commit a5560b4f5b7628ba6702d5015ce9104a24140863 Author: Luigi Ballabio Date: Sun, 17 Feb 2019 16:37:09 +0100 Relax tolerance in a couple of tests. test-suite/creditdefaultswap.cpp | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) commit 499d9afa67f649746741018ad66ab4d25560de50 Author: Luigi Ballabio Date: Fri, 8 Feb 2019 14:13:08 +0100 Deprecated positive-rates switch. News.md | 13 +++++++++++-- 1 file changed, 11 insertions(+), 2 deletions(-) commit bd8dab8e5a60ebeb76e9f18e90f213906d790d62 Author: Luigi Ballabio Date: Fri, 8 Feb 2019 14:06:43 +0100 Add missing header. ql/experimental/math/piecewiseintegral.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 12103384c9b801e816405af4ee5401e42d8e7864 Author: Luigi Ballabio Date: Tue, 5 Feb 2019 16:18:48 +0100 Fix distribution. Makefile.am | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 6c99ca7f7835bd773c72169886b8d583a75669d2 Author: Luigi Ballabio Date: Tue, 5 Feb 2019 16:14:07 +0100 Update changelog and news. ChangeLog.txt | 5228 +++++++++++++---------------------------------- Contributors.txt | 6 + Docs/pages/authors.docs | 6 + Docs/pages/history.docs | 77 +- News.md | 108 + News.txt | 121 -- 6 files changed, 1602 insertions(+), 3944 deletions(-) commit 5713908c0493eb4e02afc1d308193281b80f8ec7 Author: Luigi Ballabio Date: Tue, 5 Feb 2019 16:13:07 +0100 A few doc fixes. configure.ac | 6 ++--- ql/experimental/math/fireflyalgorithm.hpp | 20 +++++++++----- ql/experimental/math/levyflightdistribution.hpp | 17 +++++++----- ql/experimental/math/particleswarmoptimization.hpp | 31 ++++++++++++++-------- 4 files changed, 48 insertions(+), 26 deletions(-) commit 31081682a9bf32ed95e5f1a254df9b41659d3f35 Author: Luigi Ballabio Date: Sat, 2 Feb 2019 10:29:13 +0100 Prevent compilation errors on older VC++ compilers. ql/time/daycounters/actualactual.cpp | 8 ++++---- test-suite/daycounters.cpp | 2 +- 2 files changed, 5 insertions(+), 5 deletions(-) commit 87f1710899fff6d13c25a83b9e034f4001a7baf0 Author: Luigi Ballabio Date: Sat, 2 Feb 2019 10:15:56 +0100 Avoid loss-of-precision warning in VC++. test-suite/daycounters.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit eb02391a1c79009c0f1ba6ef235a424bed60c576 Author: Luigi Ballabio Date: Tue, 29 Jan 2019 12:07:46 +0100 Add Boost 1.48 to build matrix. .travis.yml | 4 ++++ 1 file changed, 4 insertions(+) commit 128ab151d45895af48dc3ac6ee999ccdfa38501b Merge: 2e0846cd9 745a1da78 Author: Luigi Ballabio Date: Tue, 29 Jan 2019 11:01:15 +0100 Merge pull request #594. commit 2e0846cd99790a2c9e9f44add92c8b8dafca9a26 Author: Luigi Ballabio Date: Mon, 28 Jan 2019 17:32:14 +0100 Update copyright notice. Docs/pages/license.docs | 2 ++ LICENSE.TXT | 2 ++ 2 files changed, 4 insertions(+) commit 67f8b02f4fc8643bad770d8b14a5a5618881161e Author: Luigi Ballabio Date: Mon, 28 Jan 2019 17:21:54 +0100 Fix a few test messages. test-suite/timegrid.cpp | 35 +++++++++++++++++------------------ 1 file changed, 17 insertions(+), 18 deletions(-) commit 745a1da78fe31644e78b96f6b9b859dce73af4fe Author: Luigi Ballabio Date: Mon, 28 Jan 2019 15:40:54 +0100 Remove dead code. Examples/GlobalOptimizer/GlobalOptimizer.cpp | 8 -------- ql/experimental/math/fireflyalgorithm.cpp | 6 ------ ql/experimental/math/fireflyalgorithm.hpp | 6 ------ ql/experimental/math/hybridsimulatedannealingfunctors.hpp | 8 -------- ql/experimental/math/levyflightdistribution.hpp | 7 ------- ql/experimental/math/particleswarmoptimization.cpp | 6 +----- ql/experimental/math/particleswarmoptimization.hpp | 5 ----- ql/patterns/observable.hpp | 11 ----------- 8 files changed, 1 insertion(+), 56 deletions(-) commit 4ce6d2b55581f341ab6ac3cbc1bf5469fa1ea6c1 Author: Luigi Ballabio Date: Mon, 28 Jan 2019 15:40:34 +0100 Require Boost 1.48 or later. acinclude.m4 | 8 ++++---- ql/qldefines.hpp | 2 +- 2 files changed, 5 insertions(+), 5 deletions(-) commit 2b023dc266914aff701571c86b4f759ebb47809b Author: Luigi Ballabio Date: Mon, 28 Jan 2019 11:43:15 +0100 Make header self-consistent. ql/math/linearleastsquaresregression.hpp | 1 + 1 file changed, 1 insertion(+) commit a9f18e97223785af57cacce9b3c9dbdf00f51bf7 Author: Luigi Ballabio Date: Mon, 28 Jan 2019 10:07:10 +0100 Clean up some docs. ql/functional.hpp | 2 +- ql/instruments/makeyoyinflationcapfloor.hpp | 2 +- ql/math/curve.hpp | 2 +- ql/math/functional.hpp | 2 +- ql/methods/finitedifferences/bsmoperator.hpp | 3 +-- ql/methods/finitedifferences/operatorfactory.hpp | 3 +-- ql/models/calibrationhelper.hpp | 5 ++--- 7 files changed, 8 insertions(+), 11 deletions(-) commit 2baf27ff3ca42e48140188c07889b44f2fe90464 Author: Luigi Ballabio Date: Thu, 24 Jan 2019 12:57:50 +0100 Add clang 7 to build matrix. .travis.yml | 4 ++++ 1 file changed, 4 insertions(+) commit 89a1b14d187e85917676c77df1ce2ec1bbbbb51f Merge: f8a43f3de 1b9dd78b2 Author: Luigi Ballabio Date: Wed, 23 Jan 2019 17:20:17 +0100 Merge pull request #591. commit f8a43f3deb0a229a331886b1a49a0e0c3df0a128 Merge: 05ab8975c e262b4b66 Author: Luigi Ballabio Date: Wed, 23 Jan 2019 16:51:21 +0100 Merge pull request #590. commit 05ab8975cbba0cf0685c14e0a782caf8909016c6 Merge: 4a9beafc0 34a43a508 Author: Luigi Ballabio Date: Wed, 23 Jan 2019 16:14:45 +0100 Merge pull request #586. commit 4a9beafc07851f65dc721e5099a774fe56020ab4 Merge: 333f8c010 8720cd110 Author: Luigi Ballabio Date: Tue, 22 Jan 2019 12:52:08 +0100 Merge pull request #592. commit 333f8c0102e350c506abc38749c9dbb0aad7fd4f Merge: 88dcf1000 6f48062a9 Author: Luigi Ballabio Date: Tue, 22 Jan 2019 11:42:17 +0100 Merge pull request #587. commit 8720cd1109b78b942ace837914f1bd7c0e3f4995 Author: Luigi Ballabio Date: Mon, 21 Jan 2019 17:37:32 +0100 Avoid test failures due to use of indexed coupons. test-suite/basismodels.cpp | 12 ++++++++++-- 1 file changed, 10 insertions(+), 2 deletions(-) commit 359b254bcc5253b0108b44026e726e642c8ad089 Author: Luigi Ballabio Date: Mon, 21 Jan 2019 15:05:48 +0100 Disable tests when negative rates are forbidden. test-suite/basismodels.cpp | 3 +++ 1 file changed, 3 insertions(+) commit 88dcf1000b584bfd299577a3f71423e3d51bba49 Merge: a61d80d42 878063172 Author: Luigi Ballabio Date: Mon, 21 Jan 2019 10:19:58 +0100 Merge pull request #581. commit a61d80d427a33e4c4eb836deeba30f4443d3b81b Merge: fe0562d63 4875c2307 Author: Luigi Ballabio Date: Thu, 17 Jan 2019 14:05:37 +0100 Merge pull request #583. commit fe0562d638293b9dad3bafb611feeaa4c4835527 Merge: b6001cb77 4b3ab48fc Author: Luigi Ballabio Date: Wed, 16 Jan 2019 12:23:53 +0100 Merge pull request #585. commit b6001cb77d90be3a52f3ccfff66e722e7faccb0c Merge: 44491b89e 09fc891c6 Author: Luigi Ballabio Date: Tue, 15 Jan 2019 18:18:55 +0100 Merge pull request #582. commit 09fc891c68f480b9d4e6c390e396e8934aafe33c Author: Luigi Ballabio Date: Tue, 15 Jan 2019 18:00:07 +0100 Update docs. ql/time/calendars/china.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 1b9dd78b2de8aed290b0f1573c973fe5ac47c4fd Author: Luigi Ballabio Date: Tue, 15 Jan 2019 17:53:14 +0100 Avoid instabilities in test case. The previous value could give slightly different results (depending on the version of libc on Ubuntu) that would get amplified by the local-volatility calculation causing the test to fail. test-suite/riskneutraldensitycalculator.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit e262b4b668bca68edd6127bc915797a13af935dd Author: klausspanderen Date: Sun, 13 Jan 2019 18:45:56 +0100 include boost/bind.hpp explicitly ql/patterns/observable.cpp | 12 ++++++++++++ 1 file changed, 12 insertions(+) commit 11fcede9a6388f86dae0c99301e77020afa34266 Author: klausspanderen Date: Fri, 11 Jan 2019 21:29:56 +0100 ext::bind in thread safe observer pattern and parallel unit test runner ql/patterns/observable.cpp | 3 ++- test-suite/paralleltestrunner.hpp | 7 ++++--- 2 files changed, 6 insertions(+), 4 deletions(-) commit 6f48062a99048720d896d79ee454e431403aef81 Author: Joshua Engelman Date: Wed, 9 Jan 2019 10:28:36 -0600 Add Day of Mourning for George HW Bush to Special US Holidays ql/time/calendars/unitedstates.cpp | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) commit 44491b89e0caf2c8f12ce1a4922016a575b08879 Merge: fd0eff928 6b8af61f2 Author: Luigi Ballabio Date: Thu, 3 Jan 2019 15:28:43 +0100 Merge pull request #575. commit 6b8af61f24b415e0ecb98ab329099f95aa709bd0 Author: Luigi Ballabio Date: Thu, 3 Jan 2019 15:07:39 +0100 Reordered parts of the VC++ project. QuantLib.vcxproj | 118 +++++++++++++++++++++++++++---------------------------- 1 file changed, 59 insertions(+), 59 deletions(-) commit e1af8a3a7a6d3b04e2772fe4b8674afee6d5d494 Author: Luigi Ballabio Date: Wed, 2 Jan 2019 17:42:22 +0100 Update VC++ project. QuantLib.vcxproj | 1 + QuantLib.vcxproj.filters | 3 +++ 2 files changed, 4 insertions(+) commit cb1019cf0b5feca906a3fb21d9991c0d09ee0941 Author: Luigi Ballabio Date: Wed, 2 Jan 2019 14:38:45 +0100 Run clang-format on new files. ql/experimental/basismodels/swaptioncfs.cpp | 185 +++--- ql/experimental/basismodels/swaptioncfs.hpp | 93 +-- ql/experimental/basismodels/tenoroptionletvts.cpp | 126 ++-- ql/experimental/basismodels/tenoroptionletvts.hpp | 179 +++--- ql/experimental/basismodels/tenorswaptionvts.cpp | 168 +++--- ql/experimental/basismodels/tenorswaptionvts.hpp | 151 ++--- test-suite/basismodels.cpp | 687 +++++++++++----------- 7 files changed, 839 insertions(+), 750 deletions(-) commit 34a43a5088ea06721184e22930282976c00c9d41 Author: Luigi Ballabio Date: Wed, 2 Jan 2019 11:24:51 +0100 Avoid deprecation warning in VC++. ql/methods/finitedifferences/operatorfactory.hpp | 7 +++++++ 1 file changed, 7 insertions(+) commit 4b3ab48fc8d0f89204cfea5ef8a3d1afe38d93ec Author: Peter Caspers Date: Wed, 2 Jan 2019 11:17:58 +0100 fix boolean the variant using 'Yes' does not work with clang-format 6.0.0 .clang-format | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 878063172430f3f3642421d07e4e8b93c43d581a Author: Peter Caspers Date: Wed, 2 Jan 2019 11:14:50 +0100 formatting ql/quotes/derivedquote.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 513c486c5219189bb1e317772fb23a857dd50ada Author: Peter Caspers Date: Wed, 2 Jan 2019 11:13:38 +0100 fix typo ql/quotes/derivedquote.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 3d816f82797c00e1cffaac988b3456ddc29557e0 Author: Peter Caspers Date: Wed, 2 Jan 2019 11:13:03 +0100 add creator methods ql/quotes/compositequote.hpp | 7 +++++++ ql/quotes/derivedquote.hpp | 7 +++++++ 2 files changed, 14 insertions(+) commit 7be81f6a58d59afa265e3ab4960c39bc35488b51 Author: Peter Caspers Date: Wed, 2 Jan 2019 11:03:08 +0100 Revert "add default value" This reverts commit f84b4ad1eafd048f3a0869b4b5df78454f94c10b. ql/quotes/compositequote.hpp | 2 +- ql/quotes/derivedquote.hpp | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) commit e4c1b5bcf5e095be47c76e1667f736c8d798f2d9 Merge: 87446e0b3 cd8d2298a Author: Cheng Li Date: Tue, 1 Jan 2019 22:46:40 +0800 Merge pull request #2 from wegamekinglc/wegamekinglc-patch-1 fixed missing holiday on 2018/12/31 commit cd8d2298a90307f4119b72cd61977b0944496d6e Author: Cheng Li Date: Tue, 1 Jan 2019 22:45:47 +0800 fixed tests for china calendar test-suite/calendars.cpp | 1 + 1 file changed, 1 insertion(+) commit 5ee82308fd3f12714674a082a9992fed973e9c30 Author: Cheng Li Date: Tue, 1 Jan 2019 22:42:43 +0800 fixed missing holiday on 2018/12/31 ql/time/calendars/china.cpp | 1 + 1 file changed, 1 insertion(+) commit 4875c2307881e277a6b7b43e295505ea2a78eac7 Author: klausspanderen Date: Mon, 31 Dec 2018 15:48:57 +0100 correct spelling test-suite/interpolations.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 02f01bc755a7d1574b07e01ed1cbf2fe8a5650b6 Author: klausspanderen Date: Mon, 31 Dec 2018 15:25:04 +0100 corrected typo ql/math/richardsonextrapolation.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 164e0d01f8a63694a47116e853265b6600406aaf Author: klausspanderen Date: Mon, 31 Dec 2018 15:22:15 +0100 avoid run away Brent solver in Richardson extrapolation ql/math/richardsonextrapolation.cpp | 16 +++++++-- test-suite/interpolations.cpp | 72 +++++++++++++++++++++++++++++++++++++ test-suite/interpolations.hpp | 1 + 3 files changed, 87 insertions(+), 2 deletions(-) commit 87446e0b315d580a7c66729674b9124a4c255fe6 Author: wegamekinglc Date: Sun, 23 Dec 2018 22:00:42 +0800 update china holidays for the year 2019 ql/time/calendars/china.cpp | 17 +++++++++++++++-- test-suite/calendars.cpp | 28 ++++++++++++++++++++++++++-- 2 files changed, 41 insertions(+), 4 deletions(-) commit 794c1efa09f0ae0895abcf6b6ba0032ecc4b18f5 Merge: 4919fbace fd0eff928 Author: Cheng Li Date: Sun, 23 Dec 2018 19:59:39 +0800 Merge pull request #1 from lballabio/master merge from upstream commit f84b4ad1eafd048f3a0869b4b5df78454f94c10b Author: Peter Caspers Date: Fri, 21 Dec 2018 15:05:39 +0100 add default value ql/quotes/compositequote.hpp | 2 +- ql/quotes/derivedquote.hpp | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) commit fd0eff92874aae3beb65a84c3cc0d722ac91ee76 Merge: 2ac2ef31c d24e3b1ca Author: Luigi Ballabio Date: Fri, 21 Dec 2018 13:18:41 +0100 Merge pull request #574. commit d24e3b1caf57ffcfeee08ba4ea253beccfa4d705 Author: Luigi Ballabio Date: Fri, 21 Dec 2018 12:32:44 +0100 Update VC++ project. test-suite/testsuite.vcxproj | 4 +++- test-suite/testsuite.vcxproj.filters | 6 ++++++ 2 files changed, 9 insertions(+), 1 deletion(-) commit 2ac2ef31c86757c93bfb205e25626cbedeb69f9d Merge: 7f9b2be42 85091b519 Author: Luigi Ballabio Date: Wed, 12 Dec 2018 14:55:59 +0100 Merge pull request #577. commit 7f9b2be42ccf150d2eddbcb36a26268fc5fbcb9f Merge: 3157d8243 215c43da9 Author: Luigi Ballabio Date: Tue, 11 Dec 2018 18:27:32 +0100 Merge pull request #573. commit 3157d8243a87d7306c7df297f6f515884100c9d6 Merge: 367191292 a3f003b8b Author: Luigi Ballabio Date: Mon, 10 Dec 2018 15:31:39 +0100 Merge pull request #572. commit 3671912927faabc77957cd81f6e43f8c49ae0d7e Merge: c7b10998e dc6791336 Author: Luigi Ballabio Date: Wed, 5 Dec 2018 11:43:29 +0100 Merge pull request #570. commit 85091b519804566d935e2015fbb0e51d7add61b1 Author: Luigi Ballabio Date: Wed, 5 Dec 2018 10:49:00 +0100 Add .clang-format file as a convenience. .clang-format | 54 ++++++++++++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 54 insertions(+) commit c7b10998e06edb187733c26b3c5693bcb56f16ef Merge: e12a50927 b13ac5535 Author: Luigi Ballabio Date: Mon, 3 Dec 2018 11:42:25 +0100 Merge pull request #567. commit b13ac55359fcc0df536fc999c96ff3c2768c81a1 Author: Luigi Ballabio Date: Fri, 30 Nov 2018 16:37:43 +0100 Avoid too many unnecessary variables. .../MulticurveBootstrapping.cpp | 1109 +++++++++----------- 1 file changed, 513 insertions(+), 596 deletions(-) commit 4302551cb5a4ec0f0854826950898663814fdbdb Author: Luigi Ballabio Date: Fri, 30 Nov 2018 16:26:16 +0100 Replaced and renamed Swap example. .gitignore | 2 +- Docs/pages/examples.docs | 2 +- Examples/CMakeLists.txt | 2 +- Examples/Makefile.am | 4 +- Examples/MulticurveBootstrapping/CMakeLists.txt | 2 + Examples/MulticurveBootstrapping/Makefile.am | 29 + .../MulticurveBootstrapping.cpp | 6 +- .../MulticurveBootstrapping.vcxproj | 1106 ++++++++++---------- .../MulticurveBootstrapping.vcxproj.filters} | 4 +- .../{Swap => MulticurveBootstrapping}/README.txt | 0 Examples/Swap/CMakeLists.txt | 2 - Examples/Swap/Makefile.am | 29 - Examples/Swap/Swap.vcxproj | 537 ---------- Examples/Swap/swapvaluation.cpp | 787 -------------- QuantLib.sln | 2 +- configure.ac | 2 +- man/BasketLosses.1 | 2 +- man/BermudanSwaption.1 | 2 +- man/Bonds.1 | 2 +- man/CDS.1 | 2 +- man/CVAIRS.1 | 2 +- man/CallableBonds.1 | 2 +- man/ConvertibleBonds.1 | 2 +- man/DiscreteHedging.1 | 2 +- man/EquityOption.1 | 2 +- man/FRA.1 | 2 +- man/FittedBondCurve.1 | 2 +- man/Gaussian1dModels.1 | 2 +- man/GlobalOptimizer.1 | 2 +- man/LatentModel.1 | 2 +- man/Makefile.am | 12 +- man/MarketModels.1 | 2 +- man/{SwapValuation.1 => MulticurveBootstrapping.1} | 16 +- man/MultidimIntegral.1 | 2 +- man/Replication.1 | 2 +- man/Repo.1 | 2 +- 36 files changed, 611 insertions(+), 1969 deletions(-) commit e12a50927ea71143d6f4ed3e13309dd17acbda04 Merge: 420267bf0 06db92516 Author: Luigi Ballabio Date: Thu, 29 Nov 2018 13:32:29 +0100 Merge pull request #558. commit a53a0c44011a3944106f95e8a335aef36849467e Author: Sebastian Schlenkrich Date: Thu, 29 Nov 2018 08:54:46 +0100 fix coding standard issues ql/experimental/basismodels/swaptioncfs.cpp | 2 +- test-suite/basismodels.cpp | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) commit ba82f59960be4c7f06175bb51c15906e947e4562 Author: Sebastian Schlenkrich Date: Wed, 28 Nov 2018 19:07:32 +0100 remove list initialisers for Period vectors test-suite/basismodels.cpp | 9 ++++++--- 1 file changed, 6 insertions(+), 3 deletions(-) commit 75695b719d8b795f4b8fd716b3ca5e03642af5b1 Author: Sebastian Schlenkrich Date: Wed, 28 Nov 2018 18:51:33 +0100 remove std::begin and std::end from vector initialisation test-suite/basismodels.cpp | 50 +++++++++++++++++++++++----------------------- 1 file changed, 25 insertions(+), 25 deletions(-) commit 3ef684d7e6fe1c0f7bfd740fe827499a573fa98b Author: Sebastian Schlenkrich Date: Wed, 28 Nov 2018 18:26:09 +0100 remove list initialisers for vectors test-suite/basismodels.cpp | 86 ++++++++++++++++++++++++++++++---------------- 1 file changed, 56 insertions(+), 30 deletions(-) commit 087410cda0624a812a186aa236a1219399a2742c Author: Sebastian Schlenkrich Date: Wed, 28 Nov 2018 15:43:47 +0100 more integration test fixes ql/experimental/basismodels/tenoroptionletvts.hpp | 1 + ql/experimental/basismodels/tenorswaptionvts.hpp | 2 +- 2 files changed, 2 insertions(+), 1 deletion(-) commit cbbe92b85d8307a18c28d4d7ae32c1222f8c09a0 Author: Sebastian Schlenkrich Date: Wed, 28 Nov 2018 15:05:30 +0100 fix build errors for integration tests ql/experimental/basismodels/tenoroptionletvts.hpp | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) commit c76b7b0799aebfdddc57bffdc63a4d999f7002ff Author: Luigi Ballabio Date: Wed, 28 Nov 2018 12:31:10 +0100 Add new files to build. configure.ac | 1 + ql/experimental/Makefile.am | 3 +- ql/experimental/all.hpp | 1 + ql/experimental/basismodels/Makefile.am | 49 +++++++++++++++++++++++++++++++++ ql/experimental/basismodels/all.hpp | 7 +++++ test-suite/Makefile.am | 1 + 6 files changed, 61 insertions(+), 1 deletion(-) commit c746735fee1943b6ae638e9e0d341ac61fd5156b Author: Luigi Ballabio Date: Wed, 28 Nov 2018 12:12:33 +0100 Use ext namespace. ql/experimental/basismodels/swaptioncfs.cpp | 14 +++++++------- 1 file changed, 7 insertions(+), 7 deletions(-) commit e82b4f1efbb18fd952ab783945892c4ddd3e9a89 Author: Luigi Ballabio Date: Wed, 28 Nov 2018 11:58:41 +0100 Avoid C++11 code for backward compatibility. test-suite/timegrid.cpp | 53 ++++++++++++++++++++++++++++++++++++++++--------- 1 file changed, 44 insertions(+), 9 deletions(-) commit d06a3e85bd037bfe44670ebf9d9edccb742320e5 Author: Luigi Ballabio Date: Wed, 28 Nov 2018 11:47:18 +0100 Add new files to the build. test-suite/Makefile.am | 1 + 1 file changed, 1 insertion(+) commit 543fda69fec98f84fb0c2d464269824c184147b1 Author: Sebastian Schlenkrich Date: Tue, 27 Nov 2018 17:31:54 +0100 non-standard tenor volatility transformation for caplets and swaptions QuantLib.vcxproj | 10 +- QuantLib.vcxproj.filters | 25 +- ql/experimental/basismodels/swaptioncfs.cpp | 117 +++++++ ql/experimental/basismodels/swaptioncfs.hpp | 88 +++++ ql/experimental/basismodels/tenoroptionletvts.cpp | 96 ++++++ ql/experimental/basismodels/tenoroptionletvts.hpp | 131 ++++++++ ql/experimental/basismodels/tenorswaptionvts.cpp | 105 ++++++ ql/experimental/basismodels/tenorswaptionvts.hpp | 118 +++++++ test-suite/basismodels.cpp | 380 ++++++++++++++++++++++ test-suite/basismodels.hpp | 38 +++ test-suite/quantlibtestsuite.cpp | 4 +- test-suite/testsuite.vcxproj | 2 + test-suite/testsuite.vcxproj.filters | 10 +- 13 files changed, 1117 insertions(+), 7 deletions(-) commit 420267bf0df2cee684251886ee6ac8ad2329cf47 Merge: 59cf68ebb 830cc1ae9 Author: Luigi Ballabio Date: Tue, 27 Nov 2018 14:35:02 +0100 Merge pull request #569. commit 830cc1ae9490c8d982dfd753cb6960639ff68263 Author: Luigi Ballabio Date: Tue, 27 Nov 2018 12:25:43 +0100 Update VC++ project. QuantLib.vcxproj | 1 + QuantLib.vcxproj.filters | 1 + 2 files changed, 2 insertions(+) commit fdef49ee5d6a5f258f0602dc2121f86e36defe4f Author: Kai Striega Date: Mon, 26 Nov 2018 10:57:01 +0800 Change tabs to 4 spaces test-suite/quantlibtestsuite.cpp | 2 +- test-suite/timegrid.cpp | 156 +++++++++++++++++++-------------------- test-suite/timegrid.hpp | 24 +++--- 3 files changed, 91 insertions(+), 91 deletions(-) commit 1e054f03622d0ca9120ba98503b734a01d08aa58 Author: Kai Striega Date: Sun, 25 Nov 2018 12:38:17 +0800 Add basic tests for timegrid constructors test-suite/quantlibtestsuite.cpp | 2 + test-suite/timegrid.cpp | 140 +++++++++++++++++++++++++++++++++++++++ test-suite/timegrid.hpp | 38 +++++++++++ 3 files changed, 180 insertions(+) commit 215c43da9ac17c6be413efb2fd1f09d0ccd43ec7 Author: Peter Caspers Date: Fri, 23 Nov 2018 19:37:43 +0100 amend checks, unify message ql/legacy/libormarketmodels/lfmswaptionengine.cpp | 4 ++-- ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.cpp | 5 +++-- ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.cpp | 5 +++-- ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.cpp | 5 +++-- ql/pricingengines/swaption/gaussian1dswaptionengine.cpp | 5 +++-- ql/pricingengines/swaption/jamshidianswaptionengine.cpp | 5 +++-- ql/pricingengines/swaption/treeswaptionengine.cpp | 5 +++-- 7 files changed, 20 insertions(+), 14 deletions(-) commit 59cf68ebb5e55694ddec636c2b063561efecb811 Merge: 9bd834205 0311af6e8 Author: Luigi Ballabio Date: Thu, 22 Nov 2018 11:10:17 +0100 Merge pull request #564. commit 9bd83420550c92938da8b3bfb4635d33d1107f75 Merge: 90df57a74 7cd3ecfd8 Author: Luigi Ballabio Date: Wed, 21 Nov 2018 18:10:20 +0100 Merge pull request #562. commit a3f003b8ba8a7d6f9dc3727da7c29e0bb9c417d7 Author: Luigi Ballabio Date: Wed, 21 Nov 2018 16:48:25 +0100 Pass explicit nominal curve to inflation coupon pricers. ql/cashflows/cpicouponpricer.cpp | 68 +++++++++++------- ql/cashflows/cpicouponpricer.hpp | 33 ++++++--- ql/cashflows/inflationcouponpricer.cpp | 67 +++++++++++------- ql/cashflows/inflationcouponpricer.hpp | 104 +++++++++++++++++++--------- ql/instruments/makeyoyinflationcapfloor.hpp | 1 + test-suite/inflationcapflooredcoupon.cpp | 6 +- 6 files changed, 183 insertions(+), 96 deletions(-) commit 0311af6e81cee27a84b824be04461a5d1ec9ccfa Author: JL Dussek Date: Tue, 20 Nov 2018 13:19:51 -0500 change BMAIndex default calendar to UnitedStates::GovernmentBond ql/indexes/bmaindex.hpp | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) commit 5255fadf19e2499149f9d1c7821b65f841328825 Author: Luigi Ballabio Date: Tue, 20 Nov 2018 18:09:26 +0100 Pass explicit nominal curve to yoy cap/floor factory class. .../inflation/interpolatedyoyoptionletstripper.hpp | 19 ++++---- ql/experimental/inflation/yoyoptionlethelpers.cpp | 16 +++---- ql/instruments/makeyoyinflationcapfloor.cpp | 51 +++++++++++++++++++--- ql/instruments/makeyoyinflationcapfloor.hpp | 37 +++++++++++----- 4 files changed, 88 insertions(+), 35 deletions(-) commit 92b0ced987feea1cd2acbfb0ff90aed0c9a2036c Author: Luigi Ballabio Date: Tue, 20 Nov 2018 13:10:01 +0100 Pass explicit nominal curve to inflation cap/floor engines. .../inflation/inflationcapfloorengines.cpp | 48 +++++++++++++++--- .../inflation/inflationcapfloorengines.hpp | 57 +++++++++++++++------- test-suite/inflationcapfloor.cpp | 18 +++---- test-suite/inflationcapflooredcoupon.cpp | 6 +-- test-suite/inflationvolatility.cpp | 2 +- 5 files changed, 95 insertions(+), 36 deletions(-) commit 2277b2214ee6252f8a65414dc500a237d479cc0f Author: Luigi Ballabio Date: Mon, 19 Nov 2018 17:47:16 +0100 Pass explicit nominal curve to inflation helpers. .../inflation/yoycapfloortermpricesurface.hpp | 5 +- ql/termstructures/inflation/inflationhelpers.cpp | 125 +++++++++++++++++++-- ql/termstructures/inflation/inflationhelpers.hpp | 35 +++++- test-suite/inflation.cpp | 16 ++- test-suite/inflationcapfloor.cpp | 8 +- test-suite/inflationcapflooredcoupon.cpp | 8 +- test-suite/inflationcpibond.cpp | 7 +- test-suite/inflationcpicapfloor.cpp | 8 +- test-suite/inflationcpiswap.cpp | 8 +- 9 files changed, 183 insertions(+), 37 deletions(-) commit 90df57a74d9587f54fb78f5dc350896b48166030 Merge: d7c43398e 90bcbc9b8 Author: Luigi Ballabio Date: Mon, 19 Nov 2018 17:03:55 +0100 Merge pull request #566. commit 7cd3ecfd817a1e00d6d08dab4950ef55bc27d31f Author: Luigi Ballabio Date: Mon, 19 Nov 2018 15:47:58 +0100 Update VC++ projects. QuantLib.vcxproj | 133 ++++++++++++++++++----------------- QuantLib.vcxproj.filters | 94 ++++++++++++++++--------- test-suite/testsuite.vcxproj | 4 +- test-suite/testsuite.vcxproj.filters | 6 ++ 4 files changed, 138 insertions(+), 99 deletions(-) commit 016339df6243033275f47b771ee541c84e9c1ab5 Author: Luigi Ballabio Date: Mon, 19 Nov 2018 14:59:32 +0100 Avoid warning. test-suite/sofrfutures.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 7060d71dc2af46463f1c59fa09f407b9a057d174 Author: Luigi Ballabio Date: Mon, 19 Nov 2018 14:12:24 +0100 Add test case. ql/indexes/ibor/Makefile.am | 2 + ql/indexes/ibor/all.hpp | 1 + test-suite/Makefile.am | 1 + test-suite/quantlibtestsuite.cpp | 2 + test-suite/sofrfutures.cpp | 130 +++++++++++++++++++++++++++++++++++++++ test-suite/sofrfutures.hpp | 32 ++++++++++ 6 files changed, 168 insertions(+) commit 2db7c6e902b62e71eb185fabb5a2ec05d2b5364f Author: Luigi Ballabio Date: Mon, 19 Nov 2018 12:14:05 +0100 Add new files to build. configure.ac | 1 + ql/experimental/Makefile.am | 3 ++- ql/experimental/all.hpp | 1 + ql/experimental/futures/Makefile.am | 47 +++++++++++++++++++++++++++++++++++++ ql/experimental/futures/all.hpp | 6 +++++ 5 files changed, 57 insertions(+), 1 deletion(-) commit dc6791336fb4a36c219c4a574b1c27ec66fb8ec5 Author: Peter Caspers Date: Sat, 17 Nov 2018 14:18:35 +0100 missing registration ql/experimental/coupons/lognormalcmsspreadpricer.cpp | 1 + 1 file changed, 1 insertion(+) commit 72372532d82c3426d2829d41af354062907cac8c Author: Peter Caspers Date: Sat, 17 Nov 2018 12:48:04 +0100 just formatting ql/cashflows/lineartsrpricer.cpp | 3 ++- ql/cashflows/lineartsrpricer.hpp | 1 + 2 files changed, 3 insertions(+), 1 deletion(-) commit 18d1c16722d9975367f401946f6e12a293a66731 Author: Peter Caspers Date: Sat, 17 Nov 2018 12:45:45 +0100 remove cache, since it does not work properly the use case was to speed up the calibration of the implied correlation parameter to quoted premiums; however with the cache enabled prices of cms spread coupons will not react to changes in the underlying swap indices' curves, so we need another solution for this ql/experimental/coupons/lognormalcmsspreadpricer.cpp | 20 ++------------------ ql/experimental/coupons/lognormalcmsspreadpricer.hpp | 18 ------------------ 2 files changed, 2 insertions(+), 36 deletions(-) commit bd8af0b11e0359d72630001e7b916fdefad08bac Author: Jose Garcia Date: Fri, 9 Nov 2018 16:35:51 -0500 Add description and market data source to MulticurveBootstrapping example Examples/MulticurveBootstrapping/MulticurveBootstrapping.cpp | 9 +++++++++ 1 file changed, 9 insertions(+) commit d1dbc4018e109867850571e92be2eab40e6d9452 Author: Luigi Ballabio Date: Fri, 9 Nov 2018 18:13:49 +0100 Unify switches for std::function and std::bind. They're related, and they both need cref. Examples/BasketLosses/BasketLosses.cpp | 1 - Examples/GlobalOptimizer/GlobalOptimizer.cpp | 3 +- Examples/LatentModel/LatentModel.cpp | 1 - Examples/MultidimIntegral/MultidimIntegral.cpp | 2 +- configure.ac | 32 +++----------- ql/Makefile.am | 3 +- ql/cashflows/conundrumpricer.cpp | 12 +---- .../perturbativebarrieroptionengine.cpp | 2 +- ql/experimental/credit/binomiallossmodel.hpp | 2 +- ql/experimental/credit/gaussianlhplossmodel.hpp | 3 +- ql/experimental/credit/pool.cpp | 2 +- ql/experimental/credit/recursivelossmodel.hpp | 10 +---- .../exoticoptions/analyticpdfhestonengine.cpp | 11 +---- .../fdmvppstartlimitstepcondition.hpp | 1 - .../finitedifferences/fdmvppstepcondition.cpp | 12 +---- .../finitedifferences/fdmvppstepcondition.hpp | 2 +- .../finitedifferences/gbsmrndcalculator.cpp | 12 +---- .../finitedifferences/hestonrndcalculator.cpp | 12 +---- .../finitedifferences/localvolrndcalculator.cpp | 10 +---- .../riskneutraldensitycalculator.cpp | 13 +----- ql/experimental/math/convolvedstudentt.cpp | 4 +- ql/experimental/math/gaussiancopulapolicy.hpp | 2 +- .../gaussiannoncentralchisquaredpolynomial.cpp | 2 +- ql/experimental/math/latentmodel.hpp | 3 +- ql/experimental/math/multidimintegrator.hpp | 3 +- ql/experimental/math/multidimquadrature.hpp | 3 +- ql/experimental/math/tcopulapolicy.cpp | 2 +- ql/experimental/math/tcopulapolicy.hpp | 2 +- .../mcbasket/longstaffschwartzmultipathpricer.hpp | 10 +---- ql/experimental/mcbasket/mcamericanpathengine.hpp | 1 - ql/experimental/models/normalclvmodel.hpp | 3 +- ql/experimental/models/squarerootclvmodel.hpp | 3 +- .../processes/extendedornsteinuhlenbeckprocess.hpp | 3 +- .../generalizedornsteinuhlenbeckprocess.hpp | 2 +- .../integralhestonvarianceoptionengine.cpp | 2 +- ql/experimental/volatility/noarbsabr.cpp | 2 +- ql/experimental/volatility/zabr.cpp | 3 +- ql/function.hpp | 51 ---------------------- ql/{bind.hpp => functional.hpp} | 22 +++++++--- ql/math/functional.hpp | 5 +-- ql/math/generallinearleastsquares.hpp | 1 - ql/math/integrals/integral.hpp | 2 +- ql/math/integrals/kronrodintegral.hpp | 2 +- ql/math/integrals/twodimensionalintegral.hpp | 9 +--- ql/math/matrixutilities/bicgstab.hpp | 2 +- ql/math/matrixutilities/gmres.hpp | 2 +- ql/math/matrixutilities/tapcorrelations.hpp | 2 +- ql/math/ode/adaptiverungekutta.hpp | 2 +- ql/math/optimization/levenbergmarquardt.cpp | 9 +--- ql/math/optimization/lmdif.hpp | 2 +- ql/math/optimization/spherecylinder.cpp | 9 +--- .../randomnumbers/stochasticcollocationinvcdf.hpp | 4 +- ql/math/richardsonextrapolation.hpp | 2 +- .../meshers/concentrating1dmesher.cpp | 3 +- .../meshers/exponentialjump1dmesher.cpp | 9 +--- .../operators/numericaldifferentiation.hpp | 3 +- .../schemes/impliciteulerscheme.cpp | 10 +---- .../schemes/methodoflinesscheme.cpp | 10 +---- .../finitedifferences/schemes/trbdf2scheme.hpp | 11 +---- .../utilities/fdmmesherintegral.hpp | 3 +- .../utilities/fdmtimedepdirichletboundary.hpp | 3 +- ql/methods/montecarlo/earlyexercisepathpricer.hpp | 2 +- .../montecarlo/longstaffschwartzpathpricer.hpp | 14 +----- ql/methods/montecarlo/lsmbasissystem.cpp | 13 +----- ql/methods/montecarlo/lsmbasissystem.hpp | 2 +- ql/patterns/observable.cpp | 2 +- .../basket/mcamericanbasketengine.cpp | 2 +- .../basket/mcamericanbasketengine.hpp | 2 +- ql/pricingengines/vanilla/analytichestonengine.hpp | 3 +- .../vanilla/hestonexpansionengine.hpp | 1 - ql/pricingengines/vanilla/mcamericanengine.cpp | 2 +- ql/processes/hestonprocess.cpp | 10 +---- ql/quantlib.hpp | 3 +- .../credit/defaultdensitystructure.cpp | 12 +---- ql/termstructures/credit/hazardratestructure.cpp | 9 +--- .../equityfx/gridmodellocalvolsurface.cpp | 4 +- .../volatility/equityfx/hestonblackvolsurface.cpp | 4 +- ql/timeseries.hpp | 2 +- ql/userconfig.hpp | 13 ++---- test-suite/basketoption.cpp | 3 +- test-suite/cdo.cpp | 5 +-- test-suite/fdmlinearop.cpp | 4 +- test-suite/hestonslvmodel.cpp | 2 +- test-suite/hybridhestonhullwhiteprocess.cpp | 9 +--- test-suite/linearleastsquaresregression.cpp | 3 +- test-suite/marketmodel.cpp | 2 +- test-suite/normalclvmodel.cpp | 10 +---- test-suite/nthorderderivativeop.cpp | 12 +---- test-suite/riskneutraldensitycalculator.cpp | 10 +---- test-suite/squarerootclvmodel.cpp | 11 +---- test-suite/utilities.hpp | 2 +- 91 files changed, 111 insertions(+), 436 deletions(-) commit 69a1cec194f665bc8f3ab54c60048f43e1f02aba Author: Jose Garcia Date: Fri, 9 Nov 2018 09:24:44 -0500 Swap example with multicurve framework Example based on market data in paper by F. M. Ametrano and M. Blanchetti, Everything You Always WAnted to Know About Multiple Interest RAte Curve Boostrapping but Were Afraid to Ask (April 2, 2013). Eonia curve was taken from Figure 25 and Euribor 6m from figure 31. .../MulticurveBootstrapping.cpp | 1022 ++++++++++++++++++++ .../MulticurveBootstrapping.vcxproj | 569 +++++++++++ 2 files changed, 1591 insertions(+) commit 90bcbc9b8e150d1f38dd67c8849763c15d5ed9db Author: Peter Caspers Date: Thu, 8 Nov 2018 13:54:17 +0100 add virtual dtor ql/models/calibrationhelper.hpp | 1 + 1 file changed, 1 insertion(+) commit ac8ba42f043ba9d7bfb20d92c68b99fbd687233f Author: JL Dussek Date: Wed, 31 Oct 2018 13:05:26 -0400 allow fixing calendar selection in BMA index ql/indexes/bmaindex.cpp | 6 +++--- ql/indexes/bmaindex.hpp | 5 ++++- 2 files changed, 7 insertions(+), 4 deletions(-) commit aa29317214d6d435440029a3a365807e0b6e0c36 Author: Roy Zywina Date: Tue, 30 Oct 2018 00:46:09 -0400 add convexity adjustment in similar manner as FuturesRateHelper, small fixes ql/experimental/futures/overnightindexfuture.cpp | 17 +++++++++++++---- ql/experimental/futures/overnightindexfuture.hpp | 8 ++++++-- .../futures/overnightindexfutureratehelper.cpp | 21 +++++++++++++++------ .../futures/overnightindexfutureratehelper.hpp | 10 +++++++--- 4 files changed, 41 insertions(+), 15 deletions(-) commit e488dbd7c06800718b7c6895b2ebae71edc48f3a Merge: 3e99d1c58 d7c43398e Author: j053g <37815494+j053g@users.noreply.github.com> Date: Sat, 27 Oct 2018 03:40:04 -0400 Merge pull request #1 from lballabio/master update commit af7c6d88a59c43efe8ed5c5b5451f51b0a2dc043 Author: Roy Zywina Date: Fri, 26 Oct 2018 23:46:45 -0400 bootstrap with SOFR futures ql/experimental/futures/overnightindexfuture.cpp | 87 +++++++++++++++ ql/experimental/futures/overnightindexfuture.hpp | 59 ++++++++++ .../futures/overnightindexfutureratehelper.cpp | 119 +++++++++++++++++++++ .../futures/overnightindexfutureratehelper.hpp | 84 +++++++++++++++ ql/indexes/ibor/sofr.cpp | 32 ++++++ ql/indexes/ibor/sofr.hpp | 40 +++++++ 6 files changed, 421 insertions(+) commit d7c43398e7bc78d6ad9ea2dc93f899e93e452875 Author: Luigi Ballabio Date: Thu, 25 Oct 2018 09:12:52 +0200 Travis runs on VMs by default now. See https://changelog.travis-ci.com/linux-builds-run-on-vms-by-default-77106 .travis.yml | 1 - 1 file changed, 1 deletion(-) commit 4504c90646bb143baff381c61bf535d9d711e4d1 Merge: d498cfbdd 32170a976 Author: Luigi Ballabio Date: Wed, 24 Oct 2018 16:20:03 +0200 Merge pull request #561. commit d498cfbddc7aaee8ea2881388efd869816c9cbaf Merge: 0cf746d0c 356c3ea5b Author: Luigi Ballabio Date: Wed, 24 Oct 2018 15:40:56 +0200 Merge pull request #560. commit 0cf746d0ca963b326992666d40670f8f40c1455c Merge: 21cb53997 978bab6bd Author: Luigi Ballabio Date: Wed, 24 Oct 2018 15:40:29 +0200 Merge pull request #559. commit 21cb53997a23977ca7d8fe906ab41104142694c1 Author: Luigi Ballabio Date: Mon, 22 Oct 2018 11:29:59 +0200 Add a few missing "using namespace" statements. ql/experimental/credit/recursivelossmodel.hpp | 6 +++++- ql/experimental/credit/saddlepointlossmodel.hpp | 22 ++++++++++++++++++++++ 2 files changed, 27 insertions(+), 1 deletion(-) commit 06db925166db4a6c0f82f7659fbc215afb2ad668 Author: Luigi Ballabio Date: Fri, 19 Oct 2018 21:45:54 +0200 Use library types. ql/time/daycounters/actualactual.cpp | 8 ++++---- test-suite/bonds.cpp | 2 +- test-suite/daycounters.cpp | 36 ++++++++++++++++++------------------ 3 files changed, 23 insertions(+), 23 deletions(-) commit 0c25764ab8c8e9ca46a3a2e9a50761179ba69f00 Merge: d9b5e372a 2b8d9862b Author: Luigi Ballabio Date: Fri, 19 Oct 2018 18:16:29 +0200 Sync with master and fix conflict. commit d9b5e372a23446f07e6bd0cbd998d78a16b3a64e Author: Luigi Ballabio Date: Fri, 19 Oct 2018 17:54:00 +0200 Assume a schedule in new Act/Act ISMA implementation. ql/time/daycounters/actualactual.cpp | 97 +++++++++++++----------------------- ql/time/daycounters/actualactual.hpp | 10 ---- 2 files changed, 36 insertions(+), 71 deletions(-) commit c74ca1ffb182fd2c8c5900b902dc17f4a4da4653 Author: Luigi Ballabio Date: Fri, 19 Oct 2018 17:15:23 +0200 Assume no schedule in old Act/Act ISMA implementation. ql/time/daycounters/actualactual.cpp | 12 ++---------- ql/time/daycounters/actualactual.hpp | 5 ----- 2 files changed, 2 insertions(+), 15 deletions(-) commit 745c53fd902532a5ea43c3250386770733153586 Author: Luigi Ballabio Date: Fri, 19 Oct 2018 16:46:38 +0200 Use two separate implementations. ql/time/daycounters/actualactual.cpp | 114 ++++++++++++++++++++++++++++++++++- ql/time/daycounters/actualactual.hpp | 15 +++++ test-suite/daycounters.cpp | 20 ++---- 3 files changed, 132 insertions(+), 17 deletions(-) commit 4a77675f52341ebe48b03a83bdb29389cb2faa4c Author: Luigi Ballabio Date: Fri, 19 Oct 2018 15:53:11 +0200 Move a few helper functions in an anonymous namespace. ql/time/daycounters/actualactual.cpp | 119 +++++++++++++++++++---------------- ql/time/daycounters/actualactual.hpp | 9 --- 2 files changed, 66 insertions(+), 62 deletions(-) commit c78146a107d6b3c408b1157d2e26b188b0ec7580 Author: Luigi Ballabio Date: Fri, 19 Oct 2018 15:13:54 +0200 Move schedule test to proper suite. test-suite/daycounters.cpp | 38 -------------------------------------- test-suite/daycounters.hpp | 1 - test-suite/schedule.cpp | 39 +++++++++++++++++++++++++++++++++++++++ test-suite/schedule.hpp | 1 + 4 files changed, 40 insertions(+), 39 deletions(-) commit 8bad7c71149cf48fa137f10b493b8c4edee3ae92 Author: Luigi Ballabio Date: Fri, 19 Oct 2018 14:01:35 +0200 Clean up formatting. ql/time/daycounters/actualactual.cpp | 222 +++++++------ ql/time/daycounters/actualactual.hpp | 34 +- test-suite/bonds.cpp | 415 ++++++++++++------------ test-suite/daycounters.cpp | 603 +++++++++++++++++++---------------- test-suite/daycounters.hpp | 8 +- 5 files changed, 665 insertions(+), 617 deletions(-) commit 2b8d9862ba65f2a8119df25b64a61f1a2f7a5609 Author: Luigi Ballabio Date: Thu, 18 Oct 2018 09:34:16 +0200 Restore a couple of lost refs. ql/cashflows/conundrumpricer.cpp | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) commit 377d18cb82935acfca69cfc39c88c21b65098bca Merge: 2ed484a73 7cc5a239c Author: Luigi Ballabio Date: Wed, 17 Oct 2018 11:24:36 +0200 Merge pull request #552. commit 2ed484a735ef21517ebac86573a58b809432bfff Merge: 01bece2d8 9d7cdf1d1 Author: Luigi Ballabio Date: Tue, 16 Oct 2018 10:38:44 +0200 Merge pull request #550. commit 9d7cdf1d1522d68ca8a9ead51ab78af34f22cfdb Author: Luigi Ballabio Date: Tue, 16 Oct 2018 10:10:40 +0200 Don't compress method name. ql/pricingengines/basket/mcamericanbasketengine.hpp | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) commit 356c3ea5b87282e7f87a6153d63424fffce7104b Author: Luigi Ballabio Date: Mon, 15 Oct 2018 13:10:46 +0200 Add badge with DOI number. README.md | 1 + 1 file changed, 1 insertion(+) commit 32170a976f86356d537578844fe5a7e4874667b7 Author: Luigi Ballabio Date: Mon, 15 Oct 2018 13:08:11 +0200 Remove dead code. test-suite/jumpdiffusion.cpp | 6 ------ 1 file changed, 6 deletions(-) commit f3540c204d2c2c190395cb28671e62b766048eaa Author: Luigi Ballabio Date: Mon, 15 Oct 2018 13:07:41 +0200 Avoid passing vector by copy. ql/models/shortrate/onefactormodels/markovfunctional.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 01bece2d83271a330e13b15700f2662953a30b20 Merge: b3326a081 9dd4c1eb9 Author: Luigi Ballabio Date: Fri, 12 Oct 2018 18:05:22 +0200 Merge pull request #549. commit b3326a081c2233c3e3eaeac9af25dd10e61910ee Merge: e453ce9d1 fc9b294f2 Author: Luigi Ballabio Date: Fri, 12 Oct 2018 15:01:49 +0200 Merge pull request #533. commit fc9b294f2e2c3acadad8c7e45db1ebbbfa04007d Author: Luigi Ballabio Date: Fri, 12 Oct 2018 15:00:47 +0200 Reordered badges. README.md | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) commit e453ce9d1d121870a123d1c8aeaee52556ca588f Merge: 6d088505d 2b08913e7 Author: Luigi Ballabio Date: Fri, 12 Oct 2018 14:53:44 +0200 Merge pull request #557. commit 2b08913e7d69963ab894961f7c92dd75623f0765 Author: Luigi Ballabio Date: Fri, 12 Oct 2018 10:58:15 +0200 Avoid hiding existing parameters. ql/cashflows/conundrumpricer.cpp | 10 +++++----- ql/experimental/credit/homogeneouspooldef.hpp | 4 ++-- ql/experimental/credit/inhomogeneouspooldef.hpp | 4 ++-- .../inflation/yoyinflationoptionletvolatilitystructure2.hpp | 8 ++++---- .../finitedifferences/utilities/fdminnervaluecalculator.cpp | 7 +++---- 5 files changed, 16 insertions(+), 17 deletions(-) commit 4bb7f55ad6441344daa6b74be044168afcb58ad6 Author: Luigi Ballabio Date: Fri, 12 Oct 2018 10:31:28 +0200 Add explanatory comment to empty if clauses. ql/pricingengines/credit/isdacdsengine.cpp | 2 ++ 1 file changed, 2 insertions(+) commit 4d6e007e06c37ec58e49cc9f19536f0299b3f20f Author: Luigi Ballabio Date: Fri, 12 Oct 2018 09:38:44 +0200 Add LGTM configuration file. .lgtm.yml | 12 ++++++++++++ 1 file changed, 12 insertions(+) commit 4d2d828a96c16cdfcfbf445b875b879842c698da Author: Luigi Ballabio Date: Thu, 11 Oct 2018 18:23:43 +0200 Avoid passing a few largish objects by value. ql/cashflows/cashflows.hpp | 2 +- ql/experimental/credit/riskybond.cpp | 2 +- ql/experimental/credit/riskybond.hpp | 2 +- ql/pricingengines/bond/bondfunctions.hpp | 2 +- 4 files changed, 4 insertions(+), 4 deletions(-) commit 3e550546bb0a4e6f9830140f1bc2e2bf383c25ac Author: Luigi Ballabio Date: Thu, 11 Oct 2018 17:46:08 +0200 Pair assignment operator with copy constructor in a few classes. .../math/hybridsimulatedannealingfunctors.hpp | 28 ++++++++++++++++++++++ ql/math/sampledcurve.hpp | 7 ------ 2 files changed, 28 insertions(+), 7 deletions(-) commit f09344ce3d8ba84ff5175933aa0025c176eec96f Author: Luigi Ballabio Date: Thu, 11 Oct 2018 17:11:50 +0200 Clarify condition. ql/termstructures/iterativebootstrap.hpp | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) commit d42d431bcb0907b317316cf85b1308cf9485ae9f Author: Luigi Ballabio Date: Thu, 11 Oct 2018 17:11:26 +0200 Remove redundant condition. ql/models/volatility/garch.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 9e9c7104ad592a558ae9f5d90015f7fa72e76072 Author: Luigi Ballabio Date: Thu, 11 Oct 2018 14:10:27 +0200 Don't redefine default parameter in overridden method. ql/termstructures/volatility/atmadjustedsmilesection.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 6d088505d087a08a3daf10b056e7ab7873b7ac15 Author: Luigi Ballabio Date: Thu, 11 Oct 2018 12:59:26 +0200 Add missing header inclusion. ql/patterns/observable.cpp | 1 + 1 file changed, 1 insertion(+) commit 8f22f7c8b95f43bc869cccd6ae113fb69b4a5f00 Merge: 433831d49 ad25d8be3 Author: Luigi Ballabio Date: Thu, 11 Oct 2018 10:34:55 +0200 Merge pull request #555. commit ad25d8be393b946480d17677ea9cd1c98c721d65 Author: Luigi Ballabio Date: Wed, 10 Oct 2018 09:56:03 +0200 Avoid Codacy warnings. ql/experimental/credit/defaultprobabilitykey.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 8068559395e1568c6ca391334b34de9cc6cd36cb Author: Luigi Ballabio Date: Tue, 9 Oct 2018 16:43:04 +0200 Replace boost::cref with ext::cref. ql/bind.hpp | 5 +++++ ql/experimental/credit/binomiallossmodel.hpp | 18 +++++++++--------- .../credit/defaultprobabilitylatentmodel.hpp | 2 +- ql/experimental/credit/recursivelossmodel.hpp | 6 +++--- ql/experimental/credit/saddlepointlossmodel.hpp | 22 +++++++++++----------- ql/experimental/math/latentmodel.hpp | 4 ++-- ql/experimental/math/multidimintegrator.hpp | 2 +- ql/experimental/math/multidimquadrature.hpp | 8 ++++---- 8 files changed, 36 insertions(+), 31 deletions(-) commit 0a5fbb7087921b8d35ef2ef67ff39cf04f140cfa Author: Luigi Ballabio Date: Tue, 9 Oct 2018 13:27:38 +0200 Add shortcut to enable all std classes. configure.ac | 21 +++++++++++++++++++++ 1 file changed, 21 insertions(+) commit 6ca432a5aaf123d555c0686713adb0e71a2595b0 Author: Luigi Ballabio Date: Tue, 9 Oct 2018 12:36:05 +0200 Remove uses of Boost.Lambda. ql/experimental/credit/binomiallossmodel.hpp | 10 ++++------ ql/experimental/credit/defaultprobabilitykey.cpp | 22 +++++++++++++--------- ql/experimental/math/latentmodel.hpp | 5 ++--- ql/experimental/math/multidimquadrature.hpp | 1 - ql/experimental/volatility/noarbsabr.cpp | 8 ++++---- .../vanilla/hestonexpansionengine.cpp | 11 ----------- test-suite/integrals.cpp | 2 -- 7 files changed, 23 insertions(+), 36 deletions(-) commit 27b2b912897c76b9bd932047b2efb3b897a2ef3c Author: Luigi Ballabio Date: Mon, 8 Oct 2018 18:05:30 +0200 Add empty placeholders namespace when using boost::bind. ql/bind.hpp | 1 + 1 file changed, 1 insertion(+) commit 32d4cb3c03db3f699fd598e9856d2bea2f6ea2fe Author: Luigi Ballabio Date: Mon, 8 Oct 2018 17:49:37 +0200 Fix compilation errors when using std::bind. ql/experimental/math/latentmodel.hpp | 4 +-- ql/experimental/math/multidimquadrature.hpp | 3 +- .../meshers/exponentialjump1dmesher.cpp | 12 ++++++-- test-suite/squarerootclvmodel.cpp | 36 +++++++++++----------- 4 files changed, 31 insertions(+), 24 deletions(-) commit 0984b0a45346106c68f891b3907a0d41a486be55 Author: Luigi Ballabio Date: Mon, 8 Oct 2018 17:49:04 +0200 Replace calls to boost::bind with ext::bind. Examples/GlobalOptimizer/GlobalOptimizer.cpp | 2 +- ql/bind.hpp | 3 +++ ql/cashflows/conundrumpricer.cpp | 7 +++-- ql/experimental/credit/binomiallossmodel.hpp | 11 +++++--- .../credit/defaultprobabilitylatentmodel.hpp | 9 ++++--- ql/experimental/credit/gaussianlhplossmodel.hpp | 2 +- ql/experimental/credit/pool.cpp | 5 ++-- ql/experimental/credit/recursivelossmodel.hpp | 8 +++--- ql/experimental/credit/saddlepointlossmodel.hpp | 22 +++++++-------- ql/experimental/credit/spotlosslatentmodel.hpp | 3 ++- .../exoticoptions/analyticpdfhestonengine.cpp | 6 +++-- .../finitedifferences/fdmvppstepcondition.cpp | 8 +++--- .../finitedifferences/gbsmrndcalculator.cpp | 6 +++-- .../finitedifferences/hestonrndcalculator.cpp | 6 +++-- .../finitedifferences/localvolrndcalculator.cpp | 8 +++--- .../riskneutraldensitycalculator.cpp | 6 +++-- ql/experimental/math/convolvedstudentt.cpp | 8 +++--- ql/experimental/math/gaussiancopulapolicy.hpp | 10 ++++--- ql/experimental/math/latentmodel.hpp | 18 +++++++------ ql/experimental/math/multidimintegrator.hpp | 11 +++++--- ql/experimental/math/multidimquadrature.hpp | 31 +++++++++++++--------- ql/experimental/math/tcopulapolicy.cpp | 8 +++--- ql/experimental/math/tcopulapolicy.hpp | 2 +- .../mcbasket/longstaffschwartzmultipathpricer.hpp | 2 +- ql/experimental/volatility/zabr.cpp | 16 ++++++----- ql/math/integrals/twodimensionalintegral.hpp | 8 +++--- ql/math/optimization/levenbergmarquardt.cpp | 8 +++--- ql/math/optimization/spherecylinder.cpp | 6 +++-- .../meshers/concentrating1dmesher.cpp | 15 ++++++----- .../meshers/exponentialjump1dmesher.cpp | 8 +++--- .../schemes/impliciteulerscheme.cpp | 7 ++--- .../schemes/methodoflinesscheme.cpp | 5 ++-- .../finitedifferences/schemes/trbdf2scheme.hpp | 7 ++--- .../montecarlo/longstaffschwartzpathpricer.hpp | 2 +- ql/methods/montecarlo/lsmbasissystem.cpp | 15 ++++++----- ql/patterns/observable.cpp | 2 +- .../basket/mcamericanbasketengine.cpp | 7 +++-- ql/pricingengines/vanilla/mcamericanengine.cpp | 8 +++--- ql/processes/hestonprocess.cpp | 17 +++++++----- .../credit/defaultdensitystructure.cpp | 5 ++-- ql/termstructures/credit/hazardratestructure.cpp | 5 ++-- .../equityfx/gridmodellocalvolsurface.cpp | 5 ++-- .../volatility/equityfx/hestonblackvolsurface.cpp | 5 ++-- ql/userconfig.hpp | 2 +- test-suite/basketoption.cpp | 4 +-- test-suite/cdo.cpp | 4 +-- test-suite/fdmlinearop.cpp | 14 ++++++---- test-suite/hestonslvmodel.cpp | 8 +++--- test-suite/hybridhestonhullwhiteprocess.cpp | 6 +++-- test-suite/linearleastsquaresregression.cpp | 6 +++-- test-suite/marketmodel.cpp | 4 +-- test-suite/normalclvmodel.cpp | 6 +++-- test-suite/nthorderderivativeop.cpp | 7 ++--- test-suite/paralleltestrunner.hpp | 4 +-- test-suite/riskneutraldensitycalculator.cpp | 6 +++-- test-suite/squarerootclvmodel.cpp | 20 ++++++++------ 56 files changed, 267 insertions(+), 177 deletions(-) commit 8c650ab2f245cdcdfc170439857b760cd006bfaa Author: Luigi Ballabio Date: Mon, 8 Oct 2018 09:49:08 +0200 Add new file and configure switch. configure.ac | 16 ++++++++++++++++ ql/Makefile.am | 1 + ql/bind.hpp | 51 +++++++++++++++++++++++++++++++++++++++++++++++++++ ql/quantlib.hpp | 1 + ql/userconfig.hpp | 7 +++++++ 5 files changed, 76 insertions(+) commit 433831d49a6a64fa1510f2eca6fbe988d1646920 Author: Luigi Ballabio Date: Mon, 8 Oct 2018 09:44:58 +0200 Include missing header. ql/experimental/math/piecewiseintegral.cpp | 1 + 1 file changed, 1 insertion(+) commit 7cc5a239ced93dd388ed395f380b8a98d085d109 Author: Weston Steimel Date: Fri, 5 Oct 2018 21:52:03 +0100 Fix business days between logic when from and to are same date - Fix logic when to and from are the same date - Add more tests to test suite Signed-off-by: Weston Steimel ql/time/calendar.cpp | 2 + test-suite/calendars.cpp | 129 ++++++++++++++++++++++++++++++++++++++++------- 2 files changed, 113 insertions(+), 18 deletions(-) commit 8422dbca4be77ec06e14efe305e3e393e4a389c8 Merge: adb342f22 92a47fc56 Author: Luigi Ballabio Date: Fri, 5 Oct 2018 17:08:56 +0200 Merge pull request #551. commit 92a47fc5655331ce108b73da232a044336501689 Author: Luigi Ballabio Date: Fri, 5 Oct 2018 14:00:32 +0200 Fix compilation errors with std::function. Examples/GlobalOptimizer/GlobalOptimizer.cpp | 2 +- ql/cashflows/conundrumpricer.cpp | 4 ++-- ql/experimental/finitedifferences/fdmvppstepcondition.cpp | 2 +- ql/experimental/shortrate/generalizedhullwhite.hpp | 4 ++-- ql/math/optimization/lmdif.cpp | 2 +- 5 files changed, 7 insertions(+), 7 deletions(-) commit 5ddd5b10e282d3cd49ef38e51cda89d427d462d5 Author: Luigi Ballabio Date: Fri, 5 Oct 2018 12:22:31 +0200 Replace boost::function with std::function. Examples/GlobalOptimizer/GlobalOptimizer.cpp | 4 +-- Examples/MultidimIntegral/MultidimIntegral.cpp | 2 +- ql/cashflows/conundrumpricer.cpp | 12 +++---- .../perturbativebarrieroptionengine.cpp | 10 +++--- ql/experimental/callablebonds/callablebond.cpp | 8 ++--- ql/experimental/credit/binomiallossmodel.hpp | 6 ++-- .../credit/defaultprobabilitylatentmodel.hpp | 6 ++-- ql/experimental/credit/recursivelossmodel.hpp | 6 ++-- ql/experimental/credit/saddlepointlossmodel.hpp | 22 ++++++------ ql/experimental/credit/spotlosslatentmodel.hpp | 2 +- .../finitedifferences/fdmvppstepcondition.cpp | 4 +-- .../finitedifferences/fdmvppstepcondition.hpp | 2 +- .../finitedifferences/gbsmrndcalculator.cpp | 2 +- .../riskneutraldensitycalculator.cpp | 2 +- .../gaussiannoncentralchisquaredpolynomial.cpp | 8 ++--- ql/experimental/math/latentmodel.hpp | 18 +++++----- ql/experimental/math/multidimintegrator.hpp | 18 +++++----- ql/experimental/math/multidimquadrature.hpp | 22 ++++++------ ql/experimental/math/piecewiseintegral.hpp | 8 ++--- .../mcbasket/longstaffschwartzmultipathpricer.hpp | 2 +- ql/experimental/models/normalclvmodel.cpp | 4 +-- ql/experimental/models/normalclvmodel.hpp | 4 +-- ql/experimental/models/squarerootclvmodel.cpp | 4 +-- ql/experimental/models/squarerootclvmodel.hpp | 4 +-- .../processes/extendedornsteinuhlenbeckprocess.cpp | 6 ++-- .../processes/extendedornsteinuhlenbeckprocess.hpp | 4 +-- ql/experimental/shortrate/generalizedhullwhite.cpp | 12 +++---- ql/experimental/shortrate/generalizedhullwhite.hpp | 40 +++++++++++----------- .../generalizedornsteinuhlenbeckprocess.cpp | 4 +-- .../generalizedornsteinuhlenbeckprocess.hpp | 8 ++--- .../integralhestonvarianceoptionengine.cpp | 2 +- ql/math/integrals/discreteintegrals.cpp | 4 +-- ql/math/integrals/discreteintegrals.hpp | 4 +-- ql/math/integrals/filonintegral.cpp | 4 +-- ql/math/integrals/filonintegral.hpp | 2 +- ql/math/integrals/gausslobattointegral.cpp | 6 ++-- ql/math/integrals/gausslobattointegral.hpp | 6 ++-- ql/math/integrals/integral.cpp | 2 +- ql/math/integrals/integral.hpp | 4 +-- ql/math/integrals/kronrodintegral.cpp | 6 ++-- ql/math/integrals/kronrodintegral.hpp | 6 ++-- ql/math/integrals/segmentintegral.hpp | 4 +-- ql/math/integrals/simpsonintegral.hpp | 2 +- ql/math/integrals/trapezoidintegral.hpp | 6 ++-- ql/math/integrals/twodimensionalintegral.hpp | 4 +-- ql/math/linearleastsquaresregression.hpp | 10 +++--- ql/math/matrixutilities/bicgstab.hpp | 2 +- ql/math/matrixutilities/gmres.hpp | 2 +- ql/math/matrixutilities/tapcorrelations.hpp | 4 +-- ql/math/ode/adaptiverungekutta.hpp | 4 +-- ql/math/optimization/lmdif.hpp | 2 +- .../randomnumbers/stochasticcollocationinvcdf.cpp | 4 +-- .../randomnumbers/stochasticcollocationinvcdf.hpp | 2 +- ql/math/richardsonextrapolation.cpp | 2 +- ql/math/richardsonextrapolation.hpp | 4 +-- .../operators/nthorderderivativeop.cpp | 2 +- .../operators/numericaldifferentiation.cpp | 4 +-- .../operators/numericaldifferentiation.hpp | 6 ++-- .../schemes/impliciteulerscheme.cpp | 4 +-- .../finitedifferences/schemes/trbdf2scheme.hpp | 4 +-- .../utilities/fdmmesherintegral.cpp | 2 +- .../utilities/fdmmesherintegral.hpp | 4 +-- .../utilities/fdmtimedepdirichletboundary.cpp | 4 +-- .../utilities/fdmtimedepdirichletboundary.hpp | 8 ++--- ql/methods/montecarlo/earlyexercisepathpricer.hpp | 2 +- .../montecarlo/longstaffschwartzpathpricer.hpp | 2 +- ql/methods/montecarlo/lsmbasissystem.cpp | 4 +-- ql/methods/montecarlo/lsmbasissystem.hpp | 4 +-- .../basket/mcamericanbasketengine.cpp | 2 +- .../basket/mcamericanbasketengine.hpp | 4 +-- ql/pricingengines/vanilla/analytichestonengine.cpp | 12 +++---- ql/pricingengines/vanilla/analytichestonengine.hpp | 2 +- ql/pricingengines/vanilla/mcamericanengine.cpp | 2 +- ql/pricingengines/vanilla/mcamericanengine.hpp | 4 +-- .../volatility/equityfx/hestonblackvolsurface.cpp | 2 +- ql/timeseries.hpp | 4 +-- test-suite/fdmlinearop.cpp | 16 ++++----- test-suite/hestonmodel.cpp | 8 ++--- test-suite/integrals.cpp | 2 +- test-suite/linearleastsquaresregression.cpp | 8 ++--- test-suite/mclongstaffschwartzengine.cpp | 2 +- test-suite/normalclvmodel.cpp | 10 +++--- test-suite/nthorderderivativeop.cpp | 4 +-- test-suite/numericaldifferentiation.cpp | 26 +++++++------- test-suite/squarerootclvmodel.cpp | 14 ++++---- test-suite/swingoption.cpp | 2 +- test-suite/utilities.hpp | 2 +- test-suite/vpp.cpp | 6 ++-- 88 files changed, 267 insertions(+), 267 deletions(-) commit 41cf6799d630cbefbb6776b68d16e00c6e9c883c Author: Luigi Ballabio Date: Fri, 5 Oct 2018 11:22:46 +0200 Replaced boost::function1 with boost::function. This is a potentially breaking change, since the two types are not the same. ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp | 2 +- ql/math/linearleastsquaresregression.hpp | 10 +++++----- ql/math/matrixutilities/bicgstab.hpp | 2 +- ql/math/matrixutilities/gmres.hpp | 2 +- ql/methods/montecarlo/earlyexercisepathpricer.hpp | 2 +- ql/methods/montecarlo/longstaffschwartzpathpricer.hpp | 2 +- ql/methods/montecarlo/lsmbasissystem.cpp | 4 ++-- ql/methods/montecarlo/lsmbasissystem.hpp | 4 ++-- ql/pricingengines/basket/mcamericanbasketengine.cpp | 2 +- ql/pricingengines/basket/mcamericanbasketengine.hpp | 4 ++-- ql/pricingengines/vanilla/analytichestonengine.cpp | 2 +- ql/pricingengines/vanilla/analytichestonengine.hpp | 2 +- ql/pricingengines/vanilla/mcamericanengine.cpp | 2 +- ql/pricingengines/vanilla/mcamericanengine.hpp | 4 ++-- ql/timeseries.hpp | 4 ++-- test-suite/linearleastsquaresregression.cpp | 8 ++++---- test-suite/mclongstaffschwartzengine.cpp | 2 +- test-suite/utilities.hpp | 2 +- test-suite/vpp.cpp | 2 +- 19 files changed, 31 insertions(+), 31 deletions(-) commit 78b912362c60720d80d81fbb34572959dfcabafa Author: Luigi Ballabio Date: Fri, 5 Oct 2018 11:21:12 +0200 Group examples in solution folder in VC++. QuantLib.sln | 23 +++++++++++++++++++++++ 1 file changed, 23 insertions(+) commit bb776849e0c0e03dbd3c7786eaeed67e6ae411d6 Author: Luigi Ballabio Date: Fri, 5 Oct 2018 10:19:07 +0200 Add ql/function.hpp and replace inclusions of boost header. Examples/BasketLosses/BasketLosses.cpp | 2 +- Examples/GlobalOptimizer/GlobalOptimizer.cpp | 2 +- Examples/LatentModel/LatentModel.cpp | 2 +- Examples/MultidimIntegral/MultidimIntegral.cpp | 2 +- configure.ac | 16 +++++++ ql/Makefile.am | 1 + .../perturbativebarrieroptionengine.cpp | 2 +- ql/experimental/credit/gaussianlhplossmodel.hpp | 2 +- .../fdmvppstartlimitstepcondition.hpp | 2 +- .../finitedifferences/fdmvppstepcondition.hpp | 2 +- .../finitedifferences/gbsmrndcalculator.cpp | 2 +- .../riskneutraldensitycalculator.cpp | 2 +- ql/experimental/math/convolvedstudentt.cpp | 2 +- .../gaussiannoncentralchisquaredpolynomial.cpp | 2 +- ql/experimental/math/latentmodel.hpp | 2 +- ql/experimental/math/multidimintegrator.hpp | 2 +- ql/experimental/math/multidimquadrature.hpp | 2 +- .../mcbasket/longstaffschwartzmultipathpricer.hpp | 2 +- ql/experimental/mcbasket/mcamericanpathengine.hpp | 2 +- ql/experimental/models/normalclvmodel.hpp | 2 +- ql/experimental/models/squarerootclvmodel.hpp | 2 +- .../processes/extendedornsteinuhlenbeckprocess.hpp | 2 +- .../generalizedornsteinuhlenbeckprocess.hpp | 2 +- .../integralhestonvarianceoptionengine.cpp | 2 +- ql/experimental/volatility/zabr.cpp | 2 +- ql/function.hpp | 51 ++++++++++++++++++++++ ql/math/generallinearleastsquares.hpp | 2 +- ql/math/integrals/integral.hpp | 2 +- ql/math/integrals/kronrodintegral.hpp | 2 +- ql/math/matrixutilities/bicgstab.hpp | 2 +- ql/math/matrixutilities/gmres.hpp | 2 +- ql/math/matrixutilities/tapcorrelations.hpp | 2 +- ql/math/ode/adaptiverungekutta.hpp | 2 +- ql/math/optimization/lmdif.hpp | 2 +- .../randomnumbers/stochasticcollocationinvcdf.hpp | 2 +- ql/math/richardsonextrapolation.hpp | 2 +- .../operators/numericaldifferentiation.hpp | 2 +- .../schemes/impliciteulerscheme.cpp | 2 +- .../finitedifferences/schemes/trbdf2scheme.hpp | 2 +- .../utilities/fdmmesherintegral.hpp | 2 +- .../utilities/fdmtimedepdirichletboundary.hpp | 2 +- ql/methods/montecarlo/earlyexercisepathpricer.hpp | 2 +- .../montecarlo/longstaffschwartzpathpricer.hpp | 2 +- ql/methods/montecarlo/lsmbasissystem.hpp | 2 +- .../basket/mcamericanbasketengine.hpp | 2 +- ql/pricingengines/vanilla/analytichestonengine.hpp | 2 +- .../vanilla/hestonexpansionengine.hpp | 2 +- ql/timeseries.hpp | 2 +- ql/userconfig.hpp | 7 +++ test-suite/nthorderderivativeop.cpp | 2 +- test-suite/utilities.hpp | 2 +- 51 files changed, 122 insertions(+), 47 deletions(-) commit adb342f22d43bd58ee75331572e119bd7a9837c2 Author: Luigi Ballabio Date: Wed, 3 Oct 2018 18:27:45 +0200 Bump version number to 1.15. configure.ac | 2 +- ql/version.hpp | 8 ++++---- 2 files changed, 5 insertions(+), 5 deletions(-) commit 912197116108de3f80f8c81a80db7876a9dd25f6 Author: klausspanderen Date: Wed, 3 Oct 2018 14:10:54 +0200 added polynom order and lsm basis system parameter to MCAmerianBaseketEngine .../basket/mcamericanbasketengine.hpp | 49 +++++++++++++++++++--- 1 file changed, 43 insertions(+), 6 deletions(-) commit 9dd4c1eb904db5d2787703ac33a2b81e0f78eb28 Author: klausspanderen Date: Wed, 3 Oct 2018 12:42:47 +0200 move include as well ql/patterns/observable.hpp | 1 - ql/shared_ptr.hpp | 1 + 2 files changed, 1 insertion(+), 1 deletion(-) commit d910c039fdfd5a61d4578dbbaa170dcbf68cfbfa Author: klausspanderen Date: Wed, 3 Oct 2018 12:24:54 +0200 move definitions to share_ptr.hpp ql/patterns/observable.hpp | 11 ----------- ql/shared_ptr.hpp | 2 ++ 2 files changed, 2 insertions(+), 11 deletions(-) commit d9af70b624305b7c705b792da357c2ad94ff5473 Author: klausspanderen Date: Sun, 30 Sep 2018 17:43:44 +0200 --enable-thread-safe-observer-pattern works with --enable-std-pointers closes #546 configure.ac | 4 +++- ql/patterns/observable.cpp | 4 ++++ ql/patterns/observable.hpp | 21 +++++++++++++++++++-- 3 files changed, 26 insertions(+), 3 deletions(-) commit ee714ae681e35ede803d2593dcd773602624b656 Author: Philip Stephens Date: Thu, 27 Sep 2018 14:07:34 +0100 Removed QL_Deprecated flag ql/time/daycounters/actualactual.cpp | 1 - 1 file changed, 1 deletion(-) commit 639edfb1fd208d1116049ea377da596fb2df9545 Author: Philip Stephens Date: Thu, 27 Sep 2018 13:55:53 +0100 Altered usuage of ActualActula::ISMA to use schedules in the other tests, as that is now the canonical usuage. test-suite/bonds.cpp | 30 ++++++++++++++++++------------ 1 file changed, 18 insertions(+), 12 deletions(-) commit 47e28a25d35b12159823902672f7e24e909bcc84 Author: Philip Stephens Date: Thu, 27 Sep 2018 13:41:23 +0100 This fixes most of the bugs identified by test_cached ql/time/daycounters/actualactual.cpp | 4 +- test-suite/bonds.cpp | 315 +++++++++++++++++++++-------------- test-suite/daycounters.cpp | 56 ++++++- 3 files changed, 242 insertions(+), 133 deletions(-) commit 055a52e3a2b5dd11c85374126573966a3c571b22 Author: Philip Stephens Date: Wed, 19 Sep 2018 13:45:11 +0100 Fixed an issue where the actualactual guessed febuary monthly payments would guess that there were 13 coupon payments - which was breaking Amortized bond monthly payments. Also changed some BOOST_FAIL to BOOST_ERROR so you can see all the problems with cached bond prices. ql/time/daycounters/actualactual.cpp | 17 ++++++++- ql/time/daycounters/actualactual.hpp | 1 + test-suite/bonds.cpp | 67 ++++++++++++++++++------------------ 3 files changed, 51 insertions(+), 34 deletions(-) commit 61f3b396eda7dbf952fc668e9be92667983a3dca Author: Philip Stephens Date: Tue, 28 Aug 2018 00:17:18 +0100 This is now a working version. The only failing tests are regression tests whose failure was expected. ql/time/daycounters/actualactual.cpp | 30 +++--- test-suite/daycounters.cpp | 192 +++++++++++++++++++++-------------- 2 files changed, 134 insertions(+), 88 deletions(-) commit 5d3adf98438df5d374d2db40772c85b992c297a8 Author: Philip Stephens Date: Tue, 7 Aug 2018 22:00:44 +0100 A first attempt, but some problems remain. ql/time/daycounters/actualactual.cpp | 193 +++++++++++++++++------------------ ql/time/daycounters/actualactual.hpp | 18 ++++ test-suite/daycounters.cpp | 166 +++++++++++++++++++++++++----- test-suite/daycounters.hpp | 3 + 4 files changed, 253 insertions(+), 127 deletions(-) commit 8b67f54be63b91e157dd1406e2da214c898c65b1 Author: Philip Stephens Date: Fri, 3 Aug 2018 17:31:10 +0100 register Day Counter tests with boost test test-suite/daycounters.cpp | 10 +++++++++- 1 file changed, 9 insertions(+), 1 deletion(-) commit de4f478b61daf107cc02cf97294cf5e01d5c7783 Author: Xavier RENE-CORAIL Date: Wed, 5 Sep 2018 11:43:28 +0100 Add LGTM.com code quality badges README.md | 2 ++ 1 file changed, 2 insertions(+) commit 9ec393472e40081a040b084f1ce326c7f49700e0 Author: Philip Stephens Date: Thu, 2 Aug 2018 21:49:32 +0100 added tests to check if the two day count methods area always the same test-suite/daycounters.cpp | 60 ++++++++++++++++++++++++++++++++++++++++++++++ test-suite/daycounters.hpp | 2 ++ 2 files changed, 62 insertions(+)