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ChangeLog.txt
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commit e9876eec38a52a934081d9188b27e34350a18c9e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.25 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit d958461ce545603303648030626c917e6e582760
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 1 Apr 2021 11:28:16 +0200
Set version to 1.25 rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 387150daf1462f8fc002ac9b9c07eb9cca6e9cad
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 10 Jan 2022 19:02:50 +0100
Update changelog and news
ChangeLog.txt | 2852 +++++++++++++++++++----------------------------
Contributors.txt | 6 +
Docs/pages/history.docs | 92 ++
News.md | 139 +--
4 files changed, 1343 insertions(+), 1746 deletions(-)
commit d1cea7395e12a5a4ab8b651a60c3d2d0c1a76466
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 10 Jan 2022 13:00:50 +0100
Update test message
test-suite/dividendoption.cpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 8f0aee988da026fa28f2b999ff0e3061fe975493
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 9 Jan 2022 00:20:56 +0100
Upgrate doxyfile to latest version
Docs/quantlib.doxy | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit 9cf50377d8ae7c4744849303fc38456226d01a7a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 10 Jan 2022 10:11:15 +0100
Reorder headers
ql/math/interpolations/xabrinterpolation.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 9a52fe3c95b1cbae72ea393715a7a9801f5141c8
Merge: 2c30d6175 c6e00a9cc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 7 Jan 2022 20:55:08 +0100
Merge pull request #1286.
Fix `discountBondOption` in extended Cox-Ingersoll-Ross model
commit 2c30d61751bc2ceaddc07ec46ffffee5da256db4
Merge: 1f0087050 15637cb01
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 7 Jan 2022 15:53:45 +0100
Merge pull request #1285.
Rework defaults for `CPICoupon` constructors.
commit 1f0087050e490220e649b5ec0a735ef27fb8c3fb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Nov 2021 22:15:07 +0100
Use VS2022 in Appveyor build
.appveyor.yml | 6 +++---
.appveyor/VS2022.props | 16 ++++++++++++++++
2 files changed, 19 insertions(+), 3 deletions(-)
commit 15637cb018162ef6b7b32eef3d3767394475b658
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 7 Jan 2022 09:56:43 +0100
Rework CPICoupon constructors.
This allow passing a vol surface without a discount curve (which
is only needed for Price() methods).
ql/cashflows/cpicouponpricer.hpp | 8 +++-----
1 file changed, 3 insertions(+), 5 deletions(-)
commit 289de8e27b83aa78c6776c865c363c612efac348
Merge: 8c92bd889 c25489e6b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 7 Jan 2022 09:12:50 +0100
Merge pull request #1283.
change THBFIX fixing calendar
commit c25489e6b29cb6a820a3d26e7b0f97039a536c1b
Author: bensonluk <bhlluk@gmail.com>
Date: Tue, 4 Jan 2022 17:41:16 +0800
change THBFIX fixing calendar
ql/indexes/ibor/thbfix.hpp | 4 +---
1 file changed, 1 insertion(+), 3 deletions(-)
commit 8c92bd88976e7db193ec91d64bd2bec111124cd0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 6 Jan 2022 14:45:46 +0100
Fix constructor call
ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit af55f41c81c5488169548a8d500707225183fc25
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 5 Jan 2022 17:05:56 +0100
Add typedef for backward compatibility
ql/experimental/barrieroption/suowangdoublebarrierengine.hpp | 6 ++++++
1 file changed, 6 insertions(+)
commit 8905742b73230e2f8f10d09a4035e7767e9ad5ee
Merge: d1bc0d720 5355a0735
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 4 Jan 2022 15:58:21 +0100
Merge pull request #1281.
Bug fix in `SubPeriodsCoupon` - use passed fixing days
commit 5355a0735515c0894f4fb6a0b2c5b2ec596e2db5
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Tue, 4 Jan 2022 13:08:37 +0100
Add check for common case with fixingDays = 2.
test-suite/subperiodcoupons.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit d1bc0d7208a79630da2ff192efa235f1a0d61a7e
Merge: 3000af0e0 8b7c3a3cd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 4 Jan 2022 11:50:09 +0100
Merge pull request #1279.
Rename `WulinYongDoubleBarrierEngine` to `SuoWangDoubleBarrierEngine`
commit 8b7c3a3cd5a778cb7b3d9d9b24b360ca890607ac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 4 Jan 2022 09:44:49 +0100
Sort file lists
QuantLib.vcxproj | 4 ++--
QuantLib.vcxproj.filters | 10 +++++-----
ql/CMakeLists.txt | 4 ++--
ql/experimental/barrieroption/Makefile.am | 8 ++++----
ql/experimental/barrieroption/all.hpp | 2 +-
5 files changed, 14 insertions(+), 14 deletions(-)
commit 474d37c9084c261ead08f299aef3c3cb75014414
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 3 Jan 2022 20:13:38 +0100
Added missing fixings in unit tests.
test-suite/subperiodcoupons.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 33f1c5ec55a264edd32c248d7feeb5562210bb7d
Author: Adityakumar Sinha <adityakumar113141@gmail.com>
Date: Tue, 4 Jan 2022 00:37:05 +0530
Made changes in test-suite/doublebarrieroption.cpp
test-suite/doublebarrieroption.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f0568614bda707b25f4dc67e7fc0f3c6a78afe9c
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 3 Jan 2022 19:23:32 +0100
Added check on fixing days input in unit tests for sub periodic coupons.
test-suite/subperiodcoupons.cpp | 33 ++++++++++++++++++---------------
1 file changed, 18 insertions(+), 15 deletions(-)
commit 3000af0e0d51d037291fad3045b77e5502d91c0e
Merge: 5b0f06b29 088b73e0a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 3 Jan 2022 17:17:15 +0100
Merge pull request #1280.
Return `CPICashFlow` base date if available
commit 5b0f06b291764de047865b63ceaf4687a713ba2c
Merge: 1bcc723a1 f49488ca1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 3 Jan 2022 14:11:24 +0100
Merge pull request #1265.
Indirect leaks with AddressSanitizer
commit 088b73e0a4c0bf4bd79b1e65a581a307b8ed536c
Author: hsegger <94903344+hsegger@users.noreply.github.com>
Date: Mon, 3 Jan 2022 11:35:09 +0100
Update ql/cashflows/cpicoupon.cpp
omit double call
Co-authored-by: Luigi Ballabio <luigi.ballabio@gmail.com>
ql/cashflows/cpicoupon.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit f49488ca126dd53ccd38a14f6881cfa3707aa95d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 3 Jan 2022 11:12:52 +0100
Moved sanitizer check to separate CI job
.github/workflows/linux-full-tests.yml | 4 ++--
.github/workflows/sanitizer.yml | 32 ++++++++++++++++++++++++++++++++
2 files changed, 34 insertions(+), 2 deletions(-)
commit edf536917f42b9597ddf0451979ce13493dabcd2
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sun, 5 Dec 2021 17:10:52 +0900
Fix memory leak in test-suite
.github/workflows/linux-full-tests.yml | 2 +-
.../lookback/analyticcontinuouspartialfloatinglookback.cpp | 2 +-
test-suite/inflationzciisinterpolation.cpp | 3 +++
3 files changed, 5 insertions(+), 2 deletions(-)
commit 8faf47bc4fefad2ccbe42fe1870cc2091c5ddb26
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sat, 27 Nov 2021 19:22:14 +0900
Fix warning for uninitialized variable
.../lookback/analyticcontinuouspartialfloatinglookback.cpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 2d354f3b708e529c89867717684cc3a837188923
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sat, 27 Nov 2021 14:15:07 +0900
Add AddressSanitizer to linux-full-tests
.github/workflows/linux-full-tests.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ba8907d40bc2ed5d47f74a2e6ad5a8f5e2c6a132
Author: henning <henning.segger@acadia.inc>
Date: Mon, 3 Jan 2022 10:47:18 +0100
return baseDate if available
ql/cashflows/cpicoupon.cpp | 7 +++++--
1 file changed, 5 insertions(+), 2 deletions(-)
commit 3010f29226f0e7dd9010b72787da4a1cd0b74acf
Author: Adityakumar Sinha <adityakumar113141@gmail.com>
Date: Sun, 2 Jan 2022 22:22:52 +0530
WulinYongDoubleBarrierEn to SuoWangDoubleBarrierEn
QuantLib.vcxproj | 4 ++--
QuantLib.vcxproj.filters | 4 ++--
ql/CMakeLists.txt | 4 ++--
ql/experimental/barrieroption/Makefile.am | 4 ++--
ql/experimental/barrieroption/all.hpp | 2 +-
...erengine.cpp => suowangdoublebarrierengine.cpp} | 22 +++++++++++-----------
...erengine.hpp => suowangdoublebarrierengine.hpp} | 6 +++---
test-suite/doublebarrieroption.cpp | 4 ++--
8 files changed, 25 insertions(+), 25 deletions(-)
commit 1bcc723a164325d222b6a6f2dd65ff3003e9b323
Merge: 5609d6fed 825dc5c8b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 1 Jan 2022 23:04:39 +0100
Merge pull request #1271.
Add Chinese holidays for 2022
commit 5609d6fed0dba0cd55307c5ef684e3666a6ae170
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Fri, 31 Dec 2021 18:03:21 +0000
Automated fixes by clang-tidy
Examples/MulticurveBootstrapping/MulticurveBootstrapping.cpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit b8b85d1ad43a985390d002768c90d11fb370a882
Merge: c35f20049 e20b271eb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 31 Dec 2021 22:38:44 +0100
Merge pull request #1277.
Simplify multi-curve example
commit e20b271eb1bf89ea4fae96049e154dd5e8443805
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 31 Dec 2021 16:34:20 +0100
Use modern C++ features to simplify setup
.../MulticurveBootstrapping.cpp | 652 ++++++---------------
1 file changed, 182 insertions(+), 470 deletions(-)
commit c7facd6cb00f8de57e509b2c58dadb871501f386
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 31 Dec 2021 15:27:24 +0100
Remove single-curve case, reformat output
.../MulticurveBootstrapping.cpp | 177 ++++-----------------
1 file changed, 33 insertions(+), 144 deletions(-)
commit c35f200491131cacac6acb1824a5876e58e3cc79
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 31 Dec 2021 09:38:04 +0100
Fix Codacy link in README
README.md | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5b9d73f175162dfed00e987d53afbc728b300e6e
Merge: 9405bdc91 11dd8183c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 30 Dec 2021 12:13:31 +0100
Merge pull request #1275.
Use correct method to recalculate swap in OIS helper
commit 11dd8183c602764641e7a722b8db5138fe885819
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Dec 2021 22:50:06 +0100
Use correct method to recalculate swap in OIS helper
ql/termstructures/yield/oisratehelper.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 9405bdc9172bdf0c5471f15e6e5c39b1ffe1eec4
Merge: 962f4f757 b4cc3fd31
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 27 Dec 2021 23:08:38 +0100
Merge pull request #1272.
Add IBOR-IBOR and overnight-IBOR basis-swap helpers
commit 1b78529e28fadd8e2f6e66958f932c7461d9bb55
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 27 Dec 2021 09:13:48 +0100
Corrected the usage of fixing days in SubPeriodsCoupon.
ql/cashflows/subperiodcoupon.cpp | 10 ++++++++--
ql/cashflows/subperiodcoupon.hpp | 2 ++
2 files changed, 10 insertions(+), 2 deletions(-)
commit b4cc3fd3194af2e6eeb493856523ef2301081460
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 26 Dec 2021 17:23:07 +0100
Add overnight-ibor basis swap helper
.../termstructures/basisswapratehelpers.cpp | 80 +++++++++++++++
.../termstructures/basisswapratehelpers.hpp | 40 ++++++++
test-suite/basisswapratehelpers.cpp | 110 +++++++++++++++++++--
test-suite/basisswapratehelpers.hpp | 6 +-
4 files changed, 224 insertions(+), 12 deletions(-)
commit 825dc5c8b14f641e1f1b70293a324506fdbd4f7b
Author: wegamekinglc <scrappedprince.li@gmail.com>
Date: Sun, 26 Dec 2021 18:02:27 +0800
added china holiday for 2022
ql/time/calendars/china.cpp | 18 +++++++++++++++++-
test-suite/calendars.cpp | 32 ++++++++++++++++++++++++++++++--
2 files changed, 47 insertions(+), 3 deletions(-)
commit 3795c707772a88efbb633ea85e7ce5a51942a1da
Merge: 846938afc 962f4f757
Author: Cheng Li <scrappedprince.li@gmail.com>
Date: Sun, 26 Dec 2021 03:10:26 +0800
Merge pull request #14 from lballabio/master
merge from upstream
commit 1f95323ab950d177206dcff3a2b6e0f1f939c7c8
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Thu, 23 Dec 2021 21:53:00 +0000
Automated fixes by clang-tidy
.../termstructures/basisswapratehelpers.cpp | 30 ++++++++++++----------
.../termstructures/basisswapratehelpers.hpp | 4 +--
2 files changed, 18 insertions(+), 16 deletions(-)
commit e43405af3a3a35e37726e38ad4ea71703db8807a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Dec 2021 20:01:08 +0100
Add ibor-ibor basis swap helpers
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +
ql/CMakeLists.txt | 2 +
ql/experimental/termstructures/Makefile.am | 2 +
ql/experimental/termstructures/all.hpp | 1 +
.../termstructures/basisswapratehelpers.cpp | 118 +++++++++++++++
.../termstructures/basisswapratehelpers.hpp | 77 ++++++++++
test-suite/CMakeLists.txt | 2 +
test-suite/Makefile.am | 2 +
test-suite/basisswapratehelpers.cpp | 158 +++++++++++++++++++++
test-suite/basisswapratehelpers.hpp | 36 +++++
test-suite/quantlibtestsuite.cpp | 4 +-
test-suite/testsuite.vcxproj | 8 +-
test-suite/testsuite.vcxproj.filters | 6 +
14 files changed, 420 insertions(+), 4 deletions(-)
commit 962f4f7574428e2b85d9eceed21733a162458277
Merge: 37c98eccf 46a2222a5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Dec 2021 11:28:01 +0100
Merge pull request #1268.
Do not require a forecast curve to calculate past IBOR coupon amounts
commit 46a2222a541f3502e7b83eea7044c7ee8a8b3ffe
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 22 Dec 2021 23:49:56 +0100
Deprecate unused data member
ql/cashflows/couponpricer.cpp | 4 ++++
ql/cashflows/couponpricer.hpp | 11 +++++++++++
2 files changed, 15 insertions(+)
commit 8cc57461a1f40b677f4ab830d12dbfdf763de769
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 22 Dec 2021 18:50:27 +0100
Do not require rate curve to calculate rate of fixed ibor coupon.
ql/cashflows/couponpricer.cpp | 31 ++++++++++++++++++++-----------
ql/cashflows/couponpricer.hpp | 21 ++++++++++-----------
test-suite/cashflows.cpp | 35 ++++++++++++++++++++++++++++++++++-
test-suite/cashflows.hpp | 1 +
4 files changed, 65 insertions(+), 23 deletions(-)
commit 37c98eccfa18a95acb1e98b276831641be92b38e
Merge: 73e39d104 d09f58adc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 19 Dec 2021 15:48:01 +0100
Merge pull request #1267.
Update obsolete call to `PiecewiseYieldCurve` constructor
commit d09f58adc30ecab9f0d6705a06d700b671225c9e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 19 Dec 2021 09:59:49 +0100
Oops, fixed type declaration
ql/models/marketmodels/historicalforwardratesanalysis.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f7bc0bed90d8d8838f274a248e55f773318bcfc7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 18 Dec 2021 18:48:29 +0100
Use curve-defined type
ql/models/marketmodels/historicalforwardratesanalysis.hpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 4340c06f4ea5b9c52589b02948cb3e4870fb1bb9
Author: Francois Botha <igitur@gmail.com>
Date: Thu, 16 Dec 2021 19:56:23 +0200
Move yield curve accuracy to Bootstrap implementation instead of yield curve constructor
ql/models/marketmodels/historicalforwardratesanalysis.hpp | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit 73e39d104693a959ecc38fa3d0c6ee7875cd2fc4
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Fri, 10 Dec 2021 23:25:32 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit c4104599f5976392a0fb1f1595ddf76f269c0487
Merge: 621ad6c62 226f5ce99
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 11 Dec 2021 00:17:08 +0100
Merge pull request #1263.
Add inspectors for some basic properties of overnight-idex futures
commit 621ad6c621eaacfdc041e6d77ccd9a810b2cd2e6
Merge: 08994cc5d c31c10153
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 10 Dec 2021 23:04:52 +0100
Merge pull request #1262.
Add more currencies
commit 226f5ce996cb4b5eca2a864623a0a53c20b10ca2
Author: Tom Anderson <twic@urchin.earth.li>
Date: Fri, 10 Dec 2021 20:14:10 +0000
Add inspectors for some basic properties of overnight-idex futures
ql/instruments/overnightindexfuture.hpp | 3 +++
1 file changed, 3 insertions(+)
commit c31c10153ae1686b9f860f9d2b6742322b9dea7b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 10 Dec 2021 21:13:51 +0100
Increase DOT_GRAPH_MAX_NODES
Docs/quantlib.doxy | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 62386802a7a3038bfcd87d053cf7208247db79b1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 10 Dec 2021 17:42:57 +0100
Add missing closing brace
ql/currencies/america.cpp | 1 +
1 file changed, 1 insertion(+)
commit bbdb98a14bbf5ce15fcc4205d6a6a295519e5c87
Author: ole <obueker@deloitte.de>
Date: Fri, 10 Dec 2021 17:06:10 +0100
Added Quaternion copyright line and fixed missing declaration
ql/currencies/africa.cpp | 1 +
ql/currencies/africa.hpp | 1 +
ql/currencies/america.cpp | 1 +
ql/currencies/america.hpp | 11 +++++++++++
ql/currencies/asia.cpp | 1 +
ql/currencies/asia.hpp | 1 +
ql/currencies/europe.cpp | 1 +
ql/currencies/europe.hpp | 1 +
8 files changed, 18 insertions(+)
commit 6383fb0ad3d972ae0fb518f14fe0afa0a5f51e00
Author: ole <obueker@deloitte.de>
Date: Thu, 9 Dec 2021 14:33:23 +0100
Revert "Update callablebond.cpp"
This reverts commit 826d6c099e781808e63d84b3ddac3cbc2c3791f4.
ql/experimental/callablebonds/callablebond.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a034dfd8eccacc22eae774511efae7b2e16bb7cf
Author: ole <obueker@deloitte.de>
Date: Thu, 9 Dec 2021 14:33:19 +0100
Revert "Update callablebond.cpp"
This reverts commit b16e4bde6060e7f7709ffa2294379fbf2195f825.
ql/experimental/callablebonds/callablebond.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 2bcf299cfa2880ab9cc45c652feee03e761535a7
Author: ole <obueker@deloitte.de>
Date: Thu, 9 Dec 2021 14:25:46 +0100
Added European currencies
ql/currencies/europe.cpp | 28 ++++++++++++++++++++++++++++
ql/currencies/europe.hpp | 40 ++++++++++++++++++++++++++++++++++++++++
2 files changed, 68 insertions(+)
commit e1cddd0ba6cb1f5614b0d457dd44ab5e3767852f
Author: ole <obueker@deloitte.de>
Date: Thu, 9 Dec 2021 14:24:47 +0100
Added Asian currencies
ql/currencies/asia.cpp | 56 +++++++++++++++++++++++++++++++++++
ql/currencies/asia.hpp | 80 ++++++++++++++++++++++++++++++++++++++++++++++++++
2 files changed, 136 insertions(+)
commit 21655d9fede4ef6f61278884214c402d91bc3218
Author: ole <obueker@deloitte.de>
Date: Thu, 9 Dec 2021 14:23:05 +0100
Added American currencies
ql/currencies/america.cpp | 28 ++++++++++++++++++++++++++++
ql/currencies/america.hpp | 29 +++++++++++++++++++++++++++++
2 files changed, 57 insertions(+)
commit 56e69de1d4728fddb7c830553dc2679f3bebfada
Author: ole <obueker@deloitte.de>
Date: Thu, 9 Dec 2021 14:21:49 +0100
Added African currencies
ql/currencies/africa.cpp | 74 ++++++++++++++++++++++++++++++++
ql/currencies/africa.hpp | 109 +++++++++++++++++++++++++++++++++++++++++++++++
2 files changed, 183 insertions(+)
commit 08994cc5df150345ec4a1f756ff7f5c524c1147c
Merge: 524f3bbc9 985ad0de2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 3 Dec 2021 16:39:21 +0100
Merge pull request #1258.
Restore defaults in `SofrFutureRateHelper` constructor for backward compatibility
commit 524f3bbc904c615375f90465f5f62cac8511a55d
Merge: 38a6c4569 b27c9999a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 3 Dec 2021 15:37:52 +0100
Merge pull request #1257.
Make dividends optional for BinomialConvertibleEngine
commit 985ad0de238497347d688099e6146aab4c4d5b4f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 3 Dec 2021 10:13:48 +0100
Restore defaults for backward compatibility
ql/termstructures/yield/overnightindexfutureratehelper.hpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit b27c9999a5bfff5b686873759e24ba2cb2ab8934
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 3 Dec 2021 09:52:19 +0100
Make dividends optional for BinomialConvertibleEngine
ql/pricingengines/bond/binomialconvertibleengine.hpp | 2 +-
test-suite/convertiblebonds.cpp | 6 ++----
2 files changed, 3 insertions(+), 5 deletions(-)
commit 38a6c4569a439c04dd59c3c0b512d50b838b86d2
Merge: eaf031529 44fd1a84e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 3 Dec 2021 00:50:27 +0100
Merge pull request #1256.
Check for ex-trading date in `Coupon::accruedPeriod`
commit 44fd1a84ef9bd216cb95d78b9623d8e3b307bb44
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 2 Dec 2021 17:22:14 +0100
Check for ex-trading date in Coupon::accruedPeriod
ql/cashflows/coupon.cpp | 3 +++
ql/cashflows/floatingratecoupon.cpp | 11 +----------
ql/cashflows/inflationcoupon.cpp | 16 ++--------------
ql/cashflows/overnightindexedcoupon.cpp | 4 +---
4 files changed, 7 insertions(+), 27 deletions(-)
commit eaf031529bd99d366f6538087db8643f04caecd0
Merge: 3930903c8 8e4087d29
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 2 Dec 2021 15:39:59 +0100
Merge pull request #1239.
Add Normal Volatility SABR Calculation
commit 8e4087d29ca25cf4c01a74ae10b67843cc7400dc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 2 Dec 2021 12:16:47 +0100
Add reference to paper
ql/termstructures/volatility/sabr.hpp | 3 +++
1 file changed, 3 insertions(+)
commit 3930903c81baf3aeca6fc294fc107aea9cffb5ca
Merge: 7b185979b 39fbd7a9b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 2 Dec 2021 12:02:04 +0100
Merge pull request #1238.
Fix the accrual calculation for OvernightIndexedCoupon
commit 7b185979bd05eefef37a922c57e3151adce5d9f9
Merge: c10f5f4aa 474e496af
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 1 Dec 2021 10:15:40 +0100
Merge pull request #1254.
Fix testEuropeanKnownValue test
commit 474e496af3fe4127c9042a173bd19a3895915189
Author: matthewkolbe <matthew.kolbe@gmail.com>
Date: Tue, 30 Nov 2021 12:47:17 -0700
Fix testEuropeanKnownValue test
The Hull example this test replicates uses t=0.5. Since this test uses the Act/360 calendar with beginning date today, we need to increment time by days, rather than months, because today+n*Months gives a different value of duration depending on what day the test is run. And this difference is often large enough to break our error tolerance.
test-suite/dividendoption.cpp | 10 +++-------
1 file changed, 3 insertions(+), 7 deletions(-)
commit c10f5f4aabe577fff595070df64b608a69d43b8b
Merge: 5b22b6d55 fe5f31da5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 26 Nov 2021 21:11:16 +0100
Merge pull request #1248.
Allow same-day for holidayList and businessDayList
commit 5b22b6d553b4ef260058c244f4ceb73aeacda332
Merge: d55b8b19a 3a3ba0628
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 26 Nov 2021 19:23:16 +0100
Merge pull request #1249.
Make some inspectors on OvernightIndexedSwap const
commit 3a3ba0628445c7d35c2e1d8e9dca8ecd28d4c8d5
Author: Tom Anderson <twic@urchin.earth.li>
Date: Fri, 26 Nov 2021 15:55:32 +0000
Make some inspectors on OvernightIndexedSwap const
ql/instruments/overnightindexedswap.hpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit fe5f31da50eb872b7e61b031ab25ba84ecbd5c05
Author: jxcv0 <jmicoud02@gmail.com>
Date: Thu, 25 Nov 2021 20:47:44 +0000
Allow same-day for holidayList and businessDayList
ql/time/calendar.cpp | 8 ++++----
test-suite/calendars.cpp | 4 ++++
2 files changed, 8 insertions(+), 4 deletions(-)
commit 39fbd7a9b8d4d0e5313834e18facef814c5db4e8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 25 Nov 2021 15:37:38 +0100
Rename private method
ql/cashflows/overnightindexedcoupon.cpp | 18 ++++++++++--------
ql/cashflows/overnightindexedcoupon.hpp | 3 +--
2 files changed, 11 insertions(+), 10 deletions(-)
commit c15dd7760fcd3b449d3b8523bacc4b8ff6a9a9b6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 25 Nov 2021 15:22:00 +0100
Avoid multiple retrievals of time series
ql/cashflows/overnightindexedcoupon.cpp | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
commit 4d5d1c3172020136795fd66861d0c5f76ed69d73
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 25 Nov 2021 15:21:33 +0100
Fix corner case
ql/cashflows/overnightindexedcoupon.cpp | 31 ++++++++++++++-----
test-suite/overnightindexedcoupon.cpp | 54 +++++++++++++++++++++++++++------
test-suite/overnightindexedcoupon.hpp | 2 ++
3 files changed, 70 insertions(+), 17 deletions(-)
commit dd20a4ffae0f9150a89f0ca493b165fe6e0a9a7a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 24 Nov 2021 13:10:01 +0100
More tests
test-suite/overnightindexedcoupon.cpp | 91 +++++++++++++++++++++++++++++++++--
test-suite/overnightindexedcoupon.hpp | 4 ++
2 files changed, 92 insertions(+), 3 deletions(-)
commit ebe25a4c7334cbae772b9b04dd0d974a826fb0f0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 24 Nov 2021 12:43:24 +0100
Move tests to own file
test-suite/CMakeLists.txt | 2 +
test-suite/Makefile.am | 2 +
test-suite/cashflows.cpp | 110 ----------------------
test-suite/cashflows.hpp | 1 -
test-suite/overnightindexedcoupon.cpp | 168 ++++++++++++++++++++++++++++++++++
test-suite/overnightindexedcoupon.hpp | 34 +++++++
test-suite/quantlibtestsuite.cpp | 2 +
test-suite/testsuite.vcxproj | 2 +
test-suite/testsuite.vcxproj.filters | 6 ++
9 files changed, 216 insertions(+), 111 deletions(-)
commit 0b36874c2d3787a04dda00b6b3c0f6cc4afcefd1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 23 Nov 2021 18:47:43 +0100
Add initial tests on coupon rate
ql/cashflows/overnightindexedcoupon.hpp | 2 +-
test-suite/cashflows.cpp | 114 +++++++++++++++++++++++++++++++-
test-suite/cashflows.hpp | 1 +
3 files changed, 115 insertions(+), 2 deletions(-)
commit 5f39e372c1f31948cbe03b73e2dd18c22098ce91
Author: Mohammad Shojatalab <mshojatalab@gmail.com>
Date: Tue, 23 Nov 2021 00:46:00 +0000
Remove swapletRate(const Date&) from FloatingRateCouponPricer as it doesn't make financial sense, instead using dynamic cast in OvernightIndexedCouponPricer. And Some general simplification and cleanup and reverting unnecessary changes.
ql/cashflows/couponpricer.hpp | 3 ---
ql/cashflows/floatingratecoupon.cpp | 6 +-----
ql/cashflows/floatingratecoupon.hpp | 1 -
ql/cashflows/overnightindexedcoupon.cpp | 19 ++++++++++---------
4 files changed, 11 insertions(+), 18 deletions(-)
commit 0fc429b3931371b6076950285b1e92d8f75bf206
Author: Mohammad Shojatalab <mshojatalab@gmail.com>
Date: Sun, 21 Nov 2021 22:22:20 +0000
Fix some stupid mistakes and cleanup.
ql/cashflows/overnightindexedcoupon.cpp | 16 ++++------------
1 file changed, 4 insertions(+), 12 deletions(-)
commit 90d9547e0bf9adcb4d99c8584f96034453a464f9
Author: Mohammad Shojatalab <mshojatalab@gmail.com>
Date: Sat, 20 Nov 2021 23:13:02 +0000
Fix swapletRate(const Date& date) function by properly taking date into account for accrual end date calculation.
ql/cashflows/overnightindexedcoupon.cpp | 37 ++++++++++++++-------------------
1 file changed, 16 insertions(+), 21 deletions(-)
commit d55b8b19a45ac265adff5daa25a6b524a994db7f
Merge: c21fff242 7086e1d47
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 17 Nov 2021 13:15:40 +0100
Merge pull request #1242.
Remove redundant arguments from `SofrFutureRateHelper` constructor
commit 7086e1d47731f92e9051adc254dfd927e0679004
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 17 Nov 2021 09:52:28 +0100
Remove redundant index from signature
.../yield/overnightindexfutureratehelper.cpp | 20 ++++++++---------
.../yield/overnightindexfutureratehelper.hpp | 26 +++++++++++++---------
test-suite/sofrfutures.cpp | 3 +--
3 files changed, 26 insertions(+), 23 deletions(-)
commit c21fff2424fe7b4ec8f86ef1bb5e85ffaf5eefb3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Nov 2021 21:28:51 +0100
Add toolset for Visual Studio 2022
QuantLib.props | 1 +
1 file changed, 1 insertion(+)
commit e64e9cabeb65d9c65acb1bc42d4819d20a9aa40f
Author: yang zhang <yangz@fastmail.com>
Date: Tue, 16 Nov 2021 20:55:57 -0500
use QL_DEPRECATED to deprecate averagingMethod in SofrFutureRateHelper. Refer to Github issue [#1215]
.../yield/overnightindexfutureratehelper.cpp | 58 +++++++++++++++++++---
.../yield/overnightindexfutureratehelper.hpp | 25 +++++++---
test-suite/sofrfutures.cpp | 2 +-
3 files changed, 70 insertions(+), 15 deletions(-)
commit 94b992b434f9696c29bc1cb6d6e04e0b2ebbd752
Author: Mohammad Shojatalab <mshojatalab@gmail.com>
Date: Tue, 16 Nov 2021 22:17:59 +0000
Use Min of today and passed end accrual date argument in order to calculate the accrual amount correctly.
ql/cashflows/overnightindexedcoupon.cpp | 15 +++++++++++----
1 file changed, 11 insertions(+), 4 deletions(-)
commit 223014f1e0f62f43712519e45a8f0c74745e6ae3
Merge: 13a7f11d4 0df257af2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Nov 2021 19:02:02 +0100
Merge pull request #1218.
Remove Forward inheritance by ForwardRateAgreement
commit 13a7f11d435e0dccb4a732521b46fef6c52875e9
Merge: 93c439391 948ad08ea
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Nov 2021 15:25:31 +0100
Merge pull request #1240.
Add CMake config scripts
commit 948ad08ea4bfadb0a1a4ac0d4f2546559bc1a09e
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Tue, 16 Nov 2021 21:16:03 +0900
Add CMake config scripts
Makefile.am | 2 +-
tools/check_filelists.sh | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 0df257af2fbece0f5bf385f2fb3459f1f4e6e73e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Nov 2021 10:07:00 +0100
Add convenience constructor
Examples/FRA/FRA.cpp | 13 ++-----------
ql/instruments/forwardrateagreement.cpp | 9 +++++++++
ql/instruments/forwardrateagreement.hpp | 7 +++++++
3 files changed, 18 insertions(+), 11 deletions(-)
commit 69c183679b503aff06cde59645481c13cf4165af
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 15 Nov 2021 23:15:06 +0000
Automated fixes by clang-tidy
ql/instruments/forwardrateagreement.cpp | 9 +++++----
ql/instruments/forwardrateagreement.hpp | 18 +++++++++---------
2 files changed, 14 insertions(+), 13 deletions(-)
commit 2230537cf2468ee37ef3fa6ec3686d4bceb9333c
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 15 Nov 2021 18:58:40 +0000
Automated fixes by clang-tidy
ql/instruments/forwardrateagreement.cpp | 25 ++++++++++++-------------
1 file changed, 12 insertions(+), 13 deletions(-)
commit 7b22e8063bad32d268c1cb881a3e25b74e0204ac