forked from lballabio/QuantLib
/
ChangeLog.txt
1620 lines (1171 loc) · 55 KB
/
ChangeLog.txt
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commit f6122aff6205ae50b28bc06f91252295b6192d93
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.26 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 94ffbaac5d8fbf11f0b48b63a93f7c4f44cafa30
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 8 Apr 2022 23:26:38 +0200
Change style of reference docs to match web site
Docs/quantlib.doxy | 3 +--
Docs/quantlibextra.css | 50 ++++++++++++++++++++++++++++++++++++------------
Docs/quantlibheader.html | 6 ++----
3 files changed, 41 insertions(+), 18 deletions(-)
commit ec7d9ce041da527128695d3060c26408a4b9480c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 8 Apr 2022 17:27:03 +0200
Update news and contributors
ChangeLog.txt | 2409 +++++++++++++++++++++--------------------------
Contributors.txt | 2 +
Docs/pages/history.docs | 76 +-
News.md | 136 +--
4 files changed, 1226 insertions(+), 1397 deletions(-)
commit fdadfe4527f1e866afe5490d8446020dc4317e23
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 14 Apr 2022 09:43:48 +0200
Set up git permissions in CI runs inside containers
.github/workflows/linux-full-tests.yml | 23 +++++++++++++++++++++++
.github/workflows/linux-nondefault.yml | 16 ++++++++++++++++
.github/workflows/linux.yml | 24 ++++++++++++++++++++++++
.github/workflows/sanitizer.yml | 3 +++
4 files changed, 66 insertions(+)
commit 620ceec3667c9061b7978325d91fe6b11a982342
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 1 Apr 2021 11:28:16 +0200
Set version to 1.26 rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 08fcb0618329f0bf2ff4351bc797ce1357f96591
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 11 Apr 2022 11:01:25 +0000
Bump actions/stale from 4 to 5
Bumps [actions/stale](https://github.com/actions/stale) from 4 to 5.
- [Release notes](https://github.com/actions/stale/releases)
- [Changelog](https://github.com/actions/stale/blob/main/CHANGELOG.md)
- [Commits](https://github.com/actions/stale/compare/v4...v5)
---
updated-dependencies:
- dependency-name: actions/stale
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/stale.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 0f3c9e757839247bb0986cc042747b59a57a7bd8
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 11 Apr 2022 11:01:21 +0000
Bump actions/upload-artifact from 2 to 3
Bumps [actions/upload-artifact](https://github.com/actions/upload-artifact) from 2 to 3.
- [Release notes](https://github.com/actions/upload-artifact/releases)
- [Commits](https://github.com/actions/upload-artifact/compare/v2...v3)
---
updated-dependencies:
- dependency-name: actions/upload-artifact
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/test-times.yml | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 5e59b562b4113e798bfdd34d414d49989956f03c
Merge: 468978a2b 0decc8237
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 11 Apr 2022 12:21:13 +0200
Merge pull request #1342.
Fix C++20 compilation error
commit 0decc8237d1b36bc0058222da857bd95b897ccfa
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sun, 10 Apr 2022 16:32:19 +0900
Fix C++20 compilation error
ql/math/functional.hpp | 22 +++++++++++++++++++++-
1 file changed, 21 insertions(+), 1 deletion(-)
commit 468978a2b9acf89049fe045e2b9d3382234364a2
Merge: 001f83dc9 8571c6b73
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 5 Apr 2022 17:26:34 +0200
Merge pull request #1338.
Add more clang-tidy checks
commit 8571c6b735876a0cffb003b6ce37141224359702
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Tue, 29 Mar 2022 21:03:24 +0900
Add QL_CLANG_TIDY_OPTIONS
.github/workflows/test-times.yml | 2 +-
.github/workflows/tidy.yml | 7 +++----
CMakeLists.txt | 9 ++++++++-
CMakePresets.json | 5 ++---
4 files changed, 14 insertions(+), 9 deletions(-)
commit 001f83dc9fe27f2c0697c2ed19fd4f80e8d49f37
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 4 Apr 2022 18:34:46 +0200
Add Clang 14 to build matrix
.github/workflows/linux-full-tests.yml | 5 +++++
.github/workflows/linux-nondefault.yml | 5 +++++
.github/workflows/linux.yml | 7 ++++++-
3 files changed, 16 insertions(+), 1 deletion(-)
commit 33fc6c7594eda74f3fd287bc9f4785ba47df831f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 4 Apr 2022 16:36:02 +0200
Pin version numbers after Ubuntu groovy end of life
.github/workflows/linux-full-tests.yml | 6 +++---
.github/workflows/linux-nondefault.yml | 6 +++---
.github/workflows/linux.yml | 8 ++++----
3 files changed, 10 insertions(+), 10 deletions(-)
commit f7a2af1b915d446e00a4f5bbfdbdb86f120db6eb
Merge: 04f5c634f 4add64484
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Mar 2022 13:13:17 +0200
Merge pull request #1333.
Reformat .clang-tidy
commit 04f5c634f49e141f478340dcb1c9744d92d73205
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 28 Mar 2022 11:00:58 +0000
Bump peter-evans/create-pull-request from 3 to 4
Bumps [peter-evans/create-pull-request](https://github.com/peter-evans/create-pull-request) from 3 to 4.
- [Release notes](https://github.com/peter-evans/create-pull-request/releases)
- [Commits](https://github.com/peter-evans/create-pull-request/compare/v3...v4)
---
updated-dependencies:
- dependency-name: peter-evans/create-pull-request
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/copyrights.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 4add64484892d8188c4804568a6c9ad7d958b929
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sat, 26 Mar 2022 18:17:01 +0900
Reformat .clang-tidy
.clang-tidy | 31 ++++++++++++++++++++++++++++---
1 file changed, 28 insertions(+), 3 deletions(-)
commit b72affa58b53808e0fcafcc4ae65e263618e95be
Merge: 63e0f77d2 a00ac3a7a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Mar 2022 09:38:29 +0100
Merge pull request #1332.
Normalize equal periods to the same value.
commit a00ac3a7aa16c44c2651ff81943da40558adb397
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 22 Mar 2022 15:48:43 +0100
Normalize equal periods to the same value.
ql/time/period.cpp | 26 +++++++++++++-------
ql/time/period.hpp | 8 +++++++
test-suite/period.cpp | 66 +++++++++++++++++++++++++++++++++++++++++++++++++++
test-suite/period.hpp | 1 +
4 files changed, 92 insertions(+), 9 deletions(-)
commit 63e0f77d2c338bacd0e18aa1ab97b2e560e1cd57
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 21 Mar 2022 18:05:37 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f01c4c9f3e8f99d3ea0747a30e2df9ec1d66b14f
Merge: 6726a753b 8867a0ff1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 21 Mar 2022 17:43:18 +0100
Merge pull request #1329.
Bond forward
commit 6726a753b941c0f8dc00d4e57087cfad474332a0
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 21 Mar 2022 11:09:12 +0000
Bump actions/cache from 2 to 3
Bumps [actions/cache](https://github.com/actions/cache) from 2 to 3.
- [Release notes](https://github.com/actions/cache/releases)
- [Commits](https://github.com/actions/cache/compare/v2...v3)
---
updated-dependencies:
- dependency-name: actions/cache
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.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/sanitizer.yml | 2 +-
.github/workflows/test-times.yml | 2 +-
7 files changed, 7 insertions(+), 7 deletions(-)
commit 8867a0ff1c7270fee7e14754decaac3d93968ca5
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 21 Mar 2022 13:34:00 +0100
Removed reference to cpp file in CMakeLists.txt and Makefile.am.
ql/CMakeLists.txt | 1 -
ql/instruments/Makefile.am | 1 -
2 files changed, 2 deletions(-)
commit 513d70bd76a0041445212db656d8cf4afa9c46aa
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 21 Mar 2022 13:30:36 +0100
Fixed Visual Studio project files.
QuantLib.vcxproj.filters | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 04ebd7b8ff227de252b765a55cb8cb5fe45a5b72
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 21 Mar 2022 13:29:03 +0100
Fixed Visual Studio project files.
QuantLib.vcxproj | 2 +-
QuantLib.vcxproj.filters | 12 ++++++------
2 files changed, 7 insertions(+), 7 deletions(-)
commit d0c8e3f683ff5476bbec470a52f3f293de709630
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 21 Mar 2022 13:17:02 +0100
Added missing headers.
Examples/Repo/Repo.cpp | 1 +
test-suite/bondforward.cpp | 1 +
2 files changed, 2 insertions(+)
commit 06d82d086843dff808d5f7627f861c42d51e4a5e
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 21 Mar 2022 13:12:37 +0100
Implemented PR feedback.
QuantLib.vcxproj | 3 +-
QuantLib.vcxproj.filters | 7 ++--
ql/CMakeLists.txt | 2 ++
ql/instruments/Makefile.am | 2 ++
ql/instruments/all.hpp | 1 +
ql/instruments/bondforward.cpp | 25 -------------
ql/instruments/bondforward.hpp | 18 ----------
ql/instruments/fixedratebondforward.hpp | 63 +++++++++++++++++++++++++++++++++
test-suite/bondforward.cpp | 1 -
9 files changed, 75 insertions(+), 47 deletions(-)
commit 1340fa7fe759fb9875003e4550c2e9dd10985903
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 21 Mar 2022 10:24:22 +0100
Adding bond forward unit tests.
test-suite/bondforward.cpp | 44 ++++++++++++++++++++++++++++++++++++++------
test-suite/bondforward.hpp | 1 +
2 files changed, 39 insertions(+), 6 deletions(-)
commit e873a55b74722eee4e7a9af4eb93bf44323ea631
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 18 Mar 2022 16:57:01 +0100
Adding unit tests for bond foward.
test-suite/CMakeLists.txt | 4 +-
test-suite/Makefile.am | 4 +-
test-suite/bondforward.cpp | 105 +++++++++++++++++++++++++++++++++++++++++++--
test-suite/bondforward.hpp | 3 +-
4 files changed, 107 insertions(+), 9 deletions(-)
commit 42cba6e85febedbf791eb9d71c30bd864ba12272
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 18 Mar 2022 12:51:22 +0100
Moved deprecated declaration.
ql/instruments/bondforward.hpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 101a92afb673fe3078520ded88b1ec1fc5f9592d
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 18 Mar 2022 12:24:05 +0100
Implicit pointer conversion should work.
ql/instruments/bondforward.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d6dd7a1a7fa668eaacdb5371851b0c51ef5d2e2a
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 18 Mar 2022 12:04:28 +0100
Added unit test files.
QuantLib.vcxproj | 2 +-
ql/instruments/bondforward.hpp | 4 ++--
test-suite/CMakeLists.txt | 2 ++
test-suite/Makefile.am | 2 ++
test-suite/bondforward.cpp | 38 ++++++++++++++++++++++++++++++++++++
test-suite/bondforward.hpp | 36 ++++++++++++++++++++++++++++++++++
test-suite/quantlibtestsuite.cpp | 2 ++
test-suite/testsuite.vcxproj | 2 ++
test-suite/testsuite.vcxproj.filters | 6 ++++++
9 files changed, 91 insertions(+), 3 deletions(-)
commit 92e37f92172760d0bdc2dee6f90cae7c5be2ad45
Merge: 1f70a6733 e74117397
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 17 Mar 2022 18:50:48 +0100
Merge pull request #1327.
Fix for TreeSwaptionEngine mispricing
commit 6f595fb3b448ff567a03d066ac8974029fc2f096
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 17 Mar 2022 15:03:24 +0100
Updated CMakeLists.txt and Makefile.am
ql/CMakeLists.txt | 4 ++--
ql/instruments/Makefile.am | 4 ++--
ql/instruments/bondforward.hpp | 3 ---
3 files changed, 4 insertions(+), 7 deletions(-)
commit 30002bee0edc10c00a800b5ea714bcc8b9dd7ba7
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 17 Mar 2022 14:41:21 +0100
Keep the old type for now.
ql/instruments/bondforward.cpp | 25 +++++++++++++++++++++++++
ql/instruments/bondforward.hpp | 20 ++++++++++++++++++++
2 files changed, 45 insertions(+)
commit d37a4b653a4e9041eaaa7843e56ba28842e05908
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 17 Mar 2022 13:55:33 +0100
Renamed FixedRateBondForward to BondForward.
ql/instruments/bondforward.cpp | 2 +-
ql/instruments/bondforward.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit c219961c5abc800e6bac01b7a7a953c381d976ae
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 17 Mar 2022 13:53:19 +0100
Renamed FixedRateBondForward to BondForward.
Examples/Repo/Repo.cpp | 16 +++-------
QuantLib.vcxproj | 6 ++--
QuantLib.vcxproj.filters | 6 ++--
ql/instruments/all.hpp | 2 +-
.../{fixedratebondforward.cpp => bondforward.cpp} | 17 ++++++-----
.../{fixedratebondforward.hpp => bondforward.hpp} | 35 +++++++++++-----------
6 files changed, 37 insertions(+), 45 deletions(-)
commit a98bf83e9bdcd2001c13d0a0f13afb3fc7230bd2
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 17 Mar 2022 13:29:52 +0100
Change pointer type to base bond class.
ql/instruments/fixedratebondforward.cpp | 15 ++++++---------
ql/instruments/fixedratebondforward.hpp | 6 +++---
2 files changed, 9 insertions(+), 12 deletions(-)
commit e74117397fc57ffe7288fcbcee897d6755f429d5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 17 Mar 2022 12:50:45 +0100
Fix typo
ql/pricingengines/swap/discretizedswap.cpp | 15 +++++++--------
1 file changed, 7 insertions(+), 8 deletions(-)
commit 1b6556c4e4a334385099a80c33190c061c6d8d1b
Author: RalfKonrad <github@eckel-consulting.de>
Date: Tue, 15 Mar 2022 22:46:29 +0100
Fixed compiler incompatibilities
test-suite/bermudanswaption.cpp | 8 ++------
1 file changed, 2 insertions(+), 6 deletions(-)
commit dc73d23598cb4c55c1fb4c22bd7c86888c30e338
Author: RalfKonrad <github@eckel-consulting.de>
Date: Tue, 15 Mar 2022 15:47:11 +0100
Fixed compiler incompatibilities
.../callablebonds/discretizedcallablefixedratebond.hpp | 2 +-
ql/pricingengines/swaption/discretizedswaption.cpp | 16 ++++++++--------
ql/pricingengines/swaption/discretizedswaption.hpp | 4 ++--
3 files changed, 11 insertions(+), 11 deletions(-)
commit 9905e99bb273b547c3c32cbae780fca3595c08e3
Author: RalfKonrad <github@eckel-consulting.de>
Date: Tue, 15 Mar 2022 13:41:38 +0100
Wordings adjusted
ql/pricingengines/swap/discretizedswap.cpp | 20 ++++++++++----------
1 file changed, 10 insertions(+), 10 deletions(-)
commit f8cf2c69e0ed1093332d3aec8c941ad4e8d9ac73
Author: RalfKonrad <github@eckel-consulting.de>
Date: Tue, 15 Mar 2022 13:01:58 +0100
BOOST_REQUIRE prints 1,000,000 succesfull test message in CLion
test-suite/catbonds.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 6de54520f11d6292a21b0f05742e3335cc992096
Author: RalfKonrad <github@eckel-consulting.de>
Date: Tue, 15 Mar 2022 12:58:50 +0100
Using DiscretizedAsset::CouponAdjustment
ql/discretizedasset.hpp | 3 +++
.../callablebonds/discretizedcallablefixedratebond.hpp | 3 +--
ql/pricingengines/swap/discretizedswap.hpp | 2 --
ql/pricingengines/swaption/discretizedswaption.cpp | 12 +++---------
ql/pricingengines/swaption/discretizedswaption.hpp | 10 ++--------
5 files changed, 9 insertions(+), 21 deletions(-)
commit fd67ce0ccb64f4739a542d99a8641f8e9e83a93d
Author: RalfKonrad <github@eckel-consulting.de>
Date: Mon, 14 Mar 2022 17:32:26 +0100
Fixed cached values to pass test cases
test-suite/bermudanswaption.cpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit e42bcb9f5532d2a35489efe6cec5c7240797a191
Author: RalfKonrad <github@eckel-consulting.de>
Date: Mon, 14 Mar 2022 17:25:22 +0100
Replace discretizedswaption by discretizedswaption2
QuantLib.vcxproj | 3 +-
QuantLib.vcxproj.filters | 7 +-
ql/CMakeLists.txt | 3 +-
ql/pricingengines/swaption/Makefile.am | 6 +-
ql/pricingengines/swaption/all.hpp | 1 -
ql/pricingengines/swaption/discretizedswaption.cpp | 127 +++++++++++++-------
ql/pricingengines/swaption/discretizedswaption.hpp | 18 ++-
.../swaption/discretizedswaption2.cpp | 132 ---------------------
.../swaption/discretizedswaption2.hpp | 63 ----------
ql/pricingengines/swaption/treeswaptionengine.cpp | 100 ++++++++++++++++
ql/pricingengines/swaption/treeswaptionengine.hpp | 107 ++---------------
test-suite/bermudanswaption.cpp | 123 ++++++++++---------
12 files changed, 284 insertions(+), 406 deletions(-)
commit cb475f38c21936cf3588987001043052c0d63e2b
Author: RalfKonrad <github@eckel-consulting.de>
Date: Mon, 14 Mar 2022 16:34:46 +0100
Adjusted test case
ql/pricingengines/swap/discretizedswap.cpp | 1 +
ql/pricingengines/swap/discretizedswap.hpp | 1 +
.../swaption/discretizedswaption2.cpp | 2 ++
.../swaption/discretizedswaption2.hpp | 2 ++
test-suite/bermudanswaption.cpp | 35 +++++++++-------------
5 files changed, 20 insertions(+), 21 deletions(-)
commit eb9ead1acebaf3f8ebcc446b7d9d9bd4925c9f8e
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 13 Mar 2022 19:59:05 +0100
The snapping is working
ql/pricingengines/swap/discretizedswap.cpp | 33 ++---
ql/pricingengines/swap/discretizedswap.hpp | 9 +-
.../swaption/discretizedswaption2.cpp | 32 +++--
.../swaption/discretizedswaption2.hpp | 16 ++-
test-suite/bermudanswaption.cpp | 149 +++++++++------------
5 files changed, 118 insertions(+), 121 deletions(-)
commit 05841563d570fe8a3ea6f690a9b85f3805b5ac76
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 13 Mar 2022 19:14:25 +0100
Working on discretization
.../swaption/discretizedswaption2.cpp | 73 +---------------------
.../swaption/discretizedswaption2.hpp | 40 +++---------
2 files changed, 10 insertions(+), 103 deletions(-)
commit d85c3afa9b92fe5092ecfb554ebf38ae0889131f
Author: RalfKonrad <github@eckel-consulting.de>
Date: Fri, 11 Mar 2022 17:18:48 +0100
Fix for compatibility errors
ql/pricingengines/swaption/discretizedswaption2.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8f73f380dac9a7d4c3a2afd3d3d151a748030852
Author: RalfKonrad <github@eckel-consulting.de>
Date: Thu, 10 Mar 2022 19:29:55 +0100
Working on discretization
.../swaption/discretizedswaption2.cpp | 78 +++++++++++++++++-----
.../swaption/discretizedswaption2.hpp | 18 +++++
2 files changed, 79 insertions(+), 17 deletions(-)
commit 7797c0f66d9df364d257e589a1de061bb13a14f0
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 27 Feb 2022 19:26:51 +0100
Added copyright
ql/pricingengines/swaption/discretizedswaption2.cpp | 4 +---
ql/pricingengines/swaption/discretizedswaption2.hpp | 4 +---
ql/pricingengines/swaption/treeswaptionengine.hpp | 2 +-
test-suite/bermudanswaption.cpp | 3 ++-
test-suite/bermudanswaption.hpp | 1 +
5 files changed, 6 insertions(+), 8 deletions(-)
commit 6b25599326ed95deec7406b082eb61bb930e3cda
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 27 Feb 2022 19:19:48 +0100
Avoid CLion warnings
.clang-tidy | 6 ++++++
1 file changed, 6 insertions(+)
commit b8ff1080112a7a8d7932064019c05aaabcfba431
Author: ralfkonrad <github@eckel-consulting.de>
Date: Sat, 20 Nov 2021 22:57:43 +0100
Removed treeswaptionengine.cpp file from build systems
ql/CMakeLists.txt | 1 -
ql/pricingengines/swaption/Makefile.am | 4 +---
2 files changed, 1 insertion(+), 4 deletions(-)
commit f9bc92900a59f7cdc325a7351c301aefd80a785f
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sat, 20 Nov 2021 22:43:45 +0100
Working on DiscretizedSwaption2::reset(...)
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 -
.../swaption/discretizedswaption2.cpp | 4 +-
ql/pricingengines/swaption/treeswaptionengine.cpp | 100 ---------------------
test-suite/bermudanswaption.cpp | 8 +-
5 files changed, 7 insertions(+), 109 deletions(-)
commit 400ec45b6801316a2c5cc483b0a5bb523a20bfa3
Author: RalfKonrad <github@eckel-consulting.de>
Date: Tue, 12 Oct 2021 19:37:37 +0200
Added p*AdjustValuesImpl()
ql/pricingengines/swaption/discretizedswaption2.cpp | 6 ++++++
ql/pricingengines/swaption/discretizedswaption2.hpp | 5 +++++
2 files changed, 11 insertions(+)
commit 030cdbcb29906d98d305b2b63017ed8e89cd3b7a
Author: ralfkonrad <github@eckel-consulting.de>
Date: Tue, 12 Oct 2021 10:57:55 +0200
Fixed clang warnings
test-suite/bermudanswaption.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 9f1cb5711817d2539bfcb177d20c0805ee347dc8
Author: RalfKonrad <github@eckel-consulting.de>
Date: Tue, 12 Oct 2021 10:52:11 +0200
Added prepareSwaptionWithSnappedDates(...)
.../swaption/discretizedswaption2.cpp | 122 ++++++++++++++-------
.../swaption/discretizedswaption2.hpp | 17 ++-
test-suite/bermudanswaption.cpp | 58 +++++-----
3 files changed, 127 insertions(+), 70 deletions(-)
commit 7efa5c03b4e619f3298234e8f0fc6f85a0efab2f
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 10 Oct 2021 19:39:01 +0200
Added DiscretizedSwaption2
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 ++
ql/CMakeLists.txt | 2 +
ql/pricingengines/swaption/Makefile.am | 2 +
ql/pricingengines/swaption/all.hpp | 1 +
.../swaption/discretizedswaption2.cpp | 93 ++++++++++++++++++++++
.../swaption/discretizedswaption2.hpp | 49 ++++++++++++
ql/pricingengines/swaption/treeswaptionengine.hpp | 2 +
test-suite/bermudanswaption.cpp | 2 +-
9 files changed, 158 insertions(+), 1 deletion(-)
commit dab438db5b8da1f328e0d644f80de0120103ec8b
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 10 Oct 2021 19:26:08 +0200
TreeSwaptionEngine becomes templated GenericTreeSwaptionEngine
ql/pricingengines/swaption/treeswaptionengine.cpp | 200 +++++++++++-----------
ql/pricingengines/swaption/treeswaptionengine.hpp | 105 ++++++++++--
2 files changed, 195 insertions(+), 110 deletions(-)
commit 6e7f5550b4ced4b79235efdfa672e5d6f4cc9847
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 10 Oct 2021 18:19:31 +0200
Added test case to implement against
test-suite/bermudanswaption.cpp | 97 ++++++++++++++++++++++++++++++++++++-----
test-suite/bermudanswaption.hpp | 1 +
2 files changed, 88 insertions(+), 10 deletions(-)
commit e577808abece6b10016f0e1cac975bb7811b42b6
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 13 Mar 2022 19:11:16 +0100
Refactored discretizedswap to enable distinction between pre- and post-adjustment
ql/pricingengines/swap/discretizedswap.cpp | 181 ++++++++++++++++++-----------
ql/pricingengines/swap/discretizedswap.hpp | 20 +++-
2 files changed, 132 insertions(+), 69 deletions(-)
commit 1f70a6733f55d46c950b79c22c06c47ca2b12ef1
Merge: 8a832f6fb 857fd1c7f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 15 Mar 2022 03:40:16 +0100
Merge pull request #1326.
Simpler output for periods.
commit 8a832f6fba4edc5c92d4ea977ee35d6a10c01b90
Merge: 41063a6e7 d36ee748c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 15 Mar 2022 02:09:46 +0100
Merge pull request #1325.
Deprecate a few unused classes
commit 857fd1c7fa1c6ea3e25e393f3f634effbf65d893
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 14 Mar 2022 18:57:33 +0100
Simpler output for periods.
It now displays transparently what the units and length are.
ql/time/period.cpp | 42 ++++--------------------------------------
1 file changed, 4 insertions(+), 38 deletions(-)
commit d36ee748c09776bc0a52fb25bf2f5556d23187dc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 14 Mar 2022 17:54:42 +0100
Avoid deprecation warnings
ql/math/lexicographicalview.hpp | 3 +++
1 file changed, 3 insertions(+)
commit 2b4cc275390d1d0b60ac4336df7f516bb987345d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 14 Mar 2022 14:30:08 +0100
Avoid unnecessary temporary file
tools/check_header.py | 22 +++-------------------
1 file changed, 3 insertions(+), 19 deletions(-)
commit 5149ac751897d16c91a11711f4ea3bdfe0432972
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 14 Mar 2022 13:05:47 +0100
Deprecate a few unused classes
ql/math/curve.hpp | 7 +++++--
ql/math/lexicographicalview.hpp | 8 ++++----
ql/patterns/composite.hpp | 17 ++++-------------
ql/termstructures/yield/drifttermstructure.hpp | 12 ++++--------
4 files changed, 17 insertions(+), 27 deletions(-)
commit 41063a6e752331854e492d0403c46cbc59c8a063
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 12 Mar 2022 18:07:44 +0100
Use https links to QuantLib site in docs
Docs/pages/index.docs | 2 +-
Docs/pages/resources.docs | 10 +++++-----
Docs/pages/where.docs | 4 ++--
Docs/quantlibheader.html | 2 +-
QuantLib.spec.in | 2 +-
README.md | 12 ++++++------
man/BasketLosses.1 | 2 +-
man/BermudanSwaption.1 | 2 +-
man/Bonds.1 | 2 +-
man/CDS.1 | 2 +-
man/CVAIRS.1 | 2 +-
man/CallableBonds.1 | 2 +-
man/ConvertibleBonds.1 | 2 +-
man/DiscreteHedging.1 | 2 +-
man/EquityOption.1 | 2 +-
man/FRA.1 | 2 +-
man/FittedBondCurve.1 | 2 +-
man/Gaussian1dModels.1 | 2 +-
man/GlobalOptimizer.1 | 2 +-
man/LatentModel.1 | 2 +-
man/MarketModels.1 | 2 +-
man/MulticurveBootstrapping.1 | 2 +-
man/MultidimIntegral.1 | 2 +-
man/Replication.1 | 2 +-
man/Repo.1 | 2 +-
man/quantlib-benchmark.1 | 4 ++--
man/quantlib-config.1 | 2 +-
man/quantlib-test-suite.1 | 4 ++--
28 files changed, 40 insertions(+), 40 deletions(-)
commit 61aa57e04ed4ba1114fb319dc97e74c930273784
Merge: ce6d8c941 dfeeca2ec
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Mar 2022 13:03:14 +0100
Merge pull request #1322.
Use lagged fixing for correct interpolation in `CPICoupon` and `CPICashFlow`.
commit dfeeca2ec8ba549add237712f0ccda848c113ed6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 8 Mar 2022 23:49:22 +0100
Deprecate fixing days
ql/cashflows/cpicoupon.cpp | 60 +++++++++++++++++++++++++++++++---------------
ql/cashflows/cpicoupon.hpp | 28 +++++++++++++++++++++-
2 files changed, 68 insertions(+), 20 deletions(-)
commit ce6d8c941af0e07352c1b6b485b1408b93efa0a1
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 8 Mar 2022 14:51:35 +0000
Automated fixes by clang-tidy
test-suite/lowdiscrepancysequences.cpp | 60 ++++++++++++----------------------
1 file changed, 21 insertions(+), 39 deletions(-)
commit 46a508819a2da72ffef4fff1998b11e6e07b8dd5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 8 Mar 2022 12:41:20 +0100
Apply a few clang-tidy suggestions
ql/math/optimization/constraint.hpp | 13 +++----------
ql/termstructures/volatility/volatilitytype.hpp | 4 ++--
ql/time/calendars/saudiarabia.cpp | 17 +++++------------
3 files changed, 10 insertions(+), 24 deletions(-)
commit 77fad9e3b6666753b23deaa0012bf6eb8753c5ba
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 7 Mar 2022 15:23:39 +0100
Upgrade to clang-tidy 12
.clang-tidy | 2 +-
.github/workflows/tidy.yml | 2 +-
CMakePresets.json | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 9e69e2d19e0d504f421a292871b927414cb56a53
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 8 Mar 2022 21:03:07 +0100
Avoid deprecation warning on gcc
ql/cashflows/cpicoupon.hpp | 2 ++
1 file changed, 2 insertions(+)
commit 207706657f99441b3dbef225f745dd54e2b52b43
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 8 Mar 2022 20:55:17 +0100
Use lagged fixing in CPICashFlow
ql/cashflows/cpicoupon.cpp | 81 ++++++++++++++++++++++++++++++++--------------
ql/cashflows/cpicoupon.hpp | 38 +++++++++++++++-------
2 files changed, 82 insertions(+), 37 deletions(-)
commit 15926ab5df9e266f6ccec5a54f83ac7786aadd36
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 7 Mar 2022 18:28:06 +0000
Automated fixes by clang-tidy
test-suite/main.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8c3a0acfdf286b833150e234f921f1873468cb31
Merge: 7e81a0e6a 99d25492d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 8 Mar 2022 00:12:09 +0100
Merge pull request #1316.
CMake build: use consistent naming for tagged libraries.
commit 7e81a0e6ade80bb9a9f8a7b57e08190930f71496
Merge: 0ebb00e26 0b907f035
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 7 Mar 2022 22:42:37 +0100
Merge pull request #1314.
Avoid unexpected jumps in callable bond OAS
commit 0b907f03538eee463cf91bb8f9cfd25e8bc921cc
Author: RalfKonrad <github@eckel-consulting.de>
Date: Mon, 7 Mar 2022 18:44:10 +0100
Incorporate review reamrks
ql/experimental/callablebonds/discretizedcallablefixedratebond.cpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 095087ed96dba3fa1235f7c757021fe4ed5f555d
Author: RalfKonrad <github@eckel-consulting.de>
Date: Mon, 7 Mar 2022 16:08:00 +0100
Added test case for OAS calculation
LICENSE.TXT | 2 +-
ql/experimental/callablebonds/callablebond.hpp | 2 +-
.../discretizedcallablefixedratebond.cpp | 39 ++++++++++------------
test-suite/callablebonds.cpp | 37 +++++++++++---------
test-suite/callablebonds.hpp | 2 +-
5 files changed, 43 insertions(+), 39 deletions(-)
commit b2b2b0d391f8717e4d1c20481b79e04ebb084014
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 7 Mar 2022 17:20:03 +0100
Use lagged fixing for correct interpolation in CPICoupon.
Also deprecate a few misleading methods.
ql/cashflows/cpicoupon.cpp | 43 ++++++++++++++++++++--------------------
ql/cashflows/cpicoupon.hpp | 30 +++++++++++++++++++++-------
ql/cashflows/cpicouponpricer.cpp | 5 ++---
ql/cashflows/cpicouponpricer.hpp | 2 +-
4 files changed, 47 insertions(+), 33 deletions(-)
commit c6d7e09b3196633f1b45e712360bac46a3287c1f
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 6 Mar 2022 19:44:21 +0100
Fix for missing spread in the adjustedCallabilityPrices_
.../discretizedcallablefixedratebond.cpp | 20 ++++++++++++--
test-suite/callablebonds.cpp | 31 +++++++++++++---------
2 files changed, 37 insertions(+), 14 deletions(-)
commit 6c44010fd1755db561ff1b43daddc7f9e10f0571
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 6 Mar 2022 16:24:47 +0100
CLion's default cmake build dir is e.g. cmake-build-debug-visual-studio
.gitignore | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 0ebb00e26e7ce966fb4bfc579af5bf3371e5bd2a
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 7 Mar 2022 11:01:12 +0000
Bump actions/checkout from 2 to 3
Bumps [actions/checkout](https://github.com/actions/checkout) from 2 to 3.
- [Release notes](https://github.com/actions/checkout/releases)
- [Changelog](https://github.com/actions/checkout/blob/main/CHANGELOG.md)
- [Commits](https://github.com/actions/checkout/compare/v2...v3)
---
updated-dependencies:
- dependency-name: actions/checkout
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/cmake.yml | 10 +++++-----
.github/workflows/codeql-analysis.yml | 2 +-
.github/workflows/copyrights.yml | 2 +-
.github/workflows/coveralls.yml | 2 +-
.github/workflows/doxygen.yml | 2 +-
.github/workflows/filelists.yml | 2 +-
.github/workflows/headers.yml | 2 +-
.github/workflows/link-check.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-analysis.yml | 2 +-
.github/workflows/sanitizer.yml | 2 +-
.github/workflows/test-times.yml | 2 +-
.github/workflows/tidy.yml | 2 +-