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ChangeLog.txt
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commit 0f529415fdd734ffc6928cdeeb4bc20479e93df5
Author: Luigi Ballabio <[email protected]>
Date: Sat, 24 Oct 2020 13:00:26 +0200
Set version to 1.20 final.
configure.ac | 2 +-
ql/version.hpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit ecad7d57992038a3e462ed5c71d815c4d37e40c4
Author: Luigi Ballabio <[email protected]>
Date: Thu, 15 Oct 2020 10:47:08 +0200
Add workflows for cmake build on Mac and Windows.
.github/workflows/cmake-macos.yml | 19 +++++++++++++++++++
.github/workflows/cmake-win.yml | 21 +++++++++++++++++++++
2 files changed, 40 insertions(+)
commit eaf9aa9fa1b166084962a153ced3ecdadf0ae6f8
Author: Luigi Ballabio <[email protected]>
Date: Wed, 14 Oct 2020 17:52:02 +0200
Update changelog and news.
ChangeLog.txt | 3499 ++++++++++++++---------------------------------
Contributors.txt | 502 +++----
Docs/Makefile.am | 2 +-
Docs/pages/authors.docs | 256 +---
Docs/pages/history.docs | 133 +-
News.md | 118 +-
6 files changed, 1414 insertions(+), 3096 deletions(-)
commit eb6fbd431ee68dde0f7815d0c363235511b7d01c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 14 Oct 2020 13:26:53 +0200
Set version to 1.20 rc.
configure.ac | 2 +-
ql/version.hpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit bbde979888a65dc1e50e46f1bde297f014e0270c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 14 Oct 2020 10:28:44 +0200
Clean up test message.
test-suite/integrals.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 9e78d555b9e92cf27c3aa5ee34022064660f947e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 13 Oct 2020 23:20:58 +0200
Sync file lists in projects.
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 1 +
ql/CMakeLists.txt | 1 +
3 files changed, 3 insertions(+)
commit d90d5432be13b1c09b7590248868f38372c2ba34
Merge: b36a021b0 8a807c590
Author: Luigi Ballabio <[email protected]>
Date: Tue, 13 Oct 2020 12:50:06 +0200
Merge pull request #908.
fix to have option of using std::tuple
commit b36a021b0cc679969badadeaf2f7070e7ea2f973
Merge: 5e9bfe956 3eadcc0aa
Author: Luigi Ballabio <[email protected]>
Date: Tue, 13 Oct 2020 09:15:54 +0200
Merge pull request #918.
Exposing the Heston SLV mixingFactor parameter to Heston FD Double Ba…
commit 5e9bfe95674e93e8e8fdd48a5c3dddd8f28e932d
Merge: bc51444d3 bcf5b391f
Author: Luigi Ballabio <[email protected]>
Date: Tue, 13 Oct 2020 09:14:54 +0200
Merge pull request #916.
LogCubic convenience classes
commit 3eadcc0aac80ee050c8e5e7193abdb81a1a4d1e9
Author: jackgillett101 <[email protected]>
Date: Tue, 13 Oct 2020 08:01:57 +0800
Exposing the Heston SLV mixingFactor parameter to Heston FD Double Barrier Pricer
.../finitedifferences/fdhestondoublebarrierengine.cpp | 10 ++++++----
.../finitedifferences/fdhestondoublebarrierengine.hpp | 4 +++-
2 files changed, 9 insertions(+), 5 deletions(-)
commit bc51444d3771795ce65fd2aa70c52dc49e206c69
Merge: 0bd3150cc 9d0cdf1db
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Oct 2020 13:18:18 +0200
Merge pull request #917.
Exposing the Heston SLV mixingFactor parameter to Heston FD barrier o…
commit bcf5b391f490138af403bf88a2d4b8c55bff607a
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Oct 2020 13:17:15 +0200
Silence Codacy warnings
ql/math/interpolations/loginterpolation.hpp | 18 +++++++++---------
1 file changed, 9 insertions(+), 9 deletions(-)
commit 9d0cdf1db7a441fa4436490ddb261d4005801534
Author: jackgillett101 <[email protected]>
Date: Sat, 10 Oct 2020 20:13:44 +0800
Exposing the Heston SLV mixingFactor parameter to Heston FD barrier option engines
ql/pricingengines/barrier/fdhestonbarrierengine.cpp | 10 ++++++----
ql/pricingengines/barrier/fdhestonbarrierengine.hpp | 4 +++-
ql/pricingengines/barrier/fdhestonrebateengine.cpp | 10 ++++++----
ql/pricingengines/barrier/fdhestonrebateengine.hpp | 4 +++-
4 files changed, 18 insertions(+), 10 deletions(-)
commit 1796d3a1f1022d11938f348dfafbf61f8a7d04e5
Author: Andrea Maffezzoli <[email protected]>
Date: Tue, 6 Oct 2020 12:49:30 +0200
Apply MonotonicLogCubic in tests
test-suite/overnightindexedswap.cpp | 4 +---
test-suite/piecewiseyieldcurve.cpp | 8 ++------
2 files changed, 3 insertions(+), 9 deletions(-)
commit 8c93e743ad6885eb06652a32b9ba32f5e5c4a7f1
Author: Andrea Maffezzoli <[email protected]>
Date: Tue, 6 Oct 2020 00:06:51 +0200
Fixed LogMixed derived classes
ql/math/interpolations/loginterpolation.hpp | 18 ++++++++++++------
1 file changed, 12 insertions(+), 6 deletions(-)
commit 743f68238eb1fdbf93e6cc17c340916ce3fbcd6c
Author: Andrea Maffezzoli <[email protected]>
Date: Mon, 5 Oct 2020 17:28:42 +0200
Added LogMixedLinearCubic convenience classes
ql/math/interpolations/loginterpolation.hpp | 26 ++++++++++++++++++++++++++
1 file changed, 26 insertions(+)
commit 0e64cfa40672c2c07abc2f4d50bae97b4ae9be17
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Oct 2020 15:35:08 +0200
Remove unused directives
ql/tuple.hpp | 3 ---
1 file changed, 3 deletions(-)
commit 0bd3150ccc22452d84a48cf6b0046b7079ce4228
Merge: 571f762d7 dc7eff2d5
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Oct 2020 12:22:16 +0200
Merge pull request #910.
add some additional results to European swaption engine and analytic european eq/fx engine
commit a2b2e8db4778b5e712cb82c1a3b5ca4d3acb1126
Author: Luigi Ballabio <[email protected]>
Date: Sat, 3 Oct 2020 22:27:37 +0200
Try removing forward
.../equityfx/andreasenhugevolatilityinterpl.cpp | 20 +++++---------------
test-suite/fdcir.cpp | 1 -
2 files changed, 5 insertions(+), 16 deletions(-)
commit f411ff0f6acc282b5e133bac7f2364ef8a6376e3
Author: Luigi Ballabio <[email protected]>
Date: Sat, 3 Oct 2020 20:55:35 +0200
Update configure help
configure.ac | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 6d5c4d46943f98629c90715a1d1791ffdd1f46ad
Author: Andrea Maffezzoli <[email protected]>
Date: Fri, 2 Oct 2020 17:12:57 +0200
Trigger build
commit fa13693dbb97cccfb8c22ffd753c9d99316f7422
Author: Andrea Maffezzoli <[email protected]>
Date: Fri, 2 Oct 2020 17:10:38 +0200
Add LogCubic convenience classes
ql/math/interpolations/loginterpolation.hpp | 23 +++++++++++++++++++++++
1 file changed, 23 insertions(+)
commit 571f762d744ff7c33de6248d839bcade79b92339
Author: Luigi Ballabio <[email protected]>
Date: Thu, 1 Oct 2020 08:24:29 +0200
Pin clang-tidy version.
.github/workflows/tidy.yml | 3 ++-
tools/run_tidy.sh | 2 +-
2 files changed, 3 insertions(+), 2 deletions(-)
commit dc7eff2d523e17fb1a5f580e00c884549b24a3d1
Author: Peter Caspers <[email protected]>
Date: Thu, 24 Sep 2020 09:31:44 +0200
add some results to analytic european engine
ql/pricingengines/vanilla/analyticeuropeanengine.cpp | 9 +++++++++
1 file changed, 9 insertions(+)
commit 3985dfe6558bdb99463cbaf80b0cae38f6f1bfd5
Author: Peter Caspers <[email protected]>
Date: Thu, 24 Sep 2020 09:30:19 +0200
add tte and implied vol to additional results in European swaption engine
ql/pricingengines/swaption/blackswaptionengine.hpp | 2 ++
1 file changed, 2 insertions(+)
commit 9d6fccfb67cc813b572203cf94bea4da031ebad0
Author: Joseph C Wang <[email protected]>
Date: Sun, 20 Sep 2020 11:12:40 +0800
fix to have option of using std::tuple
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 2 +-
configure.ac | 23 ++++++++-
ql/Makefile.am | 1 +
.../credit/randomdefaultlatentmodel.hpp | 9 ++--
ql/experimental/credit/saddlepointlossmodel.hpp | 45 +++++++++--------
ql/experimental/models/hestonslvfdmmodel.cpp | 20 ++++----
.../meshers/concentrating1dmesher.cpp | 10 ++--
.../meshers/concentrating1dmesher.hpp | 4 +-
ql/quantlib.hpp | 1 +
.../equityfx/andreasenhugevolatilityinterpl.cpp | 31 ++++++------
.../equityfx/andreasenhugevolatilityinterpl.hpp | 6 +--
ql/tuple.hpp | 58 ++++++++++++++++++++++
ql/userconfig.hpp | 7 +++
test-suite/andreasenhugevolatilityinterpl.cpp | 10 ++--
test-suite/fdcir.cpp | 2 +-
test-suite/fdheston.cpp | 26 +++++-----
test-suite/hestonslvmodel.cpp | 46 ++++++++---------
test-suite/interpolations.cpp | 30 +++++------
18 files changed, 212 insertions(+), 119 deletions(-)
commit cfe192ccb7f7480555143e47d32ca3716599184a
Merge: 82378790a 0ec47814f
Author: Luigi Ballabio <[email protected]>
Date: Wed, 16 Sep 2020 15:20:09 +0200
Merge pull request #865.
use index.valueDate interface for vanillaswap spot date estimation
commit 82378790ad83a7c72be6bfb360e4e4315998caf6
Merge: 7a794fe5d 86e4ddcf7
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Sep 2020 09:10:26 +0200
Merge pull request #905.
fixed name clash in paralleltestrunner.hpp
commit 86e4ddcf77df2c5a4d02c115934b679bcad94eb4
Author: klausspanderen <[email protected]>
Date: Thu, 10 Sep 2020 22:15:27 +0200
fixed name clash in paralleltestrunner.hpp between
#include <boost/timer/timer.hpp>
and
#include <boost/time.hpp>
for boost version < 1.70
test-suite/paralleltestrunner.hpp | 9 +++++++--
1 file changed, 7 insertions(+), 2 deletions(-)
commit 7a794fe5d26918fe75d64a8b2693d82536c28db2
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 8 Sep 2020 17:40:03 +0000
Automated fixes by clang-tidy
ql/math/integrals/exponentialintegrals.cpp | 2 +-
ql/pricingengines/vanilla/analytichestonengine.hpp | 7 +++++--
test-suite/hestonmodel.cpp | 3 +--
3 files changed, 7 insertions(+), 5 deletions(-)
commit 3f182bbf04b4f60748f7bf73c5fbae7671531d71
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 8 Sep 2020 13:45:18 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit 0423c46de5e071c40d5191e3d5d2ca06dfad18a1
Author: Luigi Ballabio <[email protected]>
Date: Tue, 8 Sep 2020 15:43:16 +0200
Don't attribute to a human commits made by bots.
.github/workflows/copyrights.yml | 1 -
.github/workflows/misspell.yml | 1 -
2 files changed, 2 deletions(-)
commit 0ec47814ffbcd2f86fa60df64c32175dbe10cc9a
Author: Luigi Ballabio <[email protected]>
Date: Tue, 8 Sep 2020 10:00:34 +0200
Don't override null settlement days.
ql/instruments/makevanillaswap.cpp | 4 ++--
ql/termstructures/yield/ratehelpers.cpp | 10 ++--------
2 files changed, 4 insertions(+), 10 deletions(-)
commit 8b05c6ce5f94967c9fa4ef4f51c1dba405416103
Author: Luigi Ballabio <[email protected]>
Date: Tue, 8 Sep 2020 09:55:53 +0200
Comment tests properly.
test-suite/piecewiseyieldcurve.cpp | 6 +++++-
1 file changed, 5 insertions(+), 1 deletion(-)
commit e69630efbe4d7e02470a5e49752cdedd49cfc34f
Merge: a96cb5d62 04caa4277
Author: Luigi Ballabio <[email protected]>
Date: Tue, 8 Sep 2020 09:34:04 +0200
Merge pull request #898.
added control variate based on asymptotic expansion for the Heston model
commit 04caa4277dccbc7cd66a5fc4c2e2dba12dfef4e1
Author: klausspanderen <[email protected]>
Date: Sat, 5 Sep 2020 13:02:27 +0200
added namespace for exponential integrals
ql/math/integrals/exponentialintegrals.cpp | 164 +++++++++++----------
ql/math/integrals/exponentialintegrals.hpp | 16 +-
ql/pricingengines/vanilla/analytichestonengine.cpp | 1 +
test-suite/integrals.cpp | 4 +
test-suite/paralleltestrunner.hpp | 15 +-
5 files changed, 105 insertions(+), 95 deletions(-)
commit a96cb5d62479e3d2ea2e33b364bc8113dc52a84b
Merge: dcfcd84af 364091c6b
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Sep 2020 15:39:05 +0200
Merge pull request #901.
Swaption delta
commit 47d61c6dcd5f584359c05e4c617f14c73eb0cb42
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Sep 2020 16:16:47 +0200
Add test.
ql/instruments/makevanillaswap.cpp | 14 ++++++--------
test-suite/piecewiseyieldcurve.cpp | 30 ++++++++++++++++++++++++++++++
test-suite/piecewiseyieldcurve.hpp | 1 +
3 files changed, 37 insertions(+), 8 deletions(-)
commit 364091c6b4c8b3a97cc24a66ef52eb05d61ae785
Author: Marcin <[email protected]>
Date: Tue, 1 Sep 2020 14:32:48 +0200
Corrected formulas and fixed failing unit tests.
ql/pricingengines/blackformula.cpp | 8 ++++----
ql/pricingengines/swaption/blackswaptionengine.hpp | 2 +-
test-suite/blackformula.cpp | 16 ++++++++++------
3 files changed, 15 insertions(+), 11 deletions(-)
commit dcfcd84af56119e0e7c030f37241d04d97d7e42a
Merge: a043273a7 3ba21ed7d
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Sep 2020 10:38:41 +0200
Merge pull request #900.
Add a couple of rarely used day count conventions.
commit 15923d6f5c8b36e5441736e07e64b87963574d21
Author: Marcin <[email protected]>
Date: Tue, 1 Sep 2020 09:42:59 +0200
Implemented the suggested changes.
test-suite/blackformula.cpp | 10 ++++++----
test-suite/swaption.cpp | 2 +-
2 files changed, 7 insertions(+), 5 deletions(-)
commit e4d392a7c35dec4b9f851e1fc03c479456f1c982
Author: Marcin <[email protected]>
Date: Tue, 1 Sep 2020 09:14:05 +0200
Correction to fix the build of some compilers.
test-suite/blackformula.cpp | 8 ++++----
test-suite/swaption.cpp | 2 +-
2 files changed, 5 insertions(+), 5 deletions(-)
commit 3ba21ed7d563c44261f8ff2203b828525df0d4d2
Author: lballabio <[email protected]>
Date: Mon, 31 Aug 2020 15:07:48 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2d40629e2e10e3ffaf32ddc1259196b785470cec
Author: Luigi Ballabio <[email protected]>
Date: Mon, 31 Aug 2020 16:41:57 +0200
Add a couple of rarely used day count conventions.
QuantLib.vcxproj | 3 +++
QuantLib.vcxproj.filters | 9 +++++++
ql/CMakeLists.txt | 3 +++
ql/time/daycounters/Makefile.am | 7 ++++--
ql/time/daycounters/actual364.hpp | 52 +++++++++++++++++++++++++++++++++++++++
ql/time/daycounters/all.hpp | 2 ++
ql/time/daycounters/thirty365.cpp | 36 +++++++++++++++++++++++++++
ql/time/daycounters/thirty365.hpp | 52 +++++++++++++++++++++++++++++++++++++++
test-suite/daycounters.cpp | 26 ++++++++++++++++++++
test-suite/daycounters.hpp | 1 +
10 files changed, 189 insertions(+), 2 deletions(-)
commit 5f3c3438638d577f7aa3898f80f7bc250f355e47
Author: Klaus Spanderen <[email protected]>
Date: Sun, 30 Aug 2020 15:53:39 +0200
added reference to new control variate
ql/pricingengines/vanilla/analytichestonengine.hpp | 1 +
1 file changed, 1 insertion(+)
commit 42278945a57d56935493809b2686e7e26d10326a
Author: Marcin <[email protected]>
Date: Thu, 27 Aug 2020 20:05:12 +0200
Updated copyright in changed files.
ql/pricingengines/blackformula.cpp | 1 +
ql/pricingengines/blackformula.hpp | 1 +
ql/pricingengines/swaption/blackswaptionengine.hpp | 1 +
test-suite/blackformula.cpp | 1 +
test-suite/blackformula.hpp | 1 +
test-suite/swaption.cpp | 1 +
test-suite/swaption.hpp | 1 +
7 files changed, 7 insertions(+)
commit c12db49280080393b3226d2e69187f79368fe0bc
Author: Marcin <[email protected]>
Date: Wed, 26 Aug 2020 21:17:12 +0200
Changed naming convention to camelCase.
test-suite/blackformula.cpp | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
commit 3e87f83b786170db6313d3ad2c1d8fc098532125
Author: Marcin <[email protected]>
Date: Wed, 26 Aug 2020 21:14:52 +0200
Changed naming convention to camelCase.
test-suite/blackformula.cpp | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
commit 1073357863053306452d992208092d6a848fe30d
Author: Klaus Spanderen <[email protected]>
Date: Mon, 24 Aug 2020 22:52:48 +0200
clang-tidy is wrong here
test-suite/paralleltestrunner.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 28044894a4104d99c71979e50447e1a09f1ee6b7
Author: Klaus Spanderen <[email protected]>
Date: Sun, 23 Aug 2020 17:59:22 +0200
fixed all.hpp in math/integrals
ql/math/integrals/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 29e1e2fb1710f8704bb942adb6104e8a9a05c69b
Author: Klaus Spanderen <[email protected]>
Date: Sun, 23 Aug 2020 17:53:45 +0200
.
test-suite/paralleltestrunner.hpp | 1014 ++++++++++++++++++-------------------
1 file changed, 507 insertions(+), 507 deletions(-)
commit a043273a77ae7d7ec0d165478067c79ff3c9415c
Merge: b045a6d78 77b428de7
Author: Luigi Ballabio <[email protected]>
Date: Fri, 14 Aug 2020 09:03:50 +0200
Merge pull request #892.
Add inspectors to SABR smile section; remove duplication; add test
commit 77b428de762827930f9b3d5ef9e65b560aaa33a4
Author: Luigi Ballabio <[email protected]>
Date: Thu, 13 Aug 2020 19:54:25 +0200
Add test for SABR smile sections.
ql/termstructures/volatility/sabrsmilesection.cpp | 17 +---
ql/termstructures/volatility/sabrsmilesection.hpp | 5 +
test-suite/swaptionvolatilitycube.cpp | 117 +++++++++++++++++++++-
test-suite/swaptionvolatilitycube.hpp | 1 +
4 files changed, 124 insertions(+), 16 deletions(-)
commit b045a6d78519fafd1f99d3b7017f5cda69f553c3
Author: Luigi Ballabio <[email protected]>
Date: Wed, 12 Aug 2020 16:40:02 +0200
Split Travis build in stages and update environment.
.travis.yml | 576 +++++++++++++++++++++++++++++++++++++++++++++++-------------
1 file changed, 457 insertions(+), 119 deletions(-)
commit 21ede9ab851e28b3198128bfeaa1cb89d18eeb2c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 12 Aug 2020 15:02:12 +0200
Add another bond test.
test-suite/bonds.cpp | 123 +++++++++++++++++++++++++++++++++++++++++++++++++++
test-suite/bonds.hpp | 1 +
2 files changed, 124 insertions(+)
commit 2e1e1290f693a34b7a0330fd4016d7a52091597c
Merge: 3f215367f 003d083f8
Author: Luigi Ballabio <[email protected]>
Date: Wed, 12 Aug 2020 13:42:16 +0200
Merge pull request #889.
A few small changes
commit 003d083f84c9e7e0451288c87588b25d9452f495
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 11 Aug 2020 19:06:35 +0000
Automated fixes by clang-tidy
ql/math/optimization/simplex.hpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 90eef4da4dd2cb215d11208be1ceffc42eed7d4d
Author: Luigi Ballabio <[email protected]>
Date: Tue, 11 Aug 2020 18:45:26 +0200
Shorter code, avoid useless reserve call.
ql/timegrid.hpp | 7 ++-----
1 file changed, 2 insertions(+), 5 deletions(-)
commit 77de2092eb7a159e3d2d2f7a3e45830252063079
Author: Luigi Ballabio <[email protected]>
Date: Tue, 11 Aug 2020 18:44:42 +0200
Invalidate previous curve if the number of helpers changed.
ql/termstructures/iterativebootstrap.hpp | 1 +
1 file changed, 1 insertion(+)
commit b7c66db2145ead597ca8f15f749c2d51ff8d655c
Author: Luigi Ballabio <[email protected]>
Date: Tue, 11 Aug 2020 18:44:16 +0200
Add inspectors for data members.
ql/math/optimization/simplex.hpp | 1 +
ql/pricingengines/inflation/inflationcapfloorengines.hpp | 1 +
2 files changed, 2 insertions(+)
commit 6496fb6ea4515f47320983a1bdbad07e4b2ee112
Author: Luigi Ballabio <[email protected]>
Date: Tue, 11 Aug 2020 18:43:41 +0200
Fix types in template code.
ql/math/interpolations/xabrinterpolation.hpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 3f215367fa7acf689d231ff6569c1616e0e7024b
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 11 Aug 2020 14:10:49 +0200
Automated fixes by clang-tidy
Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Co-authored-by: Luigi Ballabio <[email protected]>
test-suite/callablebonds.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit ab5ee60b66681ce240aa1df044804ef99c33b62b
Merge: 2183c97bd cee482d2b
Author: Luigi Ballabio <[email protected]>
Date: Tue, 11 Aug 2020 09:08:18 +0200
Merge pull request #885.
Small fixes to callable bonds; add tests.
commit cee482d2b1fe8f1c8f2afc21befec561950ca0d0
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 10 Aug 2020 18:52:24 +0000
Automated fixes by clang-tidy
test-suite/callablebonds.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2183c97bddc325a61634cb4f48a1c9c9287fc50a
Merge: 9d3db6dc5 dd6e5a260
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Aug 2020 21:00:02 +0200
Merge pull request #884.
Add missing HK public holiday(2015-09-03)
commit e334a67e58e1db89a8a884c8a1d713c7a610090e
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Aug 2020 19:02:19 +0200
Add new files to projects.
test-suite/CMakeLists.txt | 1 +
test-suite/testsuite.vcxproj | 2 ++
test-suite/testsuite.vcxproj.filters | 6 ++++++
3 files changed, 9 insertions(+)
commit 9d3db6dc5e7ea282f0d9ffbd9b01981d56a10081
Merge: afc6f0218 5ed591cb4
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Aug 2020 18:25:31 +0200
Merge pull request #883.
Fixes for a couple of calendars.
commit a8de45aa0a25d44a42c843a074940866a9459fc0
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Aug 2020 18:17:52 +0200
Small fixes to callable bonds; add tests.
.../discretizedcallablefixedratebond.cpp | 12 +-
.../callablebonds/treecallablebondengine.cpp | 20 +-
test-suite/Makefile.am | 2 +
test-suite/callablebonds.cpp | 590 +++++++++++++++++++++
test-suite/callablebonds.hpp | 36 ++
test-suite/quantlibtestsuite.cpp | 2 +
6 files changed, 645 insertions(+), 17 deletions(-)
commit dd6e5a260b77b0f9e2fcfc72e4cbe9891ad947c3
Author: CarrieMY <[email protected]>
Date: Sat, 8 Aug 2020 18:29:42 +0800
Add missing HK public holiday(2015-09-03)
ql/time/calendars/hongkong.cpp | 3 +++
1 file changed, 3 insertions(+)
commit 5ed591cb425867adabfd4ed57878a370fed66daa
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Aug 2020 10:01:19 +0200
Fixes for a couple of calendars.
ql/time/calendars/romania.cpp | 38 +++++++++++++++++++++++++++++++++-----
ql/time/calendars/romania.hpp | 17 ++++++++++++++---
ql/time/calendars/russia.cpp | 8 +++++++-
ql/time/calendars/russia.hpp | 4 +++-
4 files changed, 57 insertions(+), 10 deletions(-)
commit afc6f0218446cb8cc71ee57fdefd4387c0471043
Merge: ddf98f417 5152e29d6
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Aug 2020 09:05:16 +0200
Merge pull request #882.
Add or improve a few checks.
commit 5152e29d60b51b2c6f0e61c582a8eebc607ca769
Author: Luigi Ballabio <[email protected]>
Date: Sun, 9 Aug 2020 22:53:05 +0200
Add or improve a few checks.
ql/cashflows/cashflows.cpp | 2 ++
ql/cashflows/yoyinflationcoupon.cpp | 1 +
ql/methods/lattices/trinomialtree.cpp | 2 ++
ql/pricingengines/bond/bondfunctions.cpp | 5 ++---
ql/termstructures/inflationtermstructure.cpp | 2 +-
5 files changed, 8 insertions(+), 4 deletions(-)
commit ddf98f41711ef53267709bb0913079bdf129007a
Merge: 32f864a1f e9f4deacb
Author: Luigi Ballabio <[email protected]>
Date: Sat, 8 Aug 2020 22:15:10 +0200
Merge pull request #878.
Add ex-coupon feature to more bonds.
commit e9f4deacb8c65e7dae8e75be8578f9e748921ed9
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sat, 8 Aug 2020 11:33:03 +0000
Automated fixes by clang-tidy
.../amortizingbonds/amortizingfixedratebond.hpp | 23 ++++----
.../amortizingbonds/amortizingfloatingratebond.hpp | 37 ++++++------
.../convertiblebonds/convertiblebond.hpp | 66 +++++++++++-----------
3 files changed, 60 insertions(+), 66 deletions(-)
commit e6353d16fca5d8f2290a9814adbb8e3302c26c16
Author: Luigi Ballabio <[email protected]>
Date: Sat, 8 Aug 2020 11:56:15 +0200
Manage accrual ex-coupon between end coupon date and payment date.
ql/cashflows/fixedratecoupon.cpp | 4 +++-
ql/cashflows/floatingratecoupon.cpp | 4 +++-
2 files changed, 6 insertions(+), 2 deletions(-)
commit a0816499c7b296dbc7013f2adc2f81fec9776686
Author: Luigi Ballabio <[email protected]>
Date: Sat, 8 Aug 2020 10:38:54 +0200
Replace boost:: with ext::
test-suite/cashflows.cpp | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
commit d6cf4b938ffaeab3581e09727112ecb62b6f86d4
Author: Luigi Ballabio <[email protected]>
Date: Fri, 7 Aug 2020 23:34:29 +0200
Add ex-coupon feature to more bonds.
ql/cashflows/capflooredcoupon.cpp | 3 +-
ql/cashflows/cmscoupon.cpp | 17 ++++-
ql/cashflows/cmscoupon.hpp | 8 ++
.../amortizingbonds/amortizingfixedratebond.cpp | 12 ++-
.../amortizingbonds/amortizingfixedratebond.hpp | 6 +-
.../amortizingbonds/amortizingfloatingratebond.cpp | 10 ++-
.../amortizingbonds/amortizingfloatingratebond.hpp | 6 +-
ql/experimental/callablebonds/callablebond.cpp | 15 +++-
ql/experimental/callablebonds/callablebond.hpp | 6 +-
.../convertiblebonds/convertiblebond.cpp | 24 +++++-
.../convertiblebonds/convertiblebond.hpp | 12 ++-
test-suite/cashflows.cpp | 85 ++++++++++++++++++++++
test-suite/cashflows.hpp | 1 +
13 files changed, 188 insertions(+), 17 deletions(-)
commit 5b045863dc63546a582868c336789ef79a706ae6
Author: Klaus Spanderen <[email protected]>
Date: Fri, 7 Aug 2020 15:38:10 +0200
clang tidy is wrong here
test-suite/paralleltestrunner.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 32f864a1f5e02114e5edcaf23d107f8b9a0f805e
Author: Luigi Ballabio <[email protected]>
Date: Thu, 6 Aug 2020 17:38:47 +0200
Fix mixed EOLs.
.../processes/extendedornsteinuhlenbeckprocess.hpp | 2 +-
ql/math/optimization/differentialevolution.hpp | 428 ++++-----
.../analyticcontinuouspartialfixedlookback.cpp | 6 +-
.../analyticcontinuouspartialfloatinglookback.cpp | 6 +-
test-suite/fdcir.hpp | 72 +-
test-suite/fdheston.hpp | 94 +-
test-suite/paralleltestrunner.hpp | 1014 ++++++++++----------
7 files changed, 811 insertions(+), 811 deletions(-)
commit 1ed415b22fdde719732f131b018fec4fcd5524b9
Author: Klaus Spanderen <[email protected]>
Date: Fri, 7 Aug 2020 12:20:34 +0200
fixed test case
ql/math/integrals/exponentialintegrals.cpp | 8 +-------
ql/pricingengines/vanilla/analytichestonengine.cpp | 2 +-
test-suite/hestonmodel.cpp | 8 ++------
test-suite/integrals.cpp | 2 +-
4 files changed, 5 insertions(+), 15 deletions(-)
commit afb0336ab94354d18955a027071b4016bbe86f42
Merge: 4b8b1ec1d 4f4fae0bb
Author: Luigi Ballabio <[email protected]>
Date: Fri, 7 Aug 2020 11:03:39 +0200
Merge pull request #876.
Use custom typedef for session id.
commit 0d55407f1241f82ac6600ff88a562aa3d79cef3f
Author: Klaus Spanderen <[email protected]>
Date: Thu, 6 Aug 2020 20:53:18 +0200
change default to auto selection of best control variate
ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp | 9 +++++++--
1 file changed, 7 insertions(+), 2 deletions(-)
commit f8ff5d256b670fc8a5c54b9001c772e253703c1c
Author: Klaus Spanderen <[email protected]>
Date: Thu, 6 Aug 2020 20:39:11 +0200
E1 is also good for |z| < 25.0
ql/math/integrals/exponentialintegrals.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3750195b71df1f186e3f17d34e640ed5f5cbe59b
Author: Klaus Spanderen <[email protected]>
Date: Thu, 6 Aug 2020 20:35:06 +0200
removed debug information
test-suite/integrals.cpp | 1 -
1 file changed, 1 deletion(-)
commit ba363e09ba3f43845affaae654dbd7b254fde5d2
Author: Klaus Spanderen <[email protected]>
Date: Thu, 6 Aug 2020 20:24:12 +0200
revert change
CMakeLists.txt | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c95b3d44aa225ffb8ad625e626383a027691aea9
Author: Klaus Spanderen <[email protected]>
Date: Thu, 6 Aug 2020 20:19:30 +0200
added Heston control variate based on asymptotic characteristic function
CMakeLists.txt | 2 +-
QuantLib.vcxproj | 4 +-
QuantLib.vcxproj.filters | 8 +-
ql/CMakeLists.txt | 2 +
ql/math/integrals/Makefile.am | 2 +
ql/math/integrals/exponentialintegrals.cpp | 186 +++++++++++++++++
ql/math/integrals/exponentialintegrals.hpp | 40 ++++
ql/pricingengines/vanilla/analytichestonengine.cpp | 155 ++++++++++-----
ql/pricingengines/vanilla/analytichestonengine.hpp | 36 +++-
.../vanilla/exponentialfittinghestonengine.cpp | 58 ++----
.../vanilla/exponentialfittinghestonengine.hpp | 8 +-
test-suite/hestonmodel.cpp | 140 +++++++++++++
test-suite/hestonmodel.hpp | 2 +
test-suite/integrals.cpp | 221 +++++++++++++++++++++
test-suite/integrals.hpp | 2 +
15 files changed, 773 insertions(+), 93 deletions(-)
commit a71066960dcf826e425af850318908697eeb84f7
Author: Marcin <[email protected]>
Date: Thu, 6 Aug 2020 18:52:30 +0200
Removed unused reference.
test-suite/swaption.cpp | 1 -
1 file changed, 1 deletion(-)
commit 726096d57fa88b4b6dbac8fa046d0bae0dc91059
Author: Marcin <[email protected]>
Date: Thu, 6 Aug 2020 18:39:31 +0200
Corrected typos in the comments.
test-suite/blackformula.cpp | 4 ++--
test-suite/swaption.cpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit 4f4fae0bbe44f88d17293721f9eeb6c15ee23040
Author: Luigi Ballabio <[email protected]>
Date: Thu, 6 Aug 2020 12:52:02 +0200
Avoid warning in unity mode
ql/cashflows/couponpricer.hpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 098821519247ab02abe00a97162651bb8c9a14d5
Author: Luigi Ballabio <[email protected]>
Date: Wed, 5 Aug 2020 22:04:07 +0200
Use custom typedef for session id.
This makes it possible to redefine it.
Examples/BasketLosses/BasketLosses.cpp | 2 +-
Examples/BermudanSwaption/BermudanSwaption.cpp | 2 +-
Examples/Bonds/Bonds.cpp | 2 +-
Examples/CDS/CDS.cpp | 2 +-
Examples/CVAIRS/CVAIRS.cpp | 2 +-
Examples/CallableBonds/CallableBonds.cpp | 2 +-
Examples/ConvertibleBonds/ConvertibleBonds.cpp | 2 +-
Examples/DiscreteHedging/DiscreteHedging.cpp | 2 +-
Examples/EquityOption/EquityOption.cpp | 2 +-
Examples/FRA/FRA.cpp | 2 +-
Examples/FittedBondCurve/FittedBondCurve.cpp | 2 +-
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 3 ++-
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 2 +-
Examples/LatentModel/LatentModel.cpp | 2 +-
Examples/MarketModels/MarketModels.cpp | 2 +-
.../MulticurveBootstrapping.cpp | 2 +-
Examples/MultidimIntegral/MultidimIntegral.cpp | 3 ++-
Examples/Replication/Replication.cpp | 2 +-
Examples/Repo/Repo.cpp | 2 +-
ql/patterns/singleton.hpp | 29 ++++++++++++++++------
test-suite/quantlibbenchmark.cpp | 2 +-
test-suite/quantlibtestsuite.cpp | 2 +-
22 files changed, 45 insertions(+), 28 deletions(-)
commit 4b8b1ec1d48065ca7b7c40d217dee74f7715259c
Merge: 223026d41 2374d5a38
Author: Luigi Ballabio <[email protected]>
Date: Wed, 5 Aug 2020 16:07:14 +0200
Merge pull request #875.
Add basic doc comments to include all classes inheriting from OptimizationMethod in doxygen
commit 2374d5a385d7af818223365c53df6f22d3c0d4f9
Author: martinbrose <[email protected]>
Date: Wed, 5 Aug 2020 11:45:09 +0100
Move comment above template for code consistency
ql/math/optimization/simulatedannealing.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit baca5aafcad00ec19d16da5c137811b5ea27d276
Author: Marcin <[email protected]>
Date: Wed, 5 Aug 2020 10:34:36 +0200
Added a comment in swaption delta unit test.
test-suite/swaption.cpp | 5 +++++
1 file changed, 5 insertions(+)
commit 28194e15f087e70199792d9bc6338f1d9706e9f3
Author: martinbrose <[email protected]>
Date: Tue, 4 Aug 2020 23:35:58 +0100
Add doc comments to include all classes inheriting from OptimizationMethod in doxygen
ql/math/optimization/linesearchbasedmethod.hpp | 1 +
ql/math/optimization/simulatedannealing.hpp | 1 +
2 files changed, 2 insertions(+)
commit d287d233a59ca838de099350db2c1cf472e4d4c1
Author: Marcin <[email protected]>
Date: Mon, 3 Aug 2020 21:44:06 +0200