +-
..._simple.hpp => interpolatedsimplezerocurve.hpp} | 48 +++++++++++-----------
8 files changed, 35 insertions(+), 28 deletions(-)
commit 69c18aeaac97e17a7c6e59f7292619ecf93e8a6b
Author: Luigi Ballabio <[email protected]>
Date: Sun, 1 Mar 2020 16:15:48 +0100
Pass accuracy to bootstrapper; avoid deprecated call.
ql/termstructures/globalbootstrap.hpp | 25 +++++++++++++++++--------
test-suite/piecewiseyieldcurve.cpp | 4 ++--
2 files changed, 19 insertions(+), 10 deletions(-)
commit 8d842c3281bf72f9ea2140dc1197af3a7b403134
Author: Luigi Ballabio <[email protected]>
Date: Sun, 1 Mar 2020 14:53:57 +0100
Enable use of normal volatility in cap helpers.
.../shortrate/calibrationhelpers/caphelper.cpp | 29 +++++++++++++++-------
.../shortrate/calibrationhelpers/caphelper.hpp | 5 +++-
2 files changed, 24 insertions(+), 10 deletions(-)
commit 7f41f30efe440865b1676b61026922bb0defc95e
Author: Luigi Ballabio <[email protected]>
Date: Fri, 28 Feb 2020 16:10:01 +0100
Reordered files
ql/termstructures/Makefile.am | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 7030898142a18842fe946f08aea697441e3bee2a
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Feb 2020 23:42:44 +0100
Use checkout action v2 in workflows.
It checks out the proper branch instead of a detached HEAD.
.github/workflows/cmake.yml | 2 +-
.github/workflows/coveralls.yml | 2 +-
README.md | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit e0a6334e6675fef1dde2802cf03f50ebb6cc345a
Merge: b8e38159f 64c18c229
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Feb 2020 23:15:41 +0100
Merge pull request #775.
ensure a volatility and shift can be read for given swapLength
commit b8e38159f2429d0738e665412456c19f2db1de43
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Feb 2020 12:38:52 +0100
Also send coverage to Coverall.
.codecov.yml | 6 ++----
.github/workflows/{codecov.yml => coveralls.yml} | 15 +++++++++++----
README.md | 2 +-
3 files changed, 14 insertions(+), 9 deletions(-)
commit 5c14f63f17dcf27e254bab9e1674e55acde579e8
Author: Luigi Ballabio <[email protected]>
Date: Wed, 26 Feb 2020 17:05:29 +0100
Avoid mistaking coverage workflow for a report.
.codecov.yml | 3 +++
.github/workflows/{coverage.yml => codecov.yml} | 0
2 files changed, 3 insertions(+)
commit 64c18c229e012325dec0787c27b9c1585121a1f8
Author: Peter Caspers <[email protected]>
Date: Wed, 26 Feb 2020 09:29:35 +0100
set swapLength to effective value used to read the volatility
ql/pricingengines/swaption/blackswaptionengine.hpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit f8f9e3081049a77342863dae81213bf93083beda
Merge: 6a4592bad 6bdd80dcf
Author: Luigi Ballabio <[email protected]>
Date: Wed, 26 Feb 2020 09:02:41 +0100
Merge pull request #772.
Update asia.cpp
commit d94e0447a25c4ae88a753e7effe5b4f68889c822
Author: Peter Caspers <[email protected]>
Date: Tue, 25 Feb 2020 21:14:22 +0100
ensure a volatility and shift can be read for given swapLength
ql/pricingengines/swaption/blackswaptionengine.hpp | 3 +++
1 file changed, 3 insertions(+)
commit 6a4592bad4dd95a5decbaa09bcc6869f525f8984
Merge: e871f4fe5 247cc309a
Author: Luigi Ballabio <[email protected]>
Date: Mon, 24 Feb 2020 17:13:23 +0100
Merge pull request #770.
some updates for the DE optimiser
commit e871f4fe5b0e75c86f9fec4884e98cc98feb6a8e
Merge: 09fa5c0cd 74acc2085
Author: Luigi Ballabio <[email protected]>
Date: Mon, 24 Feb 2020 12:49:00 +0100
Merge pull request #769.
Fixed German calendar , by removing 31st Dec as holiday
commit 09fa5c0cd5192c076726a2f26acd92920a14c87d
Merge: 397cbdae6 fa3dff132
Author: Luigi Ballabio <[email protected]>
Date: Mon, 24 Feb 2020 12:40:03 +0100
Merge pull request #766.
Fix BMA Coupon Fixing Schedule
commit 397cbdae6180eb5c7e48c578a1b130f765f82099
Merge: b6dd39370 c652e2991
Author: Luigi Ballabio <[email protected]>
Date: Mon, 24 Feb 2020 12:38:32 +0100
Merge pull request #764.
update China holiday for coronavirus event
commit b6dd39370f758533a10a8ed67cd3fd37489f6804
Merge: 8dc4cc2e4 c6da062a5
Author: Luigi Ballabio <[email protected]>
Date: Mon, 24 Feb 2020 12:35:28 +0100
Merge pull request #758.
Update holidays for South Korea calendar
commit 8dc4cc2e40d8cb45fe868695cef1d12d110a380c
Merge: 65867ab7c 2543a18a8
Author: Luigi Ballabio <[email protected]>
Date: Mon, 24 Feb 2020 12:27:54 +0100
Merge pull request #762.
holidayList now operates on instance, added businessDaysList
commit 6bdd80dcf56a4c443046e666137e89eda476a3ce
Author: jbarber2016 <[email protected]>
Date: Thu, 20 Feb 2020 08:23:49 -0500
Update asia.cpp
fixed KZT currency
ql/currencies/asia.cpp | 11 ++++++-----
1 file changed, 6 insertions(+), 5 deletions(-)
commit 90c39b6f5796ba53b888a5991954b15a75e54e37
Author: jbarber2016 <[email protected]>
Date: Thu, 20 Feb 2020 08:18:52 -0500
Update asia.hpp
Updated header to include KZT currency
ql/currencies/asia.hpp | 5 +++++
1 file changed, 5 insertions(+)
commit dd96fe6ae518e4a6965ddfbc50d7065840e352eb
Author: jbarber2016 <[email protected]>
Date: Thu, 20 Feb 2020 08:12:59 -0500
Update asia.cpp
adding KZT Currency to Asia.
ql/currencies/asia.cpp | 14 +++++++++++++-
1 file changed, 13 insertions(+), 1 deletion(-)
commit aea0c5d1f64a42cc47f069d61c319a31fe2381a6
Author: Peter Caspers <[email protected]>
Date: Sun, 16 Feb 2020 16:43:07 +0100
replace some boost::shared_ptr by ext::shared_ptr
ql/termstructures/globalbootstrap.hpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit e690dfb4267ae5da2c7cb6e9996fd0ec45baf368
Author: Peter Caspers <[email protected]>
Date: Sun, 16 Feb 2020 15:55:16 +0100
replace some boost:: by ext::, C++03 compatibility
test-suite/piecewiseyieldcurve.cpp | 74 ++++++++++++++++++++------------------
1 file changed, 39 insertions(+), 35 deletions(-)
commit ef433edf7a0553b490026990047bbfe92f952abc
Author: Peter Caspers <[email protected]>
Date: Sun, 16 Feb 2020 10:14:17 +0100
update msvc project files
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
2 files changed, 4 insertions(+)
commit 5e8eb955f0ee89a109899838b1c5047301e20ff1
Author: Peter Caspers <[email protected]>
Date: Sun, 16 Feb 2020 10:04:34 +0100
ctor with one arg should be explicit
test-suite/piecewiseyieldcurve.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 2cdb4c6fac175b5d5ebdde9c630e1d1077c0396b
Author: Peter Caspers <[email protected]>
Date: Sun, 16 Feb 2020 10:04:17 +0100
ctor with one arg should be explicit
ql/termstructures/yield/zerocurve_simple.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit cbb85938ffab7eae67beeed1737eaed32d2418bb
Author: Peter Caspers <[email protected]>
Date: Sun, 16 Feb 2020 10:04:07 +0100
avoid reorder warning
ql/termstructures/globalbootstrap.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 5c4a558b0800a8e3f6a01f55dc3dd1c487fdbbfa
Author: Peter Caspers <[email protected]>
Date: Sat, 15 Feb 2020 22:00:43 +0100
whitespace
ql/termstructures/yield/bootstraptraits.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 385cb387a9451bd3250178a1d2b39a20d58ca865
Author: Peter Caspers <[email protected]>
Date: Sat, 15 Feb 2020 21:57:50 +0100
eliminate QL_NEGATIVE_RATES macro
ql/termstructures/yield/bootstraptraits.hpp | 4 ----
ql/termstructures/yield/zerocurve_simple.hpp | 10 ----------
2 files changed, 14 deletions(-)
commit 48b6cb2a50bc99c5b966ebfcbd04f9f296c4abfb
Author: Peter Caspers <[email protected]>
Date: Sat, 15 Feb 2020 21:50:15 +0100
unit test now running
ql/termstructures/yield/bootstraptraits.hpp | 15 ++++-----------
ql/termstructures/yield/zerocurve_simple.hpp | 2 +-
.../yield/zeroyieldstructure_simple.hpp | 8 --------
test-suite/piecewiseyieldcurve.cpp | 21 +++++++++++----------
4 files changed, 16 insertions(+), 30 deletions(-)
commit 247cc309aee3373db26e272c77a012f1dd288d2c
Author: Peter Caspers <[email protected]>
Date: Sat, 15 Feb 2020 18:14:32 +0100
some updates for the DE optimiser
- allow to explicitly specify bounds
- allow to specify an initial population explicitly
- evaluate cost function via problem, reset problem initially
- handle non-finite intermediate results
ql/math/optimization/differentialevolution.cpp | 60 +++++++++++++++++++-------
ql/math/optimization/differentialevolution.hpp | 23 +++++++++-
2 files changed, 66 insertions(+), 17 deletions(-)
commit 6ab8d89b9731b5e2b4fd5e22cb1bf9657e05bc93
Author: Prasad Somwanshi <[email protected]>
Date: Fri, 14 Feb 2020 22:31:41 +0000
Removed 31 Dec as holiday from German calendar
ql/time/calendars/germany.cpp | 20 +++++---------------
ql/time/calendars/germany.hpp | 5 -----
test-suite/calendars.cpp | 6 ------
3 files changed, 5 insertions(+), 26 deletions(-)
commit 3214ef9aaea3f1218745c38679d2e91a61f959db
Author: Prasad Somwanshi <[email protected]>
Date: Fri, 14 Feb 2020 21:48:42 +0000
Fixed German calendar , by removing 31st Dec as holiday
ql/time/calendars/germany.cpp | 20 +++++---------------
ql/time/calendars/germany.hpp | 5 -----
2 files changed, 5 insertions(+), 20 deletions(-)
commit e7e280b62b615f92737b88a07d0b50db11f96bfe
Author: Peter Caspers <[email protected]>
Date: Sun, 9 Feb 2020 21:13:18 +0100
pass parameters to global bootstrap properly
test-suite/piecewiseyieldcurve.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 694e3cf19c1cb95798bb1635920cff850f254751
Author: Peter Caspers <[email protected]>
Date: Sun, 9 Feb 2020 20:14:08 +0100
add global bootstrap, unit test failing at the moment
ql/CMakeLists.txt | 4 +
ql/termstructures/Makefile.am | 3 +-
ql/termstructures/globalbootstrap.hpp | 311 +++++++++++++++++++++
ql/termstructures/yield/Makefile.am | 7 +-
ql/termstructures/yield/bootstraptraits.hpp | 98 +++++++
ql/termstructures/yield/zerocurve_simple.hpp | 219 +++++++++++++++
.../yield/zeroyieldstructure_simple.cpp | 41 +++
.../yield/zeroyieldstructure_simple.hpp | 111 ++++++++
test-suite/piecewiseyieldcurve.cpp | 136 +++++++++
test-suite/piecewiseyieldcurve.hpp | 2 +
10 files changed, 929 insertions(+), 3 deletions(-)
commit fa3dff132fda19b1038948328a23f4f3d3c7ca08
Author: Peter Caspers <[email protected]>
Date: Fri, 7 Feb 2020 14:49:40 +0100
rename 'next' to 'previous', that's what we are actually doing
ql/cashflows/averagebmacoupon.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 2a7159acd2e4e34f129c4fca2d106288ee64bb46
Author: Peter Caspers <[email protected]>
Date: Fri, 7 Feb 2020 13:48:51 +0100
fix for fixing schedule construction
ql/cashflows/averagebmacoupon.cpp | 13 +++++++++++++
1 file changed, 13 insertions(+)
commit 2543a18a8c2883c69483ccadaa7bbf00dfc0be62
Author: Luigi Ballabio <[email protected]>
Date: Tue, 4 Feb 2020 18:16:49 +0100
Avoid misleading-indentation warning.
ql/termstructures/yield/forwardcurve.hpp | 8 +++++---
1 file changed, 5 insertions(+), 3 deletions(-)
commit c75f147e6e91b26d3eff8865d7a8e3f3b81c3bc7
Author: Luigi Ballabio <[email protected]>
Date: Tue, 4 Feb 2020 18:16:21 +0100
Avoid deprecation warnings.
test-suite/calendars.cpp | 66 ++++++++++++++++++++++++------------------------
1 file changed, 33 insertions(+), 33 deletions(-)
commit 9fb5b42104f5999fa31d656dda9d92bd5b01c789
Author: Luigi Ballabio <[email protected]>
Date: Tue, 4 Feb 2020 18:05:24 +0100
Clean up.
ql/time/calendar.cpp | 3 +--
ql/time/calendar.hpp | 20 ++++++++++----------
test-suite/calendars.cpp | 22 ++++++++++------------
test-suite/calendars.hpp | 2 +-
4 files changed, 22 insertions(+), 25 deletions(-)
commit c652e29913d55588a813f8427d5b7f00b7b8aa50
Author: wegamekinglc <[email protected]>
Date: Sun, 2 Feb 2020 20:21:54 +0800
update china holiday for coronavirus event
ql/time/calendars/china.cpp | 3 +--
test-suite/calendars.cpp | 2 +-
2 files changed, 2 insertions(+), 3 deletions(-)
commit 20f8b6c02a7a2d6cbc9f4cccfadb7e3cd583f207
Merge: 5b5c7765b 65867ab7c
Author: Cheng Li <[email protected]>
Date: Sun, 2 Feb 2020 20:17:30 +0800
Merge pull request #6 from lballabio/master
update from upstream
commit 65867ab7c44419b69e40e553b41230744b83cff9
Merge: 965961893 3ef71f5fa
Author: Luigi Ballabio <[email protected]>
Date: Mon, 27 Jan 2020 16:50:11 +0100
Merge pull request #759.
Added possibility to create JointCalendar from vector of Calendars
commit b27a6dd49d1b061b3b84059ec9876f7261037f9b
Author: piotr <[email protected]>
Date: Sun, 26 Jan 2020 10:59:26 +0100
holidayList now operates on _inst, added businessDaysList, corrected test
test-suite/calendars.cpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit d21df91aec6dc667e020733d58c0409d62db008f
Author: piotr <[email protected]>
Date: Sun, 26 Jan 2020 10:29:34 +0100
holidayList now operates on _inst, added businessDaysList, corrected test
test-suite/calendars.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 965961893c7fc75fd39480dfa5daa4d4873c9a8f
Merge: 21573f67d a1bcf304a
Author: Luigi Ballabio <[email protected]>
Date: Fri, 24 Jan 2020 17:34:58 +0100
Merge pull request #761.
commit 21573f67dfcb4fb3a7ead51d77a949af9362f2bc
Merge: f918e1a34 a80cdf7fd
Author: Luigi Ballabio <[email protected]>
Date: Fri, 24 Jan 2020 10:51:12 +0100
Merge pull request #760.
commit 3ef71f5fa5a331dc937b341142d4ab040636a18a
Author: Luigi Ballabio <[email protected]>
Date: Fri, 24 Jan 2020 10:26:58 +0100
Declare constructor as explicit.
ql/time/calendars/jointcalendar.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 7adebd10eaf5fa1729afabd5f1770508d0a5be90
Author: piotr <[email protected]>
Date: Thu, 23 Jan 2020 11:39:42 +0100
Added possibility to create JointCalendar from vector of Calendars, changed test to work with c++98
test-suite/calendars.cpp | 9 +++++++--
1 file changed, 7 insertions(+), 2 deletions(-)
commit d6dab100c770bb20eb2971a9fc21ccc9cfb69f30
Merge: 7e8ecab51 f918e1a34
Author: PiotrSiejda <[email protected]>
Date: Thu, 23 Jan 2020 10:58:36 +0100
Merge pull request #1 from lballabio/master