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ChangeLog.txt
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commit a5560b4f5b7628ba6702d5015ce9104a24140863
Author: Luigi Ballabio <[email protected]>
Date: Sun, 17 Feb 2019 16:37:09 +0100
Relax tolerance in a couple of tests.
test-suite/creditdefaultswap.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 499d9afa67f649746741018ad66ab4d25560de50
Author: Luigi Ballabio <[email protected]>
Date: Fri, 8 Feb 2019 14:13:08 +0100
Deprecated positive-rates switch.
News.md | 13 +++++++++++--
1 file changed, 11 insertions(+), 2 deletions(-)
commit bd8dab8e5a60ebeb76e9f18e90f213906d790d62
Author: Luigi Ballabio <[email protected]>
Date: Fri, 8 Feb 2019 14:06:43 +0100
Add missing header.
ql/experimental/math/piecewiseintegral.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 12103384c9b801e816405af4ee5401e42d8e7864
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Feb 2019 16:18:48 +0100
Fix distribution.
Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 6c99ca7f7835bd773c72169886b8d583a75669d2
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Feb 2019 16:14:07 +0100
Update changelog and news.
ChangeLog.txt | 5228 +++++++++++++----------------------------------
Contributors.txt | 6 +
Docs/pages/authors.docs | 6 +
Docs/pages/history.docs | 77 +-
News.md | 108 +
News.txt | 121 --
6 files changed, 1602 insertions(+), 3944 deletions(-)
commit 5713908c0493eb4e02afc1d308193281b80f8ec7
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Feb 2019 16:13:07 +0100
A few doc fixes.
configure.ac | 6 ++---
ql/experimental/math/fireflyalgorithm.hpp | 20 +++++++++-----
ql/experimental/math/levyflightdistribution.hpp | 17 +++++++-----
ql/experimental/math/particleswarmoptimization.hpp | 31 ++++++++++++++--------
4 files changed, 48 insertions(+), 26 deletions(-)
commit 31081682a9bf32ed95e5f1a254df9b41659d3f35
Author: Luigi Ballabio <[email protected]>
Date: Sat, 2 Feb 2019 10:29:13 +0100
Prevent compilation errors on older VC++ compilers.
ql/time/daycounters/actualactual.cpp | 8 ++++----
test-suite/daycounters.cpp | 2 +-
2 files changed, 5 insertions(+), 5 deletions(-)
commit 87f1710899fff6d13c25a83b9e034f4001a7baf0
Author: Luigi Ballabio <[email protected]>
Date: Sat, 2 Feb 2019 10:15:56 +0100
Avoid loss-of-precision warning in VC++.
test-suite/daycounters.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit eb02391a1c79009c0f1ba6ef235a424bed60c576
Author: Luigi Ballabio <[email protected]>
Date: Tue, 29 Jan 2019 12:07:46 +0100
Add Boost 1.48 to build matrix.
.travis.yml | 4 ++++
1 file changed, 4 insertions(+)
commit 128ab151d45895af48dc3ac6ee999ccdfa38501b
Merge: 2e0846cd9 745a1da78
Author: Luigi Ballabio <[email protected]>
Date: Tue, 29 Jan 2019 11:01:15 +0100
Merge pull request #594.
commit 2e0846cd99790a2c9e9f44add92c8b8dafca9a26
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Jan 2019 17:32:14 +0100
Update copyright notice.
Docs/pages/license.docs | 2 ++
LICENSE.TXT | 2 ++
2 files changed, 4 insertions(+)
commit 67f8b02f4fc8643bad770d8b14a5a5618881161e
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Jan 2019 17:21:54 +0100
Fix a few test messages.
test-suite/timegrid.cpp | 35 +++++++++++++++++------------------
1 file changed, 17 insertions(+), 18 deletions(-)
commit 745a1da78fe31644e78b96f6b9b859dce73af4fe
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Jan 2019 15:40:54 +0100
Remove dead code.
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 8 --------
ql/experimental/math/fireflyalgorithm.cpp | 6 ------
ql/experimental/math/fireflyalgorithm.hpp | 6 ------
ql/experimental/math/hybridsimulatedannealingfunctors.hpp | 8 --------
ql/experimental/math/levyflightdistribution.hpp | 7 -------
ql/experimental/math/particleswarmoptimization.cpp | 6 +-----
ql/experimental/math/particleswarmoptimization.hpp | 5 -----
ql/patterns/observable.hpp | 11 -----------
8 files changed, 1 insertion(+), 56 deletions(-)
commit 4ce6d2b55581f341ab6ac3cbc1bf5469fa1ea6c1
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Jan 2019 15:40:34 +0100
Require Boost 1.48 or later.
acinclude.m4 | 8 ++++----
ql/qldefines.hpp | 2 +-
2 files changed, 5 insertions(+), 5 deletions(-)
commit 2b023dc266914aff701571c86b4f759ebb47809b
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Jan 2019 11:43:15 +0100
Make header self-consistent.
ql/math/linearleastsquaresregression.hpp | 1 +
1 file changed, 1 insertion(+)
commit a9f18e97223785af57cacce9b3c9dbdf00f51bf7
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Jan 2019 10:07:10 +0100
Clean up some docs.
ql/functional.hpp | 2 +-
ql/instruments/makeyoyinflationcapfloor.hpp | 2 +-
ql/math/curve.hpp | 2 +-
ql/math/functional.hpp | 2 +-
ql/methods/finitedifferences/bsmoperator.hpp | 3 +--
ql/methods/finitedifferences/operatorfactory.hpp | 3 +--
ql/models/calibrationhelper.hpp | 5 ++---
7 files changed, 8 insertions(+), 11 deletions(-)
commit 2baf27ff3ca42e48140188c07889b44f2fe90464
Author: Luigi Ballabio <[email protected]>
Date: Thu, 24 Jan 2019 12:57:50 +0100
Add clang 7 to build matrix.
.travis.yml | 4 ++++
1 file changed, 4 insertions(+)
commit 89a1b14d187e85917676c77df1ce2ec1bbbbb51f
Merge: f8a43f3de 1b9dd78b2
Author: Luigi Ballabio <[email protected]>
Date: Wed, 23 Jan 2019 17:20:17 +0100
Merge pull request #591.
commit f8a43f3deb0a229a331886b1a49a0e0c3df0a128
Merge: 05ab8975c e262b4b66
Author: Luigi Ballabio <[email protected]>
Date: Wed, 23 Jan 2019 16:51:21 +0100
Merge pull request #590.
commit 05ab8975cbba0cf0685c14e0a782caf8909016c6
Merge: 4a9beafc0 34a43a508
Author: Luigi Ballabio <[email protected]>
Date: Wed, 23 Jan 2019 16:14:45 +0100
Merge pull request #586.
commit 4a9beafc07851f65dc721e5099a774fe56020ab4
Merge: 333f8c010 8720cd110
Author: Luigi Ballabio <[email protected]>
Date: Tue, 22 Jan 2019 12:52:08 +0100
Merge pull request #592.
commit 333f8c0102e350c506abc38749c9dbb0aad7fd4f
Merge: 88dcf1000 6f48062a9
Author: Luigi Ballabio <[email protected]>
Date: Tue, 22 Jan 2019 11:42:17 +0100
Merge pull request #587.
commit 8720cd1109b78b942ace837914f1bd7c0e3f4995
Author: Luigi Ballabio <[email protected]>
Date: Mon, 21 Jan 2019 17:37:32 +0100
Avoid test failures due to use of indexed coupons.
test-suite/basismodels.cpp | 12 ++++++++++--
1 file changed, 10 insertions(+), 2 deletions(-)
commit 359b254bcc5253b0108b44026e726e642c8ad089
Author: Luigi Ballabio <[email protected]>
Date: Mon, 21 Jan 2019 15:05:48 +0100
Disable tests when negative rates are forbidden.
test-suite/basismodels.cpp | 3 +++
1 file changed, 3 insertions(+)
commit 88dcf1000b584bfd299577a3f71423e3d51bba49
Merge: a61d80d42 878063172
Author: Luigi Ballabio <[email protected]>
Date: Mon, 21 Jan 2019 10:19:58 +0100
Merge pull request #581.
commit a61d80d427a33e4c4eb836deeba30f4443d3b81b
Merge: fe0562d63 4875c2307
Author: Luigi Ballabio <[email protected]>
Date: Thu, 17 Jan 2019 14:05:37 +0100
Merge pull request #583.
commit fe0562d638293b9dad3bafb611feeaa4c4835527
Merge: b6001cb77 4b3ab48fc
Author: Luigi Ballabio <[email protected]>
Date: Wed, 16 Jan 2019 12:23:53 +0100
Merge pull request #585.
commit b6001cb77d90be3a52f3ccfff66e722e7faccb0c
Merge: 44491b89e 09fc891c6
Author: Luigi Ballabio <[email protected]>
Date: Tue, 15 Jan 2019 18:18:55 +0100
Merge pull request #582.
commit 09fc891c68f480b9d4e6c390e396e8934aafe33c
Author: Luigi Ballabio <[email protected]>
Date: Tue, 15 Jan 2019 18:00:07 +0100
Update docs.
ql/time/calendars/china.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1b9dd78b2de8aed290b0f1573c973fe5ac47c4fd
Author: Luigi Ballabio <[email protected]>
Date: Tue, 15 Jan 2019 17:53:14 +0100
Avoid instabilities in test case.
The previous value could give slightly different results
(depending on the version of libc on Ubuntu) that would
get amplified by the local-volatility calculation causing
the test to fail.
test-suite/riskneutraldensitycalculator.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e262b4b668bca68edd6127bc915797a13af935dd
Author: klausspanderen <[email protected]>
Date: Sun, 13 Jan 2019 18:45:56 +0100
include boost/bind.hpp explicitly
ql/patterns/observable.cpp | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit 11fcede9a6388f86dae0c99301e77020afa34266
Author: klausspanderen <[email protected]>
Date: Fri, 11 Jan 2019 21:29:56 +0100
ext::bind in thread safe observer pattern and parallel unit test runner
ql/patterns/observable.cpp | 3 ++-
test-suite/paralleltestrunner.hpp | 7 ++++---
2 files changed, 6 insertions(+), 4 deletions(-)
commit 6f48062a99048720d896d79ee454e431403aef81
Author: Joshua Engelman <[email protected]>
Date: Wed, 9 Jan 2019 10:28:36 -0600
Add Day of Mourning for George HW Bush to Special US Holidays
ql/time/calendars/unitedstates.cpp | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit 44491b89e0caf2c8f12ce1a4922016a575b08879
Merge: fd0eff928 6b8af61f2
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Jan 2019 15:28:43 +0100
Merge pull request #575.
commit 6b8af61f24b415e0ecb98ab329099f95aa709bd0
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Jan 2019 15:07:39 +0100
Reordered parts of the VC++ project.
QuantLib.vcxproj | 118 +++++++++++++++++++++++++++----------------------------
1 file changed, 59 insertions(+), 59 deletions(-)
commit e1af8a3a7a6d3b04e2772fe4b8674afee6d5d494
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Jan 2019 17:42:22 +0100
Update VC++ project.
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
2 files changed, 4 insertions(+)
commit cb1019cf0b5feca906a3fb21d9991c0d09ee0941
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Jan 2019 14:38:45 +0100
Run clang-format on new files.
ql/experimental/basismodels/swaptioncfs.cpp | 185 +++---
ql/experimental/basismodels/swaptioncfs.hpp | 93 +--
ql/experimental/basismodels/tenoroptionletvts.cpp | 126 ++--
ql/experimental/basismodels/tenoroptionletvts.hpp | 179 +++---
ql/experimental/basismodels/tenorswaptionvts.cpp | 168 +++---
ql/experimental/basismodels/tenorswaptionvts.hpp | 151 ++---
test-suite/basismodels.cpp | 687 +++++++++++-----------
7 files changed, 839 insertions(+), 750 deletions(-)
commit 34a43a5088ea06721184e22930282976c00c9d41
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Jan 2019 11:24:51 +0100
Avoid deprecation warning in VC++.
ql/methods/finitedifferences/operatorfactory.hpp | 7 +++++++
1 file changed, 7 insertions(+)
commit 4b3ab48fc8d0f89204cfea5ef8a3d1afe38d93ec
Author: Peter Caspers <[email protected]>
Date: Wed, 2 Jan 2019 11:17:58 +0100
fix boolean
the variant using 'Yes' does not work with clang-format 6.0.0
.clang-format | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 878063172430f3f3642421d07e4e8b93c43d581a
Author: Peter Caspers <[email protected]>
Date: Wed, 2 Jan 2019 11:14:50 +0100
formatting
ql/quotes/derivedquote.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 513c486c5219189bb1e317772fb23a857dd50ada
Author: Peter Caspers <[email protected]>
Date: Wed, 2 Jan 2019 11:13:38 +0100
fix typo
ql/quotes/derivedquote.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3d816f82797c00e1cffaac988b3456ddc29557e0
Author: Peter Caspers <[email protected]>
Date: Wed, 2 Jan 2019 11:13:03 +0100
add creator methods
ql/quotes/compositequote.hpp | 7 +++++++
ql/quotes/derivedquote.hpp | 7 +++++++
2 files changed, 14 insertions(+)
commit 7be81f6a58d59afa265e3ab4960c39bc35488b51
Author: Peter Caspers <[email protected]>
Date: Wed, 2 Jan 2019 11:03:08 +0100
Revert "add default value"
This reverts commit f84b4ad1eafd048f3a0869b4b5df78454f94c10b.
ql/quotes/compositequote.hpp | 2 +-
ql/quotes/derivedquote.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit e4c1b5bcf5e095be47c76e1667f736c8d798f2d9
Merge: 87446e0b3 cd8d2298a
Author: Cheng Li <[email protected]>
Date: Tue, 1 Jan 2019 22:46:40 +0800
Merge pull request #2 from wegamekinglc/wegamekinglc-patch-1
fixed missing holiday on 2018/12/31
commit cd8d2298a90307f4119b72cd61977b0944496d6e
Author: Cheng Li <[email protected]>
Date: Tue, 1 Jan 2019 22:45:47 +0800
fixed tests for china calendar
test-suite/calendars.cpp | 1 +
1 file changed, 1 insertion(+)
commit 5ee82308fd3f12714674a082a9992fed973e9c30
Author: Cheng Li <[email protected]>
Date: Tue, 1 Jan 2019 22:42:43 +0800
fixed missing holiday on 2018/12/31
ql/time/calendars/china.cpp | 1 +
1 file changed, 1 insertion(+)
commit 4875c2307881e277a6b7b43e295505ea2a78eac7
Author: klausspanderen <[email protected]>
Date: Mon, 31 Dec 2018 15:48:57 +0100
correct spelling
test-suite/interpolations.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 02f01bc755a7d1574b07e01ed1cbf2fe8a5650b6
Author: klausspanderen <[email protected]>
Date: Mon, 31 Dec 2018 15:25:04 +0100
corrected typo
ql/math/richardsonextrapolation.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 164e0d01f8a63694a47116e853265b6600406aaf
Author: klausspanderen <[email protected]>
Date: Mon, 31 Dec 2018 15:22:15 +0100
avoid run away Brent solver in Richardson extrapolation
ql/math/richardsonextrapolation.cpp | 16 +++++++--
test-suite/interpolations.cpp | 72 +++++++++++++++++++++++++++++++++++++
test-suite/interpolations.hpp | 1 +
3 files changed, 87 insertions(+), 2 deletions(-)
commit 87446e0b315d580a7c66729674b9124a4c255fe6
Author: wegamekinglc <[email protected]>
Date: Sun, 23 Dec 2018 22:00:42 +0800
update china holidays for the year 2019
ql/time/calendars/china.cpp | 17 +++++++++++++++--
test-suite/calendars.cpp | 28 ++++++++++++++++++++++++++--
2 files changed, 41 insertions(+), 4 deletions(-)
commit 794c1efa09f0ae0895abcf6b6ba0032ecc4b18f5
Merge: 4919fbace fd0eff928
Author: Cheng Li <[email protected]>
Date: Sun, 23 Dec 2018 19:59:39 +0800
Merge pull request #1 from lballabio/master
merge from upstream
commit f84b4ad1eafd048f3a0869b4b5df78454f94c10b
Author: Peter Caspers <[email protected]>
Date: Fri, 21 Dec 2018 15:05:39 +0100
add default value
ql/quotes/compositequote.hpp | 2 +-
ql/quotes/derivedquote.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit fd0eff92874aae3beb65a84c3cc0d722ac91ee76
Merge: 2ac2ef31c d24e3b1ca
Author: Luigi Ballabio <[email protected]>
Date: Fri, 21 Dec 2018 13:18:41 +0100
Merge pull request #574.
commit d24e3b1caf57ffcfeee08ba4ea253beccfa4d705
Author: Luigi Ballabio <[email protected]>
Date: Fri, 21 Dec 2018 12:32:44 +0100
Update VC++ project.
test-suite/testsuite.vcxproj | 4 +++-
test-suite/testsuite.vcxproj.filters | 6 ++++++
2 files changed, 9 insertions(+), 1 deletion(-)
commit 2ac2ef31c86757c93bfb205e25626cbedeb69f9d
Merge: 7f9b2be42 85091b519
Author: Luigi Ballabio <[email protected]>
Date: Wed, 12 Dec 2018 14:55:59 +0100
Merge pull request #577.
commit 7f9b2be42ccf150d2eddbcb36a26268fc5fbcb9f
Merge: 3157d8243 215c43da9
Author: Luigi Ballabio <[email protected]>
Date: Tue, 11 Dec 2018 18:27:32 +0100
Merge pull request #573.
commit 3157d8243a87d7306c7df297f6f515884100c9d6
Merge: 367191292 a3f003b8b
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Dec 2018 15:31:39 +0100
Merge pull request #572.
commit 3671912927faabc77957cd81f6e43f8c49ae0d7e
Merge: c7b10998e dc6791336
Author: Luigi Ballabio <[email protected]>
Date: Wed, 5 Dec 2018 11:43:29 +0100
Merge pull request #570.
commit 85091b519804566d935e2015fbb0e51d7add61b1
Author: Luigi Ballabio <[email protected]>
Date: Wed, 5 Dec 2018 10:49:00 +0100
Add .clang-format file as a convenience.
.clang-format | 54 ++++++++++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 54 insertions(+)
commit c7b10998e06edb187733c26b3c5693bcb56f16ef
Merge: e12a50927 b13ac5535
Author: Luigi Ballabio <[email protected]>
Date: Mon, 3 Dec 2018 11:42:25 +0100
Merge pull request #567.
commit b13ac55359fcc0df536fc999c96ff3c2768c81a1
Author: Luigi Ballabio <[email protected]>
Date: Fri, 30 Nov 2018 16:37:43 +0100
Avoid too many unnecessary variables.
.../MulticurveBootstrapping.cpp | 1109 +++++++++-----------
1 file changed, 513 insertions(+), 596 deletions(-)
commit 4302551cb5a4ec0f0854826950898663814fdbdb
Author: Luigi Ballabio <[email protected]>
Date: Fri, 30 Nov 2018 16:26:16 +0100
Replaced and renamed Swap example.
.gitignore | 2 +-
Docs/pages/examples.docs | 2 +-
Examples/CMakeLists.txt | 2 +-
Examples/Makefile.am | 4 +-
Examples/MulticurveBootstrapping/CMakeLists.txt | 2 +
Examples/MulticurveBootstrapping/Makefile.am | 29 +
.../MulticurveBootstrapping.cpp | 6 +-
.../MulticurveBootstrapping.vcxproj | 1106 ++++++++++----------
.../MulticurveBootstrapping.vcxproj.filters} | 4 +-
.../{Swap => MulticurveBootstrapping}/README.txt | 0
Examples/Swap/CMakeLists.txt | 2 -
Examples/Swap/Makefile.am | 29 -
Examples/Swap/Swap.vcxproj | 537 ----------
Examples/Swap/swapvaluation.cpp | 787 --------------
QuantLib.sln | 2 +-
configure.ac | 2 +-
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/Makefile.am | 12 +-
man/MarketModels.1 | 2 +-
man/{SwapValuation.1 => MulticurveBootstrapping.1} | 16 +-
man/MultidimIntegral.1 | 2 +-
man/Replication.1 | 2 +-
man/Repo.1 | 2 +-
36 files changed, 611 insertions(+), 1969 deletions(-)
commit e12a50927ea71143d6f4ed3e13309dd17acbda04
Merge: 420267bf0 06db92516
Author: Luigi Ballabio <[email protected]>
Date: Thu, 29 Nov 2018 13:32:29 +0100
Merge pull request #558.
commit a53a0c44011a3944106f95e8a335aef36849467e
Author: Sebastian Schlenkrich <[email protected]>
Date: Thu, 29 Nov 2018 08:54:46 +0100
fix coding standard issues
ql/experimental/basismodels/swaptioncfs.cpp | 2 +-
test-suite/basismodels.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit ba82f59960be4c7f06175bb51c15906e947e4562
Author: Sebastian Schlenkrich <[email protected]>
Date: Wed, 28 Nov 2018 19:07:32 +0100
remove list initialisers for Period vectors
test-suite/basismodels.cpp | 9 ++++++---
1 file changed, 6 insertions(+), 3 deletions(-)
commit 75695b719d8b795f4b8fd716b3ca5e03642af5b1
Author: Sebastian Schlenkrich <[email protected]>
Date: Wed, 28 Nov 2018 18:51:33 +0100
remove std::begin and std::end from vector initialisation
test-suite/basismodels.cpp | 50 +++++++++++++++++++++++-----------------------
1 file changed, 25 insertions(+), 25 deletions(-)
commit 3ef684d7e6fe1c0f7bfd740fe827499a573fa98b
Author: Sebastian Schlenkrich <[email protected]>
Date: Wed, 28 Nov 2018 18:26:09 +0100
remove list initialisers for vectors
test-suite/basismodels.cpp | 86 ++++++++++++++++++++++++++++++----------------
1 file changed, 56 insertions(+), 30 deletions(-)
commit 087410cda0624a812a186aa236a1219399a2742c
Author: Sebastian Schlenkrich <[email protected]>
Date: Wed, 28 Nov 2018 15:43:47 +0100
more integration test fixes
ql/experimental/basismodels/tenoroptionletvts.hpp | 1 +
ql/experimental/basismodels/tenorswaptionvts.hpp | 2 +-
2 files changed, 2 insertions(+), 1 deletion(-)
commit cbbe92b85d8307a18c28d4d7ae32c1222f8c09a0
Author: Sebastian Schlenkrich <[email protected]>
Date: Wed, 28 Nov 2018 15:05:30 +0100
fix build errors for integration tests
ql/experimental/basismodels/tenoroptionletvts.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit c76b7b0799aebfdddc57bffdc63a4d999f7002ff
Author: Luigi Ballabio <[email protected]>
Date: Wed, 28 Nov 2018 12:31:10 +0100
Add new files to build.
configure.ac | 1 +
ql/experimental/Makefile.am | 3 +-
ql/experimental/all.hpp | 1 +
ql/experimental/basismodels/Makefile.am | 49 +++++++++++++++++++++++++++++++++
ql/experimental/basismodels/all.hpp | 7 +++++
test-suite/Makefile.am | 1 +
6 files changed, 61 insertions(+), 1 deletion(-)
commit c746735fee1943b6ae638e9e0d341ac61fd5156b
Author: Luigi Ballabio <[email protected]>
Date: Wed, 28 Nov 2018 12:12:33 +0100
Use ext namespace.
ql/experimental/basismodels/swaptioncfs.cpp | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
commit e82b4f1efbb18fd952ab783945892c4ddd3e9a89
Author: Luigi Ballabio <[email protected]>
Date: Wed, 28 Nov 2018 11:58:41 +0100
Avoid C++11 code for backward compatibility.
test-suite/timegrid.cpp | 53 ++++++++++++++++++++++++++++++++++++++++---------
1 file changed, 44 insertions(+), 9 deletions(-)
commit d06a3e85bd037bfe44670ebf9d9edccb742320e5
Author: Luigi Ballabio <[email protected]>
Date: Wed, 28 Nov 2018 11:47:18 +0100
Add new files to the build.
test-suite/Makefile.am | 1 +
1 file changed, 1 insertion(+)
commit 543fda69fec98f84fb0c2d464269824c184147b1
Author: Sebastian Schlenkrich <[email protected]>
Date: Tue, 27 Nov 2018 17:31:54 +0100
non-standard tenor volatility transformation for caplets and swaptions
QuantLib.vcxproj | 10 +-
QuantLib.vcxproj.filters | 25 +-
ql/experimental/basismodels/swaptioncfs.cpp | 117 +++++++
ql/experimental/basismodels/swaptioncfs.hpp | 88 +++++
ql/experimental/basismodels/tenoroptionletvts.cpp | 96 ++++++
ql/experimental/basismodels/tenoroptionletvts.hpp | 131 ++++++++
ql/experimental/basismodels/tenorswaptionvts.cpp | 105 ++++++
ql/experimental/basismodels/tenorswaptionvts.hpp | 118 +++++++
test-suite/basismodels.cpp | 380 ++++++++++++++++++++++
test-suite/basismodels.hpp | 38 +++
test-suite/quantlibtestsuite.cpp | 4 +-
test-suite/testsuite.vcxproj | 2 +
test-suite/testsuite.vcxproj.filters | 10 +-
13 files changed, 1117 insertions(+), 7 deletions(-)
commit 420267bf0df2cee684251886ee6ac8ad2329cf47
Merge: 59cf68ebb 830cc1ae9
Author: Luigi Ballabio <[email protected]>
Date: Tue, 27 Nov 2018 14:35:02 +0100
Merge pull request #569.
commit 830cc1ae9490c8d982dfd753cb6960639ff68263
Author: Luigi Ballabio <[email protected]>
Date: Tue, 27 Nov 2018 12:25:43 +0100
Update VC++ project.
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 1 +
2 files changed, 2 insertions(+)
commit fdef49ee5d6a5f258f0602dc2121f86e36defe4f
Author: Kai Striega <[email protected]>
Date: Mon, 26 Nov 2018 10:57:01 +0800
Change tabs to 4 spaces
test-suite/quantlibtestsuite.cpp | 2 +-
test-suite/timegrid.cpp | 156 +++++++++++++++++++--------------------
test-suite/timegrid.hpp | 24 +++---
3 files changed, 91 insertions(+), 91 deletions(-)
commit 1e054f03622d0ca9120ba98503b734a01d08aa58
Author: Kai Striega <[email protected]>
Date: Sun, 25 Nov 2018 12:38:17 +0800
Add basic tests for timegrid constructors
test-suite/quantlibtestsuite.cpp | 2 +
test-suite/timegrid.cpp | 140 +++++++++++++++++++++++++++++++++++++++
test-suite/timegrid.hpp | 38 +++++++++++
3 files changed, 180 insertions(+)
commit 215c43da9ac17c6be413efb2fd1f09d0ccd43ec7
Author: Peter Caspers <[email protected]>
Date: Fri, 23 Nov 2018 19:37:43 +0100
amend checks, unify message
ql/legacy/libormarketmodels/lfmswaptionengine.cpp | 4 ++--
ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.cpp | 5 +++--
ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.cpp | 5 +++--
ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.cpp | 5 +++--
ql/pricingengines/swaption/gaussian1dswaptionengine.cpp | 5 +++--
ql/pricingengines/swaption/jamshidianswaptionengine.cpp | 5 +++--
ql/pricingengines/swaption/treeswaptionengine.cpp | 5 +++--
7 files changed, 20 insertions(+), 14 deletions(-)
commit 59cf68ebb5e55694ddec636c2b063561efecb811
Merge: 9bd834205 0311af6e8
Author: Luigi Ballabio <[email protected]>
Date: Thu, 22 Nov 2018 11:10:17 +0100
Merge pull request #564.
commit 9bd83420550c92938da8b3bfb4635d33d1107f75
Merge: 90df57a74 7cd3ecfd8
Author: Luigi Ballabio <[email protected]>
Date: Wed, 21 Nov 2018 18:10:20 +0100
Merge pull request #562.
commit a3f003b8ba8a7d6f9dc3727da7c29e0bb9c417d7
Author: Luigi Ballabio <[email protected]>
Date: Wed, 21 Nov 2018 16:48:25 +0100
Pass explicit nominal curve to inflation coupon pricers.
ql/cashflows/cpicouponpricer.cpp | 68 +++++++++++-------
ql/cashflows/cpicouponpricer.hpp | 33 ++++++---
ql/cashflows/inflationcouponpricer.cpp | 67 +++++++++++-------
ql/cashflows/inflationcouponpricer.hpp | 104 +++++++++++++++++++---------
ql/instruments/makeyoyinflationcapfloor.hpp | 1 +
test-suite/inflationcapflooredcoupon.cpp | 6 +-
6 files changed, 183 insertions(+), 96 deletions(-)
commit 0311af6e81cee27a84b824be04461a5d1ec9ccfa
Author: JL Dussek <[email protected]>
Date: Tue, 20 Nov 2018 13:19:51 -0500
change BMAIndex default calendar to UnitedStates::GovernmentBond
ql/indexes/bmaindex.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 5255fadf19e2499149f9d1c7821b65f841328825
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Nov 2018 18:09:26 +0100
Pass explicit nominal curve to yoy cap/floor factory class.
.../inflation/interpolatedyoyoptionletstripper.hpp | 19 ++++----
ql/experimental/inflation/yoyoptionlethelpers.cpp | 16 +++----
ql/instruments/makeyoyinflationcapfloor.cpp | 51 +++++++++++++++++++---
ql/instruments/makeyoyinflationcapfloor.hpp | 37 +++++++++++-----
4 files changed, 88 insertions(+), 35 deletions(-)
commit 92b0ced987feea1cd2acbfb0ff90aed0c9a2036c
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Nov 2018 13:10:01 +0100
Pass explicit nominal curve to inflation cap/floor engines.
.../inflation/inflationcapfloorengines.cpp | 48 +++++++++++++++---
.../inflation/inflationcapfloorengines.hpp | 57 +++++++++++++++-------
test-suite/inflationcapfloor.cpp | 18 +++----
test-suite/inflationcapflooredcoupon.cpp | 6 +--
test-suite/inflationvolatility.cpp | 2 +-
5 files changed, 95 insertions(+), 36 deletions(-)
commit 2277b2214ee6252f8a65414dc500a237d479cc0f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Nov 2018 17:47:16 +0100
Pass explicit nominal curve to inflation helpers.
.../inflation/yoycapfloortermpricesurface.hpp | 5 +-
ql/termstructures/inflation/inflationhelpers.cpp | 125 +++++++++++++++++++--
ql/termstructures/inflation/inflationhelpers.hpp | 35 +++++-
test-suite/inflation.cpp | 16 ++-
test-suite/inflationcapfloor.cpp | 8 +-
test-suite/inflationcapflooredcoupon.cpp | 8 +-
test-suite/inflationcpibond.cpp | 7 +-
test-suite/inflationcpicapfloor.cpp | 8 +-
test-suite/inflationcpiswap.cpp | 8 +-
9 files changed, 183 insertions(+), 37 deletions(-)
commit 90df57a74d9587f54fb78f5dc350896b48166030
Merge: d7c43398e 90bcbc9b8
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Nov 2018 17:03:55 +0100
Merge pull request #566.
commit 7cd3ecfd817a1e00d6d08dab4950ef55bc27d31f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Nov 2018 15:47:58 +0100
Update VC++ projects.
QuantLib.vcxproj | 133 ++++++++++++++++++-----------------
QuantLib.vcxproj.filters | 94 ++++++++++++++++---------
test-suite/testsuite.vcxproj | 4 +-
test-suite/testsuite.vcxproj.filters | 6 ++
4 files changed, 138 insertions(+), 99 deletions(-)
commit 016339df6243033275f47b771ee541c84e9c1ab5
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Nov 2018 14:59:32 +0100
Avoid warning.
test-suite/sofrfutures.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7060d71dc2af46463f1c59fa09f407b9a057d174
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Nov 2018 14:12:24 +0100
Add test case.
ql/indexes/ibor/Makefile.am | 2 +
ql/indexes/ibor/all.hpp | 1 +
test-suite/Makefile.am | 1 +
test-suite/quantlibtestsuite.cpp | 2 +
test-suite/sofrfutures.cpp | 130 +++++++++++++++++++++++++++++++++++++++
test-suite/sofrfutures.hpp | 32 ++++++++++
6 files changed, 168 insertions(+)
commit 2db7c6e902b62e71eb185fabb5a2ec05d2b5364f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Nov 2018 12:14:05 +0100
Add new files to build.
configure.ac | 1 +
ql/experimental/Makefile.am | 3 ++-
ql/experimental/all.hpp | 1 +
ql/experimental/futures/Makefile.am | 47 +++++++++++++++++++++++++++++++++++++
ql/experimental/futures/all.hpp | 6 +++++
5 files changed, 57 insertions(+), 1 deletion(-)
commit dc6791336fb4a36c219c4a574b1c27ec66fb8ec5
Author: Peter Caspers <[email protected]>
Date: Sat, 17 Nov 2018 14:18:35 +0100
missing registration
ql/experimental/coupons/lognormalcmsspreadpricer.cpp | 1 +
1 file changed, 1 insertion(+)
commit 72372532d82c3426d2829d41af354062907cac8c
Author: Peter Caspers <[email protected]>
Date: Sat, 17 Nov 2018 12:48:04 +0100
just formatting
ql/cashflows/lineartsrpricer.cpp | 3 ++-
ql/cashflows/lineartsrpricer.hpp | 1 +
2 files changed, 3 insertions(+), 1 deletion(-)
commit 18d1c16722d9975367f401946f6e12a293a66731
Author: Peter Caspers <[email protected]>
Date: Sat, 17 Nov 2018 12:45:45 +0100
remove cache, since it does not work properly
the use case was to speed up the calibration of the implied
correlation parameter to quoted premiums; however with the cache
enabled prices of cms spread coupons will not react to changes in the
underlying swap indices' curves, so we need another solution for this
ql/experimental/coupons/lognormalcmsspreadpricer.cpp | 20 ++------------------
ql/experimental/coupons/lognormalcmsspreadpricer.hpp | 18 ------------------
2 files changed, 2 insertions(+), 36 deletions(-)
commit bd8af0b11e0359d72630001e7b916fdefad08bac
Author: Jose Garcia <[email protected]>
Date: Fri, 9 Nov 2018 16:35:51 -0500
Add description and market data source to MulticurveBootstrapping example
Examples/MulticurveBootstrapping/MulticurveBootstrapping.cpp | 9 +++++++++
1 file changed, 9 insertions(+)
commit d1dbc4018e109867850571e92be2eab40e6d9452
Author: Luigi Ballabio <[email protected]>
Date: Fri, 9 Nov 2018 18:13:49 +0100
Unify switches for std::function and std::bind.
They're related, and they both need cref.
Examples/BasketLosses/BasketLosses.cpp | 1 -
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 3 +-
Examples/LatentModel/LatentModel.cpp | 1 -
Examples/MultidimIntegral/MultidimIntegral.cpp | 2 +-
configure.ac | 32 +++-----------
ql/Makefile.am | 3 +-
ql/cashflows/conundrumpricer.cpp | 12 +----
.../perturbativebarrieroptionengine.cpp | 2 +-
ql/experimental/credit/binomiallossmodel.hpp | 2 +-
ql/experimental/credit/gaussianlhplossmodel.hpp | 3 +-
ql/experimental/credit/pool.cpp | 2 +-
ql/experimental/credit/recursivelossmodel.hpp | 10 +----
.../exoticoptions/analyticpdfhestonengine.cpp | 11 +----
.../fdmvppstartlimitstepcondition.hpp | 1 -
.../finitedifferences/fdmvppstepcondition.cpp | 12 +----
.../finitedifferences/fdmvppstepcondition.hpp | 2 +-
.../finitedifferences/gbsmrndcalculator.cpp | 12 +----
.../finitedifferences/hestonrndcalculator.cpp | 12 +----
.../finitedifferences/localvolrndcalculator.cpp | 10 +----
.../riskneutraldensitycalculator.cpp | 13 +-----
ql/experimental/math/convolvedstudentt.cpp | 4 +-
ql/experimental/math/gaussiancopulapolicy.hpp | 2 +-
.../gaussiannoncentralchisquaredpolynomial.cpp | 2 +-
ql/experimental/math/latentmodel.hpp | 3 +-
ql/experimental/math/multidimintegrator.hpp | 3 +-
ql/experimental/math/multidimquadrature.hpp | 3 +-
ql/experimental/math/tcopulapolicy.cpp | 2 +-
ql/experimental/math/tcopulapolicy.hpp | 2 +-
.../mcbasket/longstaffschwartzmultipathpricer.hpp | 10 +----