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ChangeLog.txt
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commit c3b52ca9e2101d7a908d1fbb449c9fbfb7d5aef3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.35 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 2f863fbd6545161c71cc9994534493554caf5b73
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 19 Jul 2024 11:14:18 +0200
Update news
Docs/pages/history.docs | 11 ++++++++---
News.md | 13 ++++++++++---
2 files changed, 18 insertions(+), 6 deletions(-)
commit 6d931d4c327a6a78e350263b87359a920afe0df9
Merge: d8d875307 52b76ef69
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 18 Jul 2024 12:09:53 +0200
Explicit type conversion in `additionalResults` (#2027)
commit 52b76ef69befc65a458e10cf49399eb21ec8f012
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Thu, 18 Jul 2024 07:37:50 +0000
Correct type conversion in additionalResults
ql/pricingengines/swaption/blackswaptionengine.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d8d87530741621c7e49ce6de204de0a24744abb1
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 17 Jul 2024 13:33:07 +0000
Automated fixes by clang-tidy
test-suite/quantlibbenchmark.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit ee934e43c10898e8aed39c5055966ac9f9e98ca0
Merge: 617a490bc c1241da7e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 17 Jul 2024 13:56:58 +0200
Optionally allow using forward price for swaption implied-volatility calculation (#2025)
commit c1241da7e2938daa45e36fdaf005d70716405008
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 17 Jul 2024 11:02:32 +0200
Allow forward price as additional result and in implied vol calculation
ql/instruments/swaption.cpp | 13 +++++++++----
ql/instruments/swaption.hpp | 4 +++-
test-suite/swaption.cpp | 28 ++++++++++++++++++++--------
3 files changed, 32 insertions(+), 13 deletions(-)
commit 351feff1a7ef9f686b7e2bab7bfd6cf21e1f2b81
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 17 Jul 2024 10:38:12 +0200
Add missing checks
ql/instruments/swaption.cpp | 3 ++-
ql/pricingengines/swaption/blackswaptionengine.hpp | 7 +++++--
2 files changed, 7 insertions(+), 3 deletions(-)
commit 6a0590cf3fe60e7c283d3b07d1f6b9291c1a2ad9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 17 Jul 2024 10:11:17 +0200
Swaption forward price as additional result from Black-like engines
ql/pricingengines/swaption/blackswaptionengine.hpp | 1 +
1 file changed, 1 insertion(+)
commit 617a490bc4bacf0eff8bd5f9bac13c0bd1b8a274
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Jul 2024 16:35:12 +0200
Fix comment
ql/methods/finitedifferences/boundarycondition.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a70094f5652857dd2c6edbf8280d65e234ee4ced
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 16 Jul 2024 11:26:06 +0000
Update copyright list in license
LICENSE.TXT | 2 ++
1 file changed, 2 insertions(+)
commit 435cfe70eb74c88c3ba4289774d69bc5d36d82f0
Merge: 5781ab269 47aa913ee
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Jul 2024 13:25:48 +0200
Separate validation from benchmarking run (#2021)
commit 47aa913eea8a18e624178a78dc45ba161c21d754
Author: Jacques du Toit <jadutoit@amd.com>
Date: Mon, 15 Jul 2024 12:33:43 +0000
Add copyright and separate validation from benchmarking
Validation run has very different characteristics from benchmarking
run. This produced unintuitive scaling results as number of threads
was kept fixed and problem size increased.
This patch separates validation from benchmarking and ensures that
validation time does not affect the benchmark results
test-suite/quantlibbenchmark.cpp | 86 +++++++++++++++++++++++++++-------------
1 file changed, 59 insertions(+), 27 deletions(-)
commit 5781ab26942731862cbd6966722ca9bca14335d6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 11 Jul 2024 10:11:46 +0200
Update news and contributors
Contributors.txt | 1 +
Docs/pages/history.docs | 1 +
News.md | 4 +++-
3 files changed, 5 insertions(+), 1 deletion(-)
commit 7d70bd1fcb43cc6b7413db947b396642cac59769
Merge: 87951d40a 830f4466c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 11 Jul 2024 10:07:46 +0200
Fix Brazilian holidays (São Paulo city holidays) (#2018)
commit 830f4466cc28d38d70940024c64745e5dbb6c5ad
Author: Lucas Dias <lucasgdias@gmail.com>
Date: Wed, 10 Jul 2024 18:00:13 -0300
fix municipal holidays
ql/time/calendars/brazil.cpp | 4 ++--
ql/time/calendars/brazil.hpp | 4 ++--
2 files changed, 4 insertions(+), 4 deletions(-)
commit 87951d40a29b257a834728e17396d48ae59de657
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.35-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 3edfeded74ba4b1be1db0be05a129f6361fb0999
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 9 Jul 2024 15:25:22 +0200
Update news and changelog
ChangeLog.txt | 2534 +++++++++++++++++++++--------------------------
Contributors.txt | 9 +-
Docs/pages/history.docs | 97 +-
News.md | 196 ++--
4 files changed, 1317 insertions(+), 1519 deletions(-)
commit 1378d4989810cfa5f8024bd3664d14c8fff2d583
Merge: 9e4ef24e8 4ded3b0be
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 9 Jul 2024 00:28:47 +0200
Allow for holidays at start or end of SOFR future periods (#2013)
commit 4ded3b0be598db893f423ef996fecf129e9f5f67
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 8 Jul 2024 21:29:55 +0200
Remove unused variables and include
ql/termstructures/yield/overnightindexfutureratehelper.cpp | 3 ---
1 file changed, 3 deletions(-)
commit 9e4ef24e8eeead97dff6edd8e3053d856d163a74
Merge: c812b7521 a886fe790
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 8 Jul 2024 20:41:18 +0200
Deprecate the correct `Currency::Data` constructor (#2014)
commit a886fe7905be337919adb9d41da699c638363a89
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 8 Jul 2024 14:31:16 +0200
Deprecate the correct constructor
ql/currencies/africa.cpp | 4 ++++
ql/currencies/america.cpp | 4 ++++
ql/currencies/asia.cpp | 4 ++++
ql/currencies/crypto.cpp | 5 +++++
ql/currencies/europe.cpp | 6 +++++-
ql/currencies/oceania.cpp | 4 ++++
ql/currency.hpp | 13 ++++++++-----
7 files changed, 34 insertions(+), 6 deletions(-)
commit 9536a5aab9c567d49cc3ec7e1b3d1205bdc20dfe
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 8 Jul 2024 13:20:39 +0200
Allow for holidays at start or end of SOFR future periods
ql/instruments/overnightindexfuture.cpp | 53 ++++++++++++++++------
.../yield/overnightindexfutureratehelper.cpp | 23 +++++-----
test-suite/sofrfutures.cpp | 14 ++++--
3 files changed, 59 insertions(+), 31 deletions(-)
commit c812b7521c2efab5450c32ce9c4f4a81731c4d7f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 7 Jul 2024 23:05:24 +0200
Upgrade checkout action in remaining CI builds
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit b4bb204c80da277a7cd6ca414467c91ba7a9ede2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 7 Jul 2024 23:02:06 +0200
Exclude from CI build images no longer supportable on GitHub runners
.github/workflows/linux-full-tests.yml | 20 --------------------
.github/workflows/linux-nondefault.yml | 20 --------------------
2 files changed, 40 deletions(-)
commit 9905e62495a6fcc4079d8ad305333086d1220cbd
Merge: 651b5be8c aa624e13b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 8 Jul 2024 11:45:59 +0200
Correct holidays of 2024 for Indian NSE calendar (#2010)
commit 275cb33856a08adb4d0702819e1ea550f6fa706b
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Tue, 4 Jun 2024 15:08:53 +0200
Add missing clearing holidays for NSE 2024
ql/time/calendars/india.cpp | 10 +++++++---
ql/time/calendars/india.hpp | 4 ++--
2 files changed, 9 insertions(+), 5 deletions(-)
commit 651b5be8cbf14f599221cbd8de918b17b17ddf96
Merge: a1a7cc86a db3c61221
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Jul 2024 23:05:19 +0200
Add `ext::tie` to use with `ext::tuple` (#2006)
commit a1a7cc86a27570496162a91084b1aa9480d17c32
Merge: 2c3f675ab df45b7abf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Jul 2024 23:03:27 +0200
Add `std::ostream` for `Compounding` enum (#2007)
commit df45b7abf111c813e6ec31359ae4cccc4cfe8825
Author: ralfkonrad <github@eckel-consulting.de>
Date: Tue, 2 Jul 2024 20:02:10 +0200
Add std::ostream for Compounding enum
ql/compounding.hpp | 18 +++++++++++++++++-
1 file changed, 17 insertions(+), 1 deletion(-)
commit db3c612218c9825958f039d958f1f75c79cb11e2
Author: ralfkonrad <github@eckel-consulting.de>
Date: Tue, 2 Jul 2024 19:55:09 +0200
Add ext::tie to use with ext::tuple
ql/tuple.hpp | 2 ++
1 file changed, 2 insertions(+)
commit 2c3f675ab2c798a7449a71e245391997f7a67b9f
Merge: 03e729447 fabef3bc9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Jul 2024 16:53:52 +0200
Rework bond example (#2005)
commit fabef3bc95ba6da63c2b4f209c6d7c019a9b670c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Jul 2024 11:55:29 +0200
Don't apply unary minus to unsigned
Examples/Bonds/Bonds.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c0681c4a74647540ffe04ca99a9baf792d4241d8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Jul 2024 11:27:34 +0200
Rework bond example
Examples/Bonds/Bonds.cpp | 595 +++++++++++++++++++----------------------------
1 file changed, 239 insertions(+), 356 deletions(-)
commit 03e7294472815ae0e1c9837586da2b87217553a9
Merge: 10b248265 cfe62ae78
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Jul 2024 08:48:19 +0200
Improve US GovernmentBond calendar (#2004)
commit cfe62ae78b0564cae13331f4b09908919042b8e3
Author: Eugene Toder <eltoder@twosigma.com>
Date: Mon, 1 Jul 2024 17:59:56 -0400
Improve US GovernmentBond calendar
Use a general NFP/SIFMA rule for Good Friday instead of hard-coding 3
specific years.
ql/time/calendars/unitedstates.cpp | 17 +++++++++++++----
1 file changed, 13 insertions(+), 4 deletions(-)
commit 10b248265a0ec1f5c4fd7f260a6f160025cb7c34
Merge: 747abcab7 fce2ead47
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 1 Jul 2024 17:32:00 +0200
Fix Chile holidays (#2003)
commit fce2ead47d50a2a50c355b3fb4329fbeeef77e79
Author: Eugene Toder <eltoder@twosigma.com>
Date: Fri, 28 Jun 2024 18:19:49 -0400
Fix Chile holidays
* Day of Aboriginal People is on the day of the Winter Solstice, which
is not always June 21th. (Except for 2021, when it was on June 21th
even though the solstice was on the 20th.)
* Add 2022-09-16, which was a day in lieu of Independence Day.
* Add 2018-01-16, which was a regional holiday for the Papal visit.
* Add 2017-04-19, which was a Census Day.
ql/time/calendar.cpp | 4 ++--
ql/time/calendars/chile.cpp | 36 +++++++++++++++++++++++++++++++++++-
ql/time/calendars/chile.hpp | 2 +-
3 files changed, 38 insertions(+), 4 deletions(-)
commit 747abcab7c718a35a9d851b96bb4170f6969a706
Merge: b6acb72f0 465625010
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 28 Jun 2024 09:33:28 +0200
OAS using nominal instead of percent price (#2001)
commit dff2ef498065ebb0a8f86beb259b56be317137a1
Author: HristoRaykov <hristocr@gmail.com>
Date: Thu, 27 Jun 2024 15:15:47 +0300
Test CallableBondOasWithDifferentNotinals refactored.
test-suite/callablebonds.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit b6acb72f07859e83a173e9fb8aa7c3f766c8808e
Merge: 0dda963e1 ab63a679b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 27 Jun 2024 10:22:47 +0200
Allow lookback days, lockout days and observation shift in OIS rate helpers (#1998)
commit a53a40ccc29af29bd1ed02af0694183c29024736
Author: HristoRaykov <hristocr@gmail.com>
Date: Wed, 26 Jun 2024 18:11:24 +0300
Callable bond OAS/cleanPriceOAS prices to/from notional conversion added.
ql/experimental/callablebonds/callablebond.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 1ee307360c1ca4c0efe2f1e6d3f5fcc4bb99bb0c
Author: HristoRaykov <hristocr@gmail.com>
Date: Wed, 26 Jun 2024 17:47:33 +0300
Test CallableBondOasWithDifferentNotinals added.
test-suite/callablebonds.cpp | 76 ++++++++++++++++++++++++++++++++++++++++++--
1 file changed, 74 insertions(+), 2 deletions(-)
commit ab63a679bb6e5ccbca4acb52d3e931324fb88b13
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 25 Jun 2024 22:41:28 +0200
Allow lookback days, lockout days and shift in OIS rate helpers
ql/termstructures/yield/oisratehelper.cpp | 23 +++--
ql/termstructures/yield/oisratehelper.hpp | 13 ++-
test-suite/overnightindexedswap.cpp | 144 ++++++++++++++++++++++++++++++
3 files changed, 173 insertions(+), 7 deletions(-)
commit 0dda963e1f06af24729edf979a190958b3178cdc
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 25 Jun 2024 10:27:55 +0000
Automated fixes by clang-tidy
test-suite/overnightindexedcoupon.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 37c84ff6add30222a0b20b0dffd3c8805201b944
Merge: 3b597c63d 3eac73c93
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 24 Jun 2024 21:30:06 +0200
Expose an IBOR coupon's decision about whether it has fixed or not (#1781)
commit 3b597c63d933ce62e89e0938993452abdb70f135
Merge: da4560c3a b1bcae228
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 24 Jun 2024 18:07:47 +0200
Account for possible date adjustments (e.g. on Juneteenth) in SOFR rate helper (#1996)
commit 3eac73c93092666747377b0af4042dfcdd5e39fe
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 24 Jun 2024 18:05:18 +0200
No need to restore settings; each test case does that automatically
test-suite/cashflows.cpp | 19 +++++++------------
1 file changed, 7 insertions(+), 12 deletions(-)
commit da4560c3a5fb37ba82dcb725e48a7652fd432709
Merge: c7b410949 aada1990f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 24 Jun 2024 14:37:53 +0200
Add lookback and lockout to the overnight coupon (#1985)
commit b1bcae2288062166b5e184d86a0f4215893dfff3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 24 Jun 2024 14:37:17 +0200
Fix test case name
test-suite/sofrfutures.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit aada1990ff56ba9588ef9bfe44471f5ff6e4db36
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 24 Jun 2024 11:41:19 +0200
Rename method
ql/cashflows/overnightindexedcoupon.cpp | 2 +-
ql/cashflows/overnightindexedcoupon.hpp | 2 +-
ql/instruments/makeois.cpp | 3 ++-
ql/instruments/makeois.hpp | 2 +-
ql/instruments/overnightindexedswap.cpp | 2 +-
5 files changed, 6 insertions(+), 5 deletions(-)
commit 1cf9e8ed07bb07451fac782d20feaac4b044ffce
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 24 Jun 2024 11:29:59 +0200
Account for possible adjustments (e.g. on Juneteenth)
.../yield/overnightindexfutureratehelper.cpp | 14 ++--
test-suite/sofrfutures.cpp | 74 ++++++++++++++++++----
2 files changed, 67 insertions(+), 21 deletions(-)
commit 1824e072a12f125d984e54892bfeaf499cc87fbb
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 24 Jun 2024 10:03:44 +0200
Propagated changes to the overnight indexed swap class.
ql/instruments/makeois.cpp | 17 ++++++++++++-
ql/instruments/makeois.hpp | 7 ++++++
ql/instruments/overnightindexedswap.cpp | 44 ++++++++++++++++++++++++++-------
ql/instruments/overnightindexedswap.hpp | 26 ++++++++++++++++---
4 files changed, 80 insertions(+), 14 deletions(-)
commit c7b410949cf88f607a0257f98f2934d6d68fafc3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 23 Jun 2024 16:58:06 +0200
Move test into the fast section
test-suite/libormarketmodel.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ce85bb5056ed19c306ab433d2dedac83cc7843f2
Merge: b8ad67a94 63d2e45a7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 23 Jun 2024 17:12:46 +0200
Actually deprecate method deprecated only in comment (#1995)
commit 63d2e45a783cbb20df429a9f944893e98b7768ac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 22 Jun 2024 18:06:06 +0200
Actually deprecate method deprecated only in comment
ql/cashflows/cashflows.hpp | 5 ++++-
ql/pricingengines/bond/bondfunctions.cpp | 2 +-
2 files changed, 5 insertions(+), 2 deletions(-)
commit b8ad67a940cd4c757ccdceb1864836aa83b40a64
Merge: 0a34fa0ef 1c9e21ce9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 20 Jun 2024 19:52:34 +0200
Add values for configuration #defines when using cmake (#1993)
commit 0a34fa0efcf525c540218b8a043b05cf0799433b
Merge: 87707701a c79c8e0b2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 20 Jun 2024 16:09:05 +0200
Add possibility to reset guess in fitted bond curves (#1992)
commit 1c9e21ce9b305d34f9e067bbe9cdc3059c9acea5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 20 Jun 2024 15:23:58 +0200
Add values for configuration #defines
ql/config.hpp.cfg | 34 +++++++++++++++++-----------------
1 file changed, 17 insertions(+), 17 deletions(-)
commit c79c8e0b25f10ef0292e02cc16cb8d48a740ac30
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 20 Jun 2024 12:51:32 +0200
Add check on guess size for fitted bond curves
.../yield/fittedbonddiscountcurve.cpp | 1 +
test-suite/fittedbonddiscountcurve.cpp | 28 ++++++++++++++++++++++
2 files changed, 29 insertions(+)
commit 5a22e175be20e29c3a35718fa4ba884a45490d23
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 20 Jun 2024 12:07:15 +0200
Add possibility to reset guess in fitted bond curves
ql/termstructures/yield/fittedbonddiscountcurve.cpp | 7 +++++++
ql/termstructures/yield/fittedbonddiscountcurve.hpp | 6 ++++++
test-suite/fittedbonddiscountcurve.cpp | 21 +++++++++++++++++++--
3 files changed, 32 insertions(+), 2 deletions(-)
commit 1adc5df68b177f2710cd642af5740b0c173fdb8a
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Sat, 15 Jun 2024 15:59:36 +0200
Renamed unit test for clarity.
test-suite/overnightindexedcoupon.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 0bbba1b218e344183a353fe9b12a14069c4fe194
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Sat, 15 Jun 2024 15:35:05 +0200
Removed unused variables.
ql/cashflows/overnightindexedcoupon.cpp | 4 ----
1 file changed, 4 deletions(-)
commit 399f98c21bf12bb1865960792bd7f1ec9e1b7e69
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Sat, 15 Jun 2024 15:32:29 +0200
Encapsulated a check for applying telescopic formula.
ql/cashflows/overnightindexedcoupon.cpp | 5 ++---
ql/cashflows/overnightindexedcoupon.hpp | 13 +++++++++++++
2 files changed, 15 insertions(+), 3 deletions(-)
commit a13363a565dfebdb110ea992db4fa289bd64b24a
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 14 Jun 2024 18:51:09 +0200
Added observation shift check when telescopic value dates flag is set to true.
ql/cashflows/overnightindexedcoupon.cpp | 5 +++--
test-suite/overnightindexedcoupon.cpp | 12 +++++++++---
2 files changed, 12 insertions(+), 5 deletions(-)
commit 9fc5c051b8990d1e0c2bb676c02fa2d72222ef22
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 14 Jun 2024 18:25:49 +0200
Implemented PR feedback.
ql/cashflows/overnightindexedcoupon.cpp | 12 ++++++++---
test-suite/overnightindexedcoupon.cpp | 38 +++++++++++++++++++++++++++++++++
2 files changed, 47 insertions(+), 3 deletions(-)
commit f9c5f08340b2fb9011cde925cb4e7e140cd8cf3c
Author: Tom Anderson <twic@urchin.earth.li>
Date: Fri, 14 Jun 2024 15:32:54 +0100
Simplify getting the fixing for an IBOR coupon by first checking if it has fixed or not
ql/cashflows/iborcoupon.cpp | 25 +++----------------------
1 file changed, 3 insertions(+), 22 deletions(-)
commit 33fcd3181501119a49fca60b43ca8f8db43244f4
Author: Tom Anderson <twic@urchin.earth.li>
Date: Fri, 14 Jun 2024 14:40:08 +0100
Add a method to determine whether an IBOR coupon has fixed or not
ql/cashflows/iborcoupon.cpp | 18 +++++++++++++-
ql/cashflows/iborcoupon.hpp | 1 +
test-suite/cashflows.cpp | 60 +++++++++++++++++++++++++++++++++++++++++++++
3 files changed, 78 insertions(+), 1 deletion(-)
commit 87707701a59f3be1054b69cb9cac523ecc3610c5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 9 Jun 2024 13:53:03 +0200
Update required MSVC toolset in CI builds
.github/workflows/cmake.yml | 18 +++++++++++++++---
.github/workflows/msvc-all-configs.yml | 9 ---------
.github/workflows/msvc-nondefault.yml | 9 ---------
.github/workflows/msvc.yml | 9 ---------
4 files changed, 15 insertions(+), 30 deletions(-)
commit 68d2675fc80424a86e96697b68bf4dcbcc7dde4c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 3 Jun 2024 10:06:26 +0200
Remove past non-LTS image from default CI build
.github/workflows/linux.yml | 6 ------
1 file changed, 6 deletions(-)
commit 0a40da24c5f7480d2764a2933f711769bccb9bdd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 3 Jun 2024 09:54:58 +0200
Upgrade default image to Ubuntu noble in CI builds
.github/workflows/devenv-images.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e36f57e16b799e15a8b893c0dc579d3a3a34da3d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 3 Jun 2024 09:46:07 +0200
Use Ubuntu noble to test gcc 13 in CI build
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 0e8fc00490ad63cd463209c4fa5c67caad8606c7
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 31 May 2024 16:32:46 +0200
Changed inspector description.
ql/cashflows/overnightindexedcoupon.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e11214866f4658b92d0c86b1304bfd853133106c
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 31 May 2024 10:26:22 +0200
Refined comments.
ql/cashflows/overnightindexedcoupon.cpp | 5 ++++-
test-suite/overnightindexedcoupon.cpp | 24 +++++++++++++++++++++---
2 files changed, 25 insertions(+), 4 deletions(-)
commit 01d4e1449aa5fdd56859c82836e9b24df1087858
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 31 May 2024 10:15:26 +0200
Added new parameters to leg builder.
ql/cashflows/overnightindexedcoupon.cpp | 27 ++++++++++++++++++++++++---
ql/cashflows/overnightindexedcoupon.hpp | 8 +++++++-
test-suite/overnightindexedcoupon.cpp | 30 ++++++++++++++++++++----------
3 files changed, 51 insertions(+), 14 deletions(-)
commit 455f2de47621e667ab2792ff0c41a2de78b6fe81
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 31 May 2024 09:16:47 +0200
Further rearrangements of code for future fixings.
ql/cashflows/overnightindexedcoupon.cpp | 23 ++++++++++----------
test-suite/overnightindexedcoupon.cpp | 37 ++++++++++++++++++++++++++++++++-
2 files changed, 48 insertions(+), 12 deletions(-)
commit b9d94cad2d6eb0bb74621d2644e342a6a6aa26c7
Merge: 4afdf27db 94456f4bb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 30 May 2024 16:28:18 +0200
Add missing method to fallback class implementation (#1984)
commit 4afdf27db4614eaf82a5d75e33963d6b4c79a55e
Merge: b9815104e a19e2ec88
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 30 May 2024 12:27:38 +0200
Deprecate RelinkableHandle constructor taking a raw pointer (#1978)
commit 94456f4bbd572ffa75e247e50d4d087428fa12e1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 30 May 2024 11:37:17 +0200
Add missing method to fallback class implementation
ql/math/integrals/expsinhintegral.hpp | 4 ++++
1 file changed, 4 insertions(+)
commit a19e2ec8867ddad4327cbb62d5486e0bcaf5e189
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 30 May 2024 10:59:23 +0200
Forward lvalue and rvalue refs as far as possible
ql/handle.hpp | 25 ++++++++++++++++++++-----
1 file changed, 20 insertions(+), 5 deletions(-)
commit fe55b285a8ccbf9b61f2e8664bef925e9bc95703
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Thu, 23 May 2024 21:19:09 +0900
Deprecate RelinkableHandle constructor taking a raw pointer
ql/handle.hpp | 31 ++++++++++++++++++++++++++-----
1 file changed, 26 insertions(+), 5 deletions(-)
commit b9815104e787febc7e7483f92d79e0df52468b46
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 28 May 2024 19:48:46 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 10895673ed991ca96c432387bd64cebf0338b6fd
Merge: 02426c0f7 a4d5392c4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 28 May 2024 21:48:30 +0200
Adding `ZigguratGaussianRng<RNG>` (#1981)
commit a4d5392c4e4ad5606cb0562e5462012d79a3c251
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 28 May 2024 17:30:14 +0200
Minor refactorings
ql/math/randomnumbers/zigguratgaussianrng.hpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 49cefdff0038c5bc653afffd3349a60829032189
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 28 May 2024 17:19:28 +0200
Renaming to testStatisticsOfNextReal
test-suite/zigguratgaussian.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c1e5c0bb700b495e48d78148e3e4f494c5927308
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 28 May 2024 17:13:34 +0200
Using IncrementalStatistics instead of boost::accumulators
test-suite/zigguratgaussian.cpp | 26 ++++++++------------------
1 file changed, 8 insertions(+), 18 deletions(-)
commit 02426c0f7ca68977ede5d98bb98380f5b1f772a5
Merge: ba3681022 04ca4e760
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 28 May 2024 17:00:52 +0200
Revert "Pass Handle by value and move" (#1980)
commit 04ca4e760340e08b5c429e8d95efef30e5687359
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 28 May 2024 15:35:57 +0200
Restore changes where parameter is actually copied
ql/indexes/bmaindex.cpp | 6 +++---
ql/indexes/bmaindex.hpp | 2 +-
2 files changed, 4 insertions(+), 4 deletions(-)
commit 41cf9600ab9e54fccfc7d30477e824b8938941f4
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 28 May 2024 14:48:19 +0200
Added zigguratgaussian.cpp to testsuite/Makefile.am
test-suite/Makefile.am | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit e0ed843a811a3929c51b0de434f63a8a07fa7522
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 28 May 2024 14:39:08 +0200
Added new files to VS projects
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
test-suite/testsuite.vcxproj | 1 +
test-suite/testsuite.vcxproj.filters | 3 +++
4 files changed, 8 insertions(+)
commit c5215920746d0a6448d7a81fd13e34eead21c8fe
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Tue, 28 May 2024 21:37:21 +0900
Revert "Pass Handle by value and move"
This reverts commit ed32de77589f0d0dea5b7cd1db35e7831080e8ba.
ql/indexes/bmaindex.cpp | 6 +-
ql/indexes/bmaindex.hpp | 2 +-
ql/indexes/equityindex.cpp | 14 ++---
ql/indexes/equityindex.hpp | 10 ++--
ql/indexes/ibor/aonia.hpp | 4 +-
ql/indexes/ibor/audlibor.hpp | 4 +-
ql/indexes/ibor/bbsw.hpp | 28 ++++-----
ql/indexes/ibor/bibor.cpp | 5 +-
ql/indexes/ibor/bibor.hpp | 31 +++++-----
ql/indexes/ibor/bkbm.hpp | 29 ++++-----
ql/indexes/ibor/cadlibor.hpp | 8 +--
ql/indexes/ibor/cdor.hpp | 4 +-
ql/indexes/ibor/chflibor.hpp | 8 +--
ql/indexes/ibor/corra.cpp | 6 +-
ql/indexes/ibor/corra.hpp | 2 +-
ql/indexes/ibor/destr.hpp | 4 +-
ql/indexes/ibor/dkklibor.hpp | 4 +-
ql/indexes/ibor/eonia.cpp | 4 +-
ql/indexes/ibor/eonia.hpp | 2 +-
ql/indexes/ibor/estr.cpp | 4 +-
ql/indexes/ibor/estr.hpp | 2 +-
ql/indexes/ibor/euribor.cpp | 8 +--
ql/indexes/ibor/euribor.hpp | 126 +++++++++++++++++++--------------------
ql/indexes/ibor/eurlibor.cpp | 8 +--
ql/indexes/ibor/eurlibor.hpp | 64 ++++++++++----------
ql/indexes/ibor/fedfunds.cpp | 4 +-
ql/indexes/ibor/fedfunds.hpp | 2 +-
ql/indexes/ibor/gbplibor.hpp | 12 ++--
ql/indexes/ibor/jibar.hpp | 4 +-
ql/indexes/ibor/jpylibor.hpp | 8 +--
ql/indexes/ibor/libor.cpp | 21 +++----
ql/indexes/ibor/libor.hpp | 10 ++--
ql/indexes/ibor/mosprime.hpp | 4 +-
ql/indexes/ibor/nzdlibor.hpp | 4 +-
ql/indexes/ibor/nzocr.hpp | 4 +-
ql/indexes/ibor/pribor.hpp | 4 +-
ql/indexes/ibor/robor.hpp | 4 +-
ql/indexes/ibor/seklibor.hpp | 4 +-
ql/indexes/ibor/shibor.cpp | 10 ++--
ql/indexes/ibor/shibor.hpp | 4 +-
ql/indexes/ibor/sofr.cpp | 4 +-
ql/indexes/ibor/sofr.hpp | 2 +-
ql/indexes/ibor/sonia.cpp | 4 +-
ql/indexes/ibor/sonia.hpp | 2 +-
ql/indexes/ibor/swestr.hpp | 4 +-
ql/indexes/ibor/thbfix.hpp | 4 +-
ql/indexes/ibor/tibor.hpp | 4 +-
ql/indexes/ibor/tona.hpp | 4 +-
ql/indexes/ibor/trlibor.hpp | 5 +-
ql/indexes/ibor/usdlibor.hpp | 12 ++--
ql/indexes/ibor/wibor.hpp | 4 +-
ql/indexes/ibor/zibor.hpp | 4 +-
ql/indexes/iborindex.cpp | 22 +++----
ql/indexes/iborindex.hpp | 11 ++--
ql/indexes/inflation/aucpi.hpp | 12 ++--
ql/indexes/inflation/euhicp.hpp | 20 +++----
ql/indexes/inflation/frhicp.hpp | 12 ++--
ql/indexes/inflation/ukhicp.hpp | 4 +-
ql/indexes/inflation/ukrpi.hpp | 12 ++--
ql/indexes/inflation/uscpi.hpp | 12 ++--
ql/indexes/inflation/zacpi.hpp | 12 ++--
ql/indexes/inflationindex.cpp | 26 ++++----
ql/indexes/inflationindex.hpp | 10 ++--
ql/indexes/swap/chfliborswap.cpp | 16 ++---
ql/indexes/swap/chfliborswap.hpp | 6 +-
ql/indexes/swap/euriborswap.cpp | 48 +++++++--------
ql/indexes/swap/euriborswap.hpp | 18 +++---
ql/indexes/swap/eurliborswap.cpp | 48 +++++++--------
ql/indexes/swap/eurliborswap.hpp | 18 +++---
ql/indexes/swap/gbpliborswap.cpp | 16 ++---
ql/indexes/swap/gbpliborswap.hpp | 6 +-
ql/indexes/swap/jpyliborswap.cpp | 24 ++++----
ql/indexes/swap/jpyliborswap.hpp | 12 ++--
ql/indexes/swap/usdliborswap.cpp | 24 ++++----
ql/indexes/swap/usdliborswap.hpp | 12 ++--
ql/indexes/swapindex.cpp | 30 +++++-----
ql/indexes/swapindex.hpp | 12 ++--
77 files changed, 496 insertions(+), 486 deletions(-)
commit 301ab531d8db686bd1d76ffd6addc45f95cbaab0
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 28 May 2024 14:16:37 +0200
Added zigguratgaussianrng.hpp to Makefile build
ql/math/randomnumbers/Makefile.am | 3 ++-
ql/math/randomnumbers/all.hpp | 1 +
2 files changed, 3 insertions(+), 1 deletion(-)
commit c9ffd858fc9f1bf734624c0c65f9de62ec17c9ef
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 28 May 2024 14:13:32 +0200
Re-enable all workflows
.github/workflows/cmake.yml | 98 ++++++++++++++
.github/workflows/codeql-analysis.yml | 52 ++++++++
.github/workflows/copyrights.yml | 21 +++
.github/workflows/coveralls.yml | 41 ++++++
.github/workflows/devenv-images.yml | 42 ++++++
.github/workflows/doxygen.yml | 28 ++++
.github/workflows/filelists.yml | 19 +++
.github/workflows/generated-headers.yml | 32 +++++
.github/workflows/headers.yml | 25 ++++
.github/workflows/linux-full-tests.yml | 224 ++++++++++++++++++++++++++++++++
.github/workflows/linux-nondefault.yml | 178 +++++++++++++++++++++++++
.github/workflows/linux.yml | 169 ++++++++++++++++++++++++
.github/workflows/macos-nondefault.yml | 38 ++++++
.github/workflows/macos.yml | 38 ++++++
.github/workflows/misspell.yml | 19 +++
.github/workflows/msvc-all-configs.yml | 68 ++++++++++
.github/workflows/msvc-analysis.yml | 53 ++++++++
.github/workflows/msvc-nondefault.yml | 66 ++++++++++
.github/workflows/msvc.yml | 61 +++++++++
.github/workflows/sanitizer.yml | 44 +++++++
.github/workflows/stale.yml | 22 ++++
.github/workflows/test-times.yml | 42 ++++++
.github/workflows/tidy.yml | 32 +++++
23 files changed, 1412 insertions(+)
commit a15b6d45418e27cb487c442c478a5b4766a50933
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 28 May 2024 14:03:11 +0200
Fixed formatting in CMakeLists.txt
ql/CMakeLists.txt | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7976d3493c48797255b5516d4ac65b0c8f732b08
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 28 May 2024 13:58:02 +0200
Fixed bug std::fabs(u) < normX(i + 1) to std::fabs(x) < normX(i + 1) and added some comments
ql/math/randomnumbers/zigguratgaussianrng.hpp | 28 +++++++++------------
test-suite/zigguratgaussian.cpp | 35 +++++++++------------------
2 files changed, 23 insertions(+), 40 deletions(-)
commit 9e47a6d488f6b8cba9568bff908fc966d5aa8e3b
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Tue, 28 May 2024 11:27:34 +0200
Rearranged the conditions when lookback and lockout are applied.
ql/cashflows/overnightindexedcoupon.cpp | 86 ++++++++++++++++++++++-----------
test-suite/overnightindexedcoupon.cpp | 57 +++++++++++++++++++++-
2 files changed, 112 insertions(+), 31 deletions(-)
commit 4c2248ae1eda5e205c50c2f4547b2030f8f443d9
Author: Marcin Rybacki <m.rybacki@basispoint.io>