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ChangeLog.txt
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commit 621660f8043e0e2158a5e65b4dcad8e241517884
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.30 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 71f59ce9e807e3e7ce6328fef73ec7bb54cd0b01
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Apr 2023 11:04:01 +0200
Use latest Boost in cmake Windows build
.github/workflows/cmake.yml | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 27a247409a927c8056281ccd2251a768d6af12c6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Apr 2023 10:38:37 +0200
Avoid including deprecated files
cmake/GenerateHeaders.cmake | 7 +++++++
1 file changed, 7 insertions(+)
commit 53ed4b5711abab65e1050a2bfb4d55fb067dd688
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Apr 2023 09:29:45 +0200
Fix deprecation message
ql/experimental/amortizingbonds/amortizingcmsratebond.hpp | 2 +-
ql/experimental/amortizingbonds/amortizingfixedratebond.hpp | 2 +-
ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 416dd3f214f641fa4280189323222042e6bb3a09
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 13 Apr 2023 13:16:19 +0200
Fix typo in news
News.md | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7f5beceea34cf6a4d59255e90528db43a149f074
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 1 Apr 2021 11:28:16 +0200
Set version to 1.30 rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 27415c3a841a328d449c491ecf8e719d204c0165
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 12 Apr 2023 14:23:58 +0200
Strip local path from docs correctly in out-of-source build
Docs/Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 77cb89eff775bf4687496426e43785ded03057a6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 12 Apr 2023 12:11:53 +0200
Update news and contributors
ChangeLog.txt | 4042 ++++++++++++++++++++---------------------------
Contributors.txt | 2 +
Docs/pages/history.docs | 109 +-
News.md | 198 +--
4 files changed, 1949 insertions(+), 2402 deletions(-)
commit 8ac7f751df6c7304ccf4faef5b0ca555c6bd48a2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Apr 2023 16:15:34 +0200
Disable a few false positives from clang-tidy
test-suite/array.cpp | 4 ++--
test-suite/matrices.cpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit 7adec475e255d360beb2dc1409d2f1983cf83266
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Apr 2023 15:38:12 +0200
Fix a few test messages
test-suite/equityindex.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit d9caed0bcefd9b360e9f006a90c975b2caf49a75
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Apr 2023 15:17:42 +0200
Convert tool to Python 3 syntax
tools/check_inclusions.py | 61 +++++++++++++++++++++++++----------------------
1 file changed, 33 insertions(+), 28 deletions(-)
commit d8f602c27b45b677a38ef2c7b7cb6b0c0a4fe5e7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Apr 2023 15:15:33 +0200
Convert a few non-unicode characters in comments
ql/currencies/africa.cpp | 4 +---
ql/currencies/africa.hpp | 3 ++-
ql/currencies/europe.cpp | 8 ++++----
ql/experimental/swaptions/haganirregularswaptionengine.cpp | 2 +-
ql/experimental/swaptions/haganirregularswaptionengine.hpp | 2 +-
5 files changed, 9 insertions(+), 10 deletions(-)
commit 8153cd9fb51f5bcbf44819725bfe06452e102bb5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Apr 2023 13:24:55 +0200
Update docs for library configuration
Docs/pages/config.docs | 14 ++++++++++++++
1 file changed, 14 insertions(+)
commit 9252763b32708b4fd35ea864a4c854c28df2030e
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 10 Apr 2023 11:56:37 +0000
Bump peter-evans/create-pull-request from 4 to 5
Bumps [peter-evans/create-pull-request](https://github.com/peter-evans/create-pull-request) from 4 to 5.
- [Release notes](https://github.com/peter-evans/create-pull-request/releases)
- [Commits](https://github.com/peter-evans/create-pull-request/compare/v4...v5)
---
updated-dependencies:
- dependency-name: peter-evans/create-pull-request
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/copyrights.yml | 2 +-
.github/workflows/generated-headers.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
4 files changed, 4 insertions(+), 4 deletions(-)
commit 2f0703e544a2ece7e9c36d7793278a574c7e84c1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 7 Apr 2023 13:08:29 +0200
Fix for workflows creating pull requests.
The existing branch name started causing the PR creation to fail.
Simplifying it seems to fix the problem.
.github/workflows/copyrights.yml | 2 +-
.github/workflows/generated-headers.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
4 files changed, 4 insertions(+), 4 deletions(-)
commit 57edc245d7eac8c6a15279a8fe163576fde4613f
Merge: 56fa1a651 74cb1dde1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 4 Apr 2023 11:28:15 +0200
Add operators taking Matrix by rvalue reference (#1626)
commit 74cb1dde1cfa21d9cd8d0760131cfa4102cd3637
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Thu, 30 Mar 2023 21:38:11 +0900
Add operators taking Matrix by rvalue reference
ql/math/matrix.hpp | 108 +++++++++++++++++++++++++++++++++++++++++++++++-
test-suite/array.cpp | 2 +-
test-suite/matrices.cpp | 68 ++++++++++++++++++++++++++++++
test-suite/matrices.hpp | 1 +
4 files changed, 177 insertions(+), 2 deletions(-)
commit 56fa1a65165024ce2944229d6ca2cfc0b182da94
Merge: 617c043f8 4642500df
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 3 Apr 2023 09:53:02 +0200
Real usage consistency and warning fixes (#1625)
commit 4642500dfc2eee216c9d768b5dfbefd5ae80ccac
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Sat, 1 Apr 2023 18:28:04 +0000
Changes from reviews: no conversion for /=, nSteps should be Size
ql/experimental/credit/homogeneouspooldef.hpp | 4 ++--
ql/experimental/credit/inhomogeneouspooldef.hpp | 4 ++--
ql/models/volatility/garch.cpp | 8 ++++----
3 files changed, 8 insertions(+), 8 deletions(-)
commit 6a1706f6bdfc296d4b0f3fb2a8c8c5cd254de23d
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Sat, 1 Apr 2023 17:49:08 +0000
Revert "Fixes Size -> double conversion warnings with VC++ and higher warning level"
This reverts commit a723850784d41b162c0a214c7b2ffb61bd321486.
ql/experimental/catbonds/montecarlocatbondengine.cpp | 6 +++---
ql/experimental/credit/homogeneouspooldef.hpp | 2 +-
ql/experimental/credit/inhomogeneouspooldef.hpp | 2 +-
ql/experimental/exoticoptions/mchimalayaengine.cpp | 2 +-
ql/experimental/exoticoptions/mcpagodaengine.cpp | 2 +-
ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp | 6 +++---
ql/models/equity/hestonslvmcmodel.cpp | 2 +-
ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.cpp | 2 +-
ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.cpp | 2 +-
ql/models/volatility/garch.cpp | 2 +-
ql/pricingengines/asian/turnbullwakemanasianengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticptdhestonengine.cpp | 2 +-
.../volatility/equityfx/andreasenhugevolatilityinterpl.cpp | 2 +-
test-suite/catbonds.cpp | 4 ++--
test-suite/distributions.cpp | 2 +-
test-suite/libormarketmodel.cpp | 2 +-
test-suite/marketmodel.cpp | 2 +-
17 files changed, 22 insertions(+), 22 deletions(-)
commit d7de07f72a4617e57d13a87dcd42d8cd40a5748b
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Sat, 1 Apr 2023 09:04:22 +0000
Explicit return type for lambdas with expressions to allow expression templates
ql/experimental/math/convolvedstudentt.cpp | 2 +-
ql/experimental/math/gaussiancopulapolicy.hpp | 2 +-
ql/experimental/math/multidimquadrature.hpp | 4 ++--
ql/legacy/libormarketmodels/lfmcovarproxy.cpp | 2 +-
ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp | 4 ++--
ql/methods/finitedifferences/utilities/gbsmrndcalculator.cpp | 2 +-
.../finitedifferences/utilities/riskneutraldensitycalculator.cpp | 2 +-
ql/models/volatility/garch.cpp | 8 ++++----
ql/pricingengines/vanilla/qdplusamericanengine.cpp | 2 +-
test-suite/distributions.cpp | 2 +-
test-suite/hestonslvmodel.cpp | 2 +-
test-suite/riskneutraldensitycalculator.cpp | 2 +-
test-suite/squarerootclvmodel.cpp | 4 ++--
13 files changed, 19 insertions(+), 19 deletions(-)
commit a723850784d41b162c0a214c7b2ffb61bd321486
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Sat, 1 Apr 2023 08:01:39 +0100
Fixes Size -> double conversion warnings with VC++ and higher warning level
ql/experimental/catbonds/montecarlocatbondengine.cpp | 6 +++---
ql/experimental/credit/homogeneouspooldef.hpp | 2 +-
ql/experimental/credit/inhomogeneouspooldef.hpp | 2 +-
ql/experimental/exoticoptions/mchimalayaengine.cpp | 2 +-
ql/experimental/exoticoptions/mcpagodaengine.cpp | 2 +-
ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp | 6 +++---
ql/models/equity/hestonslvmcmodel.cpp | 2 +-
ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.cpp | 2 +-
ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.cpp | 2 +-
ql/models/volatility/garch.cpp | 2 +-
ql/pricingengines/asian/turnbullwakemanasianengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticptdhestonengine.cpp | 2 +-
.../volatility/equityfx/andreasenhugevolatilityinterpl.cpp | 2 +-
test-suite/catbonds.cpp | 4 ++--
test-suite/distributions.cpp | 2 +-
test-suite/libormarketmodel.cpp | 2 +-
test-suite/marketmodel.cpp | 2 +-
17 files changed, 22 insertions(+), 22 deletions(-)
commit 93187ab648bfda382fa8e112d9299f226e70a47f
Author: Xcelerit Dev Team <github@xcelerit.com>
Date: Sat, 1 Apr 2023 07:19:25 +0100
Fixes ternary operator for conistent Real use
test-suite/equitycashflow.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 617c043f82f70eb08549759647d3559243d9ef1d
Merge: b7f3dc2f6 96dc6df64
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 31 Mar 2023 17:44:22 +0200
Enable default warning levels in `cmake` build (#1611)
commit 96dc6df64df7908e619e7cbd6594bcb13afbde54
Author: RalfKonrad <github@eckel-consulting.de>
Date: Thu, 30 Mar 2023 15:57:21 +0200
Incorp. feedback
.github/workflows/cmake.yml | 4 ++--
CMakePresets.json | 4 +++-
cmake/Platform.cmake | 2 +-
3 files changed, 6 insertions(+), 4 deletions(-)
commit b7f3dc2f6bffe4f63bf8fc7382e942062991ace0
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 27 Mar 2023 11:56:44 +0000
Bump actions/stale from 7 to 8
Bumps [actions/stale](https://github.com/actions/stale) from 7 to 8.
- [Release notes](https://github.com/actions/stale/releases)
- [Changelog](https://github.com/actions/stale/blob/main/CHANGELOG.md)
- [Commits](https://github.com/actions/stale/compare/v7...v8)
---
updated-dependencies:
- dependency-name: actions/stale
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/stale.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 0124ab3b7b51a7de3ab051bcd0d9f2b5349e16d5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 26 Mar 2023 12:20:58 +0200
Avoid std::any_cast on Mac OS 10.11 and 10.12.
.github/workflows/macos-nondefault.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 383d218559e5693368d5056fdda3051661712a75
Merge: 6033d6c13 ec1927aa5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 25 Mar 2023 09:52:01 +0100
Add support for std::any and std::optional (#1617)
commit ec1927aa55ecc82bbefac183e5c5fe6c69c3c74d
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 22 Mar 2023 14:34:58 +0000
Update generated headers
ql/quantlib.hpp | 2 ++
1 file changed, 2 insertions(+)
commit a0aa6435a2e2bf0ff5f556282053dfc94747a890
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 22 Mar 2023 14:32:44 +0000
Update copyright list in license
LICENSE.TXT | 2 ++
1 file changed, 2 insertions(+)
commit 6033d6c1392530812fe2949b15117ad1453418c4
Merge: 1ca77f102 49bbdf1ed
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2023 12:59:18 +0100
Remove copy on key compare (#1616)
commit 1ca77f1024698ddb35dd24de7ea5ffa5cc92ad3f
Merge: 6fef826a6 5889314e6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2023 12:55:58 +0100
Equity cash flow and quanto pricing (#1610)
commit 6fef826a65fba45aff023cd6e0532ad2f1bac784
Merge: 3c8c6ed8c 6523f36a3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2023 12:46:33 +0100
CPICoupon with baseDate (#1498)
commit bb814c8b5e3dd26d9a2c67547b9666a31467bec6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2023 09:25:55 +0100
Test in Mac OS CI build
.github/workflows/macos-nondefault.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit dd377ee1c5f6725be9c6e80a03ae16cd0979a67e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2023 09:22:42 +0100
Test in Linux CI build
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 2 +-
configure.ac | 6 +++---
4 files changed, 6 insertions(+), 6 deletions(-)
commit 3c8c6ed8cc64c8430901cc32de2391d3d2730307
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Mar 2023 16:56:36 +0100
Avoid 'using namespace std;' in test suite.
This prevents an ambiguity when performing a unity build
in VC++ after specifying the C++17 language standard.
The underlying cause is unqualified references to byte
in the Windows SDK, which can also match C++17 std::byte.
Avoiding 'using namespace' is a workaround.
test-suite/autocovariances.cpp | 1 -
test-suite/cdo.cpp | 17 ++++++++---------
test-suite/fastfouriertransform.cpp | 1 -
test-suite/inflationcpicapfloor.cpp | 7 +++----
test-suite/inflationvolatility.cpp | 27 ++++++++++++---------------
test-suite/nthtodefault.cpp | 17 ++++++++---------
test-suite/spreadoption.cpp | 3 ---
7 files changed, 31 insertions(+), 42 deletions(-)
commit d88ed7c85144bbf7b791df8cfaa1ba4907330d36
Merge: 7220d2c33 57668cd87
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Mar 2023 16:09:18 +0100
Make Gov USA bond 2023 Good Friday working day (#1620)
commit 57668cd87899b6fbaff7a257548bcc544a80ead0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Mar 2023 12:04:38 +0100
Add relevant link to code comment
ql/time/calendars/unitedstates.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 055cf6b5c30123b0dc006c9b83a2692db47b3165
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 22 Mar 2023 15:20:08 +0100
ext::nullopt as variable
QuantLib.vcxproj | 3 +-
QuantLib.vcxproj.filters | 3 +-
ql/CMakeLists.txt | 1 +
ql/Makefile.am | 1 +
ql/cashflow.hpp | 2 +-
ql/cashflows/couponpricer.hpp | 4 +--
ql/event.hpp | 2 +-
.../catbonds/montecarlocatbondengine.hpp | 2 +-
.../coupons/lognormalcmsspreadpricer.hpp | 2 +-
ql/experimental/credit/syntheticcdo.hpp | 2 +-
ql/instruments/creditdefaultswap.cpp | 6 ++--
ql/instruments/floatfloatswap.hpp | 8 +++---
ql/instruments/makevanillaswap.cpp | 4 +--
ql/instruments/nonstandardswap.hpp | 4 +--
ql/instruments/vanillaswap.hpp | 4 +--
ql/optional.cpp | 33 ++++++++++++++++++++++
ql/optional.hpp | 6 ++--
ql/pricingengines/bond/discountingbondengine.hpp | 2 +-
ql/pricingengines/credit/integralcdsengine.hpp | 2 +-
ql/pricingengines/credit/isdacdsengine.hpp | 2 +-
ql/pricingengines/credit/midpointcdsengine.hpp | 2 +-
ql/pricingengines/mclongstaffschwartzengine.hpp | 4 +--
ql/pricingengines/swap/discountingswapengine.hpp | 2 +-
ql/pricingengines/vanilla/mcamericanengine.hpp | 4 +--
ql/termstructures/yield/oisratehelper.hpp | 2 +-
ql/termstructures/yield/ratehelpers.hpp | 8 +++---
ql/time/schedule.hpp | 8 +++---
test-suite/cashflows.cpp | 8 +++---
test-suite/creditdefaultswap.cpp | 6 ++--
test-suite/quantlibtestsuite.cpp | 2 +-
30 files changed, 89 insertions(+), 50 deletions(-)
commit 90a6026a3b79844dfa4c89a314218b6e7ebbb7db
Author: Anastasiia Shumyk <ashumyk@maritimelp.com>
Date: Tue, 21 Mar 2023 19:35:30 +0200
Make GOV bond USA 2023 Good Friday working day
ql/time/calendars/unitedstates.cpp | 16 ++++++++--------
1 file changed, 8 insertions(+), 8 deletions(-)
commit 7220d2c3333fb68f194367c5b21a451e7f84200b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Mar 2023 11:25:14 +0100
Avoid deprecation warnings in VC++22 when including quantlib.hpp
ql/termstructures/yield/drifttermstructure.hpp | 5 +++++
1 file changed, 5 insertions(+)
commit c347a1ebb934e07f236d0de81c830da851c1d82d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Mar 2023 11:12:52 +0100
Don't include obsolete headers
ql/experimental/volatility/Makefile.am | 2 +-
ql/experimental/volatility/all.hpp | 1 -
ql/termstructures/volatility/swaption/Makefile.am | 2 +-
ql/termstructures/volatility/swaption/all.hpp | 2 --
4 files changed, 2 insertions(+), 5 deletions(-)
commit 49bbdf1edeeacf21b33b674a986aee3efea4e443
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sun, 12 Mar 2023 05:36:07 +0000
Remove copy on key compare
ql/indexes/indexmanager.cpp | 28 ++++++++++++----------------
ql/indexes/indexmanager.hpp | 13 +++++++++++--
test-suite/indexes.cpp | 18 +++++++++++++++++-
3 files changed, 40 insertions(+), 19 deletions(-)
commit 05a278be334f055c7ad17651195fe6c9a1176dac
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Thu, 16 Mar 2023 21:46:37 +0900
Add support for std::any and std::optional
CMakeLists.txt | 47 +++++++++++++-------
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 2 +
configure.ac | 31 +++++++++++++
ql/CMakeLists.txt | 2 +
ql/Makefile.am | 2 +
ql/any.hpp | 51 ++++++++++++++++++++++
ql/cashflow.cpp | 4 +-
ql/cashflow.hpp | 3 +-
ql/cashflows/couponpricer.cpp | 3 +-
ql/cashflows/couponpricer.hpp | 5 ++-
ql/cashflows/iborcoupon.cpp | 3 +-
ql/cashflows/iborcoupon.hpp | 5 ++-
ql/config.hpp.cfg | 2 +
ql/event.cpp | 3 +-
ql/event.hpp | 4 +-
.../catbonds/montecarlocatbondengine.cpp | 3 +-
.../catbonds/montecarlocatbondengine.hpp | 5 ++-
ql/experimental/commodities/commodity.hpp | 3 +-
ql/experimental/commodities/energycommodity.cpp | 8 ++--
.../coupons/lognormalcmsspreadpricer.cpp | 6 +--
.../coupons/lognormalcmsspreadpricer.hpp | 3 +-
ql/experimental/credit/syntheticcdo.cpp | 5 ++-
ql/experimental/credit/syntheticcdo.hpp | 3 +-
ql/experimental/swaptions/irregularswap.hpp | 1 -
ql/experimental/swaptions/irregularswaption.cpp | 3 +-
ql/instrument.hpp | 14 +++---
ql/instruments/callabilityschedule.hpp | 4 +-
ql/instruments/capfloor.cpp | 3 +-
ql/instruments/creditdefaultswap.cpp | 9 ++--
ql/instruments/creditdefaultswap.hpp | 7 +--
ql/instruments/floatfloatswap.cpp | 13 +++---
ql/instruments/floatfloatswap.hpp | 14 +++---
ql/instruments/makecds.hpp | 6 +--
ql/instruments/makeswaption.cpp | 3 +-
ql/instruments/makeswaption.hpp | 5 ++-
ql/instruments/makevanillaswap.cpp | 7 +--
ql/instruments/makevanillaswap.hpp | 4 +-
ql/instruments/nonstandardswap.cpp | 5 ++-
ql/instruments/nonstandardswap.hpp | 6 +--
ql/instruments/swaption.cpp | 3 +-
ql/instruments/vanillaswap.cpp | 5 ++-
ql/instruments/vanillaswap.hpp | 6 +--
ql/optional.hpp | 51 ++++++++++++++++++++++
ql/pricingengines/bond/discountingbondengine.cpp | 3 +-
ql/pricingengines/bond/discountingbondengine.hpp | 5 ++-
.../capfloor/analyticcapfloorengine.cpp | 3 +-
ql/pricingengines/credit/integralcdsengine.cpp | 3 +-
ql/pricingengines/credit/integralcdsengine.hpp | 5 ++-
ql/pricingengines/credit/isdacdsengine.cpp | 3 +-
ql/pricingengines/credit/isdacdsengine.hpp | 5 ++-
ql/pricingengines/credit/midpointcdsengine.cpp | 3 +-
ql/pricingengines/credit/midpointcdsengine.hpp | 5 ++-
ql/pricingengines/mclongstaffschwartzengine.hpp | 10 ++---
ql/pricingengines/swap/discountingswapengine.cpp | 3 +-
ql/pricingengines/swap/discountingswapengine.hpp | 5 ++-
.../vanilla/bjerksundstenslandengine.cpp | 4 +-
ql/pricingengines/vanilla/mcamericanengine.hpp | 9 ++--
ql/settings.hpp | 14 +++---
ql/termstructures/yield/oisratehelper.cpp | 2 +-
ql/termstructures/yield/oisratehelper.hpp | 5 ++-
ql/termstructures/yield/ratehelpers.cpp | 9 ++--
ql/termstructures/yield/ratehelpers.hpp | 17 ++++----
ql/time/schedule.cpp | 11 ++---
ql/time/schedule.hpp | 32 +++++++-------
ql/userconfig.hpp | 10 +++++
test-suite/americanoption.cpp | 5 ++-
test-suite/cashflows.cpp | 10 ++---
test-suite/creditdefaultswap.cpp | 7 +--
test-suite/defaultprobabilitycurves.cpp | 2 +-
test-suite/period.cpp | 2 +-
test-suite/quantlibtestsuite.cpp | 11 ++---
72 files changed, 392 insertions(+), 185 deletions(-)
commit d9e8af7f294b7fc3e8d7ea48b0d408e143b29d31
Merge: 860d1e39f 30c263fdd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 17 Mar 2023 22:54:11 +0100
Avoid compilation error using `PiecewiseYieldCurve<ConvexMonotone>` (#1615)
commit 30c263fdd9ce9fca20d2f2539cbeace146335b5a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 17 Mar 2023 15:38:10 +0100
Avoid compilation error using ConvexMonotone interpolation
.../interpolations/convexmonotoneinterpolation.hpp | 6 +--
test-suite/piecewiseyieldcurve.cpp | 63 +++++++++++++---------
test-suite/piecewiseyieldcurve.hpp | 2 +
3 files changed, 42 insertions(+), 29 deletions(-)
commit 860d1e39fc2672f53fd68f99d6761af5b797ddb5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 15 Mar 2023 10:52:59 +0100
Remove outdated comments
ql/math/matrixutilities/tqreigendecomposition.cpp | 1 -
ql/pricingengines/vanilla/juquadraticengine.cpp | 1 -
ql/time/daycounters/actualactual.cpp | 1 -
test-suite/americanoption.cpp | 1 -
test-suite/basketoption.cpp | 1 -
test-suite/batesmodel.cpp | 6 +-----
test-suite/capfloor.cpp | 2 --
test-suite/digitaloption.cpp | 1 -
test-suite/europeanoption.cpp | 1 -
test-suite/extendedtrees.cpp | 1 -
test-suite/hestonmodel.cpp | 3 ---
test-suite/hybridhestonhullwhiteprocess.cpp | 6 ------
test-suite/marketmodel.cpp | 1 -
test-suite/marketmodel_smmcaplethomocalibration.cpp | 1 -
test-suite/operators.cpp | 4 ----
test-suite/pathgenerator.cpp | 1 -
test-suite/swaption.cpp | 6 ------
17 files changed, 1 insertion(+), 37 deletions(-)
commit 5b494c651149b9fcb5c2961f9bbadee789ad5cc4
Merge: 230ce8319 851edb0a6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 14 Mar 2023 15:17:29 +0100
Allow moving value into ObservableValue (#1601)
commit 5889314e6dcf686d5f9cd30447ebd220e8be8d59
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 13 Mar 2023 09:16:06 +0100
Keep alphabetic order of imports.
ql/instruments/equitytotalreturnswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 34183e99ee9fea97ffb045f450128800f926796e
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 13 Mar 2023 09:15:18 +0100
Fixed build.
ql/instruments/equitytotalreturnswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 230ce83196fecf03acfaefca4566a55df2cd53e2
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 12 Mar 2023 01:52:32 +0000
Automated fixes by clang-tidy
ql/instruments/equitytotalreturnswap.cpp | 40 +++++++++++++++++---------------
ql/instruments/equitytotalreturnswap.hpp | 2 +-
2 files changed, 22 insertions(+), 20 deletions(-)
commit 81302912e6b5984d9b0107c1240a911c97351c6e
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 12 Mar 2023 18:59:17 +0100
Adding a bit of documentation
CMakeLists.txt | 1 +
1 file changed, 1 insertion(+)
commit e7bc1c4ee5d0410dbbccd4f8e10512d6593c688e
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sun, 12 Mar 2023 18:44:04 +0100
Added add_compile_definitions(_SILENCE_CXX17_ITERATOR_BASE_CLASS_DEPRECATION_WARNING) to prevent deprecation warnings from boost::ublas
cmake/Platform.cmake | 9 +++++++++
1 file changed, 9 insertions(+)
commit c89d4bb4225343c72d2b32ef924046d17ac581f4
Author: RalfKonrad <github@eckel-consulting.de>
Date: Sat, 11 Mar 2023 20:45:58 +0100
Define QL_ENABLE_DEFAULT_WARNING_LEVEL and QL_COMPILE_WARNING_AS_ERROR in CMakeLists.txt and use them in the cmake workflow.
.github/workflows/cmake.yml | 20 ++++++++++----------
CMakeLists.txt | 29 +++++++++++++++++++++++++++++
cmake/Platform.cmake | 1 +
3 files changed, 40 insertions(+), 10 deletions(-)
commit 2e48157bef16b7135f1d06b15b7a51768db1a9ba
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Sat, 11 Mar 2023 20:19:18 +0100
Adjusted checks when initiating quanto cash flow pricer.
ql/cashflows/equitycashflow.cpp | 12 ++-
test-suite/equitycashflow.cpp | 165 ++++++++++++++++++++++++----------------
test-suite/equitycashflow.hpp | 5 +-
3 files changed, 111 insertions(+), 71 deletions(-)
commit 851edb0a68c2813eb4750c33a17960a6eb574abf
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Fri, 17 Feb 2023 00:00:10 +0000
Allow values to be moved into ObservableValue
ql/indexes/indexmanager.cpp | 8 ++++----
ql/indexes/indexmanager.hpp | 5 ++---
ql/utilities/observablevalue.hpp | 14 ++++++++++++++
3 files changed, 20 insertions(+), 7 deletions(-)
commit 23bb2710d97214266a78eb080dc723985507edf5
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 10 Mar 2023 12:11:46 +0100
Updated CMake- and Makefiles.
ql/CMakeLists.txt | 2 ++
ql/cashflows/Makefile.am | 2 ++
ql/cashflows/all.hpp | 1 +
test-suite/CMakeLists.txt | 2 ++
test-suite/Makefile.am | 2 ++
5 files changed, 9 insertions(+)
commit b60b649e7db908611c136d580ff5cf135d3bafbd
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 10 Mar 2023 12:03:59 +0100
Added more unit tests for equity cash flow and quanto pricer.
ql/cashflows/equitycashflow.cpp | 23 ++++-
test-suite/equitycashflow.cpp | 187 ++++++++++++++++++++++++++++++++++------
test-suite/equitycashflow.hpp | 4 +
3 files changed, 187 insertions(+), 27 deletions(-)
commit 325327550fda7dcc7eef5e772a8e271d18c54b25
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 9 Mar 2023 18:08:22 +0100
Removed protected section from the TRS.
ql/instruments/equitytotalreturnswap.hpp | 2 --
1 file changed, 2 deletions(-)
commit 12b2efd8c74ce22d590f4a587e9952b036e5abce
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 9 Mar 2023 18:07:16 +0100
Adjusted equity leg creation approach in the TRS.
ql/instruments/equitytotalreturnswap.cpp | 38 +++++++++++++++++++-------------
ql/instruments/equitytotalreturnswap.hpp | 1 -
test-suite/equitycashflow.cpp | 4 ++--
test-suite/equitycashflow.hpp | 2 +-
4 files changed, 26 insertions(+), 19 deletions(-)
commit c0e20ac22ccbd1ebe82a4bd08bae77b90fb93535
Merge: 9f2806534 81f905373
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 9 Mar 2023 12:57:19 +0100
Add move semantics for `Array` operators and functions (#1606)
commit 47b0558a80e38a16f42119a4bcdcd4bf3d8767f6
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 9 Mar 2023 11:12:21 +0100
Introduced general equity cash flow.
QuantLib.vcxproj | 4 +-
QuantLib.vcxproj.filters | 4 +-
...equityquantocashflow.cpp => equitycashflow.cpp} | 63 ++++++++++---------
...equityquantocashflow.hpp => equitycashflow.hpp} | 71 ++++++++++++----------
ql/instruments/equitytotalreturnswap.cpp | 5 +-
...equityquantocashflow.cpp => equitycashflow.cpp} | 23 +++----
...equityquantocashflow.hpp => equitycashflow.hpp} | 6 +-
test-suite/quantlibtestsuite.cpp | 4 +-
test-suite/testsuite.vcxproj | 4 +-
test-suite/testsuite.vcxproj.filters | 4 +-
10 files changed, 100 insertions(+), 88 deletions(-)
commit 9e089821190ce56779723949560f023202c2b2a7
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Wed, 8 Mar 2023 15:24:12 +0100
Added unit test files for equity quanto cash flow.
test-suite/equityquantocashflow.cpp | 159 +++++++++++++++++++++++++++++++++++
test-suite/equityquantocashflow.hpp | 32 +++++++
test-suite/quantlibtestsuite.cpp | 2 +
test-suite/testsuite.vcxproj | 2 +
test-suite/testsuite.vcxproj.filters | 6 ++
5 files changed, 201 insertions(+)
commit 79d29b6403a28cec4c6714dd0b65be6193766a61
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Wed, 8 Mar 2023 13:52:56 +0100
Introduced inheritance from IndexedCashFlow.
ql/cashflows/equityquantocashflow.cpp | 31 +++++++++++++++----------------
ql/cashflows/equityquantocashflow.hpp | 33 ++++++++++++---------------------
2 files changed, 27 insertions(+), 37 deletions(-)
commit 61d2ee807403fb8eb02aaa7e1a99051d8d869e92
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Tue, 7 Mar 2023 22:29:52 +0100
Setting up equity quanto cash flow and the pricer.
ql/cashflows/equityquantocashflow.cpp | 20 ++++++++++++++------
ql/cashflows/equityquantocashflow.hpp | 2 ++
2 files changed, 16 insertions(+), 6 deletions(-)
commit a1d34ac730e96cc3b4a395eccd6b7f3515604f3c
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Tue, 7 Mar 2023 18:18:56 +0100
Added equity quanto cash flow.
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 ++
ql/cashflows/equityquantocashflow.cpp | 100 +++++++++++++++++++++++++++++
ql/cashflows/equityquantocashflow.hpp | 107 +++++++++++++++++++++++++++++++
ql/instruments/equitytotalreturnswap.cpp | 39 +++++------
ql/instruments/equitytotalreturnswap.hpp | 3 +
6 files changed, 234 insertions(+), 23 deletions(-)
commit 9f2806534f7a943b61b143e26abe8b42e0bb9d91
Merge: 1fb6118ce 85001dbf9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 6 Mar 2023 15:42:45 +0100
Equity total return swap (#1604)
commit 1fb6118cee883aa414c3eec52479f63d23c3f740
Merge: 1f44afeb5 3875659da
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 6 Mar 2023 15:36:36 +0100
Change FdmLinearOpIterator to pass by value and move (#1609)
commit 3875659da9ce8273fbc6aebac7dd740ac318980c
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sat, 4 Mar 2023 02:53:15 +0000
Change FdmLinearOpIterator to pass by value and move
ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 1f44afeb57b3b9dee1ee869ba24ece72a73ad3c4
Merge: 512002bd1 20318a895
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 4 Mar 2023 10:01:37 +0100
Add operator*() to FdmLinearOpIterator (#1603)
commit 512002bd13e2e835522313b202e1cf633a5744bf
Merge: 13f8acd77 ae800a157
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 4 Mar 2023 09:59:31 +0100
Add suppressions for clang-tidy 16 (#1602)
commit ae800a1575fbf50c5183a141dbabc08f02c408cb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 3 Mar 2023 12:57:10 +0100
Use unity build for clang-tidy CI checks
CMakePresets.json | 1 +
1 file changed, 1 insertion(+)
commit e793072f6b0c833c206fefdb40bf6094c3001903
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 3 Mar 2023 12:25:02 +0100
Upgrade to clang-tidy 15
.github/workflows/tidy.yml | 2 +-
CMakePresets.json | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit fd640899c70eeb6adf2c0f2f726340d19b88147f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 3 Mar 2023 17:08:34 +0100
Suppress a couple of warnings from clang-tidy 15
.clang-tidy | 2 ++
1 file changed, 2 insertions(+)
commit 13f8acd773574fa43a702847b363ee4584897fb0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 3 Mar 2023 12:18:23 +0100
CI builds use all 3 cores on Mac runners
.github/workflows/macos-nondefault.yml | 2 +-
.github/workflows/macos.yml | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 81f905373ccfb27ed52ae822c197a7185e44165d
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Sat, 25 Feb 2023 02:45:04 +0000
Add functions taking rvalue reference
ql/math/array.hpp | 257 ++++++++++++++++++++++++++++++++++++++++++++++++++-
test-suite/array.cpp | 181 ++++++++++++++++++++++++++++++++----
test-suite/array.hpp | 1 +
3 files changed, 421 insertions(+), 18 deletions(-)
commit 85001dbf98bc0bf5895ece4b0383770dabdda396
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 24 Feb 2023 11:22:12 +0100
Day counter and calendar inspectors should return a const ref.
ql/instruments/equitytotalreturnswap.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 9c23cf8e5ded7118cb7232f8f80ca5095d8bac59
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 24 Feb 2023 11:12:17 +0100
Added docstrings.
ql/instruments/equitytotalreturnswap.cpp | 4 +++-
ql/instruments/equitytotalreturnswap.hpp | 18 ++++++++++++++++--
2 files changed, 19 insertions(+), 3 deletions(-)
commit 1df36a751ff6bab5a0f1f25959a8edfd28970050
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 23 Feb 2023 20:56:09 +0100
Removed hard-coded test values.
test-suite/equitytotalreturnswap.cpp | 31 ++++++++++---------------------
1 file changed, 10 insertions(+), 21 deletions(-)
commit da725fddfc0cca12053f0439e199773cd9334137
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 23 Feb 2023 19:26:03 +0100
Removed unused variable.
test-suite/equitytotalreturnswap.cpp | 1 -
1 file changed, 1 deletion(-)
commit 754bf506a9da90055b53eae425c720c27013a0eb
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 23 Feb 2023 18:28:17 +0100
Added new files in CMakeLists and Makefile.
ql/CMakeLists.txt | 2 ++
ql/instruments/Makefile.am | 2 ++
ql/instruments/all.hpp | 1 +
test-suite/CMakeLists.txt | 2 ++
test-suite/Makefile.am | 2 ++
5 files changed, 9 insertions(+)
commit fa824e8820285c376122b9a03a5ecc5b423f708f
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 23 Feb 2023 17:42:03 +0100
Uncomment accidental changes in testsuite file.
test-suite/quantlibtestsuite.cpp | 256 +++++++++++++++++++--------------------
1 file changed, 128 insertions(+), 128 deletions(-)
commit 7586a793e09c31e1bccdb3600554d27e2fcfd36b
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 23 Feb 2023 17:40:48 +0100
Added a few more unit tests.