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ChangeLog.txt
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commit 19eca2bf6ce1a825f9419939495fbb301288791e
Author: Luigi Ballabio <[email protected]>
Date: Mon, 22 Jul 2019 14:53:42 +0200
Update list of copyrights.
Docs/pages/license.docs | 4 ++--
LICENSE.TXT | 4 ++--
ql/time/daycounters/actual365fixed.cpp | 1 +
ql/time/daycounters/actual365fixed.hpp | 3 ++-
4 files changed, 7 insertions(+), 5 deletions(-)
commit 57a4476bd727879c2314d8eac2fead4e75d842e7
Author: Luigi Ballabio <[email protected]>
Date: Mon, 22 Jul 2019 14:07:38 +0200
Clean up a few test messages.
test-suite/distributions.cpp | 2 +-
test-suite/fdcev.cpp | 2 +-
test-suite/fdsabr.cpp | 6 +++---
test-suite/interpolations.cpp | 4 ++--
test-suite/riskneutraldensitycalculator.cpp | 4 ++--
test-suite/schedule.cpp | 2 +-
6 files changed, 10 insertions(+), 10 deletions(-)
commit 72c0600b746d6acb170b82c15c319015159b25ee
Merge: 545ea54e8 dc6fd2a86
Author: Luigi Ballabio <[email protected]>
Date: Wed, 17 Jul 2019 11:12:02 +0200
Merge pull request #664.
commit dc6fd2a867b17998b905c3b371705bf1981ab873
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Jul 2019 16:02:28 +0200
Moved local-vol FD operator to core library.
It was already used by core classes, and the interface is stable.
QuantLib.vcxproj | 4 ++--
QuantLib.vcxproj.filters | 10 +++++-----
ql/experimental/finitedifferences/Makefile.am | 2 --
ql/experimental/finitedifferences/all.hpp | 1 -
ql/methods/finitedifferences/operators/Makefile.am | 2 ++
ql/methods/finitedifferences/operators/all.hpp | 1 +
.../finitedifferences/operators}/fdmlocalvolfwdop.cpp | 2 +-
.../finitedifferences/operators}/fdmlocalvolfwdop.hpp | 0
.../finitedifferences/utilities/localvolrndcalculator.cpp | 2 +-
test-suite/hestonslvmodel.cpp | 2 +-
10 files changed, 13 insertions(+), 13 deletions(-)
commit 545ea54e8bbf740c0b762cc0df1ba64a965dfd29
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Jul 2019 13:05:53 +0200
Avoid adding unnecessary include paths to compilation.
.gitignore | 1 +
configure.ac | 2 +-
2 files changed, 2 insertions(+), 1 deletion(-)
commit 33d92b874836bc0b955def9fd3f14626a9dab829
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Jul 2019 11:27:28 +0200
Reordered project.
QuantLib.vcxproj | 3134 +++++++++++++++++++++++++++---------------------------
1 file changed, 1567 insertions(+), 1567 deletions(-)
commit cc2a5aa5e0c227e09f342a9a140a773e19db0632
Merge: 8033b0333 32e2707e8
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Jul 2019 10:48:33 +0200
Merge pull request #663.
commit 8033b0333288a652b94a6f6f1ea55caf3375c315
Merge: 772efc61e 3313d6a41
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Jul 2019 10:25:48 +0200
Merge pull request #661.
commit 32e2707e8da74c4eafb648e0c96c4e6ec2b842fa
Author: Luigi Ballabio <[email protected]>
Date: Mon, 15 Jul 2019 14:49:10 +0200
Take payment date into account to calculate curve node.
ql/termstructures/yield/oisratehelper.cpp | 8 ++-
test-suite/overnightindexedswap.cpp | 103 ++++--------------------------
2 files changed, 19 insertions(+), 92 deletions(-)
commit 3313d6a41382f73aa9d08f3a77326d853f080c6e
Author: Luigi Ballabio <[email protected]>
Date: Mon, 15 Jul 2019 12:48:19 +0200
Allow stub date to equal maturity.
ql/time/schedule.cpp | 12 +++++-----
test-suite/schedule.cpp | 60 +++++++++++++++++++++++++++++++++++++++++++++++++
test-suite/schedule.hpp | 2 ++
3 files changed, 68 insertions(+), 6 deletions(-)
commit 772efc61e543860c028f621fcc3f85f76c8e801b
Merge: aa97da3dc a84b9bda3
Author: Luigi Ballabio <[email protected]>
Date: Fri, 12 Jul 2019 14:53:14 +0200
Merge pull request #659.
commit a84b9bda308847d86d0ae69bb67d6fe4ff7bab7d
Author: Luigi Ballabio <[email protected]>
Date: Thu, 11 Jul 2019 14:34:55 +0200
Add a couple of exceptions for UK holidays.
Thanks to user Vililikku for the heads-up.
ql/time/calendars/unitedkingdom.cpp | 12 +++++++++---
1 file changed, 9 insertions(+), 3 deletions(-)
commit aa97da3dc87c66ad6c443100dca1b60eb7efa568
Merge: 08dfe6758 d40f02f1f
Author: Luigi Ballabio <[email protected]>
Date: Tue, 2 Jul 2019 13:43:38 +0200
Merge pull request #654.
commit d40f02f1fba0d7856894adce43c4ba91d7116c01
Author: klausspanderen <[email protected]>
Date: Mon, 1 Jul 2019 23:14:55 +0200
relax tolerance for different architectures
test-suite/hestonslvmodel.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit b49ea58117b88c4cf838e4a18094e32e0c11730b
Author: klausspanderen <[email protected]>
Date: Mon, 1 Jul 2019 22:54:48 +0200
avoid uninitialised value read access
ql/experimental/models/hestonslvfdmmodel.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 08dfe6758588da8e970c871da3ebf087ca2183e5
Merge: 59c6276f0 adf8f20ff
Author: Luigi Ballabio <[email protected]>
Date: Mon, 1 Jul 2019 17:24:39 +0200
Merge pull request #652.
commit 59c6276f02b527e7cef91acb145c3f12af7faa3e
Merge: 773a815a6 4b337f19d
Author: Luigi Ballabio <[email protected]>
Date: Mon, 1 Jul 2019 16:46:21 +0200
Merge pull request #641.
commit 773a815a6b121ea8e65a08a4d55e63e23bb7314c
Merge: fa13d956e 54370e383
Author: Luigi Ballabio <[email protected]>
Date: Mon, 1 Jul 2019 16:16:25 +0200
Merge pull request #644.
commit fa13d956ed57bd7ffcd934574a0e47bcd469fb95
Merge: 032fb8fe4 a25fc0f08
Author: Luigi Ballabio <[email protected]>
Date: Mon, 1 Jul 2019 14:32:49 +0200
Merge pull request #651.
commit 032fb8fe4be936bd0cfcbaa9c772e83f30008aef
Merge: 97306d72a 338c82951
Author: Luigi Ballabio <[email protected]>
Date: Mon, 1 Jul 2019 14:14:06 +0200
Merge pull request #650.
commit 97306d72a7340401e7fb331bf8275ae08996c532
Merge: 150d68255 37b394e00
Author: Luigi Ballabio <[email protected]>
Date: Mon, 1 Jul 2019 13:38:34 +0200
Merge pull request #640.
commit 150d6825587b4b6b8ffae9f3c0da9575cebf5d6d
Merge: 6e0a9c3fa fa6a81974
Author: Luigi Ballabio <[email protected]>
Date: Mon, 1 Jul 2019 13:12:15 +0200
Merge pull request #638.
commit 6e0a9c3fa94654c09f3d8d92d0727dc6aa984a7e
Merge: 5e2bb4ed5 2858919bb
Author: Luigi Ballabio <[email protected]>
Date: Mon, 1 Jul 2019 13:03:02 +0200
Merge pull request #637.
commit 5e2bb4ed5bd5fbb609095bb369302d44c66b7394
Merge: 5744ef1e3 6419fca9e
Author: Luigi Ballabio <[email protected]>
Date: Mon, 1 Jul 2019 12:43:02 +0200
Merge pull request #629.
commit 5744ef1e33b3ae3de7e49dd17b058a66b99dcb94
Merge: fd234f1e7 b97bcc9a7
Author: Luigi Ballabio <[email protected]>
Date: Fri, 28 Jun 2019 14:46:06 +0200
Merge pull request #636.
commit 6419fca9e725faee0496546e903f351bce7d366f
Author: Luigi Ballabio <[email protected]>
Date: Fri, 28 Jun 2019 14:17:23 +0200
Return sets by const reference.
ql/time/calendar.hpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit fd234f1e73dc81d5cb4cb701d847688441ca86eb
Merge: cd7bd596f 902d218b8
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jun 2019 18:37:34 +0200
Merge pull request #626.
commit cd7bd596fee17af3a3b01a4bf05bd5d09bdb1043
Merge: c8bea11b1 dffe787b9
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jun 2019 18:15:11 +0200
Merge pull request #627.
commit adf8f20ff78cdb6793533479b4402bce0f9df594
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jun 2019 13:40:27 +0200
Replace some leftover boost::function types.
.../finitedifferences/utilities/fdminnervaluecalculator.cpp | 9 ++++-----
.../finitedifferences/utilities/fdminnervaluecalculator.hpp | 7 +++----
ql/pricingengines/vanilla/fdcevvanillaengine.cpp | 2 +-
test-suite/fdsabr.cpp | 2 +-
4 files changed, 9 insertions(+), 11 deletions(-)
commit 4b337f19d3adbb85a5215048af654f938d9c4e92
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jun 2019 12:23:15 +0200
Fix method definition.
ql/experimental/commodities/paymentterm.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a25fc0f08733e87dab60fed4208c2e981776dc86
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jun 2019 11:36:47 +0200
Prune unused (or even undefined) methods.
ql/experimental/barrieroption/analyticdoublebarrierengine.hpp | 1 -
ql/experimental/barrieroption/wulinyongdoublebarrierengine.cpp | 8 --------
ql/experimental/barrieroption/wulinyongdoublebarrierengine.hpp | 4 ----
3 files changed, 13 deletions(-)
commit 338c82951a026a0a168d9638e109679c513b5117
Author: Eisuke Tani <[email protected]>
Date: Wed, 26 Jun 2019 18:47:54 +0200
Update Japan calendar.
ql/time/calendars/japan.cpp | 41 +++++++++++++++++++++++++++++------------
ql/time/calendars/japan.hpp | 2 +-
2 files changed, 30 insertions(+), 13 deletions(-)
commit 54370e3834cd0afecd0aa494bcc78c2fd6465d83
Author: Roy Zywina <[email protected]>
Date: Sat, 15 Jun 2019 01:12:23 -0400
The following Monday is a holiday when New Years day is a Satuday in
Canada.
ql/time/calendars/canada.cpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 478d1062536b3a48b96dc54337c370156ca9c4c4
Author: quantlab <[email protected]>
Date: Sun, 9 Jun 2019 14:32:09 +0800
fix PaymentTerm.calendar() inspector
implement inspector calendar() in PaymentTerm
ql/experimental/commodities/paymentterm.hpp | 4 ++++
1 file changed, 4 insertions(+)
commit 37b394e00ec4c558cdf169af3e777fd38e981a32
Author: quantlab <[email protected]>
Date: Sat, 8 Jun 2019 22:58:02 +0800
Update wulinyongdoublebarrierengine.cpp
save `rebateIn` to `results_.additionalResults`
ql/experimental/barrieroption/wulinyongdoublebarrierengine.cpp | 1 +
1 file changed, 1 insertion(+)
commit fa6a81974f022a9d6c6faae636c77a9991c90999
Author: Peter Caspers <[email protected]>
Date: Fri, 7 Jun 2019 18:50:11 +0200
improve description (thanks to Giuseppe Trapani)
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 16 ++++++++--------
1 file changed, 8 insertions(+), 8 deletions(-)
commit 6800db1ae5082fbcb1ad6ff80ed9118cbc7a4a95
Author: quantlab <[email protected]>
Date: Fri, 7 Jun 2019 21:37:58 +0800
implemente inspector `overnightIndex()`
not sure if this is a bug, inspector `overnightIndex()` declared but not implemented
ql/experimental/averageois/arithmeticaverageois.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit b97bcc9a7678557d4735056c88e8be978e3dff15
Author: Luigi Ballabio <[email protected]>
Date: Tue, 4 Jun 2019 14:26:56 +0200
Allow parallel compilation of examples.
Examples/BasketLosses/Makefile.am | 28 ------
Examples/BermudanSwaption/Makefile.am | 29 ------
Examples/BermudanSwaption/ReadMe.txt | 2 -
Examples/Bonds/Makefile.am | 29 ------
Examples/Bonds/ReadMe.txt | 3 -
Examples/CDS/Makefile.am | 29 ------
Examples/CDS/ReadMe.txt | 2 -
Examples/CVAIRS/Makefile.am | 28 ------
Examples/CallableBonds/Makefile.am | 29 ------
Examples/CallableBonds/ReadMe.txt | 2 -
Examples/ConvertibleBonds/Makefile.am | 29 ------
Examples/ConvertibleBonds/ReadMe.txt | 1 -
Examples/DiscreteHedging/Makefile.am | 29 ------
Examples/DiscreteHedging/ReadMe.txt | 8 --
Examples/EquityOption/Makefile.am | 29 ------
Examples/EquityOption/ReadMe.txt | 1 -
Examples/FRA/Makefile.am | 29 ------
Examples/FRA/ReadMe.txt | 1 -
Examples/FittedBondCurve/Makefile.am | 29 ------
Examples/FittedBondCurve/ReadMe.txt | 2 -
Examples/Gaussian1dModels/Makefile.am | 28 ------
Examples/GlobalOptimizer/Makefile.am | 29 ------
Examples/GlobalOptimizer/ReadMe.txt | 1 -
Examples/LatentModel/Makefile.am | 28 ------
Examples/Makefile.am | 126 ++++++++++++++++++++-------
Examples/MarketModels/Makefile.am | 28 ------
Examples/MulticurveBootstrapping/Makefile.am | 29 ------
Examples/MulticurveBootstrapping/README.txt | 2 -
Examples/MultidimIntegral/Makefile.am | 28 ------
Examples/README.txt | 92 ++++++++++++++++++-
Examples/Replication/Makefile.am | 29 ------
Examples/Replication/ReadMe.txt | 2 -
Examples/Repo/Makefile.am | 29 ------
Examples/Repo/ReadMe.txt | 1 -
configure.ac | 22 +----
35 files changed, 189 insertions(+), 624 deletions(-)
commit 7695b25b22fbbec0462edd49e6073ea1fc9ec777
Author: Francois Botha <[email protected]>
Date: Thu, 9 May 2019 16:43:06 +0200
Publicly expose Calendar::addedHolidays and Calendar::removeHolidays
ql/time/calendar.hpp | 17 +++++++++++++++++
test-suite/calendars.cpp | 8 ++++++++
2 files changed, 25 insertions(+)
commit 902d218b8bd5a284aab4750042e85247048709ab
Author: klausspanderen <[email protected]>
Date: Sat, 4 May 2019 19:35:49 +0200
corrected typo
ql/experimental/finitedifferences/fdhestondoublebarrierengine.cpp | 4 ++--
ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.cpp | 2 +-
ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp | 4 ++--
ql/pricingengines/barrier/fdhestonbarrierengine.cpp | 4 ++--
ql/pricingengines/barrier/fdhestonrebateengine.cpp | 4 ++--
ql/pricingengines/vanilla/fdhestonvanillaengine.cpp | 4 ++--
test-suite/fdheston.cpp | 8 ++++----
7 files changed, 15 insertions(+), 15 deletions(-)
commit dffe787b9bf2dca7b1c17b0b0eb477b43407fda8
Author: Luigi Ballabio <[email protected]>
Date: Thu, 2 May 2019 10:55:06 +0200
Avoid expiration check if an instrument is already calculated.
ql/instrument.hpp | 12 +++++++-----
1 file changed, 7 insertions(+), 5 deletions(-)
commit dcf0e8b44a6788881531c32308d634de0fae5e4f
Author: klausspanderen <[email protected]>
Date: Wed, 1 May 2019 11:39:10 +0200
limit number of parameter in make_shared
ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp | 2 +-
ql/pricingengines/vanilla/fdhestonvanillaengine.cpp | 14 +++++++-------
test-suite/quantooption.cpp | 6 +++---
3 files changed, 11 insertions(+), 11 deletions(-)
commit f1bab0800699db3eae19b0c5e240eb2eab7e617f
Author: klausspanderen <[email protected]>
Date: Wed, 1 May 2019 10:40:18 +0200
comment out unused variable
test-suite/fdheston.cpp | 3 +--
test-suite/quantooption.cpp | 4 +---
2 files changed, 2 insertions(+), 5 deletions(-)
commit f1bef5150df55b320aab6290b6867ff1011861fa
Author: klausspanderen <[email protected]>
Date: Wed, 1 May 2019 10:40:18 +0200
comment out unused variable
test-suite/fdheston.cpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit a2185824e15ad8bcf04a1894a8afd334241c771c
Author: klausspanderen <[email protected]>
Date: Wed, 1 May 2019 09:46:52 +0200
improve mesher test case
.../meshers/fdmhestonvariancemesher.cpp | 8 +--
.../meshers/fdmhestonvariancemesher.hpp | 2 +-
test-suite/fdheston.cpp | 68 +++++++++++++++-------
3 files changed, 51 insertions(+), 27 deletions(-)
commit c8bea11b10bbdbb6fcfc841c3283b67c42917b30
Merge: 2dfaace4d 16a241cfa
Author: Luigi Ballabio <[email protected]>
Date: Tue, 30 Apr 2019 16:27:24 +0200
Merge pull request #625.
commit 2dfaace4ddd4f0e7d43b5d0345a0fcdbd9b65803
Merge: 5ab7086c3 8eb21937d
Author: Luigi Ballabio <[email protected]>
Date: Tue, 30 Apr 2019 16:18:12 +0200
Merge pull request #624.
commit 5ab7086c3593f6a1b6112579b3c68a437daf5f74
Merge: 859426020 ee2de22ac
Author: Luigi Ballabio <[email protected]>
Date: Tue, 30 Apr 2019 15:49:10 +0200
Merge pull request #622.
commit 16a241cfa7c5b1577a2b30be39fb4b39afb53c49
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Apr 2019 18:14:55 +0200
Remove features deprecated in versions 1.11 and 1.12.
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 -
ql/math/distributions/chisquaredistribution.hpp | 18 -----
ql/math/distributions/gammadistribution.hpp | 6 --
ql/math/matrixutilities/bicgstab.cpp | 4 -
ql/math/matrixutilities/bicgstab.hpp | 6 --
.../volatility/swaption/swaptionvolmatrix.hpp | 1 -
ql/time/daycounters/Makefile.am | 1 -
ql/time/daycounters/actual365nl.hpp | 88 ----------------------
ql/time/daycounters/all.hpp | 1 -
10 files changed, 129 deletions(-)
commit 859426020f563e7570b99a026dfd8110c0db4138
Merge: 67ac5115e edd10e7b7
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Apr 2019 17:17:12 +0200
Merge pull request #623.
commit 17e91aba5f0920babcc98a854cba10e448be5dfa
Author: klausspanderen <[email protected]>
Date: Mon, 29 Apr 2019 17:02:47 +0200
improve vola estimate for Heston SLV models
.../meshers/fdmhestonvariancemesher.cpp | 31 ++++++++-------
test-suite/fdheston.cpp | 44 +++++++++++++++++++++-
2 files changed, 60 insertions(+), 15 deletions(-)
commit 67ac5115ebe509c28dc93f24254f4ad3dbbae40c
Merge: 038722dbe a6c542411
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Apr 2019 15:55:51 +0200
Merge pull request #620.
commit 259ca4ec6a75bf991d89aa06840007728a665f60
Author: klausspanderen <[email protected]>
Date: Mon, 29 Apr 2019 14:17:56 +0200
put back all tests
test-suite/quantlibtestsuite.cpp | 316 +++++++++++++++++++--------------------
1 file changed, 158 insertions(+), 158 deletions(-)
commit 5021c9439105f19db6f49ab7d0ca52135d085b2d
Author: klausspanderen <[email protected]>
Date: Mon, 29 Apr 2019 14:10:56 +0200
quanto adjustment for Black-Scholes-Merton and Heston Local Volatiltiy
.../fdhestondoublebarrierengine.cpp | 12 +-
.../meshers/fdmblackscholesmesher.cpp | 20 +-
.../meshers/fdmblackscholesmesher.hpp | 7 +-
.../meshers/fdmhestonvariancemesher.cpp | 77 ++++-
.../meshers/fdmhestonvariancemesher.hpp | 19 +-
.../operators/fdmblackscholesop.cpp | 36 ++-
.../operators/fdmblackscholesop.hpp | 6 +-
.../finitedifferences/operators/fdmhestonop.cpp | 12 +-
.../solvers/fdmblackscholessolver.cpp | 15 +-
.../solvers/fdmblackscholessolver.hpp | 6 +-
.../barrier/fdhestonbarrierengine.cpp | 12 +-
ql/pricingengines/barrier/fdhestonrebateengine.cpp | 12 +-
.../vanilla/fdblackscholesvanillaengine.cpp | 35 +-
.../vanilla/fdblackscholesvanillaengine.hpp | 10 +
.../vanilla/fdhestonvanillaengine.cpp | 36 ++-
.../vanilla/fdhestonvanillaengine.hpp | 12 +
test-suite/dividendoption.cpp | 1 -
test-suite/fdheston.cpp | 29 +-
test-suite/quantlibtestsuite.cpp | 316 +++++++++---------
test-suite/quantooption.cpp | 359 +++++++++++++++++++++
test-suite/quantooption.hpp | 4 +
21 files changed, 818 insertions(+), 218 deletions(-)
commit 038722dbe2af56a8f928bcb80c25630329c4d016
Merge: 28967854e f05141d87
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Apr 2019 13:13:14 +0200
Merge pull request #614.
commit 8eb21937daf3c9f94b656df28f3a9b07dc228c79
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Apr 2019 11:40:57 +0200
Avoid internal usage of all.hpp headers.
Examples/MarketModels/MarketModels.cpp | 28 ++++++++++++++++++++++-
test-suite/basismodels.cpp | 14 +++++++-----
test-suite/catbonds.cpp | 4 +++-
test-suite/piecewisezerospreadedtermstructure.cpp | 4 +++-
4 files changed, 41 insertions(+), 9 deletions(-)
commit ee2de22acbb5e5441c810a45b33bbd7b3a87d669
Author: Luigi Ballabio <[email protected]>
Date: Wed, 24 Apr 2019 16:32:10 +0200
Update VC++ projects.
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
ql/time/calendars/all.hpp | 1 +
3 files changed, 9 insertions(+)
commit dc42b30b02836c8b4723ff100547fdbbd53210c4
Author: Luigi Ballabio <[email protected]>
Date: Wed, 24 Apr 2019 16:26:57 +0200
Make the constructor explicit.
ql/time/calendars/france.hpp | 5 +----
1 file changed, 1 insertion(+), 4 deletions(-)
commit 28967854e8d5ba2b357b4f3f3a9912a2d54524c7
Merge: c3da91050 c015866cb
Author: Luigi Ballabio <[email protected]>
Date: Wed, 24 Apr 2019 16:07:33 +0200
Merge pull request #610.
commit c3da910500c40b76b4e6a64c250ecd473e344d32
Merge: f12e91ed4 f394b87aa
Author: Luigi Ballabio <[email protected]>
Date: Wed, 24 Apr 2019 15:25:28 +0200
Merge pull request #621.
commit edd10e7b7511cb18bd13ae43bbef12d027521129
Author: Luigi Ballabio <[email protected]>
Date: Wed, 24 Apr 2019 13:03:18 +0200
Deprecate SwaptionVolatilityMatrix constructor without calendar.
ql/legacy/libormarketmodels/liborforwardmodel.cpp | 7 ++--
.../volatility/swaption/swaptionvolmatrix.cpp | 49 ++++++++++++++++++++++
.../volatility/swaption/swaptionvolmatrix.hpp | 18 +++++++-
3 files changed, 70 insertions(+), 4 deletions(-)
commit ba4524315e8b6b4b3466026cc3ac36124ef94b34
Author: NJeanray <[email protected]>
Date: Wed, 24 Apr 2019 10:57:30 +0200
Adding French calendar
ql/time/calendars/Makefile.am | 2 ++
1 file changed, 2 insertions(+)
commit 76f494b0b8466399f38b6d4707ed45964832e187
Author: NJeanray <[email protected]>
Date: Wed, 24 Apr 2019 10:55:42 +0200
Update france.cpp
Typo mistake
ql/time/calendars/france.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3bd23b4549615e2c6724e5a44a5e63c0b55928a3
Author: NJeanray <[email protected]>
Date: Wed, 24 Apr 2019 10:54:53 +0200
Update france.cpp
Correction of Stock Exchange holidays based on site https://www.stockmarketclock.com/exchanges/euronext-paris/market-holidays/
ql/time/calendars/france.cpp | 31 +++++++++++++------------------
1 file changed, 13 insertions(+), 18 deletions(-)
commit 865b103144e4906ab14089bac0a2dab86e5df7b6
Author: NJeanray <[email protected]>
Date: Wed, 24 Apr 2019 10:50:31 +0200
Create france.hpp
ql/time/calendars/france.hpp | 92 ++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 92 insertions(+)
commit 878036768f6bd240df30c57e3fb14dcb266fee08
Author: NJeanray <[email protected]>
Date: Wed, 24 Apr 2019 10:35:59 +0200
Create france.cpp
File containing all the holiday days in France.
ql/time/calendars/france.cpp | 114 +++++++++++++++++++++++++++++++++++++++++++
1 file changed, 114 insertions(+)
commit f394b87aa61b2bdaa36959c5f3b2a549979fc5fa
Author: Luigi Ballabio <[email protected]>
Date: Tue, 23 Apr 2019 17:15:29 +0200
Generate all.hpp in source directory.
ql/Makefile.am | 24 +++++++++++-----------
ql/cashflows/Makefile.am | 20 +++++++++---------
ql/currencies/Makefile.am | 20 +++++++++---------
ql/experimental/Makefile.am | 8 ++++----
ql/experimental/amortizingbonds/Makefile.am | 20 +++++++++---------
ql/experimental/averageois/Makefile.am | 20 +++++++++---------
ql/experimental/barrieroption/Makefile.am | 20 +++++++++---------
ql/experimental/basismodels/Makefile.am | 20 +++++++++---------
ql/experimental/callablebonds/Makefile.am | 20 +++++++++---------
ql/experimental/catbonds/Makefile.am | 20 +++++++++---------
ql/experimental/commodities/Makefile.am | 20 +++++++++---------
ql/experimental/convertiblebonds/Makefile.am | 20 +++++++++---------
ql/experimental/coupons/Makefile.am | 20 +++++++++---------
ql/experimental/credit/Makefile.am | 20 +++++++++---------
ql/experimental/exoticoptions/Makefile.am | 20 +++++++++---------
ql/experimental/finitedifferences/Makefile.am | 20 +++++++++---------
ql/experimental/futures/Makefile.am | 20 +++++++++---------
ql/experimental/fx/Makefile.am | 20 +++++++++---------
ql/experimental/inflation/Makefile.am | 20 +++++++++---------
ql/experimental/lattices/Makefile.am | 20 +++++++++---------
ql/experimental/math/Makefile.am | 20 +++++++++---------
ql/experimental/mcbasket/Makefile.am | 20 +++++++++---------
ql/experimental/models/Makefile.am | 20 +++++++++---------
ql/experimental/processes/Makefile.am | 20 +++++++++---------
ql/experimental/risk/Makefile.am | 20 +++++++++---------
ql/experimental/shortrate/Makefile.am | 20 +++++++++---------
ql/experimental/swaptions/Makefile.am | 20 +++++++++---------
ql/experimental/termstructures/Makefile.am | 12 +++++------
ql/experimental/variancegamma/Makefile.am | 20 +++++++++---------
ql/experimental/varianceoption/Makefile.am | 20 +++++++++---------
ql/experimental/volatility/Makefile.am | 20 +++++++++---------
ql/indexes/Makefile.am | 20 +++++++++---------
ql/indexes/ibor/Makefile.am | 20 +++++++++---------
ql/indexes/inflation/Makefile.am | 12 +++++------
ql/indexes/swap/Makefile.am | 20 +++++++++---------
ql/instruments/Makefile.am | 20 +++++++++---------
ql/instruments/bonds/Makefile.am | 20 +++++++++---------
ql/legacy/Makefile.am | 8 ++++----
ql/legacy/libormarketmodels/Makefile.am | 20 +++++++++---------
ql/math/Makefile.am | 20 +++++++++---------
ql/math/copulas/Makefile.am | 20 +++++++++---------
ql/math/distributions/Makefile.am | 20 +++++++++---------
ql/math/integrals/Makefile.am | 20 +++++++++---------
ql/math/interpolations/Makefile.am | 12 +++++------
ql/math/matrixutilities/Makefile.am | 20 +++++++++---------
ql/math/ode/Makefile.am | 12 +++++------
ql/math/optimization/Makefile.am | 20 +++++++++---------
ql/math/randomnumbers/Makefile.am | 20 +++++++++---------
ql/math/solvers1d/Makefile.am | 12 +++++------
ql/math/statistics/Makefile.am | 20 +++++++++---------
ql/methods/Makefile.am | 8 ++++----
ql/methods/finitedifferences/Makefile.am | 20 +++++++++---------
ql/methods/finitedifferences/meshers/Makefile.am | 20 +++++++++---------
ql/methods/finitedifferences/operators/Makefile.am | 20 +++++++++---------
ql/methods/finitedifferences/schemes/Makefile.am | 20 +++++++++---------
ql/methods/finitedifferences/solvers/Makefile.am | 20 +++++++++---------
.../finitedifferences/stepconditions/Makefile.am | 20 +++++++++---------
ql/methods/finitedifferences/utilities/Makefile.am | 21 +++++++++----------
ql/methods/lattices/Makefile.am | 20 +++++++++---------
ql/methods/montecarlo/Makefile.am | 20 +++++++++---------
ql/models/Makefile.am | 20 +++++++++---------
ql/models/equity/Makefile.am | 20 +++++++++---------
ql/models/marketmodels/Makefile.am | 20 +++++++++---------
.../marketmodels/browniangenerators/Makefile.am | 20 +++++++++---------
ql/models/marketmodels/callability/Makefile.am | 20 +++++++++---------
ql/models/marketmodels/correlations/Makefile.am | 20 +++++++++---------
ql/models/marketmodels/curvestates/Makefile.am | 20 +++++++++---------
.../marketmodels/driftcomputation/Makefile.am | 20 +++++++++---------
ql/models/marketmodels/evolvers/Makefile.am | 20 +++++++++---------
.../marketmodels/evolvers/volprocesses/Makefile.am | 20 +++++++++---------
ql/models/marketmodels/models/Makefile.am | 20 +++++++++---------
ql/models/marketmodels/pathwisegreeks/Makefile.am | 20 +++++++++---------
ql/models/marketmodels/products/Makefile.am | 20 +++++++++---------
.../marketmodels/products/multistep/Makefile.am | 20 +++++++++---------
.../marketmodels/products/onestep/Makefile.am | 20 +++++++++---------
.../marketmodels/products/pathwise/Makefile.am | 20 +++++++++---------
ql/models/shortrate/Makefile.am | 20 +++++++++---------
ql/models/shortrate/calibrationhelpers/Makefile.am | 20 +++++++++---------
ql/models/shortrate/onefactormodels/Makefile.am | 20 +++++++++---------
ql/models/shortrate/twofactormodels/Makefile.am | 20 +++++++++---------
ql/models/volatility/Makefile.am | 20 +++++++++---------
ql/patterns/Makefile.am | 20 +++++++++---------
ql/pricingengines/Makefile.am | 20 +++++++++---------
ql/pricingengines/asian/Makefile.am | 20 +++++++++---------
ql/pricingengines/barrier/Makefile.am | 20 +++++++++---------
ql/pricingengines/basket/Makefile.am | 20 +++++++++---------
ql/pricingengines/bond/Makefile.am | 20 +++++++++---------
ql/pricingengines/capfloor/Makefile.am | 20 +++++++++---------
ql/pricingengines/cliquet/Makefile.am | 20 +++++++++---------
ql/pricingengines/credit/Makefile.am | 20 +++++++++---------
ql/pricingengines/forward/Makefile.am | 12 +++++------
ql/pricingengines/inflation/Makefile.am | 20 +++++++++---------
ql/pricingengines/lookback/Makefile.am | 20 +++++++++---------
ql/pricingengines/quanto/Makefile.am | 12 +++++------
ql/pricingengines/swap/Makefile.am | 20 +++++++++---------
ql/pricingengines/swaption/Makefile.am | 20 +++++++++---------
ql/pricingengines/vanilla/Makefile.am | 20 +++++++++---------
ql/processes/Makefile.am | 20 +++++++++---------
ql/quotes/Makefile.am | 20 +++++++++---------
ql/termstructures/Makefile.am | 20 +++++++++---------
ql/termstructures/credit/Makefile.am | 20 +++++++++---------
ql/termstructures/inflation/Makefile.am | 20 +++++++++---------
ql/termstructures/volatility/Makefile.am | 20 +++++++++---------
ql/termstructures/volatility/capfloor/Makefile.am | 20 +++++++++---------
ql/termstructures/volatility/equityfx/Makefile.am | 20 +++++++++---------
ql/termstructures/volatility/inflation/Makefile.am | 20 +++++++++---------
ql/termstructures/volatility/optionlet/Makefile.am | 20 +++++++++---------
ql/termstructures/volatility/swaption/Makefile.am | 20 +++++++++---------
ql/termstructures/yield/Makefile.am | 20 +++++++++---------
ql/time/Makefile.am | 20 +++++++++---------
ql/time/calendars/Makefile.am | 20 +++++++++---------
ql/time/daycounters/Makefile.am | 20 +++++++++---------
ql/utilities/Makefile.am | 20 +++++++++---------
113 files changed, 1086 insertions(+), 1087 deletions(-)
commit f12e91ed423ad7b3e0bcd86c231cab657fa52ced
Merge: 54cdf244d 5c3992432
Author: Luigi Ballabio <[email protected]>
Date: Tue, 23 Apr 2019 15:54:46 +0200
Merge pull request #601.
commit 54cdf244d84ce9a86a5d84e977c67a7b9fca10ac
Author: Luigi Ballabio <[email protected]>
Date: Mon, 22 Apr 2019 21:38:19 +0200
Add a couple more badges.
README.md | 15 +++++++--------
1 file changed, 7 insertions(+), 8 deletions(-)
commit a6c542411d1aa9b85dc80e24d4c87ae74ea23b26
Author: paul-giltinan <[email protected]>
Date: Fri, 19 Apr 2019 20:39:53 +0100
Build with Visual Studio 2019 (vc14.2)
QuantLib.props | 2 ++
ql/auto_link.hpp | 4 +++-
2 files changed, 5 insertions(+), 1 deletion(-)
commit 23ab0c832eba00536a46697c107fd88c9994c9ff
Merge: 478678ea9 cc7014885
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Apr 2019 14:16:18 +0200
Merge pull request #617.
commit 478678ea9bb0be2cc72c96133fe0481c69d0e3f1
Merge: 697e6495d 26ac8741e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Apr 2019 13:46:18 +0200
Merge pull request #609.
commit 697e6495da82b5037d418703ba168d1ebbe3ee08
Merge: 802b49c13 4fde902bd
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Apr 2019 12:54:30 +0200
Merge pull request #607.
commit 802b49c136e734c7f6fa4df97e35248a60b42f06
Merge: 3f57d029e 16566f83c
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Apr 2019 12:34:16 +0200
Merge pull request #606.
commit cc701488513b5ddb3b47a545f59a298ddee97a90
Author: Luigi Ballabio <[email protected]>
Date: Mon, 8 Apr 2019 18:43:17 +0200
Fix quotes used in bootstrap example.
Thanks to Theo Boafo for the heads up.
Examples/MulticurveBootstrapping/MulticurveBootstrapping.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit f05141d8745c744c7fc03bb06a0bf31530434f37
Author: klausspanderen <[email protected]>
Date: Thu, 28 Mar 2019 17:26:35 +0100
fixed Bates process for Broadie-Kaya discretization (Issue
https://github.com/lballabio/QuantLib/issues/612)
ql/processes/batesprocess.cpp | 9 ++++++---
1 file changed, 6 insertions(+), 3 deletions(-)
commit 3f57d029e2b8794a35ffb17a4ce0a6c65ec27017
Author: Luigi Ballabio <[email protected]>
Date: Sun, 24 Mar 2019 14:33:51 +0100
Add a few non-standard configure flags to build matrix.
.travis.yml | 66 +++++++++++++++++++++++++++++++++++++++++++------------------
1 file changed, 47 insertions(+), 19 deletions(-)
commit 9f5b27d89ce6a89957d12c7d066db9d59b44fbe5
Author: Luigi Ballabio <[email protected]>
Date: Sun, 24 Mar 2019 13:47:05 +0100
Import placeholders before point of use.
ql/methods/finitedifferences/utilities/cevrndcalculator.cpp | 1 +
test-suite/riskneutraldensitycalculator.cpp | 2 ++
2 files changed, 3 insertions(+)
commit a310696eebfb3b95b69caf520636f7969fc837f7
Author: Luigi Ballabio <[email protected]>
Date: Sun, 24 Mar 2019 12:23:01 +0100
Avoid boost::bind in the wild.
test-suite/riskneutraldensitycalculator.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 638af4c226897a9510411bd2657e6600e7141050
Merge: 89c0fc97f 4c0c1d745
Author: Luigi Ballabio <[email protected]>
Date: Fri, 22 Mar 2019 15:10:22 +0100
Merge pull request #589.
commit c015866cb133f8d533b9ae7f3a09bbeb10957bf1
Author: wegamekinglc <[email protected]>
Date: Fri, 22 Mar 2019 17:13:46 +0800
update china for the newly announced holidays
ql/time/calendars/china.cpp | 4 +++-
test-suite/calendars.cpp | 4 ++++
2 files changed, 7 insertions(+), 1 deletion(-)
commit e3c2905d8abcb21f6563b08eb027d9fc3b8c79dc
Merge: e4c1b5bcf 89c0fc97f
Author: Cheng Li <[email protected]>
Date: Fri, 22 Mar 2019 16:18:20 +0800
Merge pull request #3 from lballabio/master
merge from upstream
commit 89c0fc97f40ee3c1b4bf8d40f3c09d365e681d2d
Merge: a91092454 061c5ccc6
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Mar 2019 17:46:50 +0100
Merge pull request #603.
commit a9109245454a87f647e796debad9551bbe4d0fba
Merge: bd837262f f715a648e
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Mar 2019 16:08:06 +0100
Merge pull request #595.
commit 4c0c1d7459c766f8b166a5df7eaca43a3ce05879
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Mar 2019 15:04:30 +0100
Add deprecated constructor for backward compatibility.
.../operators/fdmornsteinuhlenbeckop.cpp | 30 ++++++++++++++++++++++
.../operators/fdmornsteinuhlenbeckop.hpp | 11 ++++++++
2 files changed, 41 insertions(+)
commit 26ac8741ee9e6aea6bd3e896ed4351047247498e
Merge: bd43a4a7c bd837262f
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Mar 2019 15:03:50 +0100
Sync with master and solve conflict.
commit f715a648ee6c8ff0bad41a2c2339f4f5f4a90913
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Mar 2019 14:45:27 +0100
Fix typos in docs.
ql/cashflows/digitalcoupon.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 562cf82c0c7417f90da8ead4c53e95a02d59505c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Mar 2019 14:45:03 +0100
Add default argument for backward compatibility.
ql/cashflows/cashflowvectors.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit bd43a4a7c88e6024814998e9c2b095fef41ef181
Author: quantlab <[email protected]>
Date: Tue, 12 Mar 2019 15:06:57 +0800
fix kirkengine message
ql/pricingengines/basket/kirkengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4fde902bd8d01a50115cdeb085f176259a143ad6
Author: Peter Caspers <[email protected]>
Date: Fri, 8 Mar 2019 15:08:28 +0100
fix error message
.../volatility/swaption/swaptionvolcube1.hpp | 30 +++++++++++-----------
1 file changed, 15 insertions(+), 15 deletions(-)
commit 16566f83c46a8dab1a966fd9152a67178d31a6e5
Author: quantlab <[email protected]>
Date: Tue, 5 Mar 2019 15:23:00 +0800
fix testGenericBondImplied
test-suite/assetswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d517eb356ef248b28effc89827197906b0909c19
Author: quantlab <[email protected]>
Date: Tue, 5 Mar 2019 13:12:46 +0800