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ChangeLog.txt
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commit e17a089689885cd367a4367546f81c536d536f11
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.38 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 178d31aa51354dbecd079be193b93dddab166da6
Merge: 5ccf7ffa6 ed694f6ea
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 16 Apr 2025 21:51:49 +0200
Add check for null frequency in Act/365 Canadian (#2202)
commit ed694f6ea21c446e1812e5f1a34733112eb987d7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 16 Apr 2025 16:28:06 +0200
Add check for null frequency in Act/365 Canadian
ql/time/daycounters/actual365fixed.cpp | 3 +++
test-suite/daycounters.cpp | 31 +++++++++++++++++--------------
2 files changed, 20 insertions(+), 14 deletions(-)
commit 5ccf7ffa653b1d86254f28c5fd4deb8f8b11fffd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.38-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit ffdc5257f0d12c98d04cfc957919cce192b2a2e6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 14 Apr 2025 14:46:20 +0200
Update news and changelog
ChangeLog.txt | 144 ++++++++++++++++++++++++++++++++++++++++++++++++
Contributors.txt | 2 +
Docs/pages/history.docs | 8 ++-
News.md | 13 ++++-
4 files changed, 162 insertions(+), 5 deletions(-)
commit 94fef96cb9f2dedb38ec2c73e2becf6a19136df6
Merge: 8ee2a4f43 451551d2b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 14 Apr 2025 14:15:37 +0200
Add Hong Kong Exchange 2025 holidays (#2196)
commit 8ee2a4f43e327fbb727273697f19fe5fbdc8f426
Merge: 872dfff0a 9d8e28534
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 14 Apr 2025 11:40:43 +0200
Thailand Holidays 2025 (#2197)
commit 9d8e28534c2edb083e6bb34c220a618ce9c3418e
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 13 Apr 2025 15:56:03 +0200
Fixed typo in comments
ql/time/calendars/thailand.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d095be917fefef774f0c61b4e955decf64038003
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 13 Apr 2025 15:52:09 +0200
Added Thailand holidays 2025
ql/time/calendars/thailand.cpp | 9 +++++++++
1 file changed, 9 insertions(+)
commit 451551d2b73e283596be6aa17c88f4c20fdbacb4
Author: kawailee <wai@kawailee.com>
Date: Sat, 12 Apr 2025 20:40:33 -0400
Add Hong Kong Exchange 2025 holidays
ql/time/calendars/hongkong.cpp | 15 +++++++++++++++
1 file changed, 15 insertions(+)
commit 872dfff0ad9ef98bd1656075466846c4f2036d49
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 11 Apr 2025 13:03:53 +0200
Workaround deprecation of Boost.Process v1 in Boost 1.88
test-suite/paralleltestrunner.hpp | 8 +++++++-
test-suite/quantlibbenchmark.cpp | 9 ++++++++-
2 files changed, 15 insertions(+), 2 deletions(-)
commit 593b0ebcc5f0a80c0c7c7fb5c3c005fb5271215d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 11 Apr 2025 11:55:37 +0200
Avoid deprecation warnings from Boost 1.88 on VC++ 2022
ql/methods/finitedifferences/operators/numericaldifferentiation.cpp | 2 ++
ql/models/equity/hestonslvmcmodel.cpp | 2 ++
2 files changed, 4 insertions(+)
commit d2f17e8255d17cc1b0a93c1378f1c8d4d30080ba
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 11 Apr 2025 11:03:00 +0200
Use latest Boost version in CI builds
.github/workflows/cmake.yml | 12 ++++++------
.github/workflows/msvc-all-configs.yml | 2 +-
.github/workflows/msvc-analysis.yml | 4 ++--
.github/workflows/msvc-nondefault.yml | 2 +-
.github/workflows/msvc.yml | 2 +-
5 files changed, 11 insertions(+), 11 deletions(-)
commit 4655f19ca2816c3c5f7b43fca4daf947719baf56
Merge: f0b000fa0 93e9ee55c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 10 Apr 2025 14:25:09 +0200
Floor test tolerance at numeric_limits::epsilon (#2194)
commit 93e9ee55c887004dc1581ebb3d40ba17feefe29e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 10 Apr 2025 11:52:14 +0200
Floor test tolerance at numeric_limits::epsilon
test-suite/functions.cpp | 53 +++++++++++++++++++++++++++++-------------------
1 file changed, 32 insertions(+), 21 deletions(-)
commit f0b000fa0e48cadb93bad655347cf5951a40b620
Merge: 0ace62262 981d20177
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Apr 2025 14:30:58 +0200
Array Construction Edge-Case Fix (#2189)
commit 981d2017704285d2eb88191b80cf427d27ad7f52
Author: imraneamri <mohammad.amri@ucdconnect.ie>
Date: Wed, 9 Apr 2025 12:27:07 +0100
Changed double bracketed ( Array({...}) ) constructions with Array to be single-bracketed.
test-suite/array.cpp | 2 +-
test-suite/basketoption.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 0763acaafec5fff7ad84babf68557b52df6acb9c
Author: imraneamri <mohammad.amri@ucdconnect.ie>
Date: Tue, 8 Apr 2025 16:27:28 +0100
Fixes ambiguous array construction:
- Array({1}) in test-suite/basketoption.cpp:2491 is ambiguous and throws a warning. This is changed to be Array({Real(1.)}) as to not be confused with the Size constructor.
- Added a constructor to array.hpp for when an initializer list is not of type Real but can be cast to it, such as int, float, etc.
ql/math/array.hpp | 7 +++++++
test-suite/array.cpp | 14 ++++++++++++++
test-suite/basketoption.cpp | 2 +-
3 files changed, 22 insertions(+), 1 deletion(-)
commit 0ace62262fd3206320b0618dba72e89c524eb83c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 7 Apr 2025 11:45:32 +0200
Update news and changelog
ChangeLog.txt | 2249 +++++++++++++++++------------------------------
Contributors.txt | 1 +
Docs/pages/history.docs | 76 +-
News.md | 195 ++--
4 files changed, 933 insertions(+), 1588 deletions(-)
commit 85767864f36ed8bad4f0933d4349dd8c832e9277
Merge: f19d8f42c cd391752d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 4 Apr 2025 09:40:16 +0200
Fix discounting in callable-bond Black engine (#2186)
commit cd391752d1d452957c46fa6f52ef3ce9934b12ef
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 3 Apr 2025 18:08:40 +0200
Fix discounting in callable-bond Black engine
.../callablebonds/blackcallablebondengine.cpp | 12 ++--
test-suite/callablebonds.cpp | 69 ++++++++++++++++++++--
2 files changed, 71 insertions(+), 10 deletions(-)
commit f19d8f42ca4d2ab3dd40293891f8bb0a6087b0f6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 1 Apr 2025 11:40:15 +0200
Use Ubuntu plucky in CI runs for latest gcc/clang
.github/workflows/linux-full-tests.yml | 7 ++++++-
.github/workflows/linux-nondefault.yml | 9 +++++++--
.github/workflows/linux.yml | 8 ++++----
3 files changed, 17 insertions(+), 7 deletions(-)
commit 8133aa32197ddbc77b94b9cec9603490896cd9b2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 1 Apr 2025 11:21:37 +0200
Create Docker image from Ubuntu plucky
.github/workflows/devenv-images.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 50ab670d72c3b64d07c7a8dd7f6a43582604f3f9
Merge: 01f78b0d7 ebc5ed6a4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 31 Mar 2025 12:35:12 +0200
Add missing dependencies to OvernightIndexFuture (#2182)
commit ebc5ed6a4aeb3101aef33a67f6aed3f0fcd8390f
Author: Eugene Toder <eltoder@twosigma.com>
Date: Sun, 30 Mar 2025 14:42:25 -0400
Add missing dependencies to OvernightIndexFuture
And OvernightIndexFutureRateHelper.
ql/instruments/overnightindexfuture.cpp | 1 +
ql/termstructures/yield/overnightindexfutureratehelper.cpp | 2 +-
2 files changed, 2 insertions(+), 1 deletion(-)
commit 01f78b0d7383264d600f133e50d5309bcd54908f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 28 Mar 2025 15:44:27 +0100
Fix method call
ql/handle.hpp | 2 +-
test-suite/inflation.cpp | 8 ++++----
test-suite/inflationcapfloor.cpp | 6 +++---
test-suite/inflationcapflooredcoupon.cpp | 4 ++--
test-suite/inflationcpibond.cpp | 2 +-
test-suite/inflationcpicapfloor.cpp | 4 ++--
test-suite/inflationcpiswap.cpp | 6 +++---
test-suite/inflationvolatility.cpp | 4 ++--
test-suite/termstructures.cpp | 2 +-
9 files changed, 19 insertions(+), 19 deletions(-)
commit d379ab6936c2143d920217a920bff4fdda859916
Merge: 8ef851897 8f2a5fdde
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 28 Mar 2025 12:21:02 +0100
Add RelinkableHandle::reset() (#2180)
commit 8ef851897cd056fed3fb349788733699e0b9a915
Merge: 913e24d19 5342a83c2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 28 Mar 2025 12:20:39 +0100
Add missing dependency on convexity quote in OvernightIndexFuture (#2181)
commit 5342a83c2a5e485c6aa787d6496e3afabbd6083c
Author: Eugene Toder <eltoder@twosigma.com>
Date: Thu, 27 Mar 2025 14:55:23 -0400
Add missing dependency on convexity quote in OvernightIndexFuture
ql/instruments/overnightindexfuture.cpp | 1 +
test-suite/sofrfutures.cpp | 27 ++++++++++++++++-----------
2 files changed, 17 insertions(+), 11 deletions(-)
commit 8f2a5fddeb9be351981eb57801b4d9e3a1b9e0d2
Author: Eugene Toder <eltoder@twosigma.com>
Date: Thu, 27 Mar 2025 13:17:13 -0400
Add RelinkableHandle::reset()
So it does not have to be added in SWIG[1].
[1] https://github.com/lballabio/QuantLib-SWIG/blob/7d8d4c6c3bc71c195719a4df81b0650e60578da1/SWIG/common.i#L128
ql/handle.hpp | 6 ++++++
1 file changed, 6 insertions(+)
commit 913e24d19c39994ab6a059cf67b9fe51eeb098ae
Merge: a39c40f98 cf3fe6f01
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 27 Mar 2025 12:42:07 +0100
Pass openmp compile flags from cmake to pkg-config file. (#2179)
commit cf3fe6f010d12ff715913b31d570e108ba35833d
Author: Tomas Kalibera <tomas.kalibera@gmail.com>
Date: Wed, 26 Mar 2025 22:36:47 +0100
Pass openmp compile flags from cmake to pkg-config file.
CMakeLists.txt | 3 +++
1 file changed, 3 insertions(+)
commit a39c40f988ea38e7f4b6505f8fd1d93e6ac1275a
Merge: e1d8e6fe6 abd50eeb1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 26 Mar 2025 12:49:04 +0100
Fix for AD in choiasianengine.cpp (#2178)
commit abd50eeb1a9d352d9ac774ee5202a008e0a6740d
Author: imraneamri <mohammad.amri@ucdconnect.ie>
Date: Tue, 25 Mar 2025 15:32:10 +0000
Size recast to Real in computation for choiasianengine.cpp
ql/pricingengines/asian/choiasianengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e1d8e6fe6af68215221e2c92879c0fd107938f24
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 23 Mar 2025 01:38:27 +0000
Automated fixes by clang-tidy
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit e3fabd68cbfa296ae6265cf7c0a8ec36e67f7e15
Merge: c8934b663 da9e7773e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 17 Mar 2025 10:40:59 +0100
Fix EURLibor index (#2170)
commit c8934b6637031d26354193bedd130410f5fe147f
Merge: 9de5cec4d 1e4b67c27
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 17 Mar 2025 10:39:42 +0100
XCcy Helpers (#2168)
commit 9de5cec4d2e096291ad58b143430631aa1834d31
Merge: 6b6c12c9d 305e3c5e2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 17 Mar 2025 10:35:49 +0100
Piecewise forward spreaded ts (#2169)
commit 305e3c5e2fd818e9e1128add721e90d2b46defc4
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sat, 15 Mar 2025 22:40:45 +0100
Added test on zero rate
test-suite/termstructures.cpp | 56 +++++++++++++++++++++++++++++++++++++++++++
1 file changed, 56 insertions(+)
commit b6b160809cc8bb97fed845b51b896201ccac47f5
Author: kp9991 <kp9991@gmail.com>
Date: Sat, 15 Mar 2025 14:30:25 +1100
Throwing exception if freq not supplied for overnight index
.../termstructures/crosscurrencyratehelpers.cpp | 4 ++--
test-suite/crosscurrencyratehelpers.cpp | 16 +++++++++++++++-
2 files changed, 17 insertions(+), 3 deletions(-)
commit 164b9789a156ab55c03643b7c8f432e7964b73c0
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Fri, 14 Mar 2025 08:53:43 +0000
Update generated headers
ql/termstructures/yield/all.hpp | 1 -
1 file changed, 1 deletion(-)
commit c5b56ff4bfd10f9ac0589d2b8cc2b7ab1b17227d
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Fri, 14 Mar 2025 09:49:54 +0100
Refactored code according to suggestions
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 -
ql/CMakeLists.txt | 1 -
ql/termstructures/yield/Makefile.am | 1 -
.../yield/interpolatedpiecewisespreadcurve.hpp | 147 ---------------------
.../piecewiseforwardspreadedtermstructure.hpp | 73 ++++++++--
.../yield/piecewisezerospreadedtermstructure.hpp | 52 ++++++--
7 files changed, 107 insertions(+), 171 deletions(-)
commit d8b7d29694363ef03a3a2862eccc820429047de9
Author: kp9991-git <kp9991@gmail.com>
Date: Fri, 14 Mar 2025 12:57:26 +1100
Reverting project file changes
QuantLib.props | 5 +----
QuantLib.vcxproj | 3 +--
2 files changed, 2 insertions(+), 6 deletions(-)
commit fe18b86e5f769787cabbbfd0dbd046a69e971bd6
Author: kp9991-git <kp9991@gmail.com>
Date: Fri, 14 Mar 2025 11:02:31 +1100
Defaulting to quarterly payment frequency for RFR indices if the payment req is not supplied
QuantLib.props | 5 ++++-
QuantLib.vcxproj | 3 ++-
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 12 ++++++++++--
3 files changed, 16 insertions(+), 4 deletions(-)
commit 4b012671d24536d3be928efa8b30d19f77f5ff20
Author: kp9991 <kp9991@gmail.com>
Date: Fri, 14 Mar 2025 05:36:51 +1100
Post peer review
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 2 +-
ql/experimental/termstructures/crosscurrencyratehelpers.hpp | 4 ++--
test-suite/crosscurrencyratehelpers.cpp | 6 +++---
3 files changed, 6 insertions(+), 6 deletions(-)
commit bca92978682df07c0695a3c321ff9fe051e617ae
Author: kp9991-git <kp9991@gmail.com>
Date: Thu, 13 Mar 2025 09:57:53 +1100
Renaming function for clarity
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit f9200bfc43cb1dd5212a9810bfa2ecec66b326ae
Author: kp9991-git <kp9991@gmail.com>
Date: Thu, 13 Mar 2025 09:54:53 +1100
Constructing OvernightLeg for overnight index
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 7 +++++++
1 file changed, 7 insertions(+)
commit da9e7773e3efec0f569b3f9af10de4a375647d42
Author: Eugene Toder <eltoder@twosigma.com>
Date: Mon, 10 Mar 2025 21:06:10 -0400
Fix EURLibor index
* Use JoinHolidays for the fixing calendar
* Use TARGET in fixingDate since it is used in valueDate
ql/indexes/ibor/eurlibor.cpp | 10 ++++++++--
ql/indexes/ibor/eurlibor.hpp | 1 +
ql/indexes/interestrateindex.hpp | 2 +-
3 files changed, 10 insertions(+), 3 deletions(-)
commit 6b6c12c9d130896da269dcb8a0218e86a95353c5
Merge: 91efbfd4e 20181c560
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Mar 2025 18:12:45 +0100
Use fixed evaluationDate in testGlobalBootstrapVariables (#2171)
commit 20181c56034448e57c1d3429707e60e81a129184
Author: Eugene Toder <eltoder@twosigma.com>
Date: Tue, 11 Mar 2025 12:19:24 -0400
Use fixed evaluationDate in testGlobalBootstrapVariables
test-suite/piecewiseyieldcurve.cpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit f4182087933cde34a8cb087e06c74647cb1c0363
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 9 Mar 2025 13:41:39 +0000
Update generated headers
ql/termstructures/yield/all.hpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit dd7c0031cb542cfb4e8211f1e9800a3a63778bea
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Mar 2025 14:39:24 +0100
Reordering of files in makefile
ql/termstructures/yield/Makefile.am | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 389ffb1c6aab4cac515b8f34a69a201ca3ded7e7
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Mar 2025 14:31:20 +0100
correction in makefile
ql/termstructures/yield/Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit dc9cb4c5ca06efd6f5e7383fc6c2823f97e02566
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Mar 2025 14:19:20 +0100
Changed position of includes in the header
ql/termstructures/yield/all.hpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 268f2d200c168f056d6461b95d1038a89e18882a
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Mar 2025 13:40:17 +0100
Fixed file paths as dictated in check_filelists.sh
QuantLib.vcxproj | 4 ++--
QuantLib.vcxproj.filters | 4 ++--
ql/CMakeLists.txt | 2 +-
ql/termstructures/yield/Makefile.am | 2 ++
4 files changed, 7 insertions(+), 5 deletions(-)
commit 8f5876ad27c2d00cb34979c889b58b70660f571f
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Mar 2025 13:31:09 +0100
Corrected args order in constructor
ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 6ee960da5fddf76de35d0fbc5a9eba475715e79d
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Mar 2025 12:20:36 +0100
Included two files in cmake and vcode related files, added few docstrings
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
ql/CMakeLists.txt | 2 ++
ql/termstructures/interpolatedcurve.hpp | 2 +-
ql/termstructures/yield/all.hpp | 2 ++
ql/termstructures/yield/interpolatedpiecewisespreadcurve.hpp | 8 ++++++++
6 files changed, 21 insertions(+), 1 deletion(-)
commit cb1a078153ff997b4741100a834886fd09f075aa
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Mar 2025 11:49:16 +0100
Fixed bug in zeroYieldImpl calculation, linear interpolation test is not passing
.../yield/interpolatedpiecewisespreadcurve.hpp | 17 +++++++++++++++++
.../yield/piecewiseforwardspreadedtermstructure.hpp | 8 ++------
2 files changed, 19 insertions(+), 6 deletions(-)
commit 4c34fa6aece27aaa0c71344a2b90d9b6be49de3d
Author: kp9991-git <kp9991@gmail.com>
Date: Sun, 9 Mar 2025 04:43:00 +1100
Unit tests
test-suite/crosscurrencyratehelpers.cpp | 80 +++++++++++++++++++++++++++++----
1 file changed, 72 insertions(+), 8 deletions(-)
commit e3e65d56cb886da78fdfc9320adba376f390de6c
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sat, 8 Mar 2025 18:15:18 +0100
Implemented interpolatedpiecewisespreadcurve for encapsulate the logic, but test for linear interpolation are failing
.../yield/interpolatedpiecewisespreadcurve.hpp | 122 +++++++++++++++++
.../piecewiseforwardspreadedtermstructure.hpp | 60 ++-------
.../yield/piecewisezerospreadedtermstructure.hpp | 48 +------
test-suite/termstructures.cpp | 146 +++++++++++++++++----
4 files changed, 262 insertions(+), 114 deletions(-)
commit 91efbfd4eca448cf300616e6778880b0015e9854
Merge: 07c8ebb3d ba424a1a9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 7 Mar 2025 15:47:33 +0100
Remove manual saving/restoring of evaluationDate (#2166)
commit 7e7555d24a8300ba2023bc8b7e045f8022fa6017
Author: kp9991-git <kp9991@gmail.com>
Date: Fri, 7 Mar 2025 19:32:21 +1100
Removing unused include
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 7 -------
1 file changed, 7 deletions(-)
commit e796cd8e0bdc88d9adcf2cdaa289d47e48001c74
Author: kp9991-git <kp9991@gmail.com>
Date: Fri, 7 Mar 2025 19:24:57 +1100
Handling payment lag
.../termstructures/crosscurrencyratehelpers.cpp | 89 ++++++++++++++++------
.../termstructures/crosscurrencyratehelpers.hpp | 3 +
2 files changed, 68 insertions(+), 24 deletions(-)
commit ba424a1a902dd52d0b340fbeca31385fc83c98eb
Author: Eugene Toder <eltoder@twosigma.com>
Date: Thu, 6 Mar 2025 18:25:49 -0500
Remove manual saving/restoring of evaluationDate
test-suite/markovfunctional.cpp | 12 ------------
1 file changed, 12 deletions(-)
commit 07c8ebb3d8c795e37063db91be8fd77aafceb8a0
Merge: 6d6e7a7e5 1ebd68057
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 5 Mar 2025 20:22:58 +0100
Allow optimizing additional variables during global bootstrap (#2163)
commit 1ebd680572e03301edef859340375285253a8bb4
Author: Eugene Toder <eltoder@twosigma.com>
Date: Mon, 24 Feb 2025 15:00:03 -0500
Allow optimizing additional variables during global bootstrap
This is useful to optimize model parameters used by rate helpers, for
example, convexity adjustments for futures.
This change adds a generic interface (AdditionalBootstrapVariables) and
a specific implementation for variables implemented as SimpleQuotes
(SimpleQuoteVariables).
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 ++
ql/CMakeLists.txt | 2 +
ql/termstructures/Makefile.am | 2 +
ql/termstructures/all.hpp | 1 +
ql/termstructures/globalbootstrap.hpp | 119 ++++++++++++++++++++----------
ql/termstructures/globalbootstrapvars.cpp | 49 ++++++++++++
ql/termstructures/globalbootstrapvars.hpp | 32 ++++++++
test-suite/piecewiseyieldcurve.cpp | 61 +++++++++++++++
9 files changed, 234 insertions(+), 40 deletions(-)
commit 6d6e7a7e5887f99cf3c617445d6cf1fc6bd1fa74
Merge: 2391bbf48 6faaad0ca
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 5 Mar 2025 11:46:23 +0100
Make all constructors of FuturesRateHelper take convAdj by value (#2164)
commit 6faaad0ca74114e65db4a3a10c3e85e65c22d5db
Author: Eugene Toder <eltoder@twosigma.com>
Date: Tue, 4 Mar 2025 22:37:28 -0500
Make all constructors of FuturesRateHelper take convAdj by value
ql/termstructures/yield/ratehelpers.cpp | 6 +++---
ql/termstructures/yield/ratehelpers.hpp | 2 +-
2 files changed, 4 insertions(+), 4 deletions(-)
commit c8bc60a8196e327484a3359d69a683d9291d01d7
Author: kp9991-git <kp9991@gmail.com>
Date: Wed, 5 Mar 2025 14:27:30 +1100
Adding payment freq and payment lag
.../termstructures/crosscurrencyratehelpers.cpp | 42 +++++++++++++++-------
.../termstructures/crosscurrencyratehelpers.hpp | 14 ++++++--
2 files changed, 40 insertions(+), 16 deletions(-)
commit 48da0d36a0e10a3c6a624e16cf809f31f2051bec
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 2 Mar 2025 16:00:43 +0100
Made the new test pass
.../piecewiseforwardspreadedtermstructure.hpp | 9 ++++
test-suite/termstructures.cpp | 50 +++++++++++-----------
2 files changed, 34 insertions(+), 25 deletions(-)
commit 2391bbf4825a1ed349b29e95d4ea265a777eca51
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 27 Feb 2025 21:09:54 +0100
Remove always-true assertion
VC++ started warning about it
test-suite/nthtodefault.cpp | 2 --
1 file changed, 2 deletions(-)
commit acd0c48904cf09c49b8d0d47eb52d1d83f8f22c2
Merge: 1b86c3a03 02e81376e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 27 Feb 2025 18:20:16 +0100
Add DepositRateHelper and FraRateHelper constructors with fixed dates (#2156)
commit 02e81376ef4b16b21a6c750adf8e67bacd28c0e1
Author: Eugene Toder <eltoder@twosigma.com>
Date: Mon, 24 Feb 2025 12:40:55 -0500
Add tests
test-suite/piecewiseyieldcurve.cpp | 92 ++++++++++++++++++++++++++++++++++++++
1 file changed, 92 insertions(+)
commit f97c5ecc8da287757e210f4db7f610eab386c8b7
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 23 Feb 2025 11:29:02 +0100
First draft of the piecewiseforwardspreadedts
.../piecewiseforwardspreadedtermstructure.hpp | 187 +++++++++++++++++++++
test-suite/termstructures.cpp | 43 +++++
2 files changed, 230 insertions(+)
commit 1b86c3a03a7b6ef855b00c28cf8e980554f3cc7c
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 16 Feb 2025 01:34:33 +0000
Automated fixes by clang-tidy
ql/pricingengines/barrier/analyticpartialtimebarrieroptionengine.cpp | 4 ++--
ql/pricingengines/barrier/analyticpartialtimebarrieroptionengine.hpp | 4 ++--
2 files changed, 4 insertions(+), 4 deletions(-)
commit 0aab51c0d73a83901be8794ed7c0c19ac2df5623
Merge: d47be9225 99c5fd435
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Feb 2025 08:44:19 +0100
Move a few options and engines from experimental folder to core library (#2157)
commit 99c5fd435c6c69eaa8b7672075d6176fbbfdc8a6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 13 Feb 2025 16:15:08 +0100
Documented writer-extensible option; moved from experimental to core
QuantLib.vcxproj | 6 +-
QuantLib.vcxproj.filters | 18 ++++--
cmake/GenerateHeaders.cmake | 2 +
ql/CMakeLists.txt | 6 +-
ql/experimental/exoticoptions/Makefile.am | 8 +--
ql/experimental/exoticoptions/all.hpp | 2 -
.../analyticwriterextensibleoptionengine.hpp | 28 ++-------
.../exoticoptions/writerextensibleoption.hpp | 58 ++---------------
ql/instruments/Makefile.am | 2 +
ql/instruments/all.hpp | 1 +
.../writerextensibleoption.cpp | 2 +-
ql/instruments/writerextensibleoption.hpp | 73 ++++++++++++++++++++++
ql/pricingengines/exotic/Makefile.am | 6 +-
ql/pricingengines/exotic/all.hpp | 1 +
.../analyticwriterextensibleoptionengine.cpp | 2 +-
.../analyticwriterextensibleoptionengine.hpp | 47 ++++++++++++++
test-suite/extensibleoptions.cpp | 4 +-
17 files changed, 168 insertions(+), 98 deletions(-)
commit 2d23e5019addca374beae4e39f071b473d1b8747
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 13 Feb 2025 15:25:08 +0100
Documented holder-extensible option; moved from experimental to code
QuantLib.vcxproj | 6 +-
QuantLib.vcxproj.filters | 18 +++--
cmake/GenerateHeaders.cmake | 2 +
ql/CMakeLists.txt | 6 +-
ql/experimental/exoticoptions/Makefile.am | 4 +-
ql/experimental/exoticoptions/all.hpp | 2 -
.../analyticholderextensibleoptionengine.hpp | 48 ++------------
.../exoticoptions/holderextensibleoption.hpp | 51 ++------------
ql/instruments/Makefile.am | 2 +
ql/instruments/all.hpp | 1 +
.../holderextensibleoption.cpp | 2 +-
ql/instruments/holderextensibleoption.hpp | 77 ++++++++++++++++++++++
ql/pricingengines/exotic/Makefile.am | 2 +
ql/pricingengines/exotic/all.hpp | 1 +
.../analyticholderextensibleoptionengine.cpp | 2 +-
.../analyticholderextensibleoptionengine.hpp | 68 +++++++++++++++++++
test-suite/extensibleoptions.cpp | 4 +-
17 files changed, 189 insertions(+), 107 deletions(-)
commit 845f4a934ba03333359fd8f006f9d8deeba0df97
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 13 Feb 2025 10:27:10 +0100
Documented two-asset correlation option; moved from experimental to core
QuantLib.vcxproj | 6 +-
QuantLib.vcxproj.filters | 18 ++++--
cmake/GenerateHeaders.cmake | 2 +
ql/CMakeLists.txt | 6 +-
ql/experimental/exoticoptions/Makefile.am | 6 +-
ql/experimental/exoticoptions/all.hpp | 2 -
.../analytictwoassetcorrelationengine.hpp | 32 ++--------
.../exoticoptions/twoassetcorrelationoption.hpp | 46 ++------------
ql/instruments/Makefile.am | 2 +
ql/instruments/all.hpp | 1 +
.../twoassetcorrelationoption.cpp | 2 +-
ql/instruments/twoassetcorrelationoption.hpp | 74 ++++++++++++++++++++++
ql/pricingengines/exotic/Makefile.am | 10 +--
ql/pricingengines/exotic/all.hpp | 1 +
.../exotic}/analytictwoassetcorrelationengine.cpp | 2 +-
.../exotic/analytictwoassetcorrelationengine.hpp | 51 +++++++++++++++
test-suite/twoassetcorrelationoption.cpp | 4 +-
17 files changed, 174 insertions(+), 91 deletions(-)
commit 692a3c57254fc122543bd9daf945b8e7009b9040
Author: Eugene Toder <eltoder@twosigma.com>
Date: Wed, 12 Feb 2025 19:32:24 -0500
Add DepositRateHelper and FraRateHelper constructors with fixed dates
This is useful for non-standard conventions and to avoid dependency on
evaluation date.
ql/termstructures/bootstraphelper.hpp | 1 -
ql/termstructures/yield/ratehelpers.cpp | 86 +++++++++++++++++++++++----------
ql/termstructures/yield/ratehelpers.hpp | 10 ++++
3 files changed, 70 insertions(+), 27 deletions(-)
commit a2c74332e4df451736ec5a3e911c82e1b778e96a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 12 Feb 2025 15:27:31 +0100
Documented two-asset barrier option, moved from experimental to core
QuantLib.vcxproj | 6 +-
QuantLib.vcxproj.filters | 18 ++--
cmake/GenerateHeaders.cmake | 4 +-
ql/CMakeLists.txt | 6 +-
ql/experimental/exoticoptions/Makefile.am | 6 +-
ql/experimental/exoticoptions/all.hpp | 2 -
.../analytictwoassetbarrierengine.hpp | 81 ++----------------
.../exoticoptions/twoassetbarrieroption.hpp | 58 ++-----------
ql/instruments/Makefile.am | 2 +
ql/instruments/all.hpp | 1 +
.../twoassetbarrieroption.cpp | 2 +-
ql/instruments/twoassetbarrieroption.hpp | 80 +++++++++++++++++
ql/pricingengines/barrier/Makefile.am | 2 +
ql/pricingengines/barrier/all.hpp | 1 +
.../barrier}/analytictwoassetbarrierengine.cpp | 2 +-
.../barrier/analytictwoassetbarrierengine.hpp | 99 ++++++++++++++++++++++
test-suite/twoassetbarrieroption.cpp | 4 +-
17 files changed, 225 insertions(+), 149 deletions(-)
commit a3191efdf917d4432163d40e61138b631f3b7acd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 12 Feb 2025 11:58:18 +0100
Remove Doxygen blocks from outdated files
.../exoticoptions/analyticpartialtimebarrieroptionengine.hpp | 4 ----
ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp | 4 ----
ql/experimental/exoticoptions/partialtimebarrieroption.hpp | 4 ----
3 files changed, 12 deletions(-)
commit c71c0b4903edf07ade7de35dbb7efc740a2e877e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 12 Feb 2025 10:40:45 +0100
Documented Levy Asian engine, moved from experimental to core
QuantLib.vcxproj | 3 +-
QuantLib.vcxproj.filters | 9 ++--
cmake/GenerateHeaders.cmake | 1 +
ql/CMakeLists.txt | 5 +-
ql/experimental/exoticoptions/Makefile.am | 8 +++-
ql/experimental/exoticoptions/all.hpp | 1 -
.../continuousarithmeticasianlevyengine.hpp | 27 ++---------
ql/pricingengines/asian/Makefile.am | 2 +
ql/pricingengines/asian/all.hpp | 1 +
.../asian}/continuousarithmeticasianlevyengine.cpp | 2 +-
.../asian/continuousarithmeticasianlevyengine.hpp | 53 ++++++++++++++++++++++
test-suite/asianoptions.cpp | 2 +-
12 files changed, 81 insertions(+), 33 deletions(-)
commit f1adb05a774bada3f0fe27c43241fe88b2c23992
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Feb 2025 13:04:37 +0100
Documented partial-time barrier option, moved from experimental to core
QuantLib.vcxproj | 6 +-
QuantLib.vcxproj.filters | 18 ++--
cmake/GenerateHeaders.cmake | 2 +
ql/CMakeLists.txt | 6 +-
ql/experimental/exoticoptions/Makefile.am | 4 +-
ql/experimental/exoticoptions/all.hpp | 2 -
.../analyticpartialtimebarrieroptionengine.hpp | 51 +---------
.../exoticoptions/analyticpdfhestonengine.hpp | 2 +-
.../exoticoptions/partialtimebarrieroption.hpp | 61 +-----------
ql/instruments/Makefile.am | 2 +
ql/instruments/all.hpp | 1 +
.../partialtimebarrieroption.cpp | 2 +-
ql/instruments/partialtimebarrieroption.hpp | 107 +++++++++++++++++++++
ql/pricingengines/barrier/Makefile.am | 2 +
ql/pricingengines/barrier/all.hpp | 1 +
.../analyticpartialtimebarrieroptionengine.cpp | 2 +-
.../analyticpartialtimebarrieroptionengine.hpp | 79 +++++++++++++++
test-suite/partialtimebarrieroption.cpp | 4 +-
18 files changed, 230 insertions(+), 122 deletions(-)
commit d257dd313b9f6d0a94520e13adadd1a60060afa3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Feb 2025 11:35:12 +0100
Sort out partial-barrier enums
.../analyticpartialtimebarrieroptionengine.cpp | 26 ++++++++++---------
.../analyticpartialtimebarrieroptionengine.hpp | 2 +-
.../exoticoptions/partialtimebarrieroption.cpp | 24 ++---------------
.../exoticoptions/partialtimebarrieroption.hpp | 15 ++++++-----
test-suite/partialtimebarrieroption.cpp | 30 +++++++++++-----------
5 files changed, 40 insertions(+), 57 deletions(-)
commit 37b074a0586cfed89a35339bd2ba90192df41def
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Feb 2025 10:12:20 +0100
Move analytic PDF Heston engine from experimental to core library
QuantLib.vcxproj | 5 +-
QuantLib.vcxproj.filters | 11 ++--
cmake/GenerateHeaders.cmake | 6 ++
ql/CMakeLists.txt | 3 +-
ql/experimental/exoticoptions/Makefile.am | 3 +-
ql/experimental/exoticoptions/all.hpp | 1 -
.../exoticoptions/analyticpdfhestonengine.hpp | 56 ++--------------
ql/pricingengines/vanilla/Makefile.am | 2 +
ql/pricingengines/vanilla/all.hpp | 1 +
.../vanilla}/analyticpdfhestonengine.cpp | 2 +-
.../vanilla/analyticpdfhestonengine.hpp | 75 ++++++++++++++++++++++
test-suite/hestonmodel.cpp | 2 +-
test-suite/hestonslvmodel.cpp | 2 +-
13 files changed, 105 insertions(+), 64 deletions(-)
commit d47be9225ab3b15f1f5800b4d197613344c66ed5
Merge: e1dbeda53 53623e49c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 10 Feb 2025 12:50:38 +0100
Partial-Time Barrier Put Option implementation (#2142)
commit 53623e49c02c29d852c2e19e53267cbc6fea6535
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 10 Feb 2025 11:31:23 +0100
Remove unused private methods
.../analyticpartialtimebarrieroptionengine.cpp | 38 ----------------------
.../analyticpartialtimebarrieroptionengine.hpp | 8 -----
2 files changed, 46 deletions(-)
commit 2b443cccbd816ba8ceeeab1e4a1ef7246cb87768
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Feb 2025 15:39:46 +0100
#1986: added more explanitory error message in tests for puts
test-suite/partialtimebarrieroption.cpp | 7 +++----
1 file changed, 3 insertions(+), 4 deletions(-)
commit 1e01b71bb00d52dc6133eabd98125fee4c186993
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Feb 2025 15:33:11 +0100
#1986: fixed bug, and refactored code
.../analyticpartialtimebarrieroptionengine.cpp | 96 ++++++++++------------
1 file changed, 42 insertions(+), 54 deletions(-)
commit 41b1591a6c49e78de34b4c1f4ab6d13962f5ac66
Author: paolodelia99 <paolo.delia99@gmail.com>
Date: Sun, 9 Feb 2025 09:50:27 +0100
#1986: refactored according to suggestions, but tests are failing
.../analyticpartialtimebarrieroptionengine.cpp | 359 +++++++++++----------
.../analyticpartialtimebarrieroptionengine.hpp | 43 +--
test-suite/barrieroption.cpp | 16 -
test-suite/binaryoption.cpp | 15 -
test-suite/partialtimebarrieroption.cpp | 37 ++-
test-suite/utilities.cpp | 15 +
test-suite/utilities.hpp | 2 +
7 files changed, 254 insertions(+), 233 deletions(-)
commit e1dbeda538a1c12abfdcc78e57a5e3c6c1fe6318
Merge: 22871b942 4f32c1282
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 6 Feb 2025 16:13:52 +0100
Honor passed convention in case of end-of-month adjustment (#2154)