commit e17a089689885cd367a4367546f81c536d536f11 Author: Luigi Ballabio Date: Mon, 12 Jul 2021 09:46:54 +0200 Set version to 1.38 final. CMakeLists.txt | 4 ++-- configure.ac | 2 +- ql/version.hpp | 4 ++-- 3 files changed, 5 insertions(+), 5 deletions(-) commit 178d31aa51354dbecd079be193b93dddab166da6 Merge: 5ccf7ffa6 ed694f6ea Author: Luigi Ballabio Date: Wed, 16 Apr 2025 21:51:49 +0200 Add check for null frequency in Act/365 Canadian (#2202) commit ed694f6ea21c446e1812e5f1a34733112eb987d7 Author: Luigi Ballabio Date: Wed, 16 Apr 2025 16:28:06 +0200 Add check for null frequency in Act/365 Canadian ql/time/daycounters/actual365fixed.cpp | 3 +++ test-suite/daycounters.cpp | 31 +++++++++++++++++-------------- 2 files changed, 20 insertions(+), 14 deletions(-) commit 5ccf7ffa653b1d86254f28c5fd4deb8f8b11fffd Author: Luigi Ballabio Date: Wed, 4 Oct 2023 11:52:15 +0200 Set version to 1.38-rc CMakeLists.txt | 4 ++-- configure.ac | 2 +- ql/version.hpp | 4 ++-- 3 files changed, 5 insertions(+), 5 deletions(-) commit ffdc5257f0d12c98d04cfc957919cce192b2a2e6 Author: Luigi Ballabio Date: Mon, 14 Apr 2025 14:46:20 +0200 Update news and changelog ChangeLog.txt | 144 ++++++++++++++++++++++++++++++++++++++++++++++++ Contributors.txt | 2 + Docs/pages/history.docs | 8 ++- News.md | 13 ++++- 4 files changed, 162 insertions(+), 5 deletions(-) commit 94fef96cb9f2dedb38ec2c73e2becf6a19136df6 Merge: 8ee2a4f43 451551d2b Author: Luigi Ballabio Date: Mon, 14 Apr 2025 14:15:37 +0200 Add Hong Kong Exchange 2025 holidays (#2196) commit 8ee2a4f43e327fbb727273697f19fe5fbdc8f426 Merge: 872dfff0a 9d8e28534 Author: Luigi Ballabio Date: Mon, 14 Apr 2025 11:40:43 +0200 Thailand Holidays 2025 (#2197) commit 9d8e28534c2edb083e6bb34c220a618ce9c3418e Author: paolodelia99 Date: Sun, 13 Apr 2025 15:56:03 +0200 Fixed typo in comments ql/time/calendars/thailand.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit d095be917fefef774f0c61b4e955decf64038003 Author: paolodelia99 Date: Sun, 13 Apr 2025 15:52:09 +0200 Added Thailand holidays 2025 ql/time/calendars/thailand.cpp | 9 +++++++++ 1 file changed, 9 insertions(+) commit 451551d2b73e283596be6aa17c88f4c20fdbacb4 Author: kawailee Date: Sat, 12 Apr 2025 20:40:33 -0400 Add Hong Kong Exchange 2025 holidays ql/time/calendars/hongkong.cpp | 15 +++++++++++++++ 1 file changed, 15 insertions(+) commit 872dfff0ad9ef98bd1656075466846c4f2036d49 Author: Luigi Ballabio Date: Fri, 11 Apr 2025 13:03:53 +0200 Workaround deprecation of Boost.Process v1 in Boost 1.88 test-suite/paralleltestrunner.hpp | 8 +++++++- test-suite/quantlibbenchmark.cpp | 9 ++++++++- 2 files changed, 15 insertions(+), 2 deletions(-) commit 593b0ebcc5f0a80c0c7c7fb5c3c005fb5271215d Author: Luigi Ballabio Date: Fri, 11 Apr 2025 11:55:37 +0200 Avoid deprecation warnings from Boost 1.88 on VC++ 2022 ql/methods/finitedifferences/operators/numericaldifferentiation.cpp | 2 ++ ql/models/equity/hestonslvmcmodel.cpp | 2 ++ 2 files changed, 4 insertions(+) commit d2f17e8255d17cc1b0a93c1378f1c8d4d30080ba Author: Luigi Ballabio Date: Fri, 11 Apr 2025 11:03:00 +0200 Use latest Boost version in CI builds .github/workflows/cmake.yml | 12 ++++++------ .github/workflows/msvc-all-configs.yml | 2 +- .github/workflows/msvc-analysis.yml | 4 ++-- .github/workflows/msvc-nondefault.yml | 2 +- .github/workflows/msvc.yml | 2 +- 5 files changed, 11 insertions(+), 11 deletions(-) commit 4655f19ca2816c3c5f7b43fca4daf947719baf56 Merge: f0b000fa0 93e9ee55c Author: Luigi Ballabio Date: Thu, 10 Apr 2025 14:25:09 +0200 Floor test tolerance at numeric_limits::epsilon (#2194) commit 93e9ee55c887004dc1581ebb3d40ba17feefe29e Author: Luigi Ballabio Date: Thu, 10 Apr 2025 11:52:14 +0200 Floor test tolerance at numeric_limits::epsilon test-suite/functions.cpp | 53 +++++++++++++++++++++++++++++------------------- 1 file changed, 32 insertions(+), 21 deletions(-) commit f0b000fa0e48cadb93bad655347cf5951a40b620 Merge: 0ace62262 981d20177 Author: Luigi Ballabio Date: Wed, 9 Apr 2025 14:30:58 +0200 Array Construction Edge-Case Fix (#2189) commit 981d2017704285d2eb88191b80cf427d27ad7f52 Author: imraneamri Date: Wed, 9 Apr 2025 12:27:07 +0100 Changed double bracketed ( Array({...}) ) constructions with Array to be single-bracketed. test-suite/array.cpp | 2 +- test-suite/basketoption.cpp | 2 +- 2 files changed, 2 insertions(+), 2 deletions(-) commit 0763acaafec5fff7ad84babf68557b52df6acb9c Author: imraneamri Date: Tue, 8 Apr 2025 16:27:28 +0100 Fixes ambiguous array construction: - Array({1}) in test-suite/basketoption.cpp:2491 is ambiguous and throws a warning. This is changed to be Array({Real(1.)}) as to not be confused with the Size constructor. - Added a constructor to array.hpp for when an initializer list is not of type Real but can be cast to it, such as int, float, etc. ql/math/array.hpp | 7 +++++++ test-suite/array.cpp | 14 ++++++++++++++ test-suite/basketoption.cpp | 2 +- 3 files changed, 22 insertions(+), 1 deletion(-) commit 0ace62262fd3206320b0618dba72e89c524eb83c Author: Luigi Ballabio Date: Mon, 7 Apr 2025 11:45:32 +0200 Update news and changelog ChangeLog.txt | 2249 +++++++++++++++++------------------------------ Contributors.txt | 1 + Docs/pages/history.docs | 76 +- News.md | 195 ++-- 4 files changed, 933 insertions(+), 1588 deletions(-) commit 85767864f36ed8bad4f0933d4349dd8c832e9277 Merge: f19d8f42c cd391752d Author: Luigi Ballabio Date: Fri, 4 Apr 2025 09:40:16 +0200 Fix discounting in callable-bond Black engine (#2186) commit cd391752d1d452957c46fa6f52ef3ce9934b12ef Author: Luigi Ballabio Date: Thu, 3 Apr 2025 18:08:40 +0200 Fix discounting in callable-bond Black engine .../callablebonds/blackcallablebondengine.cpp | 12 ++-- test-suite/callablebonds.cpp | 69 ++++++++++++++++++++-- 2 files changed, 71 insertions(+), 10 deletions(-) commit f19d8f42ca4d2ab3dd40293891f8bb0a6087b0f6 Author: Luigi Ballabio Date: Tue, 1 Apr 2025 11:40:15 +0200 Use Ubuntu plucky in CI runs for latest gcc/clang .github/workflows/linux-full-tests.yml | 7 ++++++- .github/workflows/linux-nondefault.yml | 9 +++++++-- .github/workflows/linux.yml | 8 ++++---- 3 files changed, 17 insertions(+), 7 deletions(-) commit 8133aa32197ddbc77b94b9cec9603490896cd9b2 Author: Luigi Ballabio Date: Tue, 1 Apr 2025 11:21:37 +0200 Create Docker image from Ubuntu plucky .github/workflows/devenv-images.yml | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 50ab670d72c3b64d07c7a8dd7f6a43582604f3f9 Merge: 01f78b0d7 ebc5ed6a4 Author: Luigi Ballabio Date: Mon, 31 Mar 2025 12:35:12 +0200 Add missing dependencies to OvernightIndexFuture (#2182) commit ebc5ed6a4aeb3101aef33a67f6aed3f0fcd8390f Author: Eugene Toder Date: Sun, 30 Mar 2025 14:42:25 -0400 Add missing dependencies to OvernightIndexFuture And OvernightIndexFutureRateHelper. ql/instruments/overnightindexfuture.cpp | 1 + ql/termstructures/yield/overnightindexfutureratehelper.cpp | 2 +- 2 files changed, 2 insertions(+), 1 deletion(-) commit 01f78b0d7383264d600f133e50d5309bcd54908f Author: Luigi Ballabio Date: Fri, 28 Mar 2025 15:44:27 +0100 Fix method call ql/handle.hpp | 2 +- test-suite/inflation.cpp | 8 ++++---- test-suite/inflationcapfloor.cpp | 6 +++--- test-suite/inflationcapflooredcoupon.cpp | 4 ++-- test-suite/inflationcpibond.cpp | 2 +- test-suite/inflationcpicapfloor.cpp | 4 ++-- test-suite/inflationcpiswap.cpp | 6 +++--- test-suite/inflationvolatility.cpp | 4 ++-- test-suite/termstructures.cpp | 2 +- 9 files changed, 19 insertions(+), 19 deletions(-) commit d379ab6936c2143d920217a920bff4fdda859916 Merge: 8ef851897 8f2a5fdde Author: Luigi Ballabio Date: Fri, 28 Mar 2025 12:21:02 +0100 Add RelinkableHandle::reset() (#2180) commit 8ef851897cd056fed3fb349788733699e0b9a915 Merge: 913e24d19 5342a83c2 Author: Luigi Ballabio Date: Fri, 28 Mar 2025 12:20:39 +0100 Add missing dependency on convexity quote in OvernightIndexFuture (#2181) commit 5342a83c2a5e485c6aa787d6496e3afabbd6083c Author: Eugene Toder Date: Thu, 27 Mar 2025 14:55:23 -0400 Add missing dependency on convexity quote in OvernightIndexFuture ql/instruments/overnightindexfuture.cpp | 1 + test-suite/sofrfutures.cpp | 27 ++++++++++++++++----------- 2 files changed, 17 insertions(+), 11 deletions(-) commit 8f2a5fddeb9be351981eb57801b4d9e3a1b9e0d2 Author: Eugene Toder Date: Thu, 27 Mar 2025 13:17:13 -0400 Add RelinkableHandle::reset() So it does not have to be added in SWIG[1]. [1] https://github.com/lballabio/QuantLib-SWIG/blob/7d8d4c6c3bc71c195719a4df81b0650e60578da1/SWIG/common.i#L128 ql/handle.hpp | 6 ++++++ 1 file changed, 6 insertions(+) commit 913e24d19c39994ab6a059cf67b9fe51eeb098ae Merge: a39c40f98 cf3fe6f01 Author: Luigi Ballabio Date: Thu, 27 Mar 2025 12:42:07 +0100 Pass openmp compile flags from cmake to pkg-config file. (#2179) commit cf3fe6f010d12ff715913b31d570e108ba35833d Author: Tomas Kalibera Date: Wed, 26 Mar 2025 22:36:47 +0100 Pass openmp compile flags from cmake to pkg-config file. CMakeLists.txt | 3 +++ 1 file changed, 3 insertions(+) commit a39c40f988ea38e7f4b6505f8fd1d93e6ac1275a Merge: e1d8e6fe6 abd50eeb1 Author: Luigi Ballabio Date: Wed, 26 Mar 2025 12:49:04 +0100 Fix for AD in choiasianengine.cpp (#2178) commit abd50eeb1a9d352d9ac774ee5202a008e0a6740d Author: imraneamri Date: Tue, 25 Mar 2025 15:32:10 +0000 Size recast to Real in computation for choiasianengine.cpp ql/pricingengines/asian/choiasianengine.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit e1d8e6fe6af68215221e2c92879c0fd107938f24 Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Date: Sun, 23 Mar 2025 01:38:27 +0000 Automated fixes by clang-tidy ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 3 +-- 1 file changed, 1 insertion(+), 2 deletions(-) commit e3fabd68cbfa296ae6265cf7c0a8ec36e67f7e15 Merge: c8934b663 da9e7773e Author: Luigi Ballabio Date: Mon, 17 Mar 2025 10:40:59 +0100 Fix EURLibor index (#2170) commit c8934b6637031d26354193bedd130410f5fe147f Merge: 9de5cec4d 1e4b67c27 Author: Luigi Ballabio Date: Mon, 17 Mar 2025 10:39:42 +0100 XCcy Helpers (#2168) commit 9de5cec4d2e096291ad58b143430631aa1834d31 Merge: 6b6c12c9d 305e3c5e2 Author: Luigi Ballabio Date: Mon, 17 Mar 2025 10:35:49 +0100 Piecewise forward spreaded ts (#2169) commit 305e3c5e2fd818e9e1128add721e90d2b46defc4 Author: paolodelia99 Date: Sat, 15 Mar 2025 22:40:45 +0100 Added test on zero rate test-suite/termstructures.cpp | 56 +++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 56 insertions(+) commit b6b160809cc8bb97fed845b51b896201ccac47f5 Author: kp9991 Date: Sat, 15 Mar 2025 14:30:25 +1100 Throwing exception if freq not supplied for overnight index .../termstructures/crosscurrencyratehelpers.cpp | 4 ++-- test-suite/crosscurrencyratehelpers.cpp | 16 +++++++++++++++- 2 files changed, 17 insertions(+), 3 deletions(-) commit 164b9789a156ab55c03643b7c8f432e7964b73c0 Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Date: Fri, 14 Mar 2025 08:53:43 +0000 Update generated headers ql/termstructures/yield/all.hpp | 1 - 1 file changed, 1 deletion(-) commit c5b56ff4bfd10f9ac0589d2b8cc2b7ab1b17227d Author: paolodelia99 Date: Fri, 14 Mar 2025 09:49:54 +0100 Refactored code according to suggestions QuantLib.vcxproj | 1 - QuantLib.vcxproj.filters | 3 - ql/CMakeLists.txt | 1 - ql/termstructures/yield/Makefile.am | 1 - .../yield/interpolatedpiecewisespreadcurve.hpp | 147 --------------------- .../piecewiseforwardspreadedtermstructure.hpp | 73 ++++++++-- .../yield/piecewisezerospreadedtermstructure.hpp | 52 ++++++-- 7 files changed, 107 insertions(+), 171 deletions(-) commit d8b7d29694363ef03a3a2862eccc820429047de9 Author: kp9991-git Date: Fri, 14 Mar 2025 12:57:26 +1100 Reverting project file changes QuantLib.props | 5 +---- QuantLib.vcxproj | 3 +-- 2 files changed, 2 insertions(+), 6 deletions(-) commit fe18b86e5f769787cabbbfd0dbd046a69e971bd6 Author: kp9991-git Date: Fri, 14 Mar 2025 11:02:31 +1100 Defaulting to quarterly payment frequency for RFR indices if the payment req is not supplied QuantLib.props | 5 ++++- QuantLib.vcxproj | 3 ++- ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 12 ++++++++++-- 3 files changed, 16 insertions(+), 4 deletions(-) commit 4b012671d24536d3be928efa8b30d19f77f5ff20 Author: kp9991 Date: Fri, 14 Mar 2025 05:36:51 +1100 Post peer review ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 2 +- ql/experimental/termstructures/crosscurrencyratehelpers.hpp | 4 ++-- test-suite/crosscurrencyratehelpers.cpp | 6 +++--- 3 files changed, 6 insertions(+), 6 deletions(-) commit bca92978682df07c0695a3c321ff9fe051e617ae Author: kp9991-git Date: Thu, 13 Mar 2025 09:57:53 +1100 Renaming function for clarity ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) commit f9200bfc43cb1dd5212a9810bfa2ecec66b326ae Author: kp9991-git Date: Thu, 13 Mar 2025 09:54:53 +1100 Constructing OvernightLeg for overnight index ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 7 +++++++ 1 file changed, 7 insertions(+) commit da9e7773e3efec0f569b3f9af10de4a375647d42 Author: Eugene Toder Date: Mon, 10 Mar 2025 21:06:10 -0400 Fix EURLibor index * Use JoinHolidays for the fixing calendar * Use TARGET in fixingDate since it is used in valueDate ql/indexes/ibor/eurlibor.cpp | 10 ++++++++-- ql/indexes/ibor/eurlibor.hpp | 1 + ql/indexes/interestrateindex.hpp | 2 +- 3 files changed, 10 insertions(+), 3 deletions(-) commit 6b6c12c9d130896da269dcb8a0218e86a95353c5 Merge: 91efbfd4e 20181c560 Author: Luigi Ballabio Date: Tue, 11 Mar 2025 18:12:45 +0100 Use fixed evaluationDate in testGlobalBootstrapVariables (#2171) commit 20181c56034448e57c1d3429707e60e81a129184 Author: Eugene Toder Date: Tue, 11 Mar 2025 12:19:24 -0400 Use fixed evaluationDate in testGlobalBootstrapVariables test-suite/piecewiseyieldcurve.cpp | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) commit f4182087933cde34a8cb087e06c74647cb1c0363 Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Date: Sun, 9 Mar 2025 13:41:39 +0000 Update generated headers ql/termstructures/yield/all.hpp | 3 ++- 1 file changed, 2 insertions(+), 1 deletion(-) commit dd7c0031cb542cfb4e8211f1e9800a3a63778bea Author: paolodelia99 Date: Sun, 9 Mar 2025 14:39:24 +0100 Reordering of files in makefile ql/termstructures/yield/Makefile.am | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) commit 389ffb1c6aab4cac515b8f34a69a201ca3ded7e7 Author: paolodelia99 Date: Sun, 9 Mar 2025 14:31:20 +0100 correction in makefile ql/termstructures/yield/Makefile.am | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit dc9cb4c5ca06efd6f5e7383fc6c2823f97e02566 Author: paolodelia99 Date: Sun, 9 Mar 2025 14:19:20 +0100 Changed position of includes in the header ql/termstructures/yield/all.hpp | 5 ++--- 1 file changed, 2 insertions(+), 3 deletions(-) commit 268f2d200c168f056d6461b95d1038a89e18882a Author: paolodelia99 Date: Sun, 9 Mar 2025 13:40:17 +0100 Fixed file paths as dictated in check_filelists.sh QuantLib.vcxproj | 4 ++-- QuantLib.vcxproj.filters | 4 ++-- ql/CMakeLists.txt | 2 +- ql/termstructures/yield/Makefile.am | 2 ++ 4 files changed, 7 insertions(+), 5 deletions(-) commit 8f5876ad27c2d00cb34979c889b58b70660f571f Author: paolodelia99 Date: Sun, 9 Mar 2025 13:31:09 +0100 Corrected args order in constructor ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp | 5 +++-- 1 file changed, 3 insertions(+), 2 deletions(-) commit 6ee960da5fddf76de35d0fbc5a9eba475715e79d Author: paolodelia99 Date: Sun, 9 Mar 2025 12:20:36 +0100 Included two files in cmake and vcode related files, added few docstrings QuantLib.vcxproj | 2 ++ QuantLib.vcxproj.filters | 6 ++++++ ql/CMakeLists.txt | 2 ++ ql/termstructures/interpolatedcurve.hpp | 2 +- ql/termstructures/yield/all.hpp | 2 ++ ql/termstructures/yield/interpolatedpiecewisespreadcurve.hpp | 8 ++++++++ 6 files changed, 21 insertions(+), 1 deletion(-) commit cb1a078153ff997b4741100a834886fd09f075aa Author: paolodelia99 Date: Sun, 9 Mar 2025 11:49:16 +0100 Fixed bug in zeroYieldImpl calculation, linear interpolation test is not passing .../yield/interpolatedpiecewisespreadcurve.hpp | 17 +++++++++++++++++ .../yield/piecewiseforwardspreadedtermstructure.hpp | 8 ++------ 2 files changed, 19 insertions(+), 6 deletions(-) commit 4c34fa6aece27aaa0c71344a2b90d9b6be49de3d Author: kp9991-git Date: Sun, 9 Mar 2025 04:43:00 +1100 Unit tests test-suite/crosscurrencyratehelpers.cpp | 80 +++++++++++++++++++++++++++++---- 1 file changed, 72 insertions(+), 8 deletions(-) commit e3e65d56cb886da78fdfc9320adba376f390de6c Author: paolodelia99 Date: Sat, 8 Mar 2025 18:15:18 +0100 Implemented interpolatedpiecewisespreadcurve for encapsulate the logic, but test for linear interpolation are failing .../yield/interpolatedpiecewisespreadcurve.hpp | 122 +++++++++++++++++ .../piecewiseforwardspreadedtermstructure.hpp | 60 ++------- .../yield/piecewisezerospreadedtermstructure.hpp | 48 +------ test-suite/termstructures.cpp | 146 +++++++++++++++++---- 4 files changed, 262 insertions(+), 114 deletions(-) commit 91efbfd4eca448cf300616e6778880b0015e9854 Merge: 07c8ebb3d ba424a1a9 Author: Luigi Ballabio Date: Fri, 7 Mar 2025 15:47:33 +0100 Remove manual saving/restoring of evaluationDate (#2166) commit 7e7555d24a8300ba2023bc8b7e045f8022fa6017 Author: kp9991-git Date: Fri, 7 Mar 2025 19:32:21 +1100 Removing unused include ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 7 ------- 1 file changed, 7 deletions(-) commit e796cd8e0bdc88d9adcf2cdaa289d47e48001c74 Author: kp9991-git Date: Fri, 7 Mar 2025 19:24:57 +1100 Handling payment lag .../termstructures/crosscurrencyratehelpers.cpp | 89 ++++++++++++++++------ .../termstructures/crosscurrencyratehelpers.hpp | 3 + 2 files changed, 68 insertions(+), 24 deletions(-) commit ba424a1a902dd52d0b340fbeca31385fc83c98eb Author: Eugene Toder Date: Thu, 6 Mar 2025 18:25:49 -0500 Remove manual saving/restoring of evaluationDate test-suite/markovfunctional.cpp | 12 ------------ 1 file changed, 12 deletions(-) commit 07c8ebb3d8c795e37063db91be8fd77aafceb8a0 Merge: 6d6e7a7e5 1ebd68057 Author: Luigi Ballabio Date: Wed, 5 Mar 2025 20:22:58 +0100 Allow optimizing additional variables during global bootstrap (#2163) commit 1ebd680572e03301edef859340375285253a8bb4 Author: Eugene Toder Date: Mon, 24 Feb 2025 15:00:03 -0500 Allow optimizing additional variables during global bootstrap This is useful to optimize model parameters used by rate helpers, for example, convexity adjustments for futures. This change adds a generic interface (AdditionalBootstrapVariables) and a specific implementation for variables implemented as SimpleQuotes (SimpleQuoteVariables). QuantLib.vcxproj | 2 + QuantLib.vcxproj.filters | 6 ++ ql/CMakeLists.txt | 2 + ql/termstructures/Makefile.am | 2 + ql/termstructures/all.hpp | 1 + ql/termstructures/globalbootstrap.hpp | 119 ++++++++++++++++++++---------- ql/termstructures/globalbootstrapvars.cpp | 49 ++++++++++++ ql/termstructures/globalbootstrapvars.hpp | 32 ++++++++ test-suite/piecewiseyieldcurve.cpp | 61 +++++++++++++++ 9 files changed, 234 insertions(+), 40 deletions(-) commit 6d6e7a7e5887f99cf3c617445d6cf1fc6bd1fa74 Merge: 2391bbf48 6faaad0ca Author: Luigi Ballabio Date: Wed, 5 Mar 2025 11:46:23 +0100 Make all constructors of FuturesRateHelper take convAdj by value (#2164) commit 6faaad0ca74114e65db4a3a10c3e85e65c22d5db Author: Eugene Toder Date: Tue, 4 Mar 2025 22:37:28 -0500 Make all constructors of FuturesRateHelper take convAdj by value ql/termstructures/yield/ratehelpers.cpp | 6 +++--- ql/termstructures/yield/ratehelpers.hpp | 2 +- 2 files changed, 4 insertions(+), 4 deletions(-) commit c8bc60a8196e327484a3359d69a683d9291d01d7 Author: kp9991-git Date: Wed, 5 Mar 2025 14:27:30 +1100 Adding payment freq and payment lag .../termstructures/crosscurrencyratehelpers.cpp | 42 +++++++++++++++------- .../termstructures/crosscurrencyratehelpers.hpp | 14 ++++++-- 2 files changed, 40 insertions(+), 16 deletions(-) commit 48da0d36a0e10a3c6a624e16cf809f31f2051bec Author: paolodelia99 Date: Sun, 2 Mar 2025 16:00:43 +0100 Made the new test pass .../piecewiseforwardspreadedtermstructure.hpp | 9 ++++ test-suite/termstructures.cpp | 50 +++++++++++----------- 2 files changed, 34 insertions(+), 25 deletions(-) commit 2391bbf4825a1ed349b29e95d4ea265a777eca51 Author: Luigi Ballabio Date: Thu, 27 Feb 2025 21:09:54 +0100 Remove always-true assertion VC++ started warning about it test-suite/nthtodefault.cpp | 2 -- 1 file changed, 2 deletions(-) commit acd0c48904cf09c49b8d0d47eb52d1d83f8f22c2 Merge: 1b86c3a03 02e81376e Author: Luigi Ballabio Date: Thu, 27 Feb 2025 18:20:16 +0100 Add DepositRateHelper and FraRateHelper constructors with fixed dates (#2156) commit 02e81376ef4b16b21a6c750adf8e67bacd28c0e1 Author: Eugene Toder Date: Mon, 24 Feb 2025 12:40:55 -0500 Add tests test-suite/piecewiseyieldcurve.cpp | 92 ++++++++++++++++++++++++++++++++++++++ 1 file changed, 92 insertions(+) commit f97c5ecc8da287757e210f4db7f610eab386c8b7 Author: paolodelia99 Date: Sun, 23 Feb 2025 11:29:02 +0100 First draft of the piecewiseforwardspreadedts .../piecewiseforwardspreadedtermstructure.hpp | 187 +++++++++++++++++++++ test-suite/termstructures.cpp | 43 +++++ 2 files changed, 230 insertions(+) commit 1b86c3a03a7b6ef855b00c28cf8e980554f3cc7c Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Date: Sun, 16 Feb 2025 01:34:33 +0000 Automated fixes by clang-tidy ql/pricingengines/barrier/analyticpartialtimebarrieroptionengine.cpp | 4 ++-- ql/pricingengines/barrier/analyticpartialtimebarrieroptionengine.hpp | 4 ++-- 2 files changed, 4 insertions(+), 4 deletions(-) commit 0aab51c0d73a83901be8794ed7c0c19ac2df5623 Merge: d47be9225 99c5fd435 Author: Luigi Ballabio Date: Fri, 14 Feb 2025 08:44:19 +0100 Move a few options and engines from experimental folder to core library (#2157) commit 99c5fd435c6c69eaa8b7672075d6176fbbfdc8a6 Author: Luigi Ballabio Date: Thu, 13 Feb 2025 16:15:08 +0100 Documented writer-extensible option; moved from experimental to core QuantLib.vcxproj | 6 +- QuantLib.vcxproj.filters | 18 ++++-- cmake/GenerateHeaders.cmake | 2 + ql/CMakeLists.txt | 6 +- ql/experimental/exoticoptions/Makefile.am | 8 +-- ql/experimental/exoticoptions/all.hpp | 2 - .../analyticwriterextensibleoptionengine.hpp | 28 ++------- .../exoticoptions/writerextensibleoption.hpp | 58 ++--------------- ql/instruments/Makefile.am | 2 + ql/instruments/all.hpp | 1 + .../writerextensibleoption.cpp | 2 +- ql/instruments/writerextensibleoption.hpp | 73 ++++++++++++++++++++++ ql/pricingengines/exotic/Makefile.am | 6 +- ql/pricingengines/exotic/all.hpp | 1 + .../analyticwriterextensibleoptionengine.cpp | 2 +- .../analyticwriterextensibleoptionengine.hpp | 47 ++++++++++++++ test-suite/extensibleoptions.cpp | 4 +- 17 files changed, 168 insertions(+), 98 deletions(-) commit 2d23e5019addca374beae4e39f071b473d1b8747 Author: Luigi Ballabio Date: Thu, 13 Feb 2025 15:25:08 +0100 Documented holder-extensible option; moved from experimental to code QuantLib.vcxproj | 6 +- QuantLib.vcxproj.filters | 18 +++-- cmake/GenerateHeaders.cmake | 2 + ql/CMakeLists.txt | 6 +- ql/experimental/exoticoptions/Makefile.am | 4 +- ql/experimental/exoticoptions/all.hpp | 2 - .../analyticholderextensibleoptionengine.hpp | 48 ++------------ .../exoticoptions/holderextensibleoption.hpp | 51 ++------------ ql/instruments/Makefile.am | 2 + ql/instruments/all.hpp | 1 + .../holderextensibleoption.cpp | 2 +- ql/instruments/holderextensibleoption.hpp | 77 ++++++++++++++++++++++ ql/pricingengines/exotic/Makefile.am | 2 + ql/pricingengines/exotic/all.hpp | 1 + .../analyticholderextensibleoptionengine.cpp | 2 +- .../analyticholderextensibleoptionengine.hpp | 68 +++++++++++++++++++ test-suite/extensibleoptions.cpp | 4 +- 17 files changed, 189 insertions(+), 107 deletions(-) commit 845f4a934ba03333359fd8f006f9d8deeba0df97 Author: Luigi Ballabio Date: Thu, 13 Feb 2025 10:27:10 +0100 Documented two-asset correlation option; moved from experimental to core QuantLib.vcxproj | 6 +- QuantLib.vcxproj.filters | 18 ++++-- cmake/GenerateHeaders.cmake | 2 + ql/CMakeLists.txt | 6 +- ql/experimental/exoticoptions/Makefile.am | 6 +- ql/experimental/exoticoptions/all.hpp | 2 - .../analytictwoassetcorrelationengine.hpp | 32 ++-------- .../exoticoptions/twoassetcorrelationoption.hpp | 46 ++------------ ql/instruments/Makefile.am | 2 + ql/instruments/all.hpp | 1 + .../twoassetcorrelationoption.cpp | 2 +- ql/instruments/twoassetcorrelationoption.hpp | 74 ++++++++++++++++++++++ ql/pricingengines/exotic/Makefile.am | 10 +-- ql/pricingengines/exotic/all.hpp | 1 + .../exotic}/analytictwoassetcorrelationengine.cpp | 2 +- .../exotic/analytictwoassetcorrelationengine.hpp | 51 +++++++++++++++ test-suite/twoassetcorrelationoption.cpp | 4 +- 17 files changed, 174 insertions(+), 91 deletions(-) commit 692a3c57254fc122543bd9daf945b8e7009b9040 Author: Eugene Toder Date: Wed, 12 Feb 2025 19:32:24 -0500 Add DepositRateHelper and FraRateHelper constructors with fixed dates This is useful for non-standard conventions and to avoid dependency on evaluation date. ql/termstructures/bootstraphelper.hpp | 1 - ql/termstructures/yield/ratehelpers.cpp | 86 +++++++++++++++++++++++---------- ql/termstructures/yield/ratehelpers.hpp | 10 ++++ 3 files changed, 70 insertions(+), 27 deletions(-) commit a2c74332e4df451736ec5a3e911c82e1b778e96a Author: Luigi Ballabio Date: Wed, 12 Feb 2025 15:27:31 +0100 Documented two-asset barrier option, moved from experimental to core QuantLib.vcxproj | 6 +- QuantLib.vcxproj.filters | 18 ++-- cmake/GenerateHeaders.cmake | 4 +- ql/CMakeLists.txt | 6 +- ql/experimental/exoticoptions/Makefile.am | 6 +- ql/experimental/exoticoptions/all.hpp | 2 - .../analytictwoassetbarrierengine.hpp | 81 ++---------------- .../exoticoptions/twoassetbarrieroption.hpp | 58 ++----------- ql/instruments/Makefile.am | 2 + ql/instruments/all.hpp | 1 + .../twoassetbarrieroption.cpp | 2 +- ql/instruments/twoassetbarrieroption.hpp | 80 +++++++++++++++++ ql/pricingengines/barrier/Makefile.am | 2 + ql/pricingengines/barrier/all.hpp | 1 + .../barrier}/analytictwoassetbarrierengine.cpp | 2 +- .../barrier/analytictwoassetbarrierengine.hpp | 99 ++++++++++++++++++++++ test-suite/twoassetbarrieroption.cpp | 4 +- 17 files changed, 225 insertions(+), 149 deletions(-) commit a3191efdf917d4432163d40e61138b631f3b7acd Author: Luigi Ballabio Date: Wed, 12 Feb 2025 11:58:18 +0100 Remove Doxygen blocks from outdated files .../exoticoptions/analyticpartialtimebarrieroptionengine.hpp | 4 ---- ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp | 4 ---- ql/experimental/exoticoptions/partialtimebarrieroption.hpp | 4 ---- 3 files changed, 12 deletions(-) commit c71c0b4903edf07ade7de35dbb7efc740a2e877e Author: Luigi Ballabio Date: Wed, 12 Feb 2025 10:40:45 +0100 Documented Levy Asian engine, moved from experimental to core QuantLib.vcxproj | 3 +- QuantLib.vcxproj.filters | 9 ++-- cmake/GenerateHeaders.cmake | 1 + ql/CMakeLists.txt | 5 +- ql/experimental/exoticoptions/Makefile.am | 8 +++- ql/experimental/exoticoptions/all.hpp | 1 - .../continuousarithmeticasianlevyengine.hpp | 27 ++--------- ql/pricingengines/asian/Makefile.am | 2 + ql/pricingengines/asian/all.hpp | 1 + .../asian}/continuousarithmeticasianlevyengine.cpp | 2 +- .../asian/continuousarithmeticasianlevyengine.hpp | 53 ++++++++++++++++++++++ test-suite/asianoptions.cpp | 2 +- 12 files changed, 81 insertions(+), 33 deletions(-) commit f1adb05a774bada3f0fe27c43241fe88b2c23992 Author: Luigi Ballabio Date: Tue, 11 Feb 2025 13:04:37 +0100 Documented partial-time barrier option, moved from experimental to core QuantLib.vcxproj | 6 +- QuantLib.vcxproj.filters | 18 ++-- cmake/GenerateHeaders.cmake | 2 + ql/CMakeLists.txt | 6 +- ql/experimental/exoticoptions/Makefile.am | 4 +- ql/experimental/exoticoptions/all.hpp | 2 - .../analyticpartialtimebarrieroptionengine.hpp | 51 +--------- .../exoticoptions/analyticpdfhestonengine.hpp | 2 +- .../exoticoptions/partialtimebarrieroption.hpp | 61 +----------- ql/instruments/Makefile.am | 2 + ql/instruments/all.hpp | 1 + .../partialtimebarrieroption.cpp | 2 +- ql/instruments/partialtimebarrieroption.hpp | 107 +++++++++++++++++++++ ql/pricingengines/barrier/Makefile.am | 2 + ql/pricingengines/barrier/all.hpp | 1 + .../analyticpartialtimebarrieroptionengine.cpp | 2 +- .../analyticpartialtimebarrieroptionengine.hpp | 79 +++++++++++++++ test-suite/partialtimebarrieroption.cpp | 4 +- 18 files changed, 230 insertions(+), 122 deletions(-) commit d257dd313b9f6d0a94520e13adadd1a60060afa3 Author: Luigi Ballabio Date: Tue, 11 Feb 2025 11:35:12 +0100 Sort out partial-barrier enums .../analyticpartialtimebarrieroptionengine.cpp | 26 ++++++++++--------- .../analyticpartialtimebarrieroptionengine.hpp | 2 +- .../exoticoptions/partialtimebarrieroption.cpp | 24 ++--------------- .../exoticoptions/partialtimebarrieroption.hpp | 15 ++++++----- test-suite/partialtimebarrieroption.cpp | 30 +++++++++++----------- 5 files changed, 40 insertions(+), 57 deletions(-) commit 37b074a0586cfed89a35339bd2ba90192df41def Author: Luigi Ballabio Date: Tue, 11 Feb 2025 10:12:20 +0100 Move analytic PDF Heston engine from experimental to core library QuantLib.vcxproj | 5 +- QuantLib.vcxproj.filters | 11 ++-- cmake/GenerateHeaders.cmake | 6 ++ ql/CMakeLists.txt | 3 +- ql/experimental/exoticoptions/Makefile.am | 3 +- ql/experimental/exoticoptions/all.hpp | 1 - .../exoticoptions/analyticpdfhestonengine.hpp | 56 ++-------------- ql/pricingengines/vanilla/Makefile.am | 2 + ql/pricingengines/vanilla/all.hpp | 1 + .../vanilla}/analyticpdfhestonengine.cpp | 2 +- .../vanilla/analyticpdfhestonengine.hpp | 75 ++++++++++++++++++++++ test-suite/hestonmodel.cpp | 2 +- test-suite/hestonslvmodel.cpp | 2 +- 13 files changed, 105 insertions(+), 64 deletions(-) commit d47be9225ab3b15f1f5800b4d197613344c66ed5 Merge: e1dbeda53 53623e49c Author: Luigi Ballabio Date: Mon, 10 Feb 2025 12:50:38 +0100 Partial-Time Barrier Put Option implementation (#2142) commit 53623e49c02c29d852c2e19e53267cbc6fea6535 Author: Luigi Ballabio Date: Mon, 10 Feb 2025 11:31:23 +0100 Remove unused private methods .../analyticpartialtimebarrieroptionengine.cpp | 38 ---------------------- .../analyticpartialtimebarrieroptionengine.hpp | 8 ----- 2 files changed, 46 deletions(-) commit 2b443cccbd816ba8ceeeab1e4a1ef7246cb87768 Author: paolodelia99 Date: Sun, 9 Feb 2025 15:39:46 +0100 #1986: added more explanitory error message in tests for puts test-suite/partialtimebarrieroption.cpp | 7 +++---- 1 file changed, 3 insertions(+), 4 deletions(-) commit 1e01b71bb00d52dc6133eabd98125fee4c186993 Author: paolodelia99 Date: Sun, 9 Feb 2025 15:33:11 +0100 #1986: fixed bug, and refactored code .../analyticpartialtimebarrieroptionengine.cpp | 96 ++++++++++------------ 1 file changed, 42 insertions(+), 54 deletions(-) commit 41b1591a6c49e78de34b4c1f4ab6d13962f5ac66 Author: paolodelia99 Date: Sun, 9 Feb 2025 09:50:27 +0100 #1986: refactored according to suggestions, but tests are failing .../analyticpartialtimebarrieroptionengine.cpp | 359 +++++++++++---------- .../analyticpartialtimebarrieroptionengine.hpp | 43 +-- test-suite/barrieroption.cpp | 16 - test-suite/binaryoption.cpp | 15 - test-suite/partialtimebarrieroption.cpp | 37 ++- test-suite/utilities.cpp | 15 + test-suite/utilities.hpp | 2 + 7 files changed, 254 insertions(+), 233 deletions(-) commit e1dbeda538a1c12abfdcc78e57a5e3c6c1fe6318 Merge: 22871b942 4f32c1282 Author: Luigi Ballabio Date: Thu, 6 Feb 2025 16:13:52 +0100 Honor passed convention in case of end-of-month adjustment (#2154) commit 22871b94226461b58707096a996a7ef4b240d456 Merge: 46e16c05e ce2c2ecb8 Author: Luigi Ballabio Date: Thu, 6 Feb 2025 14:29:30 +0100 Ensure that inflation curves are bootstrapped before access (#2153) commit 4f32c12821f291fede86cee35a0a9400398fd69e Author: Luigi Ballabio Date: Thu, 6 Feb 2025 13:33:47 +0100 Honor passed convention in case of end-of-month adjustment ql/time/schedule.cpp | 9 ++--- test-suite/schedule.cpp | 96 ++++++++++++++++++++++++++++++++++++++++++++----- 2 files changed, 89 insertions(+), 16 deletions(-) commit ce2c2ecb80a01eb2cb3bcd82b77ef886e0f197ec Author: Luigi Ballabio Date: Thu, 6 Feb 2025 12:10:50 +0100 Ensure that inflation curves are bootstrapped before access .../inflation/piecewiseyoyinflationcurve.hpp | 7 ++ .../inflation/piecewisezeroinflationcurve.hpp | 7 ++ test-suite/inflation.cpp | 107 +++++++++++++++++++++ 3 files changed, 121 insertions(+) commit 46e16c05e8681c1bf25fe179d76d9082e6181aca Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> Date: Mon, 3 Feb 2025 22:58:43 +0000 Automated fixes by clang-tidy ql/indexes/inflationindex.cpp | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) commit 4b6fe590ae241910e7ac2750c897bcb4ad24faee Author: Luigi Ballabio Date: Mon, 3 Feb 2025 18:26:37 +0100 Don't use make_shared when it raises a deprecation warning ql/indexes/inflationindex.cpp | 2 ++ test-suite/inflation.cpp | 7 +++++++ 2 files changed, 9 insertions(+) commit b37fdbd8895a468cc13c4440b4062cae604adc5b Merge: 6b99bc6b2 77d357318 Author: Luigi Ballabio Date: Mon, 3 Feb 2025 09:57:13 +0100 added china calendar for the year 2025 (#2150) commit 6b99bc6b21179a06202498abb5c081f78c3937f5 Merge: 3a61fcd13 7569b80f1 Author: Luigi Ballabio Date: Mon, 3 Feb 2025 09:52:16 +0100 Fixed QuantLib.vcxproj.filters "UTF-8 with BOM" encoding for vstudio;… (#2151) commit 7569b80f15254a3174d16913f7271bc3ae111bc7 Author: Konstantin Novitsky Date: Sun, 2 Feb 2025 16:05:22 -0500 Fixed QuantLib.vcxproj.filters "UTF-8 with BOM" encoding for vstudio; had double "EF BB BF" QuantLib.vcxproj.filters | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 9b2cf3cf74c8a4d9c1b6f5abb961f29e6000200d Author: paolodelia99 Date: Sun, 2 Feb 2025 16:06:35 +0100 #1986: Fixed bug, missed strike and barrier fn, tests refactoring .../analyticpartialtimebarrieroptionengine.cpp | 29 +++++++++++++--------- test-suite/partialtimebarrieroption.cpp | 14 +++++------ 2 files changed, 24 insertions(+), 19 deletions(-) commit bfb322660fc26aaa8ec5efca588dcb58bd8b8bb8 Author: paolodelia99 Date: Sun, 2 Feb 2025 15:40:32 +0100 #1986: code refactoring, but the tests are failing .../analyticpartialtimebarrieroptionengine.cpp | 326 +++++++++++---------- .../analyticpartialtimebarrieroptionengine.hpp | 2 + .../barrier/analyticbarrierengine.cpp | 12 +- .../barrier/analyticbarrierengine.hpp | 1 - test-suite/partialtimebarrieroption.cpp | 48 +-- 5 files changed, 204 insertions(+), 185 deletions(-) commit 77d357318a22ea056617271d1ea3ba3ea308fc30 Author: wegamekinglc Date: Sun, 2 Feb 2025 18:03:09 +0800 addded china calendar ql/time/calendars/china.cpp | 13 ++++++++++++- test-suite/calendars.cpp | 31 +++++++++++++++++++++++++++++-- 2 files changed, 41 insertions(+), 3 deletions(-) commit 3a61fcd13ef1f8d1c42bb8cb5ab9d93f508ab956 Merge: 51a77aacb 165405cc8 Author: Luigi Ballabio Date: Wed, 29 Jan 2025 07:15:55 +0100 Deprecate passing interpolation flag to YoY indexes (#2146) commit 51a77aacbd272cd1046c0ab12119e3bd2204f725 Merge: 8f1cbbeae a9074444a Author: Luigi Ballabio Date: Tue, 28 Jan 2025 18:17:57 +0100 Cache rate in FuturesConvAdjustmentQuote (#2145) commit 8f1cbbeae80c7478aece15115365ca6d7561be9f Merge: 947cab49d 4a5b84fd0 Author: Luigi Ballabio Date: Tue, 28 Jan 2025 18:13:58 +0100 Support error functions with arguments (#2131) commit 165405cc8053b57c441463f65e49fc878177b697 Author: Luigi Ballabio Date: Tue, 28 Jan 2025 17:41:56 +0100 Make constructor explicit ql/indexes/inflationindex.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 4a5b84fd0df93f6a4f2ad5badeb2d2dceb575495 Author: Eugene Toder Date: Mon, 6 Jan 2025 12:34:12 -0500 Support error functions with arguments Pass curve data (times and values) to GlobalBootstrap's error functions so that they can compute errors based on the curve's shape. For example, one can penalize gradient to make the curve smoother. ql/termstructures/globalbootstrap.hpp | 53 +++++++++++++------ test-suite/piecewiseyieldcurve.cpp | 98 +++++++++++++++++++++++++++++++++++ 2 files changed, 135 insertions(+), 16 deletions(-) commit a9074444a8d7df7e00cbe0498ac3923edf9b2757 Author: Eugene Toder Date: Tue, 28 Jan 2025 10:32:30 -0500 Cache rate in FuturesConvAdjustmentQuote ql/quotes/futuresconvadjustmentquote.cpp | 24 ++++++++++++++---------- ql/quotes/futuresconvadjustmentquote.hpp | 5 ++++- 2 files changed, 18 insertions(+), 11 deletions(-) commit e8e615985be338ea333e9550fe93faad72a7033b Author: Luigi Ballabio Date: Tue, 28 Jan 2025 15:24:11 +0100 Use non-interpolated index in test test-suite/inflationvolatility.cpp | 16 ++++++---------- 1 file changed, 6 insertions(+), 10 deletions(-) commit d8bd0886c6af0fed5de8fec3552415564fa087cc Author: Luigi Ballabio Date: Tue, 28 Jan 2025 13:22:19 +0100 Avoid deprecation warnings test-suite/inflation.cpp | 20 ++++++++++++++------ 1 file changed, 14 insertions(+), 6 deletions(-) commit a9ef7ba2258cc7fb780d941ce7e55307b6176ffc Author: Luigi Ballabio Date: Tue, 28 Jan 2025 12:43:14 +0100 Deprecate passing interpolation flag to YoY indexes ql/experimental/inflation/genericindexes.hpp | 21 ++++++++++++ .../inflation/interpolatedyoyoptionletstripper.hpp | 2 +- ql/indexes/inflation/aucpi.hpp | 19 +++++++++++ ql/indexes/inflation/euhicp.hpp | 34 +++++++++++++++++++ ql/indexes/inflation/frhicp.hpp | 17 ++++++++++ ql/indexes/inflation/ukrpi.hpp | 17 ++++++++++ ql/indexes/inflation/uscpi.hpp | 17 ++++++++++ ql/indexes/inflation/zacpi.hpp | 18 ++++++++++ ql/indexes/inflationindex.cpp | 37 ++++++++++++++++----- ql/indexes/inflationindex.hpp | 22 ++++++++++++- test-suite/inflation.cpp | 38 +++++++++++++++------- test-suite/inflationcapfloor.cpp | 3 +- test-suite/inflationcapflooredcoupon.cpp | 3 +- test-suite/inflationvolatility.cpp | 8 +++-- 14 files changed, 228 insertions(+), 28 deletions(-) commit 829c38f1c563815a00ff22976f7d426a506b1e3e Author: paolodelia99 Date: Sun, 26 Jan 2025 14:45:39 +0100 #1986: Fixed pricing in partanalyticbarengine, code refactoring, test fixed .../analyticpartialtimebarrieroptionengine.cpp | 51 +++++---- .../barrier/analyticbarrierengine.cpp | 2 +- .../barrier/analyticbarrierengine.hpp | 2 +- test-suite/partialtimebarrieroption.cpp | 123 +++++++++++---------- 4 files changed, 99 insertions(+), 79 deletions(-) commit 98b6a9be6d0d508ca6bd13505a2945c0d12aec72 Author: paolodelia99 Date: Sat, 25 Jan 2025 21:48:52 +0100 #1986: added cost of carry in analyticbarrierengine and got the symmetry right .../barrier/analyticbarrierengine.cpp | 12 ++- .../barrier/analyticbarrierengine.hpp | 1 + test-suite/barrieroption.cpp | 103 ++++++++++++--------- 3 files changed, 67 insertions(+), 49 deletions(-) commit 947cab49df62fdff759eaab5cd1f127c6f88e890 Merge: 70ec1ea78 f8054a1f4 Author: Luigi Ballabio Date: Tue, 21 Jan 2025 12:49:15 +0100 Remove features deprecated in version 1.33 (#2140) commit 70ec1ea7892c2f8a9b6f5ffc44290ddf61f520aa Author: Luigi Ballabio Date: Thu, 15 Apr 2021 16:25:45 +0200 Set version to 1.38-dev. CMakeLists.txt | 6 +++--- configure.ac | 2 +- ql/version.hpp | 4 ++-- 3 files changed, 6 insertions(+), 6 deletions(-) commit 8347ff769d3351fc11e7f6047e344b9b2cf87526 Author: paolodelia99 Date: Sun, 19 Jan 2025 13:56:06 +0100 #1986: trying to test the put-call symmetry for standard barrier options test-suite/barrieroption.cpp | 81 ++++++++++++++++++++++++++++++++++++++++++++ 1 file changed, 81 insertions(+) commit f8054a1f483aef152ea205c6907eab5d5d516af6 Author: Luigi Ballabio Date: Fri, 10 Jan 2025 22:23:07 +0100 Remove features deprecated in version 1.33 ql/currencies/africa.cpp | 46 +++------ ql/currencies/america.cpp | 92 ++++------------- ql/currencies/asia.cpp | 155 ++++++---------------------- ql/currencies/crypto.cpp | 56 ++--------- ql/currencies/europe.cpp | 252 ++++++++-------------------------------------- ql/currencies/oceania.cpp | 16 +-- ql/currency.cpp | 34 ------- ql/currency.hpp | 55 ---------- 8 files changed, 115 insertions(+), 591 deletions(-) commit f17a411f1a8c12ff90a8ce41b2748131f15a68c9 Author: paolodelia99 Date: Sun, 5 Jan 2025 21:40:57 +0100 #1986: added tests for put-call symmetry test-suite/partialtimebarrieroption.cpp | 85 +++++++++++++++++++++++++++++++++ 1 file changed, 85 insertions(+) commit b3b952c3cb75fb094e3e1c922498294c354bf273 Author: paolodelia99 Date: Sun, 5 Jan 2025 19:08:01 +0100 #1986: added tests for put partial time option .../analyticpartialtimebarrieroptionengine.cpp | 1 + test-suite/partialtimebarrieroption.cpp | 83 ++++++++++++++++++++++ 2 files changed, 84 insertions(+) commit 8029ef5a408bd8fbd048d114cbd63c2106c58c1e Author: paolodelia99 Date: Sun, 5 Jan 2025 15:41:15 +0100 #1986: First draft for the calculations of the partial-time barrier put .../analyticpartialtimebarrieroptionengine.cpp | 37 +++++++++++++++++++++- 1 file changed, 36 insertions(+), 1 deletion(-)