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ChangeLog.txt
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commit 85e9489fd486c00fb624fb4c8f10ab227ac2e9e8
Author: Luigi Ballabio <[email protected]>
Date: Sat, 12 Oct 2024 22:55:21 +0200
Ignore lcov error
.github/workflows/coveralls.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 4bae7919925f54076c6f7bcb44a15bd8c1d1fb2a
Author: Luigi Ballabio <[email protected]>
Date: Sat, 12 Oct 2024 22:38:07 +0200
Avoid occasional warning from std::enable_shared_from_this
CMakeLists.txt | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3074bd85d60aaf477b4c4f609e4da4f0c0d1f553
Author: Luigi Ballabio <[email protected]>
Date: Sat, 12 Oct 2024 20:45:08 +0200
Update changelog
ChangeLog.txt | 42 ++++++++++++++++++++++++++++++++++++++++++
1 file changed, 42 insertions(+)
commit 814c9cf074ce4dcb9b8777c03d205856769e6b86
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.36 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 10be1e1ab186950dcd05147b1676ee048893f99d
Author: Luigi Ballabio <[email protected]>
Date: Sat, 12 Oct 2024 20:29:39 +0200
Updated release history
Docs/pages/history.docs | 129 +++++++++++++++++++++++++++++++++++++++++++++++-
1 file changed, 128 insertions(+), 1 deletion(-)
commit 4cf029617169cfc1985527a5187113ba105655a2
Author: Luigi Ballabio <[email protected]>
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.36-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit fc6f3919ba1c85427332f38db5d69be85439d8fd
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Oct 2024 12:30:47 +0200
Update news and changelog
ChangeLog.txt | 2733 ++++++++++++++++++++++++++++--------------------------
Contributors.txt | 4 +
News.md | 244 ++---
3 files changed, 1551 insertions(+), 1430 deletions(-)
commit 3d27c6b27d232c42965b7afb1684f181219cbc81
Merge: a5d2197cc 64acfbbe2
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Oct 2024 09:57:29 +0200
added a recent temporary holiday (#2086)
commit 64acfbbe2f405b3599a488852f0c313cd1e5de55
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Oct 2024 08:19:05 +0200
Update expected test results
test-suite/calendars.cpp | 2 ++
1 file changed, 2 insertions(+)
commit a5d2197ccc544ac5990d1d14102a4d19f85e0392
Author: Luigi Ballabio <[email protected]>
Date: Sun, 6 Oct 2024 15:16:49 +0200
Increase test tolerance a bit
test-suite/shortratemodels.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit cbc5d93fcfebcc83726213c451899eb0e6f25b96
Author: jongbong.an <[email protected]>
Date: Sun, 6 Oct 2024 15:39:36 +0900
added a recent temporary holiday
ql/time/calendars/southkorea.cpp | 1 +
1 file changed, 1 insertion(+)
commit c27f32356af605b45da3a79a6e24a9ff07eed8ef
Author: Luigi Ballabio <[email protected]>
Date: Fri, 4 Oct 2024 09:57:29 +0200
Clean up configuration docs
Docs/pages/config.docs | 56 +++++-----
configure.ac | 297 +++++++++++++++++++++----------------------------
ql/userconfig.hpp | 96 +++++++++++-----
3 files changed, 223 insertions(+), 226 deletions(-)
commit 05b4b7ec86364a18e32bd9180d529457d74117e7
Author: Luigi Ballabio <[email protected]>
Date: Fri, 4 Oct 2024 11:46:47 +0200
Avoid another warning
ql/math/optimization/levenbergmarquardt.cpp | 2 ++
1 file changed, 2 insertions(+)
commit 89c26e16c0018bbf584a32f9df7d42d3899696c9
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Fri, 4 Oct 2024 08:45:11 +0000
Automated fixes by clang-tidy
ql/cashflows/cpicoupon.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8bd570317c55c7f502998b5c1f2879e9d396943a
Merge: e366a83fe ef12f991d
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Oct 2024 14:39:43 +0200
Simplify `Null<T>` implementation (#2082)
commit e366a83fe169c21b3aad267b3bf823e204ad32d9
Merge: 460a94883 0e4c3dfa9
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Oct 2024 13:28:14 +0200
Improve global bootstrap optimizer configuration (#2080)
commit 0e4c3dfa9b790704b2054368de7dc1f756c8e941
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Oct 2024 12:26:27 +0200
Restore and deprecate getInfo for backwards compatibility
ql/math/optimization/levenbergmarquardt.cpp | 2 ++
ql/math/optimization/levenbergmarquardt.hpp | 7 +++++++
2 files changed, 9 insertions(+)
commit ef12f991dc0e33f68f295a0e7571db98236fa4f0
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Oct 2024 11:29:15 +0200
No need for Null<Array>, we can use {}
ql/legacy/libormarketmodels/lfmcovarparam.hpp | 6 +++---
ql/legacy/libormarketmodels/lfmcovarproxy.hpp | 7 +++----
ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp | 6 +++---
ql/legacy/libormarketmodels/lmconstwrappercorrmodel.hpp | 6 +++---
ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp | 7 +++----
ql/legacy/libormarketmodels/lmcorrmodel.hpp | 6 +++---
ql/legacy/libormarketmodels/lmexpcorrmodel.hpp | 4 ++--
ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp | 7 +++----
ql/legacy/libormarketmodels/lmfixedvolmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp | 4 ++--
ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp | 12 +++++-------
ql/legacy/libormarketmodels/lmvolmodel.hpp | 7 +++----
test-suite/libormarketmodelprocess.cpp | 2 +-
13 files changed, 35 insertions(+), 41 deletions(-)
commit 6cffc330749cf6c51351b8b8a5cd69dc9552ab7b
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Oct 2024 10:10:27 +0200
No need for Null<Date>(), we're already using Date() anywhere else
ql/cashflows/cpicoupon.cpp | 10 +++++-----
ql/cashflows/cpicoupon.hpp | 2 +-
ql/cashflows/timebasket.cpp | 4 ++--
ql/experimental/credit/defaultevent.cpp | 4 ++--
ql/experimental/credit/defaultevent.hpp | 4 ++--
ql/experimental/exoticoptions/partialtimebarrieroption.cpp | 5 ++---
ql/instruments/bond.cpp | 2 +-
ql/instruments/creditdefaultswap.cpp | 12 +++++-------
ql/instruments/creditdefaultswap.hpp | 2 +-
ql/instruments/forwardvanillaoption.hpp | 5 ++---
ql/instruments/makecds.cpp | 2 +-
ql/instruments/makeswaption.cpp | 6 +++---
ql/instruments/simplechooseroption.hpp | 2 +-
ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 10 +++++-----
ql/models/shortrate/onefactormodels/gaussian1dmodel.cpp | 2 +-
ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp | 12 ++++++------
ql/models/shortrate/onefactormodels/markovfunctional.cpp | 12 ++++++------
ql/models/shortrate/onefactormodels/markovfunctional.hpp | 10 +++++-----
ql/pricingengines/credit/isdacdsengine.cpp | 2 +-
.../swaption/gaussian1dfloatfloatswaptionengine.cpp | 2 +-
.../swaption/gaussian1dnonstandardswaptionengine.cpp | 4 ++--
ql/pricingengines/swaption/gaussian1dswaptionengine.cpp | 4 ++--
ql/processes/gsrprocess.cpp | 2 +-
ql/processes/gsrprocess.hpp | 2 +-
ql/termstructures/volatility/gaussian1dsmilesection.cpp | 6 +++---
test-suite/overnightindexedswap.cpp | 8 ++++----
test-suite/schedule.cpp | 2 +-
27 files changed, 67 insertions(+), 71 deletions(-)
commit f9ce37ad14a304fa9187fc8222ea73d5397bbdb6
Author: Luigi Ballabio <[email protected]>
Date: Thu, 3 Oct 2024 09:38:50 +0200
Simplify Null implementation
ql/math/array.hpp | 19 -------------------
ql/prices.hpp | 19 -------------------
ql/time/date.hpp | 18 ------------------
ql/utilities/null.hpp | 45 ++++++++++++++++++---------------------------
4 files changed, 18 insertions(+), 83 deletions(-)
commit 460a94883c0bd09cbdfd3f3fa4f218ae7cd25f2c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Oct 2024 14:20:49 +0200
Re-enable deprecation warnings for recent Clang versions
.github/workflows/linux-full-tests.yml | 2 --
.github/workflows/linux-nondefault.yml | 2 --
.github/workflows/linux.yml | 2 --
ql/currency.cpp | 14 ++++----------
ql/currency.hpp | 2 +-
5 files changed, 5 insertions(+), 17 deletions(-)
commit 57df9d4285500ced582e28082f0dc28e6780c8ae
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Oct 2024 11:41:58 +0200
Add Clang 19 to build matrix
.github/workflows/linux-full-tests.yml | 6 ++++++
.github/workflows/linux-nondefault.yml | 6 ++++++
.github/workflows/linux.yml | 7 +++++++
3 files changed, 19 insertions(+)
commit 639e05c687c4cd2eb90a149856dc82c6342a7c2b
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 29 Sep 2024 01:29:11 +0000
Automated fixes by clang-tidy
ql/cashflows/yoyinflationcoupon.cpp | 2 +-
ql/experimental/inflation/yoycapfloortermpricesurface.cpp | 2 +-
ql/experimental/inflation/yoyoptionlethelpers.cpp | 4 ++--
ql/instruments/makeyoyinflationcapfloor.cpp | 2 +-
ql/instruments/yearonyearinflationswap.cpp | 6 +++---
ql/termstructures/inflation/inflationhelpers.cpp | 4 ++--
6 files changed, 10 insertions(+), 10 deletions(-)
commit 1af4f821508e1975f607fca24da5e00e59185a11
Merge: fb835109c 5b0053be3
Author: Luigi Ballabio <[email protected]>
Date: Tue, 24 Sep 2024 22:58:54 +0200
Change the order of `QL_DEPRECATED_...` macro definition (#2078)
commit 5b0053be3cbbdde510223236d4136779ffe6013f
Author: Ralf Konrad <[email protected]>
Date: Tue, 24 Sep 2024 19:58:45 +0200
clang also defines __GNUC__
ql/qldefines.hpp | 14 +++++++-------
ql/qldefines.hpp.cfg | 14 +++++++-------
2 files changed, 14 insertions(+), 14 deletions(-)
commit fb835109c8103776db52c4d4552fa69181de458e
Merge: bbecf531e 283a28fda
Author: Luigi Ballabio <[email protected]>
Date: Mon, 23 Sep 2024 22:05:56 +0200
Replace now obsolete `LENGTH` macro with `std::size` function (#2077)
commit 283a28fda99afcc5f6ad0c702217f74f5d726351
Author: Luigi Ballabio <[email protected]>
Date: Mon, 23 Sep 2024 19:10:51 +0200
Replace LENGTH macro with std::size
Examples/ConvertibleBonds/ConvertibleBonds.cpp | 6 ++---
Examples/FRA/FRA.cpp | 6 ++---
Examples/FittedBondCurve/FittedBondCurve.cpp | 6 ++---
test-suite/americanoption.cpp | 6 ++---
test-suite/amortizingbond.cpp | 2 +-
test-suite/andreasenhugevolatilityinterpl.cpp | 10 ++++----
test-suite/asianoptions.cpp | 14 +++++------
test-suite/barrieroption.cpp | 10 ++++----
test-suite/blackdeltacalculator.cpp | 4 ++--
test-suite/cdo.cpp | 6 ++---
test-suite/digitalcoupon.cpp | 2 +-
test-suite/digitaloption.cpp | 2 +-
test-suite/distributions.cpp | 12 +++++-----
test-suite/fdheston.cpp | 2 +-
test-suite/fdsabr.cpp | 8 +++----
test-suite/forwardoption.cpp | 12 +++++-----
test-suite/hestonmodel.cpp | 30 ++++++++++++------------
test-suite/hestonslvmodel.cpp | 12 +++++-----
test-suite/hybridhestonhullwhiteprocess.cpp | 12 +++++-----
test-suite/inflation.cpp | 14 +++++------
test-suite/inflationcpibond.cpp | 2 +-
test-suite/inflationvolatility.cpp | 6 ++---
test-suite/integrals.cpp | 2 +-
test-suite/interpolations.cpp | 14 +++++------
test-suite/margrabeoption.cpp | 6 ++---
test-suite/marketmodel.cpp | 32 +++++++++++++-------------
test-suite/marketmodel_cms.cpp | 2 +-
test-suite/marketmodel_smm.cpp | 2 +-
test-suite/matrices.cpp | 2 +-
test-suite/mclongstaffschwartzengine.cpp | 2 +-
test-suite/nthtodefault.cpp | 20 ++++++++--------
test-suite/overnightindexedswap.cpp | 2 +-
test-suite/piecewiseyieldcurve.cpp | 18 +++++++--------
test-suite/riskneutraldensitycalculator.cpp | 2 +-
test-suite/riskstats.cpp | 4 ++--
test-suite/shortratemodels.cpp | 4 ++--
test-suite/squarerootclvmodel.cpp | 12 +++++-----
test-suite/stats.cpp | 24 +++++++++----------
test-suite/swaption.cpp | 8 +++----
test-suite/swingoption.cpp | 4 ++--
test-suite/termstructures.cpp | 14 +++++------
test-suite/ultimateforwardtermstructure.cpp | 8 +++----
test-suite/utilities.hpp | 4 ----
test-suite/variancegamma.cpp | 8 +++----
test-suite/varianceswaps.cpp | 2 +-
test-suite/vpp.cpp | 2 +-
46 files changed, 186 insertions(+), 196 deletions(-)
commit bbecf531eb4d5faae291b412fd39c97a871eee60
Merge: cf9406d71 145d23509
Author: Luigi Ballabio <[email protected]>
Date: Mon, 23 Sep 2024 18:49:40 +0200
Add method to YoY inflation index returning the last fixing date (#2076)
commit 145d2350910eb5decf9285a6eed088848bdae788
Author: Luigi Ballabio <[email protected]>
Date: Mon, 23 Sep 2024 15:19:20 +0200
Add method for last fixing date to YoY inflation index
ql/indexes/inflationindex.cpp | 11 +++++++++++
ql/indexes/inflationindex.hpp | 1 +
test-suite/inflation.cpp | 14 ++++++++++++++
3 files changed, 26 insertions(+)
commit cf9406d710eb4ccd25edc50329b182ffcef8328a
Merge: b2ef988fc 946d29cb8
Author: Luigi Ballabio <[email protected]>
Date: Mon, 23 Sep 2024 11:19:11 +0200
Allow creating a swap helper with frequency "Once" (#2075)
commit 946d29cb8749e99945f0fe57df7c276311718ec9
Author: Luigi Ballabio <[email protected]>
Date: Mon, 23 Sep 2024 09:43:47 +0200
Allow creating a swap helper with frequency "Once"
ql/termstructures/yield/ratehelpers.cpp | 2 +-
test-suite/piecewiseyieldcurve.cpp | 19 +++++++++++++++++++
test-suite/schedule.cpp | 15 +++++++++++++++
3 files changed, 35 insertions(+), 1 deletion(-)
commit b2ef988fc799501ef97f675014aed34ee8ffad89
Merge: 4491778cb 8cf851830
Author: Luigi Ballabio <[email protected]>
Date: Sun, 22 Sep 2024 17:17:22 +0200
Manage interpolation of year-on-year inflation index inside coupons (#2073)
commit 8cf851830f2a724c6d14583e86f0bff338f51f80
Author: Luigi Ballabio <[email protected]>
Date: Fri, 20 Sep 2024 10:06:32 +0200
More interpolation passed around
.../inflation/yoycapfloortermpricesurface.cpp | 21 +++++-
.../inflation/yoycapfloortermpricesurface.hpp | 76 ++++++++++++++++++++--
ql/indexes/inflationindex.cpp | 19 ++++++
ql/indexes/inflationindex.hpp | 28 ++++----
ql/termstructures/inflation/inflationhelpers.cpp | 68 ++++++++++---------
ql/termstructures/inflation/inflationhelpers.hpp | 15 +++++
test-suite/inflation.cpp | 4 +-
test-suite/inflationcapfloor.cpp | 23 +++----
test-suite/inflationcapflooredcoupon.cpp | 35 +++++-----
test-suite/inflationvolatility.cpp | 3 +-
10 files changed, 210 insertions(+), 82 deletions(-)
commit 322aa3ad28b637b97ebcd8a07a2d861bd9de403c
Author: Luigi Ballabio <[email protected]>
Date: Thu, 19 Sep 2024 18:19:38 +0200
Pass interpolation to year-on-year coupons
ql/cashflows/capflooredinflationcoupon.cpp | 1 +
ql/cashflows/capflooredinflationcoupon.hpp | 29 +++++++++-
ql/cashflows/yoyinflationcoupon.cpp | 61 ++++++++++++++------
ql/cashflows/yoyinflationcoupon.hpp | 65 ++++++++++++++++------
.../inflation/interpolatedyoyoptionletstripper.hpp | 8 +--
ql/experimental/inflation/yoyoptionlethelpers.cpp | 17 +++++-
ql/experimental/inflation/yoyoptionlethelpers.hpp | 22 ++++++--
ql/instruments/makeyoyinflationcapfloor.cpp | 15 ++++-
ql/instruments/makeyoyinflationcapfloor.hpp | 11 ++++
ql/instruments/yearonyearinflationswap.cpp | 19 ++++++-
ql/instruments/yearonyearinflationswap.hpp | 22 +++++++-
test-suite/inflation.cpp | 4 ++
test-suite/inflationcapfloor.cpp | 4 +-
test-suite/inflationcapflooredcoupon.cpp | 5 +-
14 files changed, 228 insertions(+), 55 deletions(-)
commit 6061700cdfe6880ce36e72363142a6e88a48c277
Author: Luigi Ballabio <[email protected]>
Date: Thu, 19 Sep 2024 15:52:56 +0200
More uses of CPI::laggedFixing and laggedYoYRate
ql/cashflows/cpicoupon.cpp | 29 +++++------------------------
ql/cashflows/cpicoupon.hpp | 2 --
ql/cashflows/indexedcashflow.cpp | 5 +++--
ql/cashflows/yoyinflationcoupon.cpp | 5 ++++-
ql/cashflows/yoyinflationcoupon.hpp | 4 +++-
ql/cashflows/zeroinflationcashflow.cpp | 22 ++++++----------------
ql/cashflows/zeroinflationcashflow.hpp | 10 ++++++----
test-suite/inflationcpicapfloor.cpp | 2 +-
test-suite/inflationcpiswap.cpp | 3 +--
9 files changed, 29 insertions(+), 53 deletions(-)
commit 9686bae6ee66c4599bf7e2a94280830ef30a6eee
Author: Luigi Ballabio <[email protected]>
Date: Thu, 19 Sep 2024 12:27:25 +0200
No need for an explicit case
ql/indexes/inflationindex.cpp | 4 +---
1 file changed, 1 insertion(+), 3 deletions(-)
commit 186fc7e844f1e4f7f301fdaf0640efb94fbf21a0
Author: Luigi Ballabio <[email protected]>
Date: Thu, 19 Sep 2024 12:13:30 +0200
Add utility to return lagged year-on-year inflation
ql/indexes/inflationindex.cpp | 59 +++++++++-
ql/indexes/inflationindex.hpp | 19 ++++
test-suite/inflation.cpp | 242 +++++++++++++++++++++++++++++++++++-------
3 files changed, 279 insertions(+), 41 deletions(-)
commit 4491778cb0ef27df724a551fdf99695da9609fd7
Merge: 2ccdba7d2 ecd3f9a44
Author: Luigi Ballabio <[email protected]>
Date: Tue, 17 Sep 2024 12:49:17 +0200
Inflation indexes are now better at deciding when to forecast (#2070)
commit ecd3f9a44942f4e328a15bbe8f1a5a869e38c93d
Author: Luigi Ballabio <[email protected]>
Date: Tue, 17 Sep 2024 11:18:09 +0200
Remove more obsolete comments
ql/indexes/inflationindex.cpp | 17 ++++++-----------
1 file changed, 6 insertions(+), 11 deletions(-)
commit 6e91afae99d5f6c75c309106f4994fb95fb9693f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 16 Sep 2024 15:56:10 +0200
Fix implementation of needsForecast for inflation indexes
ql/indexes/inflationindex.cpp | 57 ++++++++++------
ql/indexes/inflationindex.hpp | 13 +---
test-suite/inflation.cpp | 148 +++++++++++++++++++++++++++++++++++-------
3 files changed, 164 insertions(+), 54 deletions(-)
commit 6de585ea01d51c82807588b9cab17710bc326513
Author: Luigi Ballabio <[email protected]>
Date: Mon, 16 Sep 2024 10:23:06 +0200
Avoid interpolation if not needed
ql/indexes/inflationindex.cpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit 3e2f9e06a2852dce32e4f93c21c0ec4ef0fad31a
Author: Luigi Ballabio <[email protected]>
Date: Fri, 13 Sep 2024 17:05:56 +0200
Refactor YoYInflationIndex::fixing
ql/indexes/inflationindex.cpp | 83 ++++++++++++++++++-------------------------
ql/indexes/inflationindex.hpp | 1 +
2 files changed, 36 insertions(+), 48 deletions(-)
commit 79f8c39ca1370faf29b087a11e18a471a1cad97e
Author: Luigi Ballabio <[email protected]>
Date: Wed, 11 Sep 2024 18:32:07 +0200
Update some comments, removed some obsolete ones
ql/indexes/inflationindex.hpp | 53 ++++++++++++++++---------------------------
1 file changed, 19 insertions(+), 34 deletions(-)
commit 2ccdba7d273ae10c22f80f98ed629280fcae5175
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 9 Sep 2024 11:17:04 +0000
Bump peter-evans/create-pull-request from 6 to 7
Bumps [peter-evans/create-pull-request](https://github.com/peter-evans/create-pull-request) from 6 to 7.
- [Release notes](https://github.com/peter-evans/create-pull-request/releases)
- [Commits](https://github.com/peter-evans/create-pull-request/compare/v6...v7)
---
updated-dependencies:
- dependency-name: peter-evans/create-pull-request
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <[email protected]>
.github/workflows/copyrights.yml | 2 +-
.github/workflows/generated-headers.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/namespaces.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
5 files changed, 5 insertions(+), 5 deletions(-)
commit 8c64bf06cfca0c2e6d48a37a2ee6722e24f19b1b
Author: Eugene Toder <[email protected]>
Date: Sat, 17 Aug 2024 09:20:59 -0400
Improve global bootstrap optimizer configuration
Currently global bootstrap uses "accuracy" in several different ways:
* For all parameters passed to LevenbergMarquardt.
* For all epsilon parameters passed to EndCriteria.
* As the upper bound on the final value of the cost function.
This overloading makes it quite inflexible. Instead:
* Allow passing optimizer and EndCriteria to the constructor, which
allows full control over all parameters.
* Instead of checking the final value of the cost function, check the
result type from the optimizer.
Also, cleanup LevenbergMarquardt optimizer: remove commented out code,
fix parameters passed to MINPACK.
ql/math/optimization/endcriteria.cpp | 24 +++++++++-----
ql/math/optimization/endcriteria.hpp | 2 ++
ql/math/optimization/levenbergmarquardt.cpp | 44 +++++++++++++++----------
ql/math/optimization/levenbergmarquardt.hpp | 10 ++----
ql/termstructures/globalbootstrap.hpp | 51 ++++++++++++++++++-----------
ql/termstructures/localbootstrap.hpp | 5 ++-
6 files changed, 81 insertions(+), 55 deletions(-)
commit 436bd900dca83828f690525dd9821765c7346504
Merge: d8e0f1c9e 9f0c9b90c
Author: Luigi Ballabio <[email protected]>
Date: Mon, 26 Aug 2024 12:24:32 +0200
Deprecate some experimental code (#2064)
commit 9f0c9b90c2202893239d8f56b1c6996884393632
Author: Luigi Ballabio <[email protected]>
Date: Mon, 26 Aug 2024 09:49:24 +0200
Deprecate some experimental code
ql/experimental/risk/creditriskplus.cpp | 4 +++
ql/experimental/risk/creditriskplus.hpp | 5 +--
ql/experimental/risk/sensitivityanalysis.cpp | 3 ++
ql/experimental/risk/sensitivityanalysis.hpp | 50 +++++++++++++++++++++++++---
test-suite/creditriskplus.cpp | 4 +++
5 files changed, 60 insertions(+), 6 deletions(-)
commit d8e0f1c9eebca252148ba1e480ea11a8c41d045f
Merge: fc4210fb0 ed3c9c9cd
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Aug 2024 23:01:30 +0200
Added Warsaw Stock Exchange Calendar (Poland) (#2063)
commit ed3c9c9cd7c0466b55bf2395069ee573f3a55151
Author: marcinfair <[email protected]>
Date: Tue, 20 Aug 2024 19:44:11 +0200
removal of accidental comment left
ql/time/calendars/poland.cpp | 1 -
1 file changed, 1 deletion(-)
commit 4620e307006fb7d1fba3d65a47b72677f4880a38
Author: marcinfair <[email protected]>
Date: Tue, 20 Aug 2024 15:07:52 +0200
Added Warsaw Stock Exchange Calendar
ql/indexes/ibor/wibor.hpp | 2 +-
ql/time/calendars/poland.cpp | 35 +++++++++++++++++++++++++++++++----
ql/time/calendars/poland.hpp | 16 +++++++++++++---
3 files changed, 45 insertions(+), 8 deletions(-)
commit fc4210fb0717121d12bd371569358d236c0e5b47
Merge: 302973df6 ce726f431
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Aug 2024 14:07:07 +0200
Allow constraints in FittedBondDiscountCurve::FittingMethod (#1954) (#2059)
commit ce726f431c766cf4514f498c147cbaf2e39c4bca
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Aug 2024 12:31:47 +0200
Modernize clone methods
ql/termstructures/yield/nonlinearfittingmethods.cpp | 18 ++++++------------
test-suite/fittedbonddiscountcurve.cpp | 2 +-
2 files changed, 7 insertions(+), 13 deletions(-)
commit 68251e7e0fcf462ca66f1302394ca942277d7c3f
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Aug 2024 11:54:57 +0200
Add additional constraint to existing fitting methods
.../yield/nonlinearfittingmethods.cpp | 141 ++++++++++-----------
.../yield/nonlinearfittingmethods.hpp | 48 ++++---
2 files changed, 95 insertions(+), 94 deletions(-)
commit 3773b64950529de0e2c7a3d05b804797d93351a7
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Aug 2024 11:37:36 +0200
Clean up example
test-suite/fittedbonddiscountcurve.cpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 66b74d88f721a92920dc98003519468c014643ce
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Aug 2024 11:31:13 +0200
No need of shared_ptr for Constraint class
ql/termstructures/yield/fittedbonddiscountcurve.cpp | 13 ++++++-------
ql/termstructures/yield/fittedbonddiscountcurve.hpp | 9 ++++-----
test-suite/fittedbonddiscountcurve.cpp | 4 +---
3 files changed, 11 insertions(+), 15 deletions(-)
commit 302973df6278b83f66227183c3ef04bbe1f32d38
Merge: 174d36e46 8113ea8d7
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 21:21:30 +0200
Upgrade clang-tidy in CI build (#2062)
commit ff8fa3609f722729923a11fe49588652c900e926
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 16:31:08 +0200
Silence a few more warnings
.clang-tidy | 1 +
ql/cashflow.cpp | 4 ++--
ql/experimental/callablebonds/treecallablebondengine.cpp | 2 +-
ql/math/matrixutilities/tqreigendecomposition.cpp | 2 +-
ql/version.hpp | 1 -
5 files changed, 5 insertions(+), 5 deletions(-)
commit 174d36e46611a7370b4441ebebca43a4a7ec1672
Merge: 445672228 4e3d3399c
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 15:55:22 +0200
Fix defaulting of localOptimizer in HybridSimulatedAnnealing (#2058)
commit 5072f0e95c60000a0d2e8c9c7f33df3f4ec02669
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 15:15:29 +0200
Agree to disagree with clang-tidy
.clang-tidy | 1 +
1 file changed, 1 insertion(+)
commit 4e3d3399c1d026474e1c7510aa6b63cb26ab283f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 15:07:25 +0200
Modernize initialization
ql/experimental/math/hybridsimulatedannealing.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit af365f0a188e924d18ee62021bc1978d7ad22015
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 19 Aug 2024 11:07:28 +0000
Automated fixes by clang-tidy
ql/experimental/basismodels/swaptioncfs.hpp | 18 +++++------
ql/experimental/math/fireflyalgorithm.hpp | 2 +-
ql/experimental/math/hybridsimulatedannealing.hpp | 3 +-
.../math/hybridsimulatedannealingfunctors.hpp | 36 +++++++++++-----------
ql/experimental/math/isotropicrandomwalk.hpp | 8 ++---
ql/experimental/math/particleswarmoptimization.hpp | 24 +++++++--------
.../variancegamma/variancegammamodel.cpp | 5 +--
ql/instruments/bond.cpp | 7 +++--
ql/math/integrals/trapezoidintegral.hpp | 8 ++---
ql/math/interpolations/cubicinterpolation.hpp | 2 +-
ql/math/interpolations/lagrangeinterpolation.hpp | 2 +-
ql/math/linearleastsquaresregression.hpp | 2 +-
ql/math/sampledcurve.hpp | 4 +--
ql/methods/montecarlo/lsmbasissystem.cpp | 4 +--
ql/models/equity/batesmodel.cpp | 5 +--
ql/models/equity/gjrgarchmodel.cpp | 5 +--
ql/models/equity/hestonmodel.cpp | 5 +--
ql/pricingengines/forward/mcvarianceswapengine.hpp | 2 +-
ql/pricingengines/vanilla/mceuropeanengine.hpp | 2 +-
ql/termstructures/inflation/inflationhelpers.cpp | 9 +++---
ql/timeseries.hpp | 4 +--
ql/utilities/steppingiterator.hpp | 4 +--
test-suite/digitaloption.cpp | 9 +++---
test-suite/doublebinaryoption.cpp | 5 +--
24 files changed, 92 insertions(+), 83 deletions(-)
commit c627b3c8a6d0917aeed87cab2bc78327424cac27
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 12:21:55 +0200
Keep macro to allow #if checks
ql/version.hpp | 1 +
1 file changed, 1 insertion(+)
commit e3fb82afe5f64590dae1d3ed5af848493eaf7dfd
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 10:59:07 +0200
Prevent botched fix from clang-tidy
ql/patterns/observable.hpp | 4 +---
1 file changed, 1 insertion(+), 3 deletions(-)
commit 3a2c86d08e5348c6377e2f7f0f42b108b0976222
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 10:56:30 +0200
Don't remove casts needed for AAD support
.clang-tidy | 1 +
1 file changed, 1 insertion(+)
commit 445672228e2c7631e107853ddcf0317b5d6ff091
Merge: c0fac2421 903dda433
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 10:54:08 +0200
Correct documentation error in Svensson zero rate formula (#2057)
commit 07cc23fd471fe120ca80da7c7a9f04ea211ab550
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 10:07:29 +0200
Upgrade clang-tidy in CI build
.github/workflows/tidy.yml | 4 ++--
CMakePresets.json | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit 903dda43386fe860b1b5788fb4aab84a35ad706a
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Aug 2024 09:43:41 +0200
Fix LaTeX syntax in formulas
.../yield/nonlinearfittingmethods.hpp | 25 +++++++++++-----------
1 file changed, 13 insertions(+), 12 deletions(-)
commit 7d4de7722b4d007be8e26bd292eba9fd8a69f3e2
Author: Kai Lin <[email protected]>
Date: Mon, 19 Aug 2024 12:51:43 +1000
Allow constraints in FittedBondDiscountCurve::FittingMethod (#1954)
.../yield/fittedbonddiscountcurve.cpp | 11 +++--
.../yield/fittedbonddiscountcurve.hpp | 13 ++++-
test-suite/fittedbonddiscountcurve.cpp | 57 ++++++++++++++++++++++
3 files changed, 77 insertions(+), 4 deletions(-)
commit 59c6359bf36efdcfd5ea197eea74f2eace729700
Author: Eugene Toder <[email protected]>
Date: Sat, 17 Aug 2024 09:11:42 -0400
Fix defaulting of localOptimizer in HybridSimulatedAnnealing
The current code changes the local variable `localOptimizer` which was
already used to initialize the member variable `localOptimizer_` and is
no longer used. Also, `localOptimizer` was already used to initialize
`optimizeScheme_`.
ql/experimental/math/hybridsimulatedannealing.hpp | 4 +---
1 file changed, 1 insertion(+), 3 deletions(-)
commit 93306509813783dcb17716f68813d6f1c2811ac0
Author: twan3617 <[email protected]>
Date: Fri, 16 Aug 2024 10:45:25 +1000
Correct documentation error in Svensson zero rate formula
ql/termstructures/yield/nonlinearfittingmethods.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c0fac242125283ac78984a21dd577e23823d23d6
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 11 Aug 2024 02:23:37 +0000
Automated fixes by clang-tidy
ql/termstructures/yield/oisratehelper.cpp | 2 +-
ql/termstructures/yield/oisratehelper.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 6ba32c7fa7f0c4f39ae8e221ea71adce4491a368
Merge: 897ddbe4a f05e6dc3d
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Aug 2024 20:04:44 +0200
Small fixes for AAD (#2056)
commit f05e6dc3d606492af35b80e4f14bffc0b2da63e2
Author: imraneamri <[email protected]>
Date: Sun, 11 Aug 2024 22:55:58 +0100
::normal_distribution instantiated with Real rather than double & std::inner_product is called with Real constructed as Real(0.) rather than '0.'
ql/experimental/credit/spotlosslatentmodel.hpp | 10 +++++-----
ql/pricingengines/blackformula.cpp | 2 +-
2 files changed, 6 insertions(+), 6 deletions(-)
commit 897ddbe4acdcb11b48b79feeed3806fc1499da7b
Merge: 4e5dd7269 94e5c2235
Author: Luigi Ballabio <[email protected]>
Date: Wed, 7 Aug 2024 16:50:09 +0200
Allow passing a pricer to OISRateHelper, deprecate superseded experimental classes (#2052)
commit 94e5c22353ecc38bfc7cc78d53e6d038988efa03
Author: Luigi Ballabio <[email protected]>
Date: Wed, 7 Aug 2024 15:08:33 +0200
Exclude empty header
cmake/GenerateHeaders.cmake | 1 +
ql/experimental/averageois/Makefile.am | 2 +-
ql/experimental/averageois/all.hpp | 1 -
3 files changed, 2 insertions(+), 2 deletions(-)
commit 0c82ed0ff8b25248a85c460c064470d3b001a3b3
Author: Luigi Ballabio <[email protected]>
Date: Wed, 7 Aug 2024 15:04:28 +0200
Report all test-case errors, not just the first
test-suite/overnightindexedswap.cpp | 24 ++++++++++++------------
1 file changed, 12 insertions(+), 12 deletions(-)
commit 1a81cb1e9d7209e3be768134a030a672a297b245
Author: Luigi Ballabio <[email protected]>
Date: Wed, 7 Aug 2024 12:12:04 +0200
Deprecated superseded experimental classes
ql/experimental/averageois/arithmeticaverageois.cpp | 4 ++++
ql/experimental/averageois/arithmeticaverageois.hpp | 19 ++++++++-----------
.../averageois/arithmeticoisratehelper.cpp | 4 ++++
.../averageois/arithmeticoisratehelper.hpp | 8 ++++++--
.../averageois/makearithmeticaverageois.cpp | 4 ++++
.../averageois/makearithmeticaverageois.hpp | 11 +++++++----
6 files changed, 33 insertions(+), 17 deletions(-)
commit 506ff1fc31cff1c3fc78bc2ee64639b6fc801812
Author: Luigi Ballabio <[email protected]>
Date: Wed, 7 Aug 2024 12:00:37 +0200
Modernize allocations and index
test-suite/overnightindexedswap.cpp | 228 ++++++++++++++++++------------------
1 file changed, 112 insertions(+), 116 deletions(-)
commit 04cf542684b92ce166ed1479ed69ffaa84394af5
Author: Luigi Ballabio <[email protected]>
Date: Wed, 7 Aug 2024 11:51:19 +0200
Allow custom coupon pricer in OIS rate helpers
ql/termstructures/yield/oisratehelper.cpp | 18 +++++--
ql/termstructures/yield/oisratehelper.hpp | 11 +++--
test-suite/overnightindexedswap.cpp | 78 ++++++++++++++++++++++++++++++-
3 files changed, 98 insertions(+), 9 deletions(-)
commit 4e5dd7269c4a31b33089eb40e0971f980ff8795d
Merge: 2243398e3 1c9494a1b
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Aug 2024 16:19:50 +0200
Expose `OvernightIndexedCouponPricer` (#2024)
commit 1c9494a1b5dd92fca4bde07ba0bf8b23a94eec70
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Aug 2024 15:35:03 +0200
Include instructions in deprecation warning
ql/experimental/averageois/averageoiscouponpricer.hpp | 11 +++--------
1 file changed, 3 insertions(+), 8 deletions(-)
commit 7b2e01913f49021cb9ec7c77838c6d0c43af8fac
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Aug 2024 15:34:25 +0200
Modernize a couple of initializations
ql/cashflows/overnightindexedcoupon.cpp | 26 +++++++++++---------------
1 file changed, 11 insertions(+), 15 deletions(-)
commit e5b882a855aa4bfb75c7e4278b2e385131b3069e
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Aug 2024 15:33:45 +0200
Fix typo and a few warnings
ql/cashflows/overnightindexedcoupon.cpp | 4 ++--
ql/cashflows/overnightindexedcoupon.hpp | 16 +++++++---------
2 files changed, 9 insertions(+), 11 deletions(-)
commit 2243398e3113b8c3d2b4b7a6958099e7dcea09b4
Merge: 855e7f44a 638cbf2a0
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Aug 2024 12:08:58 +0200
Add more warnings to W3 (#2048)
commit 638cbf2a0e1679ff954bc4ff4648e1394c564a25
Author: Jonathan Sweemer <[email protected]>
Date: Sat, 3 Aug 2024 09:20:38 +0900
Add more warnings to W3
cmake/Platform.cmake | 8 +++++++-
ql/math/integrals/exponentialintegrals.cpp | 2 --
ql/pricingengines/vanilla/analytichestonengine.cpp | 4 +++-
ql/time/ecb.cpp | 1 -
4 files changed, 10 insertions(+), 5 deletions(-)
commit 855e7f44aea6b5fe262108caa8461919576c0f6f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 5 Aug 2024 10:14:05 +0200
Fix or silence a few more tidy warnings
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
ql/instruments/makecds.cpp | 3 ++-
ql/pricingengines/swap/discretizedswap.cpp | 2 +-
test-suite/quantlibbenchmark.cpp | 6 +++---
test-suite/quantlibglobalfixture.cpp | 4 ++--
5 files changed, 9 insertions(+), 8 deletions(-)
commit c361cdf8f26780ca3b20edeea7c0b8648e44ae32
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 4 Aug 2024 03:58:48 +0000
Automated fixes by clang-tidy
ql/pricingengines/blackformula.cpp | 2 +-
test-suite/defaultprobabilitycurves.cpp | 1 +
2 files changed, 2 insertions(+), 1 deletion(-)
commit 0e83ab7d6b83fd3d6f286f0b4bb72a6411267276
Author: Luigi Ballabio <[email protected]>
Date: Thu, 1 Aug 2024 10:39:16 +0200
Check a couple of vector accesses
ql/timegrid.hpp | 7 ++++++-
1 file changed, 6 insertions(+), 1 deletion(-)