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ChangeLog.txt
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ChangeLog.txt
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commit d3fe049dfd501250ec09513174b95aedd9243816
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.34 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 9a9c15480a1de15708267c16b345c517ee65155b
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 17 Apr 2024 13:43:28 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 4 ++--
ql/instruments/overnightindexedswap.hpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit 5ea96972bae030909c8ba564247f4d0f02665693
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.34-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit e448f8d8fc16497209707a529667e0059dca0b57
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 15 Apr 2024 14:56:57 +0200
Update news and changelog
ChangeLog.txt | 6844 +++++++++--------------------------------------
Contributors.txt | 4 +
Docs/pages/history.docs | 106 +-
News.md | 169 +-
4 files changed, 1526 insertions(+), 5597 deletions(-)
commit e8bd858c87df8b7c199b5b3df20bb04acf04f2a2
Merge: acc3b125e 1e6247489
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Apr 2024 19:46:34 +0200
Avoid an out-of-bounds access in fitted discount curve (#1950)
commit acc3b125ebce15dade1b6faffb5f7108baa83f5a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Apr 2024 10:40:34 +0200
Clang 18 in CI build matrix
.github/workflows/linux-full-tests.yml | 8 +++++++-
.github/workflows/linux-nondefault.yml | 5 +++--
.github/workflows/linux.yml | 5 +++--
3 files changed, 13 insertions(+), 5 deletions(-)
commit 1e624748955320e99086bdf85f69dc82b904832c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Apr 2024 12:58:44 +0200
Avoid an out-of-bounds access in fitted discount curve
.../yield/fittedbonddiscountcurve.cpp | 2 ++
test-suite/fittedbonddiscountcurve.cpp | 30 ++++++++++++++++++++++
2 files changed, 32 insertions(+)
commit b27b23e0e0b9d06ce7adf84d5ff193bd8e72ddee
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Apr 2024 08:54:27 +0200
Upgrade to latest Boost in CI builds
.github/workflows/cmake.yml | 6 +++---
.github/workflows/msvc-all-configs.yml | 2 +-
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/msvc-nondefault.yml | 2 +-
.github/workflows/msvc.yml | 2 +-
5 files changed, 7 insertions(+), 7 deletions(-)
commit 077a1eeaf866b07b90b2defec9ecb4a082e6199b
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 14 Apr 2024 01:09:17 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 2 +-
ql/instruments/overnightindexedswap.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 2eca967d1aed7a1fc9a790865af6e869907c4c71
Merge: 0d57fb48b d6beb7063
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 12 Apr 2024 09:58:58 +0200
Make `ZeroInflationCashFlow` properly lazy (#1947)
commit 0d57fb48b0e5a50cb0ff2d823fed089c1f6f679f
Merge: daec722c5 f3a2e923f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 11 Apr 2024 17:35:43 +0200
Register floating cash flows with OIS; add tests (#1946)
commit d6beb7063d66c8a28be8d3effb387ecdb3dfc48b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 11 Apr 2024 16:14:19 +0200
Make ZeroInflationCashFlow properly lazy
ql/cashflows/indexedcashflow.hpp | 3 ++-
ql/cashflows/zeroinflationcashflow.cpp | 6 +++---
ql/cashflows/zeroinflationcashflow.hpp | 2 +-
test-suite/inflation.cpp | 37 ++++++++++++++++++++++++++++++++++
4 files changed, 43 insertions(+), 5 deletions(-)
commit f3a2e923f9808f27a065b70ab59c25b848b499c3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 11 Apr 2024 14:34:20 +0200
Register floating cash flows with OIS; add tests
ql/instruments/overnightindexedswap.cpp | 2 ++
ql/instruments/vanillaswap.cpp | 4 +--
test-suite/overnightindexedswap.cpp | 42 +++++++++++++++++++++++++++++++
test-suite/swap.cpp | 44 +++++++++++++++++++++++++++++++++
4 files changed, 90 insertions(+), 2 deletions(-)
commit daec722c516a2de9742ccf59238a8373e1898caf
Merge: 7c12452aa bdbb8e179
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 8 Apr 2024 09:41:41 +0200
Pass Schedule by value and move (#1942)
commit bdbb8e179f0a486d3f8f22c91fc7dbc80aa564b4
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sat, 6 Apr 2024 16:09:02 +0900
Pass Schedule by value and move
ql/cashflows/cpicoupon.cpp | 16 ++++++-------
ql/cashflows/cpicoupon.hpp | 2 +-
ql/cashflows/fixedratecoupon.cpp | 4 ++--
ql/cashflows/fixedratecoupon.hpp | 2 +-
ql/cashflows/overnightindexedcoupon.cpp | 8 +++----
ql/cashflows/overnightindexedcoupon.hpp | 2 +-
ql/cashflows/subperiodcoupon.cpp | 9 ++++---
ql/cashflows/subperiodcoupon.hpp | 2 +-
.../averageois/arithmeticaverageois.cpp | 20 ++++++++--------
.../averageois/arithmeticaverageois.hpp | 11 ++++-----
ql/experimental/callablebonds/callablebond.cpp | 11 ++++-----
ql/experimental/callablebonds/callablebond.hpp | 2 +-
ql/experimental/catbonds/catbond.cpp | 6 ++---
ql/experimental/catbonds/catbond.hpp | 2 +-
ql/experimental/credit/nthtodefault.cpp | 13 +++++-----
ql/experimental/credit/nthtodefault.hpp | 8 +++----
ql/experimental/credit/syntheticcdo.cpp | 22 ++++++++---------
ql/experimental/credit/syntheticcdo.hpp | 24 +++++++++----------
ql/instruments/assetswap.cpp | 28 +++++++++++-----------
ql/instruments/assetswap.hpp | 2 +-
ql/instruments/bmaswap.cpp | 12 ++++++----
ql/instruments/bmaswap.hpp | 5 ++--
ql/instruments/bonds/amortizingcmsratebond.cpp | 4 ++--
ql/instruments/bonds/amortizingcmsratebond.hpp | 2 +-
ql/instruments/bonds/amortizingfixedratebond.cpp | 4 ++--
ql/instruments/bonds/amortizingfixedratebond.hpp | 2 +-
.../bonds/amortizingfloatingratebond.cpp | 4 ++--
.../bonds/amortizingfloatingratebond.hpp | 4 ++--
ql/instruments/bonds/cmsratebond.cpp | 4 ++--
ql/instruments/bonds/cmsratebond.hpp | 2 +-
ql/instruments/bonds/cpibond.cpp | 5 ++--
ql/instruments/bonds/cpibond.hpp | 2 +-
ql/instruments/bonds/fixedratebond.cpp | 4 ++--
ql/instruments/bonds/fixedratebond.hpp | 2 +-
ql/instruments/bonds/floatingratebond.cpp | 4 ++--
ql/instruments/bonds/floatingratebond.hpp | 2 +-
ql/instruments/equitytotalreturnswap.cpp | 22 ++++++++---------
ql/instruments/floatfloatswap.cpp | 25 +++++++++----------
ql/instruments/floatfloatswap.hpp | 4 ++--
ql/instruments/overnightindexedswap.cpp | 25 ++++++++++---------
ql/instruments/overnightindexedswap.hpp | 10 ++++----
.../calibrationhelpers/swaptionhelper.cpp | 12 +++++-----
.../calibrationhelpers/swaptionhelper.hpp | 4 ++--
ql/termstructures/yield/bondhelpers.cpp | 8 +++----
ql/termstructures/yield/bondhelpers.hpp | 4 ++--
ql/time/daycounters/actualactual.cpp | 5 ++--
ql/time/daycounters/actualactual.hpp | 8 +++----
test-suite/crosscurrencyratehelpers.cpp | 16 ++++++-------
48 files changed, 195 insertions(+), 204 deletions(-)
commit 7c12452aa18f08f873d926b6a9f9f87eaba1a0b0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 4 Apr 2024 10:08:27 +0200
Add CI builds on MacOS 14 M1 runner
.github/workflows/macos-nondefault.yml | 6 +++---
.github/workflows/macos.yml | 6 +++---
2 files changed, 6 insertions(+), 6 deletions(-)
commit 0e6892246e51a407f60d89fbbc0000aa916ef8a0
Merge: 2f384b134 c71e2531e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Apr 2024 18:12:58 +0200
Restore backward compatibility (#1939)
commit c71e2531e3e39e981550b5d6a623b7a1c6d38af6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Apr 2024 09:12:11 +0200
Restore backward compatibility
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 6 +++---
ql/experimental/basismodels/swaptioncfs.cpp | 2 +-
ql/instruments/nonstandardswaption.cpp | 2 +-
ql/instruments/swaption.cpp | 2 ++
ql/instruments/swaption.hpp | 13 ++++++++++++-
ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 12 +++++++++++-
test-suite/swaption.cpp | 4 ++--
test-suite/swaptionvolatilitymatrix.cpp | 4 ++--
8 files changed, 34 insertions(+), 11 deletions(-)
commit 2f384b134675adc67b27016b33dab9023bf9ce1f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Apr 2024 10:21:31 +0200
Fewer builds in default CI matrix
.github/workflows/linux.yml | 51 ---------------------------------------------
1 file changed, 51 deletions(-)
commit 217dd4a39bc878447653afc73d8fdd9e0f938eca
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Apr 2024 09:21:30 +0200
Remove extra output in tests
test-suite/cashflows.cpp | 6 ------
1 file changed, 6 deletions(-)
commit 56c63cca3ea298e15927d52ef87ec9bc70a737d0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 31 Mar 2024 21:37:00 +0200
Use checkout action v3 until available on older images
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 47ba67de86a64d738b3ea09bff6d7d3f4681d515
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 29 Mar 2024 11:09:42 +0100
Simplify workflow matrix for MacOS
.github/workflows/macos-nondefault.yml | 13 +++----------
.github/workflows/macos.yml | 14 +++++---------
2 files changed, 8 insertions(+), 19 deletions(-)
commit 9ff05427c30042b97dbd4b1c485f24f680cfebbf
Merge: d6f6c13a5 9b4efa33c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Mar 2024 15:50:35 +0100
allow swaptions to take OvernightIndexedSwap (#1593)
commit 9b4efa33c4cf21e503ff45a5acef79ef4fea3ee3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Mar 2024 14:17:24 +0100
Add warnings to docs
ql/instruments/swaption.hpp | 6 ++++++
ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 9 +++++++--
2 files changed, 13 insertions(+), 2 deletions(-)
commit d6f6c13a57cd5980d6cd619795a82a6ac55b8731
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Mar 2024 11:05:02 +0100
Update checkout action
.github/workflows/cmake.yml | 12 ++++++------
.github/workflows/codeql-analysis.yml | 2 +-
.github/workflows/copyrights.yml | 2 +-
.github/workflows/coveralls.yml | 2 +-
.github/workflows/devenv-images.yml | 2 +-
.github/workflows/doxygen.yml | 4 ++--
.github/workflows/filelists.yml | 2 +-
.github/workflows/generated-headers.yml | 2 +-
.github/workflows/headers.yml | 2 +-
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 2 +-
.github/workflows/macos-nondefault.yml | 2 +-
.github/workflows/macos.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/msvc-all-configs.yml | 2 +-
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/msvc-nondefault.yml | 2 +-
.github/workflows/msvc.yml | 2 +-
.github/workflows/sanitizer.yml | 4 ++--
.github/workflows/test-times.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
22 files changed, 29 insertions(+), 29 deletions(-)
commit 1b422725fd0677bf2283f15fd3e05ba680e0e86f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 25 Mar 2024 15:06:28 +0100
Workflow for MSVC++ build via traditional solution
.appveyor.yml | 12 +--
{.appveyor => .ci}/Unity.props | 0
{.appveyor => .ci}/VS2015.props | 0
.ci/VS2017.props | 19 +++++
.ci/VS2019.alt.props | 15 ++++
{.appveyor => .ci}/VS2019.props | 5 +-
.ci/VS2022.alt.props | 15 ++++
{.appveyor => .ci}/VS2022.props | 5 +-
.ci/userconfig2019.alt.hpp | 137 +++++++++++++++++++++++++++++++++
.ci/userconfig2022.alt.hpp | 137 +++++++++++++++++++++++++++++++++
.github/workflows/msvc-all-configs.yml | 68 ++++++++++++++++
.github/workflows/msvc-nondefault.yml | 66 ++++++++++++++++
.github/workflows/msvc.yml | 61 +++++++++++++++
README.md | 8 +-
14 files changed, 528 insertions(+), 20 deletions(-)
commit 0685ba0073842bcf84fa3f11ee72e34a3729c7b2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 27 Mar 2024 13:20:24 +0100
Ensure mathconstants.hpp is not included before qldefines.hpp
ql/math/randomnumbers/stochasticcollocationinvcdf.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 65225778397324f7fd8a97cca83aced9e721e028
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 26 Mar 2024 08:55:08 +0100
Don't optimize VC++ 2015 build, don't run tests.
For some reason Appveyor got a lot slower. We might have to move
away from it.
.appveyor.yml | 2 --
.appveyor/VS2015.props | 1 +
2 files changed, 1 insertion(+), 2 deletions(-)
commit c566b6db9e5aa750eb88b87ca9580cd1cad5d863
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 24 Mar 2024 01:27:50 +0000
Automated fixes by clang-tidy
ql/experimental/math/laplaceinterpolation.cpp | 9 +++++----
ql/experimental/math/laplaceinterpolation.hpp | 2 +-
2 files changed, 6 insertions(+), 5 deletions(-)
commit 8c0386b4496b15805dd3eee0f3cce7c30d167a81
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 25 Mar 2024 17:32:37 +0100
Speed up CI build for VC++ 2015
.appveyor/VS2015.props | 3 +++
1 file changed, 3 insertions(+)
commit 27d4f37fd3bd3223c0bf9b4661609e86d8bb6053
Merge: c7943e5a2 a5a6c5504
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 22 Mar 2024 18:34:07 +0100
Add conversions to Real in Laplace Interpolation file for consistency (#1935)
commit c7943e5a23606ab698ec8f7eb050c746f2a0df7b
Merge: a5612b907 fffcb9f5f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 22 Mar 2024 15:31:52 +0100
LinearTsrPricer: fix past payment dates, support overnight swap indices, add missing include (#1775)
commit a5612b907701e6e4159c9320158f6fef9b2ab5c0
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Thu, 21 Mar 2024 15:44:58 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit fffcb9f5fb6dd53dea39eca51aeb1ec82f40fec1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 22 Mar 2024 12:00:39 +0100
Use fixed vs floater swap
ql/cashflows/lineartsrpricer.cpp | 17 ++++++-----------
ql/cashflows/lineartsrpricer.hpp | 4 ++--
2 files changed, 8 insertions(+), 13 deletions(-)
commit a5a6c5504ef50be09733f2409a8454724240f3db
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Fri, 22 Mar 2024 08:08:21 +0000
Fixes accumulate to work with the Real type in laplaceinterpolation.cpp
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2a7555baef3be926f8fe2ddff7b5a436ee7f812b
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Fri, 22 Mar 2024 07:48:23 +0000
Correct cast to Real for ternary expression
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7356c36b276a36d1e8cd96db353d807af91ea2b0
Merge: bdeb56ff9 5727400e1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 21 Mar 2024 16:44:30 +0100
handle non-equidistant grids and arbitrary dimensions in Laplace interpolation, add unit tests (#1931)
commit 5727400e1738fdf0935c0e600eaad01c77ab8922
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Thu, 21 Mar 2024 15:07:03 +0100
remove template version, just support QuantLib::Matrix
ql/experimental/math/laplaceinterpolation.cpp | 10 +---------
ql/experimental/math/laplaceinterpolation.hpp | 4 ++--
2 files changed, 3 insertions(+), 11 deletions(-)
commit bdeb56ff99d43087825818f226e1e31c100983bc
Merge: 8b687cb2e ea5fe1b55
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 20 Mar 2024 16:13:35 +0100
Bug fix - cross currency basis swap rate helpers settlement date payment (#1930)
commit 85448fc9950e3bf71e891804d37ff4440a2565ab
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Tue, 19 Mar 2024 15:27:48 +0100
make ctor explicit
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 93586e09011074f8d01976315ea067e5e3abe3d8
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Tue, 19 Mar 2024 15:10:48 +0100
update make file
ql/experimental/math/Makefile.am | 1 +
1 file changed, 1 insertion(+)
commit 3e1e10ffea614dd3da1f4ce1b86db83bcbd27858
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Tue, 19 Mar 2024 15:02:48 +0100
update project files, fix typo
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
3 files changed, 5 insertions(+), 1 deletion(-)
commit 628ebc5810accc29eab68de65fb78689682e0af0
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Tue, 19 Mar 2024 14:54:08 +0100
handle non-equidistant grids and arbitrary dimensions
ql/CMakeLists.txt | 1 +
ql/experimental/math/laplaceinterpolation.cpp | 253 +++++++++++++++++++++++++
ql/experimental/math/laplaceinterpolation.hpp | 173 +++++------------
test-suite/interpolations.cpp | 261 ++++++++++++++++++++++++++
4 files changed, 557 insertions(+), 131 deletions(-)
commit ea5fe1b55d34e1661c5564ecc790fcb7983f3085
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 18 Mar 2024 11:27:37 +0100
Use correct discount rate for settlement date cash flow
.../termstructures/crosscurrencyratehelpers.cpp | 5 ++-
test-suite/crosscurrencyratehelpers.cpp | 37 ++++++++++++++--------
2 files changed, 27 insertions(+), 15 deletions(-)
commit ebf1f8871d5ed07d6bbf2fad6daf98b84021352f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 15 Mar 2024 17:01:43 +0100
Extract swap-building function
.../calibrationhelpers/swaptionhelper.cpp | 43 +++++++++-------------
.../calibrationhelpers/swaptionhelper.hpp | 4 ++
2 files changed, 22 insertions(+), 25 deletions(-)
commit c329d29b788f41e192b520ca30633157595ba51f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 15 Mar 2024 16:48:58 +0100
Use correct fixed rate and float schedule in OIS case
ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 12 +++++++-----
ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 9 +++------
2 files changed, 10 insertions(+), 11 deletions(-)
commit 8b687cb2ede10619ef8caa6a19b7ccc9c4ccc12b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 10 Mar 2024 20:39:18 +0100
Avoid brew errors in CI setup
.github/workflows/doxygen.yml | 1 -
1 file changed, 1 deletion(-)
commit f2597af011b10ff1cba8a05d1d8eb404bf866f1f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 10 Mar 2024 20:29:33 +0100
Remove OSX 11 from build matrix.
.github/workflows/macos-nondefault.yml | 6 ------
.github/workflows/macos.yml | 2 --
2 files changed, 8 deletions(-)
commit 3e086ede50f25d8ea1d86eb14084c5c6fc5c12f2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 10 Mar 2024 16:54:42 +0100
Avoid reinstalling brew dependent packages
.github/workflows/cmake.yml | 2 ++
.github/workflows/macos-nondefault.yml | 2 ++
.github/workflows/macos.yml | 2 ++
3 files changed, 6 insertions(+)
commit 992a8e18c34a637ce8a572d048c8a8ef5f1e56d0
Merge: b56bebad8 6bb9c1f18
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 8 Mar 2024 19:17:35 +0100
Uses Real in GeometricBrownianMotionProcess instead of double (#1927)
commit b56bebad829222290a71f01b7ae4b8a9c796feb5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 8 Mar 2024 16:36:50 +0100
Add missing argument to uninstantiated template method call
ql/pricingengines/bond/bondfunctions.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1f5518c17351e46b8e9371dbfba6e9c674dcbcc9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 8 Mar 2024 12:11:23 +0100
Avoid ambiguous calls
ql/pricingengines/bond/bondfunctions.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 6bb9c1f18ff6d4c47f06a66136fb83411207e67c
Author: Auto Differentiation Dev Team <dev@auto-differentiation.com>
Date: Fri, 8 Mar 2024 09:04:41 +0000
Uses Real in GemoetricBrownianMotionProcess instead of double
ql/processes/geometricbrownianprocess.cpp | 6 +++---
ql/processes/geometricbrownianprocess.hpp | 12 ++++++------
2 files changed, 9 insertions(+), 9 deletions(-)
commit 6d5892e02871436fd00f19a30ee123e0bed77bab
Merge: 028c76e91 f1ed88696
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 7 Mar 2024 00:39:19 +0100
More functions to support both clean and dirty prices as input parameter (#1813)
commit f1ed88696825015763807e78ab4687bd010705d2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 17:50:51 +0100
More concise default
ql/pricingengines/bond/bondfunctions.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 072a71e36e5bbd86bfc2fa746d85b48d1897ab2e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 17:24:28 +0100
Document deprecations in Doxygen
ql/instruments/bond.hpp | 8 +++++---
ql/pricingengines/bond/bondfunctions.hpp | 21 +++++++++++++++++----
2 files changed, 22 insertions(+), 7 deletions(-)
commit d944c52183c7338787ae66088acbaec1c402b6a6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 17:15:33 +0100
Use aggregate initialization for brevity
Examples/Bonds/Bonds.cpp | 8 +---
Examples/FittedBondCurve/FittedBondCurve.cpp | 2 +-
ql/instruments/bond.cpp | 2 +-
ql/instruments/bonds/btp.cpp | 8 ++--
ql/pricingengines/bond/bondfunctions.cpp | 8 ++--
test-suite/bonds.cpp | 61 +++++++++++++++-------------
test-suite/fittedbonddiscountcurve.cpp | 4 +-
7 files changed, 48 insertions(+), 45 deletions(-)
commit 0c9b9a801b8f54292665dc1d8e1a90d22684a360
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 16:53:58 +0100
Remove implicit conversion from Real
ql/instruments/bond.hpp | 1 -
1 file changed, 1 deletion(-)
commit cf1a1c5bf5fbccc88b8407c738fbc624b8f0b0fe
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 16:51:28 +0100
Replace comparison to null with isValid method
ql/instruments/bond.cpp | 8 --------
ql/instruments/bond.hpp | 9 +--------
ql/pricingengines/bond/bondfunctions.cpp | 16 +++++++---------
3 files changed, 8 insertions(+), 25 deletions(-)
commit 028c76e914a43218efaf5f6e5a4f057f434666fe
Merge: 589b042de 368c13b06
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 5 Mar 2024 09:02:15 +0100
Test failure: Recompute fixingDays after add/subtract 10 years (#1925)
commit 368c13b0641ecd9940915e865331b2c1bc01e8b3
Author: Paul <d.goldbauer@protonmail.com>
Date: Mon, 4 Mar 2024 13:29:19 +0100
make use of Calendar::businessDaysBetween()
test-suite/convertiblebonds.cpp | 5 +----
1 file changed, 1 insertion(+), 4 deletions(-)
commit 589b042de50dd2ec629e0a085af2db50bef60b75
Merge: 2d1fd5b5e 4dd52ef0e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 4 Mar 2024 12:20:32 +0100
Fix Thailand, Singapore, South African calendars for 2023, 2024 (#1922)
commit 2d1fd5b5e4bd102cdaddb168860afd310a0f5c80
Merge: 014d08a6c 73192b60d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 4 Mar 2024 12:18:42 +0100
Fixes data type used for test tolerances in boost (#1923)
commit 3a984131765801f50302611d42c2f2e45a9c3ec7
Author: Paul <d.goldbauer@protonmail.com>
Date: Sun, 3 Mar 2024 23:26:30 +0100
recompute fixingDays after add/subtract 10 years
test-suite/convertiblebonds.cpp | 16 ++++++++++------
1 file changed, 10 insertions(+), 6 deletions(-)
commit 73192b60d61c241ec70e7554a46e7cc6b897dadd
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Fri, 1 Mar 2024 16:03:10 +0000
Fixes data type used for test tolerances (tolerances with mistmatched types are ignored)
test-suite/cashflows.cpp | 2 +-
test-suite/period.cpp | 4 ++--
test-suite/prices.cpp | 10 +++++-----
3 files changed, 8 insertions(+), 8 deletions(-)
commit 4dd52ef0e19127afc77a5908957f2544544f21e6
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 1 Mar 2024 15:12:19 +0100
Add South African election holiday 2024-05-29
https://www.gov.za/news/media-statements/president-cyril-ramaphosa-announces-2024-general-elections-date-20-feb-2024
ql/time/calendars/southafrica.cpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit dbf861e4533f8c8e8a195270e78237b9823bec51
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 1 Mar 2024 10:55:27 +0100
Add Thai holiday for 2024-04-12
ql/time/calendars/thailand.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 07b4e62589d277fa472fbddc6e3dbfbc6ccc88f0
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 1 Mar 2024 10:54:41 +0100
Patch Singapore calendar for 2023, 2024
ql/time/calendars/singapore.cpp | 18 ++++++++++++++++++
ql/time/calendars/singapore.hpp | 3 ++-
2 files changed, 20 insertions(+), 1 deletion(-)
commit 95ac5fa2783a10cf626d5fa3dc6d1ec80c8c87d8
Author: Francois Botha <igitur@gmail.com>
Date: Tue, 27 Feb 2024 11:02:14 +0200
Add BondFunctions::dirtyPrice() functions
ql/pricingengines/bond/bondfunctions.cpp | 26 ++++++++++++++++++++++++--
ql/pricingengines/bond/bondfunctions.hpp | 10 ++++++++++
test-suite/bonds.cpp | 31 +++++++++++++++++++++++++++++++
3 files changed, 65 insertions(+), 2 deletions(-)
commit 28c71b7318d9413016d314bdba860d65a0495cfe
Author: Francois Botha <igitur@gmail.com>
Date: Wed, 18 Nov 2020 14:42:41 +0200
More functions to support both clean and dirty prices as input parameter
ql/pricingengines/bond/bondfunctions.cpp | 48 +++++++++++++++++-----
ql/pricingengines/bond/bondfunctions.hpp | 16 ++++++++
test-suite/bonds.cpp | 69 +++++++++++++++++++++++++++-----
3 files changed, 114 insertions(+), 19 deletions(-)
commit 2ee2bf7721fe57f9bffab87e08a36052bef22845
Author: Francois Botha <igitur@gmail.com>
Date: Tue, 27 Feb 2024 10:46:14 +0200
Add Bond::Price constructor and equality/inequality operators with single arguemnt to enable Null<Bond::Price> support
ql/instruments/bond.cpp | 8 ++++++++
ql/instruments/bond.hpp | 11 ++++++++++-
2 files changed, 18 insertions(+), 1 deletion(-)
commit 014d08a6cfab211f1bba2ca539cb5eac7dbb3fe0
Merge: bd7242c49 89d300930
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 29 Feb 2024 14:56:05 +0100
Update 2023-2024 holidays in Indian calendar (#1919)
commit ceef8c0d96e213a050066c9c8947adbeb7cc570c
Author: Francois Botha <igitur@gmail.com>
Date: Mon, 26 Feb 2024 20:38:19 +0200
Use Bond::Price class instead of separate Real/Bond::Price::Type arguments. Mark old methods as deprecated.
Examples/Bonds/Bonds.cpp | 5 +-
Examples/FittedBondCurve/FittedBondCurve.cpp | 2 +-
Examples/Repo/Repo.cpp | 2 +-
ql/instruments/bond.cpp | 17 ++-
ql/instruments/bond.hpp | 11 ++
ql/instruments/bonds/btp.cpp | 15 +-
ql/pricingengines/bond/bondfunctions.cpp | 14 +-
ql/pricingengines/bond/bondfunctions.hpp | 36 ++++-
.../yield/fittedbonddiscountcurve.cpp | 5 +-
test-suite/bonds.cpp | 152 +++++++++------------
test-suite/fittedbonddiscountcurve.cpp | 6 +-
11 files changed, 154 insertions(+), 111 deletions(-)
commit 53346f890af4d2577b380af949092da8ec203f83
Author: Francois Botha <igitur@gmail.com>
Date: Tue, 17 Oct 2023 17:13:00 +0200
Fix spelling of 'frequency'
test-suite/bonds.cpp | 50 +++++++++++++++++++++++++-------------------------
1 file changed, 25 insertions(+), 25 deletions(-)
commit 2a30164d719e3abc8c96dbe9f9d1645a4fc6e755
Author: Francois Botha <igitur@gmail.com>
Date: Wed, 18 Oct 2023 10:16:45 +0200
Fix indentation after #1040 changed it
test-suite/bonds.cpp | 109 +++++++++++++++++++++++++++------------------------
1 file changed, 58 insertions(+), 51 deletions(-)
commit bd7242c49fa79238afbd1029596ac0336458855d
Merge: ea15ebbf8 4ed9da411
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 28 Feb 2024 17:52:03 +0100
Fix calendar advance for unadjusted convention (#1917)
Fix calendar advance for unadjusted convention
commit ea15ebbf8f80c89190d6d75286ff2f2dcea45055
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 27 Feb 2024 21:14:46 +0100
Pin test date to default for test suite
test-suite/convertiblebonds.cpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 89d300930a2ff83036e70e04641856abb70f2489
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Tue, 27 Feb 2024 10:07:48 +0100
Update 2023-2024 holidays in Indian calendar
ql/time/calendars/india.cpp | 30 ++++++++++++++++++------------
1 file changed, 18 insertions(+), 12 deletions(-)
commit 4ed9da4116c50e798db4c50cee19592b71430afc
Author: DeimosXing <deimos.xing@outlook.com>
Date: Mon, 26 Feb 2024 10:07:06 -0800
check if end of calendar day before moving
ql/time/calendar.cpp | 9 +++++----
1 file changed, 5 insertions(+), 4 deletions(-)
commit af1e9dbfd78299db6e2e8db4b538817eb93387ee
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 26 Feb 2024 10:52:10 +0100
Disable warning in CI build with uncommon configuration
.github/workflows/linux-nondefault.yml | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 21d1b154e838a4980d517acd189b4764fb974221
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 25 Feb 2024 01:10:15 +0000
Automated fixes by clang-tidy
ql/termstructures/yield/ratehelpers.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit cddfec43489a06414d1b3b30ce76ed570a467433
Author: DeimosXing <deimos.xing@outlook.com>
Date: Fri, 23 Feb 2024 11:21:31 -0800
fix lint; fix businessday convention unadjusted case
ql/time/calendar.cpp | 3 ++-
test-suite/businessdayconventions.cpp | 2 +-
2 files changed, 3 insertions(+), 2 deletions(-)
commit 1db1904cd26c532f46afa830cfb838621529fd08
Merge: 012754dc4 93fcafc20
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 22 Feb 2024 15:49:30 +0100
Generate and install pkg-config files as part of CMake builds, too (#1916)
commit 108de597b9b394147c3755e84dda2549d2d25259
Author: DeimosXing <deimos.xing@outlook.com>
Date: Tue, 20 Feb 2024 23:50:52 -0800
fix bug, add test for date and cashflow
ql/time/calendar.cpp | 3 +--
test-suite/cashflows.cpp | 16 +++++++++++++---
2 files changed, 14 insertions(+), 5 deletions(-)
commit a338de4ea1284bc6642ba4e592911e86a905ae2b
Author: DeimosXing <deimos.xing@outlook.com>
Date: Fri, 16 Feb 2024 17:40:26 -0800
fix irregular first date with eom true, add test
ql/time/calendar.cpp | 7 ++++++-
test-suite/cashflows.cpp | 22 ++++++++++++++++++++++
2 files changed, 28 insertions(+), 1 deletion(-)
commit 012754dc444101143d645eda8d48558e6764e867
Merge: 72012a72d 1917baf04
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 21 Feb 2024 20:27:16 +0100
Add Futures::Type Custom (#1915)
commit 93fcafc2096a0c7e5e9d84dd8e3e5fde30b6e432
Author: JZ <135723295+jez6@users.noreply.github.com>
Date: Wed, 21 Feb 2024 11:09:40 -0500
Update CMakeLists.txt
use FILES target for quantlib.pc so it doesn't get executable bits set
CMakeLists.txt | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1917baf040c7a0c8b98e00609827919f3b272e8e
Author: Eugene Toder <eltoder@twosigma.com>
Date: Tue, 20 Feb 2024 18:45:54 -0500
Add Futures::Type Custom
This allows passing custom future dates. Closes #1855
ql/instruments/futures.cpp | 4 +++-
ql/instruments/futures.hpp | 3 ++-
ql/termstructures/yield/ratehelpers.cpp | 9 +++++----
3 files changed, 10 insertions(+), 6 deletions(-)
commit 9c3e65f9f1e9be27e8c71450bcda9edb0d4bb006
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 20 Feb 2024 22:21:24 -0500
check if OI swap index or not
ql/instruments/makeswaption.cpp | 31 ++++++++++++++++++++++++-------
1 file changed, 24 insertions(+), 7 deletions(-)
commit 74be0b16905ee14fca3982b5f0101ba27ecb991d
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 20 Feb 2024 22:05:05 -0500
use reference to prevent copy
ql/pricingengines/swaption/blackswaptionengine.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit c9e7de27eddc53a7e4d45e3bdbee2ce20ce04271
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 20 Feb 2024 22:03:49 -0500
use index valueDate implementation
ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 15 ++++++++-------
1 file changed, 8 insertions(+), 7 deletions(-)
commit 7130a22f2fa5fa16a72be1310f1d1cc83f27105d
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 20 Feb 2024 21:44:48 -0500
use unique_ptr to prevent leaking
.../shortrate/calibrationhelpers/swaptionhelper.cpp | 17 ++++++++++-------
1 file changed, 10 insertions(+), 7 deletions(-)
commit 72012a72da1e3bce984a8e7784701390483fdee2
Merge: ce909f40f 30d6eb5be
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 19 Feb 2024 15:43:52 +0100
Reduce duplication in rate helpers constructors (#1911)
commit ce909f40fb316efb3d7acca53006d30c169497b4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 19 Feb 2024 13:07:59 +0100
Install ninja manually to avoid choco failures
.github/workflows/cmake.yml | 15 ++++++++++++---
1 file changed, 12 insertions(+), 3 deletions(-)
commit 30d6eb5be8e9637572258ee57455887b92f9aa42
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 19 Feb 2024 12:17:18 +0100
Rename convenience function
Examples/CDS/CDS.cpp | 2 +-
Examples/CVAIRS/CVAIRS.cpp | 2 +-
Examples/ConvertibleBonds/ConvertibleBonds.cpp | 4 ++--
Examples/DiscreteHedging/DiscreteHedging.cpp | 2 +-
Examples/EquityOption/EquityOption.cpp | 2 +-
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 10 ++++-----
ql/quotes/simplequote.hpp | 4 ++--
ql/termstructures/bootstraphelper.hpp | 2 +-
ql/termstructures/yield/ratehelpers.cpp | 28 +++++++++++++-------------
9 files changed, 28 insertions(+), 28 deletions(-)
commit 408493f89afa86189006d974ad2aaa20fd1127df
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 18 Feb 2024 01:18:17 +0000