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ChangeLog.txt
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commit f69bc6b58616308b11e326175b9d828c4dc404ad
Merge: d73944857 120cb411a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 12 May 2017 17:35:55 +0200
Merge pull request #254.
commit 120cb411a98920aca24818f5dcfb3a8587136824
Author: Peter Caspers <peter.caspers@quaternion.com>
Date: Fri, 12 May 2017 16:15:23 +0200
only ask for a shift if applicable
ql/pricingengines/swaption/blackswaptionengine.hpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit d73944857390c2660b3f4f5bd465f8afd95f2737
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 11 May 2017 18:13:48 +0200
Update ChangeLog, News and Contributors.
ChangeLog.txt | 2595 ++++++++++++++++++++++++++++++++++++++++++++++-
Contributors.txt | 10 +
Docs/pages/authors.docs | 10 +
Docs/pages/history.docs | 94 +-
News.txt | 129 ++-
5 files changed, 2831 insertions(+), 7 deletions(-)
commit 3e7b0023bfb0a2b693ea5974b0a21f8f5f21ea28
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 5 May 2017 08:53:23 +0100
Auto-link required Boost libraries in Examples.
Examples/BasketLosses/BasketLosses.cpp | 4 ++++
Examples/BermudanSwaption/BermudanSwaption.cpp | 15 ++++----------
Examples/Bonds/Bonds.cpp | 4 ++++
Examples/CDS/CDS.cpp | 4 ++++
Examples/CVAIRS/CVAIRS.cpp | 4 ++++
Examples/CallableBonds/CallableBonds.cpp | 15 ++++----------
Examples/ConvertibleBonds/ConvertibleBonds.cpp | 15 ++++----------
Examples/DiscreteHedging/DiscreteHedging.cpp | 15 ++++----------
Examples/EquityOption/EquityOption.cpp | 15 ++++----------
Examples/FRA/FRA.cpp | 15 ++++----------
Examples/FittedBondCurve/FittedBondCurve.cpp | 15 ++++----------
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 4 ++++
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 27 ++++----------------------
Examples/LatentModel/LatentModel.cpp | 4 ++++
Examples/MarketModels/MarketModels.cpp | 2 +-
Examples/MultidimIntegral/MultidimIntegral.cpp | 22 +++++++++++++++++++++
Examples/Replication/Replication.cpp | 15 ++++----------
Examples/Repo/Repo.cpp | 15 ++++----------
Examples/Swap/swapvaluation.cpp | 15 ++++----------
19 files changed, 91 insertions(+), 134 deletions(-)
commit ce770680be4e51f32a51a66b9502e607cfeff4a3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 26 Apr 2017 13:33:15 +0200
Avoid call to make_shared with no arguments.
For some reason, this causes problems with VC++11.
ql/experimental/math/hybridsimulatedannealing.hpp | 8 +++++---
1 file changed, 5 insertions(+), 3 deletions(-)
commit 0e85f03841068bc5e58bc7ec56f03613231ecf09
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Apr 2017 12:13:12 +0200
Update copyrights.
LICENSE.TXT | 13 +++++++++----
ql/indexes/ibor/usdlibor.hpp | 3 ++-
ql/pricingengines/swaption/blackswaptionengine.cpp | 3 ++-
ql/pricingengines/swaption/blackswaptionengine.hpp | 3 ++-
ql/time/calendars/unitedstates.cpp | 3 ++-
ql/time/calendars/unitedstates.hpp | 3 ++-
6 files changed, 19 insertions(+), 9 deletions(-)
commit 01058d2998fa22e9f5241ac8a18db8b6b2a2b6a4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 11 Apr 2017 11:29:32 +0200
Touch up a few test messages.
test-suite/basketoption.cpp | 4 ++--
test-suite/bermudanswaption.cpp | 6 ++++--
test-suite/distributions.cpp | 2 +-
test-suite/europeanoption.cpp | 2 +-
test-suite/gaussianquadratures.cpp | 4 ++--
test-suite/hestonmodel.cpp | 4 ++--
test-suite/interpolations.cpp | 10 +++++-----
test-suite/normalclvmodel.cpp | 9 +++++----
test-suite/riskneutraldensitycalculator.cpp | 5 +++--
9 files changed, 25 insertions(+), 21 deletions(-)
commit 8133971a412dc4ecd78d5f029bdbdadfbd6bab6d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 10 Apr 2017 17:35:30 +0200
Avoid conversion warnings on VC++17.
ql/experimental/credit/randomdefaultlatentmodel.hpp | 2 +-
ql/experimental/math/tcopulapolicy.hpp | 11 +++++------
2 files changed, 6 insertions(+), 7 deletions(-)
commit 6d171902b2f5145d3fe3ddcb0140e030522afd69
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 6 Apr 2017 17:13:55 +0200
Fix compilation of examples when using old Boost versions.
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 269 ++++++++++++++-------------
1 file changed, 140 insertions(+), 129 deletions(-)
commit 1652cbc3056e3018bf7911b55dc1109384d3c7af
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 6 Apr 2017 16:28:58 +0200
Enforce self-consistency of headers.
ql/experimental/models/normalclvmodel.hpp | 2 ++
ql/experimental/models/squarerootclvmodel.hpp | 1 +
ql/experimental/volatility/sabrvoltermstructure.hpp | 1 +
3 files changed, 4 insertions(+)
commit e358494fa5bbb52b160cb4cf90c677dc31ca1518
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 6 Apr 2017 13:59:30 +0200
Deprecate obsolete constructor.
ql/math/interpolations/mixedinterpolation.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 19680796a7aa1a6e8a280da8fcaf1f264cb08e31
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 6 Apr 2017 13:27:32 +0200
Remove code deprecated since version 1.8.
ql/experimental/credit/riskyassetswapoption.cpp | 11 --
ql/experimental/credit/riskyassetswapoption.hpp | 7 -
.../calibrationhelpers/swaptionhelper.cpp | 64 ------
.../calibrationhelpers/swaptionhelper.hpp | 51 -----
ql/pricingengines/swaption/blackswaptionengine.cpp | 18 +-
ql/pricingengines/swaption/blackswaptionengine.hpp | 37 +---
ql/termstructures/volatility/flatsmilesection.cpp | 17 --
ql/termstructures/volatility/flatsmilesection.hpp | 20 --
.../volatility/interpolatedsmilesection.hpp | 150 --------------
.../volatility/swaption/swaptionvolmatrix.cpp | 216 ---------------------
.../volatility/swaption/swaptionvolmatrix.hpp | 71 -------
11 files changed, 11 insertions(+), 651 deletions(-)
commit c64a463422d25f537c8f3c56e3f1fdd17feafd24
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 5 Apr 2017 17:44:17 +0200
Increase cache size for ccache, show stats after run.
.travis.yml | 3 +++
1 file changed, 3 insertions(+)
commit 2b2525805043af7ccced7c43d351db25464313cf
Merge: ff2362410 e1e326243
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 5 Apr 2017 15:08:11 +0200
Merge pull request #234.
commit e1e3262435f891cad3a67170cdc875e415ccea0f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 4 Apr 2017 15:42:04 +0200
Iceland calendar doesn't adjust New Year's Day to Monday.
ql/time/calendars/iceland.cpp | 5 ++---
ql/time/calendars/iceland.hpp | 2 +-
2 files changed, 3 insertions(+), 4 deletions(-)
commit ff23624108a2b88fc0bc0f26c828aa922f431572
Merge: 22fa71034 2c2abd7de
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 4 Apr 2017 12:51:00 +0200
Merge pull request #218.
commit 22fa7103483e42350815dc121a93c1b29e1f73d4
Merge: b6e4b5e71 37169317c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 4 Apr 2017 11:35:34 +0200
Merge pull request #232.
commit 37169317ce6340a28e55c76abbc2f7af1d3b7545
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 3 Apr 2017 16:06:29 +0200
Enable compilation of examples in Travis CI run.
At this point, it should add just a couple of minutes.
.travis.yml | 1 +
1 file changed, 1 insertion(+)
commit 6cdd8ad50d92db2c8225bb9d42c8ac22441ada53
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 3 Apr 2017 12:22:00 +0200
Avoid including the global header in examples.
This reduces the compilation times and should be the suggested
practice going onwards.
Examples/BasketLosses/BasketLosses.cpp | 13 ++++++++++++-
Examples/BermudanSwaption/BermudanSwaption.cpp | 18 ++++++++++++++++-
Examples/Bonds/Bonds.cpp | 16 +++++++++++++--
Examples/CDS/CDS.cpp | 9 ++++++++-
Examples/CVAIRS/CVAIRS.cpp | 13 ++++++++++++-
Examples/CallableBonds/CallableBonds.cpp | 8 +++++++-
Examples/ConvertibleBonds/ConvertibleBonds.cpp | 7 +++++--
Examples/DiscreteHedging/DiscreteHedging.cpp | 10 ++++++++--
Examples/EquityOption/EquityOption.cpp | 17 ++++++++++++++--
Examples/FRA/FRA.cpp | 7 +++++--
Examples/FittedBondCurve/FittedBondCurve.cpp | 9 ++++++++-
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 27 +++++++++++++++++++++++++-
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 6 +++++-
Examples/LatentModel/LatentModel.cpp | 6 +++++-
Examples/MultidimIntegral/MultidimIntegral.cpp | 11 ++++++++---
Examples/Replication/Replication.cpp | 12 ++++++++++--
Examples/Repo/Repo.cpp | 10 ++++++++--
Examples/Swap/swapvaluation.cpp | 11 +++++++++--
18 files changed, 182 insertions(+), 28 deletions(-)
commit b6e4b5e71d31536011878af112e2589ab1ffe8ed
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 1 Apr 2017 10:13:10 +0200
Limit Travis CI run to building the library,
This will hopefully reduce the time under the provided 50 minutes,
and possibly bootstrap ccache.
.travis.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3f6a994935ed6dd03ee863f0d94011d05cea09e9
Author: Luigi Ballabio <luigi.ballabio@statpro.com>
Date: Fri, 31 Mar 2017 12:03:07 +0200
Fix pointer check.
The previous less-than comparison would break compilation on clang 4.
ql/pricingengines/vanilla/analytichestonengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 6eaeb16042039b0f0a4b882b12715d1eae495ea0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 28 Mar 2017 16:24:50 +0200
Avoid regression with Boost 1.64.
It seems that changes in Boost.Random caused a change of seed
that in turn increased the numerical error for the affected
test case.
test-suite/catbonds.cpp | 5 +++++
1 file changed, 5 insertions(+)
commit d3cda8619a92d659b65e14f7936a35d47218ae87
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 31 Mar 2017 17:16:55 +0200
Enable compilation on Travis CI.
.travis.yml | 11 +++++------
1 file changed, 5 insertions(+), 6 deletions(-)
commit 06d550dcc36b2078932c2f94fc7e67212778854f
Merge: 5a9cd4138 f49b45375
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 31 Mar 2017 15:06:45 +0200
Merge pull request #231.
commit 5a9cd4138cf120d1811daa85a340cb82df3a9f57
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 31 Mar 2017 12:22:39 +0200
Add Travis CI configuration.
.travis.yml | 21 +++++++++++++++++++++
1 file changed, 21 insertions(+)
commit f49b45375a55d572142526687f163bbc07b30d0f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 30 Mar 2017 17:24:48 +0200
Disable more code not compiling on Solaris.
ql/utilities/dataparsers.cpp | 6 ++++++
test-suite/dates.cpp | 2 ++
2 files changed, 8 insertions(+)
commit 7e75637961d0d3fbdc2e9dc9b5f89198320dde49
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 28 Mar 2017 17:18:27 +0200
More compilation issues with Sun C++ compiler.
ql/experimental/averageois/averageoiscouponpricer.cpp | 1 +
.../exoticoptions/analytictwoassetcorrelationengine.cpp | 2 +-
ql/experimental/math/particleswarmoptimization.cpp | 3 +++
ql/processes/blackscholesprocess.cpp | 4 ++--
ql/processes/gsrprocess.cpp | 3 ++-
ql/processes/gsrprocesscore.cpp | 4 ++++
ql/termstructures/volatility/smilesection.cpp | 2 +-
ql/utilities/dataformatters.cpp | 1 +
ql/utilities/dataparsers.cpp | 17 ++++++-----------
9 files changed, 21 insertions(+), 16 deletions(-)
commit 518f45455467669de0d013676116c018ca99c37a
Merge: edf40ee1e 7be46af3b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 15:35:02 +0200
Merge pull request #228.
commit 7be46af3b3634617795c3c37af050a62cde1ded8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 14:49:11 +0200
Remove ambiguity in operator precedence.
ql/methods/lattices/binomialtree.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit e6301ef725161e564f59e38a7df85fa04402e731
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 14:48:49 +0200
Use available test data.
test-suite/asianoptions.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ce130bc21909f3c3524f9c028dcadb4b1d2d0c5c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 14:48:32 +0200
Remove dead code.
ql/experimental/math/latentmodel.hpp | 2 --
1 file changed, 2 deletions(-)
commit edba63d5855441a1d4df7b8a145ed6e24ea577ea
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 14:47:59 +0200
Fix repeated or wrong calendar dates.
ql/time/calendars/hongkong.cpp | 2 +-
ql/time/calendars/southkorea.cpp | 1 -
2 files changed, 1 insertion(+), 2 deletions(-)
commit 908b6e80327308fa477ad925a05ce9ea5ae30ba0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 14:47:27 +0200
Remove dead conditional branches.
ql/math/optimization/simplex.cpp | 3 +--
test-suite/marketmodel_smmcapletcalibration.cpp | 2 +-
2 files changed, 2 insertions(+), 3 deletions(-)
commit 53699305470ddeb7eea23f0ee12603bbed87fb19
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 13:14:41 +0200
Reduce the scope of a few variables.
ql/experimental/math/zigguratrng.cpp | 8 +++-----
ql/index.hpp | 5 ++---
ql/math/randomnumbers/haltonrsg.cpp | 10 ++++------
test-suite/marketmodel.cpp | 4 ++--
4 files changed, 11 insertions(+), 16 deletions(-)
commit cf58476ee0cc1bfd990f46eac76f15be8a5a9847
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 11:43:51 +0200
Avoid shadowing data members in derived classes.
.../credit/randomdefaultlatentmodel.hpp | 38 +++++++++++-----------
ql/math/interpolations/xabrinterpolation.hpp | 12 +++----
2 files changed, 24 insertions(+), 26 deletions(-)
commit 336b60a887f8617bb177a99ccf99057628db7ceb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 10:47:07 +0200
Check index before array access.
ql/experimental/volatility/sabrvolsurface.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 74c03990d4c49a9e112873b13ad3e4b3f8119cfa
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 29 Mar 2017 10:18:22 +0200
Prefer pre-increment to post-increment.
ql/cashflows/timebasket.hpp | 4 ++--
ql/experimental/commodities/commoditycurve.hpp | 5 ++---
ql/experimental/commodities/commodityindex.hpp | 4 ++--
ql/experimental/credit/binomiallossmodel.hpp | 2 +-
ql/experimental/credit/recursivelossmodel.hpp | 26 ++++++++++++--------------
5 files changed, 19 insertions(+), 22 deletions(-)
commit 0702a25ece4a579448070637b0fc29ce033736dc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 28 Mar 2017 17:57:25 +0200
Remove ambiguity in operator precedence.
ql/methods/lattices/binomialtree.cpp | 5 ++-
.../shortrate/onefactormodels/markovfunctional.cpp | 43 ++++++++++++----------
2 files changed, 26 insertions(+), 22 deletions(-)
commit e27526711ca7ff643ff4aab3fb045e89c5b2c4d5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 28 Mar 2017 15:10:09 +0200
Pass parameters by const reference.
ql/experimental/credit/riskybond.cpp | 14 +++++++-------
ql/experimental/credit/riskybond.hpp | 22 +++++++++++-----------
.../termstructures/multicurvesensitivities.hpp | 2 +-
ql/experimental/volatility/abcdatmvolcurve.cpp | 2 +-
ql/experimental/volatility/abcdatmvolcurve.hpp | 2 +-
ql/math/interpolations/multicubicspline.hpp | 2 +-
ql/math/interpolations/xabrinterpolation.hpp | 12 +++++++-----
ql/math/optimization/differentialevolution.hpp | 2 +-
ql/termstructures/inflation/seasonality.cpp | 4 ++--
ql/termstructures/inflation/seasonality.hpp | 13 ++++++++-----
test-suite/cdo.cpp | 2 +-
test-suite/lowdiscrepancysequences.cpp | 3 ++-
test-suite/ode.cpp | 4 ++--
test-suite/quantlibbenchmark.cpp | 2 +-
14 files changed, 46 insertions(+), 40 deletions(-)
commit 9a0c9be9bceb3c2cc39b1ccc8322aad90ede43de
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 27 Mar 2017 18:12:56 +0200
Remove unused variables.
Examples/Bonds/Bonds.cpp | 9 ++-------
ql/experimental/credit/saddlepointlossmodel.hpp | 5 +----
.../exoticoptions/continuousarithmeticasianvecerengine.cpp | 13 -------------
.../marketmodels/pathwisegreeks/swaptionpseudojacobian.cpp | 3 ---
test-suite/covariance.cpp | 1 -
test-suite/curvestates.cpp | 8 ++++----
test-suite/inflation.cpp | 10 +++++-----
test-suite/marketmodel.cpp | 10 ++++------
test-suite/marketmodel_cms.cpp | 1 -
test-suite/marketmodel_smm.cpp | 1 -
10 files changed, 16 insertions(+), 45 deletions(-)
commit dcd015dade14b4e59ecd1824987991434241e1ac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 27 Mar 2017 15:15:29 +0200
Prefer pre-increment to post-increment.
ql/experimental/credit/basket.cpp | 2 +-
ql/experimental/credit/binomiallossmodel.hpp | 11 ++++++-----
ql/experimental/credit/recursivelossmodel.hpp | 13 +++++++------
ql/math/array.hpp | 2 +-
ql/math/sampledcurve.hpp | 4 ++--
ql/pricingengines/forward/replicatingvarianceswapengine.hpp | 2 +-
ql/pricingengines/swap/cvaswapengine.cpp | 4 ++--
ql/timegrid.hpp | 2 +-
8 files changed, 21 insertions(+), 19 deletions(-)
commit edf40ee1ec5df310a4836ac4899dbb2dcfae5554
Merge: d2c8e025f 43c48f494
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 27 Mar 2017 15:04:11 +0200
Merge pull request #227.
commit 346a9719e0e7c52d9b60b77ac5ebe76e3df97983
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 27 Mar 2017 13:59:10 +0200
More compilation issues with Sun C++ compiler.
ql/experimental/averageois/averageoiscouponpricer.cpp | 3 +++
ql/experimental/finitedifferences/fdmhestonfwdop.cpp | 3 +++
ql/experimental/math/fireflyalgorithm.hpp | 4 +++-
ql/pricingengines/swaption/basketgeneratingengine.cpp | 3 ++-
ql/time/date.hpp | 1 +
5 files changed, 12 insertions(+), 2 deletions(-)
commit 43c48f4943332651db4ce4951f017b6145993bc2
Author: klausspanderen <klaus@spanderen.de>
Date: Sat, 25 Mar 2017 00:19:41 +0100
boost 1.64 changes (based on version 1.64.0 beta 1)
acinclude.m4 | 6 +++++-
ql/math/matrix.cpp | 3 +++
ql/math/matrixutilities/sparsematrix.hpp | 4 ++++
test-suite/paralleltestrunner.hpp | 5 ++++-
4 files changed, 16 insertions(+), 2 deletions(-)
commit d2c8e025fe1c11afef3043e026a0a61772916768
Merge: 4e695e73f e2371f2d5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2017 17:04:50 +0100
Merge pull request #216.
commit e2371f2d5825d88a9a24c38d1e513e2514ce0ea8
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Fri, 24 Mar 2017 11:16:38 -0400
Forgot an extra semicolon.
ql/time/daycounters/actualactual.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4e695e73f9075d218ebc8471b5fa475152352ec4
Merge: 0d4cefaab 37a3f312d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2017 16:16:00 +0100
Merge pull request #224.
commit 64db64d2fe6ee957d1c54f900fb23ce8810e1873
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Fri, 24 Mar 2017 11:15:14 -0400
Refactor.
ql/time/daycounters/actualactual.cpp | 3 +--
test-suite/daycounters.cpp | 2 +-
2 files changed, 2 insertions(+), 3 deletions(-)
commit 0d4cefaabb48fe337a39a71bcebb87fadd087419
Merge: 00e18cd67 835dad1b3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2017 15:30:56 +0100
Merge pull request #225.
commit 835dad1b3226b6e6c83bbb4f8270f0ce91793fc1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2017 14:55:10 +0100
Update link to ECB site.
ql/time/ecb.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit fbd720419403a6f219e63387dc242d20d507c6bc
Author: Nicholas Bertocchi <nicholas.bertocchi@esternibisp.com>
Date: Fri, 24 Mar 2017 13:06:56 +0100
Bug fixing in qlECBdates function and 2017 ECB dates correction
ql/time/ecb.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit a62f660e536cb45c88c3bd7b71555ab96d58256f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Mar 2017 12:05:16 +0100
Add test case for Act/Act day counter.
test-suite/daycounters.cpp | 84 +++++++++++++++++++++++++++++++++++++++++++++-
test-suite/daycounters.hpp | 1 +
2 files changed, 84 insertions(+), 1 deletion(-)
commit a82bdd04e4836ad20d2f1ab42a8118478a63ccbe
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Thu, 23 Mar 2017 14:28:19 -0400
Add test case for irregular last coupon.
test-suite/cashflows.cpp | 31 ++++++++++++++++++++++++++++---
test-suite/cashflows.hpp | 3 ++-
2 files changed, 30 insertions(+), 4 deletions(-)
commit 1b9aee614ba7ad49742b5b39c09d0b52a4e38a2d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Mar 2017 17:06:09 +0100
Keep track of end of month for long final coupon.
ql/cashflows/fixedratecoupon.cpp | 17 ++++++++++-------
1 file changed, 10 insertions(+), 7 deletions(-)
commit 4c7bd84cc25f847ec6f70b9b4e0feec13043cf95
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Thu, 23 Mar 2017 10:21:33 -0400
Add schedule-based date adjustment to long last coupon case as well.
ql/cashflows/fixedratecoupon.cpp | 7 +++++--
1 file changed, 5 insertions(+), 2 deletions(-)
commit 05153249ed2a014228c561a7569ac34dac53ba21
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Mar 2017 11:32:50 +0100
Make constructor explicit.
ql/time/daycounters/actualactual.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 00e18cd67433a119a74a235a8f22b602230d46e8
Merge: 9a184be1b 928eecc0c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 23 Mar 2017 11:18:44 +0100
Merge pull request #214.
commit af9b7910ec5008b34b915622cbbe9de1749b5bf1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 22 Mar 2017 15:03:34 +0100
When using Sun C++, disable code that doesn't compile.
Examples/BasketLosses/BasketLosses.cpp | 14 +++--
Examples/LatentModel/LatentModel.cpp | 71 ++++++++++++++--------
Examples/MultidimIntegral/MultidimIntegral.cpp | 22 ++++---
ql/config.sun.hpp | 4 ++
.../credit/basecorrelationlossmodel.hpp | 8 ++-
ql/experimental/credit/gaussianlhplossmodel.cpp | 4 ++
ql/experimental/credit/gaussianlhplossmodel.hpp | 6 ++
ql/experimental/credit/integralcdoengine.cpp | 5 ++
ql/experimental/credit/integralcdoengine.hpp | 6 ++
ql/experimental/credit/midpointcdoengine.cpp | 5 ++
ql/experimental/credit/midpointcdoengine.hpp | 7 ++-
ql/experimental/credit/syntheticcdo.cpp | 7 ++-
ql/experimental/credit/syntheticcdo.hpp | 6 ++
ql/experimental/math/latentmodel.hpp | 15 ++++-
ql/experimental/math/multidimquadrature.cpp | 4 ++
ql/experimental/math/multidimquadrature.hpp | 11 ++++
test-suite/cdo.cpp | 9 +++
test-suite/nthtodefault.cpp | 10 +++
18 files changed, 173 insertions(+), 41 deletions(-)
commit 37a3f312d454ba0baa67f3f1a753606beb4450fd
Author: Francois Botha <igitur@gmail.com>
Date: Wed, 22 Mar 2017 10:09:44 +0200
Use the lagged period for calculating the number of days over which to interpolate.
ql/indexes/inflationindex.cpp | 7 +++++--
1 file changed, 5 insertions(+), 2 deletions(-)
commit 2c2abd7de5d4aa53259a8a5f43f3e06989e629ad
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Mar 2017 17:31:37 +0100
Build cap/floor on the fly during calculation.
ql/termstructures/volatility/optionlet/optionletstripper1.cpp | 11 ++---------
ql/termstructures/volatility/optionlet/optionletstripper1.hpp | 1 +
2 files changed, 3 insertions(+), 9 deletions(-)
commit f04d751ced92265ae7be289dd891d2c727e1b36d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Mar 2017 16:29:28 +0100
Use a single quote and engine during calculations.
.../volatility/optionlet/optionletstripper1.cpp | 37 ++++++++--------------
.../volatility/optionlet/optionletstripper1.hpp | 2 --
2 files changed, 14 insertions(+), 25 deletions(-)
commit 928eecc0c98031055565f9ed6e93e309d72d5577
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Mar 2017 14:55:32 +0100
Add test case.
test-suite/cashflows.cpp | 24 ++++++++++++++++++++++++
test-suite/cashflows.hpp | 1 +
2 files changed, 25 insertions(+)
commit 9a184be1b47d87805044948d37c6310e135d2901
Merge: 31f675d19 733b3e12e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Mar 2017 12:39:24 +0100
Merge pull request #222.
commit 733b3e12e0a9476f6d19ebe6288217122936ea10
Author: Peter Caspers <peter.caspers@quaternion.com>
Date: Fri, 17 Mar 2017 17:28:08 +0100
fix border case
ql/pricingengines/blackformula.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 31f675d19791d1dd1bc24e267d277bc3c7a18f23
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 17 Mar 2017 16:55:26 +0100
Fixes to documentation.
ql/experimental/credit/basket.hpp | 21 ++++++-----
ql/experimental/credit/defaultlossmodel.hpp | 6 +--
.../credit/defaultprobabilitylatentmodel.hpp | 1 +
ql/experimental/credit/gaussianlhplossmodel.hpp | 6 +--
.../credit/randomdefaultlatentmodel.hpp | 13 ++++---
ql/experimental/credit/randomlosslatentmodel.hpp | 2 +
ql/experimental/credit/saddlepointlossmodel.hpp | 32 ++++++++--------
ql/experimental/credit/syntheticcdo.hpp | 8 ++--
ql/experimental/math/convolvedstudentt.hpp | 1 +
ql/experimental/math/gaussiancopulapolicy.hpp | 4 +-
ql/experimental/math/latentmodel.hpp | 43 ++++++++++++++--------
ql/experimental/math/multidimquadrature.hpp | 2 +-
ql/experimental/math/tcopulapolicy.hpp | 4 +-
.../randomnumbers/stochasticcollocationinvcdf.hpp | 2 +-
.../barrier/binomialbarrierengine.hpp | 15 ++++----
ql/termstructures/yield/piecewiseyieldcurve.hpp | 5 +--
16 files changed, 93 insertions(+), 72 deletions(-)
commit 93889dff40208b411c806b9133da202b1b2f925b
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Thu, 16 Mar 2017 13:33:57 -0400
More formatting.
ql/cashflows/fixedratecoupon.cpp | 5 ++++-
1 file changed, 4 insertions(+), 1 deletion(-)
commit d6afdf364d7d6daf886ac80323ba1ee0f1cb27fd
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Thu, 16 Mar 2017 13:32:32 -0400
Formatting fix.
ql/time/daycounters/actualactual.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 3ca0d2e13942ec26b2a3af34eb4f98f1ea14691d
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Thu, 16 Mar 2017 13:30:16 -0400
Remove unnecessary Schedule from FixedRateCoupon.
ql/cashflows/fixedratecoupon.cpp | 21 +++++++++------------
ql/cashflows/fixedratecoupon.hpp | 7 ++-----
2 files changed, 11 insertions(+), 17 deletions(-)
commit 59fb8800d736956bbe927734042959cfa033f37a
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Thu, 16 Mar 2017 13:19:19 -0400
Revert unneeded change.
ql/cashflows/fixedratecoupon.cpp | 34 ++++------------------------------
1 file changed, 4 insertions(+), 30 deletions(-)
commit 703f735c3fe01abf7648c4e6b1343c4bf21b22b3
Merge: e7776b4d9 a2ac103fa
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 16 Mar 2017 13:57:29 +0100
Merge pull request #206.
commit a2ac103fa00e72a0e55b1e404ae2256ab6a2091c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 16 Mar 2017 13:57:08 +0100
Update projects.
QuantLib.dev | 24 +++++++++++++++++++++++-
QuantLib_vc9.vcproj | 8 ++++++++
2 files changed, 31 insertions(+), 1 deletion(-)
commit d5cda8ea60c78be3dbbde17b90759645248a7ad1
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Tue, 14 Mar 2017 16:19:48 -0400
Clean up unused includes.
ql/cashflows/coupon.cpp | 2 +-
ql/cashflows/coupon.hpp | 1 -
ql/time/daycounter.hpp | 1 -
ql/time/daycounters/thirty360.hpp | 2 +-
4 files changed, 2 insertions(+), 4 deletions(-)
commit a66e2377341b71051c0edf4cc982988ca6f39676
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Tue, 14 Mar 2017 16:17:38 -0400
Move schedule to ActualActual day counter.
ql/cashflows/cashflows.cpp | 5 +---
ql/cashflows/coupon.cpp | 5 ++--
ql/cashflows/coupon.hpp | 10 +-------
ql/cashflows/fixedratecoupon.cpp | 12 ++++-----
ql/cashflows/fixedratecoupon.hpp | 1 +
ql/interestrate.hpp | 10 +++-----
ql/time/daycounter.hpp | 10 +++-----
ql/time/daycounters/actual360.hpp | 3 +--
ql/time/daycounters/actual365fixed.hpp | 3 +--
ql/time/daycounters/actual365nl.hpp | 3 +--
ql/time/daycounters/actualactual.cpp | 40 ++++++++++++++---------------
ql/time/daycounters/actualactual.hpp | 23 ++++++++++-------
ql/time/daycounters/business252.cpp | 3 +--
ql/time/daycounters/business252.hpp | 3 +--
ql/time/daycounters/one.hpp | 3 +--
ql/time/daycounters/simpledaycounter.cpp | 3 +--
ql/time/daycounters/simpledaycounter.hpp | 3 +--
ql/time/daycounters/thirty360.hpp | 9 +++----
test-suite/hybridhestonhullwhiteprocess.cpp | 2 +-
19 files changed, 64 insertions(+), 87 deletions(-)
commit 96d6f64c6517e182cd4fe41fada47b89b8f99238
Author: klausspanderen <klaus@spanderen.de>
Date: Sun, 12 Mar 2017 17:58:36 +0100
removed unused variable
ql/pricingengines/vanilla/coshestonengine.cpp | 1 -
1 file changed, 1 deletion(-)
commit e7776b4d9a97f3f1c06ee3f0dc3a8c65b5f344a0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 10 Mar 2017 13:00:18 +0100
Declare a couple of inspectors as const.
Closes #219.
ql/models/calibrationhelper.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 17c62b0bbb016f81711edd881f4b57257e09a886
Merge: 5c5eaba53 426a8d655
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 9 Mar 2017 15:00:53 +0100
Merge pull request #212.
commit 5c5eaba5359bc0d946ee3e8f05a9f1e401211176
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 8 Mar 2017 16:09:51 +0100
Enable VC++ 2017 compiler.
.gitignore | 1 +
QuantLib.props | 2 ++
ql/auto_link.hpp | 22 ++++++++++++----------
3 files changed, 15 insertions(+), 10 deletions(-)
commit 112430ed381feb56864125bb076e2fa2f0348ed0
Author: Matthias Lungwitz <lungwitz@gmail.com>
Date: Mon, 6 Mar 2017 23:26:51 +0100
CapFloor Matrix as local variable within performCalculations instead of class member.
.../volatility/optionlet/optionletstripper1.cpp | 56 +++++++++++-----------
.../volatility/optionlet/optionletstripper1.hpp | 3 +-
2 files changed, 29 insertions(+), 30 deletions(-)
commit 7fb8855839c91e5745a2709c8ae8afbcd82d3b87
Merge: f782a9686 98514f0b2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 6 Mar 2017 17:36:18 +0100
Merge pull request #217.
commit f782a96862f101303e9a44b057bf529501fbd155
Merge: f7ea6ac9d f37ab4587
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 6 Mar 2017 16:53:56 +0100
Merge pull request #151.
commit 98514f0b2f7b5c11c594cebcb032c13f8b082a69
Author: Peter Caspers <peter.caspers@quaternion.com>
Date: Sat, 4 Mar 2017 20:32:22 +0100
fix issues reported by Codacy
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 4 ++--
ql/experimental/coupons/lognormalcmsspreadpricer.hpp | 2 +-
ql/experimental/coupons/strippedcapflooredcoupon.hpp | 4 ++--
ql/experimental/math/laplaceinterpolation.hpp | 2 +-
ql/experimental/math/piecewiseintegral.hpp | 2 +-
ql/experimental/volatility/zabr.cpp | 2 +-
ql/models/shortrate/onefactormodels/gsr.hpp | 4 ++--
ql/termstructures/volatility/swaption/cmsmarketcalibration.cpp | 6 +++---
ql/termstructures/volatility/swaption/swaptionvolcube1.hpp | 2 +-
ql/time/date.cpp | 2 +-
test-suite/markovfunctional.cpp | 4 ----
11 files changed, 15 insertions(+), 19 deletions(-)
commit e74481aadf3910f72d76a4e432aa4b6774af970b
Merge: 8270f6406 c605ae983
Author: Ryan Taylor <ryan.taylor9@gmail.com>
Date: Sat, 4 Mar 2017 12:25:29 -0500
Merge pull request #3 from overbond/ignore
Update gitignore
commit c605ae9834f62f13385892bd8128e9c23ddee821
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Sat, 4 Mar 2017 12:24:18 -0500
Update gitignore for CLion folders.
.gitignore | 4 ++++
1 file changed, 4 insertions(+)
commit 70b698e1f6d94a7a5ba828179d395734604fa096
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Sat, 4 Mar 2017 09:57:55 -0500
Init fix, not sure if needed but adding to be safe.
ql/cashflows/cashflows.cpp | 1 +
1 file changed, 1 insertion(+)
commit 9d71734726f3c5b7d2786d37fee784a68737329d
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Sat, 4 Mar 2017 09:49:44 -0500
Last whitespace fix.
ql/time/daycounters/actual365fixed.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 52c084aacf1a84f381eb78eee562387f85d19041
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Sat, 4 Mar 2017 09:47:05 -0500
More whitespace.
test-suite/hybridhestonhullwhiteprocess.cpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit aec13985e59cc235ff79226d611211ed524a7c93
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Sat, 4 Mar 2017 09:45:14 -0500
Whitespace.
ql/cashflows/cashflows.cpp | 14 +--
ql/time/daycounters/business252.cpp | 2 +-
test-suite/hybridhestonhullwhiteprocess.cpp | 136 ++++++++++++++--------------
3 files changed, 76 insertions(+), 76 deletions(-)
commit 9cb475a2887b0080778b60315240ac754f960ec9
Author: ryantaylor <ryan.taylor@overbond.com>
Date: Sat, 4 Mar 2017 09:31:42 -0500
Refactor and format fixes.
ql/cashflows/cashflows.cpp | 14 +++-----------
ql/cashflows/coupon.cpp | 2 +-
ql/cashflows/coupon.hpp | 9 +++++----
ql/cashflows/fixedratecoupon.hpp | 7 +++----
ql/interestrate.hpp | 4 ++--
ql/time/daycounter.hpp | 7 +++----
ql/time/daycounters/actual360.hpp | 2 +-
ql/time/daycounters/actual365nl.hpp | 2 +-
ql/time/daycounters/actualactual.cpp | 6 +++---
ql/time/daycounters/business252.hpp | 2 +-
ql/time/daycounters/one.hpp | 2 +-
ql/time/daycounters/simpledaycounter.hpp | 2 +-
ql/time/daycounters/thirty360.hpp | 6 +++---
test-suite/hybridhestonhullwhiteprocess.cpp | 30 ++++++++++++++---------------
14 files changed, 43 insertions(+), 52 deletions(-)
commit 8270f6406e901b8a593272da18ccb38ba2019c5c
Merge: 2f800f582 a30c3a1a8
Author: Ryan Taylor <ryan.taylor9@gmail.com>
Date: Sat, 4 Mar 2017 09:10:01 -0500
Merge pull request #2 from overbond/end-of-month
endOfMonth flag fix formatting fixes
commit a30c3a1a818df4e3a5827bd257a38843a12afadb
Author: ryantaylor <ryan.taylor@overbond.com>