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ChangeLog.txt
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commit bf0959a3306264eece60da793a2d2e3f6bdf3330
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.23 final.
configure.ac | 2 +-
ql/version.hpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit 0d95b09e2c8bf711abb5092884fa3880c81d27be
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 7 Jul 2021 13:07:11 +0200
Add missing file to Makefile.am
test-suite/Makefile.am | 1 +
1 file changed, 1 insertion(+)
commit 7164dd43df3cbf4507e5652ad4a10bffcb587faa
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 7 Jul 2021 12:51:04 +0200
Also check list of distributed files
.github/workflows/filelists.yml | 8 ++++++++
tools/check_filelists.sh | 29 ++++++++++++++++++++++++-----
tools/check_filelists_diffs.py | 17 +++++++++++++++--
3 files changed, 47 insertions(+), 7 deletions(-)
commit ab6261093f28a7980bf051d2d2662d6785eee6b1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 6 Jul 2021 14:49:24 +0200
List correct source file in Makefile
ql/indexes/ibor/Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 730d083f4f21561c367ca33a8969e36a964b1bd0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 1 Apr 2021 11:28:16 +0200
Set version to 1.23 rc
configure.ac | 2 +-
ql/version.hpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit fc908dbb92c5753d6472594005b5654dcb3196fb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 5 Jul 2021 14:03:22 +0200
Update changelog and news.
ChangeLog.txt | 7430 +++++++++--------------------------------------
Contributors.txt | 4 +
Docs/pages/history.docs | 74 +-
News.md | 141 +-
4 files changed, 1517 insertions(+), 6132 deletions(-)
commit 78def11a12f03f440b0f292e72c6ab9f64bb375c
Merge: e00592723 e38e509be
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 5 Jul 2021 00:10:14 +0200
Merge pull request #1139.
Set a default pricer to YoY and CPI inflation legs.
commit e38e509be408a278bd9485aef96576cd378ae622
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 2 Jul 2021 18:48:16 +0200
Remove redundant code
ql/cashflows/cpicoupon.cpp | 26 ++++++--------------------
1 file changed, 6 insertions(+), 20 deletions(-)
commit 146e5081fdc542f7d60af78821f456cafb5887f9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 2 Jul 2021 17:54:56 +0200
Set a default pricer to YoY and CPI inflation legs.
ql/cashflows/cpicoupon.cpp | 9 ++----
ql/cashflows/cpicouponpricer.cpp | 11 +++----
ql/cashflows/cpicouponpricer.hpp | 4 ---
ql/cashflows/inflationcouponpricer.cpp | 11 +++----
ql/cashflows/inflationcouponpricer.hpp | 4 ---
ql/cashflows/yoyinflationcoupon.cpp | 39 ++++++++----------------
ql/termstructures/inflation/inflationhelpers.cpp | 3 +-
test-suite/inflation.cpp | 5 ---
test-suite/inflationcapfloor.cpp | 2 --
test-suite/inflationcapflooredcoupon.cpp | 4 ---
test-suite/inflationcpibond.cpp | 4 ---
test-suite/inflationcpiswap.cpp | 21 +++----------
12 files changed, 31 insertions(+), 86 deletions(-)
commit e00592723bc7ef267c66e126eb46d5c98e6e8447
Merge: 0d91e3664 1bf912361
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 2 Jul 2021 15:54:20 +0200
Merge pull request #1137.
Reintroduce wider search bounds for G2 calibration.
commit 1bf91236157b9addf52b0c6035f8d65787922534
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 2 Jul 2021 12:03:16 +0200
Ensure search bounds for G2 cover more cases.
The previous value caused the Bermudan-swaption Python example to fail.
ql/models/shortrate/twofactormodels/g2.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 0d91e3664fbe566c225a2b75f3ca022de7699728
Merge: 17d4c6e77 96b9fb058
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 1 Jul 2021 22:52:25 +0200
Merge pull request #1135.
Currency constructor
commit 17d4c6e77587b0413bcb2c3f6a3eb3fd9410e994
Merge: 454d34353 444180405
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 1 Jul 2021 19:04:56 +0200
Merge pull request #1136.
Add new Canadian holiday
commit 96b9fb058aba6d798602fb9fed724803005fe5cf
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 1 Jul 2021 16:01:32 +0200
Implemented PR feedback.
test-suite/currency.cpp | 26 ++++++++++++++++++++------
1 file changed, 20 insertions(+), 6 deletions(-)
commit 454d343530e8fad538edad7b066f4bae82e9a0b0
Merge: abac3c462 267f44e4a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 1 Jul 2021 15:35:01 +0200
Merge pull request #1068.
ZeroInflationCashFlow used by ZeroCouponInflationSwap
commit 0595c68e534cf2803d55c57fd5a4e4574995b9f8
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 1 Jul 2021 11:57:37 +0200
Added empty line.
test-suite/currency.cpp | 2 +-
test-suite/currency.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 3dd046023a782ad98649248f88020168e8a34d72
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 1 Jul 2021 11:56:22 +0200
Renamed test method.
test-suite/currency.cpp | 6 +++---
test-suite/currency.hpp | 2 +-
2 files changed, 4 insertions(+), 4 deletions(-)
commit 4441804054df8fea19f9b059a928949ac4181647
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 1 Jul 2021 11:43:25 +0200
Add new Canadian holiday
ql/time/calendars/canada.cpp | 3 +++
ql/time/calendars/canada.hpp | 1 +
2 files changed, 4 insertions(+)
commit 40fa553c37e219f2b35968f18622f31e0d5861d1
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 1 Jul 2021 11:39:14 +0200
Added constructor test.
test-suite/currency.cpp | 15 ++++++++++++---
test-suite/currency.hpp | 2 +-
2 files changed, 13 insertions(+), 4 deletions(-)
commit 7e3ce653947b0c5309fcabd4b470a33723dfb650
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 1 Jul 2021 10:33:35 +0200
Updated CMakeLists.txt and Makefile.am.
test-suite/CMakeLists.txt | 2 ++
test-suite/Makefile.am | 2 ++
2 files changed, 4 insertions(+)
commit 86bbf3e2cc51cfb094af3013971744bd2dc08590
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 1 Jul 2021 10:24:55 +0200
Added unit test files.
ql/currency.hpp | 12 ++++++------
test-suite/currency.cpp | 37 ++++++++++++++++++++++++++++++++++++
test-suite/currency.hpp | 32 +++++++++++++++++++++++++++++++
test-suite/quantlibtestsuite.cpp | 2 ++
test-suite/testsuite.vcxproj | 2 ++
test-suite/testsuite.vcxproj.filters | 6 ++++++
6 files changed, 85 insertions(+), 6 deletions(-)
commit e7e0755df39d10978b4f52f513597093a56b70cc
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 1 Jul 2021 09:56:42 +0200
Updated the signature of the constructor.
ql/currency.cpp | 12 ++++++------
ql/currency.hpp | 12 ++++++------
2 files changed, 12 insertions(+), 12 deletions(-)
commit 204af33d6617987e30dd1975b2c195d9988f719c
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Wed, 30 Jun 2021 23:32:22 +0200
Added new Currency constructor.
ql/currency.cpp | 19 +++++++++++++++++++
ql/currency.hpp | 12 ++++++++++++
2 files changed, 31 insertions(+)
commit abac3c46203273d77a0fef429ece55a51cd8724c
Merge: 2ff12147a 6d1815642
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Jun 2021 19:40:30 +0200
Merge pull request #1134.
Added implementation of numberOfEvaluations
commit 267f44e4ad9917bb3002f575bf65cc334c735cbf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Jun 2021 16:44:51 +0200
Fix docs
ql/cashflows/zeroinflationcashflow.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4f04328c52bceb6776698a287a3ebd29fe4fc67c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Jun 2021 16:39:59 +0200
Renamed new files
QuantLib.vcxproj | 6 +++---
QuantLib.vcxproj.filters | 12 ++++++------
ql/CMakeLists.txt | 4 ++--
ql/cashflows/Makefile.am | 8 ++++----
ql/cashflows/all.hpp | 2 +-
.../{inflationcashflow.cpp => zeroinflationcashflow.cpp} | 2 +-
.../{inflationcashflow.hpp => zeroinflationcashflow.hpp} | 0
ql/instruments/zerocouponinflationswap.cpp | 2 +-
8 files changed, 18 insertions(+), 18 deletions(-)
commit 00446815eb56a464af7f89a1e16b1533f02ef2e7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Jun 2021 16:32:08 +0200
Change interpolation period
ql/cashflows/inflationcashflow.cpp | 32 +++++++++++++++++---------------
ql/cashflows/inflationcashflow.hpp | 2 +-
2 files changed, 18 insertions(+), 16 deletions(-)
commit ba18b928a47d1200110daafb3409c9c62e961c36
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Jun 2021 16:31:24 +0200
Change constructor inputs
ql/cashflows/inflationcashflow.cpp | 40 +++++++++++++++++++++----
ql/cashflows/inflationcashflow.hpp | 48 ++++++++++++++++++++----------
ql/instruments/zerocouponinflationswap.cpp | 36 +++++++++++-----------
3 files changed, 84 insertions(+), 40 deletions(-)
commit 6d1815642d2cdfa37a561d3e23de2c9f375f2f5b
Author: Kevin Kirchhoff <kkirchhoff01@gmail.com>
Date: Wed, 30 Jun 2021 10:22:57 -0400
Added implementation of numberOfEvaluations
Ref: AnalyticPTDHestonEngine::numberOfEvaluations does not have implementation #1128
ql/pricingengines/vanilla/analyticptdhestonengine.cpp | 4 ++++
1 file changed, 4 insertions(+)
commit 2ff12147a4bce149f807064a63fcb2cd25182e83
Merge: 9777600ba 80bacb164
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Jun 2021 09:21:03 +0200
Merge pull request #1132.
Improve documentation
commit 80bacb1644ba7659fff3fa40af62160d4c3da2d8
Author: mmencke <57640398+mmencke@users.noreply.github.com>
Date: Tue, 29 Jun 2021 23:16:19 +0200
Improve CIR Documentation
.../shortrate/onefactormodels/coxingersollross.hpp | 2 +-
.../onefactormodels/extendedcoxingersollross.hpp | 12 +++++++++---
ql/processes/coxingersollrossprocess.hpp | 17 +++++++++--------
3 files changed, 19 insertions(+), 12 deletions(-)
commit 4453707e92dd03d566b7d6f40bd4b073ab490c2d
Author: mmencke <57640398+mmencke@users.noreply.github.com>
Date: Tue, 29 Jun 2021 22:45:06 +0200
Improve RiskyBond Documentation
ql/experimental/credit/riskybond.hpp | 28 ++++++++++++++++++++++++++--
1 file changed, 26 insertions(+), 2 deletions(-)
commit 3bbd2cc2861c9af9b2c1e877e224fdd47865c4b1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Jun 2021 17:47:56 +0200
Fix version in deprecation
ql/termstructures/inflation/inflationhelpers.hpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit dd674df69796bdcda7a437f995b502fab48190bb
Author: mmencke <57640398+mmencke@users.noreply.github.com>
Date: Tue, 29 Jun 2021 11:55:54 +0200
Add copyright notice
I forgot to credit myself in pull request #1122 and #1117
ql/models/shortrate/onefactormodels/coxingersollross.hpp | 1 +
ql/models/shortrate/onefactormodels/extendedcoxingersollross.cpp | 1 +
ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp | 1 +
ql/models/shortrate/twofactormodels/g2.cpp | 1 +
ql/processes/coxingersollrossprocess.hpp | 1 +
5 files changed, 5 insertions(+)
commit 9777600ba0fe422deff538c0aa1527b9ca591e26
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 28 Jun 2021 23:50:14 +0200
Exit with error code if unable to parse copyright line
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 2 +-
ql/experimental/termstructures/crosscurrencyratehelpers.hpp | 2 +-
ql/math/primenumbers.cpp | 2 +-
ql/math/randomnumbers/haltonrsg.cpp | 2 +-
ql/math/randomnumbers/primitivepolynomials.cpp | 4 ++--
ql/methods/montecarlo/brownianbridge.cpp | 2 +-
tools/check_copyrights.sh | 2 +-
tools/collect_copyrights.py | 6 +++++-
8 files changed, 13 insertions(+), 9 deletions(-)
commit 9b37c09b72ae16a2f6b7c3785f2be2c5110598b7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Jun 2021 11:23:20 +0200
Increase observation lag in test to make up for missing fixing
test-suite/inflationzciisinterpolation.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d55030eec64dda20a7da830eaae3ee2b3618b31d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Jun 2021 11:23:02 +0200
Set latest date properly
ql/termstructures/inflation/inflationhelpers.cpp | 19 +++++++------------
1 file changed, 7 insertions(+), 12 deletions(-)
commit a7ed34d3155c7addc9fb40d8bb726a8fec376d66
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Jun 2021 10:39:44 +0200
Relax check
ql/instruments/zerocouponinflationswap.cpp | 12 +++++-------
ql/termstructures/inflation/inflationhelpers.cpp | 21 +++++++++------------
2 files changed, 14 insertions(+), 19 deletions(-)
commit 481711d25de9da91bd42a81b32b68adb46f7084b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Jun 2021 10:39:10 +0200
Add more info to error message
ql/indexes/inflationindex.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4a3b138a0e74402f3361023681e81e4bc1d45223
Merge: d2dd2df3f 39e8cbeb5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Jun 2021 01:22:45 +0200
Merge pull request #1130.
Remove check on Boost::uBLAS availability.
commit 39e8cbeb580547d0b29bb38a789abccf4ba390b1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 28 Jun 2021 18:33:10 +0200
Remove check on Boost::uBLAS availability.
It was meant for gcc 3.x, which can't support C++11 anyway.
acinclude.m4 | 26 -------
.../finitedifferences/fdmblackscholesfwdop.cpp | 3 +-
.../finitedifferences/fdmblackscholesfwdop.hpp | 2 -
.../finitedifferences/fdmdupire1dop.cpp | 6 +-
.../finitedifferences/fdmdupire1dop.hpp | 2 -
.../fdmextendedornsteinuhlenbeckop.cpp | 2 -
.../fdmextendedornsteinuhlenbeckop.hpp | 3 +-
.../finitedifferences/fdmextoujumpop.cpp | 85 +---------------------
.../finitedifferences/fdmextoujumpop.hpp | 18 -----
.../finitedifferences/fdmhestonfwdop.cpp | 3 +-
.../finitedifferences/fdmhestonfwdop.hpp | 2 -
.../finitedifferences/fdmklugeextouop.cpp | 3 +-
.../finitedifferences/fdmklugeextouop.hpp | 3 +-
.../finitedifferences/fdmsquarerootfwdop.cpp | 3 +-
.../finitedifferences/fdmsquarerootfwdop.hpp | 3 +-
ql/experimental/finitedifferences/fdmzabrop.cpp | 3 +-
ql/experimental/finitedifferences/fdmzabrop.hpp | 2 -
ql/experimental/math/laplaceinterpolation.hpp | 3 -
ql/math/matrix.cpp | 16 +---
.../matrixutilities/sparseilupreconditioner.cpp | 5 --
.../matrixutilities/sparseilupreconditioner.hpp | 5 --
ql/math/matrixutilities/sparsematrix.hpp | 4 -
.../operators/fdm2dblackscholesop.cpp | 6 +-
.../operators/fdm2dblackscholesop.hpp | 3 +-
.../finitedifferences/operators/fdmbatesop.cpp | 2 -
.../finitedifferences/operators/fdmbatesop.hpp | 3 +-
.../operators/fdmblackscholesop.cpp | 3 +-
.../operators/fdmblackscholesop.hpp | 3 +-
.../finitedifferences/operators/fdmcevop.cpp | 3 +-
.../finitedifferences/operators/fdmcevop.hpp | 3 +-
.../finitedifferences/operators/fdmcirop.cpp | 3 +-
.../finitedifferences/operators/fdmcirop.hpp | 3 +-
ql/methods/finitedifferences/operators/fdmg2op.cpp | 3 +-
ql/methods/finitedifferences/operators/fdmg2op.hpp | 3 +-
.../operators/fdmhestonhullwhiteop.cpp | 3 +-
.../operators/fdmhestonhullwhiteop.hpp | 3 +-
.../finitedifferences/operators/fdmhestonop.cpp | 3 +-
.../finitedifferences/operators/fdmhestonop.hpp | 3 +-
.../finitedifferences/operators/fdmhullwhiteop.cpp | 3 +-
.../finitedifferences/operators/fdmhullwhiteop.hpp | 3 +-
.../finitedifferences/operators/fdmlinearop.hpp | 2 -
.../operators/fdmlinearopcomposite.hpp | 6 +-
.../operators/fdmlocalvolfwdop.cpp | 3 +-
.../operators/fdmlocalvolfwdop.hpp | 3 +-
.../operators/fdmornsteinuhlenbeckop.cpp | 2 -
.../operators/fdmornsteinuhlenbeckop.hpp | 3 +-
.../finitedifferences/operators/fdmsabrop.cpp | 3 +-
.../finitedifferences/operators/fdmsabrop.hpp | 3 +-
.../operators/ninepointlinearop.cpp | 2 -
.../operators/ninepointlinearop.hpp | 2 -
.../operators/nthorderderivativeop.cpp | 4 -
.../operators/nthorderderivativeop.hpp | 4 -
.../operators/triplebandlinearop.cpp | 2 -
.../operators/triplebandlinearop.hpp | 2 -
test-suite/fdmlinearop.cpp | 18 +----
.../marketmodel_smmcapletalphacalibration.cpp | 7 +-
test-suite/marketmodel_smmcapletcalibration.cpp | 7 +-
.../marketmodel_smmcaplethomocalibration.cpp | 3 -
test-suite/matrices.cpp | 10 +--
test-suite/nthorderderivativeop.cpp | 8 +-
test-suite/swapforwardmappings.cpp | 7 +-
test-suite/vpp.cpp | 2 -
62 files changed, 46 insertions(+), 315 deletions(-)
commit d2dd2df3f8d3c02910cdbe82ab0233e25544d4d2
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 28 Jun 2021 07:48:15 +0000
Update copyright list in license
LICENSE.TXT | 2 ++
1 file changed, 2 insertions(+)
commit d196765bb40d0a54614203a3ce57c524d335b1c7
Merge: 501012555 818d5349e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 28 Jun 2021 09:13:28 +0200
Merge pull request #1127.
added test for local volatility pricing from Heston model.
commit 818d5349e77ee2af21316cc69da77479db8a18e0
Author: klausspanderen <klaus@spanderen.de>
Date: Sun, 27 Jun 2021 02:18:37 +0200
added test for sparse matrix memory layout
ql/math/matrixutilities/sparsematrix.hpp | 5 ++
test-suite/matrices.cpp | 82 ++++++++++++++++++++++++++++++++
test-suite/matrices.hpp | 2 +
3 files changed, 89 insertions(+)
commit b6f241aa87cced9ba5532cb772bacaf76eb5b640
Author: klausspanderen <klaus@spanderen.de>
Date: Sat, 26 Jun 2021 22:41:29 +0200
added test for local volatility pricing from Heston model.
test-suite/hestonmodel.cpp | 73 ++++++++++++++++++++++++++++++++++++++++++++++
test-suite/hestonmodel.hpp | 1 +
2 files changed, 74 insertions(+)
commit 501012555bb6594886a86af0b999663bdcf676b3
Merge: 0d04d6e79 e85eed4b4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 26 Jun 2021 17:38:05 +0200
Merge pull request #1123.
Add ESTR Index
commit e85eed4b4177382cb5f36b094313c1f18597264e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 24 Jun 2021 15:12:04 +0200
Update VC++ project and CMake list.
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
ql/CMakeLists.txt | 2 ++
3 files changed, 10 insertions(+)
commit 0d04d6e796f12b5b8fefae49c568d7ea3f16d195
Merge: 727df9af0 47b163fbd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 24 Jun 2021 12:20:09 +0200
Merge pull request #1122.
Fix Calibration Errors in G2
commit 84a71a312b82397f5639c5245c6e2a50c601d84b
Author: mmencke <57640398+mmencke@users.noreply.github.com>
Date: Wed, 23 Jun 2021 22:35:39 +0200
Add ESTR Index
ql/indexes/ibor/Makefile.am | 3 ++-
ql/indexes/ibor/all.hpp | 1 +
ql/indexes/ibor/estr.cpp | 30 ++++++++++++++++++++++++++++++
ql/indexes/ibor/estr.hpp | 40 ++++++++++++++++++++++++++++++++++++++++
4 files changed, 73 insertions(+), 1 deletion(-)
commit 47b163fbde0db20333073d218b6281ea7202248c
Author: mmencke <57640398+mmencke@users.noreply.github.com>
Date: Wed, 23 Jun 2021 14:57:49 +0200
Fix Calibration Errors in G2
There has been some issues the lower bound becomes minus infinity as y=-100 is a very low value.
Instead of having the interval, where we solve for y-bar, hard-coded, it is now set to plus/minus 10 standard deviations.
ql/models/shortrate/twofactormodels/g2.cpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 727df9af0eda44f1b4c22084c2d43f5b4acf6f61
Merge: 5f5b7c5f5 6ad1e8776
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 19 Jun 2021 03:53:11 +0200
Merge pull request #1120.
Add Juneteenth to US calendars
commit 6ad1e8776081e0158b9496365d539f270b4d980f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 18 Jun 2021 18:18:56 +0200
Add Juneteenth to US calendars
ql/time/calendars/unitedstates.cpp | 14 ++++++++++++++
ql/time/calendars/unitedstates.hpp | 4 +++-
2 files changed, 17 insertions(+), 1 deletion(-)
commit 5f5b7c5f5dfd5e638b6c30f400b52ad27268b790
Merge: b641a12cc 383f26038
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 18 Jun 2021 16:07:36 +0200
Merge pull request #1117.
Improve CIR Discretization
commit b641a12ccf2966b8ba7bb1c5b1faab3b5b6a8c59
Merge: 956d57252 46b4ac179
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 18 Jun 2021 15:46:34 +0200
Merge pull request #1118.
Christmas Eve as settlement holiday for Norway
commit 46b4ac1798a5c02e9dc079212f3ecead1c904120
Author: newage-newton <pkn657@gmail.com>
Date: Fri, 11 Jun 2021 22:05:17 +0530
Fixing Typo
ql/time/calendars/norway.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f75138d184fb248a9e991af90eb6f24804076421
Author: newage-newton <pkn657@gmail.com>
Date: Fri, 11 Jun 2021 22:02:27 +0530
Updating documentation
ql/time/calendars/norway.hpp | 1 +
1 file changed, 1 insertion(+)
commit 66c4407beea07c9d8bf0408f501ca690168fb3fb
Author: newage-newton <pkn657@gmail.com>
Date: Fri, 11 Jun 2021 21:37:00 +0530
Issue#1116:Christmas Eve as settlement holiday for Norway
ql/time/calendars/norway.cpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit 383f2603861960cfd64b9a8658f5234d7f16b8c3
Author: mmencke <57640398+mmencke@users.noreply.github.com>
Date: Thu, 10 Jun 2021 23:53:54 +0200
Improve CIR Discretization
Using the Quadratic Exponential scheme of Leif Andersen to avoid "explosions" in the short-rate when the square root process gets close to zero.
.../shortrate/onefactormodels/coxingersollross.hpp | 41 +++++----------------
.../onefactormodels/extendedcoxingersollross.cpp | 3 +-
.../onefactormodels/extendedcoxingersollross.hpp | 10 +++---
ql/processes/coxingersollrossprocess.hpp | 42 +++++++++++++++++++++-
4 files changed, 54 insertions(+), 42 deletions(-)
commit 956d572524eb68b428137aa67bda35caff8f8e40
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 5 Jun 2021 11:20:28 +0200
Add OpenMP-enabled build to CI
.github/workflows/linux-full-tests.yml | 6 ++++++
.github/workflows/linux-nondefault.yml | 6 ++++++
.github/workflows/linux.yml | 7 +++++++
3 files changed, 19 insertions(+)
commit 848bd8fa945af9cf7634535cefe3228702dd4e28
Merge: 85559105b 35e805cac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 5 Jun 2021 09:50:26 +0200
Merge pull request #1113.
Add `-std=c++11` flag to autotools build when required
commit 35e805cac18fe37b9b8e9ddb70ad57286f6f4281
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 4 Jun 2021 12:12:00 +0200
Remove explicit -std=c++11 flag from CI workflows
.github/workflows/linux-full-tests.yml | 3 ---
.github/workflows/linux-nondefault.yml | 1 -
.github/workflows/linux.yml | 3 ---
.github/workflows/macos-nondefault.yml | 1 -
.github/workflows/macos.yml | 2 --
5 files changed, 10 deletions(-)
commit 69872c8cd79ce10358a33af98c421062f9b9110a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 4 Jun 2021 12:07:26 +0200
Add -std=c++11 to CXXFLAGS if needed
acinclude.m4 | 29 +++++++++++++++++++++++++++++
configure.ac | 3 +++
quantlib-config.in | 2 +-
3 files changed, 33 insertions(+), 1 deletion(-)
commit 85559105bd89a849f68bdc35ed16866de08db638
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 4 Jun 2021 18:21:56 +0200
Use quantlib-config in CI Linux builds
.github/workflows/linux-full-tests.yml | 3 +--
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 5 ++---
acinclude.m4 | 1 +
quantlib-config.in | 2 +-
5 files changed, 6 insertions(+), 7 deletions(-)
commit 48de77a954a027897c2133c2f4d7f93e7ce42f1c
Merge: 91f634030 d3c12c917
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 4 Jun 2021 15:12:22 +0200
Merge pull request #1108.
Set c++11 in CMakeLists.txt when on Mac OS
commit d3c12c9171cd680ea9cf9de3b904bc93b119b527
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 4 Jun 2021 09:14:41 +0200
C++11 is now set by default in CMake CI workflow
.github/workflows/cmake.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 91f634030402821fe392e3a4f8ee2accdec5492f
Merge: 1811cbd41 5c74843c4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 3 Jun 2021 20:50:02 +0200
Merge pull request #1112.
Ensure curve bootstrap before implied hazard-rate calculation
commit c303556db4c87b7b628615d802d60cec4322d639
Author: Leander Schulten <Leander.Schulten@rwth-aachen.de>
Date: Mon, 31 May 2021 16:28:08 +0200
Set c++11 in CMakeLists.txt
CMakeLists.txt | 4 ++++
1 file changed, 4 insertions(+)
commit 5c74843c4b497ecd25ef55b6985ad6d2300026ce
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 3 Jun 2021 14:30:45 +0200
Ensure curve bootstrap before implied hazard-rate calculation
ql/pricingengines/credit/isdacdsengine.cpp | 6 ++++++
1 file changed, 6 insertions(+)
commit 1811cbd4101430a5f1fde25f12ce6460778b2c4c
Merge: 44230ddeb 3a96dc42a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 3 Jun 2021 11:57:21 +0200
Merge pull request #1110.
Move `Type` enumeration to base `Swap` class
commit 3a96dc42ad1ddf87b95eaed23af25757d4260b6c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 2 Jun 2021 16:56:32 +0200
Remove ZeroCouponSwap::Type
ql/instruments/zerocouponswap.hpp | 2 --
test-suite/zerocouponswap.cpp | 38 +++++++++++++++++---------------------
2 files changed, 17 insertions(+), 23 deletions(-)
commit 2abdf5d0ed52c570a9bc5f8d8e7a43c04c4cdeb9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 2 Jun 2021 16:52:52 +0200
Remove OvernightIndexedSwap::Type
ql/instruments/makeois.cpp | 6 +++---
ql/instruments/makeois.hpp | 4 ++--
ql/instruments/overnightindexedswap.hpp | 3 +--
test-suite/overnightindexedswap.cpp | 4 ++--
4 files changed, 8 insertions(+), 9 deletions(-)
commit ad8878db8b98ab044c30ee167aa09bdcab60c2d0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 2 Jun 2021 12:39:04 +0200
Remove ZeroCouponInflationSwap::Type
ql/instruments/zerocouponinflationswap.hpp | 4 ++--
ql/termstructures/inflation/inflationhelpers.cpp | 2 +-
test-suite/inflation.cpp | 14 +++++++-------
test-suite/inflationcpiswap.cpp | 2 +-
4 files changed, 11 insertions(+), 11 deletions(-)
commit fcf1dcfbe1b58c7225df9115a677a047924f7324
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 2 Jun 2021 12:32:50 +0200
Remove BMASwap::Type
ql/instruments/bmaswap.cpp | 2 +-
ql/instruments/bmaswap.hpp | 6 ++++--
ql/termstructures/yield/ratehelpers.cpp | 18 +++++++++---------
test-suite/piecewiseyieldcurve.cpp | 2 +-
4 files changed, 15 insertions(+), 13 deletions(-)
commit 28068b7c74d307e0182a067c9941396cd526adf6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 2 Jun 2021 12:22:13 +0200
Remove YearOnYearInflationSwap::Type
ql/instruments/yearonyearinflationswap.cpp | 12 -------
ql/instruments/yearonyearinflationswap.hpp | 16 +--------
ql/termstructures/inflation/inflationhelpers.cpp | 24 ++++++-------
test-suite/inflation.cpp | 44 ++++++++++++------------
test-suite/inflationcapfloor.cpp | 2 +-
test-suite/inflationcapflooredcoupon.cpp | 22 ++++++------
6 files changed, 47 insertions(+), 73 deletions(-)
commit ad924924a68e153478d68dbdfc263dedbf573e1c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 1 Jun 2021 22:34:04 +0200
Remove CPISwap::Type
ql/instruments/cpiswap.cpp | 12 ------------
ql/instruments/cpiswap.hpp | 6 ++----
test-suite/inflationcpiswap.cpp | 6 +++---
3 files changed, 5 insertions(+), 19 deletions(-)
commit 1e105568488ef0f7dc5571bee5d30b4358ead7ac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 1 Jun 2021 21:38:37 +0200
Remove VanillaSwap::Type
Examples/BermudanSwaption/BermudanSwaption.cpp | 2 +-
Examples/CVAIRS/CVAIRS.cpp | 4 +---
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 12 ++++++------
.../MulticurveBootstrapping/MulticurveBootstrapping.cpp | 2 +-
ql/experimental/averageois/arithmeticaverageois.hpp | 1 -
ql/experimental/averageois/makearithmeticaverageois.cpp | 6 +++---
ql/experimental/averageois/makearithmeticaverageois.hpp | 4 ++--
ql/experimental/basismodels/tenorswaptionvts.cpp | 6 +++---
ql/experimental/swaptions/haganirregularswaptionengine.cpp | 4 ++--
.../termstructures/crosscurrencyratehelpers.cpp | 8 ++++----
.../termstructures/crosscurrencyratehelpers.hpp | 2 +-
ql/instruments/floatfloatswap.cpp | 8 ++++----
ql/instruments/floatfloatswap.hpp | 12 ++++++------
ql/instruments/floatfloatswaption.hpp | 2 +-
ql/instruments/makeswaption.cpp | 6 +++---
ql/instruments/makeswaption.hpp | 4 ++--
ql/instruments/makevanillaswap.cpp | 6 +++---
ql/instruments/makevanillaswap.hpp | 4 ++--
ql/instruments/nonstandardswap.cpp | 10 +++++-----
ql/instruments/nonstandardswap.hpp | 12 ++++++------
ql/instruments/nonstandardswaption.hpp | 2 +-
ql/instruments/swaption.hpp | 2 +-
ql/instruments/vanillaswap.cpp | 12 ------------
ql/instruments/vanillaswap.hpp | 6 +-----
ql/instruments/yearonyearinflationswap.cpp | 2 +-
ql/legacy/libormarketmodels/lfmswaptionengine.cpp | 3 +--
.../utilities/fdmaffinemodelswapinnervalue.hpp | 2 +-
ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 6 +++---
ql/models/shortrate/twofactormodels/g2.cpp | 2 +-
ql/pricingengines/swap/cvaswapengine.cpp | 3 +--
ql/pricingengines/swap/discretizedswap.cpp | 8 ++++----
ql/pricingengines/swaption/basketgeneratingengine.hpp | 6 +++---
ql/pricingengines/swaption/blackswaptionengine.hpp | 3 +--
.../swaption/gaussian1dfloatfloatswaptionengine.cpp | 5 ++---
.../swaption/gaussian1dfloatfloatswaptionengine.hpp | 2 +-
.../swaption/gaussian1djamshidianswaptionengine.cpp | 2 +-
.../swaption/gaussian1dnonstandardswaptionengine.cpp | 5 ++---
.../swaption/gaussian1dnonstandardswaptionengine.hpp | 2 +-
ql/pricingengines/swaption/gaussian1dswaptionengine.cpp | 2 +-
ql/pricingengines/swaption/jamshidianswaptionengine.cpp | 3 +--
ql/termstructures/volatility/gaussian1dsmilesection.cpp | 4 ++--
test-suite/basismodels.cpp | 2 +-
test-suite/bermudanswaption.cpp | 4 ++--
test-suite/capfloor.cpp | 4 ++--
test-suite/crosscurrencyratehelpers.cpp | 4 ++--
test-suite/libormarketmodel.cpp | 4 ++--
test-suite/shortratemodels.cpp | 2 +-
test-suite/swap.cpp | 4 ++--
test-suite/swaption.cpp | 14 +++++++-------
49 files changed, 105 insertions(+), 130 deletions(-)
commit c4f71ab2d5d85574e02e92f5d99fa370ebf7c638
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 1 Jun 2021 21:26:37 +0200
Remove IrregularSwap::Type
ql/experimental/swaptions/irregularswap.cpp | 12 ------------
ql/experimental/swaptions/irregularswap.hpp | 6 +-----
ql/experimental/swaptions/irregularswaption.hpp | 2 +-
3 files changed, 2 insertions(+), 18 deletions(-)
commit 3d57bb83c5a5d3eedcae6eed3f38264d1ffe07bb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 1 Jun 2021 21:25:53 +0200
Add Type enumeration to base Swap class
ql/instruments/swap.cpp | 12 ++++++++++++
ql/instruments/swap.hpp | 12 ++++++++++++
2 files changed, 24 insertions(+)
commit 44230ddeb91629015ff6ff9aa079b07912dd2002
Merge: 3261dde01 c1a2aa91f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 31 May 2021 18:16:28 +0200
Merge pull request #1107.
More changes for 30/360 day count convention
commit c1a2aa91f34bf4ad051d656aede3d0aca41a3b4d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 31 May 2021 11:24:10 +0200
Add correct implementation of 30/360 US
ql/time/daycounters/thirty360.cpp | 36 ++++++++++++++++++++++++++------
ql/time/daycounters/thirty360.hpp | 44 ++++++++++++++++++++++++++-------------
2 files changed, 59 insertions(+), 21 deletions(-)
commit 748dcb1d0fa1a2ddd33f84b4b5c808408ef635b7
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 16 May 2021 15:36:25 +0200
Working on test case
test-suite/inflationzciisinterpolation.cpp | 92 ++++++++++++++++++++++++++----
test-suite/inflationzciisinterpolation.hpp | 9 ++-
2 files changed, 87 insertions(+), 14 deletions(-)
commit b628da211fc4aa9b477624bf3f95f8ea73f8b928
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sat, 17 Apr 2021 13:39:37 +0200
Working on test case
ql/cashflows/inflationcashflow.cpp | 2 +-
test-suite/inflationzciisinterpolation.cpp | 200 ++++++++++++++++++-----------
2 files changed, 124 insertions(+), 78 deletions(-)
commit 664c4bb8bf2815f6b62c5ebd5a9971c8bc6163e6
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 16 Mar 2021 13:57:37 +0100
Automated fixes by clang-tidy (#49)
Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
ql/termstructures/inflation/inflationhelpers.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 0da28477717b91f2609e51318bf8e2018fa7b95a
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 14 Mar 2021 20:12:15 +0100
Working on test cases...
test-suite/inflationzciisinterpolation.cpp | 115 +++++++++++++++++++++++++++++
1 file changed, 115 insertions(+)
commit e18fbe6367fa534a2b96f764709543d856e2cd8b
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 14 Mar 2021 16:23:00 +0100
Added empty test cases.
test-suite/inflationzciisinterpolation.cpp | 32 ++++++++++++++++++++++++++----
test-suite/inflationzciisinterpolation.hpp | 9 ++++++---
test-suite/quantlibtestsuite.cpp | 2 ++
test-suite/testsuite.vcxproj | 2 +-
4 files changed, 37 insertions(+), 8 deletions(-)
commit fb286f2b53f860b4298b55d338431b42abf8927d
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 14 Mar 2021 15:35:09 +0100
Added files for inflationzciisinterpolation test case