Remove features deprecated in version 1.28 (#1815)

lballabio · Oct 20, 2023 · 0a745fa · 0a745fa
2 parents 23156db + 24bbaaa
commit 0a745fa
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Showing 25 changed files with 7 additions and 648 deletions.
diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
@@ -543,10 +543,6 @@
     <ClInclude Include="ql\currencies\exchangeratemanager.hpp" />
     <ClInclude Include="ql\currencies\oceania.hpp" />
     <ClInclude Include="ql\experimental\all.hpp" />
-    <ClInclude Include="ql\experimental\amortizingbonds\all.hpp" />
-    <ClInclude Include="ql\experimental\amortizingbonds\amortizingcmsratebond.hpp" />
-    <ClInclude Include="ql\experimental\amortizingbonds\amortizingfixedratebond.hpp" />
-    <ClInclude Include="ql\experimental\amortizingbonds\amortizingfloatingratebond.hpp" />
     <ClInclude Include="ql\experimental\asian\all.hpp" />
     <ClInclude Include="ql\experimental\asian\analytic_cont_geom_av_price_heston.hpp" />
     <ClInclude Include="ql\experimental\asian\analytic_discr_geom_av_price_heston.hpp" />

diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
@@ -244,9 +244,6 @@
     <Filter Include="experimental">
       <UniqueIdentifier>{4eadb3fc-a4ce-4e0c-bfe5-f23777a30a8d}</UniqueIdentifier>
     </Filter>
-    <Filter Include="experimental\amortizingbonds">
-      <UniqueIdentifier>{101d6cdd-3e77-48cd-8bec-c84a252324f0}</UniqueIdentifier>
-    </Filter>
     <Filter Include="experimental\averageois">
       <UniqueIdentifier>{33f1be16-e858-4cfe-ba9c-483609826221}</UniqueIdentifier>
     </Filter>
@@ -3606,18 +3603,6 @@
     <ClInclude Include="ql\experimental\commodities\unitofmeasureconversionmanager.hpp">
       <Filter>experimental\commodities</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\amortizingbonds\all.hpp">
-      <Filter>experimental\amortizingbonds</Filter>
-    </ClInclude>
-    <ClInclude Include="ql\experimental\amortizingbonds\amortizingcmsratebond.hpp">
-      <Filter>experimental\amortizingbonds</Filter>
-    </ClInclude>
-    <ClInclude Include="ql\experimental\amortizingbonds\amortizingfixedratebond.hpp">
-      <Filter>experimental\amortizingbonds</Filter>
-    </ClInclude>
-    <ClInclude Include="ql\experimental\amortizingbonds\amortizingfloatingratebond.hpp">
-      <Filter>experimental\amortizingbonds</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\averageois\all.hpp">
       <Filter>experimental\averageois</Filter>
     </ClInclude>

diff --git a/cmake/GenerateHeaders.cmake b/cmake/GenerateHeaders.cmake
@@ -41,15 +41,8 @@ function(generate_dir_headers source_dir binary_dir)
     list(FILTER children_hpp EXCLUDE REGEX "swaptionvolcube2.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "swaptionvolcube1a.hpp")
 
-    # The ql/experimental/amortizingbonds have been moved to ql/instruments/bonds
+    # These headers were moved to another location.
     # Therefore, we can ignore them as they only contain a warning and the new includes.
-    if (${source_dir} MATCHES "experimental" AND ${source_dir} MATCHES "amortizingbonds")
-        list(FILTER children_hpp EXCLUDE REGEX "amortizingfixedratebond.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "amortizingfloatingratebond.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "amortizingcmsratebond.hpp")
-    endif ()
-
-    # Same for some headers in experimental/exoticoptions
     if (${source_dir} MATCHES "experimental" AND ${source_dir} MATCHES "exoticoptions")
         list(FILTER children_hpp EXCLUDE REGEX "margrabeoption.hpp")
         list(FILTER children_hpp EXCLUDE REGEX "analyticamericanmargrabeengine.hpp")

diff --git a/configure.ac b/configure.ac
@@ -528,7 +528,6 @@ AC_CONFIG_FILES([
     ql/cashflows/Makefile
     ql/currencies/Makefile
     ql/experimental/Makefile
-    ql/experimental/amortizingbonds/Makefile
     ql/experimental/asian/Makefile
     ql/experimental/averageois/Makefile
     ql/experimental/barrieroption/Makefile

diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
@@ -988,9 +988,6 @@ set(QL_HEADERS
     event.hpp
     exchangerate.hpp
     exercise.hpp
-    experimental/amortizingbonds/amortizingcmsratebond.hpp
-    experimental/amortizingbonds/amortizingfixedratebond.hpp
-    experimental/amortizingbonds/amortizingfloatingratebond.hpp
     experimental/asian/analytic_cont_geom_av_price_heston.hpp
     experimental/asian/analytic_discr_geom_av_price_heston.hpp
     experimental/averageois/arithmeticaverageois.hpp
@@ -2235,7 +2232,6 @@ set(QL_GENERATED_HEADERS
     ${PROJECT_BINARY_DIR}/ql/cashflows/all.hpp
     ${PROJECT_BINARY_DIR}/ql/currencies/all.hpp
     ${PROJECT_BINARY_DIR}/ql/experimental/all.hpp
-    ${PROJECT_BINARY_DIR}/ql/experimental/amortizingbonds/all.hpp
     ${PROJECT_BINARY_DIR}/ql/experimental/asian/all.hpp
     ${PROJECT_BINARY_DIR}/ql/experimental/averageois/all.hpp
     ${PROJECT_BINARY_DIR}/ql/experimental/barrieroption/all.hpp

diff --git a/ql/experimental/Makefile.am b/ql/experimental/Makefile.am
@@ -1,5 +1,5 @@
 
-SUBDIRS = amortizingbonds asian averageois barrieroption basismodels \
+SUBDIRS = asian averageois barrieroption basismodels \
           callablebonds catbonds commodities coupons credit \
           exoticoptions finitedifferences forward fx inflation lattices \
           math mcbasket models processes risk shortrate swaptions \

diff --git a/ql/experimental/all.hpp b/ql/experimental/all.hpp
@@ -1,7 +1,6 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
-#include <ql/experimental/amortizingbonds/all.hpp>
 #include <ql/experimental/asian/all.hpp>
 #include <ql/experimental/averageois/all.hpp>
 #include <ql/experimental/barrieroption/all.hpp>

diff --git a/ql/experimental/amortizingbonds/Makefile.am b/ql/experimental/amortizingbonds/Makefile.am
diff --git a/ql/experimental/amortizingbonds/all.hpp b/ql/experimental/amortizingbonds/all.hpp
diff --git a/ql/experimental/amortizingbonds/amortizingcmsratebond.hpp b/ql/experimental/amortizingbonds/amortizingcmsratebond.hpp
diff --git a/ql/experimental/amortizingbonds/amortizingfixedratebond.hpp b/ql/experimental/amortizingbonds/amortizingfixedratebond.hpp
diff --git a/ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp b/ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp
diff --git a/ql/experimental/callablebonds/callablebond.cpp b/ql/experimental/callablebonds/callablebond.cpp
@@ -138,21 +138,6 @@ namespace QuantLib {
         return solver.solve(f, accuracy, guess, minVol, maxVol);
     }
 
-    Volatility CallableBond::impliedVolatility(
-                              Real targetValue,
-                              const Handle<YieldTermStructure>& discountCurve,
-                              Real accuracy,
-                              Size maxEvaluations,
-                              Volatility minVol,
-                              Volatility maxVol) const {
-        QL_REQUIRE(!isExpired(), "instrument expired");
-        Volatility guess = 0.5 * (minVol + maxVol);
-        ImpliedVolHelper f(*this, discountCurve, targetValue, true);
-        Brent solver;
-        solver.setMaxEvaluations(maxEvaluations);
-        return solver.solve(f, accuracy, guess, minVol, maxVol);
-    }
-
 
     namespace {
 

diff --git a/ql/experimental/callablebonds/callablebond.hpp b/ql/experimental/callablebonds/callablebond.hpp
@@ -79,20 +79,6 @@ namespace QuantLib {
                               Volatility minVol,
                               Volatility maxVol) const;
 
-        /*! \warning This version of the method takes an NPV as target, not a price.
-
-            \deprecated Use the other overload.
-                        Deprecated in version 1.28.
-        */
-        QL_DEPRECATED
-        Volatility impliedVolatility(
-                              Real targetValue,
-                              const Handle<YieldTermStructure>& discountCurve,
-                              Real accuracy,
-                              Size maxEvaluations,
-                              Volatility minVol,
-                              Volatility maxVol) const;
-
         //! Calculate the Option Adjusted Spread (OAS)
         /*! Calculates the spread that needs to be added to the
             reference curve so that the theoretical model value

diff --git a/ql/instruments/bonds/amortizingfixedratebond.cpp b/ql/instruments/bonds/amortizingfixedratebond.cpp
@@ -60,74 +60,6 @@ namespace QuantLib {
     }
 
 
-    AmortizingFixedRateBond::AmortizingFixedRateBond(
-                                      Natural settlementDays,
-                                      const Calendar& calendar,
-                                      Real initialFaceAmount,
-                                      const Date& startDate,
-                                      const Period& bondTenor,
-                                      const Frequency& sinkingFrequency,
-                                      const Rate coupon,
-                                      const DayCounter& accrualDayCounter,
-                                      BusinessDayConvention paymentConvention,
-                                      const Date& issueDate)
-    : Bond(settlementDays, calendar, issueDate),
-      frequency_(sinkingFrequency),
-      dayCounter_(accrualDayCounter) {
-
-        QL_REQUIRE(bondTenor.length() > 0,
-                   "bond tenor must be positive. "
-                   << bondTenor << " is not allowed.");
-        maturityDate_ = startDate + bondTenor;
-
-        cashflows_ =
-            FixedRateLeg(sinkingSchedule(startDate, bondTenor,
-                                         sinkingFrequency, calendar))
-            .withNotionals(sinkingNotionals(bondTenor,
-                                            sinkingFrequency, coupon,
-                                            initialFaceAmount))
-            .withCouponRates(coupon, accrualDayCounter)
-            .withPaymentAdjustment(paymentConvention);
-
-        addRedemptionsToCashflows();
-    }
-
-
-    AmortizingFixedRateBond::AmortizingFixedRateBond(
-                                      Natural settlementDays,
-                                      const std::vector<Real>& notionals,
-                                      const Schedule& schedule,
-                                      const std::vector<InterestRate>& coupons,
-                                      BusinessDayConvention paymentConvention,
-                                      const Date& issueDate,
-                                      const Calendar& paymentCalendar,
-                                      const Period& exCouponPeriod,
-                                      const Calendar& exCouponCalendar,
-                                      const BusinessDayConvention exCouponConvention,
-                                      bool exCouponEndOfMonth)
-    : Bond(settlementDays,
-        paymentCalendar==Calendar() ? schedule.calendar() : paymentCalendar,
-        issueDate),
-      frequency_(schedule.tenor().frequency()),
-      dayCounter_(coupons[0].dayCounter()) {
-
-        maturityDate_ = schedule.endDate();
-
-        cashflows_ = FixedRateLeg(schedule)
-            .withNotionals(notionals)
-            .withCouponRates(coupons)
-            .withPaymentAdjustment(paymentConvention)
-            .withExCouponPeriod(exCouponPeriod,
-                                exCouponCalendar,
-                                exCouponConvention,
-                                exCouponEndOfMonth);
-
-        addRedemptionsToCashflows();
-
-        QL_ENSURE(!cashflows().empty(), "bond with no cashflows!");
-    }
-
-
     Schedule sinkingSchedule(const Date& startDate,
                              const Period& bondLength,
                              const Frequency& frequency,

diff --git a/ql/instruments/bonds/amortizingfixedratebond.hpp b/ql/instruments/bonds/amortizingfixedratebond.hpp
@@ -48,39 +48,6 @@ namespace QuantLib {
                                 const std::vector<Real>& redemptions = { 100.0 },
                                 Natural paymentLag = 0);
 
-        /*! \deprecated Use the other constructor after calling sinkingSchedule
-                        and sinkingNotionals to generate the required parameters.
-                        Deprecated in version 1.28.
-        */
-        QL_DEPRECATED
-        AmortizingFixedRateBond(Natural settlementDays,
-                                const Calendar& calendar,
-                                Real faceAmount,
-                                const Date& startDate,
-                                const Period& bondTenor,
-                                const Frequency& sinkingFrequency,
-                                Rate coupon,
-                                const DayCounter& accrualDayCounter,
-                                BusinessDayConvention paymentConvention = Following,
-                                const Date& issueDate = Date());
-
-        /*! \deprecated Build a FixedRateLeg instead and use it
-                        to create an instance of the base Bond class.
-                        Deprecated in version 1.28.
-        */
-        QL_DEPRECATED
-        AmortizingFixedRateBond(Natural settlementDays,
-                                const std::vector<Real>& notionals,
-                                const Schedule& schedule,
-                                const std::vector<InterestRate>& coupons,
-                                BusinessDayConvention paymentConvention = Following,
-                                const Date& issueDate = Date(),
-                                const Calendar& paymentCalendar = Calendar(),
-                                const Period& exCouponPeriod = Period(),
-                                const Calendar& exCouponCalendar = Calendar(),
-                                BusinessDayConvention exCouponConvention = Unadjusted,
-                                bool exCouponEndOfMonth = false);
-
         Frequency frequency() const { return frequency_; }
         const DayCounter& dayCounter() const { return dayCounter_; }
       protected: