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ChangeLog.txt
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commit 6fb51a741aefcc7317d9f3f414d41c7cd447d9f4
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.24 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit b8feb08ea805e14101e121d8433e4423acce08bb
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Oct 2021 17:13:47 +0200
Avoid clang-tidy warnings
ql/patterns/singleton.hpp | 16 ++++++++--------
1 file changed, 8 insertions(+), 8 deletions(-)
commit cf65b67337a4785431791247ac24e839958e40db
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Oct 2021 16:49:37 +0200
Fix documentation
Docs/pages/history.docs | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f69b52f74a24eecf2c84c1299b54ce7c0d586717
Author: Luigi Ballabio <[email protected]>
Date: Thu, 1 Apr 2021 11:28:16 +0200
Set version to 1.24 rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 834c8f07c2e3661daef8b3678dd16cdd2974669e
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Oct 2021 12:09:21 +0200
Update news, contributor and changelog
ChangeLog.txt | 3078 +++++++++++++++++++++++++----------------------
Contributors.txt | 4 +
Docs/pages/history.docs | 76 +-
News.md | 141 ++-
4 files changed, 1770 insertions(+), 1529 deletions(-)
commit 082afc9aab091f96240ffed431dcc314ddc24558
Author: Luigi Ballabio <[email protected]>
Date: Tue, 12 Oct 2021 17:54:27 +0200
Change a few test messages
test-suite/bonds.cpp | 2 +-
test-suite/callablebonds.cpp | 2 +-
test-suite/swap.cpp | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 804a32253ec9eb77abad4d2c8355394b19dd88e4
Merge: 4d259c877 3ffe7d856
Author: Luigi Ballabio <[email protected]>
Date: Tue, 12 Oct 2021 13:49:15 +0200
Merge pull request #1190.
Move par coupon logic to coupon pricer
commit 3ffe7d8563381a4f001c257cb7e8f5be7d4f3b3e
Author: Luigi Ballabio <[email protected]>
Date: Fri, 1 Oct 2021 18:22:34 +0200
More documentation
ql/cashflows/iborcoupon.cpp | 4 ++--
ql/cashflows/iborcoupon.hpp | 26 ++++++++++++++++++++------
2 files changed, 22 insertions(+), 8 deletions(-)
commit 4d259c8778b803a44e0c3570f741ccbaa94ff7ef
Author: Luigi Ballabio <[email protected]>
Date: Fri, 8 Oct 2021 14:13:46 +0200
Add Clang 13 to CI build
.github/workflows/linux-full-tests.yml | 5 +++++
.github/workflows/linux-nondefault.yml | 5 +++++
.github/workflows/linux.yml | 5 +++++
3 files changed, 15 insertions(+)
commit a26b4fea301c2791691dad19322626fe98657f92
Merge: 9cae2ba8d 57edda247
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Oct 2021 20:28:26 +0200
Merge pull request #1198.
speeding up tests by reducing the number of samples in some MC tests
commit 57edda2478dba56e77dc2dc0e211d91c852f26fa
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Oct 2021 17:01:16 +0200
Move test to Fast section
test-suite/doublebarrieroption.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 9cae2ba8deb3ec14a3bcbfe598f186b4e792e3e8
Merge: d782f2162 01cbbed42
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Oct 2021 12:15:49 +0200
Merge pull request #1208.
Deprecate the `UnitedStates` constructor that doesn't explicitly specify a market
commit bf7b4ca2cbd8863b2d865dfe7493c55af3125c26
Author: shoja <[email protected]>
Date: Mon, 11 Oct 2021 11:10:44 +0100
Move some MC tests from slow/fast to fast/faster category.
test-suite/asianoptions.cpp | 8 +-------
test-suite/forwardoption.cpp | 12 +++---------
2 files changed, 4 insertions(+), 16 deletions(-)
commit d782f2162a760280c3bfd5e365a068adae3953d9
Merge: 82e32f91e 5c5e7d0e6
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Oct 2021 10:21:01 +0200
Merge pull request #1206.
Add the implementation of AbcdAtmVolCurve::endCriteria().
commit 01cbbed42e085df4a52c4fa5ce97a0d90c9cad06
Author: Luigi Ballabio <[email protected]>
Date: Sun, 10 Oct 2021 22:49:54 +0200
Deprecate UnitedStates constructor without Market
ql/time/calendars/unitedstates.hpp | 10 +++++++++-
test-suite/convertiblebonds.cpp | 2 +-
test-suite/creditdefaultswap.cpp | 2 +-
test-suite/daycounters.cpp | 4 ++--
test-suite/overnightindexedswap.cpp | 4 ++--
test-suite/piecewiseyieldcurve.cpp | 6 +++---
test-suite/schedule.cpp | 10 +++++-----
7 files changed, 23 insertions(+), 15 deletions(-)
commit 5c5e7d0e614430301669baae9944906df31c0e9e
Author: shoja <[email protected]>
Date: Sun, 10 Oct 2021 18:38:38 +0100
Add the implementation of AbcdAtmVolCurve::endCriteria().
ql/experimental/volatility/abcdatmvolcurve.hpp | 4 ++++
1 file changed, 4 insertions(+)
commit ff9c62ea143f66daabcf2f4c537c9f6b0170d689
Author: shoja <[email protected]>
Date: Sat, 9 Oct 2021 22:37:49 +0100
Using forloop with index instead of additional index variables. Reducing some of the MC samples and correction some others to be representable in 2^N-1 form.
test-suite/asianoptions.cpp | 12 +++---
test-suite/forwardoption.cpp | 90 ++++++++++++++++++++++----------------------
2 files changed, 50 insertions(+), 52 deletions(-)
commit 82e32f91ef7d880a75a6d0158fa04ada8905cbcd
Merge: 9512319bb 12d9b06b8
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Oct 2021 20:07:27 +0200
Merge pull request #1202.
Add missing call to calculate() before before returning the additional results map.
commit 9512319bb91e19b58a86752a5d444385263fe486
Merge: 1ae273550 295851fca
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Oct 2021 12:23:24 +0200
Merge pull request #1201.
Add missing definitions of static class members
commit 12d9b06b82fe89ee30dfdfaa3d06a09892b14a0f
Author: shoja <[email protected]>
Date: Mon, 4 Oct 2021 12:06:58 +0100
Add missing call to calculate() before before returning the additional results map.
ql/instrument.hpp | 1 +
1 file changed, 1 insertion(+)
commit 295851fca58acbab16d53e0821243761305721ed
Author: Bojan Nikolic <[email protected]>
Date: Sun, 3 Oct 2021 23:10:36 +0100
Add definitions of static class members
SWIG-Python build was failing because these were not found
ql/money.cpp | 4 ++++
1 file changed, 4 insertions(+)
commit cbf406b3dad9cdffa930e4e4610c889aa3236a39
Author: shoja <[email protected]>
Date: Sun, 3 Oct 2021 16:53:55 +0100
Adjust the number of samples to be a number representable by 2^N-1 for some N, as its using low disprepancy RNG.
test-suite/asianoptions.cpp | 33 ++++++++++++---------------------
1 file changed, 12 insertions(+), 21 deletions(-)
commit 1ae273550696e37a7e83a65c5869de4cbeb5d58b
Merge: 43f601715 ccc6edfbf
Author: Luigi Ballabio <[email protected]>
Date: Sat, 2 Oct 2021 20:38:35 +0200
Merge pull request #1199.
fix some warnings
commit ccc6edfbf0cdc432c15bd64d64c123d171a024bc
Author: Peter Caspers <[email protected]>
Date: Sat, 2 Oct 2021 13:37:43 +0200
fix check
ql/termstructures/volatility/swaption/swaptionvolcube1.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f0fc533b1be0125f4183e431c374d29610de395d
Author: Peter Caspers <[email protected]>
Date: Sat, 2 Oct 2021 13:34:56 +0200
fix check, we should use close_enough() actually, but we don't want to change the behaviour right now
ql/experimental/math/particleswarmoptimization.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 35987e245d48bdf14add94b8e07e718edb48e1d1
Author: shoja <[email protected]>
Date: Sat, 2 Oct 2021 12:10:22 +0100
speeding up the following tests by reducing the number of MC samples and rebaselining the results (Changing the tolerance);
testHestonAnalyticalVsMCPrices
testMCDiscreteArithmeticAveragePriceHeston
testMCDiscreteGeometricAveragePriceHeston
testMonteCarloDoubleBarrierWithAnalytical
testHestonMCPrices
test-suite/asianoptions.cpp | 93 ++++++++++++++++++++++++++++++++++----
test-suite/doublebarrieroption.cpp | 2 +-
test-suite/forwardoption.cpp | 70 +++++++++++++++++++++-------
3 files changed, 139 insertions(+), 26 deletions(-)
commit 3e39bf0c8d935de8bbbdc1a64a104f74771a9f18
Author: Luigi Ballabio <[email protected]>
Date: Fri, 1 Oct 2021 18:22:34 +0200
Attempt consistent naming
ql/cashflows/iborcoupon.cpp | 11 ++++++++---
ql/cashflows/iborcoupon.hpp | 5 +++--
ql/instruments/makevanillaswap.cpp | 13 +++++++++----
ql/instruments/makevanillaswap.hpp | 5 +++--
ql/instruments/vanillaswap.cpp | 4 ++--
ql/instruments/vanillaswap.hpp | 2 +-
ql/termstructures/yield/ratehelpers.cpp | 18 +++++++++---------
ql/termstructures/yield/ratehelpers.hpp | 10 +++++-----
8 files changed, 40 insertions(+), 28 deletions(-)
commit 53c03f1852b8b35ca589c6a2ae9a79ce48e32ba7
Author: Luigi Ballabio <[email protected]>
Date: Thu, 30 Sep 2021 17:28:13 +0200
Restore deleted methods
ql/cashflows/iborcoupon.cpp | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit 43f601715925dc5ac5f7eb07a69cb72c8c7ed08c
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 29 Sep 2021 00:22:52 +0000
Automated fixes by clang-tidy
ql/cashflows/iborcoupon.cpp | 9 ---------
ql/cashflows/iborcoupon.hpp | 8 ++++++--
ql/money.cpp | 5 -----
ql/money.hpp | 4 ++--
4 files changed, 8 insertions(+), 18 deletions(-)
commit 75c1adfeb86a069df71b3ed14ccefedff35a055d
Merge: 10711e33b 54e2ccceb
Author: Luigi Ballabio <[email protected]>
Date: Tue, 28 Sep 2021 23:20:34 +0200
Merge pull request #1187.
Fix IborCoupon and Money data races
commit 77fe280cb850570cf2b57c9f4ffd6d9bbf0e2294
Author: Peter Caspers <[email protected]>
Date: Tue, 28 Sep 2021 09:11:47 +0200
[touch:1189]swapped these two as well
test-suite/inflationcpiswap.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 10711e33b5a3d454ecea160036155f5044dc83db
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 27 Sep 2021 15:52:13 +0000
Automated fixes by clang-tidy
ql/time/schedule.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 1e139fca7ea8692568758361856aef3d42c5773c
Author: Peter Caspers <[email protected]>
Date: Mon, 27 Sep 2021 20:25:29 +0200
[touch:1189]fix
test-suite/basismodels.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 349bed7d2c0ebbfc39ece181cf54ae4e600b7a05
Author: Peter Caspers <[email protected]>
Date: Mon, 27 Sep 2021 20:01:05 +0200
[touch:1189]flipped these around before
test-suite/swap.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 61695200ad74c432d3a94770f4af925087cf784e
Merge: ee19da333 4578bdccc
Author: Luigi Ballabio <[email protected]>
Date: Mon, 27 Sep 2021 14:22:32 +0200
Merge pull request #1172.
Adjust effective and termination dates for ThirdWednesday Rule
commit 37d17b0dd3bfb6af798b196eeae3a920977342bc
Author: Peter Caspers <[email protected]>
Date: Mon, 27 Sep 2021 12:34:04 +0200
[touch:1189]typo
ql/cashflows/iborcoupon.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4578bdccc0a60e38e7a001254b5e0318d56cc255
Author: Luigi Ballabio <[email protected]>
Date: Mon, 27 Sep 2021 11:52:15 +0200
Output new rule to iostreams
ql/time/dategenerationrule.cpp | 2 ++
ql/time/dategenerationrule.hpp | 6 +++---
2 files changed, 5 insertions(+), 3 deletions(-)
commit 03d59ca9a92c0f49e033f192df47d5ff4f7282ef
Author: Peter Caspers <[email protected]>
Date: Mon, 27 Sep 2021 11:46:51 +0200
[touch:1189]exposure additional constructors
ql/cashflows/iborcoupon.cpp | 20 ++++++++++++++++++++
ql/cashflows/iborcoupon.hpp | 7 +++++--
2 files changed, 25 insertions(+), 2 deletions(-)
commit aaf6b61eb58240b6d6069ef2031c0d48cace4240
Author: Peter Caspers <[email protected]>
Date: Mon, 27 Sep 2021 10:27:50 +0200
[touch:1189]ext instead of boost again
ql/cashflows/iborcoupon.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit cd8efc2127b41b622088fe1860239bf1fdfe3a5d
Author: Peter Caspers <[email protected]>
Date: Mon, 27 Sep 2021 10:20:14 +0200
[touch:1189]introduce global setting that can be overridden at the relevant places
ql/cashflows/couponpricer.cpp | 58 ++++++++++++++++-----------------
ql/cashflows/couponpricer.hpp | 37 ++++++++-------------
ql/cashflows/iborcoupon.cpp | 23 +++++++------
ql/cashflows/iborcoupon.hpp | 12 ++++---
ql/instruments/makevanillaswap.cpp | 22 ++++++-------
ql/instruments/makevanillaswap.hpp | 2 ++
ql/instruments/vanillaswap.cpp | 6 ++--
ql/instruments/vanillaswap.hpp | 3 +-
ql/settings.cpp | 8 ++---
ql/settings.hpp | 21 ++++++++++++
ql/termstructures/yield/ratehelpers.cpp | 26 ++++++++++-----
ql/termstructures/yield/ratehelpers.hpp | 13 +++++---
12 files changed, 131 insertions(+), 100 deletions(-)
commit 2c910ab2a5caa4e82365930fef55d8a48109710f
Author: Peter Caspers <[email protected]>
Date: Mon, 27 Sep 2021 09:44:29 +0200
Revert "[touch:1189]init pricer when set"
This reverts commit d356ffb0a344f68ea5944ca60fb7e87becef00f1.
ql/cashflows/floatingratecoupon.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d356ffb0a344f68ea5944ca60fb7e87becef00f1
Author: Peter Caspers <[email protected]>
Date: Mon, 27 Sep 2021 08:52:26 +0200
[touch:1189]init pricer when set
ql/cashflows/floatingratecoupon.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 0f6a81c0b5ae20cd4152649ec0d1d2a042c0f08f
Author: Peter Caspers <[email protected]>
Date: Sun, 26 Sep 2021 18:05:32 +0200
[touch:1189]ext instead of boost
ql/cashflows/iborcoupon.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 201ddd406e9eb36eb0463c06ccb91a9b8f50801c
Author: Peter Caspers <[email protected]>
Date: Sun, 26 Sep 2021 17:56:44 +0200
[touch:1189]unused
ql/cashflows/couponpricer.cpp | 2 --
1 file changed, 2 deletions(-)
commit 2201d3120dce4eb860f34e6b6e65f8745f060a0a
Author: Peter Caspers <[email protected]>
Date: Sun, 26 Sep 2021 17:02:46 +0200
[touch:1189]reorder
ql/cashflows/couponpricer.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 35e43a265056ab2cdacb5dfdde00b4d66b89a700
Author: Peter Caspers <[email protected]>
Date: Sun, 26 Sep 2021 16:53:36 +0200
[touch:1189]update test suite and examples
Examples/CDS/CDS.cpp | 8 -------
test-suite/assetswap.cpp | 44 +++++++++++++++++++++-----------------
test-suite/basismodels.cpp | 7 +++---
test-suite/bermudanswaption.cpp | 42 ++++++++++++++++++------------------
test-suite/bonds.cpp | 44 +++++++++++++++++++++-----------------
test-suite/capfloor.cpp | 16 +++++++-------
test-suite/cashflows.cpp | 6 +++---
test-suite/catbonds.cpp | 33 +++++++++++++++-------------
test-suite/creditdefaultswap.cpp | 12 +++++------
test-suite/inflationcpiswap.cpp | 11 +++++-----
test-suite/libormarketmodel.cpp | 16 ++++++++------
test-suite/optionletstripper.cpp | 16 ++++++++------
test-suite/piecewiseyieldcurve.cpp | 4 ++--
test-suite/shortratemodels.cpp | 31 +++++++++++++++------------
test-suite/swap.cpp | 11 +++++-----
test-suite/swaption.cpp | 11 +++++-----
16 files changed, 163 insertions(+), 149 deletions(-)
commit c6dc7ef902b6f6e8c905e4e7fb2e742566bd8ec4
Author: Peter Caspers <[email protected]>
Date: Sun, 26 Sep 2021 16:53:08 +0200
[touch:1189]move par coupon logic to coupon pricer (draft, untested)
ql/cashflows/couponpricer.cpp | 100 ++++++++++++++++++++++++++++++++----------
ql/cashflows/couponpricer.hpp | 48 +++++++++++++++-----
ql/cashflows/iborcoupon.cpp | 81 ++++++++++++----------------------
ql/cashflows/iborcoupon.hpp | 35 +++++----------
4 files changed, 151 insertions(+), 113 deletions(-)
commit 778dcbdd87cb2d883f5aa7ae0ed0ba49c8d5d6d8
Author: lewwe <[email protected]>
Date: Sun, 26 Sep 2021 11:10:27 +0800
Dummy Commit
ql/time/dategenerationrule.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 6cfd3df831dce3b3f30bbf0143fd37515387026d
Author: lewwe <[email protected]>
Date: Sat, 25 Sep 2021 10:15:48 +0800
Dummy Commit
ql/time/dategenerationrule.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 54e2cccebb427b501a12fbae9ed73107de173dc3
Author: Luigi Ballabio <[email protected]>
Date: Fri, 24 Sep 2021 22:45:23 +0200
Better type specification
ql/money.cpp | 2 +-
ql/money.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit c8703a5d294fc5bff3b5ec45c9ba683a940d7ea0
Author: Luigi Ballabio <[email protected]>
Date: Fri, 24 Sep 2021 18:59:11 +0200
Disable copy/move in Singleton
ql/cashflows/iborcoupon.hpp | 5 -----
ql/money.hpp | 5 -----
ql/patterns/singleton.hpp | 11 ++++++++---
3 files changed, 8 insertions(+), 13 deletions(-)
commit 7691402d08a9a2649946b2b9e1bc1e311bb4356e
Author: Luigi Ballabio <[email protected]>
Date: Fri, 24 Sep 2021 17:36:43 +0200
Avoid using inspector as setter
ql/cashflows/iborcoupon.cpp | 6 +-----
ql/cashflows/iborcoupon.hpp | 3 +--
2 files changed, 2 insertions(+), 7 deletions(-)
commit 238c7a6498811e30f46bc6b7afe6828d6d84f06d
Author: Luigi Ballabio <[email protected]>
Date: Fri, 24 Sep 2021 17:27:26 +0200
Add old IborCoupon methods to deprecated list in docs
ql/cashflows/iborcoupon.hpp | 16 +++++++++++-----
1 file changed, 11 insertions(+), 5 deletions(-)
commit d02b9f6da00db2da9362c0e5e150401400ec0475
Author: Luigi Ballabio <[email protected]>
Date: Fri, 24 Sep 2021 17:23:58 +0200
Add backward compatibility for Money
ql/money.cpp | 19 +++++++++++++++++++
ql/money.hpp | 27 +++++++++++++++++++++++++--
2 files changed, 44 insertions(+), 2 deletions(-)
commit 7e06a95b78d81d7bfbc9a39486302d162f345932
Author: lewwe <[email protected]>
Date: Fri, 24 Sep 2021 17:15:25 +0800
Add new enum
ql/time/dategenerationrule.hpp | 8 ++++++--
ql/time/schedule.cpp | 6 +++++-
test-suite/swap.cpp | 2 +-
3 files changed, 12 insertions(+), 4 deletions(-)
commit ee19da333d46b978f8918b8851d4287723f5b1e6
Merge: 6f4126f26 973720c22
Author: Luigi Ballabio <[email protected]>
Date: Thu, 23 Sep 2021 12:20:29 +0200
Merge pull request #1161.
Marked-to-market cross currency basis swap rate helper
commit 973720c22877a0bfec5219d6b6741687f477453c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 22 Sep 2021 16:29:28 +0200
Backward-compatible names
.../termstructures/crosscurrencyratehelpers.cpp | 54 +++++++++++-----------
.../termstructures/crosscurrencyratehelpers.hpp | 51 +++++++++++---------
2 files changed, 56 insertions(+), 49 deletions(-)
commit 5135a7d90ca8275f7f0499d9c73475e5050eead7
Author: Marcin Rybacki <[email protected]>
Date: Sun, 19 Sep 2021 13:44:43 +0200
Implemented PR feedback.
.../termstructures/crosscurrencyratehelpers.cpp | 142 ++++++++-------------
1 file changed, 55 insertions(+), 87 deletions(-)
commit 7be95df87e55e49676790d42ef30f26565adb8af
Author: Marcin Rybacki <[email protected]>
Date: Sat, 18 Sep 2021 23:15:37 +0200
Implemented PR feedback.
.../termstructures/crosscurrencyratehelpers.cpp | 72 ++++++++++++------
.../termstructures/crosscurrencyratehelpers.hpp | 87 ++++++++++++++--------
test-suite/crosscurrencyratehelpers.cpp | 2 +-
3 files changed, 106 insertions(+), 55 deletions(-)
commit 23ef2caefce9a5946bf1a5274791791fc005e94c
Author: Philip Kovacs <[email protected]>
Date: Fri, 17 Sep 2021 21:37:44 -0400
adjust test suite to use IborCoupon::Settings
Examples/CDS/CDS.cpp | 7 ++++---
ql/pricingengines/credit/isdacdsengine.hpp | 2 +-
ql/userconfig.hpp | 2 +-
test-suite/assetswap.cpp | 16 ++++++++++++----
test-suite/basismodels.cpp | 3 ++-
test-suite/bermudanswaption.cpp | 10 +++++++---
test-suite/bonds.cpp | 10 ++++++----
test-suite/capfloor.cpp | 8 ++++++--
test-suite/cashflows.cpp | 3 ++-
test-suite/catbonds.cpp | 8 +++++---
test-suite/creditdefaultswap.cpp | 4 +++-
test-suite/inflationcpiswap.cpp | 4 +++-
test-suite/libormarketmodel.cpp | 8 ++++++--
test-suite/optionletstripper.cpp | 6 ++++--
test-suite/piecewiseyieldcurve.cpp | 4 +++-
test-suite/shortratemodels.cpp | 16 ++++++++++++----
test-suite/swap.cpp | 4 +++-
test-suite/swaption.cpp | 4 +++-
18 files changed, 83 insertions(+), 36 deletions(-)
commit 93b290a2a69398076bd315757ab42925593956db
Author: Philip Kovacs <[email protected]>
Date: Fri, 17 Sep 2021 20:55:27 -0400
adjust test suite to use Money::Settings
test-suite/exchangerate.cpp | 10 +++++-----
test-suite/money.cpp | 16 +++++++++-------
2 files changed, 14 insertions(+), 12 deletions(-)
commit 2dfd62d372ccd6ac0fa3581a4c7a502e11e0d0d6
Author: Philip Kovacs <[email protected]>
Date: Fri, 17 Sep 2021 20:43:59 -0400
add Money::Settings to fix data race
ql/money.cpp | 80 ++++++++++++++++++++++++++++++++++++++++++++----------------
ql/money.hpp | 27 ++++++++++++++++++--
2 files changed, 84 insertions(+), 23 deletions(-)
commit e0182794db3d2a33be41174dcb21444d3db3bcda
Author: Philip Kovacs <[email protected]>
Date: Fri, 17 Sep 2021 19:59:01 -0400
add IborCoupon:Settings to fix data race
ql/cashflows/iborcoupon.cpp | 53 +++++++++++++++++++++++++++++----------------
ql/cashflows/iborcoupon.hpp | 48 +++++++++++++++++++++++++++-------------
2 files changed, 67 insertions(+), 34 deletions(-)
commit 6f4126f2641ff20cda34c0117289dcb497a2aca3
Author: Luigi Ballabio <[email protected]>
Date: Thu, 16 Sep 2021 11:53:45 +0200
Update Boost download link in CI build
.github/workflows/cmake.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 5dfb69c2f7c2f4c2db656a63c69492952eb0f347
Merge: 8d47d8dd7 7294f5751
Author: Luigi Ballabio <[email protected]>
Date: Thu, 16 Sep 2021 11:46:02 +0200
Merge pull request #1183
The new CMake build system
commit 7294f5751d6c4876151443801e86d928e58b7abc
Author: Philip Kovacs <[email protected]>
Date: Wed, 15 Sep 2021 19:54:34 -0400
QL_ENABLE_SESSIONS requires Boost::threads
CMakeLists.txt | 5 -----
Examples/CMakeLists.txt | 3 ++-
test-suite/CMakeLists.txt | 7 ++++---
3 files changed, 6 insertions(+), 9 deletions(-)
commit 61ceb9906d659d659cebcf473fc6115ac110edb6
Author: Philip Kovacs <[email protected]>
Date: Wed, 15 Sep 2021 19:32:12 -0400
Revert "Remove unneeded requirement" which broke program links
This reverts commit bbf8a27c63efbcb65b7793ad89e979fd69cd4f7e.
CMakeLists.txt | 5 +++++
1 file changed, 5 insertions(+)
commit bbf8a27c63efbcb65b7793ad89e979fd69cd4f7e
Author: Luigi Ballabio <[email protected]>
Date: Wed, 15 Sep 2021 18:30:11 +0200
Remove unneeded requirement
CMakeLists.txt | 5 -----
1 file changed, 5 deletions(-)
commit 45222087571eb1e6679a130d61a0fee323baa560
Author: Luigi Ballabio <[email protected]>
Date: Wed, 15 Sep 2021 18:28:10 +0200
Add cmake builds with custom options to CI workflow
.github/workflows/cmake.yml | 56 ++++++++++++++++++++++++++++++++++++++++++---
1 file changed, 53 insertions(+), 3 deletions(-)
commit a50b4249d31cca14fd0034f851e7fd67fe5820d8
Author: Luigi Ballabio <[email protected]>
Date: Wed, 15 Sep 2021 18:12:59 +0200
Restore filelist check on CMakeLists
ql/CMakeLists.txt | 5 +++++
tools/check_filelists.sh | 4 ++--
tools/check_filelists_diffs.py | 2 +-
3 files changed, 8 insertions(+), 3 deletions(-)
commit 8b6a43603f3fcf154590e363c44e3a3a2edb2390
Author: Philip Kovacs <[email protected]>
Date: Tue, 14 Sep 2021 02:30:39 -0400
add new cmake files to autotools dist
Makefile.am | 2 ++
ql/Makefile.am | 5 ++++-
2 files changed, 6 insertions(+), 1 deletion(-)
commit a3ae22b072047b847fbc95b12c2f29b8e0fadc25
Author: Philip Kovacs <[email protected]>
Date: Tue, 14 Sep 2021 01:34:51 -0400
generate ql/quantlib.hpp
cmake/GenerateHeaders.cmake | 34 ++++++++++++++++++++++++++++++++++
ql/CMakeLists.txt | 38 +++++++++++++++++++-------------------
2 files changed, 53 insertions(+), 19 deletions(-)
commit 990cc881a539d2f5c0a83b7774be7cfd836f64ba
Author: Philip Kovacs <[email protected]>
Date: Mon, 13 Sep 2021 16:30:51 -0400
shared/static defaults for project and boost libs
CMakeLists.txt | 14 ++++++++++++--
1 file changed, 12 insertions(+), 2 deletions(-)
commit a3aa07ab03b9403e643e3e50c0939554d43d1f8c
Author: Philip Kovacs <[email protected]>
Date: Mon, 13 Sep 2021 16:25:22 -0400
configure qldefines for QL_HAVE_CONFIG_H
CMakeLists.txt | 3 +-
ql/CMakeLists.txt | 2 +-
ql/qldefines.hpp.cfg | 228 +++++++++++++++++++++++++++++++++++++++++++++++++++
3 files changed, 231 insertions(+), 2 deletions(-)
commit 5912e0bf4c701b27170970c41675e64e184b5c5b
Author: Philip Kovacs <[email protected]>
Date: Sun, 12 Sep 2021 19:28:48 -0400
adjust check_filelists workflow for new cmake system
Makefile.am | 1 -
tools/check_filelists.sh | 5 +++--
tools/check_filelists_diffs.py | 2 +-
3 files changed, 4 insertions(+), 4 deletions(-)
commit 2ef71fc8ee169dee7472ac1022d1e58f9391b0c3
Author: Philip Kovacs <[email protected]>
Date: Sat, 11 Sep 2021 21:44:28 -0400
Revert "use boost layout convention of platform at the end"
This reverts commit 82a596728a142ea7d49de7fb1576cdd5e4db9d5a.
ql/auto_link.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3b762463fb38ce08a291be281445139062223d5b
Author: Philip Kovacs <[email protected]>
Date: Sat, 11 Sep 2021 20:21:51 -0400
adjust msvc config to use auto link consistently
ql/config.msvc.hpp | 5 -----
1 file changed, 5 deletions(-)
commit d0c638d5cb7864b64b12a95514de14568f905dbb
Author: Philip Kovacs <[email protected]>
Date: Fri, 10 Sep 2021 21:50:44 -0400
generate all.hpp files using cmake
cmake/GenerateHeaders.cmake | 42 +++++++++++++
ql/CMakeLists.txt | 140 +++++++++++++++++++++++++++++++++++++++++++-
2 files changed, 179 insertions(+), 3 deletions(-)
commit 82a596728a142ea7d49de7fb1576cdd5e4db9d5a
Author: Philip Kovacs <[email protected]>
Date: Thu, 9 Sep 2021 23:25:09 -0400
use boost layout convention of platform at the end
ql/auto_link.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 0a355628b197b935cecbe0d768904f2d26a7a0bd
Author: Philip Kovacs <[email protected]>
Date: Thu, 9 Sep 2021 19:58:11 -0400
disable DLL builds on MSVC
cmake/Platform.cmake | 3 +++
1 file changed, 3 insertions(+)
commit cf513d366a83ee15dcbc17c123e7326815428430
Author: Philip Kovacs <[email protected]>
Date: Thu, 9 Sep 2021 19:47:04 -0400
.gitignore do not exclude cmake/*.cmake files
.gitignore | 1 +
1 file changed, 1 insertion(+)
commit fa25ee7635fa054ea5127edf4a4914f479f3353c
Author: Philip Kovacs <[email protected]>
Date: Thu, 9 Sep 2021 19:31:49 -0400
add missing include for QL_ENABLE_SESSIONS
ql/patterns/singleton.hpp | 1 +
1 file changed, 1 insertion(+)
commit 70604ee8eff0761695c058ce6063f6df28c93ae4
Author: Philip Kovacs <[email protected]>
Date: Thu, 9 Sep 2021 19:29:42 -0400
remove QL_LIB_NAME references in test-suite
test-suite/quantlibbenchmark.cpp | 4 ----
test-suite/quantlibtestsuite.cpp | 4 ----
2 files changed, 8 deletions(-)
commit a2055858c22a7611f9904aba42f444afa07eb607
Author: Philip Kovacs <[email protected]>
Date: Thu, 9 Sep 2021 19:27:14 -0400
avoid ql/auto_link.hpp when using BOOST_ALL_NO_LIB
Examples/BasketLosses/BasketLosses.cpp | 2 +-
Examples/BermudanSwaption/BermudanSwaption.cpp | 2 +-
Examples/Bonds/Bonds.cpp | 2 +-
Examples/CDS/CDS.cpp | 2 +-
Examples/CVAIRS/CVAIRS.cpp | 2 +-
Examples/CallableBonds/CallableBonds.cpp | 2 +-
Examples/ConvertibleBonds/ConvertibleBonds.cpp | 2 +-
Examples/DiscreteHedging/DiscreteHedging.cpp | 2 +-
Examples/EquityOption/EquityOption.cpp | 2 +-
Examples/FRA/FRA.cpp | 2 +-
Examples/FittedBondCurve/FittedBondCurve.cpp | 2 +-
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 2 +-
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 2 +-
Examples/LatentModel/LatentModel.cpp | 2 +-
Examples/MarketModels/MarketModels.cpp | 2 +-
.../MulticurveBootstrapping/MulticurveBootstrapping.cpp | 2 +-
Examples/MultidimIntegral/MultidimIntegral.cpp | 2 +-
Examples/Replication/Replication.cpp | 2 +-
Examples/Repo/Repo.cpp | 2 +-
test-suite/quantlibbenchmark.cpp | 2 +-
test-suite/quantlibtestsuite.cpp | 14 ++++++--------
21 files changed, 26 insertions(+), 28 deletions(-)
commit 4bb8a519214cf3fba28769b3f6696e00c806b9b8
Author: Philip Kovacs <[email protected]>
Date: Thu, 9 Sep 2021 19:13:05 -0400
rewrite cmake build system
CMakeLists.txt | 216 ++++++++++++++++++------
Examples/BasketLosses/CMakeLists.txt | 5 +-
Examples/BermudanSwaption/CMakeLists.txt | 6 +-
Examples/Bonds/CMakeLists.txt | 6 +-
Examples/CDS/CMakeLists.txt | 5 +-
Examples/CMakeLists.txt | 4 +
Examples/CVAIRS/CMakeLists.txt | 5 +-
Examples/CallableBonds/CMakeLists.txt | 6 +-
Examples/ConvertibleBonds/CMakeLists.txt | 5 +-
Examples/DiscreteHedging/CMakeLists.txt | 5 +-
Examples/EquityOption/CMakeLists.txt | 5 +-
Examples/FRA/CMakeLists.txt | 5 +-
Examples/FittedBondCurve/CMakeLists.txt | 5 +-
Examples/Gaussian1dModels/CMakeLists.txt | 5 +-
Examples/GlobalOptimizer/CMakeLists.txt | 5 +-
Examples/LatentModel/CMakeLists.txt | 5 +-
Examples/MarketModels/CMakeLists.txt | 5 +-
Examples/MulticurveBootstrapping/CMakeLists.txt | 5 +-
Examples/MultidimIntegral/CMakeLists.txt | 5 +-
Examples/Replication/CMakeLists.txt | 5 +-
Examples/Repo/CMakeLists.txt | 5 +-
cmake/Platform.cmake | 22 +++
cmake/quantlib.cmake | 71 --------
cmake/update_cmake_files.py | 38 -----
ql/CMakeLists.txt | 184 +++++---------------
ql/config.hpp.cfg | 46 +++++
ql/version.hpp.cfg | 51 ++++++
test-suite/CMakeLists.txt | 68 +++++---
28 files changed, 454 insertions(+), 344 deletions(-)
commit 8d47d8dd74f585e7488ba336d838b564c51c7b5a
Merge: 9d90e8bcb fdfbe6636
Author: Luigi Ballabio <[email protected]>
Date: Tue, 7 Sep 2021 20:48:21 +0200
Merge pull request #1155.
Add Chilean calendar
commit fdfbe66364dcc406eccd247b1c0db38e86e3ec0a
Author: Luigi Ballabio <[email protected]>
Date: Tue, 7 Sep 2021 17:53:14 +0200
Copyright attribution
LICENSE.TXT | 1 +
ql/time/calendars/chile.cpp | 2 +-
ql/time/calendars/chile.hpp | 2 +-
3 files changed, 3 insertions(+), 2 deletions(-)
commit 9d90e8bcbee38b8d8e6749d7b803f5fc89ad6a44
Author: Luigi Ballabio <[email protected]>
Date: Tue, 7 Sep 2021 10:59:09 +0200
Prevent brew failure during CI
.github/workflows/doxygen.yml | 1 +
1 file changed, 1 insertion(+)
commit 6687233ecceb9d373adb1f7496014c60adc05bac
Author: Luigi Ballabio <[email protected]>
Date: Mon, 6 Sep 2021 18:56:45 +0200
Update Boost path in VS2019 Appveyor build
.appveyor/VS2019.props | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 90730ef2fb9f7afc3b159c3a1e4bda81cce50972
Author: lewwe <[email protected]>
Date: Mon, 30 Aug 2021 22:27:48 +0800
Use boost error
test-suite/swap.cpp | 14 +++++++++-----
1 file changed, 9 insertions(+), 5 deletions(-)
commit d88f1678b5e5c6913571e98745dc58da832cf5f1
Author: lewwe <[email protected]>
Date: Mon, 30 Aug 2021 20:55:16 +0800
Adjust effective and termination dates for ThirdWednesday Rule
ql/time/dategenerationrule.hpp | 3 +--
ql/time/schedule.cpp | 2 +-
test-suite/swap.cpp | 23 ++++++++++++++++++-----
test-suite/swap.hpp | 1 +
4 files changed, 21 insertions(+), 8 deletions(-)
commit 8473b5d978e2c49065c29e6d5c709e88a3e14729
Author: Luigi Ballabio <[email protected]>
Date: Fri, 27 Aug 2021 15:29:53 +0200
Implement rules for moving holidays
ql/time/calendars/chile.cpp | 94 ++++++++-------------------------------------
ql/time/calendars/chile.hpp | 23 +++++------
2 files changed, 24 insertions(+), 93 deletions(-)
commit 78ece4458f7a5d3f2e15bce05e968115f1f6dea7