From 17883f220952299fd20bf4caa047bad1b43a4f1d Mon Sep 17 00:00:00 2001
From: Peter Caspers <peter.caspers@acadia.inc>
Date: Sat, 26 Aug 2023 19:53:28 +0200
Subject: [PATCH 01/95] fix handling of past payment dates, add missing include

---
 ql/cashflows/lineartsrpricer.cpp | 72 ++++++++++++++++++--------------
 ql/cashflows/lineartsrpricer.hpp |  4 +-
 2 files changed, 44 insertions(+), 32 deletions(-)

diff --git a/ql/cashflows/lineartsrpricer.cpp b/ql/cashflows/lineartsrpricer.cpp
index 687a93b0667..4ece4cb19e2 100644
--- a/ql/cashflows/lineartsrpricer.cpp
+++ b/ql/cashflows/lineartsrpricer.cpp
@@ -27,6 +27,7 @@
 #include <ql/cashflows/lineartsrpricer.hpp>
 #include <ql/indexes/iborindex.hpp>
 #include <ql/instruments/vanillaswap.hpp>
+#include <ql/instruments/overnightindexedswap.hpp>
 #include <ql/math/integrals/kronrodintegral.hpp>
 #include <ql/math/solvers1d/brent.hpp>
 #include <ql/pricingengines/blackformula.hpp>
@@ -122,24 +123,42 @@ namespace QuantLib {
 
         today_ = QuantLib::Settings::instance().evaluationDate();
 
-        if (paymentDate_ > today_ && !couponDiscountCurve_.empty())
-            couponDiscountRatio_ =
-                couponDiscountCurve_->discount(paymentDate_) /
-                discountCurve_->discount(paymentDate_);
-        else
-            couponDiscountRatio_ = 1.;
+        Real couponCurvePaymentDiscount;
+        if (!couponDiscountCurve_.empty() && paymentDate_ > couponDiscountCurve_->referenceDate()) {
+            couponCurvePaymentDiscount = couponDiscountCurve_->discount(paymentDate_);
+        } else {
+            couponCurvePaymentDiscount = 1.0;
+        }
+
+        if (paymentDate_ > discountCurve_->referenceDate()) {
+            discountCurvePaymentDiscount_ = discountCurve_->discount(paymentDate_);
+        } else {
+            discountCurvePaymentDiscount_ = 1.0;
+        }
 
-        spreadLegValue_ = spread_ * coupon_->accrualPeriod() *
-                          discountCurve_->discount(paymentDate_) *
+
+        couponDiscountRatio_ = couponCurvePaymentDiscount / discountCurvePaymentDiscount_;
+
+        spreadLegValue_ = spread_ * coupon_->accrualPeriod() * discountCurvePaymentDiscount_ *
                           couponDiscountRatio_;
 
         if (fixingDate_ > today_) {
 
             swapTenor_ = swapIndex_->tenor();
-            swap_ = swapIndex_->underlyingSwap(fixingDate_);
 
-            swapRateValue_ = swap_->fairRate();
-            annuity_ = 1.0E4 * std::fabs(swap_->fixedLegBPS());
+            Leg swapFixedLeg;
+            if(auto on = boost::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_)) {
+                onSwap_ = on->underlyingSwap(fixingDate_);
+                swapRateValue_ = onSwap_->fairRate();
+                annuity_ = 1.0E4 * std::fabs(onSwap_->fixedLegBPS());
+                swapFixedLeg = onSwap_->fixedLeg();
+            }
+            else {
+                swap_ = swapIndex_->underlyingSwap(fixingDate_);
+                swapRateValue_ = swap_->fairRate();
+                annuity_ = 1.0E4 * std::fabs(swap_->fixedLegBPS());
+                swapFixedLeg = swap_->fixedLeg();
+            }
 
             ext::shared_ptr<SmileSection> sectionTmp =
                 swaptionVolatility()->smileSection(fixingDate_, swapTenor_);
@@ -169,7 +188,7 @@ namespace QuantLib {
             // compute linear model's parameters
 
             Real gx = 0.0, gy = 0.0;
-            for (const auto& i : swap_->fixedLeg()) {
+            for (const auto& i : swapFixedLeg) {
                 ext::shared_ptr<Coupon> c = ext::dynamic_pointer_cast<Coupon>(i);
                 Real yf = c->accrualPeriod();
                 Date d = c->date();
@@ -179,7 +198,7 @@ namespace QuantLib {
             }
 
             Real gamma = gx / gy;
-            Date lastd = swap_->fixedLeg().back()->date();
+            Date lastd = swapFixedLeg.back()->date();
 
             a_ = discountCurve_->discount(paymentDate_) *
                  (gamma - GsrG(paymentDate_)) /
@@ -360,8 +379,7 @@ namespace QuantLib {
 
     Rate LinearTsrPricer::swapletRate() const {
         return swapletPrice() /
-               (coupon_->accrualPeriod() *
-                discountCurve_->discount(paymentDate_) * couponDiscountRatio_);
+               (coupon_->accrualPeriod() * discountCurvePaymentDiscount_ * couponDiscountRatio_);
     }
 
     Real LinearTsrPricer::capletPrice(Rate effectiveCap) const {
@@ -370,10 +388,8 @@ namespace QuantLib {
             // the fixing is determined
             const Rate Rs = std::max(
                 coupon_->swapIndex()->fixing(fixingDate_) - effectiveCap, 0.);
-            Rate price =
-                (gearing_ * Rs) *
-                (coupon_->accrualPeriod() *
-                 discountCurve_->discount(paymentDate_) * couponDiscountRatio_);
+            Rate price = (gearing_ * Rs) * (coupon_->accrualPeriod() *
+                                            discountCurvePaymentDiscount_ * couponDiscountRatio_);
             return price;
         } else {
             Real capletPrice = optionletPrice(Option::Call, effectiveCap);
@@ -383,8 +399,7 @@ namespace QuantLib {
 
     Rate LinearTsrPricer::capletRate(Rate effectiveCap) const {
         return capletPrice(effectiveCap) /
-               (coupon_->accrualPeriod() *
-                discountCurve_->discount(paymentDate_) * couponDiscountRatio_);
+               (coupon_->accrualPeriod() * discountCurvePaymentDiscount_ * couponDiscountRatio_);
     }
 
     Real LinearTsrPricer::floorletPrice(Rate effectiveFloor) const {
@@ -393,10 +408,8 @@ namespace QuantLib {
             // the fixing is determined
             const Rate Rs = std::max(
                 effectiveFloor - coupon_->swapIndex()->fixing(fixingDate_), 0.);
-            Rate price =
-                (gearing_ * Rs) *
-                (coupon_->accrualPeriod() *
-                 discountCurve_->discount(paymentDate_) * couponDiscountRatio_);
+            Rate price = (gearing_ * Rs) * (coupon_->accrualPeriod() *
+                                            discountCurvePaymentDiscount_ * couponDiscountRatio_);
             return price;
         } else {
             Real floorletPrice = optionletPrice(Option::Put, effectiveFloor);
@@ -406,8 +419,7 @@ namespace QuantLib {
 
     Rate LinearTsrPricer::floorletRate(Rate effectiveFloor) const {
         return floorletPrice(effectiveFloor) /
-               (coupon_->accrualPeriod() *
-                discountCurve_->discount(paymentDate_) * couponDiscountRatio_);
+               (coupon_->accrualPeriod() * discountCurvePaymentDiscount_ * couponDiscountRatio_);
     }
 
     Real LinearTsrPricer::swapletPrice() const {
@@ -416,14 +428,12 @@ namespace QuantLib {
             const Rate Rs = coupon_->swapIndex()->fixing(fixingDate_);
             Rate price =
                 (gearing_ * Rs + spread_) *
-                (coupon_->accrualPeriod() *
-                 discountCurve_->discount(paymentDate_) * couponDiscountRatio_);
+                (coupon_->accrualPeriod() * discountCurvePaymentDiscount_ * couponDiscountRatio_);
             return price;
         } else {
             Real atmCapletPrice = optionletPrice(Option::Call, swapRateValue_);
             Real atmFloorletPrice = optionletPrice(Option::Put, swapRateValue_);
-            return gearing_ * (coupon_->accrualPeriod() *
-                                   discountCurve_->discount(paymentDate_) *
+            return gearing_ * (coupon_->accrualPeriod() * discountCurvePaymentDiscount_ *
                                    swapRateValue_ * couponDiscountRatio_ +
                                atmCapletPrice - atmFloorletPrice) +
                    spreadLegValue_;
diff --git a/ql/cashflows/lineartsrpricer.hpp b/ql/cashflows/lineartsrpricer.hpp
index 54a8a8aaa35..eda7b3d49c8 100644
--- a/ql/cashflows/lineartsrpricer.hpp
+++ b/ql/cashflows/lineartsrpricer.hpp
@@ -233,10 +233,12 @@ namespace QuantLib {
         Real gearing_, spread_;
 
         Period swapTenor_;
-        Real spreadLegValue_, swapRateValue_, couponDiscountRatio_, annuity_;
+        Real spreadLegValue_, swapRateValue_, couponDiscountRatio_, discountCurvePaymentDiscount_,
+            annuity_;
 
         ext::shared_ptr<SwapIndex> swapIndex_;
         ext::shared_ptr<VanillaSwap> swap_;
+        ext::shared_ptr<OvernightIndexedSwap> onSwap_;
         ext::shared_ptr<SmileSection> smileSection_;
 
         Settings settings_;

From d2cff826c49bf8c6e7e28becca0ba29da499c378 Mon Sep 17 00:00:00 2001
From: Peter Caspers <peter.caspers@acadia.inc>
Date: Sat, 26 Aug 2023 20:10:14 +0200
Subject: [PATCH 02/95] fix namespace

---
 ql/cashflows/lineartsrpricer.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/cashflows/lineartsrpricer.cpp b/ql/cashflows/lineartsrpricer.cpp
index 4ece4cb19e2..da07bc46d6e 100644
--- a/ql/cashflows/lineartsrpricer.cpp
+++ b/ql/cashflows/lineartsrpricer.cpp
@@ -147,7 +147,7 @@ namespace QuantLib {
             swapTenor_ = swapIndex_->tenor();
 
             Leg swapFixedLeg;
-            if(auto on = boost::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_)) {
+            if(auto on = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_)) {
                 onSwap_ = on->underlyingSwap(fixingDate_);
                 swapRateValue_ = onSwap_->fairRate();
                 annuity_ = 1.0E4 * std::fabs(onSwap_->fixedLegBPS());

From 905d8fe5d0cd001a8e89a8eaa327fa6aa07a6f23 Mon Sep 17 00:00:00 2001
From: JZ <135723295+jez6@users.noreply.github.com>
Date: Thu, 16 Nov 2023 17:48:29 -0500
Subject: [PATCH 03/95] Build/install pkgconfig files in CMake builds

- Generate and install quantlib.pc in addition to quantlib-config
  as part of CMake builds

Issues: jez6/QuantLib#1
---
 CMakeLists.txt | 3 +++
 1 file changed, 3 insertions(+)

diff --git a/CMakeLists.txt b/CMakeLists.txt
index 05418566772..8e3ed321119 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -230,6 +230,9 @@ set(exec_prefix "\${prefix}")
 set(includedir "\${prefix}/include")
 set(libdir "\${exec_prefix}/lib")
 configure_file(quantlib-config.in quantlib-config @ONLY)
+configure_file(quantlib.pc.in quantlib.pc @ONLY)
+install(PROGRAMS ${CMAKE_CURRENT_BINARY_DIR}/quantlib-config TYPE BIN)
+install(PROGRAMS ${CMAKE_CURRENT_BINARY_DIR}/quantlib.pc DESTINATION lib/pkgconfig)
 
 include(Platform)
 

From 22d077080177125894fbad30ec91b5aa7c9b0434 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Wed, 8 Feb 2023 10:58:32 -0500
Subject: [PATCH 04/95] allow swaptions to take OvernightIndexedSwap

---
 ql/cashflows/overnightindexedcoupon.cpp       |  2 +-
 ql/cashflows/overnightindexedcoupon.hpp       |  3 +
 ql/experimental/basismodels/swaptioncfs.cpp   |  2 +-
 ql/experimental/basismodels/swaptioncfs.hpp   |  2 +-
 .../basismodels/tenorswaptionvts.cpp          | 13 ++--
 ql/instruments/nonstandardswap.cpp            |  2 +-
 ql/instruments/nonstandardswap.hpp            |  4 +-
 ql/instruments/swaption.cpp                   | 10 +--
 ql/instruments/swaption.hpp                   | 12 +--
 .../libormarketmodels/lfmswaptionengine.cpp   | 17 ++---
 .../fdmaffinemodelswapinnervalue.hpp          | 26 +++----
 .../calibrationhelpers/swaptionhelper.cpp     | 76 ++++++++++++-------
 .../calibrationhelpers/swaptionhelper.hpp     | 22 ++++--
 .../swaption/blackswaptionengine.hpp          | 50 ++++++------
 .../swaption/g2swaptionengine.hpp             | 10 +--
 .../swaption/gaussian1dswaptionengine.cpp     |  6 +-
 16 files changed, 148 insertions(+), 109 deletions(-)

diff --git a/ql/cashflows/overnightindexedcoupon.cpp b/ql/cashflows/overnightindexedcoupon.cpp
index 877ce8422b3..03c0af0a4b6 100644
--- a/ql/cashflows/overnightindexedcoupon.cpp
+++ b/ql/cashflows/overnightindexedcoupon.cpp
@@ -153,7 +153,7 @@ namespace QuantLib {
                          overnightIndex,
                          gearing, spread,
                          refPeriodStart, refPeriodEnd,
-                         dayCounter, false) {
+                         dayCounter, false), averagingMethod_(averagingMethod) {
 
         // value dates
         Date tmpEndDate = endDate;
diff --git a/ql/cashflows/overnightindexedcoupon.hpp b/ql/cashflows/overnightindexedcoupon.hpp
index c13113996f6..8c0d2cf6b6d 100644
--- a/ql/cashflows/overnightindexedcoupon.hpp
+++ b/ql/cashflows/overnightindexedcoupon.hpp
@@ -71,6 +71,8 @@ namespace QuantLib {
         const std::vector<Rate>& indexFixings() const;
         //! value dates for the rates to be compounded
         const std::vector<Date>& valueDates() const { return valueDates_; }
+        //! averaging method
+        const RateAveraging::Type averagingMethod() const { return averagingMethod_; }
         //@}
         //! \name FloatingRateCoupon interface
         //@{
@@ -87,6 +89,7 @@ namespace QuantLib {
         mutable std::vector<Rate> fixings_;
         Size n_;
         std::vector<Time> dt_;
+        RateAveraging::Type averagingMethod_;
 
         Rate averageRate(const Date& date) const;
     };
diff --git a/ql/experimental/basismodels/swaptioncfs.cpp b/ql/experimental/basismodels/swaptioncfs.cpp
index 9831f852f7b..f17c005d105 100644
--- a/ql/experimental/basismodels/swaptioncfs.cpp
+++ b/ql/experimental/basismodels/swaptioncfs.cpp
@@ -91,7 +91,7 @@ namespace QuantLib {
             floatWeights_.push_back(k->amount());
     }
 
-    SwapCashFlows::SwapCashFlows(const ext::shared_ptr<VanillaSwap>& swap,
+    SwapCashFlows::SwapCashFlows(const ext::shared_ptr<FixedVsFloatingSwap>& swap,
                                  const Handle<YieldTermStructure>& discountCurve,
                                  bool contTenorSpread)
     : IborLegCashFlows(swap->floatingLeg(), discountCurve, contTenorSpread) {
diff --git a/ql/experimental/basismodels/swaptioncfs.hpp b/ql/experimental/basismodels/swaptioncfs.hpp
index a50b41119e5..77a76101098 100644
--- a/ql/experimental/basismodels/swaptioncfs.hpp
+++ b/ql/experimental/basismodels/swaptioncfs.hpp
@@ -59,7 +59,7 @@ namespace QuantLib {
         std::vector<Real> annuityWeights_;
 
       public:
-        SwapCashFlows(const ext::shared_ptr<VanillaSwap>& swap,
+        SwapCashFlows(const ext::shared_ptr<FixedVsFloatingSwap>& swap,
                       const Handle<YieldTermStructure>& discountCurve,
                       bool contTenorSpread = true);
         SwapCashFlows() = default;
diff --git a/ql/experimental/basismodels/tenorswaptionvts.cpp b/ql/experimental/basismodels/tenorswaptionvts.cpp
index e801b26d0aa..d25653e6787 100644
--- a/ql/experimental/basismodels/tenorswaptionvts.cpp
+++ b/ql/experimental/basismodels/tenorswaptionvts.cpp
@@ -24,6 +24,7 @@ FOR A PARTICULAR PURPOSE.  See the license for more details.
 
 #include <ql/experimental/basismodels/tenorswaptionvts.hpp>
 #include <ql/experimental/basismodels/swaptioncfs.hpp>
+#include <ql/instruments/vanillaswap.hpp>
 #include <ql/exercise.hpp>
 #include <ql/indexes/iborindex.hpp>
 #include <ql/math/rounding.hpp>
@@ -60,15 +61,15 @@ namespace QuantLib {
                                    volTS.baseIndex_->fixingCalendar(), ModifiedFollowing,
                                    Unadjusted, DateGeneration::Backward, false);
         // and swaps
-        ext::shared_ptr<VanillaSwap> baseSwap(new VanillaSwap(
+        auto baseSwap = ext::make_shared<VanillaSwap>(
             Swap::Payer, 1.0, baseFixedSchedule, 1.0, volTS.baseFixedDC_, baseFloatSchedule,
-            volTS.baseIndex_, 0.0, volTS.baseIndex_->dayCounter()));
-        ext::shared_ptr<VanillaSwap> targSwap(new VanillaSwap(
+            volTS.baseIndex_, 0.0, volTS.baseIndex_->dayCounter());
+        auto targSwap = ext::make_shared<VanillaSwap>(
             Swap::Payer, 1.0, baseFixedSchedule, 1.0, volTS.baseFixedDC_, targFloatSchedule,
-            volTS.targIndex_, 0.0, volTS.targIndex_->dayCounter()));
-        ext::shared_ptr<VanillaSwap> finlSwap(new VanillaSwap(
+            volTS.targIndex_, 0.0, volTS.targIndex_->dayCounter());
+        auto finlSwap = ext::make_shared<VanillaSwap>(
             Swap::Payer, 1.0, finlFixedSchedule, 1.0, volTS.targFixedDC_, targFloatSchedule,
-            volTS.targIndex_, 0.0, volTS.targIndex_->dayCounter()));
+            volTS.targIndex_, 0.0, volTS.targIndex_->dayCounter());
         // adding engines
         baseSwap->setPricingEngine(
             ext::shared_ptr<PricingEngine>(new DiscountingSwapEngine(volTS.discountCurve_)));
diff --git a/ql/instruments/nonstandardswap.cpp b/ql/instruments/nonstandardswap.cpp
index bf7f7cfd237..4c0cc7a0f75 100644
--- a/ql/instruments/nonstandardswap.cpp
+++ b/ql/instruments/nonstandardswap.cpp
@@ -33,7 +33,7 @@
 
 namespace QuantLib {
 
-    NonstandardSwap::NonstandardSwap(const VanillaSwap &fromVanilla)
+    NonstandardSwap::NonstandardSwap(const FixedVsFloatingSwap &fromVanilla)
         : Swap(2), type_(fromVanilla.type()),
           fixedNominal_(std::vector<Real>(fromVanilla.fixedLeg().size(),
                                           fromVanilla.nominal())),
diff --git a/ql/instruments/nonstandardswap.hpp b/ql/instruments/nonstandardswap.hpp
index e2ac0ac0dae..e0f56ff39af 100644
--- a/ql/instruments/nonstandardswap.hpp
+++ b/ql/instruments/nonstandardswap.hpp
@@ -25,7 +25,7 @@
 #define quantlib_nonstandard_swap_hpp
 
 #include <ql/instruments/swap.hpp>
-#include <ql/instruments/vanillaswap.hpp>
+#include <ql/instruments/fixedvsfloatingswap.hpp>
 #include <ql/time/daycounter.hpp>
 #include <ql/time/schedule.hpp>
 #include <ql/optional.hpp>
@@ -42,7 +42,7 @@ namespace QuantLib {
         class arguments;
         class results;
         class engine;
-        NonstandardSwap(const VanillaSwap &fromVanilla);
+        NonstandardSwap(const FixedVsFloatingSwap &fromVanilla);
         NonstandardSwap(Swap::Type type,
                         std::vector<Real> fixedNominal,
                         const std::vector<Real>& floatingNominal,
diff --git a/ql/instruments/swaption.cpp b/ql/instruments/swaption.cpp
index 2e41c685df6..1505631dbc6 100644
--- a/ql/instruments/swaption.cpp
+++ b/ql/instruments/swaption.cpp
@@ -130,7 +130,7 @@ namespace QuantLib {
         }
     }
 
-    Swaption::Swaption(ext::shared_ptr<VanillaSwap> swap,
+    Swaption::Swaption(ext::shared_ptr<FixedVsFloatingSwap> swap,
                        const ext::shared_ptr<Exercise>& exercise,
                        Settlement::Type delivery,
                        Settlement::Method settlementMethod)
@@ -160,7 +160,6 @@ namespace QuantLib {
     void Swaption::setupArguments(PricingEngine::arguments* args) const {
 
         swap_->setupArguments(args);
-
         auto* arguments = dynamic_cast<Swaption::arguments*>(args);
 
         QL_REQUIRE(arguments != nullptr, "wrong argument type");
@@ -172,11 +171,10 @@ namespace QuantLib {
     }
 
     void Swaption::arguments::validate() const {
-        VanillaSwap::arguments::validate();
-        QL_REQUIRE(swap, "vanilla swap not set");
+        FixedVsFloatingSwap::arguments::validate();
+        QL_REQUIRE(swap, "swap not set");
         QL_REQUIRE(exercise, "exercise not set");
-        Settlement::checkTypeAndMethodConsistency(settlementType,
-                                                  settlementMethod);
+        Settlement::checkTypeAndMethodConsistency(settlementType, settlementMethod);
     }
 
     Volatility Swaption::impliedVolatility(Real targetValue,
diff --git a/ql/instruments/swaption.hpp b/ql/instruments/swaption.hpp
index adf9478fca9..b3353e42bab 100644
--- a/ql/instruments/swaption.hpp
+++ b/ql/instruments/swaption.hpp
@@ -30,7 +30,7 @@
 #define quantlib_instruments_swaption_hpp
 
 #include <ql/option.hpp>
-#include <ql/instruments/vanillaswap.hpp>
+#include <ql/instruments/fixedvsfloatingswap.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/termstructures/volatility/volatilitytype.hpp>
 
@@ -82,7 +82,7 @@ namespace QuantLib {
       public:
         class arguments;
         class engine;
-        Swaption(ext::shared_ptr<VanillaSwap> swap,
+        Swaption(ext::shared_ptr<FixedVsFloatingSwap> swap,
                  const ext::shared_ptr<Exercise>& exercise,
                  Settlement::Type delivery = Settlement::Physical,
                  Settlement::Method settlementMethod = Settlement::PhysicalOTC);
@@ -102,7 +102,7 @@ namespace QuantLib {
             return settlementMethod_;
         }
         Swap::Type type() const { return swap_->type(); }
-        const ext::shared_ptr<VanillaSwap>& underlyingSwap() const {
+        const ext::shared_ptr<FixedVsFloatingSwap>& underlyingSwap() const {
             return swap_;
         }
         //@}
@@ -119,18 +119,18 @@ namespace QuantLib {
                               Real displacement = 0.0) const;
       private:
         // arguments
-        ext::shared_ptr<VanillaSwap> swap_;
+        ext::shared_ptr<FixedVsFloatingSwap> swap_;
         //Handle<YieldTermStructure> termStructure_;
         Settlement::Type settlementType_;
         Settlement::Method settlementMethod_;
     };
 
     //! %Arguments for swaption calculation
-    class Swaption::arguments : public VanillaSwap::arguments,
+    class Swaption::arguments : public FixedVsFloatingSwap::arguments,
                                 public Option::arguments {
       public:
         arguments() = default;
-        ext::shared_ptr<VanillaSwap> swap;
+        ext::shared_ptr<FixedVsFloatingSwap> swap;
         Settlement::Type settlementType = Settlement::Physical;
         Settlement::Method settlementMethod;
         void validate() const override;
diff --git a/ql/legacy/libormarketmodels/lfmswaptionengine.cpp b/ql/legacy/libormarketmodels/lfmswaptionengine.cpp
index 0e7571ab582..14fd3bf93d1 100644
--- a/ql/legacy/libormarketmodels/lfmswaptionengine.cpp
+++ b/ql/legacy/libormarketmodels/lfmswaptionengine.cpp
@@ -39,14 +39,14 @@ namespace QuantLib {
 
         static const Spread basisPoint = 1.0e-4;
 
-        VanillaSwap swap = *arguments_.swap;
-        swap.setPricingEngine(ext::shared_ptr<PricingEngine>(
-                           new DiscountingSwapEngine(discountCurve_, false)));
+        auto swap = arguments_.swap;
+        swap->setPricingEngine(ext::shared_ptr<PricingEngine>(
+                                  new DiscountingSwapEngine(discountCurve_, false)));
 
-        Spread correction = swap.spread() *
-            std::fabs(swap.floatingLegBPS()/swap.fixedLegBPS());
-        Rate fixedRate = swap.fixedRate() - correction;
-        Rate fairRate = swap.fairRate() - correction;
+        Spread correction = swap->spread() *
+            std::fabs(swap->floatingLegBPS()/swap->fixedLegBPS());
+        Rate fixedRate = swap->fixedRate() - correction;
+        Rate fairRate = swap->fairRate() - correction;
 
         ext::shared_ptr<SwaptionVolatilityMatrix> volatility =
             model_->getSwaptionVolatilityMatrix();
@@ -65,9 +65,8 @@ namespace QuantLib {
         Option::Type w = arguments_.type==Swap::Payer ? Option::Call : Option::Put;
         Volatility vol = volatility->volatility(exercise, swapLength,
                                                 fairRate, true);
-        results_.value = (swap.fixedLegBPS()/basisPoint) *
+        results_.value = (swap->fixedLegBPS()/basisPoint) *
             blackFormula(w, fixedRate, fairRate, vol*std::sqrt(exercise));
     }
 
 }
-
diff --git a/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp b/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp
index c433fb6f379..64a3425ea4b 100644
--- a/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp
+++ b/ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp
@@ -41,7 +41,7 @@ namespace QuantLib {
       public:
         FdmAffineModelSwapInnerValue(ext::shared_ptr<ModelType> disModel,
                                      ext::shared_ptr<ModelType> fwdModel,
-                                     const ext::shared_ptr<VanillaSwap>& swap,
+                                     const ext::shared_ptr<FixedVsFloatingSwap>& swap,
                                      std::map<Time, Date> exerciseDates,
                                      ext::shared_ptr<FdmMesher> mesher,
                                      Size direction);
@@ -58,7 +58,7 @@ namespace QuantLib {
         const ext::shared_ptr<ModelType> disModel_, fwdModel_;
 
         const ext::shared_ptr<IborIndex> index_;
-        const ext::shared_ptr<VanillaSwap> swap_;
+        const ext::shared_ptr<FixedVsFloatingSwap> swap_;
         const std::map<Time, Date> exerciseDates_;
         const ext::shared_ptr<FdmMesher> mesher_;
         const Size direction_;
@@ -68,21 +68,21 @@ namespace QuantLib {
     inline FdmAffineModelSwapInnerValue<ModelType>::FdmAffineModelSwapInnerValue(
         ext::shared_ptr<ModelType> disModel,
         ext::shared_ptr<ModelType> fwdModel,
-        const ext::shared_ptr<VanillaSwap>& swap,
+        const ext::shared_ptr<FixedVsFloatingSwap>& swap,
         std::map<Time, Date> exerciseDates,
         ext::shared_ptr<FdmMesher> mesher,
         Size direction)
     : disModel_(std::move(disModel)), fwdModel_(std::move(fwdModel)), index_(swap->iborIndex()),
-      swap_(ext::shared_ptr<VanillaSwap>(new VanillaSwap(swap->type(),
-                                                         swap->nominal(),
-                                                         swap->fixedSchedule(),
-                                                         swap->fixedRate(),
-                                                         swap->fixedDayCount(),
-                                                         swap->floatingSchedule(),
-                                                         swap->iborIndex()->clone(fwdTs_),
-                                                         swap->spread(),
-                                                         swap->floatingDayCount(),
-                                                         swap->paymentConvention()))),
+      swap_(ext::make_shared<VanillaSwap>(swap->type(),
+                                          swap->nominal(),
+                                          swap->fixedSchedule(),
+                                          swap->fixedRate(),
+                                          swap->fixedDayCount(),
+                                          swap->floatingSchedule(),
+                                          swap->iborIndex()->clone(fwdTs_),
+                                          swap->spread(),
+                                          swap->floatingDayCount(),
+                                          swap->paymentConvention())),
       exerciseDates_(std::move(exerciseDates)), mesher_(std::move(mesher)), direction_(direction) {}
 
     template <class ModelType> inline
diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
index dbcaa7841ce..49699d682a8 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
@@ -20,6 +20,8 @@
 */
 
 #include <ql/indexes/iborindex.hpp>
+#include <ql/instruments/overnightindexedswap.hpp>
+#include <ql/instruments/vanillaswap.hpp>
 #include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/pricingengines/swaption/blackswaptionengine.hpp>
@@ -42,12 +44,15 @@ namespace QuantLib {
                                    const Real strike,
                                    const Real nominal,
                                    const VolatilityType type,
-                                   const Real shift)
+                                   const Real shift,
+                                   Natural settlementDays,
+                                   RateAveraging::Type averagingMethod)
     : BlackCalibrationHelper(volatility, errorType, type, shift), exerciseDate_(Null<Date>()),
       endDate_(Null<Date>()), maturity_(maturity), length_(length), fixedLegTenor_(fixedLegTenor),
       index_(std::move(index)), termStructure_(std::move(termStructure)),
       fixedLegDayCounter_(std::move(fixedLegDayCounter)),
-      floatingLegDayCounter_(std::move(floatingLegDayCounter)), strike_(strike), nominal_(nominal) {
+      floatingLegDayCounter_(std::move(floatingLegDayCounter)), strike_(strike), nominal_(nominal),
+      settlementDays_(settlementDays), averagingMethod_(averagingMethod) {
         registerWith(index_);
         registerWith(termStructure_);
     }
@@ -64,12 +69,15 @@ namespace QuantLib {
                                    const Real strike,
                                    const Real nominal,
                                    const VolatilityType type,
-                                   const Real shift)
+                                   const Real shift,
+                                   Natural settlementDays,
+                                   RateAveraging::Type averagingMethod)
     : BlackCalibrationHelper(volatility, errorType, type, shift), exerciseDate_(exerciseDate),
       endDate_(Null<Date>()), maturity_(0 * Days), length_(length), fixedLegTenor_(fixedLegTenor),
       index_(std::move(index)), termStructure_(std::move(termStructure)),
       fixedLegDayCounter_(std::move(fixedLegDayCounter)),
-      floatingLegDayCounter_(std::move(floatingLegDayCounter)), strike_(strike), nominal_(nominal) {
+      floatingLegDayCounter_(std::move(floatingLegDayCounter)), strike_(strike), nominal_(nominal),
+      settlementDays_(settlementDays), averagingMethod_(averagingMethod) {
         registerWith(index_);
         registerWith(termStructure_);
     }
@@ -86,12 +94,15 @@ namespace QuantLib {
                                    const Real strike,
                                    const Real nominal,
                                    const VolatilityType type,
-                                   const Real shift)
+                                   const Real shift,
+                                   Natural settlementDays,
+                                   RateAveraging::Type averagingMethod)
     : BlackCalibrationHelper(volatility, errorType, type, shift), exerciseDate_(exerciseDate),
       endDate_(endDate), maturity_(0 * Days), length_(0 * Days), fixedLegTenor_(fixedLegTenor),
       index_(std::move(index)), termStructure_(std::move(termStructure)),
       fixedLegDayCounter_(std::move(fixedLegDayCounter)),
-      floatingLegDayCounter_(std::move(floatingLegDayCounter)), strike_(strike), nominal_(nominal) {
+      floatingLegDayCounter_(std::move(floatingLegDayCounter)), strike_(strike), nominal_(nominal),
+      settlementDays_(settlementDays), averagingMethod_(averagingMethod) {
         registerWith(index_);
         registerWith(termStructure_);
     }
@@ -141,6 +152,8 @@ namespace QuantLib {
     void SwaptionHelper::performCalculations() const {
 
         Calendar calendar = index_->fixingCalendar();
+        Natural effSettlDays =
+            settlementDays_ == Null<Size>() ? index_->fixingDays() : settlementDays_;
 
         Date exerciseDate = exerciseDate_;
         if (exerciseDate == Null<Date>())
@@ -148,13 +161,15 @@ namespace QuantLib {
                                             maturity_,
                                             index_->businessDayConvention());
 
-        Date startDate = index_->valueDate(index_->fixingCalendar().adjust(exerciseDate));
+        Date startDate = calendar.advance(exerciseDate,
+                                          effSettlDays, Days,
+                                          index_->businessDayConvention());
 
         Date endDate = endDate_;
         if (endDate == Null<Date>())
             endDate = calendar.advance(startDate, length_,
                                        index_->businessDayConvention());
-
+        auto onIndex = ext::dynamic_pointer_cast<OvernightIndex>(index_);
         Schedule fixedSchedule(startDate, endDate, fixedLegTenor_, calendar,
                                index_->businessDayConvention(),
                                index_->businessDayConvention(),
@@ -168,32 +183,37 @@ namespace QuantLib {
                              new DiscountingSwapEngine(termStructure_, false));
 
         Swap::Type type = Swap::Receiver;
-
-        VanillaSwap temp(Swap::Receiver, nominal_,
-                            fixedSchedule, 0.0, fixedLegDayCounter_,
-                            floatSchedule, index_, 0.0, floatingLegDayCounter_);
-        temp.setPricingEngine(swapEngine);
-        Real forward = temp.fairRate();
-        if(strike_ == Null<Real>()) {
-            exerciseRate_ = forward;
+        ext::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
+        FixedVsFloatingSwap* temp;
+        if (onIndex) {
+            // construct ois swap
+            temp = new OvernightIndexedSwap(Swap::Receiver, nominal_, fixedSchedule, 0.0,
+                                            fixedLegDayCounter_, onIndex, 0.0, 0, Following, Calendar(),
+                                            true, averagingMethod_);
+        } else {
+            temp = new VanillaSwap(Swap::Receiver, nominal_, fixedSchedule, 0.0, fixedLegDayCounter_,
+                                   floatSchedule, index_, 0.0, floatingLegDayCounter_);
         }
-        else {
+        temp->setPricingEngine(swapEngine);
+        Real forward = temp->fairRate();
+        delete temp;
+        if (strike_ == Null<Real>()) {
+            exerciseRate_ = forward;
+        } else {
             exerciseRate_ = strike_;
             type = strike_ <= forward ? Swap::Receiver : Swap::Payer;
-            // ensure that calibration instrument is out of the money
         }
-        swap_ = ext::make_shared<VanillaSwap>(
-            type, nominal_,
-                            fixedSchedule, exerciseRate_, fixedLegDayCounter_,
-                            floatSchedule, index_, 0.0, floatingLegDayCounter_);
+        if (onIndex) {
+            swap_ = ext::make_shared<OvernightIndexedSwap>(
+                type, nominal_, fixedSchedule, 0.0, fixedLegDayCounter_, onIndex, 0.0, 0, Following,
+                Calendar(), true, averagingMethod_);
+        } else {
+            swap_ = ext::make_shared<VanillaSwap>(type, nominal_, fixedSchedule, exerciseRate_,
+                                                  fixedLegDayCounter_, floatSchedule, index_, 0.0,
+                                                  floatingLegDayCounter_);
+        }
         swap_->setPricingEngine(swapEngine);
-
-        ext::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
-
         swaption_ = ext::make_shared<Swaption>(swap_, exercise);
-
         BlackCalibrationHelper::performCalculations();
-
     }
-
 }
diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
index 8587c75406d..f6b9bfdf7cc 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
@@ -28,6 +28,7 @@
 #include <ql/models/calibrationhelper.hpp>
 #include <ql/instruments/swaption.hpp>
 #include <ql/termstructures/volatility/volatilitytype.hpp>
+#include <ql/cashflows/rateaveraging.hpp>
 
 namespace QuantLib {
 
@@ -48,7 +49,9 @@ namespace QuantLib {
                        Real strike = Null<Real>(),
                        Real nominal = 1.0,
                        VolatilityType type = ShiftedLognormal,
-                       Real shift = 0.0);
+                       Real shift = 0.0,
+                       Natural settlementDays = Null<Size>(),
+                       RateAveraging::Type averagingMethod = RateAveraging::Compound);
 
         SwaptionHelper(const Date& exerciseDate,
                        const Period& length,
@@ -63,7 +66,9 @@ namespace QuantLib {
                        Real strike = Null<Real>(),
                        Real nominal = 1.0,
                        VolatilityType type = ShiftedLognormal,
-                       Real shift = 0.0);
+                       Real shift = 0.0,
+                       Natural settlementDays = Null<Size>(),
+                       RateAveraging::Type averagingMethod = RateAveraging::Compound);
 
         SwaptionHelper(const Date& exerciseDate,
                        const Date& endDate,
@@ -78,13 +83,18 @@ namespace QuantLib {
                        Real strike = Null<Real>(),
                        Real nominal = 1.0,
                        VolatilityType type = ShiftedLognormal,
-                       Real shift = 0.0);
+                       Real shift = 0.0,
+                       Natural settlementDays = Null<Size>(),
+                       RateAveraging::Type averagingMethod = RateAveraging::Compound);
 
         void addTimesTo(std::list<Time>& times) const override;
         Real modelValue() const override;
         Real blackPrice(Volatility volatility) const override;
 
-        ext::shared_ptr<VanillaSwap> underlyingSwap() const { calculate(); return swap_; }
+        ext::shared_ptr<FixedVsFloatingSwap> underlyingSwap() const {
+            calculate();
+            return swap_;
+        }
         ext::shared_ptr<Swaption> swaption() const { calculate(); return swaption_; }
 
       private:
@@ -95,8 +105,10 @@ namespace QuantLib {
         const Handle<YieldTermStructure> termStructure_;
         const DayCounter fixedLegDayCounter_, floatingLegDayCounter_;
         const Real strike_, nominal_;
+        const Natural settlementDays_;
+        const RateAveraging::Type averagingMethod_;
         mutable Rate exerciseRate_;
-        mutable ext::shared_ptr<VanillaSwap> swap_;
+        mutable ext::shared_ptr<FixedVsFloatingSwap> swap_;
         mutable ext::shared_ptr<Swaption> swaption_;
     };
 
diff --git a/ql/pricingengines/swaption/blackswaptionengine.hpp b/ql/pricingengines/swaption/blackswaptionengine.hpp
index 6ac9c175ff4..f5c46b4f550 100644
--- a/ql/pricingengines/swaption/blackswaptionengine.hpp
+++ b/ql/pricingengines/swaption/blackswaptionengine.hpp
@@ -227,28 +227,31 @@ namespace QuantLib {
         // account unwanted cashflows. For the moment we add a check avoiding this situation.
         // Furthermore, we take a copy of the underlying swap. This avoids notifying the swaption
         // when we set a pricing engine on the swap below.
-        VanillaSwap swap = *arguments_.swap;
-        const Leg& fixedLeg = swap.fixedLeg();
+        auto swap = arguments_.swap;
+
+        const Leg& fixedLeg = swap->fixedLeg();
         ext::shared_ptr<FixedRateCoupon> firstCoupon =
             ext::dynamic_pointer_cast<FixedRateCoupon>(fixedLeg[0]);
         QL_REQUIRE(firstCoupon->accrualStartDate() >= exerciseDate,
                    "swap start (" << firstCoupon->accrualStartDate() << ") before exercise date ("
                                   << exerciseDate << ") not supported in Black swaption engine");
 
-        Rate strike = swap.fixedRate();
+        Rate strike = swap->fixedRate();
 
         // using the discounting curve
         // swap.iborIndex() might be using a different forwarding curve
-        swap.setPricingEngine(ext::shared_ptr<PricingEngine>(new
-            DiscountingSwapEngine(discountCurve_, false)));
-        Rate atmForward = swap.fairRate();
+        auto engine = ext::make_shared<DiscountingSwapEngine>(discountCurve_, false);
+        swap->setPricingEngine(engine);
+        Date valuation_date = results_.valuationDate  = swap->valuationDate();
+        Rate atmForward = swap->fairRate();
 
         // Volatilities are quoted for zero-spreaded swaps.
         // Therefore, any spread on the floating leg must be removed
         // with a corresponding correction on the fixed leg.
-        if (swap.spread()!=0.0) {
-            Spread correction = swap.spread() *
-                std::fabs(swap.floatingLegBPS()/swap.fixedLegBPS());
+        Real spread = swap->spread();
+        if (spread!=0.0) {
+            Spread correction =
+                spread * std::fabs(swap->floatingLegBPS() / swap->fixedLegBPS());
             strike -= correction;
             atmForward -= correction;
             results_.additionalResults["spreadCorrection"] = correction;
@@ -258,15 +261,12 @@ namespace QuantLib {
         results_.additionalResults["strike"] = strike;
         results_.additionalResults["atmForward"] = atmForward;
 
-        // using the discounting curve
-        swap.setPricingEngine(ext::shared_ptr<PricingEngine>(
-                           new DiscountingSwapEngine(discountCurve_, false)));
         Real annuity;
         if (arguments_.settlementType == Settlement::Physical ||
             (arguments_.settlementType == Settlement::Cash &&
              arguments_.settlementMethod ==
                  Settlement::CollateralizedCashPrice)) {
-            annuity = std::fabs(swap.fixedLegBPS()) / basisPoint;
+            annuity = std::fabs(swap->fixedLegBPS()) / basisPoint;
         } else if (arguments_.settlementType == Settlement::Cash &&
                    arguments_.settlementMethod == Settlement::ParYieldCurve) {
             DayCounter dayCount = firstCoupon->dayCounter();
@@ -274,11 +274,16 @@ namespace QuantLib {
             // to the swap start date
             Date discountDate = model_ == DiscountCurve
                                     ? firstCoupon->accrualStartDate()
-                                    : discountCurve_->referenceDate();
-            Real fixedLegCashBPS = CashFlows::bps(
-                fixedLeg,
-                InterestRate(atmForward, dayCount, Compounded, Annual), false,
-                discountDate);
+                                    : valuation_date;
+            Frequency freq = Annual;
+            const Schedule fixedSchedule = swap->fixedSchedule();
+            if (fixedSchedule.hasTenor()) {
+                freq = fixedSchedule.tenor().frequency();
+            }
+            Real fixedLegCashBPS =
+                CashFlows::bps(fixedLeg,
+                        InterestRate(atmForward, dayCount, Compounded, freq),
+                        false, discountDate);
             annuity = std::fabs(fixedLegCashBPS / basisPoint) *
                       discountCurve_->discount(discountDate);
         } else {
@@ -286,8 +291,9 @@ namespace QuantLib {
         }
         results_.additionalResults["annuity"] = annuity;
 
-        Time swapLength =  vol_->swapLength(swap.floatingSchedule().dates().front(),
-                                            swap.floatingSchedule().dates().back());
+        const Schedule floatingSchedule = swap->floatingSchedule();
+        Time swapLength =  vol_->swapLength(floatingSchedule.dates().front(),
+                                            floatingSchedule.dates().back());
 
         // swapLength is rounded to whole months. To ensure we can read a variance
         // and a shift from vol_ we floor swapLength at 1/12 here therefore.
@@ -302,9 +308,9 @@ namespace QuantLib {
 
         Real stdDev = std::sqrt(variance);
         results_.additionalResults["stdDev"] = stdDev;
-        Option::Type w = (arguments_.type==Swap::Payer) ? Option::Call : Option::Put;
+        Option::Type w = (swap->type() == Swap::Payer) ? Option::Call : Option::Put;
         results_.value = Spec().value(w, strike, atmForward, stdDev, annuity, displacement);
-        
+
         Time exerciseTime = vol_->timeFromReference(exerciseDate);
         results_.additionalResults["vega"] = Spec().vega(
             strike, atmForward, stdDev, exerciseTime, annuity, displacement);
diff --git a/ql/pricingengines/swaption/g2swaptionengine.hpp b/ql/pricingengines/swaption/g2swaptionengine.hpp
index 25dce0d13c0..53d3743095a 100644
--- a/ql/pricingengines/swaption/g2swaptionengine.hpp
+++ b/ql/pricingengines/swaption/g2swaptionengine.hpp
@@ -55,11 +55,11 @@ namespace QuantLib {
             // adjust the fixed rate of the swap for the spread on the
             // floating leg (which is not taken into account by the
             // model)
-            VanillaSwap swap = *arguments_.swap;
-            swap.setPricingEngine(ext::make_shared<DiscountingSwapEngine>(model_->termStructure(), false));
-            Spread correction = swap.spread() *
-                std::fabs(swap.floatingLegBPS() / swap.fixedLegBPS());
-            Rate fixedRate = swap.fixedRate() - correction;
+            auto swap = arguments_.swap;
+            swap->setPricingEngine(ext::make_shared<DiscountingSwapEngine>(model_->termStructure(), false));
+            Spread correction = swap->spread() *
+                std::fabs(swap->floatingLegBPS() / swap->fixedLegBPS());
+            Rate fixedRate = swap->fixedRate() - correction;
 
             results_.value =  model_->swaption(arguments_, fixedRate,
                                                range_, intervals_);
diff --git a/ql/pricingengines/swaption/gaussian1dswaptionengine.cpp b/ql/pricingengines/swaption/gaussian1dswaptionengine.cpp
index a7790294fbe..f07e21d5c3b 100644
--- a/ql/pricingengines/swaption/gaussian1dswaptionengine.cpp
+++ b/ql/pricingengines/swaption/gaussian1dswaptionengine.cpp
@@ -47,11 +47,11 @@ namespace QuantLib {
                              arguments_.exercise->dates().end(), settlement) -
             arguments_.exercise->dates().begin());
 
-        VanillaSwap swap = *arguments_.swap;
+        auto swap = arguments_.swap;
         Option::Type type =
             arguments_.type == Swap::Payer ? Option::Call : Option::Put;
-        const Schedule& fixedSchedule = swap.fixedSchedule();
-        const Schedule& floatSchedule = swap.floatingSchedule();
+        const Schedule& fixedSchedule = swap->fixedSchedule();
+        const Schedule& floatSchedule = swap->floatingSchedule();
 
         Array npv0(2 * integrationPoints_ + 1, 0.0),
             npv1(2 * integrationPoints_ + 1, 0.0);

From 4235e31ff9e448e0cef1ca67ef41233cf3b73471 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 6 Mar 2023 17:38:21 +0100
Subject: [PATCH 05/95] Add a couple of tests for OI swaption

---
 test-suite/swaption.cpp | 142 ++++++++++++++++++++++++++++++++++++++--
 1 file changed, 138 insertions(+), 4 deletions(-)

diff --git a/test-suite/swaption.cpp b/test-suite/swaption.cpp
index e2d2f5edcc9..6d152235902 100644
--- a/test-suite/swaption.cpp
+++ b/test-suite/swaption.cpp
@@ -28,8 +28,11 @@
 #include <ql/cashflows/iborcoupon.hpp>
 #include <ql/instruments/swaption.hpp>
 #include <ql/instruments/makevanillaswap.hpp>
+#include <ql/instruments/makeois.hpp>
 #include <ql/termstructures/yield/flatforward.hpp>
+#include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
 #include <ql/indexes/ibor/euribor.hpp>
+#include <ql/indexes/ibor/eonia.hpp>
 #include <ql/time/daycounters/actual365fixed.hpp>
 #include <ql/time/daycounters/thirty360.hpp>
 #include <ql/time/schedule.hpp>
@@ -65,6 +68,7 @@ struct CommonVars {
     BusinessDayConvention floatingConvention;
     Period floatingTenor;
     ext::shared_ptr<IborIndex> index;
+    ext::shared_ptr<OvernightIndex> oisIndex;
 
     Natural settlementDays;
     RelinkableHandle<YieldTermStructure> termStructure;
@@ -89,13 +93,29 @@ struct CommonVars {
         result->setPricingEngine(engine);
         return result;
     }
+    ext::shared_ptr<Swaption> makeOISwaption(
+            const ext::shared_ptr<OvernightIndexedSwap>& swap,
+            const Date& exercise,
+            Volatility volatility,
+            Settlement::Type settlementType = Settlement::Physical,
+            Settlement::Method settlementMethod = Settlement::PhysicalOTC,
+            BlackSwaptionEngine::CashAnnuityModel model = BlackSwaptionEngine::SwapRate) const {
+        Handle<Quote> vol(ext::make_shared<SimpleQuote>(volatility));
+        auto engine = ext::make_shared<BlackSwaptionEngine>(termStructure, vol, Actual365Fixed(), 0.0, model);
+
+        auto result = ext::make_shared<Swaption>(
+                swap,
+                ext::make_shared<EuropeanExercise>(exercise),
+                settlementType, settlementMethod);
+        result->setPricingEngine(engine);
+        return result;
+    }
 
     ext::shared_ptr<PricingEngine> makeEngine(
                                               Volatility volatility,
                                               BlackSwaptionEngine::CashAnnuityModel model = BlackSwaptionEngine::SwapRate) const {
-        Handle<Quote> h(ext::shared_ptr<Quote>(new SimpleQuote(volatility)));
-        return ext::shared_ptr<PricingEngine>(
-                new BlackSwaptionEngine(termStructure, h, Actual365Fixed(), 0.0, model));
+        Handle<Quote> h(ext::make_shared<SimpleQuote>(volatility));
+        return ext::make_shared<BlackSwaptionEngine>(termStructure, h, Actual365Fixed(), 0.0, model);
     }
 
     CommonVars() {
@@ -106,6 +126,11 @@ struct CommonVars {
         fixedDayCount = Thirty360(Thirty360::BondBasis);
 
         index = ext::shared_ptr<IborIndex>(new Euribor6M(termStructure));
+        oisIndex = ext::make_shared<Eonia>(
+                Handle<YieldTermStructure>(
+                    ext::make_shared<ZeroSpreadedTermStructure>(
+                        termStructure,
+                        Handle<Quote>(ext::make_shared<SimpleQuote>(-0.01)))));
         floatingConvention = index->businessDayConvention();
         floatingTenor = index->tenor();
         calendar = index->fixingCalendar();
@@ -383,7 +408,7 @@ BOOST_AUTO_TEST_CASE(testSpreadTreatment) {
 
 BOOST_AUTO_TEST_CASE(testCachedValue) {
 
-    BOOST_TEST_MESSAGE("Testing swaption value against cached value...");
+    BOOST_TEST_MESSAGE("Testing swaption values against cached values...");
 
     bool usingAtParCoupons = IborCoupon::Settings::instance().usingAtParCoupons();
 
@@ -412,6 +437,24 @@ BOOST_AUTO_TEST_CASE(testCachedValue) {
                     std::fixed << std::setprecision(12) <<
                     "\ncalculated: " << swaption->NPV() <<
                     "\nexpected:   " << cachedNPV);
+
+    ext::shared_ptr<OvernightIndexedSwap> oiswap =
+        MakeOIS(10*Years, vars.oisIndex, 0.06)
+        .withEffectiveDate(startDate)
+        .withPaymentFrequency(Annual)
+        .withFixedLegDayCount(vars.fixedDayCount);
+
+    ext::shared_ptr<Swaption> oiswaption =
+        vars.makeOISwaption(oiswap, exerciseDate, 0.20);
+
+    cachedNPV = 0.014101075767;
+
+    if (std::fabs(oiswaption->NPV()-cachedNPV) > 1.0e-12)
+        BOOST_ERROR("failed to reproduce cached overnight-indexed swaption value:\n" <<
+                    std::fixed << std::setprecision(12) <<
+                    "\ncalculated: " << oiswaption->NPV() <<
+                    "\nexpected:   " << cachedNPV);
+
 }
 
 BOOST_AUTO_TEST_CASE(testVega) {
@@ -868,6 +911,97 @@ BOOST_AUTO_TEST_CASE(testImpliedVolatility, *precondition(if_speed(Fast))) {
     }
 }
 
+
+BOOST_AUTO_TEST_CASE(testImpliedVolatilityOis, *precondition(if_speed(Fast))) {
+
+    BOOST_TEST_MESSAGE("Testing implied volatility for overnight-indexed swaptions...");
+
+    CommonVars vars;
+
+    Size maxEvaluations = 100;
+    Real tolerance = 1.0e-08;
+
+    Settlement::Type types[] = { Settlement::Physical, Settlement::Cash };
+    Settlement::Method methods[] = { Settlement::PhysicalOTC, Settlement::ParYieldCurve };
+    // test data
+    Rate strikes[] = { 0.02, 0.03, 0.04, 0.05, 0.06, 0.07 };
+    Volatility vols[] = { 0.01, 0.05, 0.10, 0.20, 0.30, 0.70, 0.90 };
+
+    for (auto& exercise : exercises) {
+        for (auto& length : lengths) {
+            Date exerciseDate = vars.calendar.advance(vars.today, exercise);
+            Date startDate = vars.calendar.advance(exerciseDate,
+                                                   vars.settlementDays, Days);
+
+            for (Real& strike : strikes) {
+                for (auto& k : type) {
+                    ext::shared_ptr<OvernightIndexedSwap> swap =
+                        MakeOIS(length, vars.oisIndex, strike)
+                            .withEffectiveDate(startDate)
+                            .withPaymentFrequency(Annual)
+                            .withFixedLegDayCount(vars.fixedDayCount)
+                            .withType(k);
+                    for (Size h=0; h<LENGTH(types); h++) {
+                        for (Real vol : vols) {
+                            ext::shared_ptr<Swaption> swaption =
+                                vars.makeOISwaption(swap, exerciseDate, vol, types[h], methods[h],
+                                                    BlackSwaptionEngine::DiscountCurve);
+                            // Black price
+                            Real value = swaption->NPV();
+                            Volatility implVol = 0.0;
+                            try {
+                                implVol =
+                                  swaption->impliedVolatility(value,
+                                                              vars.termStructure,
+                                                              0.10,
+                                                              tolerance,
+                                                              maxEvaluations,
+                                                              1.0e-7,
+                                                              4.0,
+                                                              ShiftedLognormal,
+                                                              0.0);
+                            } catch (std::exception& e) {
+                                // couldn't bracket?
+                                swaption->setPricingEngine(vars.makeEngine(0.0, BlackSwaptionEngine::DiscountCurve));
+                                Real value2 = swaption->NPV();
+                                if (std::fabs(value-value2) < tolerance) {
+                                    // ok, just skip:
+                                    continue;
+                                }
+                                // otherwise, report error
+                                BOOST_ERROR("implied vol failure: "
+                                            << exercise << "x" << length << " " << k
+                                            << "\nsettlement: " << types[h] << "\nstrike      "
+                                            << strike
+                                            << "\natm level:  " << io::rate(swap->fairRate())
+                                            << "\nvol:        " << io::volatility(vol)
+                                            << "\nprice:      " << value << "\n"
+                                            << e.what());
+                            }
+                            if (std::fabs(implVol - vol) > tolerance) {
+                                // the difference might not matter
+                                swaption->setPricingEngine(vars.makeEngine(implVol, BlackSwaptionEngine::DiscountCurve));
+                                Real value2 = swaption->NPV();
+                                if (std::fabs(value-value2) > tolerance) {
+                                    BOOST_ERROR("implied vol failure: "
+                                                << exercise << "x" << length << " " << k
+                                                << "\nsettlement:    " << types[h]
+                                                << "\nstrike         " << strike
+                                                << "\natm level:     " << io::rate(swap->fairRate())
+                                                << "\nvol:           " << io::volatility(vol)
+                                                << "\nprice:         " << value
+                                                << "\nimplied vol:   " << io::volatility(implVol)
+                                                << "\nimplied price: " << value2);
+                                }
+                            }
+                        }
+                    }
+                }
+            }
+        }
+    }
+}
+
 template <typename Engine>
 ext::shared_ptr<Engine> makeConstVolEngine(
     const Handle<YieldTermStructure> &discountCurve,

From 78bc02b2fa5a2d21007537be06c0c2b47e423f0c Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 10 Oct 2023 16:06:45 -0400
Subject: [PATCH 06/95] add missing includes

---
 Examples/BermudanSwaption/BermudanSwaption.cpp | 1 +
 test-suite/basismodels.cpp                     | 1 +
 test-suite/libormarketmodel.cpp                | 1 +
 3 files changed, 3 insertions(+)

diff --git a/Examples/BermudanSwaption/BermudanSwaption.cpp b/Examples/BermudanSwaption/BermudanSwaption.cpp
index 113b1f8a973..f59383b3f43 100644
--- a/Examples/BermudanSwaption/BermudanSwaption.cpp
+++ b/Examples/BermudanSwaption/BermudanSwaption.cpp
@@ -23,6 +23,7 @@
 #if !defined(BOOST_ALL_NO_LIB) && defined(BOOST_MSVC)
 #  include <ql/auto_link.hpp>
 #endif
+#include <ql/instruments/vanillaswap.hpp>
 #include <ql/instruments/swaption.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/pricingengines/swaption/treeswaptionengine.hpp>
diff --git a/test-suite/basismodels.cpp b/test-suite/basismodels.cpp
index 3a85a06526e..b04bf8afaaf 100644
--- a/test-suite/basismodels.cpp
+++ b/test-suite/basismodels.cpp
@@ -25,6 +25,7 @@
 #include <ql/experimental/basismodels/tenoroptionletvts.hpp>
 #include <ql/experimental/basismodels/tenorswaptionvts.hpp>
 #include <ql/indexes/ibor/euribor.hpp>
+#include <ql/instruments/vanillaswap.hpp>
 #include <ql/instruments/swaption.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/termstructures/volatility/optionlet/strippedoptionlet.hpp>
diff --git a/test-suite/libormarketmodel.cpp b/test-suite/libormarketmodel.cpp
index ba61ab296e8..d6d0b619448 100644
--- a/test-suite/libormarketmodel.cpp
+++ b/test-suite/libormarketmodel.cpp
@@ -22,6 +22,7 @@
 #include "utilities.hpp"
 #include <ql/indexes/ibor/euribor.hpp>
 #include <ql/instruments/capfloor.hpp>
+#include <ql/instruments/vanillaswap.hpp>
 #include <ql/legacy/libormarketmodels/lfmcovarproxy.hpp>
 #include <ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp>
 #include <ql/legacy/libormarketmodels/lfmswaptionengine.hpp>

From 14e26318bff20d335105e91207df29d3242ddf57 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Mon, 5 Feb 2024 13:42:24 -0500
Subject: [PATCH 07/95] extend MakeSwaption

---
 ql/instruments/makeswaption.cpp | 52 ++++++++++++++++++++++-----------
 ql/instruments/makeswaption.hpp |  2 +-
 2 files changed, 36 insertions(+), 18 deletions(-)

diff --git a/ql/instruments/makeswaption.cpp b/ql/instruments/makeswaption.cpp
index bbbe3736267..ffd7ae78745 100644
--- a/ql/instruments/makeswaption.cpp
+++ b/ql/instruments/makeswaption.cpp
@@ -21,6 +21,7 @@
 #include <ql/cashflows/cashflows.hpp>
 #include <ql/exercise.hpp>
 #include <ql/indexes/swapindex.hpp>
+#include <ql/instruments/makeois.hpp>
 #include <ql/instruments/makeswaption.hpp>
 #include <ql/instruments/makevanillaswap.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
@@ -72,13 +73,13 @@ namespace QuantLib {
         }
 
         Rate usedStrike = strike_;
+        ext::shared_ptr<OvernightIndexedSwapIndex> OIswap_index = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_);
         if (strike_ == Null<Rate>()) {
             // ATM on curve(s) attached to index
             QL_REQUIRE(!swapIndex_->forwardingTermStructure().empty(),
                        "null term structure set to this instance of " <<
                        swapIndex_->name());
-            ext::shared_ptr<VanillaSwap> temp =
-                swapIndex_->underlyingSwap(fixingDate_);
+            ext::shared_ptr<FixedVsFloatingSwap> temp = swapIndex_->underlyingSwap(fixingDate_);
             temp->setPricingEngine(
                 ext::shared_ptr<PricingEngine>(new DiscountingSwapEngine(
                     swapIndex_->exogenousDiscount()
@@ -89,21 +90,38 @@ namespace QuantLib {
         }
 
         BusinessDayConvention bdc = swapIndex_->fixedLegConvention();
-        underlyingSwap_ =
-            MakeVanillaSwap(swapIndex_->tenor(),
-                            swapIndex_->iborIndex(), usedStrike)
-            .withEffectiveDate(swapIndex_->valueDate(fixingDate_))
-            .withFixedLegCalendar(swapIndex_->fixingCalendar())
-            .withFixedLegDayCount(swapIndex_->dayCounter())
-            .withFixedLegTenor(swapIndex_->fixedLegTenor())
-            .withFixedLegConvention(bdc)
-            .withFixedLegTerminationDateConvention(bdc)
-            .withType(underlyingType_)
-            .withNominal(nominal_)
-            .withIndexedCoupons(useIndexedCoupons_);
-
-        ext::shared_ptr<Swaption> swaption(new Swaption(
-            underlyingSwap_, exercise_, delivery_, settlementMethod_));
+        if (OIswap_index) {
+            underlyingSwap_ =
+                (ext::shared_ptr<OvernightIndexedSwap>)(
+                    MakeOIS(swapIndex_->tenor(),
+                            OIswap_index->overnightIndex(), usedStrike)
+                    .withEffectiveDate(swapIndex_->valueDate(fixingDate_))
+                    .withPaymentCalendar(swapIndex_->fixingCalendar())
+                    .withFixedLegDayCount(swapIndex_->dayCounter())
+                    .withPaymentAdjustment(bdc)
+                    .withFixedLegConvention(bdc)
+                    .withFixedLegTerminationDateConvention(bdc)
+                    .withType(underlyingType_)
+                    .withNominal(nominal_)
+                    );
+        } else {
+            underlyingSwap_ =
+                (ext::shared_ptr<VanillaSwap>)(
+                    MakeVanillaSwap(swapIndex_->tenor(),
+                                    swapIndex_->iborIndex(), usedStrike)
+                    .withEffectiveDate(swapIndex_->valueDate(fixingDate_))
+                    .withFixedLegCalendar(swapIndex_->fixingCalendar())
+                    .withFixedLegDayCount(swapIndex_->dayCounter())
+                    .withFixedLegTenor(swapIndex_->fixedLegTenor())
+                    .withFixedLegConvention(bdc)
+                    .withFixedLegTerminationDateConvention(bdc)
+                    .withType(underlyingType_)
+                    .withNominal(nominal_)
+                    .withIndexedCoupons(useIndexedCoupons_)
+                    );
+        }
+        ext::shared_ptr<Swaption> swaption = ext::make_shared<Swaption>(
+            underlyingSwap_, exercise_, delivery_, settlementMethod_);
         swaption->setPricingEngine(engine_);
         return swaption;
     }
diff --git a/ql/instruments/makeswaption.hpp b/ql/instruments/makeswaption.hpp
index 08802daf7df..7667d68722f 100644
--- a/ql/instruments/makeswaption.hpp
+++ b/ql/instruments/makeswaption.hpp
@@ -70,7 +70,7 @@ namespace QuantLib {
         ext::shared_ptr<SwapIndex> swapIndex_;
         Settlement::Type delivery_;
         Settlement::Method settlementMethod_;
-        mutable ext::shared_ptr<VanillaSwap> underlyingSwap_;
+        mutable ext::shared_ptr<FixedVsFloatingSwap> underlyingSwap_;
 
         Period optionTenor_;
         BusinessDayConvention optionConvention_;

From 1d05432b694236f8e12f00f9e7115992e5003ee2 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Mon, 5 Feb 2024 14:09:48 -0500
Subject: [PATCH 08/95] try to prevent notifying the swaption

---
 ql/pricingengines/swaption/blackswaptionengine.hpp | 2 ++
 1 file changed, 2 insertions(+)

diff --git a/ql/pricingengines/swaption/blackswaptionengine.hpp b/ql/pricingengines/swaption/blackswaptionengine.hpp
index f5c46b4f550..03f57ad52eb 100644
--- a/ql/pricingengines/swaption/blackswaptionengine.hpp
+++ b/ql/pricingengines/swaption/blackswaptionengine.hpp
@@ -241,7 +241,9 @@ namespace QuantLib {
         // using the discounting curve
         // swap.iborIndex() might be using a different forwarding curve
         auto engine = ext::make_shared<DiscountingSwapEngine>(discountCurve_, false);
+        ObservableSettings::instance().disableUpdates();
         swap->setPricingEngine(engine);
+        ObservableSettings::instance().enableUpdates();
         Date valuation_date = results_.valuationDate  = swap->valuationDate();
         Rate atmForward = swap->fairRate();
 

From f466c3ccdbebdab56a845d596b482caf36545f19 Mon Sep 17 00:00:00 2001
From: Steve Dacek <stephen.dacek@twosigma.com>
Date: Wed, 7 Feb 2024 11:04:05 -0500
Subject: [PATCH 09/95] generate schedules with DateGeneration::Backward
 linearly

push_back all new dates/regular flags and reverse at the end
---
 ql/time/schedule.cpp | 27 +++++++++++++--------------
 1 file changed, 13 insertions(+), 14 deletions(-)

diff --git a/ql/time/schedule.cpp b/ql/time/schedule.cpp
index 88b11cfe47f..0dfbbed406c 100644
--- a/ql/time/schedule.cpp
+++ b/ql/time/schedule.cpp
@@ -202,13 +202,10 @@ namespace QuantLib {
 
             seed = terminationDate;
             if (nextToLastDate_ != Date()) {
-                dates_.insert(dates_.begin(), nextToLastDate_);
+                dates_.push_back(nextToLastDate_);
                 Date temp = nullCalendar.advance(seed,
                     -periods*(*tenor_), convention, *endOfMonth_);
-                if (temp!=nextToLastDate_)
-                    isRegular_.insert(isRegular_.begin(), false);
-                else
-                    isRegular_.insert(isRegular_.begin(), true);
+                isRegular_.push_back(temp == nextToLastDate_);
                 seed = nextToLastDate_;
             }
 
@@ -221,29 +218,31 @@ namespace QuantLib {
                     -periods*(*tenor_), convention, *endOfMonth_);
                 if (temp < exitDate) {
                     if (firstDate_ != Date() &&
-                        (calendar_.adjust(dates_.front(),convention)!=
+                        (calendar_.adjust(dates_.back(),convention)!=
                          calendar_.adjust(firstDate_,convention))) {
-                        dates_.insert(dates_.begin(), firstDate_);
-                        isRegular_.insert(isRegular_.begin(), false);
+                        dates_.push_back(firstDate_);
+                        isRegular_.push_back(false);
                     }
                     break;
                 } else {
                     // skip dates that would result in duplicates
                     // after adjustment
-                    if (calendar_.adjust(dates_.front(),convention)!=
+                    if (calendar_.adjust(dates_.back(),convention)!=
                         calendar_.adjust(temp,convention)) {
-                        dates_.insert(dates_.begin(), temp);
-                        isRegular_.insert(isRegular_.begin(), true);
+                        dates_.push_back(temp);
+                        isRegular_.push_back(true);
                     }
                     ++periods;
                 }
             }
 
-            if (calendar_.adjust(dates_.front(),convention)!=
+            if (calendar_.adjust(dates_.back(),convention)!=
                 calendar_.adjust(effectiveDate,convention)) {
-                dates_.insert(dates_.begin(), effectiveDate);
-                isRegular_.insert(isRegular_.begin(), false);
+                dates_.push_back(effectiveDate);
+                isRegular_.push_back(false);
             }
+	    std::reverse(dates_.begin(), dates_.end());
+	    std::reverse(isRegular_.begin(), isRegular_.end());
             break;
 
           case DateGeneration::Twentieth:

From b0a40f0f7d337a7b917477efb4bf0cf2a705b015 Mon Sep 17 00:00:00 2001
From: Eugene Toder <eltoder@twosigma.com>
Date: Fri, 9 Feb 2024 13:46:08 -0500
Subject: [PATCH 10/95] Add MakeVanillaSwap.withPaymentConvention

---
 ql/instruments/makevanillaswap.cpp | 9 +++++++--
 ql/instruments/makevanillaswap.hpp | 2 ++
 2 files changed, 9 insertions(+), 2 deletions(-)

diff --git a/ql/instruments/makevanillaswap.cpp b/ql/instruments/makevanillaswap.cpp
index ed8e43accec..ac329f29f74 100644
--- a/ql/instruments/makevanillaswap.cpp
+++ b/ql/instruments/makevanillaswap.cpp
@@ -153,7 +153,7 @@ namespace QuantLib {
             VanillaSwap temp(type_, 100.00, fixedSchedule,
                              0.0, // fixed rate
                              fixedDayCount, floatSchedule, iborIndex_, floatSpread_, floatDayCount_,
-                             ext::nullopt, useIndexedCoupons_);
+                             paymentConvention_, useIndexedCoupons_);
             if (engine_ == nullptr) {
                 Handle<YieldTermStructure> disc =
                                         iborIndex_->forwardingTermStructure();
@@ -172,7 +172,7 @@ namespace QuantLib {
 
         ext::shared_ptr<VanillaSwap> swap(new VanillaSwap(
             type_, nominal_, fixedSchedule, usedFixedRate, fixedDayCount, floatSchedule, iborIndex_,
-            floatSpread_, floatDayCount_, ext::nullopt, useIndexedCoupons_));
+            floatSpread_, floatDayCount_, paymentConvention_, useIndexedCoupons_));
 
         if (engine_ == nullptr) {
             Handle<YieldTermStructure> disc =
@@ -227,6 +227,11 @@ namespace QuantLib {
         return *this;
     }
 
+    MakeVanillaSwap& MakeVanillaSwap::withPaymentConvention(BusinessDayConvention bdc) {
+        paymentConvention_ = bdc;
+        return *this;
+    }
+
     MakeVanillaSwap& MakeVanillaSwap::withDiscountingTermStructure(
                                         const Handle<YieldTermStructure>& d) {
         bool includeSettlementDateFlows = false;
diff --git a/ql/instruments/makevanillaswap.hpp b/ql/instruments/makevanillaswap.hpp
index dfa04bd4108..291ea55ef31 100644
--- a/ql/instruments/makevanillaswap.hpp
+++ b/ql/instruments/makevanillaswap.hpp
@@ -54,6 +54,7 @@ namespace QuantLib {
         MakeVanillaSwap& withEffectiveDate(const Date&);
         MakeVanillaSwap& withTerminationDate(const Date&);
         MakeVanillaSwap& withRule(DateGeneration::Rule r);
+        MakeVanillaSwap& withPaymentConvention(BusinessDayConvention bdc);
 
         MakeVanillaSwap& withFixedLegTenor(const Period& t);
         MakeVanillaSwap& withFixedLegCalendar(const Calendar& cal);
@@ -108,6 +109,7 @@ namespace QuantLib {
         Spread floatSpread_ = 0.0;
         DayCounter fixedDayCount_, floatDayCount_;
         ext::optional<bool> useIndexedCoupons_;
+        ext::optional<BusinessDayConvention> paymentConvention_;
 
         ext::shared_ptr<PricingEngine> engine_;
     };

From 6a67c30a6a2e1ff8f96391b792cbbc0ed68d57f7 Mon Sep 17 00:00:00 2001
From: Eugene Toder <eltoder@twosigma.com>
Date: Fri, 9 Feb 2024 14:19:11 -0500
Subject: [PATCH 11/95] Return cached fixingDate in IborCoupon

Return the cached date from fixingDate() method since it is used
internally in indexFixing().
---
 ql/cashflows/iborcoupon.cpp | 6 +++++-
 ql/cashflows/iborcoupon.hpp | 1 +
 2 files changed, 6 insertions(+), 1 deletion(-)

diff --git a/ql/cashflows/iborcoupon.cpp b/ql/cashflows/iborcoupon.cpp
index 47558c5fcf1..c07100752c7 100644
--- a/ql/cashflows/iborcoupon.cpp
+++ b/ql/cashflows/iborcoupon.cpp
@@ -50,7 +50,7 @@ namespace QuantLib {
                          refPeriodStart, refPeriodEnd,
                          dayCounter, isInArrears, exCouponDate),
       iborIndex_(iborIndex) {
-        fixingDate_ = fixingDate();
+        fixingDate_ = FloatingRateCoupon::fixingDate();
     }
 
     void IborCoupon::initializeCachedData() const {
@@ -84,6 +84,10 @@ namespace QuantLib {
         return spanningTimeIndexMaturity_;
     }
 
+    Date IborCoupon::fixingDate() const {
+        return fixingDate_;
+    }
+
     Rate IborCoupon::indexFixing() const {
 
         initializeCachedData();
diff --git a/ql/cashflows/iborcoupon.hpp b/ql/cashflows/iborcoupon.hpp
index 7bbbe1f7f89..d4f645b6937 100644
--- a/ql/cashflows/iborcoupon.hpp
+++ b/ql/cashflows/iborcoupon.hpp
@@ -59,6 +59,7 @@ namespace QuantLib {
         //@}
         //! \name FloatingRateCoupon interface
         //@{
+        Date fixingDate() const override;
         // implemented in order to manage the case of par coupon
         Rate indexFixing() const override;
         void setPricer(const ext::shared_ptr<FloatingRateCouponPricer>&) override;

From cbec61ea00011fa00189dad0a698acd8c4fffb03 Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 11 Feb 2024 02:23:00 +0000
Subject: [PATCH 12/95] Automated fixes by clang-tidy

---
 ql/math/integrals/discreteintegrals.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/math/integrals/discreteintegrals.cpp b/ql/math/integrals/discreteintegrals.cpp
index 42b28116f75..5fe5d3d0d0b 100644
--- a/ql/math/integrals/discreteintegrals.cpp
+++ b/ql/math/integrals/discreteintegrals.cpp
@@ -101,7 +101,7 @@ namespace QuantLib {
             sum *= 2;
 
             sum += f(a);
-            if(n&1)
+            if((n&1) != 0u)
                 sum += 1.5*f(b)+2.5*f(b-d);
             else
                 sum += f(b);

From ace449ba350e14a9c34b2bfe15b7b55174c24e9c Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 13 Feb 2024 13:06:25 -0500
Subject: [PATCH 13/95] make constructor explicit

---
 ql/instruments/nonstandardswap.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/instruments/nonstandardswap.hpp b/ql/instruments/nonstandardswap.hpp
index e0f56ff39af..72d6c07d299 100644
--- a/ql/instruments/nonstandardswap.hpp
+++ b/ql/instruments/nonstandardswap.hpp
@@ -42,7 +42,7 @@ namespace QuantLib {
         class arguments;
         class results;
         class engine;
-        NonstandardSwap(const FixedVsFloatingSwap &fromVanilla);
+        explicit NonstandardSwap(const FixedVsFloatingSwap &fromVanilla);
         NonstandardSwap(Swap::Type type,
                         std::vector<Real> fixedNominal,
                         const std::vector<Real>& floatingNominal,

From c5eb7e30091d0be89ffe56442fbb22c2af5fc2c5 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 13 Feb 2024 13:06:43 -0500
Subject: [PATCH 14/95] move test to Faster section

---
 test-suite/swaption.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/test-suite/swaption.cpp b/test-suite/swaption.cpp
index 6d152235902..553ccfd7ba7 100644
--- a/test-suite/swaption.cpp
+++ b/test-suite/swaption.cpp
@@ -820,7 +820,7 @@ BOOST_AUTO_TEST_CASE(testCashSettledSwaptions) {
     }
 }
 
-BOOST_AUTO_TEST_CASE(testImpliedVolatility, *precondition(if_speed(Fast))) {
+BOOST_AUTO_TEST_CASE(testImpliedVolatility, *precondition(if_speed(Faster))) {
 
     BOOST_TEST_MESSAGE("Testing implied volatility for swaptions...");
 

From cef64cc98651cc9f44cf930a2018cb2da0369976 Mon Sep 17 00:00:00 2001
From: Eugene Toder <eltoder@twosigma.com>
Date: Fri, 9 Feb 2024 15:26:52 -0500
Subject: [PATCH 15/95] Reduce duplication in rate helpers constructors

---
 ql/handle.hpp                           |  16 +-
 ql/quotes/simplequote.hpp               |   5 +
 ql/termstructures/bootstraphelper.hpp   |   3 +-
 ql/termstructures/yield/ratehelpers.cpp | 197 +++++-------------------
 4 files changed, 50 insertions(+), 171 deletions(-)

diff --git a/ql/handle.hpp b/ql/handle.hpp
index 63934035c4d..37b82e1ed17 100644
--- a/ql/handle.hpp
+++ b/ql/handle.hpp
@@ -42,9 +42,9 @@ namespace QuantLib {
       protected:
         class Link : public Observable, public Observer {
           public:
-            explicit Link(const ext::shared_ptr<T>& h,
+            explicit Link(ext::shared_ptr<T> h,
                           bool registerAsObserver);
-            void linkTo(const ext::shared_ptr<T>&,
+            void linkTo(ext::shared_ptr<T>,
                         bool registerAsObserver);
             bool empty() const { return !h_; }
             const ext::shared_ptr<T>& currentLink() const { return h_; }
@@ -75,9 +75,9 @@ namespace QuantLib {
         //@{
         Handle()
         : Handle(ext::shared_ptr<T>()) {}
-        explicit Handle(const ext::shared_ptr<T>& p,
+        explicit Handle(ext::shared_ptr<T> p,
                         bool registerAsObserver = true)
-        : link_(new Link(p,registerAsObserver)) {}
+        : link_(new Link(std::move(p), registerAsObserver)) {}
         //@}
         //! dereferencing
         const ext::shared_ptr<T>& currentLink() const;
@@ -125,17 +125,17 @@ namespace QuantLib {
     // inline definitions
 
     template <class T>
-    inline Handle<T>::Link::Link(const ext::shared_ptr<T>& h, bool registerAsObserver) {
-        linkTo(h,registerAsObserver);
+    inline Handle<T>::Link::Link(ext::shared_ptr<T> h, bool registerAsObserver) {
+        linkTo(std::move(h), registerAsObserver);
     }
 
     template <class T>
-    inline void Handle<T>::Link::linkTo(const ext::shared_ptr<T>& h,
+    inline void Handle<T>::Link::linkTo(ext::shared_ptr<T> h,
                                         bool registerAsObserver) {
         if ((h != h_) || (isObserver_ != registerAsObserver)) {
             if (h_ && isObserver_)
                 unregisterWith(h_);
-            h_ = h;
+            h_ = std::move(h);
             isObserver_ = registerAsObserver;
             if (h_ && isObserver_)
                 registerWith(h_);
diff --git a/ql/quotes/simplequote.hpp b/ql/quotes/simplequote.hpp
index d859351d116..df260a5c828 100644
--- a/ql/quotes/simplequote.hpp
+++ b/ql/quotes/simplequote.hpp
@@ -32,6 +32,7 @@ namespace QuantLib {
     //! market element returning a stored value
     class SimpleQuote : public Quote {
       public:
+        static Handle<Quote> handle(Real value = Null<Real>());
         SimpleQuote(Real value = Null<Real>());
         //! \name Quote interface
         //@{
@@ -50,6 +51,10 @@ namespace QuantLib {
 
     // inline definitions
 
+    inline Handle<Quote> SimpleQuote::handle(Real value) {
+        return Handle<Quote>(ext::make_shared<SimpleQuote>(value));
+    }
+
     inline SimpleQuote::SimpleQuote(Real value)
     : value_(value) {}
 
diff --git a/ql/termstructures/bootstraphelper.hpp b/ql/termstructures/bootstraphelper.hpp
index 8fd0b3f66c3..3f28d3bee99 100644
--- a/ql/termstructures/bootstraphelper.hpp
+++ b/ql/termstructures/bootstraphelper.hpp
@@ -155,8 +155,7 @@ namespace QuantLib {
 
     template <class TS>
     BootstrapHelper<TS>::BootstrapHelper(Real quote)
-    : quote_(Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(quote)))),
-      termStructure_(nullptr) {}
+    : quote_(SimpleQuote::handle(quote)), termStructure_(nullptr) {}
 
     template <class TS>
     void BootstrapHelper<TS>::setTermStructure(TS* t) {
diff --git a/ql/termstructures/yield/ratehelpers.cpp b/ql/termstructures/yield/ratehelpers.cpp
index adb35cc57bb..e56b55dbf17 100644
--- a/ql/termstructures/yield/ratehelpers.cpp
+++ b/ql/termstructures/yield/ratehelpers.cpp
@@ -94,10 +94,10 @@ namespace QuantLib {
                                          const DayCounter& dayCounter,
                                          Rate convAdj,
                                          Futures::Type type)
-    : FuturesRateHelper(Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
+    : FuturesRateHelper(SimpleQuote::handle(price),
                         iborStartDate, lengthInMonths, calendar,
                         convention, endOfMonth, dayCounter,
-                        Handle<Quote>(ext::make_shared<SimpleQuote>(convAdj)), type) {}
+                        SimpleQuote::handle(convAdj), type) {}
 
     FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
                                          const Date& iborStartDate,
@@ -150,9 +150,9 @@ namespace QuantLib {
                                          const DayCounter& dayCounter,
                                          Rate convAdj,
                                          Futures::Type type)
-    : FuturesRateHelper(Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
+    : FuturesRateHelper(SimpleQuote::handle(price),
                         iborStartDate, iborEndDate, dayCounter,
-                        Handle<Quote>(ext::make_shared<SimpleQuote>(convAdj)), type) {}
+                        SimpleQuote::handle(convAdj), type) {}
 
     FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
                                          const Date& iborStartDate,
@@ -177,9 +177,9 @@ namespace QuantLib {
                                          const ext::shared_ptr<IborIndex>& index,
                                          Rate convAdj,
                                          Futures::Type type)
-    : FuturesRateHelper(Handle<Quote>(ext::make_shared<SimpleQuote>(price)),
+    : FuturesRateHelper(SimpleQuote::handle(price),
                         iborStartDate, index,
-                        Handle<Quote>(ext::make_shared<SimpleQuote>(convAdj)), type) {}
+                        SimpleQuote::handle(convAdj), type) {}
 
     Real FuturesRateHelper::impliedQuote() const {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
@@ -227,13 +227,8 @@ namespace QuantLib {
                                          BusinessDayConvention convention,
                                          bool endOfMonth,
                                          const DayCounter& dayCounter)
-    : RelativeDateRateHelper(rate) {
-        iborIndex_ = ext::make_shared<IborIndex>("no-fix", // never take fixing into account
-                      tenor, fixingDays,
-                      Currency(), calendar, convention,
-                      endOfMonth, dayCounter, termStructureHandle_);
-        DepositRateHelper::initializeDates();
-    }
+    : DepositRateHelper(SimpleQuote::handle(rate), tenor, fixingDays, calendar, convention,
+        endOfMonth, dayCounter) {}
 
     DepositRateHelper::DepositRateHelper(const Handle<Quote>& rate,
                                          const ext::shared_ptr<IborIndex>& i)
@@ -244,10 +239,7 @@ namespace QuantLib {
 
     DepositRateHelper::DepositRateHelper(Rate rate,
                                          const ext::shared_ptr<IborIndex>& i)
-    : RelativeDateRateHelper(rate) {
-        iborIndex_ = i->clone(termStructureHandle_);
-        DepositRateHelper::initializeDates();
-    }
+    : DepositRateHelper(SimpleQuote::handle(rate), i) {}
 
     Real DepositRateHelper::impliedQuote() const {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
@@ -298,21 +290,12 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : RelativeDateRateHelper(rate), periodToStart_(monthsToStart*Months),
-      pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
+    : FraRateHelper(rate, monthsToStart*Months, monthsToEnd-monthsToStart, fixingDays, calendar,
+        convention, endOfMonth, dayCounter, pillarChoice, customPillarDate, useIndexedCoupon) {
         QL_REQUIRE(monthsToEnd>monthsToStart,
                    "monthsToEnd (" << monthsToEnd <<
                    ") must be grater than monthsToStart (" << monthsToStart <<
                    ")");
-        // no way to take fixing into account,
-        // even if we would like to for FRA over today
-        iborIndex_ = ext::make_shared<IborIndex>("no-fix", // correct family name would be needed
-                      (monthsToEnd-monthsToStart)*Months,
-                      fixingDays,
-                      Currency(), calendar, convention,
-                      endOfMonth, dayCounter, termStructureHandle_);
-        pillarDate_ = customPillarDate;
-        FraRateHelper::initializeDates();
     }
 
     FraRateHelper::FraRateHelper(Rate rate,
@@ -326,22 +309,8 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : RelativeDateRateHelper(rate), periodToStart_(monthsToStart*Months),
-      pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
-        QL_REQUIRE(monthsToEnd>monthsToStart,
-                   "monthsToEnd (" << monthsToEnd <<
-                   ") must be grater than monthsToStart (" << monthsToStart <<
-                   ")");
-        // no way to take fixing into account,
-        // even if we would like to for FRA over today
-        iborIndex_ = ext::make_shared<IborIndex>("no-fix", // correct family name would be needed
-                      (monthsToEnd-monthsToStart)*Months,
-                      fixingDays,
-                      Currency(), calendar, convention,
-                      endOfMonth, dayCounter, termStructureHandle_);
-        pillarDate_ = customPillarDate;
-        FraRateHelper::initializeDates();
-    }
+    : FraRateHelper(SimpleQuote::handle(rate), monthsToStart, monthsToEnd, fixingDays, calendar,
+        convention, endOfMonth, dayCounter, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Natural monthsToStart,
@@ -349,18 +318,8 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : RelativeDateRateHelper(rate), periodToStart_(monthsToStart*Months),
-      pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
-        // take fixing into account
-        iborIndex_ = i->clone(termStructureHandle_);
-        // We want to be notified of changes of fixings, but we don't
-        // want notifications from termStructureHandle_ (they would
-        // interfere with bootstrapping.)
-        iborIndex_->unregisterWith(termStructureHandle_);
-        registerWith(iborIndex_);
-        pillarDate_ = customPillarDate;
-        FraRateHelper::initializeDates();
-    }
+    : FraRateHelper(rate, monthsToStart*Months, i, pillarChoice, customPillarDate, useIndexedCoupon)
+    {}
 
     FraRateHelper::FraRateHelper(Rate rate,
                                  Natural monthsToStart,
@@ -368,16 +327,8 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : RelativeDateRateHelper(rate), periodToStart_(monthsToStart*Months),
-      pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
-        // take fixing into account
-        iborIndex_ = i->clone(termStructureHandle_);
-        // see above
-        iborIndex_->unregisterWith(termStructureHandle_);
-        registerWith(iborIndex_);
-        pillarDate_ = customPillarDate;
-        FraRateHelper::initializeDates();
-    }
+    : FraRateHelper(SimpleQuote::handle(rate), monthsToStart, i, pillarChoice, customPillarDate,
+        useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Period periodToStart,
@@ -414,18 +365,8 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : RelativeDateRateHelper(rate), periodToStart_(periodToStart),
-      pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
-        // no way to take fixing into account,
-        // even if we would like to for FRA over today
-        iborIndex_ = ext::make_shared<IborIndex>("no-fix", // correct family name would be needed
-                      lengthInMonths*Months,
-                      fixingDays,
-                      Currency(), calendar, convention,
-                      endOfMonth, dayCounter, termStructureHandle_);
-        pillarDate_ = customPillarDate;
-        FraRateHelper::initializeDates();
-    }
+    : FraRateHelper(SimpleQuote::handle(rate), periodToStart, lengthInMonths, fixingDays, calendar,
+        convention, endOfMonth, dayCounter, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Period periodToStart,
@@ -437,7 +378,9 @@ namespace QuantLib {
       pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
         // take fixing into account
         iborIndex_ = i->clone(termStructureHandle_);
-        // see above
+        // We want to be notified of changes of fixings, but we don't
+        // want notifications from termStructureHandle_ (they would
+        // interfere with bootstrapping.)
         iborIndex_->unregisterWith(termStructureHandle_);
         registerWith(iborIndex_);
         pillarDate_ = customPillarDate;
@@ -450,16 +393,8 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : RelativeDateRateHelper(rate), periodToStart_(periodToStart),
-      pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
-        // take fixing into account
-        iborIndex_ = i->clone(termStructureHandle_);
-        // see above
-        iborIndex_->unregisterWith(termStructureHandle_);
-        registerWith(iborIndex_);
-        pillarDate_ = customPillarDate;
-        FraRateHelper::initializeDates();
-    }
+    : FraRateHelper(SimpleQuote::handle(rate), periodToStart, i, pillarChoice, customPillarDate,
+        useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Natural immOffsetStart,
@@ -486,16 +421,8 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : RelativeDateRateHelper(rate), immOffsetStart_(immOffsetStart), immOffsetEnd_(immOffsetEnd),
-      pillarChoice_(pillarChoice), useIndexedCoupon_(useIndexedCoupon) {
-        // take fixing into account
-        iborIndex_ = i->clone(termStructureHandle_);
-        // see above
-        iborIndex_->unregisterWith(termStructureHandle_);
-        registerWith(iborIndex_);
-        pillarDate_ = customPillarDate;
-        FraRateHelper::initializeDates();
-    }
+    : FraRateHelper(SimpleQuote::handle(rate), immOffsetStart, immOffsetEnd, i, pillarChoice,
+        customPillarDate, useIndexedCoupon) {}
 
     Real FraRateHelper::impliedQuote() const {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
@@ -605,26 +532,11 @@ namespace QuantLib {
                                    Date customPillarDate,
                                    bool endOfMonth,
                                    const ext::optional<bool>& useIndexedCoupons)
-    : RelativeDateRateHelper(rate), settlementDays_(Null<Natural>()), tenor_(swapIndex->tenor()),
-      pillarChoice_(pillarChoice), calendar_(swapIndex->fixingCalendar()),
-      fixedConvention_(swapIndex->fixedLegConvention()),
-      fixedFrequency_(swapIndex->fixedLegTenor().frequency()),
-      fixedDayCount_(swapIndex->dayCounter()), spread_(std::move(spread)), endOfMonth_(endOfMonth),
-      fwdStart_(fwdStart), discountHandle_(std::move(discount)), useIndexedCoupons_(useIndexedCoupons) {
-        // take fixing into account
-        iborIndex_ = swapIndex->iborIndex()->clone(termStructureHandle_);
-        // We want to be notified of changes of fixings, but we don't
-        // want notifications from termStructureHandle_ (they would
-        // interfere with bootstrapping.)
-        iborIndex_->unregisterWith(termStructureHandle_);
-
-        registerWith(iborIndex_);
-        registerWith(spread_);
-        registerWith(discountHandle_);
-
-        pillarDate_ = customPillarDate;
-        SwapRateHelper::initializeDates();
-    }
+    : SwapRateHelper(rate, swapIndex->tenor(), swapIndex->fixingCalendar(),
+        swapIndex->fixedLegTenor().frequency(), swapIndex->fixedLegConvention(),
+        swapIndex->dayCounter(), swapIndex->iborIndex(), std::move(spread), fwdStart,
+        std::move(discount), Null<Natural>(), pillarChoice, customPillarDate, endOfMonth,
+        useIndexedCoupons) {}
 
     SwapRateHelper::SwapRateHelper(const Handle<Quote>& rate,
                                    const Period& tenor,
@@ -672,27 +584,8 @@ namespace QuantLib {
                                    Date customPillarDate,
                                    bool endOfMonth,
                                    const ext::optional<bool>& useIndexedCoupons)
-    : RelativeDateRateHelper(rate), settlementDays_(Null<Natural>()), tenor_(swapIndex->tenor()),
-      pillarChoice_(pillarChoice), calendar_(swapIndex->fixingCalendar()),
-      fixedConvention_(swapIndex->fixedLegConvention()),
-      fixedFrequency_(swapIndex->fixedLegTenor().frequency()),
-      fixedDayCount_(swapIndex->dayCounter()), spread_(std::move(spread)), endOfMonth_(endOfMonth),
-      fwdStart_(fwdStart), discountHandle_(std::move(discount)),
-      useIndexedCoupons_(useIndexedCoupons) {
-        // take fixing into account
-        iborIndex_ = swapIndex->iborIndex()->clone(termStructureHandle_);
-        // We want to be notified of changes of fixings, but we don't
-        // want notifications from termStructureHandle_ (they would
-        // interfere with bootstrapping.)
-        iborIndex_->unregisterWith(termStructureHandle_);
-
-        registerWith(iborIndex_);
-        registerWith(spread_);
-        registerWith(discountHandle_);
-
-        pillarDate_ = customPillarDate;
-        SwapRateHelper::initializeDates();
-    }
+    : SwapRateHelper(SimpleQuote::handle(rate), swapIndex, std::move(spread), fwdStart,
+        std::move(discount), pillarChoice, customPillarDate, endOfMonth, useIndexedCoupons) {}
 
     SwapRateHelper::SwapRateHelper(Rate rate,
                                    const Period& tenor,
@@ -709,27 +602,9 @@ namespace QuantLib {
                                    Date customPillarDate,
                                    bool endOfMonth,
                                    const ext::optional<bool>& useIndexedCoupons)
-    : RelativeDateRateHelper(rate), settlementDays_(settlementDays), tenor_(tenor),
-      pillarChoice_(pillarChoice), calendar_(std::move(calendar)),
-      fixedConvention_(fixedConvention), fixedFrequency_(fixedFrequency),
-      fixedDayCount_(std::move(fixedDayCount)), spread_(std::move(spread)), endOfMonth_(endOfMonth),
-      fwdStart_(fwdStart), discountHandle_(std::move(discount)),
-      useIndexedCoupons_(useIndexedCoupons) {
-
-        // take fixing into account
-        iborIndex_ = iborIndex->clone(termStructureHandle_);
-        // We want to be notified of changes of fixings, but we don't
-        // want notifications from termStructureHandle_ (they would
-        // interfere with bootstrapping.)
-        iborIndex_->unregisterWith(termStructureHandle_);
-
-        registerWith(iborIndex_);
-        registerWith(spread_);
-        registerWith(discountHandle_);
-
-        pillarDate_ = customPillarDate;
-        SwapRateHelper::initializeDates();
-    }
+    : SwapRateHelper(SimpleQuote::handle(rate), tenor, calendar, fixedFrequency, fixedConvention,
+        fixedDayCount, iborIndex, std::move(spread), fwdStart, std::move(discount), settlementDays,
+        pillarChoice, customPillarDate, endOfMonth, useIndexedCoupons) {}
 
     void SwapRateHelper::initializeDates() {
 

From 9ca941007ef0bf4f926312583e23abf1793da749 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 16 Feb 2024 10:22:35 +0100
Subject: [PATCH 16/95] Extract static method to function for shorter calls

---
 ql/quotes/simplequote.hpp               |  6 ++-
 ql/termstructures/bootstraphelper.hpp   |  2 +-
 ql/termstructures/yield/ratehelpers.cpp | 49 +++++++++++--------------
 3 files changed, 26 insertions(+), 31 deletions(-)

diff --git a/ql/quotes/simplequote.hpp b/ql/quotes/simplequote.hpp
index df260a5c828..efde7cecaa1 100644
--- a/ql/quotes/simplequote.hpp
+++ b/ql/quotes/simplequote.hpp
@@ -32,7 +32,6 @@ namespace QuantLib {
     //! market element returning a stored value
     class SimpleQuote : public Quote {
       public:
-        static Handle<Quote> handle(Real value = Null<Real>());
         SimpleQuote(Real value = Null<Real>());
         //! \name Quote interface
         //@{
@@ -49,9 +48,12 @@ namespace QuantLib {
         Real value_;
     };
 
+    Handle<Quote> handle(Real value);
+
+
     // inline definitions
 
-    inline Handle<Quote> SimpleQuote::handle(Real value) {
+    inline Handle<Quote> handle(Real value) {
         return Handle<Quote>(ext::make_shared<SimpleQuote>(value));
     }
 
diff --git a/ql/termstructures/bootstraphelper.hpp b/ql/termstructures/bootstraphelper.hpp
index 3f28d3bee99..ea892b0144f 100644
--- a/ql/termstructures/bootstraphelper.hpp
+++ b/ql/termstructures/bootstraphelper.hpp
@@ -155,7 +155,7 @@ namespace QuantLib {
 
     template <class TS>
     BootstrapHelper<TS>::BootstrapHelper(Real quote)
-    : quote_(SimpleQuote::handle(quote)), termStructure_(nullptr) {}
+    : quote_(handle(quote)), termStructure_(nullptr) {}
 
     template <class TS>
     void BootstrapHelper<TS>::setTermStructure(TS* t) {
diff --git a/ql/termstructures/yield/ratehelpers.cpp b/ql/termstructures/yield/ratehelpers.cpp
index e56b55dbf17..70bf3aeb749 100644
--- a/ql/termstructures/yield/ratehelpers.cpp
+++ b/ql/termstructures/yield/ratehelpers.cpp
@@ -94,10 +94,8 @@ namespace QuantLib {
                                          const DayCounter& dayCounter,
                                          Rate convAdj,
                                          Futures::Type type)
-    : FuturesRateHelper(SimpleQuote::handle(price),
-                        iborStartDate, lengthInMonths, calendar,
-                        convention, endOfMonth, dayCounter,
-                        SimpleQuote::handle(convAdj), type) {}
+    : FuturesRateHelper(handle(price), iborStartDate, lengthInMonths, calendar,
+                        convention, endOfMonth, dayCounter, handle(convAdj), type) {}
 
     FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
                                          const Date& iborStartDate,
@@ -150,9 +148,8 @@ namespace QuantLib {
                                          const DayCounter& dayCounter,
                                          Rate convAdj,
                                          Futures::Type type)
-    : FuturesRateHelper(SimpleQuote::handle(price),
-                        iborStartDate, iborEndDate, dayCounter,
-                        SimpleQuote::handle(convAdj), type) {}
+    : FuturesRateHelper(handle(price), iborStartDate, iborEndDate, dayCounter,
+                        handle(convAdj), type) {}
 
     FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
                                          const Date& iborStartDate,
@@ -177,9 +174,7 @@ namespace QuantLib {
                                          const ext::shared_ptr<IborIndex>& index,
                                          Rate convAdj,
                                          Futures::Type type)
-    : FuturesRateHelper(SimpleQuote::handle(price),
-                        iborStartDate, index,
-                        SimpleQuote::handle(convAdj), type) {}
+    : FuturesRateHelper(handle(price), iborStartDate, index, handle(convAdj), type) {}
 
     Real FuturesRateHelper::impliedQuote() const {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
@@ -227,8 +222,8 @@ namespace QuantLib {
                                          BusinessDayConvention convention,
                                          bool endOfMonth,
                                          const DayCounter& dayCounter)
-    : DepositRateHelper(SimpleQuote::handle(rate), tenor, fixingDays, calendar, convention,
-        endOfMonth, dayCounter) {}
+    : DepositRateHelper(handle(rate), tenor, fixingDays, calendar, convention,
+                        endOfMonth, dayCounter) {}
 
     DepositRateHelper::DepositRateHelper(const Handle<Quote>& rate,
                                          const ext::shared_ptr<IborIndex>& i)
@@ -239,7 +234,7 @@ namespace QuantLib {
 
     DepositRateHelper::DepositRateHelper(Rate rate,
                                          const ext::shared_ptr<IborIndex>& i)
-    : DepositRateHelper(SimpleQuote::handle(rate), i) {}
+    : DepositRateHelper(handle(rate), i) {}
 
     Real DepositRateHelper::impliedQuote() const {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
@@ -309,8 +304,8 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(SimpleQuote::handle(rate), monthsToStart, monthsToEnd, fixingDays, calendar,
-        convention, endOfMonth, dayCounter, pillarChoice, customPillarDate, useIndexedCoupon) {}
+    : FraRateHelper(handle(rate), monthsToStart, monthsToEnd, fixingDays, calendar,
+                    convention, endOfMonth, dayCounter, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Natural monthsToStart,
@@ -327,8 +322,7 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(SimpleQuote::handle(rate), monthsToStart, i, pillarChoice, customPillarDate,
-        useIndexedCoupon) {}
+    : FraRateHelper(handle(rate), monthsToStart, i, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Period periodToStart,
@@ -365,8 +359,8 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(SimpleQuote::handle(rate), periodToStart, lengthInMonths, fixingDays, calendar,
-        convention, endOfMonth, dayCounter, pillarChoice, customPillarDate, useIndexedCoupon) {}
+    : FraRateHelper(handle(rate), periodToStart, lengthInMonths, fixingDays, calendar,
+                    convention, endOfMonth, dayCounter, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Period periodToStart,
@@ -393,8 +387,7 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(SimpleQuote::handle(rate), periodToStart, i, pillarChoice, customPillarDate,
-        useIndexedCoupon) {}
+    : FraRateHelper(handle(rate), periodToStart, i, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Natural immOffsetStart,
@@ -421,8 +414,8 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(SimpleQuote::handle(rate), immOffsetStart, immOffsetEnd, i, pillarChoice,
-        customPillarDate, useIndexedCoupon) {}
+    : FraRateHelper(handle(rate), immOffsetStart, immOffsetEnd, i, pillarChoice,
+                    customPillarDate, useIndexedCoupon) {}
 
     Real FraRateHelper::impliedQuote() const {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
@@ -584,8 +577,8 @@ namespace QuantLib {
                                    Date customPillarDate,
                                    bool endOfMonth,
                                    const ext::optional<bool>& useIndexedCoupons)
-    : SwapRateHelper(SimpleQuote::handle(rate), swapIndex, std::move(spread), fwdStart,
-        std::move(discount), pillarChoice, customPillarDate, endOfMonth, useIndexedCoupons) {}
+    : SwapRateHelper(handle(rate), swapIndex, std::move(spread), fwdStart,
+                     std::move(discount), pillarChoice, customPillarDate, endOfMonth, useIndexedCoupons) {}
 
     SwapRateHelper::SwapRateHelper(Rate rate,
                                    const Period& tenor,
@@ -602,9 +595,9 @@ namespace QuantLib {
                                    Date customPillarDate,
                                    bool endOfMonth,
                                    const ext::optional<bool>& useIndexedCoupons)
-    : SwapRateHelper(SimpleQuote::handle(rate), tenor, calendar, fixedFrequency, fixedConvention,
-        fixedDayCount, iborIndex, std::move(spread), fwdStart, std::move(discount), settlementDays,
-        pillarChoice, customPillarDate, endOfMonth, useIndexedCoupons) {}
+    : SwapRateHelper(handle(rate), tenor, calendar, fixedFrequency, fixedConvention,
+                     fixedDayCount, iborIndex, std::move(spread), fwdStart, std::move(discount), settlementDays,
+                     pillarChoice, customPillarDate, endOfMonth, useIndexedCoupons) {}
 
     void SwapRateHelper::initializeDates() {
 

From f1db18fa543973945c8ff67d9034127cdb3453a6 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 16 Feb 2024 11:48:36 +0100
Subject: [PATCH 17/95] Use convenience function in examples

---
 Examples/CDS/CDS.cpp                           |  2 +-
 Examples/CVAIRS/CVAIRS.cpp                     |  2 +-
 Examples/ConvertibleBonds/ConvertibleBonds.cpp |  4 ++--
 Examples/DiscreteHedging/DiscreteHedging.cpp   |  3 +--
 Examples/EquityOption/EquityOption.cpp         |  2 +-
 Examples/Gaussian1dModels/Gaussian1dModels.cpp | 10 ++++------
 6 files changed, 10 insertions(+), 13 deletions(-)

diff --git a/Examples/CDS/CDS.cpp b/Examples/CDS/CDS.cpp
index 2cfb998cdc6..040df2cde0f 100644
--- a/Examples/CDS/CDS.cpp
+++ b/Examples/CDS/CDS.cpp
@@ -98,7 +98,7 @@ void example01() {
     std::vector<ext::shared_ptr<DefaultProbabilityHelper>> instruments;
     for (Size i = 0; i < 4; i++) {
         instruments.push_back(ext::make_shared<SpreadCdsHelper>(
-                                Handle<Quote>(ext::make_shared<SimpleQuote>(quoted_spreads[i])),
+                                handle(quoted_spreads[i]),
                                 tenors[i], settlementDays, calendar, Quarterly, Following,
                                 DateGeneration::TwentiethIMM, Actual365Fixed(),
                                 recovery_rate, tsCurve));
diff --git a/Examples/CVAIRS/CVAIRS.cpp b/Examples/CVAIRS/CVAIRS.cpp
index 9ef26737cd7..3d44f7558ef 100644
--- a/Examples/CVAIRS/CVAIRS.cpp
+++ b/Examples/CVAIRS/CVAIRS.cpp
@@ -69,7 +69,7 @@ int main(int, char* []) {
         vector<ext::shared_ptr<RateHelper>> swapHelpers;
         for(Size i=0; i<sizeof(tenorsSwapMkt)/sizeof(Size); i++)
             swapHelpers.push_back(ext::make_shared<SwapRateHelper>(
-                Handle<Quote>(ext::make_shared<SimpleQuote>(ratesSwapmkt[i])),
+                    handle(ratesSwapmkt[i]),
                     tenorsSwapMkt[i] * Years,
                     TARGET(),
                     Quarterly,
diff --git a/Examples/ConvertibleBonds/ConvertibleBonds.cpp b/Examples/ConvertibleBonds/ConvertibleBonds.cpp
index 320599ca36e..69b7f310301 100644
--- a/Examples/ConvertibleBonds/ConvertibleBonds.cpp
+++ b/Examples/ConvertibleBonds/ConvertibleBonds.cpp
@@ -144,7 +144,7 @@ int main(int, char* []) {
         auto exercise = ext::make_shared<EuropeanExercise>(exerciseDate);
         auto amExercise = ext::make_shared<AmericanExercise>(settlementDate, exerciseDate);
 
-        Handle<Quote> underlyingH(ext::make_shared<SimpleQuote>(underlying));
+        auto underlyingH = handle(underlying);
 
         Handle<YieldTermStructure> flatTermStructure(
             ext::make_shared<FlatForward>(settlementDate, riskFreeRate, dayCounter));
@@ -160,7 +160,7 @@ int main(int, char* []) {
 
         Size timeSteps = 801;
 
-        Handle<Quote> creditSpread(ext::make_shared<SimpleQuote>(spreadRate));
+        auto creditSpread = handle(spreadRate);
 
         auto rate = ext::make_shared<SimpleQuote>(riskFreeRate);
 
diff --git a/Examples/DiscreteHedging/DiscreteHedging.cpp b/Examples/DiscreteHedging/DiscreteHedging.cpp
index 8ebe9d4fb8c..7df493e17e0 100644
--- a/Examples/DiscreteHedging/DiscreteHedging.cpp
+++ b/Examples/DiscreteHedging/DiscreteHedging.cpp
@@ -300,8 +300,7 @@ void ReplicationError::compute(Size nTimeSteps, Size nSamples)
     Calendar calendar = TARGET();
     Date today = Date::todaysDate();
     DayCounter dayCount = Actual365Fixed();
-    Handle<Quote> stateVariable(
-                          ext::make_shared<SimpleQuote>(s0_));
+    auto stateVariable = handle(s0_);
     Handle<YieldTermStructure> riskFreeRate(
                           ext::make_shared<FlatForward>(today, r_, dayCount));
     Handle<YieldTermStructure> dividendYield(
diff --git a/Examples/EquityOption/EquityOption.cpp b/Examples/EquityOption/EquityOption.cpp
index 2de0f67f759..014a2940c9f 100644
--- a/Examples/EquityOption/EquityOption.cpp
+++ b/Examples/EquityOption/EquityOption.cpp
@@ -97,7 +97,7 @@ int main(int, char* []) {
 
         auto americanExercise = ext::make_shared<AmericanExercise>(settlementDate, maturity);
 
-        Handle<Quote> underlyingH(ext::make_shared<SimpleQuote>(underlying));
+        auto underlyingH = handle(underlying);
 
         // bootstrap the yield/dividend/vol curves
         Handle<YieldTermStructure> flatTermStructure(
diff --git a/Examples/Gaussian1dModels/Gaussian1dModels.cpp b/Examples/Gaussian1dModels/Gaussian1dModels.cpp
index 651af1dd0ee..bbe445eeb96 100644
--- a/Examples/Gaussian1dModels/Gaussian1dModels.cpp
+++ b/Examples/Gaussian1dModels/Gaussian1dModels.cpp
@@ -137,9 +137,8 @@ int main(int argc, char *argv[]) {
         Real forward6mLevel = 0.025;
         Real oisLevel = 0.02;
 
-        Handle<Quote> forward6mQuote(
-            ext::make_shared<SimpleQuote>(forward6mLevel));
-        Handle<Quote> oisQuote(ext::make_shared<SimpleQuote>(oisLevel));
+        auto forward6mQuote = handle(forward6mLevel);
+        auto oisQuote = handle(oisLevel);
 
         Handle<YieldTermStructure> yts6m(ext::make_shared<FlatForward>(
             0, TARGET(), forward6mQuote, Actual365Fixed()));
@@ -156,7 +155,7 @@ int main(int argc, char *argv[]) {
             << "\nat a level of " << forward6mLevel << std::endl;
 
         Real volLevel = 0.20;
-        Handle<Quote> volQuote(ext::make_shared<SimpleQuote>(volLevel));
+        auto volQuote = handle(volLevel);
         Handle<SwaptionVolatilityStructure> swaptionVol(
             ext::make_shared<ConstantSwaptionVolatility>(
                 0, TARGET(), ModifiedFollowing, volQuote, Actual365Fixed()));
@@ -483,8 +482,7 @@ int main(int argc, char *argv[]) {
                "\npricing this using the LinearTsrPricer for CMS coupon "
                "estimation" << std::endl;
 
-        Handle<Quote> reversionQuote(
-            ext::make_shared<SimpleQuote>(reversion));
+        auto reversionQuote = handle(reversion);
 
         const Leg &leg0 = underlying4->leg(0);
         const Leg &leg1 = underlying4->leg(1);

From 22dc9118b8082a3b77e04ad0cb6d293b0a61921d Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 16 Feb 2024 12:32:32 +0100
Subject: [PATCH 18/95] Create relinkable handle in convenience function

---
 ql/quotes/simplequote.hpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/ql/quotes/simplequote.hpp b/ql/quotes/simplequote.hpp
index efde7cecaa1..d38b93f1d27 100644
--- a/ql/quotes/simplequote.hpp
+++ b/ql/quotes/simplequote.hpp
@@ -48,13 +48,13 @@ namespace QuantLib {
         Real value_;
     };
 
-    Handle<Quote> handle(Real value);
+    RelinkableHandle<Quote> handle(Real value);
 
 
     // inline definitions
 
-    inline Handle<Quote> handle(Real value) {
-        return Handle<Quote>(ext::make_shared<SimpleQuote>(value));
+    inline RelinkableHandle<Quote> handle(Real value) {
+        return RelinkableHandle<Quote>(ext::make_shared<SimpleQuote>(value));
     }
 
     inline SimpleQuote::SimpleQuote(Real value)

From 408493f89afa86189006d974ad2aaa20fd1127df Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 18 Feb 2024 01:18:17 +0000
Subject: [PATCH 19/95] Automated fixes by clang-tidy

---
 ql/math/integrals/discreteintegrals.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/math/integrals/discreteintegrals.cpp b/ql/math/integrals/discreteintegrals.cpp
index 5fe5d3d0d0b..ad9cba737f3 100644
--- a/ql/math/integrals/discreteintegrals.cpp
+++ b/ql/math/integrals/discreteintegrals.cpp
@@ -101,7 +101,7 @@ namespace QuantLib {
             sum *= 2;
 
             sum += f(a);
-            if((n&1) != 0u)
+            if((n&1) != 0U)
                 sum += 1.5*f(b)+2.5*f(b-d);
             else
                 sum += f(b);

From 30d6eb5be8e9637572258ee57455887b92f9aa42 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 19 Feb 2024 12:17:18 +0100
Subject: [PATCH 20/95] Rename convenience function

---
 Examples/CDS/CDS.cpp                          |  2 +-
 Examples/CVAIRS/CVAIRS.cpp                    |  2 +-
 .../ConvertibleBonds/ConvertibleBonds.cpp     |  4 +--
 Examples/DiscreteHedging/DiscreteHedging.cpp  |  2 +-
 Examples/EquityOption/EquityOption.cpp        |  2 +-
 .../Gaussian1dModels/Gaussian1dModels.cpp     | 10 +++----
 ql/quotes/simplequote.hpp                     |  4 +--
 ql/termstructures/bootstraphelper.hpp         |  2 +-
 ql/termstructures/yield/ratehelpers.cpp       | 28 +++++++++----------
 9 files changed, 28 insertions(+), 28 deletions(-)

diff --git a/Examples/CDS/CDS.cpp b/Examples/CDS/CDS.cpp
index 040df2cde0f..3b7fe5e05c1 100644
--- a/Examples/CDS/CDS.cpp
+++ b/Examples/CDS/CDS.cpp
@@ -98,7 +98,7 @@ void example01() {
     std::vector<ext::shared_ptr<DefaultProbabilityHelper>> instruments;
     for (Size i = 0; i < 4; i++) {
         instruments.push_back(ext::make_shared<SpreadCdsHelper>(
-                                handle(quoted_spreads[i]),
+                                makeQuoteHandle(quoted_spreads[i]),
                                 tenors[i], settlementDays, calendar, Quarterly, Following,
                                 DateGeneration::TwentiethIMM, Actual365Fixed(),
                                 recovery_rate, tsCurve));
diff --git a/Examples/CVAIRS/CVAIRS.cpp b/Examples/CVAIRS/CVAIRS.cpp
index 3d44f7558ef..e992f3c1110 100644
--- a/Examples/CVAIRS/CVAIRS.cpp
+++ b/Examples/CVAIRS/CVAIRS.cpp
@@ -69,7 +69,7 @@ int main(int, char* []) {
         vector<ext::shared_ptr<RateHelper>> swapHelpers;
         for(Size i=0; i<sizeof(tenorsSwapMkt)/sizeof(Size); i++)
             swapHelpers.push_back(ext::make_shared<SwapRateHelper>(
-                    handle(ratesSwapmkt[i]),
+                    makeQuoteHandle(ratesSwapmkt[i]),
                     tenorsSwapMkt[i] * Years,
                     TARGET(),
                     Quarterly,
diff --git a/Examples/ConvertibleBonds/ConvertibleBonds.cpp b/Examples/ConvertibleBonds/ConvertibleBonds.cpp
index 69b7f310301..81553205578 100644
--- a/Examples/ConvertibleBonds/ConvertibleBonds.cpp
+++ b/Examples/ConvertibleBonds/ConvertibleBonds.cpp
@@ -144,7 +144,7 @@ int main(int, char* []) {
         auto exercise = ext::make_shared<EuropeanExercise>(exerciseDate);
         auto amExercise = ext::make_shared<AmericanExercise>(settlementDate, exerciseDate);
 
-        auto underlyingH = handle(underlying);
+        auto underlyingH = makeQuoteHandle(underlying);
 
         Handle<YieldTermStructure> flatTermStructure(
             ext::make_shared<FlatForward>(settlementDate, riskFreeRate, dayCounter));
@@ -160,7 +160,7 @@ int main(int, char* []) {
 
         Size timeSteps = 801;
 
-        auto creditSpread = handle(spreadRate);
+        auto creditSpread = makeQuoteHandle(spreadRate);
 
         auto rate = ext::make_shared<SimpleQuote>(riskFreeRate);
 
diff --git a/Examples/DiscreteHedging/DiscreteHedging.cpp b/Examples/DiscreteHedging/DiscreteHedging.cpp
index 7df493e17e0..3248b31a332 100644
--- a/Examples/DiscreteHedging/DiscreteHedging.cpp
+++ b/Examples/DiscreteHedging/DiscreteHedging.cpp
@@ -300,7 +300,7 @@ void ReplicationError::compute(Size nTimeSteps, Size nSamples)
     Calendar calendar = TARGET();
     Date today = Date::todaysDate();
     DayCounter dayCount = Actual365Fixed();
-    auto stateVariable = handle(s0_);
+    auto stateVariable = makeQuoteHandle(s0_);
     Handle<YieldTermStructure> riskFreeRate(
                           ext::make_shared<FlatForward>(today, r_, dayCount));
     Handle<YieldTermStructure> dividendYield(
diff --git a/Examples/EquityOption/EquityOption.cpp b/Examples/EquityOption/EquityOption.cpp
index 014a2940c9f..2a0c4bd1881 100644
--- a/Examples/EquityOption/EquityOption.cpp
+++ b/Examples/EquityOption/EquityOption.cpp
@@ -97,7 +97,7 @@ int main(int, char* []) {
 
         auto americanExercise = ext::make_shared<AmericanExercise>(settlementDate, maturity);
 
-        auto underlyingH = handle(underlying);
+        auto underlyingH = makeQuoteHandle(underlying);
 
         // bootstrap the yield/dividend/vol curves
         Handle<YieldTermStructure> flatTermStructure(
diff --git a/Examples/Gaussian1dModels/Gaussian1dModels.cpp b/Examples/Gaussian1dModels/Gaussian1dModels.cpp
index bbe445eeb96..e411dad8cb9 100644
--- a/Examples/Gaussian1dModels/Gaussian1dModels.cpp
+++ b/Examples/Gaussian1dModels/Gaussian1dModels.cpp
@@ -118,7 +118,7 @@ void printModelCalibration(
 
 // here the main part of the code starts
 
-int main(int argc, char *argv[]) {
+int main(int, char *[]) {
 
     try {
 
@@ -137,8 +137,8 @@ int main(int argc, char *argv[]) {
         Real forward6mLevel = 0.025;
         Real oisLevel = 0.02;
 
-        auto forward6mQuote = handle(forward6mLevel);
-        auto oisQuote = handle(oisLevel);
+        auto forward6mQuote = makeQuoteHandle(forward6mLevel);
+        auto oisQuote = makeQuoteHandle(oisLevel);
 
         Handle<YieldTermStructure> yts6m(ext::make_shared<FlatForward>(
             0, TARGET(), forward6mQuote, Actual365Fixed()));
@@ -155,7 +155,7 @@ int main(int argc, char *argv[]) {
             << "\nat a level of " << forward6mLevel << std::endl;
 
         Real volLevel = 0.20;
-        auto volQuote = handle(volLevel);
+        auto volQuote = makeQuoteHandle(volLevel);
         Handle<SwaptionVolatilityStructure> swaptionVol(
             ext::make_shared<ConstantSwaptionVolatility>(
                 0, TARGET(), ModifiedFollowing, volQuote, Actual365Fixed()));
@@ -482,7 +482,7 @@ int main(int argc, char *argv[]) {
                "\npricing this using the LinearTsrPricer for CMS coupon "
                "estimation" << std::endl;
 
-        auto reversionQuote = handle(reversion);
+        auto reversionQuote = makeQuoteHandle(reversion);
 
         const Leg &leg0 = underlying4->leg(0);
         const Leg &leg1 = underlying4->leg(1);
diff --git a/ql/quotes/simplequote.hpp b/ql/quotes/simplequote.hpp
index d38b93f1d27..900c3eb05d6 100644
--- a/ql/quotes/simplequote.hpp
+++ b/ql/quotes/simplequote.hpp
@@ -48,12 +48,12 @@ namespace QuantLib {
         Real value_;
     };
 
-    RelinkableHandle<Quote> handle(Real value);
+    RelinkableHandle<Quote> makeQuoteHandle(Real value);
 
 
     // inline definitions
 
-    inline RelinkableHandle<Quote> handle(Real value) {
+    inline RelinkableHandle<Quote> makeQuoteHandle(Real value) {
         return RelinkableHandle<Quote>(ext::make_shared<SimpleQuote>(value));
     }
 
diff --git a/ql/termstructures/bootstraphelper.hpp b/ql/termstructures/bootstraphelper.hpp
index ea892b0144f..66b071b42ce 100644
--- a/ql/termstructures/bootstraphelper.hpp
+++ b/ql/termstructures/bootstraphelper.hpp
@@ -155,7 +155,7 @@ namespace QuantLib {
 
     template <class TS>
     BootstrapHelper<TS>::BootstrapHelper(Real quote)
-    : quote_(handle(quote)), termStructure_(nullptr) {}
+    : quote_(makeQuoteHandle(quote)), termStructure_(nullptr) {}
 
     template <class TS>
     void BootstrapHelper<TS>::setTermStructure(TS* t) {
diff --git a/ql/termstructures/yield/ratehelpers.cpp b/ql/termstructures/yield/ratehelpers.cpp
index 70bf3aeb749..cdd72dcffe4 100644
--- a/ql/termstructures/yield/ratehelpers.cpp
+++ b/ql/termstructures/yield/ratehelpers.cpp
@@ -94,8 +94,8 @@ namespace QuantLib {
                                          const DayCounter& dayCounter,
                                          Rate convAdj,
                                          Futures::Type type)
-    : FuturesRateHelper(handle(price), iborStartDate, lengthInMonths, calendar,
-                        convention, endOfMonth, dayCounter, handle(convAdj), type) {}
+    : FuturesRateHelper(makeQuoteHandle(price), iborStartDate, lengthInMonths, calendar,
+                        convention, endOfMonth, dayCounter, makeQuoteHandle(convAdj), type) {}
 
     FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
                                          const Date& iborStartDate,
@@ -148,8 +148,8 @@ namespace QuantLib {
                                          const DayCounter& dayCounter,
                                          Rate convAdj,
                                          Futures::Type type)
-    : FuturesRateHelper(handle(price), iborStartDate, iborEndDate, dayCounter,
-                        handle(convAdj), type) {}
+    : FuturesRateHelper(makeQuoteHandle(price), iborStartDate, iborEndDate, dayCounter,
+                        makeQuoteHandle(convAdj), type) {}
 
     FuturesRateHelper::FuturesRateHelper(const Handle<Quote>& price,
                                          const Date& iborStartDate,
@@ -174,7 +174,7 @@ namespace QuantLib {
                                          const ext::shared_ptr<IborIndex>& index,
                                          Rate convAdj,
                                          Futures::Type type)
-    : FuturesRateHelper(handle(price), iborStartDate, index, handle(convAdj), type) {}
+    : FuturesRateHelper(makeQuoteHandle(price), iborStartDate, index, makeQuoteHandle(convAdj), type) {}
 
     Real FuturesRateHelper::impliedQuote() const {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
@@ -222,7 +222,7 @@ namespace QuantLib {
                                          BusinessDayConvention convention,
                                          bool endOfMonth,
                                          const DayCounter& dayCounter)
-    : DepositRateHelper(handle(rate), tenor, fixingDays, calendar, convention,
+    : DepositRateHelper(makeQuoteHandle(rate), tenor, fixingDays, calendar, convention,
                         endOfMonth, dayCounter) {}
 
     DepositRateHelper::DepositRateHelper(const Handle<Quote>& rate,
@@ -234,7 +234,7 @@ namespace QuantLib {
 
     DepositRateHelper::DepositRateHelper(Rate rate,
                                          const ext::shared_ptr<IborIndex>& i)
-    : DepositRateHelper(handle(rate), i) {}
+    : DepositRateHelper(makeQuoteHandle(rate), i) {}
 
     Real DepositRateHelper::impliedQuote() const {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
@@ -304,7 +304,7 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(handle(rate), monthsToStart, monthsToEnd, fixingDays, calendar,
+    : FraRateHelper(makeQuoteHandle(rate), monthsToStart, monthsToEnd, fixingDays, calendar,
                     convention, endOfMonth, dayCounter, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
@@ -322,7 +322,7 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(handle(rate), monthsToStart, i, pillarChoice, customPillarDate, useIndexedCoupon) {}
+    : FraRateHelper(makeQuoteHandle(rate), monthsToStart, i, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Period periodToStart,
@@ -359,7 +359,7 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(handle(rate), periodToStart, lengthInMonths, fixingDays, calendar,
+    : FraRateHelper(makeQuoteHandle(rate), periodToStart, lengthInMonths, fixingDays, calendar,
                     convention, endOfMonth, dayCounter, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
@@ -387,7 +387,7 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(handle(rate), periodToStart, i, pillarChoice, customPillarDate, useIndexedCoupon) {}
+    : FraRateHelper(makeQuoteHandle(rate), periodToStart, i, pillarChoice, customPillarDate, useIndexedCoupon) {}
 
     FraRateHelper::FraRateHelper(const Handle<Quote>& rate,
                                  Natural immOffsetStart,
@@ -414,7 +414,7 @@ namespace QuantLib {
                                  Pillar::Choice pillarChoice,
                                  Date customPillarDate,
                                  bool useIndexedCoupon)
-    : FraRateHelper(handle(rate), immOffsetStart, immOffsetEnd, i, pillarChoice,
+    : FraRateHelper(makeQuoteHandle(rate), immOffsetStart, immOffsetEnd, i, pillarChoice,
                     customPillarDate, useIndexedCoupon) {}
 
     Real FraRateHelper::impliedQuote() const {
@@ -577,7 +577,7 @@ namespace QuantLib {
                                    Date customPillarDate,
                                    bool endOfMonth,
                                    const ext::optional<bool>& useIndexedCoupons)
-    : SwapRateHelper(handle(rate), swapIndex, std::move(spread), fwdStart,
+    : SwapRateHelper(makeQuoteHandle(rate), swapIndex, std::move(spread), fwdStart,
                      std::move(discount), pillarChoice, customPillarDate, endOfMonth, useIndexedCoupons) {}
 
     SwapRateHelper::SwapRateHelper(Rate rate,
@@ -595,7 +595,7 @@ namespace QuantLib {
                                    Date customPillarDate,
                                    bool endOfMonth,
                                    const ext::optional<bool>& useIndexedCoupons)
-    : SwapRateHelper(handle(rate), tenor, calendar, fixedFrequency, fixedConvention,
+    : SwapRateHelper(makeQuoteHandle(rate), tenor, calendar, fixedFrequency, fixedConvention,
                      fixedDayCount, iborIndex, std::move(spread), fwdStart, std::move(discount), settlementDays,
                      pillarChoice, customPillarDate, endOfMonth, useIndexedCoupons) {}
 

From ce909f40fb316efb3d7acca53006d30c169497b4 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 19 Feb 2024 13:07:59 +0100
Subject: [PATCH 21/95] Install ninja manually to avoid choco failures

---
 .github/workflows/cmake.yml | 15 ++++++++++++---
 1 file changed, 12 insertions(+), 3 deletions(-)

diff --git a/.github/workflows/cmake.yml b/.github/workflows/cmake.yml
index 98390182b3e..b6b8b151a0f 100644
--- a/.github/workflows/cmake.yml
+++ b/.github/workflows/cmake.yml
@@ -71,7 +71,10 @@ jobs:
         $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
         (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
         Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
-        choco install -y ninja
+        $Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
+        (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
+        Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
+        Add-Content $env:GITHUB_PATH "C:\local\ninja"
     - name: Compile
       env:
         BOOST_ROOT: C:\local\boost
@@ -105,7 +108,10 @@ jobs:
         $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
         (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
         Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
-        choco install -y ninja
+        $Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
+        (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
+        Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
+        Add-Content $env:GITHUB_PATH "C:\local\ninja"
     - name: Compile
       env:
         BOOST_ROOT: C:\local\boost
@@ -139,7 +145,10 @@ jobs:
         $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
         (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
         Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
-        choco install -y ninja
+        $Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
+        (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
+        Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
+        Add-Content $env:GITHUB_PATH "C:\local\ninja"
     - name: Compile
       env:
         BOOST_ROOT: C:\local\boost

From 7130a22f2fa5fa16a72be1310f1d1cc83f27105d Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 20 Feb 2024 21:44:48 -0500
Subject: [PATCH 22/95] use unique_ptr to prevent leaking

---
 .../calibrationhelpers/swaptionhelper.cpp       | 17 ++++++++++-------
 1 file changed, 10 insertions(+), 7 deletions(-)

diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
index 49699d682a8..96ef321000d 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
@@ -184,19 +184,22 @@ namespace QuantLib {
 
         Swap::Type type = Swap::Receiver;
         ext::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
-        FixedVsFloatingSwap* temp;
+        std::unique_ptr<FixedVsFloatingSwap> temp;
         if (onIndex) {
             // construct ois swap
-            temp = new OvernightIndexedSwap(Swap::Receiver, nominal_, fixedSchedule, 0.0,
-                                            fixedLegDayCounter_, onIndex, 0.0, 0, Following, Calendar(),
-                                            true, averagingMethod_);
+            temp = std::make_unique<OvernightIndexedSwap>(
+                Swap::Receiver, nominal_, fixedSchedule, 0.0,
+                fixedLegDayCounter_, onIndex, 0.0, 0, Following, Calendar(),
+                true, averagingMethod_
+            );
         } else {
-            temp = new VanillaSwap(Swap::Receiver, nominal_, fixedSchedule, 0.0, fixedLegDayCounter_,
-                                   floatSchedule, index_, 0.0, floatingLegDayCounter_);
+            temp = std::make_unique<VanillaSwap>(
+                 Swap::Receiver, nominal_, fixedSchedule, 0.0, fixedLegDayCounter_,
+                 floatSchedule, index_, 0.0, floatingLegDayCounter_
+            );
         }
         temp->setPricingEngine(swapEngine);
         Real forward = temp->fairRate();
-        delete temp;
         if (strike_ == Null<Real>()) {
             exerciseRate_ = forward;
         } else {

From c9e7de27eddc53a7e4d45e3bdbee2ce20ce04271 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 20 Feb 2024 22:03:49 -0500
Subject: [PATCH 23/95] use index valueDate implementation

---
 .../calibrationhelpers/swaptionhelper.cpp         | 15 ++++++++-------
 1 file changed, 8 insertions(+), 7 deletions(-)

diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
index 96ef321000d..67a79ed4e71 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
@@ -152,18 +152,19 @@ namespace QuantLib {
     void SwaptionHelper::performCalculations() const {
 
         Calendar calendar = index_->fixingCalendar();
-        Natural effSettlDays =
-            settlementDays_ == Null<Size>() ? index_->fixingDays() : settlementDays_;
-
         Date exerciseDate = exerciseDate_;
         if (exerciseDate == Null<Date>())
             exerciseDate = calendar.advance(termStructure_->referenceDate(),
                                             maturity_,
                                             index_->businessDayConvention());
-
-        Date startDate = calendar.advance(exerciseDate,
-                                          effSettlDays, Days,
-                                          index_->businessDayConvention());
+        Date startDate;
+        if (settlementDays_ == Null<Size>()) {
+            startDate = index_->valueDate(index_->fixingCalendar().adjust(exerciseDate));
+        } else {
+            startDate = calendar.advance(exerciseDate,
+                                         index_->fixingDays(), Days,
+                                         index_->businessDayConvention());
+        }
 
         Date endDate = endDate_;
         if (endDate == Null<Date>())

From 74be0b16905ee14fca3982b5f0101ba27ecb991d Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 20 Feb 2024 22:05:05 -0500
Subject: [PATCH 24/95] use reference to prevent copy

---
 ql/pricingengines/swaption/blackswaptionengine.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/pricingengines/swaption/blackswaptionengine.hpp b/ql/pricingengines/swaption/blackswaptionengine.hpp
index 03f57ad52eb..43e8e7f4c0f 100644
--- a/ql/pricingengines/swaption/blackswaptionengine.hpp
+++ b/ql/pricingengines/swaption/blackswaptionengine.hpp
@@ -278,7 +278,7 @@ namespace QuantLib {
                                     ? firstCoupon->accrualStartDate()
                                     : valuation_date;
             Frequency freq = Annual;
-            const Schedule fixedSchedule = swap->fixedSchedule();
+            const Schedule& fixedSchedule = swap->fixedSchedule();
             if (fixedSchedule.hasTenor()) {
                 freq = fixedSchedule.tenor().frequency();
             }
@@ -293,7 +293,7 @@ namespace QuantLib {
         }
         results_.additionalResults["annuity"] = annuity;
 
-        const Schedule floatingSchedule = swap->floatingSchedule();
+        const Schedule& floatingSchedule = swap->floatingSchedule();
         Time swapLength =  vol_->swapLength(floatingSchedule.dates().front(),
                                             floatingSchedule.dates().back());
 

From 9c3e65f9f1e9be27e8c71450bcda9edb0d4bb006 Mon Sep 17 00:00:00 2001
From: Guillaume Horel <guillaume.horel@gmail.com>
Date: Tue, 20 Feb 2024 22:21:24 -0500
Subject: [PATCH 25/95] check if OI swap index or not

---
 ql/instruments/makeswaption.cpp | 31 ++++++++++++++++++++++++-------
 1 file changed, 24 insertions(+), 7 deletions(-)

diff --git a/ql/instruments/makeswaption.cpp b/ql/instruments/makeswaption.cpp
index ffd7ae78745..9b044d5153c 100644
--- a/ql/instruments/makeswaption.cpp
+++ b/ql/instruments/makeswaption.cpp
@@ -72,21 +72,38 @@ namespace QuantLib {
                 EuropeanExercise(exerciseDate_));
         }
 
-        Rate usedStrike = strike_;
+        Rate usedStrike;
         ext::shared_ptr<OvernightIndexedSwapIndex> OIswap_index = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_);
         if (strike_ == Null<Rate>()) {
             // ATM on curve(s) attached to index
             QL_REQUIRE(!swapIndex_->forwardingTermStructure().empty(),
                        "null term structure set to this instance of " <<
                        swapIndex_->name());
-            ext::shared_ptr<FixedVsFloatingSwap> temp = swapIndex_->underlyingSwap(fixingDate_);
-            temp->setPricingEngine(
-                ext::shared_ptr<PricingEngine>(new DiscountingSwapEngine(
-                    swapIndex_->exogenousDiscount()
+            if (OIswap_index) {
+                auto temp = OIswap_index->underlyingSwap(fixingDate_);
+                temp->setPricingEngine(
+                    ext::make_shared<DiscountingSwapEngine>(
+                        swapIndex_->exogenousDiscount()
                         ? swapIndex_->discountingTermStructure()
                         : swapIndex_->forwardingTermStructure(),
-                    false)));
-            usedStrike = temp->fairRate();
+                        false
+                    )
+                );
+                usedStrike = temp->fairRate();
+            } else {
+                auto temp = swapIndex_->underlyingSwap(fixingDate_);
+                temp->setPricingEngine(
+                    ext::make_shared<DiscountingSwapEngine>(
+                        swapIndex_->exogenousDiscount()
+                        ? swapIndex_->discountingTermStructure()
+                        : swapIndex_->forwardingTermStructure(),
+                        false
+                    )
+                );
+                usedStrike = temp->fairRate();
+            }
+        } else {
+            usedStrike = strike_;
         }
 
         BusinessDayConvention bdc = swapIndex_->fixedLegConvention();

From 1917baf040c7a0c8b98e00609827919f3b272e8e Mon Sep 17 00:00:00 2001
From: Eugene Toder <eltoder@twosigma.com>
Date: Tue, 20 Feb 2024 18:45:54 -0500
Subject: [PATCH 26/95] Add Futures::Type Custom

This allows passing custom future dates. Closes #1855
---
 ql/instruments/futures.cpp              | 4 +++-
 ql/instruments/futures.hpp              | 3 ++-
 ql/termstructures/yield/ratehelpers.cpp | 9 +++++----
 3 files changed, 10 insertions(+), 6 deletions(-)

diff --git a/ql/instruments/futures.cpp b/ql/instruments/futures.cpp
index c0d8a40f40c..39d196e1266 100644
--- a/ql/instruments/futures.cpp
+++ b/ql/instruments/futures.cpp
@@ -30,8 +30,10 @@ namespace QuantLib {
             return out << "IMM";
           case Futures::ASX:
             return out << "ASX";
+          case Futures::Custom:
+            return out << "Custom";
           default:
-            QL_FAIL("unknown futures type (" << Integer(f) << ")");
+            return out << "Unknown(" << Integer(f) << ')';
         }
     }
 
diff --git a/ql/instruments/futures.hpp b/ql/instruments/futures.hpp
index b3f5b3e2428..1f867be3608 100644
--- a/ql/instruments/futures.hpp
+++ b/ql/instruments/futures.hpp
@@ -36,8 +36,9 @@ namespace QuantLib {
         enum Type {
             IMM, /*!< Chicago Mercantile Internation Money Market, i.e.
                       third Wednesday of March, June, September, December */
-            ASX  /*!< Australian Security Exchange, i.e. second Friday
+            ASX, /*!< Australian Security Exchange, i.e. second Friday
                       of March, June, September, December */
+            Custom /*!< Other rules */
         };
     };
 
diff --git a/ql/termstructures/yield/ratehelpers.cpp b/ql/termstructures/yield/ratehelpers.cpp
index cdd72dcffe4..c6742e3033b 100644
--- a/ql/termstructures/yield/ratehelpers.cpp
+++ b/ql/termstructures/yield/ratehelpers.cpp
@@ -50,8 +50,10 @@ namespace QuantLib {
               case Futures::ASX:
                 QL_REQUIRE(ASX::isASXdate(date, false), date << " is not a valid ASX date");
                 break;
+              case Futures::Custom:
+                break;
               default:
-                QL_FAIL("unknown futures type (" << Integer(type) << ')');
+                QL_FAIL("unknown futures type (" << type << ')');
             }
         }
 
@@ -133,7 +135,7 @@ namespace QuantLib {
                 [](const Date date) -> Date { return ASX::nextDate(date, false); });
             break;
           default:
-            QL_FAIL("unknown futures type (" << Integer(type) << ')');
+            QL_FAIL("unsupported futures type (" << type << ')');
         }
         earliestDate_ = iborStartDate;
         yearFraction_ = DetermineYearFraction(earliestDate_, maturityDate_, dayCounter);
@@ -180,11 +182,10 @@ namespace QuantLib {
         QL_REQUIRE(termStructure_ != nullptr, "term structure not set");
         Rate forwardRate = (termStructure_->discount(earliestDate_) /
             termStructure_->discount(maturityDate_) - 1.0) / yearFraction_;
-        Rate convAdj = convAdj_.empty() ? 0.0 : convAdj_->value();
         // Convexity, as FRA/futures adjustment, has been used in the
         // past to take into account futures margining vs FRA.
         // Therefore, there's no requirement for it to be non-negative.
-        Rate futureRate = forwardRate + convAdj;
+        Rate futureRate = forwardRate + convexityAdjustment();
         return 100.0 * (1.0 - futureRate);
     }
 

From 93fcafc2096a0c7e5e9d84dd8e3e5fde30b6e432 Mon Sep 17 00:00:00 2001
From: JZ <135723295+jez6@users.noreply.github.com>
Date: Wed, 21 Feb 2024 11:09:40 -0500
Subject: [PATCH 27/95] Update CMakeLists.txt

use FILES target for quantlib.pc so it doesn't get executable bits set
---
 CMakeLists.txt | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/CMakeLists.txt b/CMakeLists.txt
index 7e4ef9c0e82..522fad95d3d 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -232,7 +232,7 @@ set(libdir "\${exec_prefix}/lib")
 configure_file(quantlib-config.in quantlib-config @ONLY)
 configure_file(quantlib.pc.in quantlib.pc @ONLY)
 install(PROGRAMS ${CMAKE_CURRENT_BINARY_DIR}/quantlib-config TYPE BIN)
-install(PROGRAMS ${CMAKE_CURRENT_BINARY_DIR}/quantlib.pc DESTINATION lib/pkgconfig)
+install(FILES ${CMAKE_CURRENT_BINARY_DIR}/quantlib.pc DESTINATION lib/pkgconfig)
 
 include(Platform)
 

From a338de4ea1284bc6642ba4e592911e86a905ae2b Mon Sep 17 00:00:00 2001
From: DeimosXing <deimos.xing@outlook.com>
Date: Fri, 16 Feb 2024 17:40:26 -0800
Subject: [PATCH 28/95] fix irregular first date with eom true, add test

---
 ql/time/calendar.cpp     |  7 ++++++-
 test-suite/cashflows.cpp | 22 ++++++++++++++++++++++
 2 files changed, 28 insertions(+), 1 deletion(-)

diff --git a/ql/time/calendar.cpp b/ql/time/calendar.cpp
index 9773284fe1a..88b837f07e6 100644
--- a/ql/time/calendar.cpp
+++ b/ql/time/calendar.cpp
@@ -160,7 +160,12 @@ namespace QuantLib {
 
             // we are sure the unit is Months or Years
             if (endOfMonth && isEndOfMonth(d))
-                return Calendar::endOfMonth(d1);
+                if (c == Unadjusted){
+                    // move to end of calendar day if using Unadjusted convention
+                    return Date::endOfMonth(d);
+                } else {
+                    return Calendar::endOfMonth(d1);
+                }
 
             return adjust(d1, c);
         }
diff --git a/test-suite/cashflows.cpp b/test-suite/cashflows.cpp
index 52cc4b9d7cc..17820eefd37 100644
--- a/test-suite/cashflows.cpp
+++ b/test-suite/cashflows.cpp
@@ -376,6 +376,28 @@ BOOST_AUTO_TEST_CASE(testIrregularFirstCouponReferenceDatesAtEndOfMonth) {
                     "got " << firstCoupon->referencePeriodStart());
 }
 
+BOOST_AUTO_TEST_CASE(testIrregularFirstCouponReferenceDatesAtEndOfCalendarMonth) {
+    BOOST_TEST_MESSAGE("Testing irregular first coupon reference dates at end of calendar month with end of month enabled...");
+    Schedule schedule =
+        MakeSchedule()
+        .from(Date(30, September, 2017)).to(Date(2, April, 2018))
+        .withFrequency(Semiannual)
+        .withConvention(Unadjusted)
+        .endOfMonth()
+        .backwards();
+
+    Leg leg = FixedRateLeg(schedule)
+        .withNotionals(100.0)
+        .withCouponRates(0.01875, ActualActual(ActualActual::ISMA));
+
+    ext::shared_ptr<Coupon> firstCoupon =
+        ext::dynamic_pointer_cast<Coupon>(leg.front());
+
+    if (firstCoupon->referencePeriodStart() != Date(30, September, 2017))
+        BOOST_ERROR("Expected reference start date at end of calendar day of the month, "
+                    "got " << firstCoupon->referencePeriodStart());
+}
+
 BOOST_AUTO_TEST_CASE(testIrregularLastCouponReferenceDatesAtEndOfMonth) {
     BOOST_TEST_MESSAGE("Testing irregular last coupon reference dates with end of month enabled...");
     Schedule schedule =

From 108de597b9b394147c3755e84dda2549d2d25259 Mon Sep 17 00:00:00 2001
From: DeimosXing <deimos.xing@outlook.com>
Date: Tue, 20 Feb 2024 23:50:52 -0800
Subject: [PATCH 29/95] fix bug, add test for date and cashflow

---
 ql/time/calendar.cpp     |  3 +--
 test-suite/cashflows.cpp | 16 +++++++++++++---
 2 files changed, 14 insertions(+), 5 deletions(-)

diff --git a/ql/time/calendar.cpp b/ql/time/calendar.cpp
index 88b837f07e6..b6e87305e28 100644
--- a/ql/time/calendar.cpp
+++ b/ql/time/calendar.cpp
@@ -162,11 +162,10 @@ namespace QuantLib {
             if (endOfMonth && isEndOfMonth(d))
                 if (c == Unadjusted){
                     // move to end of calendar day if using Unadjusted convention
-                    return Date::endOfMonth(d);
+                    return Date::endOfMonth(d1);
                 } else {
                     return Calendar::endOfMonth(d1);
                 }
-
             return adjust(d1, c);
         }
     }
diff --git a/test-suite/cashflows.cpp b/test-suite/cashflows.cpp
index 17820eefd37..c926af7669e 100644
--- a/test-suite/cashflows.cpp
+++ b/test-suite/cashflows.cpp
@@ -380,9 +380,13 @@ BOOST_AUTO_TEST_CASE(testIrregularFirstCouponReferenceDatesAtEndOfCalendarMonth)
     BOOST_TEST_MESSAGE("Testing irregular first coupon reference dates at end of calendar month with end of month enabled...");
     Schedule schedule =
         MakeSchedule()
-        .from(Date(30, September, 2017)).to(Date(2, April, 2018))
-        .withFrequency(Semiannual)
+        .withCalendar(UnitedStates(UnitedStates::GovernmentBond))
+        .from(Date(30, September, 2017)).to(Date(30, September, 2022))
+        .withTenor(6*Months)
         .withConvention(Unadjusted)
+        .withTerminationDateConvention(Unadjusted)
+        .withFirstDate(Date(31, March, 2018))
+        .withNextToLastDate(Date(31, March, 2022))
         .endOfMonth()
         .backwards();
 
@@ -390,12 +394,18 @@ BOOST_AUTO_TEST_CASE(testIrregularFirstCouponReferenceDatesAtEndOfCalendarMonth)
         .withNotionals(100.0)
         .withCouponRates(0.01875, ActualActual(ActualActual::ISMA));
 
+    for (const auto& elem : leg) {
+        BOOST_TEST_MESSAGE("Reference Period: " << ext::dynamic_pointer_cast<Coupon>(elem)->referencePeriodStart() << " - " << ext::dynamic_pointer_cast<Coupon>(elem)->referencePeriodEnd());
+        BOOST_TEST_MESSAGE("Amount: " << ext::dynamic_pointer_cast<Coupon>(elem)->amount());
+    }
+
     ext::shared_ptr<Coupon> firstCoupon =
         ext::dynamic_pointer_cast<Coupon>(leg.front());
-
     if (firstCoupon->referencePeriodStart() != Date(30, September, 2017))
         BOOST_ERROR("Expected reference start date at end of calendar day of the month, "
                     "got " << firstCoupon->referencePeriodStart());
+    // Expect first cashflow to be 0.9375
+    BOOST_TEST(firstCoupon->amount() == 0.9375, boost::test_tools::tolerance(0.0001));
 }
 
 BOOST_AUTO_TEST_CASE(testIrregularLastCouponReferenceDatesAtEndOfMonth) {

From cddfec43489a06414d1b3b30ce76ed570a467433 Mon Sep 17 00:00:00 2001
From: DeimosXing <deimos.xing@outlook.com>
Date: Fri, 23 Feb 2024 11:21:31 -0800
Subject: [PATCH 30/95] fix lint; fix businessday convention unadjusted case

---
 ql/time/calendar.cpp                  | 3 ++-
 test-suite/businessdayconventions.cpp | 2 +-
 2 files changed, 3 insertions(+), 2 deletions(-)

diff --git a/ql/time/calendar.cpp b/ql/time/calendar.cpp
index b6e87305e28..11a53312d85 100644
--- a/ql/time/calendar.cpp
+++ b/ql/time/calendar.cpp
@@ -159,13 +159,14 @@ namespace QuantLib {
             Date d1 = d + n*unit;
 
             // we are sure the unit is Months or Years
-            if (endOfMonth && isEndOfMonth(d))
+            if (endOfMonth && isEndOfMonth(d)){
                 if (c == Unadjusted){
                     // move to end of calendar day if using Unadjusted convention
                     return Date::endOfMonth(d1);
                 } else {
                     return Calendar::endOfMonth(d1);
                 }
+            }
             return adjust(d1, c);
         }
     }
diff --git a/test-suite/businessdayconventions.cpp b/test-suite/businessdayconventions.cpp
index 3d0b8150b1f..1bff380fb05 100644
--- a/test-suite/businessdayconventions.cpp
+++ b/test-suite/businessdayconventions.cpp
@@ -82,7 +82,7 @@ BOOST_AUTO_TEST_CASE(testConventions) {
         //Unadjusted
         SingleCase(SouthAfrica(), Unadjusted, Date(3,February,2015), Period(1,Months), false, Date(3,March,2015)),
         SingleCase(SouthAfrica(), Unadjusted, Date(3,February,2015), Period(4,Days), false, Date(9,February,2015)),
-        SingleCase(SouthAfrica(), Unadjusted, Date(31,January,2015), Period(1,Months), true, Date(27,February,2015)),
+        SingleCase(SouthAfrica(), Unadjusted, Date(31,January,2015), Period(1,Months), true, Date(28,February,2015)),
         SingleCase(SouthAfrica(), Unadjusted, Date(31,January,2015), Period(1,Months), false, Date(28,February,2015)),
 
         //HalfMonthModifiedFollowing

From 21d1b154e838a4980d517acd189b4764fb974221 Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 25 Feb 2024 01:10:15 +0000
Subject: [PATCH 31/95] Automated fixes by clang-tidy

---
 ql/termstructures/yield/ratehelpers.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/termstructures/yield/ratehelpers.cpp b/ql/termstructures/yield/ratehelpers.cpp
index c6742e3033b..92102ccc990 100644
--- a/ql/termstructures/yield/ratehelpers.cpp
+++ b/ql/termstructures/yield/ratehelpers.cpp
@@ -596,8 +596,8 @@ namespace QuantLib {
                                    Date customPillarDate,
                                    bool endOfMonth,
                                    const ext::optional<bool>& useIndexedCoupons)
-    : SwapRateHelper(makeQuoteHandle(rate), tenor, calendar, fixedFrequency, fixedConvention,
-                     fixedDayCount, iborIndex, std::move(spread), fwdStart, std::move(discount), settlementDays,
+    : SwapRateHelper(makeQuoteHandle(rate), tenor, std::move(calendar), fixedFrequency, fixedConvention,
+                     std::move(fixedDayCount), iborIndex, std::move(spread), fwdStart, std::move(discount), settlementDays,
                      pillarChoice, customPillarDate, endOfMonth, useIndexedCoupons) {}
 
     void SwapRateHelper::initializeDates() {

From af1e9dbfd78299db6e2e8db4b538817eb93387ee Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 26 Feb 2024 10:52:10 +0100
Subject: [PATCH 32/95] Disable warning in CI build with uncommon configuration

---
 .github/workflows/linux-nondefault.yml | 5 ++---
 1 file changed, 2 insertions(+), 3 deletions(-)

diff --git a/.github/workflows/linux-nondefault.yml b/.github/workflows/linux-nondefault.yml
index d7ad3f92632..ce05c918d30 100644
--- a/.github/workflows/linux-nondefault.yml
+++ b/.github/workflows/linux-nondefault.yml
@@ -138,14 +138,13 @@ jobs:
             tag: rolling
             cc: gcc
             cxx: g++
-            cxxflags: "-Wno-array-bounds"
             configureflags: --enable-unity-build
           - name: "Standard Library classes enabled/disabled"
             shortname: stdclasses
             tag: rolling
             cc: gcc
             cxx: g++
-            cxxflags: "-std=c++17 -Wno-array-bounds"
+            cxxflags: "-std=c++17"
             configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-any --enable-std-optional
           - name: "OpenMP enabled"
             shortname: openmp
@@ -162,7 +161,7 @@ jobs:
     - name: Build
       run: |
         ./autogen.sh
-        ./configure --disable-static --enable-error-lines --enable-error-functions --enable-tracing --enable-indexed-coupons --enable-extra-safety-checks --enable-sessions --enable-thread-safe-observer-pattern --enable-intraday --disable-faster-lazy-objects --enable-throwing-in-cycles --enable-null-as-functions ${{ matrix.configureflags }} CC="${{ matrix.cc }}" CXX="${{ matrix.cxx }}" CXXFLAGS="-O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }}"
+        ./configure --disable-static --enable-error-lines --enable-error-functions --enable-tracing --enable-indexed-coupons --enable-extra-safety-checks --enable-sessions --enable-thread-safe-observer-pattern --enable-intraday --disable-faster-lazy-objects --enable-throwing-in-cycles --enable-null-as-functions ${{ matrix.configureflags }} CC="${{ matrix.cc }}" CXX="${{ matrix.cxx }}" CXXFLAGS="-O2 -g0 -Wall -Wno-unknown-pragmas -Wno-array-bounds -Werror ${{ matrix.cxxflags }}"
         make -j 4
     - name: Run tests
       run: |

From 4ed9da4116c50e798db4c50cee19592b71430afc Mon Sep 17 00:00:00 2001
From: DeimosXing <deimos.xing@outlook.com>
Date: Mon, 26 Feb 2024 10:07:06 -0800
Subject: [PATCH 33/95] check if end of calendar day before moving

---
 ql/time/calendar.cpp | 9 +++++----
 1 file changed, 5 insertions(+), 4 deletions(-)

diff --git a/ql/time/calendar.cpp b/ql/time/calendar.cpp
index 11a53312d85..3eb916d013a 100644
--- a/ql/time/calendar.cpp
+++ b/ql/time/calendar.cpp
@@ -159,11 +159,12 @@ namespace QuantLib {
             Date d1 = d + n*unit;
 
             // we are sure the unit is Months or Years
-            if (endOfMonth && isEndOfMonth(d)){
-                if (c == Unadjusted){
-                    // move to end of calendar day if using Unadjusted convention
+            if (endOfMonth){
+                if (c == Unadjusted && Date::isEndOfMonth(d)){
+                    // move to end of calendar day if using Unadjusted convention and d is last calendar day
                     return Date::endOfMonth(d1);
-                } else {
+                } else if (isEndOfMonth(d)) {
+                    // move to end of business day if d is last bussiness day
                     return Calendar::endOfMonth(d1);
                 }
             }

From 89d300930a2ff83036e70e04641856abb70f2489 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fredrik=20Gerdin=20B=C3=B6rjesson?=
 <fredrik.gerdin.borjesson@hotmail.com>
Date: Tue, 27 Feb 2024 10:07:48 +0100
Subject: [PATCH 34/95] Update 2023-2024 holidays in Indian calendar

---
 ql/time/calendars/india.cpp | 30 ++++++++++++++++++------------
 1 file changed, 18 insertions(+), 12 deletions(-)

diff --git a/ql/time/calendars/india.cpp b/ql/time/calendars/india.cpp
index f250830a790..9b7126225d4 100644
--- a/ql/time/calendars/india.cpp
+++ b/ql/time/calendars/india.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2005, 2007, 2008, 2009, 2010, 2011 StatPro Italia srl
- Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ)
+ Copyright (C) 2023, 2024 Skandinaviska Enskilda Banken AB (publ)
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -401,7 +401,7 @@ namespace QuantLib {
         if (y == 2023) {
             if ( 
                 // Holi
-                (d == 8 && m == March)
+                (d == 7 && m == March)
                 // Gudi Padwa
                 || (d == 22 && m == March)
                 // Ram Navami
@@ -411,11 +411,13 @@ namespace QuantLib {
                 // Buddha Pournima
                 || (d == 5 && m == May)
                 // Bakri Id
-                || (d == 28 && m == June)
+                || (d == 29 && m == June)
+                // Parsi New year
+                || (d == 16 && m == August)
                 // Ganesh Chaturthi
                 || (d == 19 && m == September)
-                // Id-E-Milad (estimated Wednesday 27th or Thursday 28th)
-                || (d == 28 && m == September)
+                // Id-E-Milad (was moved to Friday 29th)
+                || (d == 29 && m == September)
                 // Dasera
                 || (d == 24 && m == October)
                 // Diwali - Balipratipada
@@ -426,15 +428,21 @@ namespace QuantLib {
         }
 
         if (y == 2024) {
-            if ( // Chatrapati Shivaji Jayanti
-                (d == 19 && m == February)
+            if ( // Special holiday
+                (d == 22 && m == January)
+                // Chatrapati Shivaji Jayanti
+                || (d == 19 && m == February)
                 // Mahashivratri
                 || (d == 8 && m == March)
                 // Holi
                 || (d == 25 && m == March)
+                // Annual Bank Closing
+                || (d == 1 && m == April)
                 // Gudi Padwa
                 || (d == 9 && m == April)
-                // Ram Navami
+                // Id-Ul-Fitr (Ramadan Eid)
+                || (d == 11 && m == April)
+                // Ram Navamiz
                 || (d == 17 && m == April)
                 // Mahavir Jayanti
                 || (d == 21 && m == April)
@@ -442,10 +450,10 @@ namespace QuantLib {
                 || (d == 23 && m == May)
                 // Bakri Id (estimated Sunday 16th or Monday 17th)
                 || (d == 17 && m == June)
-                // Ganesh Chaturthi
-                || (d == 27 && m == August)
                 // Id-E-Milad (estimated Sunday 15th or Monday 16th)
                 || (d == 16 && m == September)
+                // Diwali-Laxmi Pujan
+                || (d == 1 && m == November)
                 // Gurunank Jayanti
                 || (d == 15 && m == November))
                 return false;
@@ -466,8 +474,6 @@ namespace QuantLib {
                 || (d == 12 && m == May)
                 // Id-E-Milad (estimated Thursday 4th or Friday 5th)
                 || (d == 5 && m == September)
-                // Dasera
-                || (d == 2 && m == October)
                 // Diwali - Balipratipada
                 || (d == 22 && m == October)
                 // Gurunank Jayanti

From ea15ebbf8f80c89190d6d75286ff2f2dcea45055 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 27 Feb 2024 21:14:46 +0100
Subject: [PATCH 35/95] Pin test date to default for test suite

---
 test-suite/convertiblebonds.cpp | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

diff --git a/test-suite/convertiblebonds.cpp b/test-suite/convertiblebonds.cpp
index 0e508640c03..904bdcea68b 100644
--- a/test-suite/convertiblebonds.cpp
+++ b/test-suite/convertiblebonds.cpp
@@ -72,8 +72,7 @@ struct CommonVars {
     CommonVars() {
         calendar = TARGET();
 
-        today = calendar.adjust(Date::todaysDate());
-        Settings::instance().evaluationDate() = today;
+        today = Settings::instance().evaluationDate();
 
         dayCounter = Actual360();
         frequency = Annual;

From 2a30164d719e3abc8c96dbe9f9d1645a4fc6e755 Mon Sep 17 00:00:00 2001
From: Francois Botha <igitur@gmail.com>
Date: Wed, 18 Oct 2023 10:16:45 +0200
Subject: [PATCH 36/95] Fix indentation after #1040 changed it

---
 test-suite/bonds.cpp | 109 +++++++++++++++++++++++--------------------
 1 file changed, 58 insertions(+), 51 deletions(-)

diff --git a/test-suite/bonds.cpp b/test-suite/bonds.cpp
index f94196413c4..fd4fc632345 100644
--- a/test-suite/bonds.cpp
+++ b/test-suite/bonds.cpp
@@ -147,15 +147,16 @@ BOOST_AUTO_TEST_CASE(testYield) {
                                     bond, calculated, bondDayCount, n, frequencie);
                                 if (std::fabs(price - price2) / price > tolerance) {
                                     BOOST_ERROR("\nyield recalculation failed:"
-                                                "\n    issue:     "
-                                                << issue << "\n    maturity:  " << maturity
-                                                << "\n    coupon:    " << io::rate(coupon)
-                                                << "\n    frequency: " << frequencie
-                                                << "\n    yield:   " << io::rate(m)
-                                                << (n == Compounded ? " compounded" : " continuous")
-                                                << std::setprecision(7) << "\n    clean price:   "
-                                                << price << "\n    yield': " << io::rate(calculated)
-                                                << "\n    clean price': " << price2);
+                                                "\n    issue:        " << issue <<
+                                                "\n    maturity:     " << maturity <<
+                                                "\n    coupon:       " << io::rate(coupon) <<
+                                                "\n    frequency:    " << frequencie <<
+                                                "\n    yield:        " << io::rate(m) <<
+                                                    (n == Compounded ? " compounded" : " continuous") <<
+                                                std::setprecision(7) <<
+                                                "\n    clean price:  " << price <<
+                                                "\n    yield':       " << io::rate(calculated) <<
+                                                "\n    clean price': " << price2);
                                 }
                             }
 
@@ -171,15 +172,16 @@ BOOST_AUTO_TEST_CASE(testYield) {
                                     bond, calculated, bondDayCount, n, frequencie);
                                 if (std::fabs(price - price2) / price > tolerance) {
                                     BOOST_ERROR("\nyield recalculation failed:"
-                                                "\n    issue:     "
-                                                << issue << "\n    maturity:  " << maturity
-                                                << "\n    coupon:    " << io::rate(coupon)
-                                                << "\n    frequency: " << frequencie
-                                                << "\n    yield:   " << io::rate(m)
-                                                << (n == Compounded ? " compounded" : " continuous")
-                                                << std::setprecision(7) << "\n    dirty price:   "
-                                                << price << "\n    yield': " << io::rate(calculated)
-                                                << "\n    dirty price': " << price2);
+                                                "\n    issue:        " << issue <<
+                                                "\n    maturity:     " << maturity <<
+                                                "\n    coupon:       " << io::rate(coupon) <<
+                                                "\n    frequency:    " << frequencie <<
+                                                "\n    yield:        " << io::rate(m) <<
+                                                    (n == Compounded ? " compounded" : " continuous") <<
+                                                std::setprecision(7) <<
+                                                "\n    dirty price:  " << price <<
+                                                "\n    yield':       " << io::rate(calculated) <<
+                                                "\n    dirty price': " << price2);
                                 }
                             }
                         }
@@ -233,14 +235,15 @@ BOOST_AUTO_TEST_CASE(testAtmRate) {
 
                     if (std::fabs(coupon - calculated) > tolerance) {
                         BOOST_ERROR("\natm rate recalculation failed:"
-                                    "\n today:           "
-                                    << vars.today << "\n settlement date: " << bond.settlementDate()
-                                    << "\n issue:           " << issue << "\n maturity:        "
-                                    << maturity << "\n coupon:          " << io::rate(coupon)
-                                    << "\n frequency:       " << frequencie
-                                    << "\n clean price:     " << price
-                                    << "\n dirty price:     " << price + bond.accruedAmount()
-                                    << "\n atm rate:        " << io::rate(calculated));
+                                    "\n today:           " << vars.today <<
+                                    "\n settlement date: " << bond.settlementDate() <<
+                                    "\n issue:           " << issue <<
+                                    "\n maturity:        " << maturity <<
+                                    "\n coupon:          " << io::rate(coupon) <<
+                                    "\n frequency:       " << frequencie <<
+                                    "\n clean price:     " << price <<
+                                    "\n dirty price:     " << price + bond.accruedAmount() <<
+                                    "\n atm rate:        " << io::rate(calculated));
                     }
                 }
             }
@@ -305,16 +308,16 @@ BOOST_AUTO_TEST_CASE(testZspread) {
                                     bond, *discountCurve, calculated, bondDayCount, n, frequencie);
                                 if (std::fabs(price - price2) / price > tolerance) {
                                     BOOST_ERROR("\nZ-spread recalculation failed:"
-                                                "\n    issue:     "
-                                                << issue << "\n    maturity:  " << maturity
-                                                << "\n    coupon:    " << io::rate(coupon)
-                                                << "\n    frequency: " << frequencie
-                                                << "\n    Z-spread:  " << io::rate(spread)
-                                                << (n == Compounded ? " compounded" : " continuous")
-                                                << std::setprecision(7)
-                                                << "\n    price:     " << price
-                                                << "\n    Z-spread': " << io::rate(calculated)
-                                                << "\n    price':    " << price2);
+                                                "\n    issue:     " << issue <<
+                                                "\n    maturity:  " << maturity <<
+                                                "\n    coupon:    " << io::rate(coupon) <<
+                                                "\n    frequency: " << frequencie <<
+                                                "\n    Z-spread:  " << io::rate(spread) <<
+                                                    (n == Compounded ? " compounded" : " continuous") <<
+                                                std::setprecision(7) <<
+                                                "\n    price:     " << price <<
+                                                "\n    Z-spread': " << io::rate(calculated) <<
+                                                "\n    price':    " << price2);
                                 }
                             }
                         }
@@ -375,27 +378,31 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
                     Real calculatedPrice = bond.cleanPrice();
 
                     if (std::fabs(price - calculatedPrice) > tolerance) {
-                        BOOST_ERROR("price calculation failed:"
-                                    << "\n    issue:     " << issue << "\n    maturity:  "
-                                    << maturity << "\n    coupon:    " << io::rate(coupon)
-                                    << "\n    frequency: " << frequencie
-                                    << "\n    yield:  " << io::rate(m) << std::setprecision(7)
-                                    << "\n    expected:    " << price
-                                    << "\n    calculated': " << calculatedPrice
-                                    << "\n    error':      " << price - calculatedPrice);
+                        BOOST_ERROR("price calculation failed:" <<
+                                    "\n    issue:       " << issue <<
+                                    "\n    maturity:    " << maturity <<
+                                    "\n    coupon:      " << io::rate(coupon) <<
+                                    "\n    frequency:   " << frequencie <<
+                                    "\n    yield:       " << io::rate(m) <<
+                                    std::setprecision(7) <<
+                                    "\n    expected:    " << price <<
+                                    "\n    calculated': " << calculatedPrice <<
+                                    "\n    error':      " << price - calculatedPrice);
                     }
 
                     Rate calculatedYield = BondFunctions::yield(
                         bond, calculatedPrice, bondDayCount, Continuous, frequencie,
                         bond.settlementDate(), tolerance, maxEvaluations);
                     if (std::fabs(m - calculatedYield) > tolerance) {
-                        BOOST_ERROR("yield calculation failed:"
-                                    << "\n    issue:     " << issue << "\n    maturity:  "
-                                    << maturity << "\n    coupon:    " << io::rate(coupon)
-                                    << "\n    frequency: " << frequencie
-                                    << "\n    yield:  " << io::rate(m) << std::setprecision(7)
-                                    << "\n    price:  " << price
-                                    << "\n    yield': " << io::rate(calculatedYield));
+                        BOOST_ERROR("yield calculation failed:" <<
+                                    "\n    issue:     " << issue <<
+                                    "\n    maturity:  " << maturity <<
+                                    "\n    coupon:    " << io::rate(coupon) <<
+                                    "\n    frequency: " << frequencie <<
+                                    "\n    yield:     " << io::rate(m) <<
+                                    std::setprecision(7) <<
+                                    "\n    price:     " << price <<
+                                    "\n    yield':    " << io::rate(calculatedYield));
                     }
                 }
             }

From 53346f890af4d2577b380af949092da8ec203f83 Mon Sep 17 00:00:00 2001
From: Francois Botha <igitur@gmail.com>
Date: Tue, 17 Oct 2023 17:13:00 +0200
Subject: [PATCH 37/95] Fix spelling of 'frequency'

---
 test-suite/bonds.cpp | 50 ++++++++++++++++++++++----------------------
 1 file changed, 25 insertions(+), 25 deletions(-)

diff --git a/test-suite/bonds.cpp b/test-suite/bonds.cpp
index fd4fc632345..532037f508d 100644
--- a/test-suite/bonds.cpp
+++ b/test-suite/bonds.cpp
@@ -117,14 +117,14 @@ BOOST_AUTO_TEST_CASE(testYield) {
     for (int issueMonth : issueMonths) {
         for (int length : lengths) {
             for (Real& coupon : coupons) {
-                for (auto& frequencie : frequencies) {
+                for (auto& frequency : frequencies) {
                     for (auto& n : compounding) {
 
                         Date dated = vars.calendar.advance(vars.today, issueMonth, Months);
                         Date issue = dated;
                         Date maturity = vars.calendar.advance(issue, length, Years);
 
-                        Schedule sch(dated, maturity, Period(frequencie), vars.calendar,
+                        Schedule sch(dated, maturity, Period(frequency), vars.calendar,
                                      accrualConvention, accrualConvention, DateGeneration::Backward,
                                      false);
 
@@ -135,22 +135,22 @@ BOOST_AUTO_TEST_CASE(testYield) {
                         for (Real m : yields) {
 
                             Real price =
-                                BondFunctions::cleanPrice(bond, m, bondDayCount, n, frequencie);
+                                BondFunctions::cleanPrice(bond, m, bondDayCount, n, frequency);
 
                             Rate calculated = BondFunctions::yield(
-                                bond, price, bondDayCount, n, frequencie, Date(), tolerance,
+                                bond, price, bondDayCount, n, frequency, Date(), tolerance,
                                 maxEvaluations, 0.05, Bond::Price::Clean);
 
                             if (std::fabs(m - calculated) > tolerance) {
                                 // the difference might not matter
                                 Real price2 = BondFunctions::cleanPrice(
-                                    bond, calculated, bondDayCount, n, frequencie);
+                                    bond, calculated, bondDayCount, n, frequency);
                                 if (std::fabs(price - price2) / price > tolerance) {
                                     BOOST_ERROR("\nyield recalculation failed:"
                                                 "\n    issue:        " << issue <<
                                                 "\n    maturity:     " << maturity <<
                                                 "\n    coupon:       " << io::rate(coupon) <<
-                                                "\n    frequency:    " << frequencie <<
+                                                "\n    frequency:    " << frequency <<
                                                 "\n    yield:        " << io::rate(m) <<
                                                     (n == Compounded ? " compounded" : " continuous") <<
                                                 std::setprecision(7) <<
@@ -160,22 +160,22 @@ BOOST_AUTO_TEST_CASE(testYield) {
                                 }
                             }
 
-                            price = BondFunctions::dirtyPrice(bond, m, bondDayCount, n, frequencie);
+                            price = BondFunctions::dirtyPrice(bond, m, bondDayCount, n, frequency);
 
                             calculated = BondFunctions::yield(
-                                bond, price, bondDayCount, n, frequencie, Date(), tolerance,
+                                bond, price, bondDayCount, n, frequency, Date(), tolerance,
                                 maxEvaluations, 0.05, Bond::Price::Dirty);
 
                             if (std::fabs(m - calculated) > tolerance) {
                                 // the difference might not matter
                                 Real price2 = BondFunctions::dirtyPrice(
-                                    bond, calculated, bondDayCount, n, frequencie);
+                                    bond, calculated, bondDayCount, n, frequency);
                                 if (std::fabs(price - price2) / price > tolerance) {
                                     BOOST_ERROR("\nyield recalculation failed:"
                                                 "\n    issue:        " << issue <<
                                                 "\n    maturity:     " << maturity <<
                                                 "\n    coupon:       " << io::rate(coupon) <<
-                                                "\n    frequency:    " << frequencie <<
+                                                "\n    frequency:    " << frequency <<
                                                 "\n    yield:        " << io::rate(m) <<
                                                     (n == Compounded ? " compounded" : " continuous") <<
                                                 std::setprecision(7) <<
@@ -215,12 +215,12 @@ BOOST_AUTO_TEST_CASE(testAtmRate) {
     for (int issueMonth : issueMonths) {
         for (int length : lengths) {
             for (Real& coupon : coupons) {
-                for (auto& frequencie : frequencies) {
+                for (auto& frequency : frequencies) {
                     Date dated = vars.calendar.advance(vars.today, issueMonth, Months);
                     Date issue = dated;
                     Date maturity = vars.calendar.advance(issue, length, Years);
 
-                    Schedule sch(dated, maturity, Period(frequencie), vars.calendar,
+                    Schedule sch(dated, maturity, Period(frequency), vars.calendar,
                                  accrualConvention, accrualConvention, DateGeneration::Backward,
                                  false);
 
@@ -240,7 +240,7 @@ BOOST_AUTO_TEST_CASE(testAtmRate) {
                                     "\n issue:           " << issue <<
                                     "\n maturity:        " << maturity <<
                                     "\n coupon:          " << io::rate(coupon) <<
-                                    "\n frequency:       " << frequencie <<
+                                    "\n frequency:       " << frequency <<
                                     "\n clean price:     " << price <<
                                     "\n dirty price:     " << price + bond.accruedAmount() <<
                                     "\n atm rate:        " << io::rate(calculated));
@@ -279,14 +279,14 @@ BOOST_AUTO_TEST_CASE(testZspread) {
     for (int issueMonth : issueMonths) {
         for (int length : lengths) {
             for (Real& coupon : coupons) {
-                for (auto& frequencie : frequencies) {
+                for (auto& frequency : frequencies) {
                     for (auto& n : compounding) {
 
                         Date dated = vars.calendar.advance(vars.today, issueMonth, Months);
                         Date issue = dated;
                         Date maturity = vars.calendar.advance(issue, length, Years);
 
-                        Schedule sch(dated, maturity, Period(frequencie), vars.calendar,
+                        Schedule sch(dated, maturity, Period(frequency), vars.calendar,
                                      accrualConvention, accrualConvention, DateGeneration::Backward,
                                      false);
 
@@ -297,21 +297,21 @@ BOOST_AUTO_TEST_CASE(testZspread) {
                         for (Real spread : spreads) {
 
                             Real price = BondFunctions::cleanPrice(bond, *discountCurve, spread,
-                                                                   bondDayCount, n, frequencie);
+                                                                   bondDayCount, n, frequency);
                             Spread calculated = BondFunctions::zSpread(
-                                bond, price, *discountCurve, bondDayCount, n, frequencie, Date(),
+                                bond, price, *discountCurve, bondDayCount, n, frequency, Date(),
                                 tolerance, maxEvaluations);
 
                             if (std::fabs(spread - calculated) > tolerance) {
                                 // the difference might not matter
                                 Real price2 = BondFunctions::cleanPrice(
-                                    bond, *discountCurve, calculated, bondDayCount, n, frequencie);
+                                    bond, *discountCurve, calculated, bondDayCount, n, frequency);
                                 if (std::fabs(price - price2) / price > tolerance) {
                                     BOOST_ERROR("\nZ-spread recalculation failed:"
                                                 "\n    issue:     " << issue <<
                                                 "\n    maturity:  " << maturity <<
                                                 "\n    coupon:    " << io::rate(coupon) <<
-                                                "\n    frequency: " << frequencie <<
+                                                "\n    frequency: " << frequency <<
                                                 "\n    Z-spread:  " << io::rate(spread) <<
                                                     (n == Compounded ? " compounded" : " continuous") <<
                                                 std::setprecision(7) <<
@@ -350,7 +350,7 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
 
     for (unsigned long length : lengths) {
         for (Real& coupon : coupons) {
-            for (auto& frequencie : frequencies) {
+            for (auto& frequency : frequencies) {
 
                 Date dated = vars.today;
                 Date issue = dated;
@@ -359,7 +359,7 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
                 ext::shared_ptr<SimpleQuote> rate(new SimpleQuote(0.0));
                 Handle<YieldTermStructure> discountCurve(flatRate(vars.today, rate, bondDayCount));
 
-                Schedule sch(dated, maturity, Period(frequencie), vars.calendar, accrualConvention,
+                Schedule sch(dated, maturity, Period(frequency), vars.calendar, accrualConvention,
                              accrualConvention, DateGeneration::Backward, false);
 
                 FixedRateBond bond(settlementDays, vars.faceAmount, sch,
@@ -374,7 +374,7 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
                     rate->setValue(m);
 
                     Real price =
-                        BondFunctions::cleanPrice(bond, m, bondDayCount, Continuous, frequencie);
+                        BondFunctions::cleanPrice(bond, m, bondDayCount, Continuous, frequency);
                     Real calculatedPrice = bond.cleanPrice();
 
                     if (std::fabs(price - calculatedPrice) > tolerance) {
@@ -382,7 +382,7 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
                                     "\n    issue:       " << issue <<
                                     "\n    maturity:    " << maturity <<
                                     "\n    coupon:      " << io::rate(coupon) <<
-                                    "\n    frequency:   " << frequencie <<
+                                    "\n    frequency:   " << frequency <<
                                     "\n    yield:       " << io::rate(m) <<
                                     std::setprecision(7) <<
                                     "\n    expected:    " << price <<
@@ -391,14 +391,14 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
                     }
 
                     Rate calculatedYield = BondFunctions::yield(
-                        bond, calculatedPrice, bondDayCount, Continuous, frequencie,
+                        bond, calculatedPrice, bondDayCount, Continuous, frequency,
                         bond.settlementDate(), tolerance, maxEvaluations);
                     if (std::fabs(m - calculatedYield) > tolerance) {
                         BOOST_ERROR("yield calculation failed:" <<
                                     "\n    issue:     " << issue <<
                                     "\n    maturity:  " << maturity <<
                                     "\n    coupon:    " << io::rate(coupon) <<
-                                    "\n    frequency: " << frequencie <<
+                                    "\n    frequency: " << frequency <<
                                     "\n    yield:     " << io::rate(m) <<
                                     std::setprecision(7) <<
                                     "\n    price:     " << price <<

From ceef8c0d96e213a050066c9c8947adbeb7cc570c Mon Sep 17 00:00:00 2001
From: Francois Botha <igitur@gmail.com>
Date: Mon, 26 Feb 2024 20:38:19 +0200
Subject: [PATCH 38/95] Use Bond::Price class instead of separate
 Real/Bond::Price::Type arguments. Mark old methods as deprecated.

---
 Examples/Bonds/Bonds.cpp                      |   5 +-
 Examples/FittedBondCurve/FittedBondCurve.cpp  |   2 +-
 Examples/Repo/Repo.cpp                        |   2 +-
 ql/instruments/bond.cpp                       |  17 +-
 ql/instruments/bond.hpp                       |  11 ++
 ql/instruments/bonds/btp.cpp                  |  15 +-
 ql/pricingengines/bond/bondfunctions.cpp      |  14 +-
 ql/pricingengines/bond/bondfunctions.hpp      |  36 ++++-
 .../yield/fittedbonddiscountcurve.cpp         |   5 +-
 test-suite/bonds.cpp                          | 152 ++++++++----------
 test-suite/fittedbonddiscountcurve.cpp        |   6 +-
 11 files changed, 154 insertions(+), 111 deletions(-)

diff --git a/Examples/Bonds/Bonds.cpp b/Examples/Bonds/Bonds.cpp
index 099b27d9021..173c67da118 100644
--- a/Examples/Bonds/Bonds.cpp
+++ b/Examples/Bonds/Bonds.cpp
@@ -541,7 +541,10 @@ int main(int, char* []) {
          << floatingRateBond.cleanPrice(floatingRateBond.yield(Actual360(),Compounded,Annual),Actual360(),Compounded,Annual,settlementDate) << std::endl;
 
          std::cout << "Clean Price to Yield: "
-         << io::rate(floatingRateBond.yield(floatingRateBond.cleanPrice(),Actual360(),Compounded,Annual,settlementDate)) << std::endl;
+                   << io::rate(floatingRateBond.yield(
+                          Bond::Price(floatingRateBond.cleanPrice(), Bond::Price::Clean),
+                          Actual360(), Compounded, Annual, settlementDate))
+                   << std::endl;
 
          /* "Yield to Price"
             "Price to Yield" */
diff --git a/Examples/FittedBondCurve/FittedBondCurve.cpp b/Examples/FittedBondCurve/FittedBondCurve.cpp
index c0d1f6c61ff..a04b58d493a 100644
--- a/Examples/FittedBondCurve/FittedBondCurve.cpp
+++ b/Examples/FittedBondCurve/FittedBondCurve.cpp
@@ -592,7 +592,7 @@ int main(int, char* []) {
 
             Real P = instrumentsA[k]->quote()->value();
             const Bond& b = *instrumentsA[k]->bond();
-            Rate ytm = BondFunctions::yield(b, P,
+            Rate ytm = BondFunctions::yield(b, Bond::Price(P, Bond::Price::Clean),
                                             dc, Compounded, frequency,
                                             today);
             Time dur = BondFunctions::duration(b, ytm,
diff --git a/Examples/Repo/Repo.cpp b/Examples/Repo/Repo.cpp
index 52eaea9bf17..2caac6f0152 100644
--- a/Examples/Repo/Repo.cpp
+++ b/Examples/Repo/Repo.cpp
@@ -73,7 +73,7 @@ int main(int, char* []) {
         // unknown what fincad is using. this may affect accrued calculation
         Integer bondSettlementDays = 0;
         BusinessDayConvention bondBusinessDayConvention = Unadjusted;
-        Real bondCleanPrice = 89.97693786;
+        Bond::Price bondCleanPrice(89.97693786, Bond::Price::Clean);
         Real bondRedemption = 100.0;
         Real faceAmount = 100.0;
 
diff --git a/ql/instruments/bond.cpp b/ql/instruments/bond.cpp
index abecef6add6..829a2ceefd6 100644
--- a/ql/instruments/bond.cpp
+++ b/ql/instruments/bond.cpp
@@ -206,12 +206,12 @@ namespace QuantLib {
         if (currentNotional == 0.0)
             return 0.0;
 
-        Real price = priceType == Bond::Price::Clean ? cleanPrice() : dirtyPrice();
+        Bond::Price price(priceType == Bond::Price::Clean ? cleanPrice() : dirtyPrice(), priceType);
 
         return BondFunctions::yield(*this, price, dc, comp, freq,
                                     settlementDate(),
                                     accuracy, maxEvaluations,
-                                    guess, priceType);
+                                    guess);
     }
 
     Real Bond::cleanPrice(Rate y,
@@ -244,13 +244,24 @@ namespace QuantLib {
                      Size maxEvaluations,
                      Real guess,
                      Bond::Price::Type priceType) const {
+        return yield(Bond::Price(price, priceType), dc, comp, freq, settlement, accuracy,
+                     maxEvaluations, guess);
+    }
+    Rate Bond::yield(Bond::Price price,
+                     const DayCounter& dc,
+                     Compounding comp,
+                     Frequency freq,
+                     Date settlement,
+                     Real accuracy,
+                     Size maxEvaluations,
+                     Real guess) const {
         Real currentNotional = notional(settlement);
         if (currentNotional == 0.0)
             return 0.0;
 
         return BondFunctions::yield(*this, price, dc, comp, freq,
                                     settlement, accuracy, maxEvaluations,
-                                    guess, priceType);
+                                    guess);
     }
 
     Real Bond::accruedAmount(Date settlement) const {
diff --git a/ql/instruments/bond.hpp b/ql/instruments/bond.hpp
index f4401c75269..e638fda2763 100644
--- a/ql/instruments/bond.hpp
+++ b/ql/instruments/bond.hpp
@@ -196,6 +196,7 @@ namespace QuantLib {
 
         //! yield given a price and settlement date
         /*! The default bond settlement is used if no date is given. */
+        [[deprecated("Use the version with the Bond::Price argument")]]
         Rate yield(Real price,
                    const DayCounter& dc,
                    Compounding comp,
@@ -205,6 +206,16 @@ namespace QuantLib {
                    Size maxEvaluations = 100,
                    Real guess = 0.05,
                    Bond::Price::Type priceType = Bond::Price::Clean) const;
+        //! yield given a price and settlement date
+        /*! The default bond settlement is used if no date is given. */
+        Rate yield(Bond::Price price,
+                   const DayCounter& dc,
+                   Compounding comp,
+                   Frequency freq,
+                   Date settlementDate = Date(),
+                   Real accuracy = 1.0e-8,
+                   Size maxEvaluations = 100,
+                   Real guess = 0.05) const;
 
         //! accrued amount at a given date
         /*! The default bond settlement is used if no date is given. */
diff --git a/ql/instruments/bonds/btp.cpp b/ql/instruments/bonds/btp.cpp
index 67ca4db67d1..8681be91220 100644
--- a/ql/instruments/bonds/btp.cpp
+++ b/ql/instruments/bonds/btp.cpp
@@ -83,9 +83,9 @@ namespace QuantLib {
                     Date settlementDate,
                     Real accuracy,
                     Size maxEvaluations) const {
-        return Bond::yield(cleanPrice, ActualActual(ActualActual::ISMA),
-                           Compounded, Annual,
-                           settlementDate, accuracy, maxEvaluations);
+        return Bond::yield(Bond::Price(cleanPrice, Bond::Price::Clean),
+                           ActualActual(ActualActual::ISMA), Compounded, Annual, settlementDate,
+                           accuracy, maxEvaluations);
     }
 
 
@@ -160,9 +160,8 @@ namespace QuantLib {
         Date bondSettlementDate = btps[0]->settlementDate();
         for (Size i=0; i<basket_->size(); ++i) {
             yields_[i] = BondFunctions::yield(
-                *btps[i], quotes[i]->value(),
-                ActualActual(ActualActual::ISMA), Compounded, Annual,
-                bondSettlementDate,
+                *btps[i], Bond::Price(quotes[i]->value(), Bond::Price::Clean),
+                ActualActual(ActualActual::ISMA), Compounded, Annual, bondSettlementDate,
                 // accuracy, maxIterations, guess
                 1.0e-10, 100, yields_[i]);
             durations_[i] = BondFunctions::duration(
@@ -186,7 +185,7 @@ namespace QuantLib {
                                Following, // paymentConvention
                                100.0);    // redemption
         swapBondYields_[0] = BondFunctions::yield(swapBond,
-            100.0, // floating leg NPV including end payment
+            Bond::Price(100.0, Bond::Price::Clean), // floating leg NPV including end payment
             ActualActual(ActualActual::ISMA), Compounded, Annual,
             bondSettlementDate,
             // accuracy, maxIterations, guess
@@ -205,7 +204,7 @@ namespace QuantLib {
                                    Following, // paymentConvention
                                    100.0);    // redemption
             swapBondYields_[i] = BondFunctions::yield(swapBond,
-                100.0, // floating leg NPV including end payment
+                Bond::Price(100.0, Bond::Price::Clean), // floating leg NPV including end payment
                 ActualActual(ActualActual::ISMA), Compounded, Annual,
                 bondSettlementDate,
                 // accuracy, maxIterations, guess
diff --git a/ql/pricingengines/bond/bondfunctions.cpp b/ql/pricingengines/bond/bondfunctions.cpp
index d6240cf3533..10aa5aa7c38 100644
--- a/ql/pricingengines/bond/bondfunctions.cpp
+++ b/ql/pricingengines/bond/bondfunctions.cpp
@@ -367,11 +367,23 @@ namespace QuantLib {
                               Size maxIterations,
                               Rate guess,
                               Bond::Price::Type priceType) {
+        return yield(bond, Bond::Price(price, priceType), dayCounter, compounding, frequency,
+                     settlement, accuracy, maxIterations, guess);
+    }
+    Rate BondFunctions::yield(const Bond& bond,
+                              Bond::Price price,
+                              const DayCounter& dayCounter,
+                              Compounding compounding,
+                              Frequency frequency,
+                              Date settlement,
+                              Real accuracy,
+                              Size maxIterations,
+                              Rate guess) {
         NewtonSafe solver;
         solver.setMaxEvaluations(maxIterations);
         return yield<NewtonSafe>(solver, bond, price, dayCounter,
                                  compounding, frequency, settlement,
-                                 accuracy, guess, priceType);
+                                 accuracy, guess);
     }
 
     Time BondFunctions::duration(const Bond& bond,
diff --git a/ql/pricingengines/bond/bondfunctions.hpp b/ql/pricingengines/bond/bondfunctions.hpp
index a699433b159..07e491db698 100644
--- a/ql/pricingengines/bond/bondfunctions.hpp
+++ b/ql/pricingengines/bond/bondfunctions.hpp
@@ -146,6 +146,7 @@ namespace QuantLib {
                         Compounding compounding,
                         Frequency frequency,
                         Date settlementDate = Date());
+        [[deprecated("Use the version with the Bond::Price argument")]]
         static Rate yield(const Bond& bond,
                           Real price,
                           const DayCounter& dayCounter,
@@ -156,7 +157,17 @@ namespace QuantLib {
                           Size maxIterations = 100,
                           Rate guess = 0.05,
                           Bond::Price::Type priceType = Bond::Price::Clean);
+        static Rate yield(const Bond& bond,
+                          Bond::Price price,
+                          const DayCounter& dayCounter,
+                          Compounding compounding,
+                          Frequency frequency,
+                          Date settlementDate = Date(),
+                          Real accuracy = 1.0e-10,
+                          Size maxIterations = 100,
+                          Rate guess = 0.05);
         template <typename Solver>
+        [[deprecated("Use the version with the Bond::Price argument")]]
         static Rate yield(const Solver& solver,
                           const Bond& bond,
                           Real price,
@@ -167,6 +178,19 @@ namespace QuantLib {
                           Real accuracy = 1.0e-10,
                           Rate guess = 0.05,
                           Bond::Price::Type priceType = Bond::Price::Clean) {
+            return yield(solver, Bond::Price(price, priceType), dayCounter, compounding, frequency,
+                         settlementDate, accuracy, guess);
+        }
+        template <typename Solver>
+        static Rate yield(const Solver& solver,
+                          const Bond& bond,
+                          Bond::Price price,
+                          const DayCounter& dayCounter,
+                          Compounding compounding,
+                          Frequency frequency,
+                          Date settlementDate = Date(),
+                          Real accuracy = 1.0e-10,
+                          Rate guess = 0.05) {
             if (settlementDate == Date())
                 settlementDate = bond.settlementDate();
 
@@ -174,15 +198,15 @@ namespace QuantLib {
                        "non tradable at " << settlementDate <<
                        " (maturity being " << bond.maturityDate() << ")");
 
-            Real dirtyPrice = price;
+            Real amount = price.amount();
 
-            if (priceType == Bond::Price::Clean)
-                dirtyPrice += bond.accruedAmount(settlementDate);
+            if (price.type() == Bond::Price::Clean)
+                amount += bond.accruedAmount(settlementDate);
 
-            dirtyPrice /= 100.0 / bond.notional(settlementDate);
+            amount /= 100.0 / bond.notional(settlementDate);
 
-            return CashFlows::yield<Solver>(solver, bond.cashflows(),
-                                            dirtyPrice, dayCounter, compounding,
+            return CashFlows::yield<Solver>(solver, bond.cashflows(), amount, dayCounter,
+                                            compounding,
                                             frequency, false, settlementDate,
                                             settlementDate, accuracy, guess);
         }
diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.cpp b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
index f4513700d44..21bd50e8e9d 100644
--- a/ql/termstructures/yield/fittedbonddiscountcurve.cpp
+++ b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
@@ -149,10 +149,11 @@ namespace QuantLib {
             for (Size i=0; i<curve_->bondHelpers_.size(); ++i) {
                 ext::shared_ptr<Bond> bond = curve_->bondHelpers_[i]->bond();
 
-                Real cleanPrice = curve_->bondHelpers_[i]->quote()->value();
+                Real amount = curve_->bondHelpers_[i]->quote()->value();
+                Bond::Price price(amount, curve_->bondHelpers_[i]->priceType());
 
                 Date bondSettlement = bond->settlementDate();
-                Rate ytm = BondFunctions::yield(*bond, cleanPrice,
+                Rate ytm = BondFunctions::yield(*bond, price,
                                                 yieldDC, yieldComp, yieldFreq,
                                                 bondSettlement);
 
diff --git a/test-suite/bonds.cpp b/test-suite/bonds.cpp
index 532037f508d..224eb925822 100644
--- a/test-suite/bonds.cpp
+++ b/test-suite/bonds.cpp
@@ -134,18 +134,20 @@ BOOST_AUTO_TEST_CASE(testYield) {
 
                         for (Real m : yields) {
 
-                            Real price =
-                                BondFunctions::cleanPrice(bond, m, bondDayCount, n, frequency);
+                            Bond::Price price(
+                                BondFunctions::cleanPrice(bond, m, bondDayCount, n, frequency),
+                                Bond::Price::Clean);
 
                             Rate calculated = BondFunctions::yield(
                                 bond, price, bondDayCount, n, frequency, Date(), tolerance,
-                                maxEvaluations, 0.05, Bond::Price::Clean);
+                                maxEvaluations, 0.05);
 
                             if (std::fabs(m - calculated) > tolerance) {
                                 // the difference might not matter
                                 Real price2 = BondFunctions::cleanPrice(
                                     bond, calculated, bondDayCount, n, frequency);
-                                if (std::fabs(price - price2) / price > tolerance) {
+                                if (std::fabs(price.amount() - price2) / price.amount() >
+                                    tolerance) {
                                     BOOST_ERROR("\nyield recalculation failed:"
                                                 "\n    issue:        " << issue <<
                                                 "\n    maturity:     " << maturity <<
@@ -154,23 +156,25 @@ BOOST_AUTO_TEST_CASE(testYield) {
                                                 "\n    yield:        " << io::rate(m) <<
                                                     (n == Compounded ? " compounded" : " continuous") <<
                                                 std::setprecision(7) <<
-                                                "\n    clean price:  " << price <<
+                                                "\n    clean price:  " << price.amount() <<
                                                 "\n    yield':       " << io::rate(calculated) <<
                                                 "\n    clean price': " << price2);
                                 }
                             }
 
-                            price = BondFunctions::dirtyPrice(bond, m, bondDayCount, n, frequency);
+                            price = Bond::Price(
+                                BondFunctions::dirtyPrice(bond, m, bondDayCount, n, frequency),
+                                Bond::Price::Dirty);
 
                             calculated = BondFunctions::yield(
                                 bond, price, bondDayCount, n, frequency, Date(), tolerance,
-                                maxEvaluations, 0.05, Bond::Price::Dirty);
+                                maxEvaluations, 0.05);
 
                             if (std::fabs(m - calculated) > tolerance) {
                                 // the difference might not matter
                                 Real price2 = BondFunctions::dirtyPrice(
                                     bond, calculated, bondDayCount, n, frequency);
-                                if (std::fabs(price - price2) / price > tolerance) {
+                                if (std::fabs(price.amount() - price2) / price.amount() > tolerance) {
                                     BOOST_ERROR("\nyield recalculation failed:"
                                                 "\n    issue:        " << issue <<
                                                 "\n    maturity:     " << maturity <<
@@ -179,7 +183,7 @@ BOOST_AUTO_TEST_CASE(testYield) {
                                                 "\n    yield:        " << io::rate(m) <<
                                                     (n == Compounded ? " compounded" : " continuous") <<
                                                 std::setprecision(7) <<
-                                                "\n    dirty price:  " << price <<
+                                                "\n    dirty price:  " << price.amount() <<
                                                 "\n    yield':       " << io::rate(calculated) <<
                                                 "\n    dirty price': " << price2);
                                 }
@@ -391,8 +395,8 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
                     }
 
                     Rate calculatedYield = BondFunctions::yield(
-                        bond, calculatedPrice, bondDayCount, Continuous, frequency,
-                        bond.settlementDate(), tolerance, maxEvaluations);
+                        bond, Bond::Price(calculatedPrice, Bond::Price::Clean), bondDayCount,
+                        Continuous, frequency, bond.settlementDate(), tolerance, maxEvaluations);
                     if (std::fabs(m - calculatedYield) > tolerance) {
                         BOOST_ERROR("yield calculation failed:" <<
                                     "\n    issue:     " << issue <<
@@ -519,42 +523,31 @@ BOOST_AUTO_TEST_CASE(testCached) {
         tolerance,
         "failed to reproduce cached clean price with no schdule for bond 1:"
     );
-    checkValue(
-        BondFunctions::yield(bond1, marketPrice1, bondDayCount1, Compounded, freq),
-        cachedYield1a,
-        tolerance,
-        "failed to reproduce cached compounded yield with schedule for bond 1:"
-    );
-    checkValue(
-        BondFunctions::yield(bond1NoSchedule, marketPrice1, bondDayCount1NoSchedule, Compounded, freq),
-        cachedYield1a,
-        tolerance,
-        "failed to reproduce cached compounded yield with no schedule for bond 1:"
-    );
-    checkValue(
-        BondFunctions::yield(bond1, marketPrice1, bondDayCount1, Continuous, freq),
-        cachedYield1b,
-        tolerance,
-        "failed to reproduce cached continuous yield with schedule for bond 1:"
-    );
-    checkValue(
-        BondFunctions::yield(bond1NoSchedule, marketPrice1, bondDayCount1NoSchedule, Continuous, freq),
-        cachedYield1b,
-        tolerance,
-        "failed to reproduce cached continuous yield with no schedule for bond 1:"
-    );
-    checkValue(
-        BondFunctions::yield(bond1, bond1.cleanPrice(), bondDayCount1, Continuous, freq, bond1.settlementDate()),
-        cachedYield1c,
-        tolerance,
-        "failed to reproduce cached continuous yield with schedule for bond 1:"
-    );
-    checkValue(
-        BondFunctions::yield(bond1NoSchedule, bond1NoSchedule.cleanPrice(), bondDayCount1NoSchedule, Continuous, freq, bond1.settlementDate()),
-        cachedYield1c,
-        tolerance,
-        "failed to reproduce cached continuous yield with no schedule for bond 1:"
-    );
+    checkValue(BondFunctions::yield(bond1, Bond::Price(marketPrice1, Bond::Price::Clean),
+                                    bondDayCount1, Compounded, freq),
+               cachedYield1a, tolerance,
+               "failed to reproduce cached compounded yield with schedule for bond 1:");
+    checkValue(BondFunctions::yield(bond1NoSchedule, Bond::Price(marketPrice1, Bond::Price::Clean),
+                                    bondDayCount1NoSchedule, Compounded, freq),
+               cachedYield1a, tolerance,
+               "failed to reproduce cached compounded yield with no schedule for bond 1:");
+    checkValue(BondFunctions::yield(bond1, Bond::Price(marketPrice1, Bond::Price::Clean),
+                                    bondDayCount1, Continuous, freq),
+               cachedYield1b, tolerance,
+               "failed to reproduce cached continuous yield with schedule for bond 1:");
+    checkValue(BondFunctions::yield(bond1NoSchedule, Bond::Price(marketPrice1, Bond::Price::Clean),
+                                    bondDayCount1NoSchedule, Continuous, freq),
+               cachedYield1b, tolerance,
+               "failed to reproduce cached continuous yield with no schedule for bond 1:");
+    checkValue(BondFunctions::yield(bond1, Bond::Price(bond1.cleanPrice(), Bond::Price::Clean),
+                                    bondDayCount1, Continuous, freq, bond1.settlementDate()),
+               cachedYield1c, tolerance,
+               "failed to reproduce cached continuous yield with schedule for bond 1:");
+    checkValue(BondFunctions::yield(
+                   bond1NoSchedule, Bond::Price(bond1NoSchedule.cleanPrice(), Bond::Price::Clean),
+                   bondDayCount1NoSchedule, Continuous, freq, bond1.settlementDate()),
+               cachedYield1c, tolerance,
+               "failed to reproduce cached continuous yield with no schedule for bond 1:");
     
 
     //Now bond 2
@@ -582,42 +575,31 @@ BOOST_AUTO_TEST_CASE(testCached) {
         tolerance,
         "failed to reproduce cached clean price with no schedule for bond 2:"
     );
-    checkValue(
-        BondFunctions::yield(bond2, marketPrice2, bondDayCount2, Compounded, freq),
-        cachedYield2a,
-        tolerance,
-        "failed to reproduce cached compounded yield with schedule for bond 2:"
-    );
-    checkValue(
-        BondFunctions::yield(bond2NoSchedule, marketPrice2, bondDayCount2NoSchedule, Compounded, freq),
-        cachedYield2a,
-        tolerance,
-        "failed to reproduce cached compounded yield with no schedule for bond 2:"
-    );
-    checkValue(
-        BondFunctions::yield(bond2, marketPrice2, bondDayCount2, Continuous, freq),
-        cachedYield2b,
-        tolerance,
-        "failed to reproduce chached continuous yield with schedule for bond 2:"
-    );
-    checkValue(
-        BondFunctions::yield(bond2NoSchedule, marketPrice2, bondDayCount2NoSchedule, Continuous, freq),
-        cachedYield2b,
-        tolerance,
-        "failed to reproduce cached continuous yield with schedule for bond 2:"
-    );
-    checkValue(
-        BondFunctions::yield(bond2, bond2.cleanPrice(), bondDayCount2, Continuous, freq, bond2.settlementDate()),
-        cachedYield2c,
-        tolerance,
-        "failed to reproduce cached continuous yield for bond 2 with schedule:"
-    );
-    checkValue(
-        BondFunctions::yield(bond2NoSchedule, bond2NoSchedule.cleanPrice(), bondDayCount2NoSchedule, Continuous, freq, bond2NoSchedule.settlementDate()),
-        cachedYield2c,
-        tolerance,
-        "failed to reproduce cached continuous yield for bond 2 with no schedule:"
-    );
+    checkValue(BondFunctions::yield(bond2, Bond::Price(marketPrice2, Bond::Price::Clean),
+                                    bondDayCount2, Compounded, freq),
+               cachedYield2a, tolerance,
+               "failed to reproduce cached compounded yield with schedule for bond 2:");
+    checkValue(BondFunctions::yield(bond2NoSchedule, Bond::Price(marketPrice2, Bond::Price::Clean),
+                                    bondDayCount2NoSchedule, Compounded, freq),
+               cachedYield2a, tolerance,
+               "failed to reproduce cached compounded yield with no schedule for bond 2:");
+    checkValue(BondFunctions::yield(bond2, Bond::Price(marketPrice2, Bond::Price::Clean),
+                                    bondDayCount2, Continuous, freq),
+               cachedYield2b, tolerance,
+               "failed to reproduce chached continuous yield with schedule for bond 2:");
+    checkValue(BondFunctions::yield(bond2NoSchedule, Bond::Price(marketPrice2, Bond::Price::Clean),
+                                    bondDayCount2NoSchedule, Continuous, freq),
+               cachedYield2b, tolerance,
+               "failed to reproduce cached continuous yield with schedule for bond 2:");
+    checkValue(BondFunctions::yield(bond2, Bond::Price(bond2.cleanPrice(), Bond::Price::Clean),
+                                    bondDayCount2, Continuous, freq, bond2.settlementDate()),
+               cachedYield2c, tolerance,
+               "failed to reproduce cached continuous yield for bond 2 with schedule:");
+    checkValue(BondFunctions::yield(
+                   bond2NoSchedule, Bond::Price(bond2NoSchedule.cleanPrice(), Bond::Price::Clean),
+                   bondDayCount2NoSchedule, Continuous, freq, bond2NoSchedule.settlementDate()),
+               cachedYield2c, tolerance,
+               "failed to reproduce cached continuous yield for bond 2 with no schedule:");
 
     
 
@@ -1672,7 +1654,7 @@ BOOST_AUTO_TEST_CASE(testThirty360BondWithSettlementOn31st){
             Unadjusted,
             100.0);
 
-    Real cleanPrice = 100.0;
+    Bond::Price cleanPrice(100.0, Bond::Price::Clean);
 
     Real yield = BondFunctions::yield(fixedRateBond, cleanPrice, dayCounter, compounding, Semiannual, settlement);
     ASSERT_CLOSE("yield", settlement, yield, 0.015, 1e-4);
@@ -1720,7 +1702,7 @@ BOOST_AUTO_TEST_CASE(testBasisPointValue) {
             100.0);
 
     Date defaultSettlement = fixedRateBond.settlementDate();
-    Real cleanPrice = 102.890625;
+    Bond::Price cleanPrice(102.890625, Bond::Price::Clean);
 
     Real tolerance = 1e-6;
 
diff --git a/test-suite/fittedbonddiscountcurve.cpp b/test-suite/fittedbonddiscountcurve.cpp
index 03c9e11fafb..11207b29352 100644
--- a/test-suite/fittedbonddiscountcurve.cpp
+++ b/test-suite/fittedbonddiscountcurve.cpp
@@ -144,7 +144,7 @@ BOOST_AUTO_TEST_CASE(testFlatExtrapolation) {
 
     // extract the model prices using the two curves
 
-    std::vector<Real> modelPrices1, modelPrices2;
+    std::vector<Bond::Price> modelPrices1, modelPrices2;
 
     ext::shared_ptr<PricingEngine> engine1 =
         ext::make_shared<DiscountingBondEngine>(Handle<YieldTermStructure>(curve1));
@@ -153,9 +153,9 @@ BOOST_AUTO_TEST_CASE(testFlatExtrapolation) {
 
     for (auto& bond : bonds) {
         bond->setPricingEngine(engine1);
-        modelPrices1.push_back(bond->cleanPrice());
+        modelPrices1.push_back(Bond::Price(bond->cleanPrice(), Bond::Price::Clean));
         bond->setPricingEngine(engine2);
-        modelPrices2.push_back(bond->cleanPrice());
+        modelPrices2.push_back(Bond::Price(bond->cleanPrice(), Bond::Price::Clean));
     }
     BOOST_CHECK_EQUAL(curve1->fitResults().errorCode(), EndCriteria::MaxIterations);
     BOOST_CHECK_EQUAL(curve2->fitResults().errorCode(), EndCriteria::MaxIterations);

From 2ee2bf7721fe57f9bffab87e08a36052bef22845 Mon Sep 17 00:00:00 2001
From: Francois Botha <igitur@gmail.com>
Date: Tue, 27 Feb 2024 10:46:14 +0200
Subject: [PATCH 39/95] Add Bond::Price constructor and equality/inequality
 operators with single arguemnt to enable Null<Bond::Price> support

---
 ql/instruments/bond.cpp |  8 ++++++++
 ql/instruments/bond.hpp | 11 ++++++++++-
 2 files changed, 18 insertions(+), 1 deletion(-)

diff --git a/ql/instruments/bond.cpp b/ql/instruments/bond.cpp
index 829a2ceefd6..1b22ed3c508 100644
--- a/ql/instruments/bond.cpp
+++ b/ql/instruments/bond.cpp
@@ -414,4 +414,12 @@ namespace QuantLib {
             QL_REQUIRE(cf, "null cash flow provided");
     }
 
+    bool operator==(const Bond::Price& p1, const Bond::Price& p2) {
+        return (p1.amount() == p2.amount()) && ((p1.type() == p2.type()));
+    }
+
+    bool operator!=(const Bond::Price& p1, const Bond::Price& p2) {
+        return (p1.amount() != p2.amount()) || ((p1.type() != p2.type()));
+    }
+
 }
diff --git a/ql/instruments/bond.hpp b/ql/instruments/bond.hpp
index e638fda2763..c1510ff6055 100644
--- a/ql/instruments/bond.hpp
+++ b/ql/instruments/bond.hpp
@@ -62,7 +62,8 @@ namespace QuantLib {
         class Price {
           public:
             enum Type { Dirty, Clean };
-            Price() : amount_(Null<Real>()) {}
+            Price() : amount_(Null<Real>()), type_(Bond::Price::Clean) {}
+            Price(Real amount) : amount_(amount), type_(Bond::Price::Clean) {}
             Price(Real amount, Type type) : amount_(amount), type_(type) {}
             Real amount() const {
                 QL_REQUIRE(amount_ != Null<Real>(), "no amount given");
@@ -350,6 +351,14 @@ namespace QuantLib {
         return issueDate_;
     }
 
+/*! Returns <tt>true</tt> iff the two bond prices belong to the same
+    derived class.
+    \relates Bond::Price
+*/
+    bool operator==(const Bond::Price&, const Bond::Price&);
+
+    /*! \relates Bond::Price */
+    bool operator!=(const Bond::Price&, const Bond::Price&);
 }
 
 #endif

From 28c71b7318d9413016d314bdba860d65a0495cfe Mon Sep 17 00:00:00 2001
From: Francois Botha <igitur@gmail.com>
Date: Wed, 18 Nov 2020 14:42:41 +0200
Subject: [PATCH 40/95] More functions to support both clean and dirty prices
 as input parameter

---
 ql/pricingengines/bond/bondfunctions.cpp | 48 +++++++++++++----
 ql/pricingengines/bond/bondfunctions.hpp | 16 ++++++
 test-suite/bonds.cpp                     | 69 ++++++++++++++++++++----
 3 files changed, 114 insertions(+), 19 deletions(-)

diff --git a/ql/pricingengines/bond/bondfunctions.cpp b/ql/pricingengines/bond/bondfunctions.cpp
index 10aa5aa7c38..96f77aca3fe 100644
--- a/ql/pricingengines/bond/bondfunctions.cpp
+++ b/ql/pricingengines/bond/bondfunctions.cpp
@@ -272,6 +272,12 @@ namespace QuantLib {
                                 const YieldTermStructure& discountCurve,
                                 Date settlement,
                                 Real cleanPrice) {
+        return atmRate(bond, discountCurve, settlement, Bond::Price(cleanPrice, Bond::Price::Clean));
+    }
+    Rate BondFunctions::atmRate(const Bond& bond,
+                                const YieldTermStructure& discountCurve,
+                                Date settlement,
+                                const Bond::Price price) {
         if (settlement == Date())
             settlement = bond.settlementDate();
 
@@ -279,15 +285,22 @@ namespace QuantLib {
                    "non tradable at " << settlement <<
                    " (maturity being " << bond.maturityDate() << ")");
 
-        Real dirtyPrice = cleanPrice==Null<Real>() ? Null<Real>() :
-                          cleanPrice + bond.accruedAmount(settlement);
-        Real currentNotional = bond.notional(settlement);
-        Real npv = dirtyPrice==Null<Real>() ? Null<Real>() :
-                                              dirtyPrice/100.0 * currentNotional;
+        if (price == Null<Bond::Price>())
+            return CashFlows::atmRate(bond.cashflows(), discountCurve,
+                                      false, settlement, settlement,
+                                      Null<Real>());
+        else {
+            Real dirtyPrice =
+                price.amount() +
+                (price.type() == Bond::Price::Clean ? bond.accruedAmount(settlement) : 0);
 
-        return CashFlows::atmRate(bond.cashflows(), discountCurve,
-                                  false, settlement, settlement,
-                                  npv);
+            Real currentNotional = bond.notional(settlement);
+            Real npv = dirtyPrice / 100.0 * currentNotional;
+
+            return CashFlows::atmRate(bond.cashflows(), discountCurve,
+                                      false, settlement, settlement,
+                                      npv);
+        }
     }
 
     Real BondFunctions::cleanPrice(const Bond& bond,
@@ -516,6 +529,19 @@ namespace QuantLib {
                                   Real accuracy,
                                   Size maxIterations,
                                   Rate guess) {
+        return zSpread(bond, Bond::Price(cleanPrice, Bond::Price::Clean), d, dayCounter,
+                       compounding, frequency, settlement, accuracy, maxIterations, guess);
+    }
+    Spread BondFunctions::zSpread(const Bond& bond,
+                                  Bond::Price price,
+                                  const ext::shared_ptr<YieldTermStructure>& d,
+                                  const DayCounter& dayCounter,
+                                  Compounding compounding,
+                                  Frequency frequency,
+                                  Date settlement,
+                                  Real accuracy,
+                                  Size maxIterations,
+                                  Rate guess) {
         if (settlement == Date())
             settlement = bond.settlementDate();
 
@@ -523,7 +549,10 @@ namespace QuantLib {
                    "non tradable at " << settlement <<
                    " (maturity being " << bond.maturityDate() << ")");
 
-        Real dirtyPrice = cleanPrice + bond.accruedAmount(settlement);
+        Real dirtyPrice =
+            price.amount() +
+            (price.type() == Bond::Price::Clean ? bond.accruedAmount(settlement) : 0);
+
         dirtyPrice /= 100.0 / bond.notional(settlement);
 
         return CashFlows::zSpread(bond.cashflows(),
@@ -533,5 +562,4 @@ namespace QuantLib {
                                   false, settlement, settlement,
                                   accuracy, maxIterations, guess);
     }
-
 }
diff --git a/ql/pricingengines/bond/bondfunctions.hpp b/ql/pricingengines/bond/bondfunctions.hpp
index 07e491db698..a2098ccf268 100644
--- a/ql/pricingengines/bond/bondfunctions.hpp
+++ b/ql/pricingengines/bond/bondfunctions.hpp
@@ -111,10 +111,15 @@ namespace QuantLib {
         static Real bps(const Bond& bond,
                         const YieldTermStructure& discountCurve,
                         Date settlementDate = Date());
+        [[deprecated("Use the version with the Bond::Price argument")]]
         static Rate atmRate(const Bond& bond,
                             const YieldTermStructure& discountCurve,
                             Date settlementDate = Date(),
                             Real cleanPrice = Null<Real>());
+        static Rate atmRate(const Bond& bond,
+                            const YieldTermStructure& discountCurve,
+                            Date settlementDate = Date(),
+                            Bond::Price price = Null<Bond::Price>());
         //@}
 
         //! \name Yield (a.k.a. Internal Rate of Return, i.e. IRR) functions
@@ -259,6 +264,7 @@ namespace QuantLib {
                                Compounding compounding,
                                Frequency frequency,
                                Date settlementDate = Date());
+        [[deprecated("Use the version with the Bond::Price argument")]]
         static Spread zSpread(const Bond& bond,
                               Real cleanPrice,
                               const ext::shared_ptr<YieldTermStructure>&,
@@ -269,6 +275,16 @@ namespace QuantLib {
                               Real accuracy = 1.0e-10,
                               Size maxIterations = 100,
                               Rate guess = 0.0);
+        static Spread zSpread(const Bond& bond,
+                              Bond::Price price,
+                              const ext::shared_ptr<YieldTermStructure>&,
+                              const DayCounter& dayCounter,
+                              Compounding compounding,
+                              Frequency frequency,
+                              Date settlementDate = Date(),
+                              Real accuracy = 1.0e-10,
+                              Size maxIterations = 100,
+                              Rate guess = 0.0);
         //@}
 
     };
diff --git a/test-suite/bonds.cpp b/test-suite/bonds.cpp
index 224eb925822..9245a80ece0 100644
--- a/test-suite/bonds.cpp
+++ b/test-suite/bonds.cpp
@@ -233,7 +233,7 @@ BOOST_AUTO_TEST_CASE(testAtmRate) {
                                        paymentConvention, redemption, issue);
 
                     bond.setPricingEngine(bondEngine);
-                    Real price = bond.cleanPrice();
+                    Bond::Price price(bond.cleanPrice(), Bond::Price::Clean);
                     Rate calculated =
                         BondFunctions::atmRate(bond, **disc, bond.settlementDate(), price);
 
@@ -245,8 +245,23 @@ BOOST_AUTO_TEST_CASE(testAtmRate) {
                                     "\n maturity:        " << maturity <<
                                     "\n coupon:          " << io::rate(coupon) <<
                                     "\n frequency:       " << frequency <<
-                                    "\n clean price:     " << price <<
-                                    "\n dirty price:     " << price + bond.accruedAmount() <<
+                                    "\n clean price:     " << price.amount() <<
+                                    "\n atm rate:        " << io::rate(calculated));
+                    }
+
+                    price = Bond::Price(bond.dirtyPrice(), Bond::Price::Dirty);
+                    calculated =
+                        BondFunctions::atmRate(bond, **disc, bond.settlementDate(), price);
+
+                    if (std::fabs(coupon - calculated) > tolerance) {
+                        BOOST_ERROR("\natm rate recalculation failed:"
+                                    "\n today:           " << vars.today <<
+                                    "\n settlement date: " << bond.settlementDate() <<
+                                    "\n issue:           " << issue <<
+                                    "\n maturity:        " << maturity <<
+                                    "\n coupon:          " << io::rate(coupon) <<
+                                    "\n frequency:       " << frequency <<
+                                    "\n dirty price:     " << price.amount() <<
                                     "\n atm rate:        " << io::rate(calculated));
                     }
                 }
@@ -300,8 +315,10 @@ BOOST_AUTO_TEST_CASE(testZspread) {
 
                         for (Real spread : spreads) {
 
-                            Real price = BondFunctions::cleanPrice(bond, *discountCurve, spread,
-                                                                   bondDayCount, n, frequency);
+                            Bond::Price price(BondFunctions::cleanPrice(bond, *discountCurve,
+                                                                        spread, bondDayCount, n,
+                                                                        frequency),
+                                              Bond::Price::Clean);
                             Spread calculated = BondFunctions::zSpread(
                                 bond, price, *discountCurve, bondDayCount, n, frequency, Date(),
                                 tolerance, maxEvaluations);
@@ -310,7 +327,7 @@ BOOST_AUTO_TEST_CASE(testZspread) {
                                 // the difference might not matter
                                 Real price2 = BondFunctions::cleanPrice(
                                     bond, *discountCurve, calculated, bondDayCount, n, frequency);
-                                if (std::fabs(price - price2) / price > tolerance) {
+                                if (std::fabs(price.amount() - price2) / price.amount() > tolerance) {
                                     BOOST_ERROR("\nZ-spread recalculation failed:"
                                                 "\n    issue:     " << issue <<
                                                 "\n    maturity:  " << maturity <<
@@ -319,9 +336,9 @@ BOOST_AUTO_TEST_CASE(testZspread) {
                                                 "\n    Z-spread:  " << io::rate(spread) <<
                                                     (n == Compounded ? " compounded" : " continuous") <<
                                                 std::setprecision(7) <<
-                                                "\n    price:     " << price <<
+                                                "\n    clean price:  " << price.amount() <<
                                                 "\n    Z-spread': " << io::rate(calculated) <<
-                                                "\n    price':    " << price2);
+                                                "\n    clean price': " << price2);
                                 }
                             }
                         }
@@ -377,6 +394,7 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
 
                     rate->setValue(m);
 
+                    // Test yield vs clean price
                     Real price =
                         BondFunctions::cleanPrice(bond, m, bondDayCount, Continuous, frequency);
                     Real calculatedPrice = bond.cleanPrice();
@@ -405,9 +423,42 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
                                     "\n    frequency: " << frequency <<
                                     "\n    yield:     " << io::rate(m) <<
                                     std::setprecision(7) <<
-                                    "\n    price:     " << price <<
+                                    "\n    clean price: " << price <<
                                     "\n    yield':    " << io::rate(calculatedYield));
                     }
+
+                    // Test yield vs dirty price
+                    price =
+                        BondFunctions::dirtyPrice(bond, m, bondDayCount, Continuous, frequency);
+                    calculatedPrice = bond.dirtyPrice();
+
+                    if (std::fabs(price - calculatedPrice) > tolerance) {
+                        BOOST_ERROR("price calculation failed:" <<
+                                    "\n    issue:       " << issue <<
+                                    "\n    maturity:    " << maturity <<
+                                    "\n    coupon:      " << io::rate(coupon) <<
+                                    "\n    frequency:   " << frequency <<
+                                    "\n    yield:       " << io::rate(m) <<
+                                    std::setprecision(7) <<
+                                    "\n    expected:    " << price <<
+                                    "\n    calculated': " << calculatedPrice <<
+                                    "\n    error':      " << price - calculatedPrice);
+                    }
+
+                    calculatedYield = BondFunctions::yield(
+                        bond, Bond::Price(calculatedPrice, Bond::Price::Dirty), bondDayCount,
+                        Continuous, frequency, bond.settlementDate(), tolerance, maxEvaluations, 0.05);
+                    if (std::fabs(m - calculatedYield) > tolerance) {
+                        BOOST_ERROR("yield calculation failed:" <<
+                                    "\n    issue:       " << issue <<
+                                    "\n    maturity:    " << maturity <<
+                                    "\n    coupon:      " << io::rate(coupon) <<
+                                    "\n    frequency:   " << frequency <<
+                                    "\n    yield:       " << io::rate(m) <<
+                                    std::setprecision(7) <<
+                                    "\n    dirty price: " << price <<
+                                    "\n    yield':      " << io::rate(calculatedYield));
+                    }
                 }
             }
         }

From 95ac5fa2783a10cf626d5fa3dc6d1ec80c8c87d8 Mon Sep 17 00:00:00 2001
From: Francois Botha <igitur@gmail.com>
Date: Tue, 27 Feb 2024 11:02:14 +0200
Subject: [PATCH 41/95] Add BondFunctions::dirtyPrice() functions

---
 ql/pricingengines/bond/bondfunctions.cpp | 26 ++++++++++++++++++--
 ql/pricingengines/bond/bondfunctions.hpp | 10 ++++++++
 test-suite/bonds.cpp                     | 31 ++++++++++++++++++++++++
 3 files changed, 65 insertions(+), 2 deletions(-)

diff --git a/ql/pricingengines/bond/bondfunctions.cpp b/ql/pricingengines/bond/bondfunctions.cpp
index 96f77aca3fe..c7a6c1385ac 100644
--- a/ql/pricingengines/bond/bondfunctions.cpp
+++ b/ql/pricingengines/bond/bondfunctions.cpp
@@ -242,6 +242,15 @@ namespace QuantLib {
         if (settlement == Date())
             settlement = bond.settlementDate();
 
+        return dirtyPrice(bond, discountCurve, settlement) - bond.accruedAmount(settlement);
+    }
+
+    Real BondFunctions::dirtyPrice(const Bond& bond,
+                                   const YieldTermStructure& discountCurve,
+                                   Date settlement) {
+        if (settlement == Date())
+            settlement = bond.settlementDate();
+
         QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
                    "non tradable at " << settlement <<
                    " settlement date (maturity being " <<
@@ -250,7 +259,7 @@ namespace QuantLib {
         Real dirtyPrice = CashFlows::npv(bond.cashflows(), discountCurve,
                                          false, settlement) *
             100.0 / bond.notional(settlement);
-        return dirtyPrice - bond.accruedAmount(settlement);
+        return dirtyPrice;
     }
 
     Real BondFunctions::bps(const Bond& bond,
@@ -508,6 +517,19 @@ namespace QuantLib {
         if (settlement == Date())
             settlement = bond.settlementDate();
 
+        return dirtyPrice(bond, d, zSpread, dc, comp, freq, settlement) - bond.accruedAmount(settlement);
+    }
+
+    Real BondFunctions::dirtyPrice(const Bond& bond,
+                                   const ext::shared_ptr<YieldTermStructure>& d,
+                                   Spread zSpread,
+                                   const DayCounter& dc,
+                                   Compounding comp,
+                                   Frequency freq,
+                                   Date settlement) {
+        if (settlement == Date())
+            settlement = bond.settlementDate();
+
         QL_REQUIRE(BondFunctions::isTradable(bond, settlement),
                    "non tradable at " << settlement <<
                    " (maturity being " << bond.maturityDate() << ")");
@@ -516,7 +538,7 @@ namespace QuantLib {
                                          zSpread, dc, comp, freq,
                                          false, settlement) *
             100.0 / bond.notional(settlement);
-        return dirtyPrice - bond.accruedAmount(settlement);
+        return dirtyPrice;
     }
 
     Spread BondFunctions::zSpread(const Bond& bond,
diff --git a/ql/pricingengines/bond/bondfunctions.hpp b/ql/pricingengines/bond/bondfunctions.hpp
index a2098ccf268..c34682a547f 100644
--- a/ql/pricingengines/bond/bondfunctions.hpp
+++ b/ql/pricingengines/bond/bondfunctions.hpp
@@ -108,6 +108,9 @@ namespace QuantLib {
         static Real cleanPrice(const Bond& bond,
                                const YieldTermStructure& discountCurve,
                                Date settlementDate = Date());
+        static Real dirtyPrice(const Bond& bond,
+                               const YieldTermStructure& discountCurve,
+                               Date settlementDate = Date());
         static Real bps(const Bond& bond,
                         const YieldTermStructure& discountCurve,
                         Date settlementDate = Date());
@@ -264,6 +267,13 @@ namespace QuantLib {
                                Compounding compounding,
                                Frequency frequency,
                                Date settlementDate = Date());
+        static Real dirtyPrice(const Bond& bond,
+                               const ext::shared_ptr<YieldTermStructure>& discount,
+                               Spread zSpread,
+                               const DayCounter& dayCounter,
+                               Compounding compounding,
+                               Frequency frequency,
+                               Date settlementDate = Date());
         [[deprecated("Use the version with the Bond::Price argument")]]
         static Spread zSpread(const Bond& bond,
                               Real cleanPrice,
diff --git a/test-suite/bonds.cpp b/test-suite/bonds.cpp
index 9245a80ece0..440b16ed92f 100644
--- a/test-suite/bonds.cpp
+++ b/test-suite/bonds.cpp
@@ -315,6 +315,7 @@ BOOST_AUTO_TEST_CASE(testZspread) {
 
                         for (Real spread : spreads) {
 
+                            // Clean price
                             Bond::Price price(BondFunctions::cleanPrice(bond, *discountCurve,
                                                                         spread, bondDayCount, n,
                                                                         frequency),
@@ -341,6 +342,36 @@ BOOST_AUTO_TEST_CASE(testZspread) {
                                                 "\n    clean price': " << price2);
                                 }
                             }
+
+                            // Dirty price
+                            price =
+                                Bond::Price(BondFunctions::dirtyPrice(bond, *discountCurve, spread,
+                                                                      bondDayCount, n, frequency),
+                                            Bond::Price::Dirty);
+
+                            calculated = BondFunctions::zSpread(
+                                bond, price, *discountCurve, bondDayCount, n, frequency, Date(),
+                                tolerance, maxEvaluations);
+
+                            if (std::fabs(spread - calculated) > tolerance) {
+                                // the difference might not matter
+                                Real price2 = BondFunctions::dirtyPrice(
+                                    bond, *discountCurve, calculated, bondDayCount, n, frequency);
+                                if (std::fabs(price.amount() - price2) / price.amount() > tolerance) {
+                                    BOOST_ERROR("\nZ-spread recalculation failed:"
+                                                "\n    issue:        " << issue <<
+                                                "\n    maturity:     " << maturity <<
+                                                "\n    coupon:       " << io::rate(coupon) <<
+                                                "\n    frequency:    " << frequency <<
+                                                "\n    Z-spread:     " << io::rate(spread) <<
+                                                (compounding[n] == Compounded ?
+                                                    " compounded" : " continuous") <<
+                                                std::setprecision(7) <<
+                                                "\n    dirty price:  " << price.amount() <<
+                                                "\n    Z-spread':    " << io::rate(calculated) <<
+                                                "\n    dirty price': " << price2);
+                                }
+                            }
                         }
                     }
                 }

From 07b4e62589d277fa472fbddc6e3dbfbc6ccc88f0 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fredrik=20Gerdin=20B=C3=B6rjesson?=
 <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 1 Mar 2024 10:54:41 +0100
Subject: [PATCH 42/95] Patch Singapore calendar for 2023, 2024

---
 ql/time/calendars/singapore.cpp | 18 ++++++++++++++++++
 ql/time/calendars/singapore.hpp |  3 ++-
 2 files changed, 20 insertions(+), 1 deletion(-)

diff --git a/ql/time/calendars/singapore.cpp b/ql/time/calendars/singapore.cpp
index 5aabdab4b2d..c3e7fae3e6a 100644
--- a/ql/time/calendars/singapore.cpp
+++ b/ql/time/calendars/singapore.cpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2004 FIMAT Group
  Copyright (C) 2007, 2008, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2024 Skandinaviska Enskilda Banken AB (publ)
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -195,10 +196,27 @@ namespace QuantLib {
                 || (d == 2 && m == June)
                 // Hari Raya Haji
                 || (d == 29 && m == June)
+                // Public holiday on polling day
+                || (d == 1 && m == September)
                 // Deepavali
                 || (d == 13 && m == November))
                 return false;
         }
+        // https://api2.sgx.com/sites/default/files/2024-01/SGX%20Calendar%202024_2.pdf
+        if (y == 2024)
+        {
+            if (// Chinese New Year
+                (d == 12 && m == February)
+                // Hari Raya Puasa
+                || (d == 10 && m == April)
+                // Vesak Poya Day
+                || (d == 22 && m == May)
+                // Hari Raya Haji
+                || (d == 17 && m == June)
+                // Deepavali
+                || (d == 31 && m == October))
+                return false;
+        }
         return true;
     }
 
diff --git a/ql/time/calendars/singapore.hpp b/ql/time/calendars/singapore.hpp
index cd26f5fe51e..1865c7a2ed1 100644
--- a/ql/time/calendars/singapore.hpp
+++ b/ql/time/calendars/singapore.hpp
@@ -3,6 +3,7 @@
 /*
  Copyright (C) 2004 FIMAT Group
  Copyright (C) 2007, 2008, 2009, 2010 StatPro Italia srl
+ Copyright (C) 2024 Skandinaviska Enskilda Banken AB (publ)
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -44,7 +45,7 @@ namespace QuantLib {
         </ul>
 
         Other holidays for which no rule is given
-        (data available for 2004-2010, 2012-2014, 2019-2023 only:)
+        (data available for 2004-2010, 2012-2014, 2019-2024 only:)
         <ul>
         <li>Chinese New Year</li>
         <li>Hari Raya Haji</li>

From dbf861e4533f8c8e8a195270e78237b9823bec51 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fredrik=20Gerdin=20B=C3=B6rjesson?=
 <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 1 Mar 2024 10:55:27 +0100
Subject: [PATCH 43/95] Add Thai holiday for 2024-04-12

---
 ql/time/calendars/thailand.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

diff --git a/ql/time/calendars/thailand.cpp b/ql/time/calendars/thailand.cpp
index 8453438242b..58cdb443218 100644
--- a/ql/time/calendars/thailand.cpp
+++ b/ql/time/calendars/thailand.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2018 Matthias Groncki
- Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ)
+ Copyright (C) 2023, 2024 Skandinaviska Enskilda Banken AB (publ)
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -288,6 +288,7 @@ namespace QuantLib {
 
         if ((y == 2024) && ((d == 26 && m == February)    // Substitution for Makha Bucha Day (Saturday 24th February 2024)
                             || (d == 8 && m == April)     // Substitution for Chakri Memorial Day (Saturday 6th April 2024)
+                            || (d == 12 && m == April)    // Additional holiday in relation to the Songkran festival
                             || (d == 6 && m == May)       // Substitution for Coronation Day (Saturday 4th May 2024)
                             || (d == 22 && m == May)      // Wisakha Bucha Day
                             || (d == 22 && m == July)     // Substitution for Asarnha Bucha Day (Saturday 20th July 2024)

From 4dd52ef0e19127afc77a5908957f2544544f21e6 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?Fredrik=20Gerdin=20B=C3=B6rjesson?=
 <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 1 Mar 2024 15:12:19 +0100
Subject: [PATCH 44/95] Add South African election holiday 2024-05-29

https://www.gov.za/news/media-statements/president-cyril-ramaphosa-announces-2024-general-elections-date-20-feb-2024
---
 ql/time/calendars/southafrica.cpp | 4 +++-
 1 file changed, 3 insertions(+), 1 deletion(-)

diff --git a/ql/time/calendars/southafrica.cpp b/ql/time/calendars/southafrica.cpp
index 66baa8b6a68..453555a0ba9 100644
--- a/ql/time/calendars/southafrica.cpp
+++ b/ql/time/calendars/southafrica.cpp
@@ -2,7 +2,7 @@
 
 /*
  Copyright (C) 2000, 2001, 2002, 2003 RiskMap srl
- Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ)
+ Copyright (C) 2023, 2024 Skandinaviska Enskilda Banken AB (publ)
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -80,6 +80,8 @@ namespace QuantLib {
             || (d == 27 && m == December && y == 2022)
             // one-shot: Special holiday to celebrate winning of Rugby World Cup 2023
             || (d == 15 && m == December && y == 2023)
+            // one-shot: Election day 2024
+            || (d == 29 && m == May && y == 2024)
             )
             return false; // NOLINT(readability-simplify-boolean-expr)
         return true;

From 73192b60d61c241ec70e7554a46e7cc6b897dadd Mon Sep 17 00:00:00 2001
From: Auto Differentiation Dev Team
 <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Fri, 1 Mar 2024 16:03:10 +0000
Subject: [PATCH 45/95] Fixes data type used for test tolerances (tolerances
 with mistmatched types are ignored)

---
 test-suite/cashflows.cpp |  2 +-
 test-suite/period.cpp    |  4 ++--
 test-suite/prices.cpp    | 10 +++++-----
 3 files changed, 8 insertions(+), 8 deletions(-)

diff --git a/test-suite/cashflows.cpp b/test-suite/cashflows.cpp
index c926af7669e..785c1c30dd5 100644
--- a/test-suite/cashflows.cpp
+++ b/test-suite/cashflows.cpp
@@ -405,7 +405,7 @@ BOOST_AUTO_TEST_CASE(testIrregularFirstCouponReferenceDatesAtEndOfCalendarMonth)
         BOOST_ERROR("Expected reference start date at end of calendar day of the month, "
                     "got " << firstCoupon->referencePeriodStart());
     // Expect first cashflow to be 0.9375
-    BOOST_TEST(firstCoupon->amount() == 0.9375, boost::test_tools::tolerance(0.0001));
+    BOOST_TEST(firstCoupon->amount() == 0.9375, boost::test_tools::tolerance<Real>(0.0001));
 }
 
 BOOST_AUTO_TEST_CASE(testIrregularLastCouponReferenceDatesAtEndOfMonth) {
diff --git a/test-suite/period.cpp b/test-suite/period.cpp
index a7f6aad318d..00e0e174723 100644
--- a/test-suite/period.cpp
+++ b/test-suite/period.cpp
@@ -147,7 +147,7 @@ BOOST_AUTO_TEST_CASE(testConvertToYears) {
     BOOST_TEST(years(Period(1, Years)) == 1);
     BOOST_TEST(years(Period(5, Years)) == 5);
 
-    const auto tol = boost::test_tools::tolerance(1e-15);
+    const auto tol = boost::test_tools::tolerance<Real>(1e-15);
     BOOST_TEST(years(Period(1, Months)) == 1.0/12.0, tol);
     BOOST_TEST(years(Period(8, Months)) == 8.0/12.0, tol);
     BOOST_TEST(years(Period(12, Months)) == 1);
@@ -172,7 +172,7 @@ BOOST_AUTO_TEST_CASE(testConvertToWeeks) {
     BOOST_TEST(weeks(Period(1, Weeks)) == 1);
     BOOST_TEST(weeks(Period(5, Weeks)) == 5);
 
-    const auto tol = boost::test_tools::tolerance(1e-15);
+    const auto tol = boost::test_tools::tolerance<Real>(1e-15);
     BOOST_TEST(weeks(Period(1, Days)) == 1.0/7.0, tol);
     BOOST_TEST(weeks(Period(3, Days)) == 3.0/7.0, tol);
     BOOST_TEST(weeks(Period(11, Days)) == 11.0/7.0, tol);
diff --git a/test-suite/prices.cpp b/test-suite/prices.cpp
index 39cc40f867a..9767c52473c 100644
--- a/test-suite/prices.cpp
+++ b/test-suite/prices.cpp
@@ -35,10 +35,10 @@ BOOST_AUTO_TEST_CASE(testMidEquivalent) {
 
     using boost::test_tools::tolerance;
 
-    BOOST_TEST(1.5 == midEquivalent(1, 2, 3, 4), tolerance(1e-14));
-    BOOST_TEST(1.5 == midEquivalent(1, 2, 0, 4), tolerance(1e-14));
-    BOOST_TEST(1.5 == midEquivalent(1, 2, 3, 0), tolerance(1e-14));
-    BOOST_TEST(1.5 == midEquivalent(1, 2, 0, 0), tolerance(1e-14));
+    BOOST_TEST(1.5 == midEquivalent(1, 2, 3, 4), tolerance<Real>(1e-14));
+    BOOST_TEST(1.5 == midEquivalent(1, 2, 0, 4), tolerance<Real>(1e-14));
+    BOOST_TEST(1.5 == midEquivalent(1, 2, 3, 0), tolerance<Real>(1e-14));
+    BOOST_TEST(1.5 == midEquivalent(1, 2, 0, 0), tolerance<Real>(1e-14));
 
     BOOST_TEST(1 == midEquivalent(1, 0, 3, 4));
     BOOST_TEST(1 == midEquivalent(1, 0, 0, 4));
@@ -62,7 +62,7 @@ BOOST_AUTO_TEST_CASE(testMidSafe) {
 
     using boost::test_tools::tolerance;
 
-    BOOST_TEST(1.5 == midSafe(1, 2), tolerance(1e-14));
+    BOOST_TEST(1.5 == midSafe(1, 2), tolerance<Real>(1e-14));
 
     BOOST_CHECK_THROW(midSafe(0, 0), QuantLib::Error);
     BOOST_CHECK_THROW(midSafe(1, 0), QuantLib::Error);

From 3a984131765801f50302611d42c2f2e45a9c3ec7 Mon Sep 17 00:00:00 2001
From: Paul <d.goldbauer@protonmail.com>
Date: Sun, 3 Mar 2024 23:26:30 +0100
Subject: [PATCH 46/95] recompute fixingDays after add/subtract 10 years

---
 test-suite/convertiblebonds.cpp | 16 ++++++++++------
 1 file changed, 10 insertions(+), 6 deletions(-)

diff --git a/test-suite/convertiblebonds.cpp b/test-suite/convertiblebonds.cpp
index 904bdcea68b..fe43f6c759f 100644
--- a/test-suite/convertiblebonds.cpp
+++ b/test-suite/convertiblebonds.cpp
@@ -55,7 +55,7 @@ struct CommonVars {
     Calendar calendar;
     DayCounter dayCounter;
     Frequency frequency;
-    Natural settlementDays;
+    Natural settlementDays, fixingDays;
 
     RelinkableHandle<Quote> underlying;
     RelinkableHandle<YieldTermStructure> dividendYield, riskFreeRate;
@@ -78,10 +78,15 @@ struct CommonVars {
         frequency = Annual;
         settlementDays = 3;
 
-        issueDate = calendar.advance(today,2,Days);
+        fixingDays = 2;
+        issueDate = calendar.advance(today, fixingDays, Days);
         maturityDate = calendar.advance(issueDate, 10, Years);
         // reset to avoid inconsistencies as the schedule is backwards
         issueDate = calendar.advance(maturityDate, -10, Years);
+        fixingDays = 0;
+        for (Date d = today; d != issueDate; ++d)
+            if (calendar.isBusinessDay(d) && !calendar.isWeekend(d.weekday()))
+                ++fixingDays;
 
         underlying.linkTo(ext::make_shared<SimpleQuote>(50.0));
         dividendYield.linkTo(flatRate(today, 0.02, dayCounter));
@@ -231,14 +236,13 @@ BOOST_AUTO_TEST_CASE(testBond) {
 
     ext::shared_ptr<IborIndex> index =
         ext::make_shared<Euribor1Y>(discountCurve);
-    Natural fixingDays = 2;
     std::vector<Real> gearings(1, 1.0);
     std::vector<Rate> spreads;
 
     ConvertibleFloatingRateBond euFloating(euExercise, vars.conversionRatio,
                                            vars.no_callability,
                                            vars.issueDate, vars.settlementDays,
-                                           index, fixingDays, spreads,
+                                           index, vars.fixingDays, spreads,
                                            vars.dayCounter, schedule,
                                            vars.redemption);
     euFloating.setPricingEngine(engine);
@@ -246,7 +250,7 @@ BOOST_AUTO_TEST_CASE(testBond) {
     ConvertibleFloatingRateBond amFloating(amExercise, vars.conversionRatio,
                                            vars.no_callability,
                                            vars.issueDate, vars.settlementDays,
-                                           index, fixingDays, spreads,
+                                           index, vars.fixingDays, spreads,
                                            vars.dayCounter, schedule,
                                            vars.redemption);
     amFloating.setPricingEngine(engine);
@@ -261,7 +265,7 @@ BOOST_AUTO_TEST_CASE(testBond) {
                            DateGeneration::Backward, false);
 
     FloatingRateBond floating(vars.settlementDays, vars.faceAmount, floatSchedule,
-                              index, vars.dayCounter, Following, fixingDays,
+                              index, vars.dayCounter, Following, vars.fixingDays,
                               gearings, spreads,
                               std::vector<Rate>(), std::vector<Rate>(),
                               false,

From 368c13b0641ecd9940915e865331b2c1bc01e8b3 Mon Sep 17 00:00:00 2001
From: Paul <d.goldbauer@protonmail.com>
Date: Mon, 4 Mar 2024 13:29:19 +0100
Subject: [PATCH 47/95] make use of Calendar::businessDaysBetween()

---
 test-suite/convertiblebonds.cpp | 5 +----
 1 file changed, 1 insertion(+), 4 deletions(-)

diff --git a/test-suite/convertiblebonds.cpp b/test-suite/convertiblebonds.cpp
index fe43f6c759f..7f0f314cd4a 100644
--- a/test-suite/convertiblebonds.cpp
+++ b/test-suite/convertiblebonds.cpp
@@ -83,10 +83,7 @@ struct CommonVars {
         maturityDate = calendar.advance(issueDate, 10, Years);
         // reset to avoid inconsistencies as the schedule is backwards
         issueDate = calendar.advance(maturityDate, -10, Years);
-        fixingDays = 0;
-        for (Date d = today; d != issueDate; ++d)
-            if (calendar.isBusinessDay(d) && !calendar.isWeekend(d.weekday()))
-                ++fixingDays;
+        fixingDays = calendar.businessDaysBetween(today, issueDate);
 
         underlying.linkTo(ext::make_shared<SimpleQuote>(50.0));
         dividendYield.linkTo(flatRate(today, 0.02, dayCounter));

From cf1a1c5bf5fbccc88b8407c738fbc624b8f0b0fe Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 16:51:28 +0100
Subject: [PATCH 48/95] Replace comparison to null with isValid method

---
 ql/instruments/bond.cpp                  |  8 --------
 ql/instruments/bond.hpp                  |  9 +--------
 ql/pricingengines/bond/bondfunctions.cpp | 16 +++++++---------
 3 files changed, 8 insertions(+), 25 deletions(-)

diff --git a/ql/instruments/bond.cpp b/ql/instruments/bond.cpp
index 1b22ed3c508..829a2ceefd6 100644
--- a/ql/instruments/bond.cpp
+++ b/ql/instruments/bond.cpp
@@ -414,12 +414,4 @@ namespace QuantLib {
             QL_REQUIRE(cf, "null cash flow provided");
     }
 
-    bool operator==(const Bond::Price& p1, const Bond::Price& p2) {
-        return (p1.amount() == p2.amount()) && ((p1.type() == p2.type()));
-    }
-
-    bool operator!=(const Bond::Price& p1, const Bond::Price& p2) {
-        return (p1.amount() != p2.amount()) || ((p1.type() != p2.type()));
-    }
-
 }
diff --git a/ql/instruments/bond.hpp b/ql/instruments/bond.hpp
index c1510ff6055..944b1d2786b 100644
--- a/ql/instruments/bond.hpp
+++ b/ql/instruments/bond.hpp
@@ -70,6 +70,7 @@ namespace QuantLib {
                 return amount_;
             }
             Type type() const { return type_; }
+            bool isValid() const { return amount_ != Null<Real>(); }
           private:
             Real amount_;
             Type type_;
@@ -351,14 +352,6 @@ namespace QuantLib {
         return issueDate_;
     }
 
-/*! Returns <tt>true</tt> iff the two bond prices belong to the same
-    derived class.
-    \relates Bond::Price
-*/
-    bool operator==(const Bond::Price&, const Bond::Price&);
-
-    /*! \relates Bond::Price */
-    bool operator!=(const Bond::Price&, const Bond::Price&);
 }
 
 #endif
diff --git a/ql/pricingengines/bond/bondfunctions.cpp b/ql/pricingengines/bond/bondfunctions.cpp
index c7a6c1385ac..e8e289d8758 100644
--- a/ql/pricingengines/bond/bondfunctions.cpp
+++ b/ql/pricingengines/bond/bondfunctions.cpp
@@ -283,6 +283,7 @@ namespace QuantLib {
                                 Real cleanPrice) {
         return atmRate(bond, discountCurve, settlement, Bond::Price(cleanPrice, Bond::Price::Clean));
     }
+
     Rate BondFunctions::atmRate(const Bond& bond,
                                 const YieldTermStructure& discountCurve,
                                 Date settlement,
@@ -294,22 +295,19 @@ namespace QuantLib {
                    "non tradable at " << settlement <<
                    " (maturity being " << bond.maturityDate() << ")");
 
-        if (price == Null<Bond::Price>())
-            return CashFlows::atmRate(bond.cashflows(), discountCurve,
-                                      false, settlement, settlement,
-                                      Null<Real>());
-        else {
+        Real npv = Null<Real>();
+        if (price.isValid()) {
             Real dirtyPrice =
                 price.amount() +
                 (price.type() == Bond::Price::Clean ? bond.accruedAmount(settlement) : 0);
 
             Real currentNotional = bond.notional(settlement);
-            Real npv = dirtyPrice / 100.0 * currentNotional;
+            npv = dirtyPrice / 100.0 * currentNotional;
 
-            return CashFlows::atmRate(bond.cashflows(), discountCurve,
-                                      false, settlement, settlement,
-                                      npv);
         }
+        return CashFlows::atmRate(bond.cashflows(), discountCurve,
+                                  false, settlement, settlement,
+                                  npv);
     }
 
     Real BondFunctions::cleanPrice(const Bond& bond,

From 0c9b9a801b8f54292665dc1d8e1a90d22684a360 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 16:53:58 +0100
Subject: [PATCH 49/95] Remove implicit conversion from Real

---
 ql/instruments/bond.hpp | 1 -
 1 file changed, 1 deletion(-)

diff --git a/ql/instruments/bond.hpp b/ql/instruments/bond.hpp
index 944b1d2786b..730bb985d86 100644
--- a/ql/instruments/bond.hpp
+++ b/ql/instruments/bond.hpp
@@ -63,7 +63,6 @@ namespace QuantLib {
           public:
             enum Type { Dirty, Clean };
             Price() : amount_(Null<Real>()), type_(Bond::Price::Clean) {}
-            Price(Real amount) : amount_(amount), type_(Bond::Price::Clean) {}
             Price(Real amount, Type type) : amount_(amount), type_(type) {}
             Real amount() const {
                 QL_REQUIRE(amount_ != Null<Real>(), "no amount given");

From d944c52183c7338787ae66088acbaec1c402b6a6 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 17:15:33 +0100
Subject: [PATCH 50/95] Use aggregate initialization for brevity

---
 Examples/Bonds/Bonds.cpp                     |  8 +--
 Examples/FittedBondCurve/FittedBondCurve.cpp |  2 +-
 ql/instruments/bond.cpp                      |  2 +-
 ql/instruments/bonds/btp.cpp                 |  8 +--
 ql/pricingengines/bond/bondfunctions.cpp     |  8 ++-
 test-suite/bonds.cpp                         | 61 +++++++++++---------
 test-suite/fittedbonddiscountcurve.cpp       |  4 +-
 7 files changed, 48 insertions(+), 45 deletions(-)

diff --git a/Examples/Bonds/Bonds.cpp b/Examples/Bonds/Bonds.cpp
index 173c67da118..23a3ceda745 100644
--- a/Examples/Bonds/Bonds.cpp
+++ b/Examples/Bonds/Bonds.cpp
@@ -541,14 +541,10 @@ int main(int, char* []) {
          << floatingRateBond.cleanPrice(floatingRateBond.yield(Actual360(),Compounded,Annual),Actual360(),Compounded,Annual,settlementDate) << std::endl;
 
          std::cout << "Clean Price to Yield: "
-                   << io::rate(floatingRateBond.yield(
-                          Bond::Price(floatingRateBond.cleanPrice(), Bond::Price::Clean),
-                          Actual360(), Compounded, Annual, settlementDate))
+                   << io::rate(floatingRateBond.yield({floatingRateBond.cleanPrice(), Bond::Price::Clean},
+                                                      Actual360(), Compounded, Annual, settlementDate))
                    << std::endl;
 
-         /* "Yield to Price"
-            "Price to Yield" */
-
          return 0;
 
     } catch (std::exception& e) {
diff --git a/Examples/FittedBondCurve/FittedBondCurve.cpp b/Examples/FittedBondCurve/FittedBondCurve.cpp
index a04b58d493a..4643728ac7c 100644
--- a/Examples/FittedBondCurve/FittedBondCurve.cpp
+++ b/Examples/FittedBondCurve/FittedBondCurve.cpp
@@ -592,7 +592,7 @@ int main(int, char* []) {
 
             Real P = instrumentsA[k]->quote()->value();
             const Bond& b = *instrumentsA[k]->bond();
-            Rate ytm = BondFunctions::yield(b, Bond::Price(P, Bond::Price::Clean),
+            Rate ytm = BondFunctions::yield(b, {P, Bond::Price::Clean},
                                             dc, Compounded, frequency,
                                             today);
             Time dur = BondFunctions::duration(b, ytm,
diff --git a/ql/instruments/bond.cpp b/ql/instruments/bond.cpp
index 829a2ceefd6..a565f3775b2 100644
--- a/ql/instruments/bond.cpp
+++ b/ql/instruments/bond.cpp
@@ -244,7 +244,7 @@ namespace QuantLib {
                      Size maxEvaluations,
                      Real guess,
                      Bond::Price::Type priceType) const {
-        return yield(Bond::Price(price, priceType), dc, comp, freq, settlement, accuracy,
+        return yield({price, priceType}, dc, comp, freq, settlement, accuracy,
                      maxEvaluations, guess);
     }
     Rate Bond::yield(Bond::Price price,
diff --git a/ql/instruments/bonds/btp.cpp b/ql/instruments/bonds/btp.cpp
index 8681be91220..1f19b45a1fe 100644
--- a/ql/instruments/bonds/btp.cpp
+++ b/ql/instruments/bonds/btp.cpp
@@ -83,7 +83,7 @@ namespace QuantLib {
                     Date settlementDate,
                     Real accuracy,
                     Size maxEvaluations) const {
-        return Bond::yield(Bond::Price(cleanPrice, Bond::Price::Clean),
+        return Bond::yield({cleanPrice, Bond::Price::Clean},
                            ActualActual(ActualActual::ISMA), Compounded, Annual, settlementDate,
                            accuracy, maxEvaluations);
     }
@@ -160,7 +160,7 @@ namespace QuantLib {
         Date bondSettlementDate = btps[0]->settlementDate();
         for (Size i=0; i<basket_->size(); ++i) {
             yields_[i] = BondFunctions::yield(
-                *btps[i], Bond::Price(quotes[i]->value(), Bond::Price::Clean),
+                *btps[i], {quotes[i]->value(), Bond::Price::Clean},
                 ActualActual(ActualActual::ISMA), Compounded, Annual, bondSettlementDate,
                 // accuracy, maxIterations, guess
                 1.0e-10, 100, yields_[i]);
@@ -185,7 +185,7 @@ namespace QuantLib {
                                Following, // paymentConvention
                                100.0);    // redemption
         swapBondYields_[0] = BondFunctions::yield(swapBond,
-            Bond::Price(100.0, Bond::Price::Clean), // floating leg NPV including end payment
+            {100.0, Bond::Price::Clean}, // floating leg NPV including end payment
             ActualActual(ActualActual::ISMA), Compounded, Annual,
             bondSettlementDate,
             // accuracy, maxIterations, guess
@@ -204,7 +204,7 @@ namespace QuantLib {
                                    Following, // paymentConvention
                                    100.0);    // redemption
             swapBondYields_[i] = BondFunctions::yield(swapBond,
-                Bond::Price(100.0, Bond::Price::Clean), // floating leg NPV including end payment
+                {100.0, Bond::Price::Clean}, // floating leg NPV including end payment
                 ActualActual(ActualActual::ISMA), Compounded, Annual,
                 bondSettlementDate,
                 // accuracy, maxIterations, guess
diff --git a/ql/pricingengines/bond/bondfunctions.cpp b/ql/pricingengines/bond/bondfunctions.cpp
index e8e289d8758..3a11bc1597f 100644
--- a/ql/pricingengines/bond/bondfunctions.cpp
+++ b/ql/pricingengines/bond/bondfunctions.cpp
@@ -281,7 +281,7 @@ namespace QuantLib {
                                 const YieldTermStructure& discountCurve,
                                 Date settlement,
                                 Real cleanPrice) {
-        return atmRate(bond, discountCurve, settlement, Bond::Price(cleanPrice, Bond::Price::Clean));
+        return atmRate(bond, discountCurve, settlement, {cleanPrice, Bond::Price::Clean});
     }
 
     Rate BondFunctions::atmRate(const Bond& bond,
@@ -387,9 +387,10 @@ namespace QuantLib {
                               Size maxIterations,
                               Rate guess,
                               Bond::Price::Type priceType) {
-        return yield(bond, Bond::Price(price, priceType), dayCounter, compounding, frequency,
+        return yield(bond, {price, priceType}, dayCounter, compounding, frequency,
                      settlement, accuracy, maxIterations, guess);
     }
+
     Rate BondFunctions::yield(const Bond& bond,
                               Bond::Price price,
                               const DayCounter& dayCounter,
@@ -549,9 +550,10 @@ namespace QuantLib {
                                   Real accuracy,
                                   Size maxIterations,
                                   Rate guess) {
-        return zSpread(bond, Bond::Price(cleanPrice, Bond::Price::Clean), d, dayCounter,
+        return zSpread(bond, {cleanPrice, Bond::Price::Clean}, d, dayCounter,
                        compounding, frequency, settlement, accuracy, maxIterations, guess);
     }
+
     Spread BondFunctions::zSpread(const Bond& bond,
                                   Bond::Price price,
                                   const ext::shared_ptr<YieldTermStructure>& d,
diff --git a/test-suite/bonds.cpp b/test-suite/bonds.cpp
index 440b16ed92f..92c6d0f18c1 100644
--- a/test-suite/bonds.cpp
+++ b/test-suite/bonds.cpp
@@ -134,9 +134,10 @@ BOOST_AUTO_TEST_CASE(testYield) {
 
                         for (Real m : yields) {
 
-                            Bond::Price price(
+                            Bond::Price price = {
                                 BondFunctions::cleanPrice(bond, m, bondDayCount, n, frequency),
-                                Bond::Price::Clean);
+                                Bond::Price::Clean
+                            };
 
                             Rate calculated = BondFunctions::yield(
                                 bond, price, bondDayCount, n, frequency, Date(), tolerance,
@@ -162,9 +163,10 @@ BOOST_AUTO_TEST_CASE(testYield) {
                                 }
                             }
 
-                            price = Bond::Price(
+                            price = {
                                 BondFunctions::dirtyPrice(bond, m, bondDayCount, n, frequency),
-                                Bond::Price::Dirty);
+                                Bond::Price::Dirty
+                            };
 
                             calculated = BondFunctions::yield(
                                 bond, price, bondDayCount, n, frequency, Date(), tolerance,
@@ -233,7 +235,7 @@ BOOST_AUTO_TEST_CASE(testAtmRate) {
                                        paymentConvention, redemption, issue);
 
                     bond.setPricingEngine(bondEngine);
-                    Bond::Price price(bond.cleanPrice(), Bond::Price::Clean);
+                    Bond::Price price = {bond.cleanPrice(), Bond::Price::Clean};
                     Rate calculated =
                         BondFunctions::atmRate(bond, **disc, bond.settlementDate(), price);
 
@@ -249,7 +251,7 @@ BOOST_AUTO_TEST_CASE(testAtmRate) {
                                     "\n atm rate:        " << io::rate(calculated));
                     }
 
-                    price = Bond::Price(bond.dirtyPrice(), Bond::Price::Dirty);
+                    price = {bond.dirtyPrice(), Bond::Price::Dirty};
                     calculated =
                         BondFunctions::atmRate(bond, **disc, bond.settlementDate(), price);
 
@@ -316,10 +318,12 @@ BOOST_AUTO_TEST_CASE(testZspread) {
                         for (Real spread : spreads) {
 
                             // Clean price
-                            Bond::Price price(BondFunctions::cleanPrice(bond, *discountCurve,
-                                                                        spread, bondDayCount, n,
-                                                                        frequency),
-                                              Bond::Price::Clean);
+                            Bond::Price price = {
+                                BondFunctions::cleanPrice(bond, *discountCurve,
+                                                          spread, bondDayCount, n,
+                                                          frequency),
+                                Bond::Price::Clean
+                            };
                             Spread calculated = BondFunctions::zSpread(
                                 bond, price, *discountCurve, bondDayCount, n, frequency, Date(),
                                 tolerance, maxEvaluations);
@@ -344,10 +348,11 @@ BOOST_AUTO_TEST_CASE(testZspread) {
                             }
 
                             // Dirty price
-                            price =
-                                Bond::Price(BondFunctions::dirtyPrice(bond, *discountCurve, spread,
-                                                                      bondDayCount, n, frequency),
-                                            Bond::Price::Dirty);
+                            price = {
+                                BondFunctions::dirtyPrice(bond, *discountCurve, spread,
+                                                          bondDayCount, n, frequency),
+                                Bond::Price::Dirty
+                            };
 
                             calculated = BondFunctions::zSpread(
                                 bond, price, *discountCurve, bondDayCount, n, frequency, Date(),
@@ -444,7 +449,7 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
                     }
 
                     Rate calculatedYield = BondFunctions::yield(
-                        bond, Bond::Price(calculatedPrice, Bond::Price::Clean), bondDayCount,
+                        bond, {calculatedPrice, Bond::Price::Clean}, bondDayCount,
                         Continuous, frequency, bond.settlementDate(), tolerance, maxEvaluations);
                     if (std::fabs(m - calculatedYield) > tolerance) {
                         BOOST_ERROR("yield calculation failed:" <<
@@ -477,7 +482,7 @@ BOOST_AUTO_TEST_CASE(testTheoretical) {
                     }
 
                     calculatedYield = BondFunctions::yield(
-                        bond, Bond::Price(calculatedPrice, Bond::Price::Dirty), bondDayCount,
+                        bond, {calculatedPrice, Bond::Price::Dirty}, bondDayCount,
                         Continuous, frequency, bond.settlementDate(), tolerance, maxEvaluations, 0.05);
                     if (std::fabs(m - calculatedYield) > tolerance) {
                         BOOST_ERROR("yield calculation failed:" <<
@@ -605,28 +610,28 @@ BOOST_AUTO_TEST_CASE(testCached) {
         tolerance,
         "failed to reproduce cached clean price with no schdule for bond 1:"
     );
-    checkValue(BondFunctions::yield(bond1, Bond::Price(marketPrice1, Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond1, {marketPrice1, Bond::Price::Clean},
                                     bondDayCount1, Compounded, freq),
                cachedYield1a, tolerance,
                "failed to reproduce cached compounded yield with schedule for bond 1:");
-    checkValue(BondFunctions::yield(bond1NoSchedule, Bond::Price(marketPrice1, Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond1NoSchedule, {marketPrice1, Bond::Price::Clean},
                                     bondDayCount1NoSchedule, Compounded, freq),
                cachedYield1a, tolerance,
                "failed to reproduce cached compounded yield with no schedule for bond 1:");
-    checkValue(BondFunctions::yield(bond1, Bond::Price(marketPrice1, Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond1, {marketPrice1, Bond::Price::Clean},
                                     bondDayCount1, Continuous, freq),
                cachedYield1b, tolerance,
                "failed to reproduce cached continuous yield with schedule for bond 1:");
-    checkValue(BondFunctions::yield(bond1NoSchedule, Bond::Price(marketPrice1, Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond1NoSchedule, {marketPrice1, Bond::Price::Clean},
                                     bondDayCount1NoSchedule, Continuous, freq),
                cachedYield1b, tolerance,
                "failed to reproduce cached continuous yield with no schedule for bond 1:");
-    checkValue(BondFunctions::yield(bond1, Bond::Price(bond1.cleanPrice(), Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond1, {bond1.cleanPrice(), Bond::Price::Clean},
                                     bondDayCount1, Continuous, freq, bond1.settlementDate()),
                cachedYield1c, tolerance,
                "failed to reproduce cached continuous yield with schedule for bond 1:");
     checkValue(BondFunctions::yield(
-                   bond1NoSchedule, Bond::Price(bond1NoSchedule.cleanPrice(), Bond::Price::Clean),
+                   bond1NoSchedule, {bond1NoSchedule.cleanPrice(), Bond::Price::Clean},
                    bondDayCount1NoSchedule, Continuous, freq, bond1.settlementDate()),
                cachedYield1c, tolerance,
                "failed to reproduce cached continuous yield with no schedule for bond 1:");
@@ -657,28 +662,28 @@ BOOST_AUTO_TEST_CASE(testCached) {
         tolerance,
         "failed to reproduce cached clean price with no schedule for bond 2:"
     );
-    checkValue(BondFunctions::yield(bond2, Bond::Price(marketPrice2, Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond2, {marketPrice2, Bond::Price::Clean},
                                     bondDayCount2, Compounded, freq),
                cachedYield2a, tolerance,
                "failed to reproduce cached compounded yield with schedule for bond 2:");
-    checkValue(BondFunctions::yield(bond2NoSchedule, Bond::Price(marketPrice2, Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond2NoSchedule, {marketPrice2, Bond::Price::Clean},
                                     bondDayCount2NoSchedule, Compounded, freq),
                cachedYield2a, tolerance,
                "failed to reproduce cached compounded yield with no schedule for bond 2:");
-    checkValue(BondFunctions::yield(bond2, Bond::Price(marketPrice2, Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond2, {marketPrice2, Bond::Price::Clean},
                                     bondDayCount2, Continuous, freq),
                cachedYield2b, tolerance,
                "failed to reproduce chached continuous yield with schedule for bond 2:");
-    checkValue(BondFunctions::yield(bond2NoSchedule, Bond::Price(marketPrice2, Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond2NoSchedule, {marketPrice2, Bond::Price::Clean},
                                     bondDayCount2NoSchedule, Continuous, freq),
                cachedYield2b, tolerance,
                "failed to reproduce cached continuous yield with schedule for bond 2:");
-    checkValue(BondFunctions::yield(bond2, Bond::Price(bond2.cleanPrice(), Bond::Price::Clean),
+    checkValue(BondFunctions::yield(bond2, {bond2.cleanPrice(), Bond::Price::Clean},
                                     bondDayCount2, Continuous, freq, bond2.settlementDate()),
                cachedYield2c, tolerance,
                "failed to reproduce cached continuous yield for bond 2 with schedule:");
     checkValue(BondFunctions::yield(
-                   bond2NoSchedule, Bond::Price(bond2NoSchedule.cleanPrice(), Bond::Price::Clean),
+                   bond2NoSchedule, {bond2NoSchedule.cleanPrice(), Bond::Price::Clean},
                    bondDayCount2NoSchedule, Continuous, freq, bond2NoSchedule.settlementDate()),
                cachedYield2c, tolerance,
                "failed to reproduce cached continuous yield for bond 2 with no schedule:");
diff --git a/test-suite/fittedbonddiscountcurve.cpp b/test-suite/fittedbonddiscountcurve.cpp
index 11207b29352..0cd87cd43f1 100644
--- a/test-suite/fittedbonddiscountcurve.cpp
+++ b/test-suite/fittedbonddiscountcurve.cpp
@@ -153,9 +153,9 @@ BOOST_AUTO_TEST_CASE(testFlatExtrapolation) {
 
     for (auto& bond : bonds) {
         bond->setPricingEngine(engine1);
-        modelPrices1.push_back(Bond::Price(bond->cleanPrice(), Bond::Price::Clean));
+        modelPrices1.emplace_back(bond->cleanPrice(), Bond::Price::Clean);
         bond->setPricingEngine(engine2);
-        modelPrices2.push_back(Bond::Price(bond->cleanPrice(), Bond::Price::Clean));
+        modelPrices2.emplace_back(bond->cleanPrice(), Bond::Price::Clean);
     }
     BOOST_CHECK_EQUAL(curve1->fitResults().errorCode(), EndCriteria::MaxIterations);
     BOOST_CHECK_EQUAL(curve2->fitResults().errorCode(), EndCriteria::MaxIterations);

From 072a71e36e5bbd86bfc2fa746d85b48d1897ab2e Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 17:24:28 +0100
Subject: [PATCH 51/95] Document deprecations in Doxygen

---
 ql/instruments/bond.hpp                  |  8 +++++---
 ql/pricingengines/bond/bondfunctions.hpp | 21 +++++++++++++++++----
 2 files changed, 22 insertions(+), 7 deletions(-)

diff --git a/ql/instruments/bond.hpp b/ql/instruments/bond.hpp
index 730bb985d86..c4d7faec281 100644
--- a/ql/instruments/bond.hpp
+++ b/ql/instruments/bond.hpp
@@ -195,9 +195,10 @@ namespace QuantLib {
         /*! The default bond settlement date is used for calculation. */
         Real settlementValue(Real cleanPrice) const;
 
-        //! yield given a price and settlement date
-        /*! The default bond settlement is used if no date is given. */
-        [[deprecated("Use the version with the Bond::Price argument")]]
+        /*! \deprecated Use the overload taking a Bond::Price argument instead.
+                        Deprecated in version 1.34.
+        */
+        [[deprecated("Use the overload taking a Bond::Price argument instead")]]
         Rate yield(Real price,
                    const DayCounter& dc,
                    Compounding comp,
@@ -207,6 +208,7 @@ namespace QuantLib {
                    Size maxEvaluations = 100,
                    Real guess = 0.05,
                    Bond::Price::Type priceType = Bond::Price::Clean) const;
+
         //! yield given a price and settlement date
         /*! The default bond settlement is used if no date is given. */
         Rate yield(Bond::Price price,
diff --git a/ql/pricingengines/bond/bondfunctions.hpp b/ql/pricingengines/bond/bondfunctions.hpp
index c34682a547f..4871fce7724 100644
--- a/ql/pricingengines/bond/bondfunctions.hpp
+++ b/ql/pricingengines/bond/bondfunctions.hpp
@@ -114,7 +114,11 @@ namespace QuantLib {
         static Real bps(const Bond& bond,
                         const YieldTermStructure& discountCurve,
                         Date settlementDate = Date());
-        [[deprecated("Use the version with the Bond::Price argument")]]
+
+        /*! \deprecated Use the overload taking a Bond::Price argument instead.
+                        Deprecated in version 1.34.
+        */
+        [[deprecated("Use the overload taking a Bond::Price argument instead")]]
         static Rate atmRate(const Bond& bond,
                             const YieldTermStructure& discountCurve,
                             Date settlementDate = Date(),
@@ -154,7 +158,10 @@ namespace QuantLib {
                         Compounding compounding,
                         Frequency frequency,
                         Date settlementDate = Date());
-        [[deprecated("Use the version with the Bond::Price argument")]]
+        /*! \deprecated Use the overload taking a Bond::Price argument instead.
+                        Deprecated in version 1.34.
+        */
+        [[deprecated("Use the overload taking a Bond::Price argument instead")]]
         static Rate yield(const Bond& bond,
                           Real price,
                           const DayCounter& dayCounter,
@@ -174,8 +181,11 @@ namespace QuantLib {
                           Real accuracy = 1.0e-10,
                           Size maxIterations = 100,
                           Rate guess = 0.05);
+        /*! \deprecated Use the overload taking a Bond::Price argument instead.
+                        Deprecated in version 1.34.
+        */
         template <typename Solver>
-        [[deprecated("Use the version with the Bond::Price argument")]]
+        [[deprecated("Use the overload taking a Bond::Price argument instead")]]
         static Rate yield(const Solver& solver,
                           const Bond& bond,
                           Real price,
@@ -274,7 +284,10 @@ namespace QuantLib {
                                Compounding compounding,
                                Frequency frequency,
                                Date settlementDate = Date());
-        [[deprecated("Use the version with the Bond::Price argument")]]
+        /*! \deprecated Use the overload taking a Bond::Price argument instead.
+                        Deprecated in version 1.34.
+        */
+        [[deprecated("Use the overload taking a Bond::Price argument instead")]]
         static Spread zSpread(const Bond& bond,
                               Real cleanPrice,
                               const ext::shared_ptr<YieldTermStructure>&,

From f1ed88696825015763807e78ab4687bd010705d2 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Mar 2024 17:50:51 +0100
Subject: [PATCH 52/95] More concise default

---
 ql/pricingengines/bond/bondfunctions.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/pricingengines/bond/bondfunctions.hpp b/ql/pricingengines/bond/bondfunctions.hpp
index 4871fce7724..ccf65ca4ec5 100644
--- a/ql/pricingengines/bond/bondfunctions.hpp
+++ b/ql/pricingengines/bond/bondfunctions.hpp
@@ -126,7 +126,7 @@ namespace QuantLib {
         static Rate atmRate(const Bond& bond,
                             const YieldTermStructure& discountCurve,
                             Date settlementDate = Date(),
-                            Bond::Price price = Null<Bond::Price>());
+                            Bond::Price price = {});
         //@}
 
         //! \name Yield (a.k.a. Internal Rate of Return, i.e. IRR) functions

From 6bb9c1f18ff6d4c47f06a66136fb83411207e67c Mon Sep 17 00:00:00 2001
From: Auto Differentiation Dev Team <dev@auto-differentiation.com>
Date: Fri, 8 Mar 2024 09:04:41 +0000
Subject: [PATCH 53/95] Uses Real in GemoetricBrownianMotionProcess instead of
 double

---
 ql/processes/geometricbrownianprocess.cpp |  6 +++---
 ql/processes/geometricbrownianprocess.hpp | 12 ++++++------
 2 files changed, 9 insertions(+), 9 deletions(-)

diff --git a/ql/processes/geometricbrownianprocess.cpp b/ql/processes/geometricbrownianprocess.cpp
index cf7244752c3..4aa2b42935f 100644
--- a/ql/processes/geometricbrownianprocess.cpp
+++ b/ql/processes/geometricbrownianprocess.cpp
@@ -25,9 +25,9 @@
 namespace QuantLib {
 
     GeometricBrownianMotionProcess::GeometricBrownianMotionProcess(
-                                                          double initialValue,
-                                                          double mue,
-                                                          double sigma)
+                                                          Real initialValue,
+                                                          Real mue,
+                                                          Real sigma)
     : StochasticProcess1D(ext::shared_ptr<discretization>(
                                                     new EulerDiscretization)),
       initialValue_(initialValue), mue_(mue), sigma_(sigma) {}
diff --git a/ql/processes/geometricbrownianprocess.hpp b/ql/processes/geometricbrownianprocess.hpp
index 22633bc5a17..87c9aaa1819 100644
--- a/ql/processes/geometricbrownianprocess.hpp
+++ b/ql/processes/geometricbrownianprocess.hpp
@@ -40,17 +40,17 @@ namespace QuantLib {
     */
     class GeometricBrownianMotionProcess : public StochasticProcess1D {
       public:
-        GeometricBrownianMotionProcess(double initialValue,
-                                       double mue,
-                                       double sigma);
+        GeometricBrownianMotionProcess(Real initialValue,
+                                       Real mue,
+                                       Real sigma);
         Real x0() const override;
         Real drift(Time t, Real x) const override;
         Real diffusion(Time t, Real x) const override;
 
       protected:
-        double initialValue_;
-        double mue_;
-        double sigma_;
+        Real initialValue_;
+        Real mue_;
+        Real sigma_;
     };
 
 }

From 1f5518c17351e46b8e9371dbfba6e9c674dcbcc9 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 8 Mar 2024 12:11:23 +0100
Subject: [PATCH 54/95] Avoid ambiguous calls

---
 ql/pricingengines/bond/bondfunctions.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/pricingengines/bond/bondfunctions.hpp b/ql/pricingengines/bond/bondfunctions.hpp
index ccf65ca4ec5..6f0d3dfe640 100644
--- a/ql/pricingengines/bond/bondfunctions.hpp
+++ b/ql/pricingengines/bond/bondfunctions.hpp
@@ -121,8 +121,8 @@ namespace QuantLib {
         [[deprecated("Use the overload taking a Bond::Price argument instead")]]
         static Rate atmRate(const Bond& bond,
                             const YieldTermStructure& discountCurve,
-                            Date settlementDate = Date(),
-                            Real cleanPrice = Null<Real>());
+                            Date settlementDate,
+                            Real cleanPrice);
         static Rate atmRate(const Bond& bond,
                             const YieldTermStructure& discountCurve,
                             Date settlementDate = Date(),

From b56bebad829222290a71f01b7ae4b8a9c796feb5 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 8 Mar 2024 16:36:50 +0100
Subject: [PATCH 55/95] Add missing argument to uninstantiated template method
 call

---
 ql/pricingengines/bond/bondfunctions.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/pricingengines/bond/bondfunctions.hpp b/ql/pricingengines/bond/bondfunctions.hpp
index 6f0d3dfe640..072b6a614a6 100644
--- a/ql/pricingengines/bond/bondfunctions.hpp
+++ b/ql/pricingengines/bond/bondfunctions.hpp
@@ -196,7 +196,7 @@ namespace QuantLib {
                           Real accuracy = 1.0e-10,
                           Rate guess = 0.05,
                           Bond::Price::Type priceType = Bond::Price::Clean) {
-            return yield(solver, Bond::Price(price, priceType), dayCounter, compounding, frequency,
+            return yield(solver, bond, {price, priceType}, dayCounter, compounding, frequency,
                          settlementDate, accuracy, guess);
         }
         template <typename Solver>

From 3e086ede50f25d8ea1d86eb14084c5c6fc5c12f2 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 10 Mar 2024 16:54:42 +0100
Subject: [PATCH 56/95] Avoid reinstalling brew dependent packages

---
 .github/workflows/cmake.yml            | 2 ++
 .github/workflows/macos-nondefault.yml | 2 ++
 .github/workflows/macos.yml            | 2 ++
 3 files changed, 6 insertions(+)

diff --git a/.github/workflows/cmake.yml b/.github/workflows/cmake.yml
index b6b8b151a0f..1c71dd20be7 100644
--- a/.github/workflows/cmake.yml
+++ b/.github/workflows/cmake.yml
@@ -167,6 +167,8 @@ jobs:
     steps:
     - uses: actions/checkout@v3
     - name: Setup
+      env:
+        HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
       run: |
         brew install boost ccache ninja
     - name: Cache
diff --git a/.github/workflows/macos-nondefault.yml b/.github/workflows/macos-nondefault.yml
index a56d1494e9d..3f3f8de6261 100644
--- a/.github/workflows/macos-nondefault.yml
+++ b/.github/workflows/macos-nondefault.yml
@@ -31,6 +31,8 @@ jobs:
     steps:
     - uses: actions/checkout@v3
     - name: Setup
+      env:
+        HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
       run: |
         brew install automake boost
     - name: Compiler version
diff --git a/.github/workflows/macos.yml b/.github/workflows/macos.yml
index b36c0f3cae9..6813ab4475c 100644
--- a/.github/workflows/macos.yml
+++ b/.github/workflows/macos.yml
@@ -16,6 +16,8 @@ jobs:
     steps:
     - uses: actions/checkout@v3
     - name: Setup
+      env:
+        HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
       run: |
         brew install automake boost ccache
     - name: Cache

From f2597af011b10ff1cba8a05d1d8eb404bf866f1f Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 10 Mar 2024 20:29:33 +0100
Subject: [PATCH 57/95] Remove OSX 11 from build matrix.

---
 .github/workflows/macos-nondefault.yml | 6 ------
 .github/workflows/macos.yml            | 2 --
 2 files changed, 8 deletions(-)

diff --git a/.github/workflows/macos-nondefault.yml b/.github/workflows/macos-nondefault.yml
index 3f3f8de6261..e19f7cda3b5 100644
--- a/.github/workflows/macos-nondefault.yml
+++ b/.github/workflows/macos-nondefault.yml
@@ -10,12 +10,6 @@ jobs:
       fail-fast: false
       matrix:
         include:
-          - os: [macos-11]
-            shortname: default-11
-          - os: [macos-11]
-            shortname: stdclasses-11
-            cxxflags: "-std=c++17"
-            configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-optional --enable-std-any
           - os: [macos-12]
             shortname: default-12
           - os: [macos-12]
diff --git a/.github/workflows/macos.yml b/.github/workflows/macos.yml
index 6813ab4475c..780d6b2430b 100644
--- a/.github/workflows/macos.yml
+++ b/.github/workflows/macos.yml
@@ -7,8 +7,6 @@ jobs:
       fail-fast: false
       matrix:
         include:
-          - os: [macos-11]
-            shortname: default-11
           - os: [macos-12]
             shortname: default-12
           - os: [macos-13]

From 8b687cb2ede10619ef8caa6a19b7ccc9c4ccc12b Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 10 Mar 2024 20:39:18 +0100
Subject: [PATCH 58/95] Avoid brew errors in CI setup

---
 .github/workflows/doxygen.yml | 1 -
 1 file changed, 1 deletion(-)

diff --git a/.github/workflows/doxygen.yml b/.github/workflows/doxygen.yml
index e84132cb7fb..5ef3aea0d3f 100644
--- a/.github/workflows/doxygen.yml
+++ b/.github/workflows/doxygen.yml
@@ -9,7 +9,6 @@ jobs:
       env:
         HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
       run: |
-        brew update
         brew install automake boost doxygen graphviz
         ./autogen.sh
         ./configure

From c329d29b788f41e192b520ca30633157595ba51f Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 15 Mar 2024 16:48:58 +0100
Subject: [PATCH 59/95] Use correct fixed rate and float schedule in OIS case

---
 .../shortrate/calibrationhelpers/swaptionhelper.cpp  | 12 +++++++-----
 .../shortrate/calibrationhelpers/swaptionhelper.hpp  |  9 +++------
 2 files changed, 10 insertions(+), 11 deletions(-)

diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
index 67a79ed4e71..54cf1a7e5b0 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
@@ -40,7 +40,7 @@ namespace QuantLib {
                                    DayCounter fixedLegDayCounter,
                                    DayCounter floatingLegDayCounter,
                                    Handle<YieldTermStructure> termStructure,
-                                   BlackCalibrationHelper::CalibrationErrorType errorType,
+                                   CalibrationErrorType errorType,
                                    const Real strike,
                                    const Real nominal,
                                    const VolatilityType type,
@@ -65,7 +65,7 @@ namespace QuantLib {
                                    DayCounter fixedLegDayCounter,
                                    DayCounter floatingLegDayCounter,
                                    Handle<YieldTermStructure> termStructure,
-                                   BlackCalibrationHelper::CalibrationErrorType errorType,
+                                   CalibrationErrorType errorType,
                                    const Real strike,
                                    const Real nominal,
                                    const VolatilityType type,
@@ -90,7 +90,7 @@ namespace QuantLib {
                                    DayCounter fixedLegDayCounter,
                                    DayCounter floatingLegDayCounter,
                                    Handle<YieldTermStructure> termStructure,
-                                   BlackCalibrationHelper::CalibrationErrorType errorType,
+                                   CalibrationErrorType errorType,
                                    const Real strike,
                                    const Real nominal,
                                    const VolatilityType type,
@@ -190,7 +190,7 @@ namespace QuantLib {
             // construct ois swap
             temp = std::make_unique<OvernightIndexedSwap>(
                 Swap::Receiver, nominal_, fixedSchedule, 0.0,
-                fixedLegDayCounter_, onIndex, 0.0, 0, Following, Calendar(),
+                fixedLegDayCounter_, floatSchedule, onIndex, 0.0, 0, Following, Calendar(),
                 true, averagingMethod_
             );
         } else {
@@ -209,7 +209,8 @@ namespace QuantLib {
         }
         if (onIndex) {
             swap_ = ext::make_shared<OvernightIndexedSwap>(
-                type, nominal_, fixedSchedule, 0.0, fixedLegDayCounter_, onIndex, 0.0, 0, Following,
+                type, nominal_, fixedSchedule, exerciseRate_, fixedLegDayCounter_,
+                floatSchedule, onIndex, 0.0, 0, Following,
                 Calendar(), true, averagingMethod_);
         } else {
             swap_ = ext::make_shared<VanillaSwap>(type, nominal_, fixedSchedule, exerciseRate_,
@@ -220,4 +221,5 @@ namespace QuantLib {
         swaption_ = ext::make_shared<Swaption>(swap_, exercise);
         BlackCalibrationHelper::performCalculations();
     }
+
 }
diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
index f6b9bfdf7cc..9ec865c5b1a 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
@@ -44,8 +44,7 @@ namespace QuantLib {
                        DayCounter fixedLegDayCounter,
                        DayCounter floatingLegDayCounter,
                        Handle<YieldTermStructure> termStructure,
-                       BlackCalibrationHelper::CalibrationErrorType errorType =
-                           BlackCalibrationHelper::RelativePriceError,
+                       CalibrationErrorType errorType = RelativePriceError,
                        Real strike = Null<Real>(),
                        Real nominal = 1.0,
                        VolatilityType type = ShiftedLognormal,
@@ -61,8 +60,7 @@ namespace QuantLib {
                        DayCounter fixedLegDayCounter,
                        DayCounter floatingLegDayCounter,
                        Handle<YieldTermStructure> termStructure,
-                       BlackCalibrationHelper::CalibrationErrorType errorType =
-                           BlackCalibrationHelper::RelativePriceError,
+                       CalibrationErrorType errorType = RelativePriceError,
                        Real strike = Null<Real>(),
                        Real nominal = 1.0,
                        VolatilityType type = ShiftedLognormal,
@@ -78,8 +76,7 @@ namespace QuantLib {
                        DayCounter fixedLegDayCounter,
                        DayCounter floatingLegDayCounter,
                        Handle<YieldTermStructure> termStructure,
-                       BlackCalibrationHelper::CalibrationErrorType errorType =
-                           BlackCalibrationHelper::RelativePriceError,
+                       CalibrationErrorType errorType = RelativePriceError,
                        Real strike = Null<Real>(),
                        Real nominal = 1.0,
                        VolatilityType type = ShiftedLognormal,

From ebf1f8871d5ed07d6bbf2fad6daf98b84021352f Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 15 Mar 2024 17:01:43 +0100
Subject: [PATCH 60/95] Extract swap-building function

---
 .../calibrationhelpers/swaptionhelper.cpp     | 43 ++++++++-----------
 .../calibrationhelpers/swaptionhelper.hpp     |  4 ++
 2 files changed, 22 insertions(+), 25 deletions(-)

diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
index 54cf1a7e5b0..314d6872a69 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
@@ -170,7 +170,6 @@ namespace QuantLib {
         if (endDate == Null<Date>())
             endDate = calendar.advance(startDate, length_,
                                        index_->businessDayConvention());
-        auto onIndex = ext::dynamic_pointer_cast<OvernightIndex>(index_);
         Schedule fixedSchedule(startDate, endDate, fixedLegTenor_, calendar,
                                index_->businessDayConvention(),
                                index_->businessDayConvention(),
@@ -180,25 +179,11 @@ namespace QuantLib {
                                index_->businessDayConvention(),
                                DateGeneration::Forward, false);
 
-        ext::shared_ptr<PricingEngine> swapEngine(
-                             new DiscountingSwapEngine(termStructure_, false));
+        auto swapEngine = ext::make_shared<DiscountingSwapEngine>(termStructure_, false);
 
         Swap::Type type = Swap::Receiver;
         ext::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
-        std::unique_ptr<FixedVsFloatingSwap> temp;
-        if (onIndex) {
-            // construct ois swap
-            temp = std::make_unique<OvernightIndexedSwap>(
-                Swap::Receiver, nominal_, fixedSchedule, 0.0,
-                fixedLegDayCounter_, floatSchedule, onIndex, 0.0, 0, Following, Calendar(),
-                true, averagingMethod_
-            );
-        } else {
-            temp = std::make_unique<VanillaSwap>(
-                 Swap::Receiver, nominal_, fixedSchedule, 0.0, fixedLegDayCounter_,
-                 floatSchedule, index_, 0.0, floatingLegDayCounter_
-            );
-        }
+        auto temp = makeSwap(fixedSchedule, floatSchedule, 0.0, type);
         temp->setPricingEngine(swapEngine);
         Real forward = temp->fairRate();
         if (strike_ == Null<Real>()) {
@@ -207,19 +192,27 @@ namespace QuantLib {
             exerciseRate_ = strike_;
             type = strike_ <= forward ? Swap::Receiver : Swap::Payer;
         }
+        swap_ = makeSwap(fixedSchedule, floatSchedule, exerciseRate_, type);
+        swap_->setPricingEngine(swapEngine);
+        swaption_ = ext::make_shared<Swaption>(swap_, exercise);
+        BlackCalibrationHelper::performCalculations();
+    }
+
+    ext::shared_ptr<FixedVsFloatingSwap> SwaptionHelper::makeSwap(const Schedule& fixedSchedule,
+                                                                  const Schedule& floatSchedule,
+                                                                  Rate exerciseRate,
+                                                                  Swap::Type type) const {
+        auto onIndex = ext::dynamic_pointer_cast<OvernightIndex>(index_);
         if (onIndex) {
-            swap_ = ext::make_shared<OvernightIndexedSwap>(
-                type, nominal_, fixedSchedule, exerciseRate_, fixedLegDayCounter_,
+            return ext::make_shared<OvernightIndexedSwap>(
+                type, nominal_, fixedSchedule, exerciseRate, fixedLegDayCounter_,
                 floatSchedule, onIndex, 0.0, 0, Following,
                 Calendar(), true, averagingMethod_);
         } else {
-            swap_ = ext::make_shared<VanillaSwap>(type, nominal_, fixedSchedule, exerciseRate_,
-                                                  fixedLegDayCounter_, floatSchedule, index_, 0.0,
-                                                  floatingLegDayCounter_);
+            return ext::make_shared<VanillaSwap>(type, nominal_, fixedSchedule, exerciseRate,
+                                                 fixedLegDayCounter_, floatSchedule, index_, 0.0,
+                                                 floatingLegDayCounter_);
         }
-        swap_->setPricingEngine(swapEngine);
-        swaption_ = ext::make_shared<Swaption>(swap_, exercise);
-        BlackCalibrationHelper::performCalculations();
     }
 
 }
diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
index 9ec865c5b1a..e8c6ac90046 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
@@ -96,6 +96,10 @@ namespace QuantLib {
 
       private:
         void performCalculations() const override;
+        ext::shared_ptr<FixedVsFloatingSwap> makeSwap(const Schedule& fixedSchedule,
+                                                      const Schedule& floatSchedule,
+                                                      Rate exerciseRate,
+                                                      Swap::Type type) const;
         mutable Date exerciseDate_, endDate_;
         const Period maturity_, length_, fixedLegTenor_;
         const ext::shared_ptr<IborIndex> index_;

From ea5fe1b55d34e1661c5564ecc790fcb7983f3085 Mon Sep 17 00:00:00 2001
From: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 18 Mar 2024 11:27:37 +0100
Subject: [PATCH 61/95] Use correct discount rate for settlement date cash flow

---
 .../crosscurrencyratehelpers.cpp              |  5 ++-
 test-suite/crosscurrencyratehelpers.cpp       | 37 ++++++++++++-------
 2 files changed, 27 insertions(+), 15 deletions(-)

diff --git a/ql/experimental/termstructures/crosscurrencyratehelpers.cpp b/ql/experimental/termstructures/crosscurrencyratehelpers.cpp
index 04429e838c5..fd5961404c6 100644
--- a/ql/experimental/termstructures/crosscurrencyratehelpers.cpp
+++ b/ql/experimental/termstructures/crosscurrencyratehelpers.cpp
@@ -72,7 +72,10 @@ namespace QuantLib {
             Real npv, bps;
             std::tie(npv, bps) = CashFlows::npvbps(iborLeg, discountRef, includeSettleDtFlows, refDt, refDt);
             // Include NPV of the notional exchange at start and maturity.
-            npv += discountRef.discount(iborLeg.back()->date()) - 1.0;
+            // on the settlement date
+            npv += (-1.0) * discountRef.discount(CashFlows::startDate(iborLeg));
+            // on maturity date  
+            npv += discountRef.discount(CashFlows::maturityDate(iborLeg));
             bps /= basisPoint;
             return { npv, bps };
         }
diff --git a/test-suite/crosscurrencyratehelpers.cpp b/test-suite/crosscurrencyratehelpers.cpp
index fb8967fc0ac..01936b2afb5 100644
--- a/test-suite/crosscurrencyratehelpers.cpp
+++ b/test-suite/crosscurrencyratehelpers.cpp
@@ -22,6 +22,7 @@
 #include <ql/indexes/ibor/euribor.hpp>
 #include <ql/indexes/ibor/usdlibor.hpp>
 #include <ql/cashflows/iborcoupon.hpp>
+#include <ql/cashflows/cashflows.hpp>
 #include <ql/cashflows/simplecashflow.hpp>
 #include <ql/math/interpolations/loginterpolation.hpp>
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
@@ -49,9 +50,9 @@ struct CommonVars {
     Real basisPoint;
     Real fxSpot;
 
-    Date today, settlement;
+    Natural instrumentSettlementDays, curveSettlementDays;
+    Date today, instrumentSettlementDt, curveSettlementDt;
     Calendar calendar;
-    Natural settlementDays;
     Currency ccy;
     BusinessDayConvention businessConvention;
     DayCounter dayCount;
@@ -75,7 +76,7 @@ struct CommonVars {
         Handle<Quote> quoteHandle(ext::make_shared<SimpleQuote>(q.basis * basisPoint));
         Period tenor(q.n, q.units);
         return ext::shared_ptr<RateHelper>(new ConstNotionalCrossCurrencyBasisSwapRateHelper(
-                quoteHandle, tenor, settlementDays, calendar, businessConvention, endOfMonth,
+                quoteHandle, tenor, instrumentSettlementDays, calendar, businessConvention, endOfMonth,
                 baseCcyIdx, quoteCcyIdx, collateralHandle, isFxBaseCurrencyCollateralCurrency,
                 isBasisOnFxBaseCurrencyLeg));
     }
@@ -105,7 +106,7 @@ struct CommonVars {
         Handle<Quote> quoteHandle(ext::make_shared<SimpleQuote>(q.basis * basisPoint));
         Period tenor(q.n, q.units);
         return ext::shared_ptr<RateHelper>(new MtMCrossCurrencyBasisSwapRateHelper(
-                quoteHandle, tenor, settlementDays, calendar, businessConvention, endOfMonth,
+                quoteHandle, tenor, instrumentSettlementDays, calendar, businessConvention, endOfMonth,
                 baseCcyIdx, quoteCcyIdx, collateralHandle, isFxBaseCurrencyCollateralCurrency,
                 isBasisOnFxBaseCurrencyLeg, isFxBaseCurrencyLegResettable));
     }
@@ -130,8 +131,8 @@ struct CommonVars {
     Schedule legSchedule(const Period& tenor, 
                          const ext::shared_ptr<IborIndex>& idx) const {
         return MakeSchedule()
-            .from(settlement)
-            .to(settlement + tenor)
+            .from(instrumentSettlementDt)
+            .to(instrumentSettlementDt + tenor)
             .withTenor(idx->tenor())
             .withCalendar(calendar)
             .withConvention(businessConvention)
@@ -144,7 +145,11 @@ struct CommonVars {
                             Real notional,
                             Spread basis) const {
         Leg leg = IborLeg(schedule, idx).withNotionals(notional).withSpreads(basis);
-        Date lastPaymentDate = leg.back()->date();
+        
+        Date initialPaymentDate = CashFlows::startDate(leg);
+        leg.push_back(ext::make_shared<SimpleCashFlow>(-notional, initialPaymentDate));
+        
+        Date lastPaymentDate = CashFlows::maturityDate(leg);
         leg.push_back(ext::make_shared<SimpleCashFlow>(notional, lastPaymentDate));
         return leg;
     }
@@ -177,7 +182,8 @@ struct CommonVars {
     }
 
     CommonVars() {
-        settlementDays = 2;
+        curveSettlementDays = 0;
+        instrumentSettlementDays = 2;
         businessConvention = Following;
         calendar = TARGET();
         dayCount = Actual365Fixed();
@@ -210,10 +216,12 @@ struct CommonVars {
 
         today = calendar.adjust(Date(6, September, 2013));
         Settings::instance().evaluationDate() = today;
-        settlement = calendar.advance(today, settlementDays, Days);
+        
+        instrumentSettlementDt = calendar.advance(today, instrumentSettlementDays, Days);
+        curveSettlementDt = calendar.advance(today, curveSettlementDays, Days);
 
-        baseCcyIdxHandle.linkTo(flatRate(settlement, 0.007, dayCount));
-        quoteCcyIdxHandle.linkTo(flatRate(settlement, 0.015, dayCount));
+        baseCcyIdxHandle.linkTo(flatRate(curveSettlementDt, 0.007, dayCount));
+        quoteCcyIdxHandle.linkTo(flatRate(curveSettlementDt, 0.015, dayCount));
     }
 };
 
@@ -234,7 +242,7 @@ void testConstantNotionalCrossCurrencySwapsNPV(bool isFxBaseCurrencyCollateralCu
                                                   isFxBaseCurrencyCollateralCurrency,
                                                   isBasisOnFxBaseCurrencyLeg);
     ext::shared_ptr<YieldTermStructure> foreignCcyCurve(
-        new PiecewiseYieldCurve<Discount, LogLinear>(vars.settlement, instruments, vars.dayCount));
+        new PiecewiseYieldCurve<Discount, LogLinear>(vars.curveSettlementDt, instruments, vars.dayCount));
     foreignCcyCurve->enableExtrapolation();
     Handle<YieldTermStructure> foreignCcyHandle(foreignCcyCurve);
     ext::shared_ptr<DiscountingSwapEngine> foreignCcyLegEngine(
@@ -291,11 +299,12 @@ void testResettingCrossCurrencySwaps(bool isFxBaseCurrencyCollateralCurrency,
                                                   isBasisOnFxBaseCurrencyLeg);
 
     ext::shared_ptr<YieldTermStructure> resettingCurve(
-        new PiecewiseYieldCurve<Discount, LogLinear>(vars.settlement, resettingInstruments, vars.dayCount));
+        new PiecewiseYieldCurve<Discount, LogLinear>(vars.curveSettlementDt, resettingInstruments, vars.dayCount));
     resettingCurve->enableExtrapolation();
 
     ext::shared_ptr<YieldTermStructure> constNotionalCurve(
-        new PiecewiseYieldCurve<Discount, LogLinear>(vars.settlement, constNotionalInstruments,
+        new PiecewiseYieldCurve<Discount, LogLinear>(vars.curveSettlementDt,
+                                                     constNotionalInstruments,
                                                      vars.dayCount));
     constNotionalCurve->enableExtrapolation();
 

From 628ebc5810accc29eab68de65fb78689682e0af0 Mon Sep 17 00:00:00 2001
From: Peter Caspers <peter.caspers@acadia.inc>
Date: Tue, 19 Mar 2024 14:54:08 +0100
Subject: [PATCH 62/95] handle non-equidistant grids and arbitrary dimensions

---
 ql/CMakeLists.txt                             |   1 +
 ql/experimental/math/laplaceinterpolation.cpp | 253 +++++++++++++++++
 ql/experimental/math/laplaceinterpolation.hpp | 173 +++---------
 test-suite/interpolations.cpp                 | 261 ++++++++++++++++++
 4 files changed, 557 insertions(+), 131 deletions(-)
 create mode 100644 ql/experimental/math/laplaceinterpolation.cpp

diff --git a/ql/CMakeLists.txt b/ql/CMakeLists.txt
index 4647a233626..d378e6a5a4c 100644
--- a/ql/CMakeLists.txt
+++ b/ql/CMakeLists.txt
@@ -173,6 +173,7 @@ set(QL_SOURCES
     experimental/math/fireflyalgorithm.cpp
     experimental/math/gaussiancopulapolicy.cpp
     experimental/math/gaussiannoncentralchisquaredpolynomial.cpp
+    experimental/math/laplaceinterpolation.cpp
     experimental/math/multidimintegrator.cpp
     experimental/math/multidimquadrature.cpp
     experimental/math/particleswarmoptimization.cpp
diff --git a/ql/experimental/math/laplaceinterpolation.cpp b/ql/experimental/math/laplaceinterpolation.cpp
new file mode 100644
index 00000000000..9f5f2a9b6ab
--- /dev/null
+++ b/ql/experimental/math/laplaceinterpolation.cpp
@@ -0,0 +1,253 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2015, 2024 Peter Caspers
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+/*! \file laplaceinterpolation.hpp
+    \brief Laplace interpolation of missing values
+*/
+
+#include <ql/experimental/math/laplaceinterpolation.hpp>
+#include <ql/math/matrix.hpp>
+#include <ql/math/matrixutilities/bicgstab.hpp>
+#include <ql/math/matrixutilities/sparsematrix.hpp>
+#include <ql/methods/finitedifferences/meshers/fdm1dmesher.hpp>
+#include <ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp>
+#include <ql/methods/finitedifferences/meshers/predefined1dmesher.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp>
+#include <ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp>
+#include <ql/methods/finitedifferences/operators/secondderivativeop.hpp>
+#include <ql/methods/finitedifferences/operators/triplebandlinearop.hpp>
+
+namespace QuantLib {
+
+    LaplaceInterpolation::LaplaceInterpolation(std::function<Real(const std::vector<Size>&)> y,
+                                               std::vector<std::vector<Real>> x,
+                                               const Real relTol)
+    : y_(std::move(y)), x_(std::move(x)), relTol_(relTol) {
+
+        // set up the mesher
+
+        std::vector<Size> dim;
+        coordinateIncluded_.resize(x_.size());
+        for (Size i = 0; i < x_.size(); ++i) {
+            coordinateIncluded_[i] = x_[i].size() > 1;
+            if (coordinateIncluded_[i])
+                dim.push_back(x_[i].size());
+        }
+
+        numberOfCoordinatesIncluded_ = dim.size();
+
+        if (numberOfCoordinatesIncluded_ == 0) {
+            return;
+        }
+
+        QL_REQUIRE(!dim.empty(), "LaplaceInterpolation: singular point or no points given");
+
+        layout_ = ext::make_shared<FdmLinearOpLayout>(dim);
+
+        std::vector<ext::shared_ptr<Fdm1dMesher>> meshers;
+        for (Size i = 0; i < x_.size(); ++i) {
+            if (x_[i].size() > 1)
+                meshers.push_back(ext::make_shared<Predefined1dMesher>(x_[i]));
+        }
+
+        auto mesher = ext::make_shared<FdmMesherComposite>(layout_, meshers);
+
+        // set up the Laplace operator and convert it to matrix
+
+        struct LaplaceOp : public FdmLinearOpComposite {
+            LaplaceOp(const ext::shared_ptr<FdmMesher>& mesher) {
+                for (Size direction = 0; direction < mesher->layout()->dim().size(); ++direction) {
+                    if (mesher->layout()->dim()[direction] > 1)
+                        map_.push_back(SecondDerivativeOp(direction, mesher));
+                }
+            }
+            std::vector<TripleBandLinearOp> map_;
+
+            Size size() const override { QL_FAIL("no impl"); }
+            void setTime(Time t1, Time t2) override { QL_FAIL("no impl"); }
+            Array apply(const array_type& r) const override { QL_FAIL("no impl"); }
+            Array apply_mixed(const Array& r) const override { QL_FAIL("no impl"); }
+            Array apply_direction(Size direction, const Array& r) const override {
+                QL_FAIL("no impl");
+            }
+            Array solve_splitting(Size direction, const Array& r, Real s) const override {
+                QL_FAIL("no impl");
+            }
+            Array preconditioner(const Array& r, Real s) const override { QL_FAIL("no impl"); }
+            std::vector<SparseMatrix> toMatrixDecomp() const override {
+                std::vector<SparseMatrix> decomp;
+                for (auto const& m : map_)
+                    decomp.push_back(m.toMatrix());
+                return decomp;
+            }
+        };
+
+        SparseMatrix op = LaplaceOp(mesher).toMatrix();
+
+        // set up the linear system to solve
+
+        Size N = layout_->size();
+
+        SparseMatrix g(N, N, 5 * N);
+        Array rhs(N, 0.0), guess(N, 0.0);
+        Real guessTmp = 0.0;
+
+        struct f_A {
+            const SparseMatrix& g;
+            explicit f_A(const SparseMatrix& g) : g(g) {}
+            Array operator()(const Array& x) const { return prod(g, x); }
+        };
+
+        auto rowit = op.begin1();
+        Size count = 0;
+        std::vector<Real> corner_h(dim.size());
+        std::vector<Size> corner_neighbour_index(dim.size());
+        for (auto const& pos : *layout_) {
+            auto coord = pos.coordinates();
+            Real val =
+                y_(numberOfCoordinatesIncluded_ == x_.size() ? coord : fullCoordinates(coord));
+            QL_REQUIRE(rowit != op.end1() && rowit.index1() == count,
+                       "LaplaceInterpolation: op matrix row iterator ("
+                           << (rowit != op.end1() ? std::to_string(rowit.index1()) : "na")
+                           << ") does not match expected row count (" << count << ")");
+            if (val == Null<Real>()) {
+                bool isCorner = true;
+                for (Size d = 0; d < dim.size() && isCorner; ++d) {
+                    if (coord[d] == 0) {
+                        corner_h[d] = meshers[d]->dplus(0);
+                        corner_neighbour_index[d] = 1;
+                    } else if (coord[d] == layout_->dim()[d] - 1) {
+                        corner_h[d] = meshers[d]->dminus(dim[d] - 1);
+                        corner_neighbour_index[d] = dim[d] - 2;
+                    } else {
+                        isCorner = false;
+                    }
+                }
+                if (isCorner) {
+                    // shandling of the "corners", all second derivs are zero in the op
+                    // this directly generalizes Numerical Recipes, 3rd ed, eq 3.8.6
+                    Real sum_corner_h =
+                        std::accumulate(corner_h.begin(), corner_h.end(), 0.0, std::plus<Real>());
+                    for (Size j = 0; j < dim.size(); ++j) {
+                        std::vector<Size> coord_j(coord);
+                        coord_j[j] = corner_neighbour_index[j];
+                        Real weight = 0.0;
+                        for (Size i = 0; i < dim.size(); ++i) {
+                            if (i != j)
+                                weight += corner_h[i];
+                        }
+                        weight = dim.size() == 1 ? 1.0 : weight / sum_corner_h;
+                        g(count, layout_->index(coord_j)) = -weight;
+                    }
+                    g(count, count) = 1.0;
+                } else {
+                    // point with at least one dimension with non-trivial second derivative
+                    for (auto colit = rowit.begin(); colit != rowit.end(); ++colit)
+                        g(count, colit.index2()) = *colit;
+                }
+                rhs[count] = 0.0;
+                guess[count] = guessTmp;
+            } else {
+                g(count, count) = 1;
+                rhs[count] = val;
+                guess[count] = guessTmp = val;
+            }
+            ++count;
+            ++rowit;
+        }
+
+        interpolatedValues_ = BiCGstab(f_A(g), 10 * N, relTol_).solve(rhs, guess).x;
+    }
+
+    std::vector<Size>
+    LaplaceInterpolation::projectedCoordinates(const std::vector<Size>& coordinates) const {
+        std::vector<Size> tmp;
+        for (Size i = 0; i < coordinates.size(); ++i) {
+            if (coordinateIncluded_[i])
+                tmp.push_back(coordinates[i]);
+        }
+        return tmp;
+    }
+
+    std::vector<Size>
+    LaplaceInterpolation::fullCoordinates(const std::vector<Size>& projectedCoordinates) const {
+        std::vector<Size> tmp(coordinateIncluded_.size(), 0);
+        for (Size i = 0, count = 0; i < coordinateIncluded_.size(); ++i) {
+            if (coordinateIncluded_[i])
+                tmp[i] = projectedCoordinates[count++];
+        }
+        return tmp;
+    }
+
+    Real LaplaceInterpolation::operator()(const std::vector<Size>& coordinates) const {
+        QL_REQUIRE(coordinates.size() == x_.size(), "LaplaceInterpolation::operator(): expected "
+                                                        << x_.size() << " coordinates, got "
+                                                        << coordinates.size());
+        if (numberOfCoordinatesIncluded_ == 0) {
+            Real val = y_(coordinates);
+            return val == Null<Real>() ? 0.0 : val;
+        } else {
+            return interpolatedValues_[layout_->index(numberOfCoordinatesIncluded_ == x_.size() ?
+                                                          coordinates :
+                                                          projectedCoordinates(coordinates))];
+        }
+    }
+
+    template <class M>
+    void laplaceInterpolation(M& A,
+                              const std::vector<Real>& x,
+                              const std::vector<Real>& y,
+                              Real relTol) {
+
+        std::vector<std::vector<Real>> tmp;
+        tmp.push_back(y);
+        tmp.push_back(x);
+
+        if (y.empty()) {
+            tmp[0].resize(A.rows());
+            std::iota(tmp[0].begin(), tmp[0].end(), 0.0);
+        }
+
+        if (x.empty()) {
+            tmp[1].resize(A.columns());
+            std::iota(tmp[1].begin(), tmp[1].end(), 0.0);
+        }
+
+        LaplaceInterpolation interpolation(
+            [&A](const std::vector<Size>& coordinates) {
+                return A(coordinates[0], coordinates[1]);
+            },
+            tmp, relTol);
+
+        for (Size i = 0; i < A.rows(); ++i) {
+            for (Size j = 0; j < A.columns(); ++j) {
+                if (A(i, j) == Null<Real>())
+                    A(i, j) = interpolation({i, j});
+            }
+        }
+    }
+
+    // template instantiations for matrix classes we want to support
+
+    template void laplaceInterpolation(Matrix& A,
+                                       const std::vector<Real>& x,
+                                       const std::vector<Real>& y,
+                                       Real relTol);
+
+} // namespace QuantLib
diff --git a/ql/experimental/math/laplaceinterpolation.hpp b/ql/experimental/math/laplaceinterpolation.hpp
index 831488de5c2..6ce1d8cc8d3 100644
--- a/ql/experimental/math/laplaceinterpolation.hpp
+++ b/ql/experimental/math/laplaceinterpolation.hpp
@@ -1,7 +1,7 @@
 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
 
 /*
- Copyright (C) 2015 Peter Caspers
+ Copyright (C) 2015, 2024 Peter Caspers
 
  This file is part of QuantLib, a free-software/open-source library
  for financial quantitative analysts and developers - http://quantlib.org/
@@ -24,140 +24,51 @@
 #ifndef quantlib_laplace_interpolation
 #define quantlib_laplace_interpolation
 
-#include <ql/math/matrixutilities/bicgstab.hpp>
-#include <ql/math/matrixutilities/sparsematrix.hpp>
+#include <ql/math/array.hpp>
+#include <ql/shared_ptr.hpp>
+#include <ql/types.hpp>
+
+#include <vector>
 
 namespace QuantLib {
 
-/*! reference: Numerical Recipes, 3rd edition, ch. 3.8
-    two dimensional reconstruction of missing (i.e. null)
-    values using laplace interpolation assuming an
-    equidistant grid */
+    class FdmLinearOpLayout;
+
+    /*! Reconstruction of missing values using Laplace interpolation. We support an arbitrary number
+       of dimensions n >= 1 and non-equidistant grids. For n = 1 the method is identical  to linear
+       interpolation with flat extrapolation. Reference: Numerical Recipes, 3rd edition, ch. 3.8. */
+
+    class LaplaceInterpolation {
+      public:
+        /*! Missing values y should be encoded as Null<Real>(). */
+        LaplaceInterpolation(std::function<Real(const std::vector<Size>&)> y,
+                             std::vector<std::vector<Real>> x,
+                             const Real relTol = 1E-6);
+        Real operator()(const std::vector<Size>& coordinates) const;
+
+      private:
+        std::vector<Size> projectedCoordinates(const std::vector<Size>& coordinates) const;
+        std::vector<Size> fullCoordinates(const std::vector<Size>& projectedCoordinates) const;
 
-template <class M> void laplaceInterpolation(M &A, Real relTol = 1E-6) {
+        std::function<Real(const std::vector<Size>&)> y_;
+        std::vector<std::vector<Real>> x_;
+        Real relTol_;
 
-    struct f_A {
-        const SparseMatrix &g;
-        explicit f_A(const SparseMatrix &g) : g(g) {}
-        Array operator()(const Array &x) const {
-            return prod(g, x);
-        }
+        std::vector<bool> coordinateIncluded_;
+        Size numberOfCoordinatesIncluded_;
+
+        ext::shared_ptr<FdmLinearOpLayout> layout_;
+        Array interpolatedValues_;
     };
 
-    Size m = A.rows();
-    Size n = A.columns();
-
-    QL_REQUIRE(n > 1 && m > 1, "matrix (" << m << "," << n
-                                          << ") must at least be 2x2");
-
-    SparseMatrix g(m * n, m * n, 5 * m * n);
-    Array rhs(m * n, 0.0), guess(m * n, 0.0);
-    Real guessTmp = 0.0;
-    Size i1, i2, i3, i4, j1, j2, j3, j4;
-    bool inner;
-
-    for (Size l = 0, i = 0; i < m; ++i) {
-        for (Size j = 0; j < n; ++j) {
-
-            inner = false;
-
-            // top
-            if (i == 0) {
-                if (j == 0) {
-                    i1 = 0;
-                    j1 = 1;
-                    i2 = 1;
-                    j2 = 0;
-                } else {
-                    if (j == n - 1) {
-                        i1 = 0;
-                        j1 = n - 2;
-                        i2 = 1;
-                        j2 = n - 1;
-                    } else {
-                        i1 = i2 = 0;
-                        j1 = j - 1;
-                        j2 = j + 1;
-                    }
-                }
-            }
-
-            // bottom
-            if (i == m - 1) {
-                if (j == 0) {
-                    i1 = m - 1;
-                    j1 = 1;
-                    i2 = m - 2;
-                    j2 = 0;
-                } else {
-                    if (j == n - 1) {
-                        i1 = m - 1;
-                        j1 = n - 2;
-                        i2 = m - 2;
-                        j2 = n - 1;
-                    } else {
-                        i1 = i2 = m - 1;
-                        j1 = j - 1;
-                        j2 = j + 1;
-                    }
-                }
-            }
-
-            // left / right
-            if (i > 0 && i < m - 1) {
-                if (j == 0 || j == n - 1) {
-                    j1 = j2 = j;
-                    i1 = i - 1;
-                    i2 = i + 1;
-                } else {
-                    inner = true;
-                    i1 = i - 1;
-                    i2 = i - 1;
-                    i3 = i + 1;
-                    i4 = i + 1;
-                    j1 = j - 1;
-                    j2 = j + 1;
-                    j3 = j - 1;
-                    j4 = j + 1;
-                }
-            }
-
-            g(l, i * n + j) = 1.0;
-            if (A[i][j] == Null<Real>()) {
-                if (inner) {
-                    g(l, i1 * n + j1) = -0.25;
-                    g(l, i2 * n + j2) = -0.25;
-                    g(l, i3 * n + j3) = -0.25;
-                    g(l, i4 * n + j4) = -0.25;
-                } else {
-                    g(l, i1 * n + j1) = -0.5;
-                    g(l, i2 * n + j2) = -0.5;
-                }
-                rhs[l] = 0.0;
-                guess[l] = guessTmp;
-            } else {
-                rhs[l] = A[i][j];
-                guess[l] = guessTmp = A[i][j];
-            }
-            ++l;
-        }
-    }
-
-    // solve the equation (preconditioner is identiy)
-    Array s = BiCGstab(f_A(g), 10 * m * n, relTol)
-                  .solve(rhs, guess)
-                  .x;
-
-    // replace missing values by solution
-    for (Size i = 0; i < m; ++i) {
-        for (Size j = 0; j < n; ++j) {
-            if (A[i][j] == Null<Real>()) {
-                A[i][j] = s[i * n + j];
-            }
-        }
-    }
-};
-
-} // namespace QuantLib
-
-#endif // include guard
+    /*! Convenience function that Laplace-interpolates null values in a given matrix.
+        If the x or y grid or both are not given, an equidistant grid is assumed. */
+
+    template <class M>
+    void laplaceInterpolation(M& A,
+                              const std::vector<Real>& x = {},
+                              const std::vector<Real>& y = {},
+                              Real relTol = 1E-6);
+}
+
+#endif
diff --git a/test-suite/interpolations.cpp b/test-suite/interpolations.cpp
index acfc872114a..6f0bb135dc4 100644
--- a/test-suite/interpolations.cpp
+++ b/test-suite/interpolations.cpp
@@ -26,6 +26,7 @@
 #include "toplevelfixture.hpp"
 #include "utilities.hpp"
 #include <ql/experimental/volatility/noarbsabrinterpolation.hpp>
+#include <ql/experimental/math/laplaceinterpolation.hpp>
 #include <ql/math/bspline.hpp>
 #include <ql/math/functional.hpp>
 #include <ql/math/integrals/simpsonintegral.hpp>
@@ -2501,6 +2502,266 @@ BOOST_AUTO_TEST_CASE(testChebyshevInterpolationUpdateY) {
     }
 }
 
+BOOST_AUTO_TEST_CASE(testLaplaceInterpolation) {
+    BOOST_TEST_MESSAGE("Testing Laplace interpolation...");
+
+    Real tol = 1E-12;
+    Real na = Null<Real>();
+
+    // full matrix
+
+    Matrix m1 = {
+        {1.0, 2.0, 4.0},
+        {6.0, 6.5, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m1);
+
+    BOOST_CHECK_CLOSE(m1(0, 0), 1.0, tol);
+    BOOST_CHECK_CLOSE(m1(0, 2), 4.0, tol);
+    BOOST_CHECK_CLOSE(m1(2, 0), 5.0, tol);
+    BOOST_CHECK_CLOSE(m1(2, 1), 3.0, tol);
+
+    // inner point
+
+    Matrix m2 = {
+        {1.0, 2.0, 4.0},
+        {6.0, na, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m2);
+
+    BOOST_CHECK_CLOSE(m2(1, 1), 4.5, tol);
+    BOOST_CHECK_CLOSE(m2(2, 1), 3.0, tol);
+
+    // boundaries
+
+    Matrix m3 = {
+        {1.0, na, 4.0},
+        {6.0, 6.5, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m3);
+
+    BOOST_CHECK_CLOSE(m3(0, 1), 2.5, tol);
+
+    Matrix m4 = {
+        {1.0, 2.0, 4.0},
+        {na, 6.5, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m4);
+
+    BOOST_CHECK_CLOSE(m4(1, 0), 3.0, tol);
+
+    Matrix m5 = {
+        {1.0, 2.0, 4.0},
+        {6.0, 6.5, 7.0},
+        {5.0, na, 2.0},
+    };
+
+    laplaceInterpolation(m5);
+
+    BOOST_CHECK_CLOSE(m5(2, 1), 3.5, tol);
+
+    Matrix m6 = {
+        {1.0, 2.0, 4.0},
+        {6.0, 6.5, na},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m6);
+
+    BOOST_CHECK_CLOSE(m6(1, 2), 3.0, tol);
+
+    // corners
+
+    Matrix m7 = {
+        {na, 2.0, 4.0},
+        {6.0, 6.5, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m7);
+
+    BOOST_CHECK_CLOSE(m7(0, 0), 4.0, tol);
+
+    Matrix m8 = {
+        {1.0, 2.0, 4.0},
+        {6.0, 6.5, 7.0},
+        {na, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m8);
+
+    BOOST_CHECK_CLOSE(m8(2, 0), 4.5, tol);
+
+    Matrix m9 = {
+        {1.0, 2.0, 4.0},
+        {6.0, 6.5, 7.0},
+        {5.0, 3.0, na},
+    };
+
+    laplaceInterpolation(m9);
+
+    BOOST_CHECK_CLOSE(m9(2, 2), 5.0, tol);
+
+    Matrix m10 = {
+        {1.0, 2.0, na},
+        {6.0, 6.5, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m10);
+
+    BOOST_CHECK_CLOSE(m10(0, 2), 4.5, tol);
+
+    // one dim (col vector)
+
+    Matrix m20 = { {na}, {na}, {3.0}, {5.0}, {7.0}, {na} };
+
+    laplaceInterpolation(m20);
+
+    BOOST_CHECK_CLOSE(m20(0, 0), 3.0, tol);
+    BOOST_CHECK_CLOSE(m20(1, 0), 3.0, tol);
+    BOOST_CHECK_CLOSE(m20(5, 0), 7.0, tol);
+
+    // one dim (row vector)
+
+    Matrix m21 = {{na, na, 3.0, 5.0, 7.0, na}};
+
+    laplaceInterpolation(m21);
+
+    BOOST_CHECK_CLOSE(m21(0, 0), 3.0, tol);
+    BOOST_CHECK_CLOSE(m21(0, 1), 3.0, tol);
+    BOOST_CHECK_CLOSE(m21(0, 5), 7.0, tol);
+
+    // non equidistant grid, inner point
+
+    Matrix m30 = {
+        {1.0, 2.0, 4.0},
+        {6.0, na, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m30, {1.0, 2.0, 4.0}, {1.0, 2.0, 4.0});
+
+    BOOST_CHECK_CLOSE(m30(1, 1), 26.0 / 6.0, tol);
+
+    // non equidistant grid, boundaries
+
+    Matrix m31 = {
+        {1.0, na, 4.0},
+        {6.0, 6.5, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m31, {1.0, 2.0, 4.0}, {1.0, 2.0, 4.0});
+
+    BOOST_CHECK_CLOSE(m31(0, 1), 6.0 / 3.0, tol);
+
+    Matrix m32 = {
+        {1.0, 2.0, 4.0},
+        {na, 6.5, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m32, {1.0, 2.0, 4.0}, {1.0, 2.0, 4.0});
+
+    BOOST_CHECK_CLOSE(m32(1, 0), 7.0 / 3.0, tol);
+
+    Matrix m33 = {
+        {1.0, 2.0, 4.0},
+        {6.0, 6.5, 7.0},
+        {5.0, na, 2.0},
+    };
+
+    laplaceInterpolation(m33, {1.0, 2.0, 4.0}, {1.0, 2.0, 4.0});
+
+    BOOST_CHECK_CLOSE(m33(2, 1), 12.0 / 3.0, tol);
+
+    Matrix m34 = {
+        {1.0, 2.0, 4.0},
+        {6.0, 6.5, na},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m34, {1.0, 2.0, 4.0}, {1.0, 2.0, 4.0});
+
+    BOOST_CHECK_CLOSE(m34(1, 2), 10.0 / 3.0, tol);
+
+    // non equidistant grid, corners
+
+    Matrix m35 = {
+        {na, 2.0, 4.0},
+        {6.0, 6.5, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m35, {1.0, 2.0, 4.0}, {1.0, 3.0, 7.0});
+
+    BOOST_CHECK_CLOSE(m35(0, 0), 10.0 / 3.0, tol);
+
+    Matrix m36 = {
+        {1.0, 2.0, 4.0},
+        {6.0, 6.5, 7.0},
+        {na, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m36, {1.0, 2.0, 4.0}, {1.0, 3.0, 7.0});
+
+    BOOST_CHECK_CLOSE(m36(2, 0), 18.0 / 5.0, tol);
+
+    Matrix m37 = {
+        {1.0, 2.0, 4.0},
+        {6.0, 6.5, 7.0},
+        {5.0, 3.0, na},
+    };
+
+    laplaceInterpolation(m37, {1.0, 2.0, 4.0}, {1.0, 3.0, 7.0});
+
+    BOOST_CHECK_CLOSE(m37(2, 2), 13.0 / 3.0, tol);
+
+    Matrix m38 = {
+        {1.0, 2.0, na},
+        {6.0, 6.5, 7.0},
+        {5.0, 3.0, 2.0},
+    };
+
+    laplaceInterpolation(m38, {1.0, 2.0, 4.0}, {1.0, 2.0, 3.0});
+
+    BOOST_CHECK_CLOSE(m38(0, 2), 16.0 / 3.0, tol);
+
+    // single point with given value
+
+    Matrix m50 = {
+        {1.0},
+    };
+
+    laplaceInterpolation(m50);
+
+    BOOST_CHECK_CLOSE(m50(0, 0), 1.0, tol);
+
+    // single point with missing value
+
+    Matrix m51 = {
+        {Null<Real>()},
+    };
+
+    laplaceInterpolation(m51);
+
+    BOOST_CHECK_CLOSE(m51(0, 0), 0.0, tol);
+
+    // no point
+
+    LaplaceInterpolation l0([](const std::vector<Size>& x) { return Null<Real>(); }, {});
+    BOOST_CHECK_CLOSE(l0({}), 0.0, tol);
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()

From 3e1e10ffea614dd3da1f4ce1b86db83bcbd27858 Mon Sep 17 00:00:00 2001
From: Peter Caspers <peter.caspers@acadia.inc>
Date: Tue, 19 Mar 2024 15:02:48 +0100
Subject: [PATCH 63/95] update project files, fix typo

---
 QuantLib.vcxproj                              | 1 +
 QuantLib.vcxproj.filters                      | 3 +++
 ql/experimental/math/laplaceinterpolation.cpp | 2 +-
 3 files changed, 5 insertions(+), 1 deletion(-)

diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
index a3d24659604..54d1b917cb6 100644
--- a/QuantLib.vcxproj
+++ b/QuantLib.vcxproj
@@ -2073,6 +2073,7 @@
     <ClCompile Include="ql\experimental\math\fireflyalgorithm.cpp" />
     <ClCompile Include="ql\experimental\math\gaussiancopulapolicy.cpp" />
     <ClCompile Include="ql\experimental\math\gaussiannoncentralchisquaredpolynomial.cpp" />
+    <ClCompile Include="ql\experimental\math\laplaceinterpolation.cpp" />
     <ClCompile Include="ql\experimental\math\multidimintegrator.cpp" />
     <ClCompile Include="ql\experimental\math\multidimquadrature.cpp" />
     <ClCompile Include="ql\experimental\math\particleswarmoptimization.cpp" />
diff --git a/QuantLib.vcxproj.filters b/QuantLib.vcxproj.filters
index cf3d3abb3ff..327ce92335c 100644
--- a/QuantLib.vcxproj.filters
+++ b/QuantLib.vcxproj.filters
@@ -6173,6 +6173,9 @@
     <ClCompile Include="ql\legacy\libormarketmodels\lmvolmodel.cpp">
       <Filter>legacy\libormarketmodels</Filter>
     </ClCompile>
+    <ClCompile Include="ql\experimental\math\laplaceinterpolation.cpp">
+      <Filter>experimental\math</Filter>
+    </ClCompile>
     <ClCompile Include="ql\experimental\volatility\abcdatmvolcurve.cpp">
       <Filter>experimental\volatility</Filter>
     </ClCompile>
diff --git a/ql/experimental/math/laplaceinterpolation.cpp b/ql/experimental/math/laplaceinterpolation.cpp
index 9f5f2a9b6ab..38a74064283 100644
--- a/ql/experimental/math/laplaceinterpolation.cpp
+++ b/ql/experimental/math/laplaceinterpolation.cpp
@@ -140,7 +140,7 @@ namespace QuantLib {
                     }
                 }
                 if (isCorner) {
-                    // shandling of the "corners", all second derivs are zero in the op
+                    // handling of the "corners", all second derivs are zero in the op
                     // this directly generalizes Numerical Recipes, 3rd ed, eq 3.8.6
                     Real sum_corner_h =
                         std::accumulate(corner_h.begin(), corner_h.end(), 0.0, std::plus<Real>());

From 93586e09011074f8d01976315ea067e5e3abe3d8 Mon Sep 17 00:00:00 2001
From: Peter Caspers <peter.caspers@acadia.inc>
Date: Tue, 19 Mar 2024 15:10:48 +0100
Subject: [PATCH 64/95] update make file

---
 ql/experimental/math/Makefile.am | 1 +
 1 file changed, 1 insertion(+)

diff --git a/ql/experimental/math/Makefile.am b/ql/experimental/math/Makefile.am
index 0c4827c8050..9a0473eb326 100644
--- a/ql/experimental/math/Makefile.am
+++ b/ql/experimental/math/Makefile.am
@@ -32,6 +32,7 @@ cpp_files = \
     fireflyalgorithm.cpp \
     gaussiancopulapolicy.cpp \
     gaussiannoncentralchisquaredpolynomial.cpp \
+    laplaceinterpolation.cpp \
     multidimintegrator.cpp \
     multidimquadrature.cpp \
     particleswarmoptimization.cpp \

From 85448fc9950e3bf71e891804d37ff4440a2565ab Mon Sep 17 00:00:00 2001
From: Peter Caspers <peter.caspers@acadia.inc>
Date: Tue, 19 Mar 2024 15:27:48 +0100
Subject: [PATCH 65/95] make ctor explicit

---
 ql/experimental/math/laplaceinterpolation.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/math/laplaceinterpolation.cpp b/ql/experimental/math/laplaceinterpolation.cpp
index 38a74064283..278ee534757 100644
--- a/ql/experimental/math/laplaceinterpolation.cpp
+++ b/ql/experimental/math/laplaceinterpolation.cpp
@@ -71,7 +71,7 @@ namespace QuantLib {
         // set up the Laplace operator and convert it to matrix
 
         struct LaplaceOp : public FdmLinearOpComposite {
-            LaplaceOp(const ext::shared_ptr<FdmMesher>& mesher) {
+            explicit LaplaceOp(const ext::shared_ptr<FdmMesher>& mesher) {
                 for (Size direction = 0; direction < mesher->layout()->dim().size(); ++direction) {
                     if (mesher->layout()->dim()[direction] > 1)
                         map_.push_back(SecondDerivativeOp(direction, mesher));

From 5727400e1738fdf0935c0e600eaad01c77ab8922 Mon Sep 17 00:00:00 2001
From: Peter Caspers <peter.caspers@acadia.inc>
Date: Thu, 21 Mar 2024 15:07:03 +0100
Subject: [PATCH 66/95] remove template version, just support QuantLib::Matrix

---
 ql/experimental/math/laplaceinterpolation.cpp | 10 +---------
 ql/experimental/math/laplaceinterpolation.hpp |  4 ++--
 2 files changed, 3 insertions(+), 11 deletions(-)

diff --git a/ql/experimental/math/laplaceinterpolation.cpp b/ql/experimental/math/laplaceinterpolation.cpp
index 278ee534757..93748bd9a65 100644
--- a/ql/experimental/math/laplaceinterpolation.cpp
+++ b/ql/experimental/math/laplaceinterpolation.cpp
@@ -209,8 +209,7 @@ namespace QuantLib {
         }
     }
 
-    template <class M>
-    void laplaceInterpolation(M& A,
+    void laplaceInterpolation(Matrix& A,
                               const std::vector<Real>& x,
                               const std::vector<Real>& y,
                               Real relTol) {
@@ -243,11 +242,4 @@ namespace QuantLib {
         }
     }
 
-    // template instantiations for matrix classes we want to support
-
-    template void laplaceInterpolation(Matrix& A,
-                                       const std::vector<Real>& x,
-                                       const std::vector<Real>& y,
-                                       Real relTol);
-
 } // namespace QuantLib
diff --git a/ql/experimental/math/laplaceinterpolation.hpp b/ql/experimental/math/laplaceinterpolation.hpp
index 6ce1d8cc8d3..ee0745802eb 100644
--- a/ql/experimental/math/laplaceinterpolation.hpp
+++ b/ql/experimental/math/laplaceinterpolation.hpp
@@ -25,6 +25,7 @@
 #define quantlib_laplace_interpolation
 
 #include <ql/math/array.hpp>
+#include <ql/math/matrix.hpp>
 #include <ql/shared_ptr.hpp>
 #include <ql/types.hpp>
 
@@ -64,8 +65,7 @@ namespace QuantLib {
     /*! Convenience function that Laplace-interpolates null values in a given matrix.
         If the x or y grid or both are not given, an equidistant grid is assumed. */
 
-    template <class M>
-    void laplaceInterpolation(M& A,
+    void laplaceInterpolation(Matrix& A,
                               const std::vector<Real>& x = {},
                               const std::vector<Real>& y = {},
                               Real relTol = 1E-6);

From 2a7555baef3be926f8fe2ddff7b5a436ee7f812b Mon Sep 17 00:00:00 2001
From: Auto Differentiation Dev Team
 <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Fri, 22 Mar 2024 07:48:23 +0000
Subject: [PATCH 67/95] Correct cast to Real for ternary expression

---
 ql/experimental/math/laplaceinterpolation.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/math/laplaceinterpolation.cpp b/ql/experimental/math/laplaceinterpolation.cpp
index 93748bd9a65..c9e3d1a93dd 100644
--- a/ql/experimental/math/laplaceinterpolation.cpp
+++ b/ql/experimental/math/laplaceinterpolation.cpp
@@ -152,7 +152,7 @@ namespace QuantLib {
                             if (i != j)
                                 weight += corner_h[i];
                         }
-                        weight = dim.size() == 1 ? 1.0 : weight / sum_corner_h;
+                        weight = dim.size() == 1 ? Real(1.0) : Real(weight / sum_corner_h);
                         g(count, layout_->index(coord_j)) = -weight;
                     }
                     g(count, count) = 1.0;

From a5a6c5504ef50be09733f2409a8454724240f3db Mon Sep 17 00:00:00 2001
From: Auto Differentiation Dev Team
 <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Fri, 22 Mar 2024 08:08:21 +0000
Subject: [PATCH 68/95] Fixes accumulate to work with the Real type in
 laplaceinterpolation.cpp

---
 ql/experimental/math/laplaceinterpolation.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/ql/experimental/math/laplaceinterpolation.cpp b/ql/experimental/math/laplaceinterpolation.cpp
index c9e3d1a93dd..19838b186e5 100644
--- a/ql/experimental/math/laplaceinterpolation.cpp
+++ b/ql/experimental/math/laplaceinterpolation.cpp
@@ -143,7 +143,7 @@ namespace QuantLib {
                     // handling of the "corners", all second derivs are zero in the op
                     // this directly generalizes Numerical Recipes, 3rd ed, eq 3.8.6
                     Real sum_corner_h =
-                        std::accumulate(corner_h.begin(), corner_h.end(), 0.0, std::plus<Real>());
+                        std::accumulate(corner_h.begin(), corner_h.end(), Real(0.0), std::plus<Real>());
                     for (Size j = 0; j < dim.size(); ++j) {
                         std::vector<Size> coord_j(coord);
                         coord_j[j] = corner_neighbour_index[j];

From fffcb9f5fb6dd53dea39eca51aeb1ec82f40fec1 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 22 Mar 2024 12:00:39 +0100
Subject: [PATCH 69/95] Use fixed vs floater swap

---
 ql/cashflows/lineartsrpricer.cpp | 17 ++++++-----------
 ql/cashflows/lineartsrpricer.hpp |  4 ++--
 2 files changed, 8 insertions(+), 13 deletions(-)

diff --git a/ql/cashflows/lineartsrpricer.cpp b/ql/cashflows/lineartsrpricer.cpp
index da07bc46d6e..3eb0701cc19 100644
--- a/ql/cashflows/lineartsrpricer.cpp
+++ b/ql/cashflows/lineartsrpricer.cpp
@@ -146,19 +146,14 @@ namespace QuantLib {
 
             swapTenor_ = swapIndex_->tenor();
 
-            Leg swapFixedLeg;
-            if(auto on = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_)) {
-                onSwap_ = on->underlyingSwap(fixingDate_);
-                swapRateValue_ = onSwap_->fairRate();
-                annuity_ = 1.0E4 * std::fabs(onSwap_->fixedLegBPS());
-                swapFixedLeg = onSwap_->fixedLeg();
-            }
-            else {
+            if (auto on = ext::dynamic_pointer_cast<OvernightIndexedSwapIndex>(swapIndex_)) {
+                swap_ = on->underlyingSwap(fixingDate_);
+            } else {
                 swap_ = swapIndex_->underlyingSwap(fixingDate_);
-                swapRateValue_ = swap_->fairRate();
-                annuity_ = 1.0E4 * std::fabs(swap_->fixedLegBPS());
-                swapFixedLeg = swap_->fixedLeg();
             }
+            swapRateValue_ = swap_->fairRate();
+            annuity_ = 1.0E4 * std::fabs(swap_->fixedLegBPS());
+            Leg swapFixedLeg = swap_->fixedLeg();
 
             ext::shared_ptr<SmileSection> sectionTmp =
                 swaptionVolatility()->smileSection(fixingDate_, swapTenor_);
diff --git a/ql/cashflows/lineartsrpricer.hpp b/ql/cashflows/lineartsrpricer.hpp
index eda7b3d49c8..6e8affcabae 100644
--- a/ql/cashflows/lineartsrpricer.hpp
+++ b/ql/cashflows/lineartsrpricer.hpp
@@ -28,6 +28,7 @@
 #include <ql/cashflows/couponpricer.hpp>
 #include <ql/instruments/payoffs.hpp>
 #include <ql/indexes/swapindex.hpp>
+#include <ql/instruments/fixedvsfloatingswap.hpp>
 #include <ql/math/integrals/integral.hpp>
 
 namespace QuantLib {
@@ -237,8 +238,7 @@ namespace QuantLib {
             annuity_;
 
         ext::shared_ptr<SwapIndex> swapIndex_;
-        ext::shared_ptr<VanillaSwap> swap_;
-        ext::shared_ptr<OvernightIndexedSwap> onSwap_;
+        ext::shared_ptr<FixedVsFloatingSwap> swap_;
         ext::shared_ptr<SmileSection> smileSection_;
 
         Settings settings_;

From a5612b907701e6e4159c9320158f6fef9b2ab5c0 Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Thu, 21 Mar 2024 15:44:58 +0000
Subject: [PATCH 70/95] Update copyright list in license

---
 LICENSE.TXT | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

diff --git a/LICENSE.TXT b/LICENSE.TXT
index 989b0c4c98b..1f388b1fd22 100644
--- a/LICENSE.TXT
+++ b/LICENSE.TXT
@@ -102,7 +102,7 @@ QuantLib is
     Copyright (C) 2012 Simon Shakeshaft
     Copyright (C) 2012 Édouard Tallent
     Copyright (C) 2012, 2013 Grzegorz Andruszkiewicz
-    Copyright (C) 2012, 2013, 2014, 2015, 2016, 2017, 2018, 2023 Peter Caspers
+    Copyright (C) 2012, 2013, 2014, 2015, 2016, 2017, 2018, 2023, 2024 Peter Caspers
 
     Copyright (C) 2013 BGC Partners L.P.
     Copyright (C) 2013 Chris Higgs

From 8c0386b4496b15805dd3eee0f3cce7c30d167a81 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 25 Mar 2024 17:32:37 +0100
Subject: [PATCH 71/95] Speed up CI build for VC++ 2015

---
 .appveyor/VS2015.props | 3 +++
 1 file changed, 3 insertions(+)

diff --git a/.appveyor/VS2015.props b/.appveyor/VS2015.props
index a4b27ad3832..0d8b3d8ca35 100644
--- a/.appveyor/VS2015.props
+++ b/.appveyor/VS2015.props
@@ -2,6 +2,9 @@
 <Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
   <ImportGroup Label="PropertySheets" />
   <PropertyGroup Label="UserMacros" />
+  <PropertyGroup>
+    <LinkIncremental>false</LinkIncremental>
+  </PropertyGroup>
   <ItemDefinitionGroup>
     <ClCompile>
       <AdditionalIncludeDirectories>C:\Libraries\boost_1_69_0;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>

From c566b6db9e5aa750eb88b87ca9580cd1cad5d863 Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 24 Mar 2024 01:27:50 +0000
Subject: [PATCH 72/95] Automated fixes by clang-tidy

---
 ql/experimental/math/laplaceinterpolation.cpp | 9 +++++----
 ql/experimental/math/laplaceinterpolation.hpp | 2 +-
 2 files changed, 6 insertions(+), 5 deletions(-)

diff --git a/ql/experimental/math/laplaceinterpolation.cpp b/ql/experimental/math/laplaceinterpolation.cpp
index 19838b186e5..6cb6ef9ac58 100644
--- a/ql/experimental/math/laplaceinterpolation.cpp
+++ b/ql/experimental/math/laplaceinterpolation.cpp
@@ -61,9 +61,9 @@ namespace QuantLib {
         layout_ = ext::make_shared<FdmLinearOpLayout>(dim);
 
         std::vector<ext::shared_ptr<Fdm1dMesher>> meshers;
-        for (Size i = 0; i < x_.size(); ++i) {
-            if (x_[i].size() > 1)
-                meshers.push_back(ext::make_shared<Predefined1dMesher>(x_[i]));
+        for (auto & i : x_) {
+            if (i.size() > 1)
+                meshers.push_back(ext::make_shared<Predefined1dMesher>(i));
         }
 
         auto mesher = ext::make_shared<FdmMesherComposite>(layout_, meshers);
@@ -92,7 +92,8 @@ namespace QuantLib {
             Array preconditioner(const Array& r, Real s) const override { QL_FAIL("no impl"); }
             std::vector<SparseMatrix> toMatrixDecomp() const override {
                 std::vector<SparseMatrix> decomp;
-                for (auto const& m : map_)
+                decomp.reserve(map_.size());
+for (auto const& m : map_)
                     decomp.push_back(m.toMatrix());
                 return decomp;
             }
diff --git a/ql/experimental/math/laplaceinterpolation.hpp b/ql/experimental/math/laplaceinterpolation.hpp
index ee0745802eb..5d32d066d5d 100644
--- a/ql/experimental/math/laplaceinterpolation.hpp
+++ b/ql/experimental/math/laplaceinterpolation.hpp
@@ -44,7 +44,7 @@ namespace QuantLib {
         /*! Missing values y should be encoded as Null<Real>(). */
         LaplaceInterpolation(std::function<Real(const std::vector<Size>&)> y,
                              std::vector<std::vector<Real>> x,
-                             const Real relTol = 1E-6);
+                             Real relTol = 1E-6);
         Real operator()(const std::vector<Size>& coordinates) const;
 
       private:

From 65225778397324f7fd8a97cca83aced9e721e028 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 26 Mar 2024 08:55:08 +0100
Subject: [PATCH 73/95] Don't optimize VC++ 2015 build, don't run tests.

For some reason Appveyor got a lot slower.  We might have to move
away from it.
---
 .appveyor.yml          | 2 --
 .appveyor/VS2015.props | 1 +
 2 files changed, 1 insertion(+), 2 deletions(-)

diff --git a/.appveyor.yml b/.appveyor.yml
index 172d40e1d12..249dacd8cf8 100644
--- a/.appveyor.yml
+++ b/.appveyor.yml
@@ -19,8 +19,6 @@ for:
       - image: Visual Studio 2015
   before_build:
     - COPY .appveyor\VS2015.props .\Build.props
-  test_script:
-    - .\test-suite\bin\QuantLib-test-suite-x64-mt.exe --log_level=message --build_info=yes -- --faster
 -
   matrix:
     only:
diff --git a/.appveyor/VS2015.props b/.appveyor/VS2015.props
index 0d8b3d8ca35..cbac65b4406 100644
--- a/.appveyor/VS2015.props
+++ b/.appveyor/VS2015.props
@@ -8,6 +8,7 @@
   <ItemDefinitionGroup>
     <ClCompile>
       <AdditionalIncludeDirectories>C:\Libraries\boost_1_69_0;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <Optimization>Disabled</Optimization>
     </ClCompile>
     <Link>
       <AdditionalLibraryDirectories>C:\Libraries\boost_1_69_0\lib64-msvc-14.0;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>

From 0685ba0073842bcf84fa3f11ee72e34a3729c7b2 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 27 Mar 2024 13:20:24 +0100
Subject: [PATCH 74/95] Ensure mathconstants.hpp is not included before
 qldefines.hpp

---
 ql/math/randomnumbers/stochasticcollocationinvcdf.cpp      | 2 +-
 ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/math/randomnumbers/stochasticcollocationinvcdf.cpp b/ql/math/randomnumbers/stochasticcollocationinvcdf.cpp
index 9a8b3e2a17a..f6d0c81c519 100644
--- a/ql/math/randomnumbers/stochasticcollocationinvcdf.cpp
+++ b/ql/math/randomnumbers/stochasticcollocationinvcdf.cpp
@@ -21,9 +21,9 @@
 /*! \file stochasticcollationcdf.cpp
 */
 
-#include <ql/mathconstants.hpp>
 #include <ql/math/integrals/gaussianquadratures.hpp>
 #include <ql/math/randomnumbers/stochasticcollocationinvcdf.hpp>
+#include <ql/mathconstants.hpp>
 
 namespace QuantLib {
 
diff --git a/ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp b/ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp
index f22a83de017..5e2aff3b43f 100644
--- a/ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp
+++ b/ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp
@@ -22,7 +22,6 @@
 /*! \file fdmbackwardsolver.cpp
 */
 
-#include <ql/mathconstants.hpp>
 #include <ql/methods/finitedifferences/finitedifferencemodel.hpp>
 #include <ql/methods/finitedifferences/schemes/craigsneydscheme.hpp>
 #include <ql/methods/finitedifferences/schemes/cranknicolsonscheme.hpp>
@@ -35,6 +34,7 @@
 #include <ql/methods/finitedifferences/schemes/trbdf2scheme.hpp>
 #include <ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp>
 #include <ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp>
+#include <ql/mathconstants.hpp>
 #include <utility>
 
 

From 1b422725fd0677bf2283f15fd3e05ba680e0e86f Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 25 Mar 2024 15:06:28 +0100
Subject: [PATCH 75/95] Workflow for MSVC++ build via traditional solution

---
 .appveyor.yml                          |  12 +--
 {.appveyor => .ci}/Unity.props         |   0
 {.appveyor => .ci}/VS2015.props        |   0
 .ci/VS2017.props                       |  19 ++++
 .ci/VS2019.alt.props                   |  15 +++
 {.appveyor => .ci}/VS2019.props        |   5 +-
 .ci/VS2022.alt.props                   |  15 +++
 {.appveyor => .ci}/VS2022.props        |   5 +-
 .ci/userconfig2019.alt.hpp             | 137 +++++++++++++++++++++++++
 .ci/userconfig2022.alt.hpp             | 137 +++++++++++++++++++++++++
 .github/workflows/msvc-all-configs.yml |  68 ++++++++++++
 .github/workflows/msvc-nondefault.yml  |  66 ++++++++++++
 .github/workflows/msvc.yml             |  61 +++++++++++
 README.md                              |   8 +-
 14 files changed, 528 insertions(+), 20 deletions(-)
 rename {.appveyor => .ci}/Unity.props (100%)
 rename {.appveyor => .ci}/VS2015.props (100%)
 create mode 100644 .ci/VS2017.props
 create mode 100644 .ci/VS2019.alt.props
 rename {.appveyor => .ci}/VS2019.props (59%)
 create mode 100644 .ci/VS2022.alt.props
 rename {.appveyor => .ci}/VS2022.props (59%)
 create mode 100644 .ci/userconfig2019.alt.hpp
 create mode 100644 .ci/userconfig2022.alt.hpp
 create mode 100644 .github/workflows/msvc-all-configs.yml
 create mode 100644 .github/workflows/msvc-nondefault.yml
 create mode 100644 .github/workflows/msvc.yml

diff --git a/.appveyor.yml b/.appveyor.yml
index 249dacd8cf8..d201a8c07be 100644
--- a/.appveyor.yml
+++ b/.appveyor.yml
@@ -1,6 +1,6 @@
 image:
   - Visual Studio 2015
-  - Visual Studio 2022
+  - Visual Studio 2017
 
 platform: x64
 configuration: Release
@@ -18,14 +18,10 @@ for:
     only:
       - image: Visual Studio 2015
   before_build:
-    - COPY .appveyor\VS2015.props .\Build.props
+    - COPY .ci\VS2015.props .\Build.props
 -
   matrix:
     only:
-      - image: Visual Studio 2022
+      - image: Visual Studio 2017
   before_build:
-    - COPY .appveyor\VS2022.props .\Build.props
-    - COPY .appveyor\Unity.props .\Directory.Build.props
-  test_script:
-    - .\test-suite\bin\QuantLib-test-suite-x64-mt.exe --log_level=message --build_info=yes
-
+    - COPY .ci\VS2017.props .\Build.props
diff --git a/.appveyor/Unity.props b/.ci/Unity.props
similarity index 100%
rename from .appveyor/Unity.props
rename to .ci/Unity.props
diff --git a/.appveyor/VS2015.props b/.ci/VS2015.props
similarity index 100%
rename from .appveyor/VS2015.props
rename to .ci/VS2015.props
diff --git a/.ci/VS2017.props b/.ci/VS2017.props
new file mode 100644
index 00000000000..8d3e29d169e
--- /dev/null
+++ b/.ci/VS2017.props
@@ -0,0 +1,19 @@
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <ImportGroup Label="PropertySheets" />
+  <PropertyGroup Label="UserMacros" />
+  <PropertyGroup>
+    <LinkIncremental>false</LinkIncremental>
+  </PropertyGroup>
+  <ItemDefinitionGroup>
+    <ClCompile>
+      <AdditionalIncludeDirectories>C:\Libraries\boost_1_69_0;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <AdditionalOptions>/bigobj %(AdditionalOptions)</AdditionalOptions>
+      <Optimization>Disabled</Optimization>
+    </ClCompile>
+    <Link>
+      <AdditionalLibraryDirectories>C:\Libraries\boost_1_69_0\lib64-msvc-14.1;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
+    </Link>
+  </ItemDefinitionGroup>
+  <ItemGroup />
+</Project>
diff --git a/.ci/VS2019.alt.props b/.ci/VS2019.alt.props
new file mode 100644
index 00000000000..c16ccdb4f1f
--- /dev/null
+++ b/.ci/VS2019.alt.props
@@ -0,0 +1,15 @@
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <ImportGroup Label="PropertySheets" />
+  <PropertyGroup Label="UserMacros" />
+  <ItemDefinitionGroup>
+    <ClCompile>
+      <AdditionalIncludeDirectories>C:\local\boost;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <AdditionalOptions>/bigobj %(AdditionalOptions)</AdditionalOptions>
+      <TreatWarningAsError>true</TreatWarningAsError>
+      <LanguageStandard>stdcpp17</LanguageStandard>
+      <PreprocessorDefinitions>_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+    </ClCompile>
+  </ItemDefinitionGroup>
+  <ItemGroup />
+</Project>
diff --git a/.appveyor/VS2019.props b/.ci/VS2019.props
similarity index 59%
rename from .appveyor/VS2019.props
rename to .ci/VS2019.props
index 9aba9f5c108..f3bda5b4c1b 100644
--- a/.appveyor/VS2019.props
+++ b/.ci/VS2019.props
@@ -4,13 +4,10 @@
   <PropertyGroup Label="UserMacros" />
   <ItemDefinitionGroup>
     <ClCompile>
-      <AdditionalIncludeDirectories>C:\Libraries\boost_1_73_0;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <AdditionalIncludeDirectories>C:\local\boost;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
       <AdditionalOptions>/bigobj %(AdditionalOptions)</AdditionalOptions>
       <TreatWarningAsError>true</TreatWarningAsError>
     </ClCompile>
-    <Link>
-      <AdditionalLibraryDirectories>C:\Libraries\boost_1_73_0\lib64-msvc-14.2;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
-    </Link>
   </ItemDefinitionGroup>
   <ItemGroup />
 </Project>
diff --git a/.ci/VS2022.alt.props b/.ci/VS2022.alt.props
new file mode 100644
index 00000000000..c16ccdb4f1f
--- /dev/null
+++ b/.ci/VS2022.alt.props
@@ -0,0 +1,15 @@
+<?xml version="1.0" encoding="utf-8"?>
+<Project ToolsVersion="4.0" xmlns="http://schemas.microsoft.com/developer/msbuild/2003">
+  <ImportGroup Label="PropertySheets" />
+  <PropertyGroup Label="UserMacros" />
+  <ItemDefinitionGroup>
+    <ClCompile>
+      <AdditionalIncludeDirectories>C:\local\boost;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <AdditionalOptions>/bigobj %(AdditionalOptions)</AdditionalOptions>
+      <TreatWarningAsError>true</TreatWarningAsError>
+      <LanguageStandard>stdcpp17</LanguageStandard>
+      <PreprocessorDefinitions>_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)</PreprocessorDefinitions>
+    </ClCompile>
+  </ItemDefinitionGroup>
+  <ItemGroup />
+</Project>
diff --git a/.appveyor/VS2022.props b/.ci/VS2022.props
similarity index 59%
rename from .appveyor/VS2022.props
rename to .ci/VS2022.props
index 07c7fbe6920..f3bda5b4c1b 100644
--- a/.appveyor/VS2022.props
+++ b/.ci/VS2022.props
@@ -4,13 +4,10 @@
   <PropertyGroup Label="UserMacros" />
   <ItemDefinitionGroup>
     <ClCompile>
-      <AdditionalIncludeDirectories>C:\Libraries\boost_1_83_0;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
+      <AdditionalIncludeDirectories>C:\local\boost;%(AdditionalIncludeDirectories)</AdditionalIncludeDirectories>
       <AdditionalOptions>/bigobj %(AdditionalOptions)</AdditionalOptions>
       <TreatWarningAsError>true</TreatWarningAsError>
     </ClCompile>
-    <Link>
-      <AdditionalLibraryDirectories>C:\Libraries\boost_1_83_0\lib64-msvc-14.3;%(AdditionalLibraryDirectories)</AdditionalLibraryDirectories>
-    </Link>
   </ItemDefinitionGroup>
   <ItemGroup />
 </Project>
diff --git a/.ci/userconfig2019.alt.hpp b/.ci/userconfig2019.alt.hpp
new file mode 100644
index 00000000000..b4a69298964
--- /dev/null
+++ b/.ci/userconfig2019.alt.hpp
@@ -0,0 +1,137 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2011 Ferdinando Ametrano
+ Copyright (C) 2004, 2005 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_config_hpp
+#define quantlib_config_hpp
+
+/***************************************************************
+   User configuration section:
+   modify the following definitions to suit your preferences.
+
+   Do not modify this file if you are using a Linux/Unix system:
+   it will not be read by the compiler. The definitions below
+   will be provided by running ./configure instead.
+****************************************************************/
+
+/* Define this if error messages should include current function
+   information. */
+#ifndef QL_ERROR_FUNCTIONS
+#   define QL_ERROR_FUNCTIONS
+#endif
+
+/* Define this if error messages should include file and line information. */
+#ifndef QL_ERROR_LINES
+#   define QL_ERROR_LINES
+#endif
+
+/* Define this if tracing messages should be allowed (whether they are
+   actually emitted will depend on run-time settings.) */
+#ifndef QL_ENABLE_TRACING
+#   define QL_ENABLE_TRACING
+#endif
+
+/* Define this if extra safety checks should be performed. This can degrade
+   performance. */
+#ifndef QL_EXTRA_SAFETY_CHECKS
+#   define QL_EXTRA_SAFETY_CHECKS
+#endif
+
+/* Define this to use indexed coupons instead of par coupons in floating
+   legs as the default in 'bool IborCoupon::Settings::usingAtParCoupons();'. */
+#ifndef QL_USE_INDEXED_COUPON
+#   define QL_USE_INDEXED_COUPON
+#endif
+
+/* Define this to have singletons return different instances for
+   different threads; in particular, this means that the evaluation
+   date, the stored index fixings and any other settings will be
+   per-thread.
+*/
+#ifndef QL_ENABLE_SESSIONS
+#   define QL_ENABLE_SESSIONS
+#endif
+
+/* Define this to enable the thread-safe observer pattern. You should
+   enable it if you want to use QuantLib via the SWIG layer within
+   the JVM or .NET eco system or any environment with an
+   async garbage collector */
+#ifndef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
+#    define QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
+#endif
+
+/* Define this to enable a date resolution down to microseconds and
+   allow for accurate intraday pricing. */
+#ifndef QL_HIGH_RESOLUTION_DATE
+#    define QL_HIGH_RESOLUTION_DATE
+#endif
+
+/* Define this if you want to throw an exception when a notification
+   loop is detected.  Enabling this option is recommended but might
+   cause existing code to throw. */
+#ifndef QL_THROW_IN_CYCLES
+#    define QL_THROW_IN_CYCLES
+#endif
+
+/* Undefine this if you want lazy objects to forward all notifications
+   instead of just the first.  Disabling this option is safer in some
+   cases but can be a lot slower. */
+#ifndef QL_FASTER_LAZY_OBJECTS
+//#    define QL_FASTER_LAZY_OBJECTS
+#endif
+
+/* Define this to use std::any instead of boost::any. */
+#ifndef QL_USE_STD_ANY
+#    define QL_USE_STD_ANY
+#endif
+
+/* Define this to use std::optional instead of boost::optional. */
+#ifndef QL_USE_STD_OPTIONAL
+#    define QL_USE_STD_OPTIONAL
+#endif
+
+/* Define this to use standard smart pointers instead of Boost ones.
+   Note that std::shared_ptr does not check access and can
+   cause segmentation faults. */
+#ifndef QL_USE_STD_SHARED_PTR
+#    define QL_USE_STD_SHARED_PTR
+#endif
+
+/* Undefine this to use boost::function and boost::bind instead of
+   std::function and std::bind. */
+#ifndef QL_USE_STD_FUNCTION
+//#    define QL_USE_STD_FUNCTION
+#endif
+
+/* Undefine this to use boost::tuple instead of std::tuple. */
+#ifndef QL_USE_STD_TUPLE
+//#    define QL_USE_STD_TUPLE
+#endif
+
+/* Define this to enable the implementation of Null as template functions. */
+#ifndef QL_NULL_AS_FUNCTIONS
+#    define QL_NULL_AS_FUNCTIONS
+#endif
+
+/* Define this to enable the parallel unit test runner */
+#ifndef QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
+//#    define QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
+#endif
+
+#endif
diff --git a/.ci/userconfig2022.alt.hpp b/.ci/userconfig2022.alt.hpp
new file mode 100644
index 00000000000..b4a69298964
--- /dev/null
+++ b/.ci/userconfig2022.alt.hpp
@@ -0,0 +1,137 @@
+/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
+
+/*
+ Copyright (C) 2004, 2011 Ferdinando Ametrano
+ Copyright (C) 2004, 2005 StatPro Italia srl
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <quantlib-dev@lists.sf.net>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+
+#ifndef quantlib_config_hpp
+#define quantlib_config_hpp
+
+/***************************************************************
+   User configuration section:
+   modify the following definitions to suit your preferences.
+
+   Do not modify this file if you are using a Linux/Unix system:
+   it will not be read by the compiler. The definitions below
+   will be provided by running ./configure instead.
+****************************************************************/
+
+/* Define this if error messages should include current function
+   information. */
+#ifndef QL_ERROR_FUNCTIONS
+#   define QL_ERROR_FUNCTIONS
+#endif
+
+/* Define this if error messages should include file and line information. */
+#ifndef QL_ERROR_LINES
+#   define QL_ERROR_LINES
+#endif
+
+/* Define this if tracing messages should be allowed (whether they are
+   actually emitted will depend on run-time settings.) */
+#ifndef QL_ENABLE_TRACING
+#   define QL_ENABLE_TRACING
+#endif
+
+/* Define this if extra safety checks should be performed. This can degrade
+   performance. */
+#ifndef QL_EXTRA_SAFETY_CHECKS
+#   define QL_EXTRA_SAFETY_CHECKS
+#endif
+
+/* Define this to use indexed coupons instead of par coupons in floating
+   legs as the default in 'bool IborCoupon::Settings::usingAtParCoupons();'. */
+#ifndef QL_USE_INDEXED_COUPON
+#   define QL_USE_INDEXED_COUPON
+#endif
+
+/* Define this to have singletons return different instances for
+   different threads; in particular, this means that the evaluation
+   date, the stored index fixings and any other settings will be
+   per-thread.
+*/
+#ifndef QL_ENABLE_SESSIONS
+#   define QL_ENABLE_SESSIONS
+#endif
+
+/* Define this to enable the thread-safe observer pattern. You should
+   enable it if you want to use QuantLib via the SWIG layer within
+   the JVM or .NET eco system or any environment with an
+   async garbage collector */
+#ifndef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
+#    define QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
+#endif
+
+/* Define this to enable a date resolution down to microseconds and
+   allow for accurate intraday pricing. */
+#ifndef QL_HIGH_RESOLUTION_DATE
+#    define QL_HIGH_RESOLUTION_DATE
+#endif
+
+/* Define this if you want to throw an exception when a notification
+   loop is detected.  Enabling this option is recommended but might
+   cause existing code to throw. */
+#ifndef QL_THROW_IN_CYCLES
+#    define QL_THROW_IN_CYCLES
+#endif
+
+/* Undefine this if you want lazy objects to forward all notifications
+   instead of just the first.  Disabling this option is safer in some
+   cases but can be a lot slower. */
+#ifndef QL_FASTER_LAZY_OBJECTS
+//#    define QL_FASTER_LAZY_OBJECTS
+#endif
+
+/* Define this to use std::any instead of boost::any. */
+#ifndef QL_USE_STD_ANY
+#    define QL_USE_STD_ANY
+#endif
+
+/* Define this to use std::optional instead of boost::optional. */
+#ifndef QL_USE_STD_OPTIONAL
+#    define QL_USE_STD_OPTIONAL
+#endif
+
+/* Define this to use standard smart pointers instead of Boost ones.
+   Note that std::shared_ptr does not check access and can
+   cause segmentation faults. */
+#ifndef QL_USE_STD_SHARED_PTR
+#    define QL_USE_STD_SHARED_PTR
+#endif
+
+/* Undefine this to use boost::function and boost::bind instead of
+   std::function and std::bind. */
+#ifndef QL_USE_STD_FUNCTION
+//#    define QL_USE_STD_FUNCTION
+#endif
+
+/* Undefine this to use boost::tuple instead of std::tuple. */
+#ifndef QL_USE_STD_TUPLE
+//#    define QL_USE_STD_TUPLE
+#endif
+
+/* Define this to enable the implementation of Null as template functions. */
+#ifndef QL_NULL_AS_FUNCTIONS
+#    define QL_NULL_AS_FUNCTIONS
+#endif
+
+/* Define this to enable the parallel unit test runner */
+#ifndef QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
+//#    define QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
+#endif
+
+#endif
diff --git a/.github/workflows/msvc-all-configs.yml b/.github/workflows/msvc-all-configs.yml
new file mode 100644
index 00000000000..7ce9f7cfc96
--- /dev/null
+++ b/.github/workflows/msvc-all-configs.yml
@@ -0,0 +1,68 @@
+name: Windows build with all configurations
+on:
+  schedule:
+    - cron: '0 0 * * 0'
+  workflow_dispatch:
+jobs:
+  msbuild:
+    runs-on: ${{ matrix.os }}
+    strategy:
+      fail-fast: false
+      matrix:
+        vsversion: [2019, 2022]
+        platform: [x64, Win32]
+        configuration: ['Release', 'Debug', 'Release (static runtime)', 'Debug (static runtime)']
+        unity: [unity, singles]
+        include:
+          - vsversion: 2019
+            os: windows-2019
+            toolset: "14.2"
+            boost_version: 77
+          - vsversion: 2022
+            os: windows-2022
+            toolset: "14.3"
+            boost_version: 84
+    steps:
+    - uses: actions/checkout@v3
+    - name: Setup MSVC++ environment
+      uses: ilammy/msvc-dev-cmd@v1
+      with:
+        arch: x64
+        toolset: ${{ matrix.toolset }}
+        vsversion: ${{ matrix.vsversion }}
+    - name: Setup Boost
+      run: |
+        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.${{ matrix.boost_version }}.0/source/boost_1_${{ matrix.boost_version }}_0.zip"
+        (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
+        Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
+        Rename-Item -Path "C:\local\boost_1_${{ matrix.boost_version }}_0" -NewName "boost"
+    - name: Setup local properties
+      shell: cmd
+      run: |
+        COPY .ci\VS${{ matrix.vsversion }}.props .\Build.props
+    - name: Setup unity build
+      if: ${{ matrix.unity == 'unity' }}
+      shell: cmd
+      run: |
+        COPY .ci\Unity.props .\Directory.Build.props
+    - name: Setup MSVC++ environment
+      uses: ilammy/msvc-dev-cmd@v1
+      with:
+        arch: x64
+        toolset: ${{ matrix.toolset }}
+        vsversion: ${{ matrix.vsversion }}
+    - name: Build
+      run: |
+        msbuild ./QuantLib.sln /verbosity:normal /property:Configuration="${{ matrix.configuration }}" /property:Platform=${{ matrix.platform }}
+    - name: Test
+      if: ${{ contains(matrix.configuration, 'Release') }}
+      run: |
+        .\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
+    - name: Run examples
+      if: ${{ contains(matrix.configuration, 'Release') }}
+      run: |
+        foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
+        {
+          & $file.FullName
+          if (!$?) { Exit $LASTEXITCODE }
+        }
diff --git a/.github/workflows/msvc-nondefault.yml b/.github/workflows/msvc-nondefault.yml
new file mode 100644
index 00000000000..3f791391117
--- /dev/null
+++ b/.github/workflows/msvc-nondefault.yml
@@ -0,0 +1,66 @@
+name: Windows build with non-default configuration
+on:
+  schedule:
+    - cron: '0 0 * * 0'
+  workflow_dispatch:
+jobs:
+  msbuild:
+    runs-on: ${{ matrix.os }}
+    strategy:
+      fail-fast: false
+      matrix:
+        vsversion: [2019, 2022]
+        platform: [x64, Win32]
+        unity: [unity, singles]
+        include:
+          - vsversion: 2019
+            os: windows-2019
+            toolset: "14.2"
+            boost_version: 77
+          - vsversion: 2022
+            os: windows-2022
+            toolset: "14.3"
+            boost_version: 84
+    steps:
+    - uses: actions/checkout@v3
+    - name: Setup MSVC++ environment
+      uses: ilammy/msvc-dev-cmd@v1
+      with:
+        arch: x64
+        toolset: ${{ matrix.toolset }}
+        vsversion: ${{ matrix.vsversion }}
+    - name: Setup Boost
+      run: |
+        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.${{ matrix.boost_version }}.0/source/boost_1_${{ matrix.boost_version }}_0.zip"
+        (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
+        Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
+        Rename-Item -Path "C:\local\boost_1_${{ matrix.boost_version }}_0" -NewName "boost"
+    - name: Setup local properties
+      shell: cmd
+      run: |
+        COPY .ci\VS${{ matrix.vsversion }}.alt.props .\Build.props
+        COPY .ci\userconfig${{ matrix.vsversion }}.alt.hpp .\ql\userconfig.hpp
+    - name: Setup unity build
+      if: ${{ matrix.unity == 'unity' }}
+      shell: cmd
+      run: |
+        COPY .ci\Unity.props .\Directory.Build.props
+    - name: Setup MSVC++ environment
+      uses: ilammy/msvc-dev-cmd@v1
+      with:
+        arch: x64
+        toolset: ${{ matrix.toolset }}
+        vsversion: ${{ matrix.vsversion }}
+    - name: Build
+      run: |
+        msbuild ./QuantLib.sln /verbosity:normal /property:Configuration=Release /property:Platform=${{ matrix.platform }}
+    - name: Test
+      run: |
+        .\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
+    - name: Run examples
+      run: |
+        foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
+        {
+          & $file.FullName
+          if (!$?) { Exit $LASTEXITCODE }
+        }
diff --git a/.github/workflows/msvc.yml b/.github/workflows/msvc.yml
new file mode 100644
index 00000000000..67e618b096e
--- /dev/null
+++ b/.github/workflows/msvc.yml
@@ -0,0 +1,61 @@
+name: Windows build
+on: [push, pull_request]
+jobs:
+  msbuild:
+    runs-on: ${{ matrix.os }}
+    strategy:
+      fail-fast: false
+      matrix:
+        vsversion: [2019, 2022]
+        unity: [unity, singles]
+        include:
+          - vsversion: 2019
+            os: windows-2019
+            toolset: "14.2"
+            boost_version: 77
+          - vsversion: 2022
+            os: windows-2022
+            toolset: "14.3"
+            boost_version: 84
+    steps:
+    - uses: actions/checkout@v3
+    - name: Setup MSVC++ environment
+      uses: ilammy/msvc-dev-cmd@v1
+      with:
+        arch: x64
+        toolset: ${{ matrix.toolset }}
+        vsversion: ${{ matrix.vsversion }}
+    - name: Setup Boost
+      run: |
+        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.${{ matrix.boost_version }}.0/source/boost_1_${{ matrix.boost_version }}_0.zip"
+        (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
+        Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
+        Rename-Item -Path "C:\local\boost_1_${{ matrix.boost_version }}_0" -NewName "boost"
+    - name: Setup local properties
+      shell: cmd
+      run: |
+        COPY .ci\VS${{ matrix.vsversion }}.props .\Build.props
+    - name: Setup unity build
+      if: ${{ matrix.unity == 'unity' }}
+      shell: cmd
+      run: |
+        COPY .ci\Unity.props .\Directory.Build.props
+    - name: Setup MSVC++ environment
+      uses: ilammy/msvc-dev-cmd@v1
+      with:
+        arch: x64
+        toolset: ${{ matrix.toolset }}
+        vsversion: ${{ matrix.vsversion }}
+    - name: Build
+      run: |
+        msbuild ./QuantLib.sln /verbosity:normal /property:Configuration=Release /property:Platform=x64
+    - name: Test
+      run: |
+        .\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
+    - name: Run examples
+      run: |
+        foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
+        {
+          & $file.FullName
+          if (!$?) { Exit $LASTEXITCODE }
+        }
diff --git a/README.md b/README.md
index ce1ee02a200..6f6c9ca80df 100644
--- a/README.md
+++ b/README.md
@@ -6,10 +6,10 @@
 [![DOI](https://zenodo.org/badge/DOI/10.5281/zenodo.1440997.svg)](https://doi.org/10.5281/zenodo.1440997)
 [![PRs Welcome](https://img.shields.io/badge/PRs%20-welcome-brightgreen.svg)](https://github.com/lballabio/QuantLib/blob/master/CONTRIBUTING.md)
 
-[![Linux build status](https://github.com/lballabio/QuantLib/workflows/Linux%20build/badge.svg?branch=master)](https://github.com/lballabio/QuantLib/actions?query=workflow%3A%22Linux+build%22)
-[![Windows build status](https://ci.appveyor.com/api/projects/status/bmpiucu74eldfkm0/branch/master?svg=true)](https://ci.appveyor.com/project/lballabio/quantlib/branch/master)
-[![Mac OS build status](https://github.com/lballabio/QuantLib/workflows/Mac%20OS%20build/badge.svg?branch=master)](https://github.com/lballabio/QuantLib/actions?query=workflow%3A%22Mac+OS+build%22)
-[![CMake build status](https://github.com/lballabio/QuantLib/workflows/CMake%20build/badge.svg?branch=master)](https://github.com/lballabio/QuantLib/actions?query=workflow%3A%22CMake+build%22)
+[![Linux build status](https://github.com/lballabio/QuantLib/actions/workflows/linux.yml/badge.svg)](https://github.com/lballabio/QuantLib/actions/workflows/linux.yml)
+[![Windows build status](https://github.com/lballabio/QuantLib/actions/workflows/msvc.yml/badge.svg)](https://github.com/lballabio/QuantLib/actions/workflows/msvc.yml)
+[![Mac OS build status](https://github.com/lballabio/QuantLib/actions/workflows/macos.yml/badge.svg)](https://github.com/lballabio/QuantLib/actions/workflows/macos.yml)
+[![CMake build status](https://github.com/lballabio/QuantLib/actions/workflows/cmake.yml/badge.svg)](https://github.com/lballabio/QuantLib/actions/workflows/cmake.yml)
 
 [![Codacy Badge](https://app.codacy.com/project/badge/Grade/b4bc1058db994f24aa931b119a885eea)](https://www.codacy.com/gh/lballabio/QuantLib/dashboard)
 [![Coverage Status](https://coveralls.io/repos/github/lballabio/QuantLib/badge.svg?branch=master)](https://coveralls.io/github/lballabio/QuantLib?branch=master)

From d6f6c13a57cd5980d6cd619795a82a6ac55b8731 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Mar 2024 11:05:02 +0100
Subject: [PATCH 76/95] Update checkout action

---
 .github/workflows/cmake.yml             | 12 ++++++------
 .github/workflows/codeql-analysis.yml   |  2 +-
 .github/workflows/copyrights.yml        |  2 +-
 .github/workflows/coveralls.yml         |  2 +-
 .github/workflows/devenv-images.yml     |  2 +-
 .github/workflows/doxygen.yml           |  4 ++--
 .github/workflows/filelists.yml         |  2 +-
 .github/workflows/generated-headers.yml |  2 +-
 .github/workflows/headers.yml           |  2 +-
 .github/workflows/linux-full-tests.yml  |  2 +-
 .github/workflows/linux-nondefault.yml  |  2 +-
 .github/workflows/linux.yml             |  2 +-
 .github/workflows/macos-nondefault.yml  |  2 +-
 .github/workflows/macos.yml             |  2 +-
 .github/workflows/misspell.yml          |  2 +-
 .github/workflows/msvc-all-configs.yml  |  2 +-
 .github/workflows/msvc-analysis.yml     |  2 +-
 .github/workflows/msvc-nondefault.yml   |  2 +-
 .github/workflows/msvc.yml              |  2 +-
 .github/workflows/sanitizer.yml         |  4 ++--
 .github/workflows/test-times.yml        |  2 +-
 .github/workflows/tidy.yml              |  2 +-
 22 files changed, 29 insertions(+), 29 deletions(-)

diff --git a/.github/workflows/cmake.yml b/.github/workflows/cmake.yml
index 1c71dd20be7..dbe600d5726 100644
--- a/.github/workflows/cmake.yml
+++ b/.github/workflows/cmake.yml
@@ -4,7 +4,7 @@ jobs:
   cmake-linux:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       run: |
         sudo apt update
@@ -31,7 +31,7 @@ jobs:
   cmake-linux-with-options:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       run: |
         sudo apt update
@@ -56,7 +56,7 @@ jobs:
   cmake-win:
     runs-on: windows-2022
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Cache
       uses: hendrikmuhs/ccache-action@v1.2
       with:
@@ -93,7 +93,7 @@ jobs:
   cmake-win-dynamic-runtime:
     runs-on: windows-2022
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Cache
       uses: hendrikmuhs/ccache-action@v1.2
       with:
@@ -130,7 +130,7 @@ jobs:
   cmake-win-with-options:
     runs-on: windows-2022
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Cache
       uses: hendrikmuhs/ccache-action@v1.2
       with:
@@ -165,7 +165,7 @@ jobs:
   cmake-macos:
     runs-on: macos-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       env:
         HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
diff --git a/.github/workflows/codeql-analysis.yml b/.github/workflows/codeql-analysis.yml
index 61e7762fe61..6525704c0aa 100644
--- a/.github/workflows/codeql-analysis.yml
+++ b/.github/workflows/codeql-analysis.yml
@@ -17,7 +17,7 @@ jobs:
 
     steps:
     - name: Checkout repository
-      uses: actions/checkout@v3
+      uses: actions/checkout@v4
 
     # Initializes the CodeQL tools for scanning.
     - name: Initialize CodeQL
diff --git a/.github/workflows/copyrights.yml b/.github/workflows/copyrights.yml
index dfaaa300533..776cf32a581 100644
--- a/.github/workflows/copyrights.yml
+++ b/.github/workflows/copyrights.yml
@@ -7,7 +7,7 @@ jobs:
   copyrights:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Check
       run: |
         ./tools/check_copyrights.sh
diff --git a/.github/workflows/coveralls.yml b/.github/workflows/coveralls.yml
index 3e8e8304c47..9f3405c22e0 100644
--- a/.github/workflows/coveralls.yml
+++ b/.github/workflows/coveralls.yml
@@ -8,7 +8,7 @@ jobs:
   coverage:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       run: |
         sudo apt update
diff --git a/.github/workflows/devenv-images.yml b/.github/workflows/devenv-images.yml
index 15ec82cb967..d28759a30f9 100644
--- a/.github/workflows/devenv-images.yml
+++ b/.github/workflows/devenv-images.yml
@@ -14,7 +14,7 @@ jobs:
       matrix:
         tag: [lunar, mantic, noble]
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Build CI images
       working-directory: dockerfiles
       run: |
diff --git a/.github/workflows/doxygen.yml b/.github/workflows/doxygen.yml
index 5ef3aea0d3f..3f9875100af 100644
--- a/.github/workflows/doxygen.yml
+++ b/.github/workflows/doxygen.yml
@@ -4,7 +4,7 @@ jobs:
   docs:
     runs-on: macos-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       env:
         HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
@@ -22,7 +22,7 @@ jobs:
   header-docs:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Check
       run: |
         ./tools/check_all_header_docs.sh
diff --git a/.github/workflows/filelists.yml b/.github/workflows/filelists.yml
index 89dcfd22878..a5ea31b078c 100644
--- a/.github/workflows/filelists.yml
+++ b/.github/workflows/filelists.yml
@@ -4,7 +4,7 @@ jobs:
   filelists:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       run: |
         sudo apt update
diff --git a/.github/workflows/generated-headers.yml b/.github/workflows/generated-headers.yml
index d2f8cabda3f..2f84389034d 100644
--- a/.github/workflows/generated-headers.yml
+++ b/.github/workflows/generated-headers.yml
@@ -7,7 +7,7 @@ jobs:
   filelists:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       run: |
         sudo apt update
diff --git a/.github/workflows/headers.yml b/.github/workflows/headers.yml
index 564ced713d7..eb9809c7cf7 100644
--- a/.github/workflows/headers.yml
+++ b/.github/workflows/headers.yml
@@ -4,7 +4,7 @@ jobs:
   headers:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       run: |
         sudo apt update
diff --git a/.github/workflows/linux-full-tests.yml b/.github/workflows/linux-full-tests.yml
index 527dc395e37..bd8e2cb7f08 100644
--- a/.github/workflows/linux-full-tests.yml
+++ b/.github/workflows/linux-full-tests.yml
@@ -195,7 +195,7 @@ jobs:
             configureflags: --enable-null-as-functions
     container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Compiler version
       run: |
         ${{ matrix.cc }} --version
diff --git a/.github/workflows/linux-nondefault.yml b/.github/workflows/linux-nondefault.yml
index ce05c918d30..0c73dbc3c9c 100644
--- a/.github/workflows/linux-nondefault.yml
+++ b/.github/workflows/linux-nondefault.yml
@@ -154,7 +154,7 @@ jobs:
             configureflags: --enable-openmp
     container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Compiler version
       run: |
         ${{ matrix.cc }} --version
diff --git a/.github/workflows/linux.yml b/.github/workflows/linux.yml
index 32f8632397d..032293cce6d 100644
--- a/.github/workflows/linux.yml
+++ b/.github/workflows/linux.yml
@@ -185,7 +185,7 @@ jobs:
             tests: true
     container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Cache
       uses: hendrikmuhs/ccache-action@v1.2
       with:
diff --git a/.github/workflows/macos-nondefault.yml b/.github/workflows/macos-nondefault.yml
index e19f7cda3b5..d9b4bce2df5 100644
--- a/.github/workflows/macos-nondefault.yml
+++ b/.github/workflows/macos-nondefault.yml
@@ -23,7 +23,7 @@ jobs:
             cxxflags: "-std=c++17"
             configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-optional --enable-std-any
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       env:
         HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
diff --git a/.github/workflows/macos.yml b/.github/workflows/macos.yml
index 780d6b2430b..c813ca01634 100644
--- a/.github/workflows/macos.yml
+++ b/.github/workflows/macos.yml
@@ -12,7 +12,7 @@ jobs:
           - os: [macos-13]
             shortname: default-13
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       env:
         HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
diff --git a/.github/workflows/misspell.yml b/.github/workflows/misspell.yml
index 1c7072e5934..75cee119178 100644
--- a/.github/workflows/misspell.yml
+++ b/.github/workflows/misspell.yml
@@ -7,7 +7,7 @@ jobs:
   check:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - uses: sobolevn/misspell-fixer-action@master
     - uses: peter-evans/create-pull-request@v6
       with:
diff --git a/.github/workflows/msvc-all-configs.yml b/.github/workflows/msvc-all-configs.yml
index 7ce9f7cfc96..833cedd04e6 100644
--- a/.github/workflows/msvc-all-configs.yml
+++ b/.github/workflows/msvc-all-configs.yml
@@ -23,7 +23,7 @@ jobs:
             toolset: "14.3"
             boost_version: 84
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup MSVC++ environment
       uses: ilammy/msvc-dev-cmd@v1
       with:
diff --git a/.github/workflows/msvc-analysis.yml b/.github/workflows/msvc-analysis.yml
index 237d5df4277..8df2e94cb5f 100644
--- a/.github/workflows/msvc-analysis.yml
+++ b/.github/workflows/msvc-analysis.yml
@@ -16,7 +16,7 @@ jobs:
 
     steps:
       - name: Checkout repository
-        uses: actions/checkout@v3
+        uses: actions/checkout@v4
 
       - name: Setup
         run: |
diff --git a/.github/workflows/msvc-nondefault.yml b/.github/workflows/msvc-nondefault.yml
index 3f791391117..8c909de2326 100644
--- a/.github/workflows/msvc-nondefault.yml
+++ b/.github/workflows/msvc-nondefault.yml
@@ -22,7 +22,7 @@ jobs:
             toolset: "14.3"
             boost_version: 84
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup MSVC++ environment
       uses: ilammy/msvc-dev-cmd@v1
       with:
diff --git a/.github/workflows/msvc.yml b/.github/workflows/msvc.yml
index 67e618b096e..9effad1b5ef 100644
--- a/.github/workflows/msvc.yml
+++ b/.github/workflows/msvc.yml
@@ -18,7 +18,7 @@ jobs:
             toolset: "14.3"
             boost_version: 84
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup MSVC++ environment
       uses: ilammy/msvc-dev-cmd@v1
       with:
diff --git a/.github/workflows/sanitizer.yml b/.github/workflows/sanitizer.yml
index 2d75438ce44..c521a675ce3 100644
--- a/.github/workflows/sanitizer.yml
+++ b/.github/workflows/sanitizer.yml
@@ -8,7 +8,7 @@ jobs:
     runs-on: ubuntu-latest
     container: ghcr.io/lballabio/quantlib-devenv:rolling
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Compiler version
       run: |
         gcc --version
@@ -27,7 +27,7 @@ jobs:
     runs-on: ubuntu-latest
     container: ghcr.io/lballabio/quantlib-devenv:rolling
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Compiler version
       run: |
         gcc --version
diff --git a/.github/workflows/test-times.yml b/.github/workflows/test-times.yml
index 49492465efb..f629789cea6 100644
--- a/.github/workflows/test-times.yml
+++ b/.github/workflows/test-times.yml
@@ -4,7 +4,7 @@ jobs:
   check-test-times:
     runs-on: ubuntu-latest
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Cache
       uses: hendrikmuhs/ccache-action@v1.2
       with:
diff --git a/.github/workflows/tidy.yml b/.github/workflows/tidy.yml
index 01a6aa83689..d14c3a246cd 100644
--- a/.github/workflows/tidy.yml
+++ b/.github/workflows/tidy.yml
@@ -7,7 +7,7 @@ jobs:
   check:
     runs-on: ubuntu-22.04
     steps:
-    - uses: actions/checkout@v3
+    - uses: actions/checkout@v4
     - name: Setup
       run: |
         sudo apt-get update

From 9b4efa33c4cf21e503ff45a5acef79ef4fea3ee3 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Mar 2024 14:17:24 +0100
Subject: [PATCH 77/95] Add warnings to docs

---
 ql/instruments/swaption.hpp                              | 6 ++++++
 .../shortrate/calibrationhelpers/swaptionhelper.hpp      | 9 +++++++--
 2 files changed, 13 insertions(+), 2 deletions(-)

diff --git a/ql/instruments/swaption.hpp b/ql/instruments/swaption.hpp
index b3353e42bab..5d6c1cdf3cf 100644
--- a/ql/instruments/swaption.hpp
+++ b/ql/instruments/swaption.hpp
@@ -59,6 +59,12 @@ namespace QuantLib {
     //! %Swaption class
     /*! \ingroup instruments
 
+        \warning it's possible to pass an overnight-indexed swap to
+                 the constructor, but the only engine to fully support
+                 it is BlackSwaptionEngine; other engines will treat
+                 it as a vanilla swap.  This is at best a decent
+                 proxy, at worst simply wrong.  Use with caution.
+
         \test
         - the correctness of the returned value is tested by checking
           that the price of a payer (resp. receiver) swaption
diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
index e8c6ac90046..a5a4f9a81fe 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
@@ -32,8 +32,13 @@
 
 namespace QuantLib {
 
-    //! calibration helper for ATM swaption
-
+    //! calibration helper for interest-rate swaptions
+    /*! \warning passing an overnight index to the constructor will
+                 result in an overnight-indexed swap being built, but
+                 model-based engines will treat it as a vanilla swap.
+                 This is at best a decent proxy, at worst simply wrong.
+                 Use with caution.
+    */
     class SwaptionHelper : public BlackCalibrationHelper {
       public:
         SwaptionHelper(const Period& maturity,

From 47ba67de86a64d738b3ea09bff6d7d3f4681d515 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 29 Mar 2024 11:09:42 +0100
Subject: [PATCH 78/95] Simplify workflow matrix for MacOS

---
 .github/workflows/macos-nondefault.yml | 13 +++----------
 .github/workflows/macos.yml            | 14 +++++---------
 2 files changed, 8 insertions(+), 19 deletions(-)

diff --git a/.github/workflows/macos-nondefault.yml b/.github/workflows/macos-nondefault.yml
index d9b4bce2df5..1c8d378cc72 100644
--- a/.github/workflows/macos-nondefault.yml
+++ b/.github/workflows/macos-nondefault.yml
@@ -9,17 +9,10 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
+        os: [macos-12, macos-13]
+        classes: [boost, std]
         include:
-          - os: [macos-12]
-            shortname: default-12
-          - os: [macos-12]
-            shortname: stdclasses-12
-            cxxflags: "-std=c++17"
-            configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-optional --enable-std-any
-          - os: [macos-13]
-            shortname: default-13
-          - os: [macos-13]
-            shortname: stdclasses-13
+          - classes: std
             cxxflags: "-std=c++17"
             configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-optional --enable-std-any
     steps:
diff --git a/.github/workflows/macos.yml b/.github/workflows/macos.yml
index c813ca01634..362dfb8d0a5 100644
--- a/.github/workflows/macos.yml
+++ b/.github/workflows/macos.yml
@@ -6,11 +6,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        include:
-          - os: [macos-12]
-            shortname: default-12
-          - os: [macos-13]
-            shortname: default-13
+        os: [macos-12, macos-13]
     steps:
     - uses: actions/checkout@v4
     - name: Setup
@@ -21,11 +17,11 @@ jobs:
     - name: Cache
       uses: hendrikmuhs/ccache-action@v1.2
       with:
-        key: macos-ci-build-${{ matrix.shortname }}-${{ github.ref }}
+        key: macos-ci-build-${{ matrix.os }}-${{ github.ref }}
         restore-keys: |
-          macos-ci-build-${{ matrix.shortname }}-${{ github.ref }}
-          macos-ci-build-${{ matrix.shortname }}-refs/heads/master
-          macos-ci-build-${{ matrix.shortname }}-
+          macos-ci-build-${{ matrix.os }}-${{ github.ref }}
+          macos-ci-build-${{ matrix.os }}-refs/heads/master
+          macos-ci-build-${{ matrix.os }}-
     - name: Compiler version
       run: |
         clang --version

From 56c63cca3ea298e15927d52ef87ec9bc70a737d0 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 31 Mar 2024 21:37:00 +0200
Subject: [PATCH 79/95] Use checkout action v3 until available on older images

---
 .github/workflows/linux-full-tests.yml | 2 +-
 .github/workflows/linux-nondefault.yml | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

diff --git a/.github/workflows/linux-full-tests.yml b/.github/workflows/linux-full-tests.yml
index bd8e2cb7f08..527dc395e37 100644
--- a/.github/workflows/linux-full-tests.yml
+++ b/.github/workflows/linux-full-tests.yml
@@ -195,7 +195,7 @@ jobs:
             configureflags: --enable-null-as-functions
     container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
     steps:
-    - uses: actions/checkout@v4
+    - uses: actions/checkout@v3
     - name: Compiler version
       run: |
         ${{ matrix.cc }} --version
diff --git a/.github/workflows/linux-nondefault.yml b/.github/workflows/linux-nondefault.yml
index 0c73dbc3c9c..ce05c918d30 100644
--- a/.github/workflows/linux-nondefault.yml
+++ b/.github/workflows/linux-nondefault.yml
@@ -154,7 +154,7 @@ jobs:
             configureflags: --enable-openmp
     container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
     steps:
-    - uses: actions/checkout@v4
+    - uses: actions/checkout@v3
     - name: Compiler version
       run: |
         ${{ matrix.cc }} --version

From 217dd4a39bc878447653afc73d8fdd9e0f938eca Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Apr 2024 09:21:30 +0200
Subject: [PATCH 80/95] Remove extra output in tests

---
 test-suite/cashflows.cpp | 6 ------
 1 file changed, 6 deletions(-)

diff --git a/test-suite/cashflows.cpp b/test-suite/cashflows.cpp
index 785c1c30dd5..dd9d736992d 100644
--- a/test-suite/cashflows.cpp
+++ b/test-suite/cashflows.cpp
@@ -37,7 +37,6 @@
 #include <ql/indexes/ibor/sofr.hpp>
 #include <ql/optional.hpp>
 #include <ql/settings.hpp>
-#include <iomanip>
 
 using namespace QuantLib;
 using namespace boost::unit_test_framework;
@@ -394,11 +393,6 @@ BOOST_AUTO_TEST_CASE(testIrregularFirstCouponReferenceDatesAtEndOfCalendarMonth)
         .withNotionals(100.0)
         .withCouponRates(0.01875, ActualActual(ActualActual::ISMA));
 
-    for (const auto& elem : leg) {
-        BOOST_TEST_MESSAGE("Reference Period: " << ext::dynamic_pointer_cast<Coupon>(elem)->referencePeriodStart() << " - " << ext::dynamic_pointer_cast<Coupon>(elem)->referencePeriodEnd());
-        BOOST_TEST_MESSAGE("Amount: " << ext::dynamic_pointer_cast<Coupon>(elem)->amount());
-    }
-
     ext::shared_ptr<Coupon> firstCoupon =
         ext::dynamic_pointer_cast<Coupon>(leg.front());
     if (firstCoupon->referencePeriodStart() != Date(30, September, 2017))

From 2f384b134675adc67b27016b33dab9023bf9ce1f Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Apr 2024 10:21:31 +0200
Subject: [PATCH 81/95] Fewer builds in default CI matrix

---
 .github/workflows/linux.yml | 51 -------------------------------------
 1 file changed, 51 deletions(-)

diff --git a/.github/workflows/linux.yml b/.github/workflows/linux.yml
index 032293cce6d..d26aeacda07 100644
--- a/.github/workflows/linux.yml
+++ b/.github/workflows/linux.yml
@@ -7,83 +7,32 @@ jobs:
       fail-fast: false
       matrix:
         include:
-          - name: "gcc 8.3 (Boost 1.72)"
-            shortname: gcc8
-            tag: cosmic
-            cc: gcc
-            cxx: g++
           - name: "gcc 9.3 (Boost 1.78)"
             shortname: gcc9
             tag: focal
             cc: gcc
             cxx: g++
-          - name: "gcc 10.3 (Boost 1.79)"
-            shortname: gcc10
-            tag: hirsute
-            cc: gcc
-            cxx: g++
           - name: "gcc 11.4 (Boost 1.82)"
             shortname: gcc11
             tag: jammy
             cc: gcc
             cxx: g++
-          - name: "gcc 12.x"
-            shortname: gcc12
-            tag: lunar
-            cc: gcc
-            cxx: g++
-            tests: true
           - name: "gcc 13.x"
             shortname: gcc13
             tag: mantic
             cc: gcc
             cxx: g++
             tests: true
-          - name: "Clang 7 (Boost 1.72)"
-            shortname: clang7
-            tag: cosmic
-            cc: clang
-            cxx: clang++
-          - name: "Clang 8 (Boost 1.72)"
-            shortname: clang8
-            tag: disco
-            cc: clang
-            cxx: clang++
-          - name: "Clang 9 (Boost 1.74)"
-            shortname: clang9
-            tag: eoan
-            cc: clang
-            cxx: clang++
           - name: "Clang 10 (Boost 1.78)"
             shortname: clang10
             tag: focal
             cc: clang
             cxx: clang++
-          - name: "Clang 11 (Boost 1.78)"
-            shortname: clang11
-            tag: groovy
-            cc: clang
-            cxx: clang++
-          - name: "Clang 12 (Boost 1.79)"
-            shortname: clang12
-            tag: hirsute
-            cc: clang
-            cxx: clang++
-          - name: "Clang 13 (Boost 1.79)"
-            shortname: clang13
-            tag: impish
-            cc: clang
-            cxx: clang++
           - name: "Clang 14 (Boost 1.82)"
             shortname: clang14
             tag: jammy
             cc: clang
             cxx: clang++
-          - name: "Clang 15"
-            shortname: clang15
-            tag: lunar
-            cc: clang
-            cxx: clang++
           - name: "Clang 16"
             shortname: clang16
             tag: mantic

From c71e2531e3e39e981550b5d6a623b7a1c6d38af6 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 2 Apr 2024 09:12:11 +0200
Subject: [PATCH 82/95] Restore backward compatibility

---
 Examples/Gaussian1dModels/Gaussian1dModels.cpp      |  6 +++---
 ql/experimental/basismodels/swaptioncfs.cpp         |  2 +-
 ql/instruments/nonstandardswaption.cpp              |  2 +-
 ql/instruments/swaption.cpp                         |  2 ++
 ql/instruments/swaption.hpp                         | 13 ++++++++++++-
 .../shortrate/calibrationhelpers/swaptionhelper.hpp | 12 +++++++++++-
 test-suite/swaption.cpp                             |  4 ++--
 test-suite/swaptionvolatilitymatrix.cpp             |  4 ++--
 8 files changed, 34 insertions(+), 11 deletions(-)

diff --git a/Examples/Gaussian1dModels/Gaussian1dModels.cpp b/Examples/Gaussian1dModels/Gaussian1dModels.cpp
index e411dad8cb9..fc6481c80c5 100644
--- a/Examples/Gaussian1dModels/Gaussian1dModels.cpp
+++ b/Examples/Gaussian1dModels/Gaussian1dModels.cpp
@@ -64,10 +64,10 @@ void printBasket(
                  "==================" << std::endl;
     for (const auto& j : basket) {
         auto helper = ext::dynamic_pointer_cast<SwaptionHelper>(j);
-        Date endDate = helper->underlyingSwap()->fixedSchedule().dates().back();
-        Real nominal = helper->underlyingSwap()->nominal();
+        Date endDate = helper->underlying()->fixedSchedule().dates().back();
+        Real nominal = helper->underlying()->nominal();
         Real vol = helper->volatility()->value();
-        Real rate = helper->underlyingSwap()->fixedRate();
+        Real rate = helper->underlying()->fixedRate();
         Date expiry = helper->swaption()->exercise()->date(0);
         Swap::Type type = helper->swaption()->type();
         std::ostringstream expiryString, endDateString;
diff --git a/ql/experimental/basismodels/swaptioncfs.cpp b/ql/experimental/basismodels/swaptioncfs.cpp
index f17c005d105..af45acd6c70 100644
--- a/ql/experimental/basismodels/swaptioncfs.cpp
+++ b/ql/experimental/basismodels/swaptioncfs.cpp
@@ -119,7 +119,7 @@ namespace QuantLib {
     SwaptionCashFlows::SwaptionCashFlows(const ext::shared_ptr<Swaption>& swaption,
                                          const Handle<YieldTermStructure>& discountCurve,
                                          bool contTenorSpread)
-    : SwapCashFlows(swaption->underlyingSwap(), discountCurve, contTenorSpread),
+    : SwapCashFlows(swaption->underlying(), discountCurve, contTenorSpread),
       swaption_(swaption) {
         // assemble raw cash flow data...
         Actual365Fixed dc;
diff --git a/ql/instruments/nonstandardswaption.cpp b/ql/instruments/nonstandardswaption.cpp
index e0dc77b4343..f647dc4f1a4 100644
--- a/ql/instruments/nonstandardswaption.cpp
+++ b/ql/instruments/nonstandardswaption.cpp
@@ -27,7 +27,7 @@ namespace QuantLib {
         : Option(ext::shared_ptr<Payoff>(),
                  const_cast<Swaption &>(fromSwaption).exercise()),
           swap_(ext::make_shared<NonstandardSwap>(
-              *fromSwaption.underlyingSwap())),
+              *fromSwaption.underlying())),
           settlementType_(fromSwaption.settlementType()),
           settlementMethod_(fromSwaption.settlementMethod()) {
 
diff --git a/ql/instruments/swaption.cpp b/ql/instruments/swaption.cpp
index 1505631dbc6..e317a95e10f 100644
--- a/ql/instruments/swaption.cpp
+++ b/ql/instruments/swaption.cpp
@@ -146,6 +146,8 @@ namespace QuantLib {
         // wouldn't recalculate.  To avoid this, we override the
         // default behavior of the underlying swap.
         swap_->alwaysForwardNotifications();
+
+        vanilla_ = ext::dynamic_pointer_cast<VanillaSwap>(swap_);
     }
 
     void Swaption::deepUpdate() {
diff --git a/ql/instruments/swaption.hpp b/ql/instruments/swaption.hpp
index 5d6c1cdf3cf..a9727894645 100644
--- a/ql/instruments/swaption.hpp
+++ b/ql/instruments/swaption.hpp
@@ -31,6 +31,7 @@
 
 #include <ql/option.hpp>
 #include <ql/instruments/fixedvsfloatingswap.hpp>
+#include <ql/instruments/vanillaswap.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
 #include <ql/termstructures/volatility/volatilitytype.hpp>
 
@@ -108,9 +109,17 @@ namespace QuantLib {
             return settlementMethod_;
         }
         Swap::Type type() const { return swap_->type(); }
-        const ext::shared_ptr<FixedVsFloatingSwap>& underlyingSwap() const {
+        const ext::shared_ptr<FixedVsFloatingSwap>& underlying() const {
             return swap_;
         }
+        /*! \deprecated Use the Swaption::underlying method instead.
+                        Deprecated in version 1.34.
+        */
+        [[deprecated("Use the Swaption::underlying method instead")]]
+        const ext::shared_ptr<VanillaSwap>& underlyingSwap() const {
+            QL_REQUIRE(vanilla_, "underlying is not a vanilla swap");
+            return vanilla_;
+        }
         //@}
         //! implied volatility
         Volatility impliedVolatility(
@@ -129,6 +138,8 @@ namespace QuantLib {
         //Handle<YieldTermStructure> termStructure_;
         Settlement::Type settlementType_;
         Settlement::Method settlementMethod_;
+        // until we remove underlyingSwap();
+        ext::shared_ptr<VanillaSwap> vanilla_;
     };
 
     //! %Arguments for swaption calculation
diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
index a5a4f9a81fe..8d037d37c44 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
@@ -93,10 +93,20 @@ namespace QuantLib {
         Real modelValue() const override;
         Real blackPrice(Volatility volatility) const override;
 
-        ext::shared_ptr<FixedVsFloatingSwap> underlyingSwap() const {
+        const ext::shared_ptr<FixedVsFloatingSwap>& underlying() const {
             calculate();
             return swap_;
         }
+        /*! \deprecated Use the SwaptionHelper::underlying method instead.
+                        Deprecated in version 1.34.
+        */
+        [[deprecated("Use the SwaptionHelper::underlying method instead")]]
+        ext::shared_ptr<VanillaSwap> underlyingSwap() const {
+            calculate();
+            auto vanilla = ext::dynamic_pointer_cast<VanillaSwap>(swap_);
+            QL_REQUIRE(vanilla, "underlying is not a vanilla swap");
+            return vanilla;
+        }
         ext::shared_ptr<Swaption> swaption() const { calculate(); return swaption_; }
 
       private:
diff --git a/test-suite/swaption.cpp b/test-suite/swaption.cpp
index 553ccfd7ba7..d3aa8eeabe0 100644
--- a/test-suite/swaption.cpp
+++ b/test-suite/swaption.cpp
@@ -510,7 +510,7 @@ BOOST_AUTO_TEST_CASE(testVega) {
                                            << "\n  strike:          " << io::rate(strike)
                                            << "\n  settlement:      " << types[h]
                                            << "\n  nominal:         "
-                                           << swaption->underlyingSwap()->nominal()
+                                           << swaption->underlying()->nominal()
                                            << "\n  npv:             " << swaptionNPV
                                            << "\n  calculated vega: " << analyticalVegaPerPoint
                                            << "\n  expected vega:   " << numericalVegaPerPoint
@@ -1107,7 +1107,7 @@ void checkSwaptionDelta(bool useBachelierVol)
                                 << "\n  swap tenor:       " << length << "\n  strike:           "
                                 << strike << "\n  settlement:       " << types[h]
                                 << "\n  method:           " << methods[h]
-                                << "\n  nominal:          " << swaption->underlyingSwap()->nominal()
+                                << "\n  nominal:          " << swaption->underlying()->nominal()
                                 << "\n  npv:              " << value << "\n  calculated delta: "
                                 << delta << "\n  expected delta:   " << approxDelta);
                     }
diff --git a/test-suite/swaptionvolatilitymatrix.cpp b/test-suite/swaptionvolatilitymatrix.cpp
index de5e8f46720..addfe0b26ea 100644
--- a/test-suite/swaptionvolatilitymatrix.cpp
+++ b/test-suite/swaptionvolatilitymatrix.cpp
@@ -210,8 +210,8 @@ struct CommonVars {
                                "\nactual option date: " << exerciseDate <<
                                "\n  exp. option date: " << vol->optionDates()[i]);
 
-                Date start = swaption.underlyingSwap()->startDate();
-                Date end = swaption.underlyingSwap()->maturityDate();
+                Date start = swaption.underlying()->startDate();
+                Date end = swaption.underlying()->maturityDate();
                 Time swapLength2 = vol->swapLength(start, end);
                 if (!close(swapLength2,swapLength))
                     BOOST_FAIL("\nswapLength failure for " <<

From 7c12452aa18f08f873d926b6a9f9f87eaba1a0b0 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 4 Apr 2024 10:08:27 +0200
Subject: [PATCH 83/95] Add CI builds on MacOS 14 M1 runner

---
 .github/workflows/macos-nondefault.yml | 6 +++---
 .github/workflows/macos.yml            | 6 +++---
 2 files changed, 6 insertions(+), 6 deletions(-)

diff --git a/.github/workflows/macos-nondefault.yml b/.github/workflows/macos-nondefault.yml
index 1c8d378cc72..b49093a499c 100644
--- a/.github/workflows/macos-nondefault.yml
+++ b/.github/workflows/macos-nondefault.yml
@@ -9,7 +9,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        os: [macos-12, macos-13]
+        os: [macos-12, macos-13, macos-14]
         classes: [boost, std]
         include:
           - classes: std
@@ -21,14 +21,14 @@ jobs:
       env:
         HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
       run: |
-        brew install automake boost
+        brew install automake autoconf libtool boost
     - name: Compiler version
       run: |
         clang --version
     - name: Build
       run: |
         ./autogen.sh
-        ./configure --disable-shared --enable-error-lines --enable-error-functions --enable-tracing --enable-indexed-coupons --enable-extra-safety-checks --enable-sessions --enable-thread-safe-observer-pattern --enable-intraday --disable-faster-lazy-objects --enable-throwing-in-cycles --enable-null-as-functions ${{ matrix.configureflags }}  CC="clang" CXX="clang++" CXXFLAGS="-O2 -g0 -Wall -Werror ${{ matrix.cxxflags }}"
+        ./configure --disable-shared --with-boost-include=`brew --prefix`/include --enable-error-lines --enable-error-functions --enable-tracing --enable-indexed-coupons --enable-extra-safety-checks --enable-sessions --enable-thread-safe-observer-pattern --enable-intraday --disable-faster-lazy-objects --enable-throwing-in-cycles --enable-null-as-functions ${{ matrix.configureflags }} CC="clang" CXX="clang++" CXXFLAGS="-O2 -g0 -Wall -Werror ${{ matrix.cxxflags }}"
         make -j 3
     - name: Run tests
       run: |
diff --git a/.github/workflows/macos.yml b/.github/workflows/macos.yml
index 362dfb8d0a5..fa61ac1d010 100644
--- a/.github/workflows/macos.yml
+++ b/.github/workflows/macos.yml
@@ -6,14 +6,14 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        os: [macos-12, macos-13]
+        os: [macos-12, macos-13, macos-14]
     steps:
     - uses: actions/checkout@v4
     - name: Setup
       env:
         HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
       run: |
-        brew install automake boost ccache
+        brew install automake autoconf libtool boost ccache
     - name: Cache
       uses: hendrikmuhs/ccache-action@v1.2
       with:
@@ -28,7 +28,7 @@ jobs:
     - name: Build
       run: |
         ./autogen.sh
-        ./configure --disable-shared ${{ matrix.configureflags }} CC="ccache clang" CXX="ccache clang++" CXXFLAGS="-O2 -g0 -Wall -Werror ${{ matrix.cxxflags }}"
+        ./configure --disable-shared --with-boost-include=`brew --prefix`/include ${{ matrix.configureflags }} CC="ccache clang" CXX="ccache clang++" CXXFLAGS="-O2 -g0 -Wall -Werror ${{ matrix.cxxflags }}"
         make -j 3
     - name: Run tests
       run: |

From bdbb8e179f0a486d3f8f22c91fc7dbc80aa564b4 Mon Sep 17 00:00:00 2001
From: Jonathan Sweemer <sweemer@gmail.com>
Date: Sat, 6 Apr 2024 16:09:02 +0900
Subject: [PATCH 84/95] Pass Schedule by value and move

---
 ql/cashflows/cpicoupon.cpp                    | 16 +++++------
 ql/cashflows/cpicoupon.hpp                    |  2 +-
 ql/cashflows/fixedratecoupon.cpp              |  4 +--
 ql/cashflows/fixedratecoupon.hpp              |  2 +-
 ql/cashflows/overnightindexedcoupon.cpp       |  8 +++---
 ql/cashflows/overnightindexedcoupon.hpp       |  2 +-
 ql/cashflows/subperiodcoupon.cpp              |  9 +++---
 ql/cashflows/subperiodcoupon.hpp              |  2 +-
 .../averageois/arithmeticaverageois.cpp       | 20 ++++++-------
 .../averageois/arithmeticaverageois.hpp       | 11 ++++----
 .../callablebonds/callablebond.cpp            | 11 ++++----
 .../callablebonds/callablebond.hpp            |  2 +-
 ql/experimental/catbonds/catbond.cpp          |  6 ++--
 ql/experimental/catbonds/catbond.hpp          |  2 +-
 ql/experimental/credit/nthtodefault.cpp       | 13 ++++-----
 ql/experimental/credit/nthtodefault.hpp       |  8 +++---
 ql/experimental/credit/syntheticcdo.cpp       | 22 +++++++--------
 ql/experimental/credit/syntheticcdo.hpp       | 24 ++++++++--------
 ql/instruments/assetswap.cpp                  | 28 +++++++++----------
 ql/instruments/assetswap.hpp                  |  2 +-
 ql/instruments/bmaswap.cpp                    | 12 ++++----
 ql/instruments/bmaswap.hpp                    |  5 ++--
 .../bonds/amortizingcmsratebond.cpp           |  4 +--
 .../bonds/amortizingcmsratebond.hpp           |  2 +-
 .../bonds/amortizingfixedratebond.cpp         |  4 +--
 .../bonds/amortizingfixedratebond.hpp         |  2 +-
 .../bonds/amortizingfloatingratebond.cpp      |  4 +--
 .../bonds/amortizingfloatingratebond.hpp      |  4 +--
 ql/instruments/bonds/cmsratebond.cpp          |  4 +--
 ql/instruments/bonds/cmsratebond.hpp          |  2 +-
 ql/instruments/bonds/cpibond.cpp              |  5 ++--
 ql/instruments/bonds/cpibond.hpp              |  2 +-
 ql/instruments/bonds/fixedratebond.cpp        |  4 +--
 ql/instruments/bonds/fixedratebond.hpp        |  2 +-
 ql/instruments/bonds/floatingratebond.cpp     |  4 +--
 ql/instruments/bonds/floatingratebond.hpp     |  2 +-
 ql/instruments/equitytotalreturnswap.cpp      | 22 +++++++--------
 ql/instruments/floatfloatswap.cpp             | 25 +++++++++--------
 ql/instruments/floatfloatswap.hpp             |  4 +--
 ql/instruments/overnightindexedswap.cpp       | 25 ++++++++---------
 ql/instruments/overnightindexedswap.hpp       | 10 +++----
 .../calibrationhelpers/swaptionhelper.cpp     | 12 ++++----
 .../calibrationhelpers/swaptionhelper.hpp     |  4 +--
 ql/termstructures/yield/bondhelpers.cpp       |  8 +++---
 ql/termstructures/yield/bondhelpers.hpp       |  4 +--
 ql/time/daycounters/actualactual.cpp          |  5 ++--
 ql/time/daycounters/actualactual.hpp          |  8 ++----
 test-suite/crosscurrencyratehelpers.cpp       | 16 +++++------
 48 files changed, 195 insertions(+), 204 deletions(-)

diff --git a/ql/cashflows/cpicoupon.cpp b/ql/cashflows/cpicoupon.cpp
index 1e72cae4854..dd3a0fb4ccb 100644
--- a/ql/cashflows/cpicoupon.cpp
+++ b/ql/cashflows/cpicoupon.cpp
@@ -255,14 +255,13 @@ namespace QuantLib {
             return notional() * (I1 / I0);
     }
 
-    CPILeg::CPILeg(const Schedule& schedule,
+    CPILeg::CPILeg(Schedule schedule,
                    ext::shared_ptr<ZeroInflationIndex> index,
                    const Real baseCPI,
                    const Period& observationLag)
-    : schedule_(schedule), index_(std::move(index)), baseCPI_(baseCPI),
+    : schedule_(std::move(schedule)), index_(std::move(index)), baseCPI_(baseCPI),
       observationLag_(observationLag), paymentDayCounter_(Thirty360(Thirty360::BondBasis)),
-      paymentCalendar_(schedule.calendar()),
-
+      paymentCalendar_(schedule_.calendar()),
       spreads_(std::vector<Real>(1, 0)), baseDate_(Null<Date>()) {}
 
 
@@ -366,15 +365,15 @@ namespace QuantLib {
         Size n = schedule_.size()-1;
         Leg leg;
         leg.reserve(n+1);   // +1 for notional, we always have some sort ...
-        
+
         Date baseDate = baseDate_;
         // BaseDate and baseCPI are not given, use the first date as startDate and the baseFixingg
         // should be at startDate - observationLag
-        
+
         if (n>0) {
             QL_REQUIRE(!fixedRates_.empty() || !spreads_.empty(),
                        "no fixedRates or spreads given");
-            
+
             if (baseDate_ == Null<Date>() && baseCPI_ == Null<Real>()) {
                 baseDate = schedule_.date(0) - observationLag_;
             }
@@ -435,7 +434,7 @@ namespace QuantLib {
         Date paymentDate = paymentCalendar_.adjust(schedule_.date(n), paymentAdjustment_);
         leg.push_back(ext::make_shared<CPICashFlow>
                           (detail::get(notionals_, n, 0.0), index_,
-                           baseDate, baseCPI_, 
+                           baseDate, baseCPI_,
                            schedule_.date(n), observationLag_, observationInterpolation_,
                            paymentDate, subtractInflationNominal_));
 
@@ -446,4 +445,3 @@ namespace QuantLib {
     }
 
 }
-
diff --git a/ql/cashflows/cpicoupon.hpp b/ql/cashflows/cpicoupon.hpp
index d8945e6944f..68445a3b1d5 100644
--- a/ql/cashflows/cpicoupon.hpp
+++ b/ql/cashflows/cpicoupon.hpp
@@ -276,7 +276,7 @@ namespace QuantLib {
     */
     class CPILeg {
       public:
-        CPILeg(const Schedule& schedule,
+        CPILeg(Schedule schedule,
                ext::shared_ptr<ZeroInflationIndex> index,
                Real baseCPI,
                const Period& observationLag);
diff --git a/ql/cashflows/fixedratecoupon.cpp b/ql/cashflows/fixedratecoupon.cpp
index 3cc5eca3510..7e66ae93da4 100644
--- a/ql/cashflows/fixedratecoupon.cpp
+++ b/ql/cashflows/fixedratecoupon.cpp
@@ -89,8 +89,8 @@ namespace QuantLib {
     }
 
 
-    FixedRateLeg::FixedRateLeg(const Schedule& schedule)
-    : schedule_(schedule), paymentCalendar_(schedule.calendar()) {}
+    FixedRateLeg::FixedRateLeg(Schedule schedule)
+    : schedule_(std::move(schedule)), paymentCalendar_(schedule_.calendar()) {}
 
     FixedRateLeg& FixedRateLeg::withNotionals(Real notional) {
         notionals_ = vector<Real>(1,notional);
diff --git a/ql/cashflows/fixedratecoupon.hpp b/ql/cashflows/fixedratecoupon.hpp
index 11c8c042eb4..314e33f8b3c 100644
--- a/ql/cashflows/fixedratecoupon.hpp
+++ b/ql/cashflows/fixedratecoupon.hpp
@@ -89,7 +89,7 @@ namespace QuantLib {
     //! helper class building a sequence of fixed rate coupons
     class FixedRateLeg {
       public:
-        FixedRateLeg(const Schedule& schedule);
+        FixedRateLeg(Schedule schedule);
         FixedRateLeg& withNotionals(Real);
         FixedRateLeg& withNotionals(const std::vector<Real>&);
         FixedRateLeg& withCouponRates(Rate,
diff --git a/ql/cashflows/overnightindexedcoupon.cpp b/ql/cashflows/overnightindexedcoupon.cpp
index 03c0af0a4b6..9c5862f1508 100644
--- a/ql/cashflows/overnightindexedcoupon.cpp
+++ b/ql/cashflows/overnightindexedcoupon.cpp
@@ -146,7 +146,7 @@ namespace QuantLib {
                     const Date& refPeriodStart,
                     const Date& refPeriodEnd,
                     const DayCounter& dayCounter,
-                    bool telescopicValueDates, 
+                    bool telescopicValueDates,
                     RateAveraging::Type averagingMethod)
     : FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
                          overnightIndex ? overnightIndex->fixingDays() : 0,
@@ -269,8 +269,8 @@ namespace QuantLib {
         }
     }
 
-    OvernightLeg::OvernightLeg(const Schedule& schedule, ext::shared_ptr<OvernightIndex> i)
-    : schedule_(schedule), overnightIndex_(std::move(i)), paymentCalendar_(schedule.calendar()) {
+    OvernightLeg::OvernightLeg(Schedule schedule, ext::shared_ptr<OvernightIndex> i)
+    : schedule_(std::move(schedule)), overnightIndex_(std::move(i)), paymentCalendar_(schedule_.calendar()) {
         QL_REQUIRE(overnightIndex_, "no index provided");
     }
 
@@ -370,7 +370,7 @@ namespace QuantLib {
                                        detail::get(spreads_, i, 0.0),
                                        refStart, refEnd,
                                        paymentDayCounter_,
-                                       telescopicValueDates_, 
+                                       telescopicValueDates_,
                                        averagingMethod_)));
         }
         return cashflows;
diff --git a/ql/cashflows/overnightindexedcoupon.hpp b/ql/cashflows/overnightindexedcoupon.hpp
index 8c0d2cf6b6d..6438a5bebfb 100644
--- a/ql/cashflows/overnightindexedcoupon.hpp
+++ b/ql/cashflows/overnightindexedcoupon.hpp
@@ -98,7 +98,7 @@ namespace QuantLib {
     //! helper class building a sequence of overnight coupons
     class OvernightLeg {
       public:
-        OvernightLeg(const Schedule& schedule, ext::shared_ptr<OvernightIndex> overnightIndex);
+        OvernightLeg(Schedule schedule, ext::shared_ptr<OvernightIndex> overnightIndex);
         OvernightLeg& withNotionals(Real notional);
         OvernightLeg& withNotionals(const std::vector<Real>& notionals);
         OvernightLeg& withPaymentDayCounter(const DayCounter&);
diff --git a/ql/cashflows/subperiodcoupon.cpp b/ql/cashflows/subperiodcoupon.cpp
index e7971ecc15c..8efdcfca411 100644
--- a/ql/cashflows/subperiodcoupon.cpp
+++ b/ql/cashflows/subperiodcoupon.cpp
@@ -42,7 +42,7 @@ namespace QuantLib {
                                        const Date& exCouponDate)
     : FloatingRateCoupon(paymentDate, nominal, startDate, endDate,
                          fixingDays, index, gearing, couponSpread,
-                         refPeriodStart, refPeriodEnd, dayCounter, 
+                         refPeriodStart, refPeriodEnd, dayCounter,
                          false, exCouponDate),
       rateSpread_(rateSpread) {
         Schedule sch = MakeSchedule()
@@ -107,7 +107,7 @@ namespace QuantLib {
         }
     }
 
-    Real SubPeriodsPricer::swapletPrice() const { 
+    Real SubPeriodsPricer::swapletPrice() const {
         QL_FAIL("SubPeriodsPricer::swapletPrice not implemented");
     }
 
@@ -155,8 +155,8 @@ namespace QuantLib {
         return coupon_->gearing() * rate + coupon_->spread();
     }
 
-    SubPeriodsLeg::SubPeriodsLeg(const Schedule& schedule, ext::shared_ptr<IborIndex> i)
-    : schedule_(schedule), index_(std::move(i)), paymentCalendar_(schedule.calendar()) {
+    SubPeriodsLeg::SubPeriodsLeg(Schedule schedule, ext::shared_ptr<IborIndex> i)
+    : schedule_(std::move(schedule)), index_(std::move(i)), paymentCalendar_(schedule_.calendar()) {
         QL_REQUIRE(index_, "no index provided");
     }
 
@@ -306,4 +306,3 @@ namespace QuantLib {
         return cashflows;
     }
 }
-
diff --git a/ql/cashflows/subperiodcoupon.hpp b/ql/cashflows/subperiodcoupon.hpp
index f2c531ab34f..955cd14ac62 100644
--- a/ql/cashflows/subperiodcoupon.hpp
+++ b/ql/cashflows/subperiodcoupon.hpp
@@ -120,7 +120,7 @@ namespace QuantLib {
     //! helper class building a sequence of overnight coupons
     class SubPeriodsLeg {
       public:
-        SubPeriodsLeg(const Schedule &schedule, ext::shared_ptr<IborIndex> index);
+        SubPeriodsLeg(Schedule schedule, ext::shared_ptr<IborIndex> index);
         SubPeriodsLeg& withNotionals(Real notional);
         SubPeriodsLeg& withNotionals(const std::vector<Real>& notionals);
         SubPeriodsLeg& withPaymentDayCounter(const DayCounter&);
diff --git a/ql/experimental/averageois/arithmeticaverageois.cpp b/ql/experimental/averageois/arithmeticaverageois.cpp
index 4e5f235bee5..e779e5a73af 100644
--- a/ql/experimental/averageois/arithmeticaverageois.cpp
+++ b/ql/experimental/averageois/arithmeticaverageois.cpp
@@ -27,11 +27,11 @@ namespace QuantLib {
 
     ArithmeticAverageOIS::ArithmeticAverageOIS(Type type,
                                                Real nominal,
-                                               const Schedule& fixedLegSchedule,
+                                               Schedule fixedLegSchedule,
                                                Rate fixedRate,
                                                DayCounter fixedDC,
                                                ext::shared_ptr<OvernightIndex> overnightIndex,
-                                               const Schedule& overnightLegSchedule,
+                                               Schedule overnightLegSchedule,
                                                Spread spread,
                                                Real meanReversionSpeed,
                                                Real volatility,
@@ -43,16 +43,16 @@ namespace QuantLib {
       overnightIndex_(std::move(overnightIndex)), spread_(spread), byApprox_(byApprox),
       mrs_(meanReversionSpeed), vol_(volatility) {
 
-        initialize(fixedLegSchedule, overnightLegSchedule);
+        initialize(std::move(fixedLegSchedule), std::move(overnightLegSchedule));
     }
 
     ArithmeticAverageOIS::ArithmeticAverageOIS(Type type,
                                                std::vector<Real> nominals,
-                                               const Schedule& fixedLegSchedule,
+                                               Schedule fixedLegSchedule,
                                                Rate fixedRate,
                                                DayCounter fixedDC,
                                                ext::shared_ptr<OvernightIndex> overnightIndex,
-                                               const Schedule& overnightLegSchedule,
+                                               Schedule overnightLegSchedule,
                                                Spread spread,
                                                Real meanReversionSpeed,
                                                Real volatility,
@@ -64,18 +64,18 @@ namespace QuantLib {
       overnightIndex_(std::move(overnightIndex)), spread_(spread), byApprox_(byApprox),
       mrs_(meanReversionSpeed), vol_(volatility) {
 
-        initialize(fixedLegSchedule, overnightLegSchedule);
+        initialize(std::move(fixedLegSchedule), std::move(overnightLegSchedule));
     }
 
-    void ArithmeticAverageOIS::initialize(const Schedule& fixedLegSchedule,
-                                          const Schedule& overnightLegSchedule) {
+    void ArithmeticAverageOIS::initialize(Schedule fixedLegSchedule,
+                                          Schedule overnightLegSchedule) {
         if (fixedDC_==DayCounter())
             fixedDC_ = overnightIndex_->dayCounter();
-        legs_[0] = FixedRateLeg(fixedLegSchedule)
+        legs_[0] = FixedRateLeg(std::move(fixedLegSchedule))
             .withNotionals(nominals_)
             .withCouponRates(fixedRate_, fixedDC_);
 
-        legs_[1] = OvernightLeg(overnightLegSchedule, overnightIndex_)
+        legs_[1] = OvernightLeg(std::move(overnightLegSchedule), overnightIndex_)
             .withNotionals(nominals_)
             .withSpreads(spread_);
 
diff --git a/ql/experimental/averageois/arithmeticaverageois.hpp b/ql/experimental/averageois/arithmeticaverageois.hpp
index 35f4b8f9ab1..7a7f095b709 100644
--- a/ql/experimental/averageois/arithmeticaverageois.hpp
+++ b/ql/experimental/averageois/arithmeticaverageois.hpp
@@ -37,22 +37,22 @@ namespace QuantLib {
       public:
         ArithmeticAverageOIS(Type type,
                              Real nominal,
-                             const Schedule& fixedLegSchedule,
+                             Schedule fixedLegSchedule,
                              Rate fixedRate,
                              DayCounter fixedDC,
                              ext::shared_ptr<OvernightIndex> overnightIndex,
-                             const Schedule& overnightLegSchedule,
+                             Schedule overnightLegSchedule,
                              Spread spread = 0.0,
                              Real meanReversionSpeed = 0.03,
                              Real volatility = 0.00, // NO convexity adjustment by default
                              bool byApprox = false); // TRUE to use Katsumi Takada approximation
         ArithmeticAverageOIS(Type type,
                              std::vector<Real> nominals,
-                             const Schedule& fixedLegSchedule,
+                             Schedule fixedLegSchedule,
                              Rate fixedRate,
                              DayCounter fixedDC,
                              ext::shared_ptr<OvernightIndex> overnightIndex,
-                             const Schedule& overnightLegSchedule,
+                             Schedule overnightLegSchedule,
                              Spread spread = 0.0,
                              Real meanReversionSpeed = 0.03,
                              Real volatility = 0.00, // NO convexity adjustment by default
@@ -88,8 +88,7 @@ namespace QuantLib {
         Spread fairSpread() const;
         //@}
       private:
-        void initialize(const Schedule& fixedLegSchedule,
-                        const Schedule& overnightLegSchedule);
+        void initialize(Schedule fixedLegSchedule, Schedule overnightLegSchedule);
         Type type_;
         std::vector<Real> nominals_;
 
diff --git a/ql/experimental/callablebonds/callablebond.cpp b/ql/experimental/callablebonds/callablebond.cpp
index 2c79bd2ef31..31aa4860d3c 100644
--- a/ql/experimental/callablebonds/callablebond.cpp
+++ b/ql/experimental/callablebonds/callablebond.cpp
@@ -357,7 +357,7 @@ namespace QuantLib {
                                  dayCounter,
                                  compounding,
                                  frequency);
-            
+
         if ( P == 0.0 )
             return 0;
         else
@@ -389,13 +389,13 @@ namespace QuantLib {
                                  dayCounter,
                                  compounding,
                                  frequency);
-            
+
         if ( P == 0.0 )
             return 0;
         else
             {
                 return (Ppp + Pmm - 2*P) / ( std::pow(bump,2) * P);
-            }        
+            }
 
     }
 
@@ -482,7 +482,7 @@ namespace QuantLib {
     CallableFixedRateBond::CallableFixedRateBond(
                               Natural settlementDays,
                               Real faceAmount,
-                              const Schedule& schedule,
+                              Schedule schedule,
                               const std::vector<Rate>& coupons,
                               const DayCounter& accrualDayCounter,
                               BusinessDayConvention paymentConvention,
@@ -499,7 +499,7 @@ namespace QuantLib {
         frequency_ = schedule.hasTenor() ? schedule.tenor().frequency() : NoFrequency;
 
         cashflows_ =
-            FixedRateLeg(schedule)
+            FixedRateLeg(std::move(schedule))
             .withNotionals(faceAmount)
             .withCouponRates(coupons, accrualDayCounter)
             .withPaymentAdjustment(paymentConvention)
@@ -533,4 +533,3 @@ namespace QuantLib {
     }
 
 }
-
diff --git a/ql/experimental/callablebonds/callablebond.hpp b/ql/experimental/callablebonds/callablebond.hpp
index 88fffdbbdab..0cae89effcc 100644
--- a/ql/experimental/callablebonds/callablebond.hpp
+++ b/ql/experimental/callablebonds/callablebond.hpp
@@ -200,7 +200,7 @@ namespace QuantLib {
       public:
         CallableFixedRateBond(Natural settlementDays,
                               Real faceAmount,
-                              const Schedule& schedule,
+                              Schedule schedule,
                               const std::vector<Rate>& coupons,
                               const DayCounter& accrualDayCounter,
                               BusinessDayConvention paymentConvention = Following,
diff --git a/ql/experimental/catbonds/catbond.cpp b/ql/experimental/catbonds/catbond.cpp
index 67c34b14757..76d85f81897 100644
--- a/ql/experimental/catbonds/catbond.cpp
+++ b/ql/experimental/catbonds/catbond.cpp
@@ -45,7 +45,7 @@ namespace QuantLib {
         arguments->notionalRisk = notionalRisk_;
         arguments->startDate = issueDate();
     }
-    
+
     void CatBond::fetchResults(const PricingEngine::results* r) const {
         Bond::fetchResults(r);
 
@@ -59,7 +59,7 @@ namespace QuantLib {
 
     FloatingCatBond::FloatingCatBond(Natural settlementDays,
                                      Real faceAmount,
-                                     const Schedule& schedule,
+                                     Schedule schedule,
                                      const ext::shared_ptr<IborIndex>& iborIndex,
                                      const DayCounter& paymentDayCounter,
                                      const ext::shared_ptr<NotionalRisk>& notionalRisk,
@@ -76,7 +76,7 @@ namespace QuantLib {
 
         maturityDate_ = schedule.endDate();
 
-        cashflows_ = IborLeg(schedule, iborIndex)
+        cashflows_ = IborLeg(std::move(schedule), iborIndex)
             .withNotionals(faceAmount)
             .withPaymentDayCounter(paymentDayCounter)
             .withPaymentAdjustment(paymentConvention)
diff --git a/ql/experimental/catbonds/catbond.hpp b/ql/experimental/catbonds/catbond.hpp
index 878e0bc7fb1..826dd756988 100644
--- a/ql/experimental/catbonds/catbond.hpp
+++ b/ql/experimental/catbonds/catbond.hpp
@@ -94,7 +94,7 @@ namespace QuantLib {
       public:
         FloatingCatBond(Natural settlementDays,
                         Real faceAmount,
-                        const Schedule& schedule,
+                        Schedule schedule,
                         const ext::shared_ptr<IborIndex>& iborIndex,
                         const DayCounter& accrualDayCounter,
                         const ext::shared_ptr<NotionalRisk>& notionalRisk,
diff --git a/ql/experimental/credit/nthtodefault.cpp b/ql/experimental/credit/nthtodefault.cpp
index c8907b11246..71491189328 100644
--- a/ql/experimental/credit/nthtodefault.cpp
+++ b/ql/experimental/credit/nthtodefault.cpp
@@ -32,7 +32,7 @@ namespace QuantLib {
         const ext::shared_ptr<Basket>& basket,
         Size n,
         Protection::Side side,
-        const Schedule& premiumSchedule,
+        Schedule premiumSchedule,
         Rate upfrontRate,
         Rate premiumRate,
         const DayCounter& dayCounter,
@@ -41,19 +41,19 @@ namespace QuantLib {
         )
     : basket_(basket), n_(n),
       side_(side), nominal_(nominal),
-      premiumSchedule_(premiumSchedule), premiumRate_(premiumRate), 
-      upfrontRate_(upfrontRate), 
+      premiumSchedule_(std::move(premiumSchedule)), premiumRate_(premiumRate),
+      upfrontRate_(upfrontRate),
       dayCounter_(dayCounter), settlePremiumAccrual_(settlePremiumAccrual)
     {
-        QL_REQUIRE(n_ <= basket_->size(), 
+        QL_REQUIRE(n_ <= basket_->size(),
                    "NTD order provided is larger than the basket size.");
 
         // Basket inception must lie before contract protection start.
-        QL_REQUIRE(basket->refDate() <= premiumSchedule.startDate(),
+        QL_REQUIRE(basket->refDate() <= premiumSchedule_.startDate(),
             //using the start date of the schedule might be wrong, think of the CDS rule
             "Basket did not exist before contract start.");
 
-        premiumLeg_ = FixedRateLeg(premiumSchedule)
+        premiumLeg_ = FixedRateLeg(premiumSchedule_)
             .withNotionals(nominal)
             .withCouponRates(premiumRate, dayCounter)
             .withPaymentAdjustment(Unadjusted);
@@ -156,4 +156,3 @@ namespace QuantLib {
     }
 
 }
-
diff --git a/ql/experimental/credit/nthtodefault.hpp b/ql/experimental/credit/nthtodefault.hpp
index c73dfed095c..54d880e09b3 100644
--- a/ql/experimental/credit/nthtodefault.hpp
+++ b/ql/experimental/credit/nthtodefault.hpp
@@ -73,12 +73,12 @@ namespace QuantLib {
         class results;
         class engine;
 
-        //! This product is 'digital'; the basket might be tranched but this is 
+        //! This product is 'digital'; the basket might be tranched but this is
         //  not relevant to it.
         NthToDefault(const ext::shared_ptr<Basket>& basket,
                 Size n,
                 Protection::Side side,
-                const Schedule& premiumSchedule,
+                Schedule premiumSchedule,
                 Rate upfrontRate,
                 Rate premiumRate,
                 const DayCounter& dayCounter,
@@ -162,8 +162,8 @@ namespace QuantLib {
     };
 
     //! NTD base engine
-    class NthToDefault::engine : 
-        public GenericEngine<NthToDefault::arguments, 
+    class NthToDefault::engine :
+        public GenericEngine<NthToDefault::arguments,
                              NthToDefault::results> { };
 
 }
diff --git a/ql/experimental/credit/syntheticcdo.cpp b/ql/experimental/credit/syntheticcdo.cpp
index 8d0cdeaadcb..ce6b2d5f7fc 100644
--- a/ql/experimental/credit/syntheticcdo.cpp
+++ b/ql/experimental/credit/syntheticcdo.cpp
@@ -35,7 +35,7 @@ namespace QuantLib {
 
     SyntheticCDO::SyntheticCDO(const ext::shared_ptr<Basket>& basket,
                                Protection::Side side,
-                               const Schedule& schedule,
+                               Schedule schedule,
                                Rate upfrontRate,
                                Rate runningRate,
                                const DayCounter& dayCounter,
@@ -47,24 +47,24 @@ namespace QuantLib {
         QL_REQUIRE(!basket->names().empty(), "basket is empty");
         // Basket inception must lie before contract protection start.
         QL_REQUIRE(basket->refDate() <= schedule.startDate(),
-        //using the start date of the schedule might be wrong, think of the 
+        //using the start date of the schedule might be wrong, think of the
         //  CDS rule
             "Basket did not exist before contract start.");
 
-        // Notice the notional is that of the basket at basket inception, some 
+        // Notice the notional is that of the basket at basket inception, some
         //   names might have defaulted in between
-        normalizedLeg_ = FixedRateLeg(schedule)
+        normalizedLeg_ = FixedRateLeg(std::move(schedule))
             .withNotionals(basket_->trancheNotional() * leverageFactor_)
             .withCouponRates(runningRate, dayCounter)
             .withPaymentAdjustment(paymentConvention);
 
         // Date today = Settings::instance().evaluationDate();
-        
+
         // register with probabilities if the corresponding issuer is, baskets
         //   are not registered with the DTS
         for (Size i = 0; i < basket->names().size(); i++) {
-            /* This turns out to be a problem: depends on today but I am not 
-            modifying the registrations, if we go back in time in the 
+            /* This turns out to be a problem: depends on today but I am not
+            modifying the registrations, if we go back in time in the
             calculations this would left me unregistered to some. Not impossible
             to de-register and register when updating but i am dropping it.
 
@@ -226,14 +226,14 @@ namespace QuantLib {
 
     // untested, not sure this is not messing up, once it comes out of this
     //   the basket model is different.....
-    Real SyntheticCDO::implicitCorrelation(const std::vector<Real>& recoveries, 
-        const Handle<YieldTermStructure>& discountCurve, 
+    Real SyntheticCDO::implicitCorrelation(const std::vector<Real>& recoveries,
+        const Handle<YieldTermStructure>& discountCurve,
         Real targetNPV,
-        Real accuracy) const 
+        Real accuracy) const
     {
         ext::shared_ptr<SimpleQuote> correl(new SimpleQuote(0.0));
 
-        ext::shared_ptr<GaussianLHPLossModel> lhp(new 
+        ext::shared_ptr<GaussianLHPLossModel> lhp(new
             GaussianLHPLossModel(Handle<Quote>(correl), recoveries));
 
         // lock
diff --git a/ql/experimental/credit/syntheticcdo.hpp b/ql/experimental/credit/syntheticcdo.hpp
index 282b0aaa558..8950439298e 100644
--- a/ql/experimental/credit/syntheticcdo.hpp
+++ b/ql/experimental/credit/syntheticcdo.hpp
@@ -42,8 +42,8 @@ namespace QuantLib {
 
     //! Synthetic Collateralized Debt Obligation
     /*!
-      The instrument prices a mezzanine CDO tranche with loss given default 
-      between attachment point \f$ D_1\f$ and detachment point 
+      The instrument prices a mezzanine CDO tranche with loss given default
+      between attachment point \f$ D_1\f$ and detachment point
       \f$ D_2 > D_1 \f$.
 
       For purchased protection, the instrument value is given by the difference
@@ -53,12 +53,12 @@ namespace QuantLib {
 
       The protection leg is priced as follows:
 
-      - Build the probability distribution for volume of defaults \f$ L \f$ 
-      (before recovery) or Loss Given Default \f$ LGD = (1-r)\,L \f$ at 
+      - Build the probability distribution for volume of defaults \f$ L \f$
+      (before recovery) or Loss Given Default \f$ LGD = (1-r)\,L \f$ at
       times/dates \f$ t_i, i=1, ..., N\f$ (premium schedule times with
       intermediate steps)
 
-      - Determine the expected value 
+      - Determine the expected value
       \f$ E_i = E_{t_i}\,\left[Pay(LGD)\right] \f$
       of the protection payoff \f$ Pay(LGD) \f$  at each time \f$ t_i\f$ where
       \f[
@@ -76,7 +76,7 @@ namespace QuantLib {
       where \f$ d_i\f$ is the discount factor at time/date \f$ t_i \f$
 
       The premium is paid on the protected notional amount, initially
-      \f$ D_2 - D_1. \f$ This notional amount is reduced by the expected 
+      \f$ D_2 - D_1. \f$ This notional amount is reduced by the expected
       protection
       payments \f$ E_i \f$ at times \f$ t_i, \f$ so that the premium value is
       calculated as
@@ -117,7 +117,7 @@ namespace QuantLib {
         */
         SyntheticCDO (const ext::shared_ptr<Basket>& basket,
                       Protection::Side side,
-                      const Schedule& schedule,
+                      Schedule schedule,
                       Rate upfrontRate,
                       Rate runningRate,
                       const DayCounter& dayCounter,
@@ -137,7 +137,7 @@ namespace QuantLib {
           Total outstanding tranche notional, not wiped out
         */
         Real remainingNotional() const;
-        /*! The number of times the contract contains the portfolio tranched 
+        /*! The number of times the contract contains the portfolio tranched
                 notional.
         */
         Real leverageFactor() const {
@@ -148,12 +148,12 @@ namespace QuantLib {
             return ext::dynamic_pointer_cast<FixedRateCoupon>(
                 normalizedLeg_.back())->accrualEndDate();
         }
-        /*! The Gaussian Copula LHP implied correlation that makes the 
+        /*! The Gaussian Copula LHP implied correlation that makes the
             contract zero value. This is for a flat correlation along
             time and portfolio loss level.
         */
         Real implicitCorrelation(const std::vector<Real>& recoveries,
-            const Handle<YieldTermStructure>& discountCurve, 
+            const Handle<YieldTermStructure>& discountCurve,
             Real targetNPV = 0.,
             Real accuracy = 1.0e-3) const;
 
@@ -222,8 +222,8 @@ namespace QuantLib {
 
 
     //! CDO base engine
-    class SyntheticCDO::engine : 
-        public GenericEngine<SyntheticCDO::arguments, 
+    class SyntheticCDO::engine :
+        public GenericEngine<SyntheticCDO::arguments,
                              SyntheticCDO::results> { };
 
 }
diff --git a/ql/instruments/assetswap.cpp b/ql/instruments/assetswap.cpp
index 1a30c42d5c6..c3465434cd0 100644
--- a/ql/instruments/assetswap.cpp
+++ b/ql/instruments/assetswap.cpp
@@ -166,21 +166,21 @@ namespace QuantLib {
                          Real bondCleanPrice,
                          const ext::shared_ptr<IborIndex>& iborIndex,
                          Spread spread,
-                         const Schedule& floatSchedule,
+                         Schedule floatSchedule,
                          const DayCounter& floatingDayCounter,
                          bool parSwap)
     : Swap(2), bond_(std::move(bond)), bondCleanPrice_(bondCleanPrice), nonParRepayment_(100),
       spread_(spread), parSwap_(parSwap) {
-        Schedule schedule = floatSchedule;
-        if (floatSchedule.empty())
-            schedule = Schedule(bond_->settlementDate(),
-                                bond_->maturityDate(),
-                                iborIndex->tenor(),
-                                iborIndex->fixingCalendar(),
-                                iborIndex->businessDayConvention(),
-                                iborIndex->businessDayConvention(),
-                                DateGeneration::Backward,
-                                false); // endOfMonth
+        Schedule schedule = floatSchedule.empty()
+            ? Schedule(bond_->settlementDate(),
+                       bond_->maturityDate(),
+                       iborIndex->tenor(),
+                       iborIndex->fixingCalendar(),
+                       iborIndex->businessDayConvention(),
+                       iborIndex->businessDayConvention(),
+                       DateGeneration::Backward,
+                       false) // endOfMonth
+            : std::move(floatSchedule);
 
         // the following might become an input parameter
         BusinessDayConvention paymentAdjustment = Following;
@@ -210,12 +210,12 @@ namespace QuantLib {
             notional *= dirtyPrice/100.0;
 
         if (floatingDayCounter==DayCounter())
-            legs_[1] = IborLeg(schedule, iborIndex)
+            legs_[1] = IborLeg(std::move(schedule), iborIndex)
                 .withNotionals(notional)
                 .withPaymentAdjustment(paymentAdjustment)
                 .withSpreads(spread);
         else
-            legs_[1] = IborLeg(schedule, iborIndex)
+            legs_[1] = IborLeg(std::move(schedule), iborIndex)
                 .withNotionals(notional)
                 .withPaymentDayCounter(floatingDayCounter)
                 .withPaymentAdjustment(paymentAdjustment)
@@ -372,7 +372,7 @@ namespace QuantLib {
             QL_REQUIRE(endDiscounts_[1]!=Null<DiscountFactor>(),
                        "fair non par repayment not available for expired leg");
             Real notional = bond_->notional(upfrontDate_);
-            fairNonParRepayment_ = nonParRepayment_ - payer_[0] * 
+            fairNonParRepayment_ = nonParRepayment_ - payer_[0] *
                 NPV_*npvDateDiscount_/endDiscounts_[1]/(notional/100.0);
             return fairNonParRepayment_;
         }
diff --git a/ql/instruments/assetswap.hpp b/ql/instruments/assetswap.hpp
index f8a1bf79474..3a7df5e9e59 100644
--- a/ql/instruments/assetswap.hpp
+++ b/ql/instruments/assetswap.hpp
@@ -58,7 +58,7 @@ namespace QuantLib {
                   Real bondCleanPrice,
                   const ext::shared_ptr<IborIndex>& iborIndex,
                   Spread spread,
-                  const Schedule& floatSchedule = Schedule(),
+                  Schedule floatSchedule = Schedule(),
                   const DayCounter& floatingDayCount = DayCounter(),
                   bool parAssetSwap = true);
 
diff --git a/ql/instruments/bmaswap.cpp b/ql/instruments/bmaswap.cpp
index 73cbcfc4f47..dc58cd36858 100644
--- a/ql/instruments/bmaswap.cpp
+++ b/ql/instruments/bmaswap.cpp
@@ -27,13 +27,13 @@ namespace QuantLib {
     BMASwap::BMASwap(Type type,
                      Real nominal,
                      // Libor leg
-                     const Schedule& liborSchedule,
+                     Schedule liborSchedule,
                      Real liborFraction,
                      Spread liborSpread,
                      const ext::shared_ptr<IborIndex>& liborIndex,
                      const DayCounter& liborDayCount,
                      // BMA leg
-                     const Schedule& bmaSchedule,
+                     Schedule bmaSchedule,
                      const ext::shared_ptr<BMAIndex>& bmaIndex,
                      const DayCounter& bmaDayCount)
     : Swap(2), type_(type), nominal_(nominal),
@@ -42,7 +42,7 @@ namespace QuantLib {
         BusinessDayConvention convention =
             liborSchedule.businessDayConvention();
 
-        legs_[0] = IborLeg(liborSchedule, liborIndex)
+        legs_[0] = IborLeg(std::move(liborSchedule), liborIndex)
             .withNotionals(nominal)
             .withPaymentDayCounter(liborDayCount)
             .withPaymentAdjustment(convention)
@@ -50,10 +50,12 @@ namespace QuantLib {
             .withGearings(liborFraction)
             .withSpreads(liborSpread);
 
-        legs_[1] = AverageBMALeg(bmaSchedule, bmaIndex)
+        auto bmaConvention = bmaSchedule.businessDayConvention();
+
+        legs_[1] = AverageBMALeg(std::move(bmaSchedule), bmaIndex)
             .withNotionals(nominal)
             .withPaymentDayCounter(bmaDayCount)
-            .withPaymentAdjustment(bmaSchedule.businessDayConvention());
+            .withPaymentAdjustment(bmaConvention);
 
         for (Size j=0; j<2; ++j) {
             for (auto& i : legs_[j])
diff --git a/ql/instruments/bmaswap.hpp b/ql/instruments/bmaswap.hpp
index 4bcc1aaff67..0cf07f511f5 100644
--- a/ql/instruments/bmaswap.hpp
+++ b/ql/instruments/bmaswap.hpp
@@ -40,13 +40,13 @@ namespace QuantLib {
         BMASwap(Type type,
                 Real nominal,
                 // Libor leg
-                const Schedule& liborSchedule,
+                Schedule liborSchedule,
                 Rate liborFraction,
                 Rate liborSpread,
                 const ext::shared_ptr<IborIndex>& liborIndex,
                 const DayCounter& liborDayCount,
                 // BMA leg
-                const Schedule& bmaSchedule,
+                Schedule bmaSchedule,
                 const ext::shared_ptr<BMAIndex>& bmaIndex,
                 const DayCounter& bmaDayCount);
 
@@ -82,4 +82,3 @@ namespace QuantLib {
 }
 
 #endif
-
diff --git a/ql/instruments/bonds/amortizingcmsratebond.cpp b/ql/instruments/bonds/amortizingcmsratebond.cpp
index ae6945c9f2f..93439a0634c 100644
--- a/ql/instruments/bonds/amortizingcmsratebond.cpp
+++ b/ql/instruments/bonds/amortizingcmsratebond.cpp
@@ -28,7 +28,7 @@ namespace QuantLib {
     AmortizingCmsRateBond::AmortizingCmsRateBond(
                                     Natural settlementDays,
                                     const std::vector<Real>& notionals,
-                                    const Schedule& schedule,
+                                    Schedule schedule,
                                     const ext::shared_ptr<SwapIndex>& index,
                                     const DayCounter& paymentDayCounter,
                                     BusinessDayConvention paymentConvention,
@@ -44,7 +44,7 @@ namespace QuantLib {
 
         maturityDate_ = schedule.endDate();
 
-        cashflows_ = CmsLeg(schedule, index)
+        cashflows_ = CmsLeg(std::move(schedule), index)
             .withNotionals(notionals)
             .withPaymentDayCounter(paymentDayCounter)
             .withPaymentAdjustment(paymentConvention)
diff --git a/ql/instruments/bonds/amortizingcmsratebond.hpp b/ql/instruments/bonds/amortizingcmsratebond.hpp
index 2c9560e2427..479db3a6252 100644
--- a/ql/instruments/bonds/amortizingcmsratebond.hpp
+++ b/ql/instruments/bonds/amortizingcmsratebond.hpp
@@ -37,7 +37,7 @@ namespace QuantLib {
         AmortizingCmsRateBond(
                     Natural settlementDays,
                     const std::vector<Real>& notionals,
-                    const Schedule& schedule,
+                    Schedule schedule,
                     const ext::shared_ptr<SwapIndex>& index,
                     const DayCounter& paymentDayCounter,
                     BusinessDayConvention paymentConvention = Following,
diff --git a/ql/instruments/bonds/amortizingfixedratebond.cpp b/ql/instruments/bonds/amortizingfixedratebond.cpp
index 7db51718b8e..70e46dee7a3 100644
--- a/ql/instruments/bonds/amortizingfixedratebond.cpp
+++ b/ql/instruments/bonds/amortizingfixedratebond.cpp
@@ -27,7 +27,7 @@ namespace QuantLib {
     AmortizingFixedRateBond::AmortizingFixedRateBond(
                                       Natural settlementDays,
                                       const std::vector<Real>& notionals,
-                                      const Schedule& schedule,
+                                      Schedule schedule,
                                       const std::vector<Rate>& coupons,
                                       const DayCounter& accrualDayCounter,
                                       BusinessDayConvention paymentConvention,
@@ -44,7 +44,7 @@ namespace QuantLib {
 
         maturityDate_ = schedule.endDate();
 
-        cashflows_ = FixedRateLeg(schedule)
+        cashflows_ = FixedRateLeg(std::move(schedule))
             .withNotionals(notionals)
             .withCouponRates(coupons, accrualDayCounter)
             .withPaymentAdjustment(paymentConvention)
diff --git a/ql/instruments/bonds/amortizingfixedratebond.hpp b/ql/instruments/bonds/amortizingfixedratebond.hpp
index 73e216ee022..4d36e4e4142 100644
--- a/ql/instruments/bonds/amortizingfixedratebond.hpp
+++ b/ql/instruments/bonds/amortizingfixedratebond.hpp
@@ -36,7 +36,7 @@ namespace QuantLib {
       public:
         AmortizingFixedRateBond(Natural settlementDays,
                                 const std::vector<Real>& notionals,
-                                const Schedule& schedule,
+                                Schedule schedule,
                                 const std::vector<Rate>& coupons,
                                 const DayCounter& accrualDayCounter,
                                 BusinessDayConvention paymentConvention = Following,
diff --git a/ql/instruments/bonds/amortizingfloatingratebond.cpp b/ql/instruments/bonds/amortizingfloatingratebond.cpp
index d79aa9fa5fc..e468e369433 100644
--- a/ql/instruments/bonds/amortizingfloatingratebond.cpp
+++ b/ql/instruments/bonds/amortizingfloatingratebond.cpp
@@ -28,7 +28,7 @@ namespace QuantLib {
     AmortizingFloatingRateBond::AmortizingFloatingRateBond(
                                     Natural settlementDays,
                                     const std::vector<Real>& notionals,
-                                    const Schedule& schedule,
+                                    Schedule schedule,
                                     const ext::shared_ptr<IborIndex>& index,
                                     const DayCounter& paymentDayCounter,
                                     BusinessDayConvention paymentConvention,
@@ -49,7 +49,7 @@ namespace QuantLib {
 
         maturityDate_ = schedule.endDate();
 
-        cashflows_ = IborLeg(schedule, index)
+        cashflows_ = IborLeg(std::move(schedule), index)
             .withNotionals(notionals)
             .withPaymentDayCounter(paymentDayCounter)
             .withPaymentAdjustment(paymentConvention)
diff --git a/ql/instruments/bonds/amortizingfloatingratebond.hpp b/ql/instruments/bonds/amortizingfloatingratebond.hpp
index ec0de9f4644..280af19ef8e 100644
--- a/ql/instruments/bonds/amortizingfloatingratebond.hpp
+++ b/ql/instruments/bonds/amortizingfloatingratebond.hpp
@@ -36,7 +36,7 @@ namespace QuantLib {
       public:
         AmortizingFloatingRateBond(Natural settlementDays,
                                    const std::vector<Real>& notional,
-                                   const Schedule& schedule,
+                                   Schedule schedule,
                                    const ext::shared_ptr<IborIndex>& index,
                                    const DayCounter& accrualDayCounter,
                                    BusinessDayConvention paymentConvention = Following,
@@ -54,7 +54,7 @@ namespace QuantLib {
                                    const std::vector<Real>& redemptions = { 100.0 },
                                    Integer paymentLag = 0);
     };
-  
+
 }
 
 #endif
diff --git a/ql/instruments/bonds/cmsratebond.cpp b/ql/instruments/bonds/cmsratebond.cpp
index dc5c80da29e..64e3372d2d8 100644
--- a/ql/instruments/bonds/cmsratebond.cpp
+++ b/ql/instruments/bonds/cmsratebond.cpp
@@ -30,7 +30,7 @@ namespace QuantLib {
     CmsRateBond::CmsRateBond(
                            Natural settlementDays,
                            Real faceAmount,
-                           const Schedule& schedule,
+                           Schedule schedule,
                            const ext::shared_ptr<SwapIndex>& index,
                            const DayCounter& paymentDayCounter,
                            BusinessDayConvention paymentConvention,
@@ -46,7 +46,7 @@ namespace QuantLib {
 
         maturityDate_ = schedule.endDate();
 
-        cashflows_ = CmsLeg(schedule, index)
+        cashflows_ = CmsLeg(std::move(schedule), index)
             .withNotionals(faceAmount)
             .withPaymentDayCounter(paymentDayCounter)
             .withPaymentAdjustment(paymentConvention)
diff --git a/ql/instruments/bonds/cmsratebond.hpp b/ql/instruments/bonds/cmsratebond.hpp
index 891ab8d03d9..7c28387299e 100644
--- a/ql/instruments/bonds/cmsratebond.hpp
+++ b/ql/instruments/bonds/cmsratebond.hpp
@@ -42,7 +42,7 @@ namespace QuantLib {
       public:
         CmsRateBond(Natural settlementDays,
                     Real faceAmount,
-                    const Schedule& schedule,
+                    Schedule schedule,
                     const ext::shared_ptr<SwapIndex>& index,
                     const DayCounter& paymentDayCounter,
                     BusinessDayConvention paymentConvention = Following,
diff --git a/ql/instruments/bonds/cpibond.cpp b/ql/instruments/bonds/cpibond.cpp
index 25ed57eb1b2..d86161a3d2e 100644
--- a/ql/instruments/bonds/cpibond.cpp
+++ b/ql/instruments/bonds/cpibond.cpp
@@ -40,7 +40,7 @@ namespace QuantLib {
                      const Period& observationLag,
                      ext::shared_ptr<ZeroInflationIndex> cpiIndex,
                      CPI::InterpolationType observationInterpolation,
-                     const Schedule& schedule,
+                     Schedule schedule,
                      const std::vector<Rate>& fixedRate,
                      const DayCounter& accrualDayCounter,
                      BusinessDayConvention paymentConvention,
@@ -60,7 +60,7 @@ namespace QuantLib {
         maturityDate_ = schedule.endDate();
 
         // a CPIleg know about zero legs and inclusion of base inflation notional
-        cashflows_ = CPILeg(schedule, cpiIndex_,
+        cashflows_ = CPILeg(std::move(schedule), cpiIndex_,
                             baseCPI_, observationLag_)
             .withNotionals(faceAmount)
             .withFixedRates(fixedRate)
@@ -86,4 +86,3 @@ namespace QuantLib {
         }
     }
 }
-
diff --git a/ql/instruments/bonds/cpibond.hpp b/ql/instruments/bonds/cpibond.hpp
index 3119da5890f..8980257c450 100644
--- a/ql/instruments/bonds/cpibond.hpp
+++ b/ql/instruments/bonds/cpibond.hpp
@@ -49,7 +49,7 @@ namespace QuantLib {
                 const Period& observationLag,
                 ext::shared_ptr<ZeroInflationIndex> cpiIndex,
                 CPI::InterpolationType observationInterpolation,
-                const Schedule& schedule,
+                Schedule schedule,
                 const std::vector<Rate>& coupons,
                 const DayCounter& accrualDayCounter,
                 BusinessDayConvention paymentConvention = ModifiedFollowing,
diff --git a/ql/instruments/bonds/fixedratebond.cpp b/ql/instruments/bonds/fixedratebond.cpp
index 6fe103786d6..aa7bf2d71ba 100644
--- a/ql/instruments/bonds/fixedratebond.cpp
+++ b/ql/instruments/bonds/fixedratebond.cpp
@@ -30,7 +30,7 @@ namespace QuantLib {
 
     FixedRateBond::FixedRateBond(Natural settlementDays,
                                  Real faceAmount,
-                                 const Schedule& schedule,
+                                 Schedule schedule,
                                  const std::vector<Rate>& coupons,
                                  const DayCounter& accrualDayCounter,
                                  BusinessDayConvention paymentConvention,
@@ -51,7 +51,7 @@ namespace QuantLib {
 
         maturityDate_ = schedule.endDate();
 
-        cashflows_ = FixedRateLeg(schedule)
+        cashflows_ = FixedRateLeg(std::move(schedule))
             .withNotionals(faceAmount)
             .withCouponRates(coupons, accrualDayCounter)
             .withFirstPeriodDayCounter(firstPeriodDayCounter)
diff --git a/ql/instruments/bonds/fixedratebond.hpp b/ql/instruments/bonds/fixedratebond.hpp
index 20a8dec9f4a..2e187498127 100644
--- a/ql/instruments/bonds/fixedratebond.hpp
+++ b/ql/instruments/bonds/fixedratebond.hpp
@@ -48,7 +48,7 @@ namespace QuantLib {
         //! simple annual compounding coupon rates
         FixedRateBond(Natural settlementDays,
                       Real faceAmount,
-                      const Schedule& schedule,
+                      Schedule schedule,
                       const std::vector<Rate>& coupons,
                       const DayCounter& accrualDayCounter,
                       BusinessDayConvention paymentConvention = Following,
diff --git a/ql/instruments/bonds/floatingratebond.cpp b/ql/instruments/bonds/floatingratebond.cpp
index eee8fd32858..c27098cce97 100644
--- a/ql/instruments/bonds/floatingratebond.cpp
+++ b/ql/instruments/bonds/floatingratebond.cpp
@@ -30,7 +30,7 @@ namespace QuantLib {
     FloatingRateBond::FloatingRateBond(
                            Natural settlementDays,
                            Real faceAmount,
-                           const Schedule& schedule,
+                           Schedule schedule,
                            const ext::shared_ptr<IborIndex>& iborIndex,
                            const DayCounter& paymentDayCounter,
                            BusinessDayConvention paymentConvention,
@@ -50,7 +50,7 @@ namespace QuantLib {
 
         maturityDate_ = schedule.endDate();
 
-        cashflows_ = IborLeg(schedule, iborIndex)
+        cashflows_ = IborLeg(std::move(schedule), iborIndex)
             .withNotionals(faceAmount)
             .withPaymentDayCounter(paymentDayCounter)
             .withPaymentAdjustment(paymentConvention)
diff --git a/ql/instruments/bonds/floatingratebond.hpp b/ql/instruments/bonds/floatingratebond.hpp
index 4e78b8719bc..30e76e19dbe 100644
--- a/ql/instruments/bonds/floatingratebond.hpp
+++ b/ql/instruments/bonds/floatingratebond.hpp
@@ -43,7 +43,7 @@ namespace QuantLib {
       public:
         FloatingRateBond(Natural settlementDays,
                          Real faceAmount,
-                         const Schedule& schedule,
+                         Schedule schedule,
                          const ext::shared_ptr<IborIndex>& iborIndex,
                          const DayCounter& accrualDayCounter,
                          BusinessDayConvention paymentConvention = Following,
diff --git a/ql/instruments/equitytotalreturnswap.cpp b/ql/instruments/equitytotalreturnswap.cpp
index c217d858e85..4af145db7d9 100644
--- a/ql/instruments/equitytotalreturnswap.cpp
+++ b/ql/instruments/equitytotalreturnswap.cpp
@@ -49,7 +49,7 @@ namespace QuantLib {
         }
 
         template <typename IndexType, typename LegType>
-        Leg createInterestLeg(const Schedule& schedule,
+        Leg createInterestLeg(Schedule schedule,
                               const ext::shared_ptr<IndexType>& interestRateIndex,
                               Real nominal,
                               const DayCounter& dayCounter,
@@ -58,7 +58,7 @@ namespace QuantLib {
                               const Calendar& paymentCalendar,
                               BusinessDayConvention paymentConvention,
                               Natural paymentDelay) {
-            return LegType(schedule, interestRateIndex)
+            return LegType(std::move(schedule), interestRateIndex)
                 .withNotionals(nominal)
                 .withPaymentDayCounter(dayCounter)
                 .withSpreads(margin)
@@ -121,14 +121,14 @@ namespace QuantLib {
                                                  Natural paymentDelay)
     : EquityTotalReturnSwap(std::move(equityIndex),
                             interestRateIndex,
-                            type, 
-                            nominal, 
-                            std::move(schedule), 
+                            type,
+                            nominal,
+                            std::move(schedule),
                             std::move(dayCounter),
                             margin,
                             gearing,
                             std::move(paymentCalendar),
-                            paymentConvention, 
+                            paymentConvention,
                             paymentDelay) {
         legs_[1] = createInterestLeg<IborIndex, IborLeg>(
             schedule_, interestRateIndex, nominal_, dayCounter_, margin_, gearing_,
@@ -150,14 +150,14 @@ namespace QuantLib {
                                                  Natural paymentDelay)
     : EquityTotalReturnSwap(std::move(equityIndex),
                             interestRateIndex,
-                            type, 
-                            nominal, 
-                            std::move(schedule), 
+                            type,
+                            nominal,
+                            std::move(schedule),
                             std::move(dayCounter),
                             margin,
                             gearing,
                             std::move(paymentCalendar),
-                            paymentConvention, 
+                            paymentConvention,
                             paymentDelay) {
         legs_[1] = createInterestLeg<OvernightIndex, OvernightLeg>(
             schedule_, interestRateIndex, nominal_, dayCounter_, margin_, gearing_,
@@ -192,4 +192,4 @@ namespace QuantLib {
         Real exMarginInterestLegNpv = interestRateLegNPV() - margin() * interestLegBps;
         return -(equityLegNPV() + exMarginInterestLegNpv) / interestLegBps;
     }
-}
\ No newline at end of file
+}
diff --git a/ql/instruments/floatfloatswap.cpp b/ql/instruments/floatfloatswap.cpp
index 1df6a850143..67048ab8dcd 100644
--- a/ql/instruments/floatfloatswap.cpp
+++ b/ql/instruments/floatfloatswap.cpp
@@ -37,10 +37,10 @@ namespace QuantLib {
     FloatFloatSwap::FloatFloatSwap(const Swap::Type type,
                                    const Real nominal1,
                                    const Real nominal2,
-                                   const Schedule& schedule1,
+                                   Schedule schedule1,
                                    ext::shared_ptr<InterestRateIndex> index1,
                                    DayCounter dayCount1,
-                                   const Schedule& schedule2,
+                                   Schedule schedule2,
                                    ext::shared_ptr<InterestRateIndex> index2,
                                    DayCounter dayCount2,
                                    const bool intermediateCapitalExchange,
@@ -56,16 +56,17 @@ namespace QuantLib {
                                    const ext::optional<BusinessDayConvention>& paymentConvention1,
                                    const ext::optional<BusinessDayConvention>& paymentConvention2)
     : Swap(2), type_(type), nominal1_(std::vector<Real>(schedule1.size() - 1, nominal1)),
-      nominal2_(std::vector<Real>(schedule2.size() - 1, nominal2)), schedule1_(schedule1),
-      schedule2_(schedule2), index1_(std::move(index1)), index2_(std::move(index2)),
-      gearing1_(std::vector<Real>(schedule1.size() - 1, gearing1)),
-      gearing2_(std::vector<Real>(schedule2.size() - 1, gearing2)),
-      spread1_(std::vector<Real>(schedule1.size() - 1, spread1)),
-      spread2_(std::vector<Real>(schedule2.size() - 1, spread2)),
-      cappedRate1_(std::vector<Real>(schedule1.size() - 1, cappedRate1)),
-      flooredRate1_(std::vector<Real>(schedule1.size() - 1, flooredRate1)),
-      cappedRate2_(std::vector<Real>(schedule2.size() - 1, cappedRate2)),
-      flooredRate2_(std::vector<Real>(schedule2.size() - 1, flooredRate2)),
+      nominal2_(std::vector<Real>(schedule2.size() - 1, nominal2)),
+      schedule1_(std::move(schedule1)), schedule2_(std::move(schedule2)),
+      index1_(std::move(index1)), index2_(std::move(index2)),
+      gearing1_(std::vector<Real>(schedule1_.size() - 1, gearing1)),
+      gearing2_(std::vector<Real>(schedule2_.size() - 1, gearing2)),
+      spread1_(std::vector<Real>(schedule1_.size() - 1, spread1)),
+      spread2_(std::vector<Real>(schedule2_.size() - 1, spread2)),
+      cappedRate1_(std::vector<Real>(schedule1_.size() - 1, cappedRate1)),
+      flooredRate1_(std::vector<Real>(schedule1_.size() - 1, flooredRate1)),
+      cappedRate2_(std::vector<Real>(schedule2_.size() - 1, cappedRate2)),
+      flooredRate2_(std::vector<Real>(schedule2_.size() - 1, flooredRate2)),
       dayCount1_(std::move(dayCount1)), dayCount2_(std::move(dayCount2)),
       intermediateCapitalExchange_(intermediateCapitalExchange),
       finalCapitalExchange_(finalCapitalExchange) {
diff --git a/ql/instruments/floatfloatswap.hpp b/ql/instruments/floatfloatswap.hpp
index 8b8419ecba2..86b6ae291e8 100644
--- a/ql/instruments/floatfloatswap.hpp
+++ b/ql/instruments/floatfloatswap.hpp
@@ -49,10 +49,10 @@ namespace QuantLib {
             Swap::Type type,
             Real nominal1,
             Real nominal2,
-            const Schedule& schedule1,
+            Schedule schedule1,
             ext::shared_ptr<InterestRateIndex> index1,
             DayCounter dayCount1,
-            const Schedule& schedule2,
+            Schedule schedule2,
             ext::shared_ptr<InterestRateIndex> index2,
             DayCounter dayCount2,
             bool intermediateCapitalExchange = false,
diff --git a/ql/instruments/overnightindexedswap.cpp b/ql/instruments/overnightindexedswap.cpp
index cec53b50fae..1554d4bf475 100644
--- a/ql/instruments/overnightindexedswap.cpp
+++ b/ql/instruments/overnightindexedswap.cpp
@@ -29,7 +29,7 @@ namespace QuantLib {
 
     OvernightIndexedSwap::OvernightIndexedSwap(Type type,
                                                Real nominal,
-                                               const Schedule& schedule,
+                                               Schedule schedule,
                                                Rate fixedRate,
                                                DayCounter fixedDC,
                                                const ext::shared_ptr<OvernightIndex>& overnightIndex,
@@ -41,7 +41,7 @@ namespace QuantLib {
                                                RateAveraging::Type averagingMethod)
     : OvernightIndexedSwap(type,
                            std::vector<Real>(1, nominal),
-                           schedule,
+                           std::move(schedule),
                            fixedRate,
                            std::move(fixedDC),
                            overnightIndex,
@@ -54,7 +54,7 @@ namespace QuantLib {
 
     OvernightIndexedSwap::OvernightIndexedSwap(Type type,
                                                const std::vector<Real>& nominals,
-                                               const Schedule& schedule,
+                                               Schedule schedule,
                                                Rate fixedRate,
                                                DayCounter fixedDC,
                                                const ext::shared_ptr<OvernightIndex>& overnightIndex,
@@ -81,10 +81,10 @@ namespace QuantLib {
 
     OvernightIndexedSwap::OvernightIndexedSwap(Type type,
                                                Real nominal,
-                                               const Schedule& fixedSchedule,
+                                               Schedule fixedSchedule,
                                                Rate fixedRate,
                                                DayCounter fixedDC,
-                                               const Schedule& overnightSchedule,
+                                               Schedule overnightSchedule,
                                                const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                                Spread spread,
                                                Integer paymentLag,
@@ -94,11 +94,11 @@ namespace QuantLib {
                                                RateAveraging::Type averagingMethod)
     : OvernightIndexedSwap(type,
                            std::vector<Real>(1, nominal),
-                           fixedSchedule,
+                           std::move(fixedSchedule),
                            fixedRate,
                            std::move(fixedDC),
                            std::vector<Real>(1, nominal),
-                           overnightSchedule,
+                           std::move(overnightSchedule),
                            overnightIndex,
                            spread,
                            paymentLag,
@@ -113,7 +113,7 @@ namespace QuantLib {
                                                Rate fixedRate,
                                                DayCounter fixedDC,
                                                const std::vector<Real>& overnightNominals,
-                                               const Schedule& overnightSchedule,
+                                               Schedule overnightSchedule,
                                                const ext::shared_ptr<OvernightIndex>& overnightIndex,
                                                Spread spread,
                                                Integer paymentLag,
@@ -122,19 +122,18 @@ namespace QuantLib {
                                                bool telescopicValueDates,
                                                RateAveraging::Type averagingMethod)
     : FixedVsFloatingSwap(type, std::move(fixedNominals), std::move(fixedSchedule), fixedRate, std::move(fixedDC),
-                          overnightNominals, overnightSchedule, overnightIndex,
+                          overnightNominals, std::move(overnightSchedule), overnightIndex,
                           spread, DayCounter(), ext::nullopt, paymentLag, paymentCalendar),
-      overnightIndex_(overnightIndex), averagingMethod_(averagingMethod) {
-
+                          overnightIndex_(overnightIndex), averagingMethod_(averagingMethod) {
         legs_[1] =
-            OvernightLeg(overnightSchedule, overnightIndex_)
+            OvernightLeg(floatingSchedule(), overnightIndex_)
                 .withNotionals(overnightNominals)
                 .withSpreads(spread)
                 .withTelescopicValueDates(telescopicValueDates)
                 .withPaymentLag(paymentLag)
                 .withPaymentAdjustment(paymentAdjustment)
                 .withPaymentCalendar(paymentCalendar.empty() ?
-                                     overnightSchedule.calendar() :
+                                     floatingSchedule().calendar() :
                                      paymentCalendar)
                 .withAveragingMethod(averagingMethod_);
     }
diff --git a/ql/instruments/overnightindexedswap.hpp b/ql/instruments/overnightindexedswap.hpp
index d44fa2324e8..89ce778f613 100644
--- a/ql/instruments/overnightindexedswap.hpp
+++ b/ql/instruments/overnightindexedswap.hpp
@@ -43,7 +43,7 @@ namespace QuantLib {
       public:
         OvernightIndexedSwap(Type type,
                              Real nominal,
-                             const Schedule& schedule,
+                             Schedule schedule,
                              Rate fixedRate,
                              DayCounter fixedDC,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,
@@ -56,7 +56,7 @@ namespace QuantLib {
 
         OvernightIndexedSwap(Type type,
                              const std::vector<Real>& nominals,
-                             const Schedule& schedule,
+                             Schedule schedule,
                              Rate fixedRate,
                              DayCounter fixedDC,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,
@@ -69,10 +69,10 @@ namespace QuantLib {
 
         OvernightIndexedSwap(Type type,
                              Real nominal,
-                             const Schedule& fixedSchedule,
+                             Schedule fixedSchedule,
                              Rate fixedRate,
                              DayCounter fixedDC,
-                             const Schedule& overnightSchedule,
+                             Schedule overnightSchedule,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,
                              Spread spread = 0.0,
                              Integer paymentLag = 0,
@@ -87,7 +87,7 @@ namespace QuantLib {
                              Rate fixedRate,
                              DayCounter fixedDC,
                              const std::vector<Real>& overnightNominals,
-                             const Schedule& overnightSchedule,
+                             Schedule overnightSchedule,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,
                              Spread spread = 0.0,
                              Integer paymentLag = 0,
diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
index 314d6872a69..a90098b3b2a 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp
@@ -198,19 +198,19 @@ namespace QuantLib {
         BlackCalibrationHelper::performCalculations();
     }
 
-    ext::shared_ptr<FixedVsFloatingSwap> SwaptionHelper::makeSwap(const Schedule& fixedSchedule,
-                                                                  const Schedule& floatSchedule,
+    ext::shared_ptr<FixedVsFloatingSwap> SwaptionHelper::makeSwap(Schedule fixedSchedule,
+                                                                  Schedule floatSchedule,
                                                                   Rate exerciseRate,
                                                                   Swap::Type type) const {
         auto onIndex = ext::dynamic_pointer_cast<OvernightIndex>(index_);
         if (onIndex) {
             return ext::make_shared<OvernightIndexedSwap>(
-                type, nominal_, fixedSchedule, exerciseRate, fixedLegDayCounter_,
-                floatSchedule, onIndex, 0.0, 0, Following,
+                type, nominal_, std::move(fixedSchedule), exerciseRate, fixedLegDayCounter_,
+                std::move(floatSchedule), onIndex, 0.0, 0, Following,
                 Calendar(), true, averagingMethod_);
         } else {
-            return ext::make_shared<VanillaSwap>(type, nominal_, fixedSchedule, exerciseRate,
-                                                 fixedLegDayCounter_, floatSchedule, index_, 0.0,
+            return ext::make_shared<VanillaSwap>(type, nominal_, std::move(fixedSchedule), exerciseRate,
+                                                 fixedLegDayCounter_, std::move(floatSchedule), index_, 0.0,
                                                  floatingLegDayCounter_);
         }
     }
diff --git a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
index 8d037d37c44..92276c8e2c6 100644
--- a/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
+++ b/ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp
@@ -111,8 +111,8 @@ namespace QuantLib {
 
       private:
         void performCalculations() const override;
-        ext::shared_ptr<FixedVsFloatingSwap> makeSwap(const Schedule& fixedSchedule,
-                                                      const Schedule& floatSchedule,
+        ext::shared_ptr<FixedVsFloatingSwap> makeSwap(Schedule fixedSchedule,
+                                                      Schedule floatSchedule,
                                                       Rate exerciseRate,
                                                       Swap::Type type) const;
         mutable Date exerciseDate_, endDate_;
diff --git a/ql/termstructures/yield/bondhelpers.cpp b/ql/termstructures/yield/bondhelpers.cpp
index affabf9edf2..3a04e394194 100644
--- a/ql/termstructures/yield/bondhelpers.cpp
+++ b/ql/termstructures/yield/bondhelpers.cpp
@@ -84,7 +84,7 @@ namespace QuantLib {
                                     const Handle<Quote>& price,
                                     Natural settlementDays,
                                     Real faceAmount,
-                                    const Schedule& schedule,
+                                    Schedule schedule,
                                     const std::vector<Rate>& coupons,
                                     const DayCounter& dayCounter,
                                     BusinessDayConvention paymentConvention,
@@ -97,7 +97,7 @@ namespace QuantLib {
                                     bool exCouponEndOfMonth,
                                     const Bond::Price::Type priceType)
     : BondHelper(price,
-                 ext::make_shared<FixedRateBond>(settlementDays, faceAmount, schedule,
+                 ext::make_shared<FixedRateBond>(settlementDays, faceAmount, std::move(schedule),
                                                  coupons, dayCounter, paymentConvention,
                                                  redemption, issueDate, paymentCalendar,
                                                  exCouponPeriod, exCouponCalendar,
@@ -126,7 +126,7 @@ namespace QuantLib {
                             const Period& observationLag,
                             const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
                             CPI::InterpolationType observationInterpolation,
-                            const Schedule& schedule,
+                            Schedule schedule,
                             const std::vector<Rate>& fixedRate,
                             const DayCounter& accrualDayCounter,
                             BusinessDayConvention paymentConvention,
@@ -140,7 +140,7 @@ namespace QuantLib {
     : BondHelper(price,
                  ext::make_shared<CPIBond>(settlementDays, faceAmount, growthOnly, baseCPI,
                                            observationLag, cpiIndex, observationInterpolation,
-                                           schedule, fixedRate, accrualDayCounter, paymentConvention,
+                                           std::move(schedule), fixedRate, accrualDayCounter, paymentConvention,
                                            issueDate, paymentCalendar, exCouponPeriod, exCouponCalendar,
                                            exCouponConvention, exCouponEndOfMonth),
                  priceType) {}
diff --git a/ql/termstructures/yield/bondhelpers.hpp b/ql/termstructures/yield/bondhelpers.hpp
index 3b130d1f6d2..fd2539e9830 100644
--- a/ql/termstructures/yield/bondhelpers.hpp
+++ b/ql/termstructures/yield/bondhelpers.hpp
@@ -83,7 +83,7 @@ namespace QuantLib {
         FixedRateBondHelper(const Handle<Quote>& price,
                             Natural settlementDays,
                             Real faceAmount,
-                            const Schedule& schedule,
+                            Schedule schedule,
                             const std::vector<Rate>& coupons,
                             const DayCounter& dayCounter,
                             BusinessDayConvention paymentConv = Following,
@@ -136,7 +136,7 @@ namespace QuantLib {
                       const Period& observationLag,
                       const ext::shared_ptr<ZeroInflationIndex>& cpiIndex,
                       CPI::InterpolationType observationInterpolation,
-                      const Schedule& schedule,
+                      Schedule schedule,
                       const std::vector<Rate>& fixedRate,
                       const DayCounter& accrualDayCounter,
                       BusinessDayConvention paymentConvention = Following,
diff --git a/ql/time/daycounters/actualactual.cpp b/ql/time/daycounters/actualactual.cpp
index 6fa1099147b..bbc17f5e9fb 100644
--- a/ql/time/daycounters/actualactual.cpp
+++ b/ql/time/daycounters/actualactual.cpp
@@ -124,13 +124,12 @@ namespace QuantLib {
     }
 
     ext::shared_ptr<DayCounter::Impl>
-    ActualActual::implementation(ActualActual::Convention c,
-                                 const Schedule& schedule) {
+    ActualActual::implementation(ActualActual::Convention c, Schedule schedule) {
         switch (c) {
           case ISMA:
           case Bond:
             if (!schedule.empty())
-                return ext::shared_ptr<DayCounter::Impl>(new ISMA_Impl(schedule));
+                return ext::shared_ptr<DayCounter::Impl>(new ISMA_Impl(std::move(schedule)));
             else
                 return ext::shared_ptr<DayCounter::Impl>(new Old_ISMA_Impl);
           case ISDA:
diff --git a/ql/time/daycounters/actualactual.hpp b/ql/time/daycounters/actualactual.hpp
index c5abb052e98..089930e54c8 100644
--- a/ql/time/daycounters/actualactual.hpp
+++ b/ql/time/daycounters/actualactual.hpp
@@ -87,12 +87,10 @@ namespace QuantLib {
             Time
             yearFraction(const Date& d1, const Date& d2, const Date&, const Date&) const override;
         };
-        static ext::shared_ptr<DayCounter::Impl> implementation(Convention c, 
-                                                                const Schedule& schedule);
+        static ext::shared_ptr<DayCounter::Impl> implementation(Convention c, Schedule schedule);
       public:
-        explicit ActualActual(Convention c,
-                              const Schedule& schedule = Schedule())
-        : DayCounter(implementation(c, schedule)) {}
+        explicit ActualActual(Convention c, Schedule schedule = Schedule())
+        : DayCounter(implementation(c, std::move(schedule))) {}
     };
 
 }
diff --git a/test-suite/crosscurrencyratehelpers.cpp b/test-suite/crosscurrencyratehelpers.cpp
index 01936b2afb5..6c18c023af5 100644
--- a/test-suite/crosscurrencyratehelpers.cpp
+++ b/test-suite/crosscurrencyratehelpers.cpp
@@ -128,7 +128,7 @@ struct CommonVars {
         return instruments;
     }
 
-    Schedule legSchedule(const Period& tenor, 
+    Schedule legSchedule(const Period& tenor,
                          const ext::shared_ptr<IborIndex>& idx) const {
         return MakeSchedule()
             .from(instrumentSettlementDt)
@@ -140,15 +140,15 @@ struct CommonVars {
             .backwards();
     }
 
-    Leg constantNotionalLeg(const Schedule& schedule,
+    Leg constantNotionalLeg(Schedule schedule,
                             const ext::shared_ptr<IborIndex>& idx,
                             Real notional,
                             Spread basis) const {
-        Leg leg = IborLeg(schedule, idx).withNotionals(notional).withSpreads(basis);
-        
+        Leg leg = IborLeg(std::move(schedule), idx).withNotionals(notional).withSpreads(basis);
+
         Date initialPaymentDate = CashFlows::startDate(leg);
         leg.push_back(ext::make_shared<SimpleCashFlow>(-notional, initialPaymentDate));
-        
+
         Date lastPaymentDate = CashFlows::maturityDate(leg);
         leg.push_back(ext::make_shared<SimpleCashFlow>(notional, lastPaymentDate));
         return leg;
@@ -216,7 +216,7 @@ struct CommonVars {
 
         today = calendar.adjust(Date(6, September, 2013));
         Settings::instance().evaluationDate() = today;
-        
+
         instrumentSettlementDt = calendar.advance(today, instrumentSettlementDays, Days);
         curveSettlementDt = calendar.advance(today, curveSettlementDays, Days);
 
@@ -292,7 +292,7 @@ void testResettingCrossCurrencySwaps(bool isFxBaseCurrencyCollateralCurrency,
         vars.buildResettingXccyRateHelpers(
             vars.basisData, collateralHandle, isFxBaseCurrencyCollateralCurrency,
             isBasisOnFxBaseCurrencyLeg, isFxBaseCurrencyLegResettable);
-    
+
     std::vector<ext::shared_ptr<RateHelper> > constNotionalInstruments =
         vars.buildConstantNotionalXccyRateHelpers(vars.basisData, collateralHandle,
                                                   isFxBaseCurrencyCollateralCurrency,
@@ -427,7 +427,7 @@ BOOST_AUTO_TEST_CASE(testExceptionWhenInstrumentTenorShorterThanIndexFrequency)
 
     std::vector<XccyTestDatum> data{{1, Months, 10.0}};
     Handle<YieldTermStructure> collateralHandle;
-    
+
     BOOST_CHECK_THROW(
         std::vector<ext::shared_ptr<RateHelper> > resettingInstruments =
             vars.buildConstantNotionalXccyRateHelpers(data, collateralHandle, true, true),

From f3a2e923f9808f27a065b70ab59c25b848b499c3 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 11 Apr 2024 14:34:20 +0200
Subject: [PATCH 85/95] Register floating cash flows with OIS; add tests

---
 ql/instruments/overnightindexedswap.cpp |  2 ++
 ql/instruments/vanillaswap.cpp          |  4 +--
 test-suite/overnightindexedswap.cpp     | 42 +++++++++++++++++++++++
 test-suite/swap.cpp                     | 44 +++++++++++++++++++++++++
 4 files changed, 90 insertions(+), 2 deletions(-)

diff --git a/ql/instruments/overnightindexedswap.cpp b/ql/instruments/overnightindexedswap.cpp
index 1554d4bf475..949fe31846f 100644
--- a/ql/instruments/overnightindexedswap.cpp
+++ b/ql/instruments/overnightindexedswap.cpp
@@ -136,6 +136,8 @@ namespace QuantLib {
                                      floatingSchedule().calendar() :
                                      paymentCalendar)
                 .withAveragingMethod(averagingMethod_);
+        for (const auto& c : legs_[1])
+            registerWith(c);
     }
 
     void OvernightIndexedSwap::setupFloatingArguments(arguments* args) const {
diff --git a/ql/instruments/vanillaswap.cpp b/ql/instruments/vanillaswap.cpp
index 6bddb48b9f1..f7ee29eb216 100644
--- a/ql/instruments/vanillaswap.cpp
+++ b/ql/instruments/vanillaswap.cpp
@@ -48,8 +48,8 @@ namespace QuantLib {
             .withPaymentAdjustment(this->paymentConvention())
             .withSpreads(this->spread())
             .withIndexedCoupons(useIndexedCoupons);
-        for (Leg::const_iterator i = legs_[1].begin(); i < legs_[1].end(); ++i)
-            registerWith(*i);
+        for (const auto& c : legs_[1])
+            registerWith(c);
     }
 
     void VanillaSwap::setupFloatingArguments(arguments* args) const {
diff --git a/test-suite/overnightindexedswap.cpp b/test-suite/overnightindexedswap.cpp
index d27d77c58aa..9f8cb26af79 100644
--- a/test-suite/overnightindexedswap.cpp
+++ b/test-suite/overnightindexedswap.cpp
@@ -34,6 +34,7 @@
 #include <ql/time/daycounters/simpledaycounter.hpp>
 #include <ql/time/schedule.hpp>
 #include <ql/indexes/ibor/eonia.hpp>
+#include <ql/indexes/ibor/estr.hpp>
 #include <ql/indexes/ibor/euribor.hpp>
 #include <ql/indexes/ibor/fedfunds.hpp>
 #include <ql/cashflows/iborcoupon.hpp>
@@ -631,6 +632,47 @@ BOOST_AUTO_TEST_CASE(testConstructorsAndNominals) {
     BOOST_CHECK_EQUAL(ois_4.overnightNominals()[3], nominal/2);
 }
 
+BOOST_AUTO_TEST_CASE(testNotifications) {
+    BOOST_TEST_MESSAGE("Testing cash-flow notifications for OIS...");
+
+    CommonVars vars;
+
+    Date spot = vars.calendar.advance(vars.today, 2*Days);
+    Real nominal = 100000.0;
+
+    Schedule schedule = MakeSchedule()
+        .from(spot)
+        .to(vars.calendar.advance(spot, 2*Years))
+        .withCalendar(vars.calendar)
+        .withFrequency(Annual);
+
+    RelinkableHandle<YieldTermStructure> forecast_handle;
+    forecast_handle.linkTo(flatRate(0.02, Actual360()));
+
+    RelinkableHandle<YieldTermStructure> discount_handle;
+    discount_handle.linkTo(flatRate(0.02, Actual360()));
+    
+    auto index = ext::make_shared<Estr>(forecast_handle);
+    
+    auto ois = ext::make_shared<OvernightIndexedSwap>(Swap::Payer,
+                                                      nominal,
+                                                      schedule,
+                                                      0.03,
+                                                      Actual360(),
+                                                      index);
+    ois->setPricingEngine(ext::make_shared<DiscountingSwapEngine>(discount_handle));
+    ois->NPV();
+
+    Flag flag;
+    flag.registerWith(ois);
+    flag.lower();
+
+    forecast_handle.linkTo(flatRate(0.03, Actual360()));
+
+    if (!flag.isUp())
+        BOOST_FAIL("OIS was not notified of curve change");
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()
diff --git a/test-suite/swap.cpp b/test-suite/swap.cpp
index b46259a346e..e9b6ae90774 100644
--- a/test-suite/swap.cpp
+++ b/test-suite/swap.cpp
@@ -326,6 +326,50 @@ BOOST_AUTO_TEST_CASE(testThirdWednesdayAdjustment) {
     }
 }
 
+BOOST_AUTO_TEST_CASE(testNotifications) {
+    BOOST_TEST_MESSAGE("Testing cash-flow notifications for vanilla swap...");
+
+    CommonVars vars;
+
+    Date spot = vars.calendar.advance(vars.today, 2*Days);
+    Real nominal = 100000.0;
+
+    Schedule schedule = MakeSchedule()
+        .from(spot)
+        .to(vars.calendar.advance(spot, 2*Years))
+        .withCalendar(vars.calendar)
+        .withFrequency(Semiannual);
+
+    RelinkableHandle<YieldTermStructure> forecast_handle;
+    forecast_handle.linkTo(flatRate(0.02, Actual365Fixed()));
+
+    RelinkableHandle<YieldTermStructure> discount_handle;
+    discount_handle.linkTo(flatRate(0.02, Actual365Fixed()));
+    
+    auto index = ext::make_shared<Euribor6M>(forecast_handle);
+    
+    auto swap = ext::make_shared<VanillaSwap>(Swap::Payer,
+                                              nominal,
+                                              schedule,
+                                              0.03,
+                                              Actual365Fixed(),
+                                              schedule,
+                                              index,
+                                              0.0,
+                                              Actual365Fixed());
+    swap->setPricingEngine(ext::make_shared<DiscountingSwapEngine>(discount_handle));
+    swap->NPV();
+
+    Flag flag;
+    flag.registerWith(swap);
+    flag.lower();
+
+    forecast_handle.linkTo(flatRate(0.03, Actual365Fixed()));
+
+    if (!flag.isUp())
+        BOOST_FAIL("swap was not notified of curve change");
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()

From d6beb7063d66c8a28be8d3effb387ecdb3dfc48b Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 11 Apr 2024 16:14:19 +0200
Subject: [PATCH 86/95] Make ZeroInflationCashFlow properly lazy

---
 ql/cashflows/indexedcashflow.hpp       |  3 ++-
 ql/cashflows/zeroinflationcashflow.cpp |  6 ++---
 ql/cashflows/zeroinflationcashflow.hpp |  2 +-
 test-suite/inflation.cpp               | 37 ++++++++++++++++++++++++++
 4 files changed, 43 insertions(+), 5 deletions(-)

diff --git a/ql/cashflows/indexedcashflow.hpp b/ql/cashflows/indexedcashflow.hpp
index a74fce488d4..dc0bb7eeba6 100644
--- a/ql/cashflows/indexedcashflow.hpp
+++ b/ql/cashflows/indexedcashflow.hpp
@@ -73,12 +73,13 @@ namespace QuantLib {
         //@{
         void performCalculations() const override;
         //@}
+      protected:
+        mutable Real amount_;
       private:
         Real notional_;
         ext::shared_ptr<Index> index_;
         Date baseDate_, fixingDate_, paymentDate_;
         bool growthOnly_;
-        mutable Real amount_;
     };
 
 
diff --git a/ql/cashflows/zeroinflationcashflow.cpp b/ql/cashflows/zeroinflationcashflow.cpp
index a79600e36c8..90eb676c91e 100644
--- a/ql/cashflows/zeroinflationcashflow.cpp
+++ b/ql/cashflows/zeroinflationcashflow.cpp
@@ -38,7 +38,7 @@ namespace QuantLib {
       zeroInflationIndex_(index), observationInterpolation_(observationInterpolation),
       startDate_(startDate), endDate_(endDate), observationLag_(observationLag) {}
 
-    Real ZeroInflationCashFlow::amount() const {
+    void ZeroInflationCashFlow::performCalculations() const {
 
         Real I0, I1;
 
@@ -51,9 +51,9 @@ namespace QuantLib {
         }
 
         if (growthOnly())
-            return notional() * (I1 / I0 - 1.0);
+            amount_ = notional() * (I1 / I0 - 1.0);
         else
-            return notional() * (I1 / I0);
+            amount_ = notional() * (I1 / I0);
     }
 
     void ZeroInflationCashFlow::accept(AcyclicVisitor& v) {
diff --git a/ql/cashflows/zeroinflationcashflow.hpp b/ql/cashflows/zeroinflationcashflow.hpp
index cfb4f6deb88..316e34c6fc8 100644
--- a/ql/cashflows/zeroinflationcashflow.hpp
+++ b/ql/cashflows/zeroinflationcashflow.hpp
@@ -61,7 +61,7 @@ namespace QuantLib {
 
         //! \name CashFlow interface
         //@{
-        Real amount() const override;
+        void performCalculations() const override;
         //@}
         //! \name Visitability
         //@{
diff --git a/test-suite/inflation.cpp b/test-suite/inflation.cpp
index e6186c4bbbb..357a7e456b0 100644
--- a/test-suite/inflation.cpp
+++ b/test-suite/inflation.cpp
@@ -40,6 +40,7 @@
 #include <ql/cashflows/yoyinflationcoupon.hpp>
 #include <ql/cashflows/inflationcouponpricer.hpp>
 #include <ql/cashflows/fixedratecoupon.hpp>
+#include <ql/cashflows/zeroinflationcashflow.hpp>
 #include <ql/instruments/yearonyearinflationswap.hpp>
 #include <functional>
 
@@ -1602,6 +1603,42 @@ BOOST_AUTO_TEST_CASE(testCpiAsIndexInterpolation) {
                         "\n    calculated: " << calculated);
 }
 
+BOOST_AUTO_TEST_CASE(testNotifications) {
+    BOOST_TEST_MESSAGE("Testing notifications from zero-inflation cash flow...");
+
+    Date today = Settings::instance().evaluationDate();
+    Real nominal = 10000.0;
+
+    std::vector<Date> dates = { today - 3*Months, today + 5*Years };
+    std::vector<Rate> rates = { 0.02, 0.02 };
+
+    RelinkableHandle<ZeroInflationTermStructure> inflation_handle;
+    inflation_handle.linkTo(
+            ext::make_shared<ZeroInflationCurve>(today, dates, rates, Monthly, Actual360()));
+
+    auto index = ext::make_shared<UKRPI>(inflation_handle);
+    index->addFixing(inflationPeriod(today - 3 * Months, index->frequency()).first, 100.0);
+    auto cashflow =
+        ext::make_shared<ZeroInflationCashFlow>(nominal,
+                                                index,
+                                                CPI::Flat,
+                                                today,
+                                                today + 1 * Years,
+                                                3 * Months,
+                                                today + 1 * Years);
+    cashflow->amount();
+
+    Flag flag;
+    flag.registerWith(cashflow);
+    flag.lower();
+
+    inflation_handle.linkTo(
+            ext::make_shared<ZeroInflationCurve>(today, dates, rates, Monthly, Actual360()));
+
+    if (!flag.isUp())
+        BOOST_FAIL("cash flow did not notify observer of curve change");
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()

From 077a1eeaf866b07b90b2defec9ecb4a082e6199b Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 14 Apr 2024 01:09:17 +0000
Subject: [PATCH 87/95] Automated fixes by clang-tidy

---
 ql/instruments/overnightindexedswap.cpp | 2 +-
 ql/instruments/overnightindexedswap.hpp | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

diff --git a/ql/instruments/overnightindexedswap.cpp b/ql/instruments/overnightindexedswap.cpp
index 949fe31846f..b93a1946690 100644
--- a/ql/instruments/overnightindexedswap.cpp
+++ b/ql/instruments/overnightindexedswap.cpp
@@ -54,7 +54,7 @@ namespace QuantLib {
 
     OvernightIndexedSwap::OvernightIndexedSwap(Type type,
                                                const std::vector<Real>& nominals,
-                                               Schedule schedule,
+                                               const Schedule& schedule,
                                                Rate fixedRate,
                                                DayCounter fixedDC,
                                                const ext::shared_ptr<OvernightIndex>& overnightIndex,
diff --git a/ql/instruments/overnightindexedswap.hpp b/ql/instruments/overnightindexedswap.hpp
index 89ce778f613..58b27756510 100644
--- a/ql/instruments/overnightindexedswap.hpp
+++ b/ql/instruments/overnightindexedswap.hpp
@@ -56,7 +56,7 @@ namespace QuantLib {
 
         OvernightIndexedSwap(Type type,
                              const std::vector<Real>& nominals,
-                             Schedule schedule,
+                             const Schedule& schedule,
                              Rate fixedRate,
                              DayCounter fixedDC,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,

From b27b23e0e0b9d06ce7adf84d5ff193bd8e72ddee Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Apr 2024 08:54:27 +0200
Subject: [PATCH 88/95] Upgrade to latest Boost in CI builds

---
 .github/workflows/cmake.yml            | 6 +++---
 .github/workflows/msvc-all-configs.yml | 2 +-
 .github/workflows/msvc-analysis.yml    | 2 +-
 .github/workflows/msvc-nondefault.yml  | 2 +-
 .github/workflows/msvc.yml             | 2 +-
 5 files changed, 7 insertions(+), 7 deletions(-)

diff --git a/.github/workflows/cmake.yml b/.github/workflows/cmake.yml
index dbe600d5726..3796414a322 100644
--- a/.github/workflows/cmake.yml
+++ b/.github/workflows/cmake.yml
@@ -68,7 +68,7 @@ jobs:
         variant: sccache
     - name: Setup
       run: |
-        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
+        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.85.0/binaries/boost_1_85_0-msvc-14.3-64.exe"
         (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
         Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
         $Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
@@ -105,7 +105,7 @@ jobs:
         variant: sccache
     - name: Setup
       run: |
-        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
+        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.85.0/binaries/boost_1_85_0-msvc-14.3-64.exe"
         (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
         Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
         $Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
@@ -142,7 +142,7 @@ jobs:
         variant: sccache
     - name: Setup
       run: |
-        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
+        $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.85.0/binaries/boost_1_85_0-msvc-14.3-64.exe"
         (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
         Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
         $Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
diff --git a/.github/workflows/msvc-all-configs.yml b/.github/workflows/msvc-all-configs.yml
index 833cedd04e6..9de0a6d0890 100644
--- a/.github/workflows/msvc-all-configs.yml
+++ b/.github/workflows/msvc-all-configs.yml
@@ -21,7 +21,7 @@ jobs:
           - vsversion: 2022
             os: windows-2022
             toolset: "14.3"
-            boost_version: 84
+            boost_version: 85
     steps:
     - uses: actions/checkout@v4
     - name: Setup MSVC++ environment
diff --git a/.github/workflows/msvc-analysis.yml b/.github/workflows/msvc-analysis.yml
index 8df2e94cb5f..5566e770051 100644
--- a/.github/workflows/msvc-analysis.yml
+++ b/.github/workflows/msvc-analysis.yml
@@ -20,7 +20,7 @@ jobs:
 
       - name: Setup
         run: |
-          $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
+          $Url = "https://boostorg.jfrog.io/artifactory/main/release/1.85.0/binaries/boost_1_85_0-msvc-14.3-64.exe"
           (New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
           Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
 
diff --git a/.github/workflows/msvc-nondefault.yml b/.github/workflows/msvc-nondefault.yml
index 8c909de2326..aa7af9d1c8d 100644
--- a/.github/workflows/msvc-nondefault.yml
+++ b/.github/workflows/msvc-nondefault.yml
@@ -20,7 +20,7 @@ jobs:
           - vsversion: 2022
             os: windows-2022
             toolset: "14.3"
-            boost_version: 84
+            boost_version: 85
     steps:
     - uses: actions/checkout@v4
     - name: Setup MSVC++ environment
diff --git a/.github/workflows/msvc.yml b/.github/workflows/msvc.yml
index 9effad1b5ef..8a2fd4f5772 100644
--- a/.github/workflows/msvc.yml
+++ b/.github/workflows/msvc.yml
@@ -16,7 +16,7 @@ jobs:
           - vsversion: 2022
             os: windows-2022
             toolset: "14.3"
-            boost_version: 84
+            boost_version: 85
     steps:
     - uses: actions/checkout@v4
     - name: Setup MSVC++ environment

From 1e624748955320e99086bdf85f69dc82b904832c Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Apr 2024 12:58:44 +0200
Subject: [PATCH 89/95] Avoid an out-of-bounds access in fitted discount curve

---
 .../yield/fittedbonddiscountcurve.cpp         |  2 ++
 test-suite/fittedbonddiscountcurve.cpp        | 30 +++++++++++++++++++
 2 files changed, 32 insertions(+)

diff --git a/ql/termstructures/yield/fittedbonddiscountcurve.cpp b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
index 21bd50e8e9d..0ce3ebbac3e 100644
--- a/ql/termstructures/yield/fittedbonddiscountcurve.cpp
+++ b/ql/termstructures/yield/fittedbonddiscountcurve.cpp
@@ -173,6 +173,8 @@ namespace QuantLib {
         if (!l2_.empty()) {
             QL_REQUIRE(l2_.size() == size(),
                        "Given penalty factors do not cover all parameters");
+
+            QL_REQUIRE(!curve_->guessSolution_.empty(), "L2 penalty requires a guess");
         }
     }
 
diff --git a/test-suite/fittedbonddiscountcurve.cpp b/test-suite/fittedbonddiscountcurve.cpp
index 0cd87cd43f1..0770be201e5 100644
--- a/test-suite/fittedbonddiscountcurve.cpp
+++ b/test-suite/fittedbonddiscountcurve.cpp
@@ -197,6 +197,36 @@ BOOST_AUTO_TEST_CASE(testFlatExtrapolation) {
     
 }
 
+BOOST_AUTO_TEST_CASE(testRequiredGuess) {
+
+    BOOST_TEST_MESSAGE("Testing that fitted bond curves require a guess when given an L2 penalty...");
+
+    Date today = Settings::instance().evaluationDate();
+    auto bond1 = ext::make_shared<ZeroCouponBond>(3, TARGET(), 100.0, today + Period(1, Years));
+    auto bond2 = ext::make_shared<ZeroCouponBond>(3, TARGET(), 100.0, today + Period(2, Years));
+    auto bond3 = ext::make_shared<ZeroCouponBond>(3, TARGET(), 100.0, today + Period(5, Years));
+    auto bond4 = ext::make_shared<ZeroCouponBond>(3, TARGET(), 100.0, today + Period(10, Years));
+
+    std::vector<ext::shared_ptr<BondHelper> > helpers(4);
+    helpers[0] = ext::make_shared<BondHelper>(makeQuoteHandle(99.0), bond1);
+    helpers[1] = ext::make_shared<BondHelper>(makeQuoteHandle(98.0), bond2);
+    helpers[2] = ext::make_shared<BondHelper>(makeQuoteHandle(95.0), bond3);
+    helpers[3] = ext::make_shared<BondHelper>(makeQuoteHandle(90.0), bond4);
+
+    Array weights = {};
+    ext::shared_ptr<OptimizationMethod> optimizer = {};
+    Array l2 = { 0.25, 0.25, 0.25, 0.25 };
+    NelsonSiegelFitting fittingMethod(weights, optimizer, l2);
+
+    Real accuracy = 1e-10;
+    Size maxIterations = 10000;
+    FittedBondDiscountCurve curve(0, TARGET(), helpers, Actual365Fixed(),
+                                  fittingMethod, accuracy, maxIterations);
+
+    BOOST_CHECK_EXCEPTION(curve.discount(3.0), Error,
+                          ExpectedErrorMessage("L2 penalty requires a guess"));
+}
+
 BOOST_AUTO_TEST_SUITE_END()
 
 BOOST_AUTO_TEST_SUITE_END()

From acc3b125ebce15dade1b6faffb5f7108baa83f5a Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Apr 2024 10:40:34 +0200
Subject: [PATCH 90/95] Clang 18 in CI build matrix

---
 .github/workflows/linux-full-tests.yml | 8 +++++++-
 .github/workflows/linux-nondefault.yml | 5 +++--
 .github/workflows/linux.yml            | 5 +++--
 3 files changed, 13 insertions(+), 5 deletions(-)

diff --git a/.github/workflows/linux-full-tests.yml b/.github/workflows/linux-full-tests.yml
index 527dc395e37..7561d4a451b 100644
--- a/.github/workflows/linux-full-tests.yml
+++ b/.github/workflows/linux-full-tests.yml
@@ -110,11 +110,17 @@ jobs:
             tag: mantic
             cc: clang
             cxx: clang++
-          - name: "Clang 17"
+          - name: "Clang 17 (Boost 1.84)"
             shortname: clang17
+            tag: clang-17
+            cc: clang
+            cxx: clang++
+          - name: "Clang 18"
+            shortname: clang18
             tag: noble
             cc: clang
             cxx: clang++
+            cxxflags: -Wno-deprecated-declarations
           - name: "C++14 mode"
             shortname: c++14
             tag: rolling
diff --git a/.github/workflows/linux-nondefault.yml b/.github/workflows/linux-nondefault.yml
index ce05c918d30..f55c60aabd6 100644
--- a/.github/workflows/linux-nondefault.yml
+++ b/.github/workflows/linux-nondefault.yml
@@ -110,11 +110,12 @@ jobs:
             tag: mantic
             cc: clang
             cxx: clang++
-          - name: "Clang 17"
-            shortname: clang17
+          - name: "Clang 18"
+            shortname: clang18
             tag: noble
             cc: clang
             cxx: clang++
+            cxxflags: -Wno-deprecated-declarations
           - name: "C++14 mode"
             shortname: c++14
             tag: rolling
diff --git a/.github/workflows/linux.yml b/.github/workflows/linux.yml
index d26aeacda07..1dd8d41ba34 100644
--- a/.github/workflows/linux.yml
+++ b/.github/workflows/linux.yml
@@ -39,11 +39,12 @@ jobs:
             cc: clang
             cxx: clang++
             tests: true
-          - name: "Clang 17"
-            shortname: clang17
+          - name: "Clang 18"
+            shortname: clang18
             tag: noble
             cc: clang
             cxx: clang++
+            cxxflags: -Wno-deprecated-declarations
             tests: true
           - name: "C++14 mode"
             shortname: c++14

From e448f8d8fc16497209707a529667e0059dca0b57 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 15 Apr 2024 14:56:57 +0200
Subject: [PATCH 91/95] Update news and changelog

---
 ChangeLog.txt           | 6844 ++++++++-------------------------------
 Contributors.txt        |    4 +
 Docs/pages/history.docs |  106 +-
 News.md                 |  169 +-
 4 files changed, 1526 insertions(+), 5597 deletions(-)

diff --git a/ChangeLog.txt b/ChangeLog.txt
index 088cc89232d..2d60bab4ca9 100644
--- a/ChangeLog.txt
+++ b/ChangeLog.txt
@@ -1,6014 +1,1802 @@
-commit 9b0ef744951aa69c4e6a8ed796282bfa622b795e
-Merge: a6f874bc0 c5f6ac108
+commit 0b457201e4d411b56dd9dd03833991f0535a36ff
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Sat, 20 Jan 2024 23:39:37 +0100
+Date:   Mon, 15 Apr 2024 14:56:57 +0200
 
-    Fix building parallel test runner (#1889)
+    Update news and contributors
 
-commit a6f874bc034d48a67f507c20fedd7ae327a5193a
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 19 Jan 2024 10:24:22 +0100
-
-    Update changelog
-
- ChangeLog.txt | 191 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
- 1 file changed, 191 insertions(+)
-
-commit 58a908d202289cc6da5a302e57d3a50421432017
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 12 Jul 2021 09:46:54 +0200
-
-    Set version to 1.33 final.
-
- CMakeLists.txt | 4 ++--
- configure.ac   | 2 +-
- ql/version.hpp | 4 ++--
- 3 files changed, 5 insertions(+), 5 deletions(-)
-
-commit e9422af1e7d46379bc6c38df46dd0e3d071ab09d
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 17 Jan 2024 21:23:39 +0100
-
-    Use all available cores on Action runners
-
- .github/workflows/coveralls.yml        | 2 +-
- .github/workflows/linux-full-tests.yml | 2 +-
- .github/workflows/linux-nondefault.yml | 2 +-
- .github/workflows/linux.yml            | 2 +-
- .github/workflows/sanitizer.yml        | 4 ++--
- .github/workflows/test-times.yml       | 2 +-
- 6 files changed, 7 insertions(+), 7 deletions(-)
-
-commit 69cc0ccf32bd56f78ca6434849eb11c0c349d1dc
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 16 Jan 2024 14:54:10 +0100
-
-    Update news
-
- Docs/pages/history.docs | 14 +++++++++-----
- News.md                 | 19 +++++++++++++------
- 2 files changed, 22 insertions(+), 11 deletions(-)
-
-commit 7fbbf5f892792952e1a24c29177eeab5a0ea0c45
-Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
-Date:   Wed, 17 Jan 2024 09:14:27 +0000
-
-    Update copyright list in license
-
- LICENSE.TXT | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
-
-commit 03e86a168a27db63d4d6d0281d7b563f98a501a1
-Merge: 9d2c7b2b4 6582fad9c
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 17 Jan 2024 10:15:18 +0100
-
-    Move calendar imports where they are used (#1885)
-
-commit 9d2c7b2b4e4167635919ff943d10f792e6dc4df9
-Merge: f094be00f 014a9a2f0
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 17 Jan 2024 10:14:09 +0100
-
-    Add Inauguration Day to Mexican calendar (#1884)
-
-commit c5f6ac108231a8dbae462fb9b7a8f2c96910cc68
-Author: Eugene Toder <eltoder@twosigma.com>
-Date:   Tue, 16 Jan 2024 21:15:30 -0500
-
-    Fix building parallel test runner
-    
-    We are missing #include of the config option to select parallel test
-    runner, so we always end up with the standard one.
-
- test-suite/quantlibtestsuite.cpp | 2 ++
- 1 file changed, 2 insertions(+)
-
-commit 6582fad9ca941417bf8bc361730c98df39d114b0
-Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
-Date:   Tue, 16 Jan 2024 18:48:09 +0100
-
-    Move calendar imports where they are used
-
- ql/indexes/ibor/thbfix.hpp                                 | 3 ---
- ql/termstructures/yield/overnightindexfutureratehelper.cpp | 1 +
- ql/termstructures/yield/ratehelpers.cpp                    | 1 -
- ql/termstructures/yield/ratehelpers.hpp                    | 1 -
- test-suite/overnightindexedswap.cpp                        | 1 +
- 5 files changed, 2 insertions(+), 5 deletions(-)
-
-commit 014a9a2f0f34e7cd43aa932689cbef1e1c30f5c0
-Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
-Date:   Tue, 16 Jan 2024 18:46:48 +0100
-
-    Add Inauguration Day to Mexican calendar
-
- ql/time/calendars/mexico.cpp |  3 +++
- ql/time/calendars/mexico.hpp |  2 ++
- test-suite/calendars.cpp     | 42 +++++++++++++++++++++++++++++++++++++++++-
- 3 files changed, 46 insertions(+), 1 deletion(-)
-
-commit f094be00f7ea262aafa230f8b72485b180ed8b97
-Merge: 32f57d05e 6909bfc1b
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 12 Jan 2024 08:54:57 +0100
-
-    New Brazilian holiday (#1879)
-
-commit 32f57d05e8bf5555b446dfcd8addbf013b08ad81
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 10 Jan 2024 08:48:50 +0100
-
-    Back to Artifactory for Boost downloads
-    
-    This reverts commit 484e48af47ed6b8cf37be5a45e0962a572940a1f.
-
- .github/workflows/cmake.yml         | 6 +++---
- .github/workflows/msvc-analysis.yml | 2 +-
- dockerfiles/ci.Dockerfile           | 2 +-
- 3 files changed, 5 insertions(+), 5 deletions(-)
-
-commit 19c991861075efb195071b27447897932ec434c9
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 8 Jan 2024 17:33:23 +0100
-
-    Disable compile-time bound check in CI build
+ Contributors.txt        |   4 ++
+ Docs/pages/history.docs | 105 +++++++++++++++++++++++++++++-
+ News.md                 | 169 +++++++++++++++++++++++++++++-------------------
+ 3 files changed, 209 insertions(+), 69 deletions(-)
 
- .github/workflows/linux-nondefault.yml | 1 +
- 1 file changed, 1 insertion(+)
-
-commit a643b957415898a4587306d706d94af2b7d7f27e
-Merge: 2e5a77b20 d860bf0c3
+commit e8bd858c87df8b7c199b5b3df20bb04acf04f2a2
+Merge: acc3b125e 1e6247489
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 9 Jan 2024 20:37:48 +0100
-
-    Fixes to maintain AAD compatibility (#1881)
-
-commit d860bf0c3f1710328d818438de1d9de146423757
-Author: Auto Differentiation Dev Team <dev@auto-differentiation.com>
-Date:   Tue, 9 Jan 2024 15:34:49 +0000
-
-    Consistently using QL_CHECK_XXX macros
-
- test-suite/americanoption.cpp | 18 +++++++++---------
- test-suite/functions.cpp      | 12 ++++++------
- test-suite/hestonmodel.cpp    | 10 +++++-----
- test-suite/integrals.cpp      | 14 +++++++-------
- 4 files changed, 27 insertions(+), 27 deletions(-)
-
-commit bf4b0bec06f1fd8f2d020be4576e248e16e5fc17
-Author: Auto Differentiation Dev Team <dev@auto-differentiation.com>
-Date:   Tue, 9 Jan 2024 15:34:43 +0000
-
-    Adds utility test macro QL_CHECK_CLOSE_FRACTION, compatible to arbitrary Real types
-
- test-suite/utilities.hpp | 1 +
- 1 file changed, 1 insertion(+)
-
-commit 9c40fd424ede69457628bc679f4e0fd8309712ca
-Author: Auto Differentiation Dev Team <dev@auto-differentiation.com>
-Date:   Tue, 9 Jan 2024 15:34:30 +0000
-
-    Defines constants as double type
+Date:   Tue, 16 Apr 2024 19:46:34 +0200
 
- ql/math/integrals/exponentialintegrals.cpp         | 4 ++--
- ql/pricingengines/vanilla/analytichestonengine.cpp | 2 +-
- 2 files changed, 3 insertions(+), 3 deletions(-)
+    Avoid an out-of-bounds access in fitted discount curve (#1950)
 
-commit 2e5a77b20d9e83ad41c00aa6b5398a0846ce0f9b
+commit acc3b125ebce15dade1b6faffb5f7108baa83f5a
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 4 Oct 2023 11:52:15 +0200
+Date:   Tue, 16 Apr 2024 10:40:34 +0200
 
-    Set version to 1.33-rc
+    Clang 18 in CI build matrix
 
- CMakeLists.txt | 4 ++--
- configure.ac   | 2 +-
- ql/version.hpp | 4 ++--
- 3 files changed, 5 insertions(+), 5 deletions(-)
+ .github/workflows/linux-full-tests.yml | 8 +++++++-
+ .github/workflows/linux-nondefault.yml | 5 +++--
+ .github/workflows/linux.yml            | 5 +++--
+ 3 files changed, 13 insertions(+), 5 deletions(-)
 
-commit c517b5eb7cf2f26314a6ca14455ba8761aa36a40
+commit 1e624748955320e99086bdf85f69dc82b904832c
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 8 Jan 2024 12:59:39 +0100
+Date:   Tue, 16 Apr 2024 12:58:44 +0200
 
-    Update news and changelog
+    Avoid an out-of-bounds access in fitted discount curve
 
- ChangeLog.txt           | 6899 ++++++++++++++++++++++++++++++++++++-----------
- Contributors.txt        |    4 +
- Docs/pages/history.docs |   76 +-
- News.md                 |  199 +-
- 4 files changed, 5543 insertions(+), 1635 deletions(-)
+ .../yield/fittedbonddiscountcurve.cpp              |  2 ++
+ test-suite/fittedbonddiscountcurve.cpp             | 30 ++++++++++++++++++++++
+ 2 files changed, 32 insertions(+)
 
-commit 216e962f94454fda33f513783312d6bd8b8c40b9
+commit b27b23e0e0b9d06ce7adf84d5ff193bd8e72ddee
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 8 Jan 2024 11:22:18 +0100
+Date:   Tue, 16 Apr 2024 08:54:27 +0200
 
-    Remove redundant test and polish a few test messages
+    Upgrade to latest Boost in CI builds
 
- test-suite/dates.cpp      |  4 ++--
- test-suite/period.cpp     |  8 ++++----
- test-suite/prices.cpp     | 32 ++++----------------------------
- test-suite/timeseries.cpp |  4 ++--
- 4 files changed, 12 insertions(+), 36 deletions(-)
+ .github/workflows/cmake.yml            | 6 +++---
+ .github/workflows/msvc-all-configs.yml | 2 +-
+ .github/workflows/msvc-analysis.yml    | 2 +-
+ .github/workflows/msvc-nondefault.yml  | 2 +-
+ .github/workflows/msvc.yml             | 2 +-
+ 5 files changed, 7 insertions(+), 7 deletions(-)
 
-commit 107483cb14607f94575957d40528e5f5cc71efc8
+commit 077a1eeaf866b07b90b2defec9ecb4a082e6199b
 Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
-Date:   Sun, 7 Jan 2024 01:30:54 +0000
+Date:   Sun, 14 Apr 2024 01:09:17 +0000
 
     Automated fixes by clang-tidy
 
- test-suite/quantlibbenchmark.cpp | 1 -
- 1 file changed, 1 deletion(-)
+ ql/instruments/overnightindexedswap.cpp | 2 +-
+ ql/instruments/overnightindexedswap.hpp | 2 +-
+ 2 files changed, 2 insertions(+), 2 deletions(-)
 
-commit 484e48af47ed6b8cf37be5a45e0962a572940a1f
+commit 2eca967d1aed7a1fc9a790865af6e869907c4c71
+Merge: 0d57fb48b d6beb7063
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Sun, 7 Jan 2024 21:18:13 +0100
-
-    Download boost binaries from Sourceforge.
-    
-    JFrog now requires authentication.
-
- .github/workflows/cmake.yml         | 18 +++++++++---------
- .github/workflows/msvc-analysis.yml |  6 +++---
- dockerfiles/ci.Dockerfile           |  2 +-
- 3 files changed, 13 insertions(+), 13 deletions(-)
-
-commit 6909bfc1b011d8bd9198e6cf98ac8fcb762dfda3
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sun, 7 Jan 2024 14:46:57 +0100
-
-    fix unit test
-
- test-suite/amortizingbond.cpp | 5 ++++-
- 1 file changed, 4 insertions(+), 1 deletion(-)
-
-commit d892b8d3b33e7bcf5198fcbcf30d2711e45ec899
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sun, 7 Jan 2024 13:49:17 +0100
+Date:   Fri, 12 Apr 2024 09:58:58 +0200
 
-    add Black Awarenedd Day holiday
+    Make `ZeroInflationCashFlow` properly lazy (#1947)
 
- ql/time/calendars/brazil.cpp | 2 ++
- ql/time/calendars/brazil.hpp | 1 +
- 2 files changed, 3 insertions(+)
-
-commit dee33df049a031fed50bb3690615c2116015eb84
-Merge: 6aca59ed1 84d52647c
+commit 0d57fb48b0e5a50cb0ff2d823fed089c1f6f679f
+Merge: daec722c5 f3a2e923f
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 5 Jan 2024 14:03:48 +0100
+Date:   Thu, 11 Apr 2024 17:35:43 +0200
 
-    Added Dec. 31 NYE holiday to Chilean calendar in chile.cpp (#1846)
+    Register floating cash flows with OIS; add tests (#1946)
 
-commit 84d52647cc6eb60e409ed9a72d8b1bd78b6a2843
+commit d6beb7063d66c8a28be8d3effb387ecdb3dfc48b
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 5 Jan 2024 11:11:06 +0100
+Date:   Thu, 11 Apr 2024 16:14:19 +0200
 
-    Update chile.hpp
+    Make ZeroInflationCashFlow properly lazy
 
- ql/time/calendars/chile.hpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+ ql/cashflows/indexedcashflow.hpp       |  3 ++-
+ ql/cashflows/zeroinflationcashflow.cpp |  6 +++---
+ ql/cashflows/zeroinflationcashflow.hpp |  2 +-
+ test-suite/inflation.cpp               | 37 ++++++++++++++++++++++++++++++++++
+ 4 files changed, 43 insertions(+), 5 deletions(-)
 
-commit 6aca59ed1607d0fe83b1560f22bc7d460d28161a
-Merge: 7ca3a94d3 4923b7996
+commit f3a2e923f9808f27a065b70ab59c25b848b499c3
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 5 Jan 2024 10:10:14 +0100
-
-    Binary search in times (#1876)
-
-commit 4923b7996d55b48ca617da5f698d0437b6133ed6
-Author: Yi Jiang <yijiangcontact@gmail.com>
-Date:   Thu, 4 Jan 2024 19:15:18 -0500
-
-    Shouldn't subtract 1, what was I thinking?
-
- ql/models/parameter.hpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+Date:   Thu, 11 Apr 2024 14:34:20 +0200
 
-commit 7ca3a94d3352dfc75bc241905c2baac11f5afd4a
-Merge: 72d410d55 07a972a10
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 4 Jan 2024 14:00:45 +0100
+    Register floating cash flows with OIS; add tests
 
-    added china calendar for the year 2024 (#1873)
+ ql/instruments/overnightindexedswap.cpp |  2 ++
+ ql/instruments/vanillaswap.cpp          |  4 +--
+ test-suite/overnightindexedswap.cpp     | 42 +++++++++++++++++++++++++++++++
+ test-suite/swap.cpp                     | 44 +++++++++++++++++++++++++++++++++
+ 4 files changed, 90 insertions(+), 2 deletions(-)
 
-commit 07a972a10e09e91d1553b0eb5ed39cd7e9409fff
+commit daec722c516a2de9742ccf59238a8373e1898caf
+Merge: 7c12452aa bdbb8e179
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 4 Jan 2024 10:35:14 +0100
-
-    std::set can be initialized directly
-
- ql/time/calendars/china.cpp | 5 +----
- 1 file changed, 1 insertion(+), 4 deletions(-)
-
-commit 745516bcc9828413c1a1d842efc5f769964cffb9
-Author: Yi Jiang <yijiangcontact@gmail.com>
-Date:   Wed, 3 Jan 2024 15:35:37 -0500
+Date:   Mon, 8 Apr 2024 09:41:41 +0200
 
-    forgot std::
+    Pass Schedule by value and move (#1942)
 
- ql/models/parameter.hpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
-
-commit 7fdddedaf09993365e91cdde98bf96b4aa4a72f5
-Author: Yi Jiang <yijiangcontact@gmail.com>
-Date:   Wed, 3 Jan 2024 15:30:37 -0500
-
-    Binary search in times
+commit bdbb8e179f0a486d3f8f22c91fc7dbc80aa564b4
+Author: Jonathan Sweemer <sweemer@gmail.com>
+Date:   Sat, 6 Apr 2024 16:09:02 +0900
+
+    Pass Schedule by value and move
+
+ ql/cashflows/cpicoupon.cpp                         | 16 ++++++-------
+ ql/cashflows/cpicoupon.hpp                         |  2 +-
+ ql/cashflows/fixedratecoupon.cpp                   |  4 ++--
+ ql/cashflows/fixedratecoupon.hpp                   |  2 +-
+ ql/cashflows/overnightindexedcoupon.cpp            |  8 +++----
+ ql/cashflows/overnightindexedcoupon.hpp            |  2 +-
+ ql/cashflows/subperiodcoupon.cpp                   |  9 ++++---
+ ql/cashflows/subperiodcoupon.hpp                   |  2 +-
+ .../averageois/arithmeticaverageois.cpp            | 20 ++++++++--------
+ .../averageois/arithmeticaverageois.hpp            | 11 ++++-----
+ ql/experimental/callablebonds/callablebond.cpp     | 11 ++++-----
+ ql/experimental/callablebonds/callablebond.hpp     |  2 +-
+ ql/experimental/catbonds/catbond.cpp               |  6 ++---
+ ql/experimental/catbonds/catbond.hpp               |  2 +-
+ ql/experimental/credit/nthtodefault.cpp            | 13 +++++-----
+ ql/experimental/credit/nthtodefault.hpp            |  8 +++----
+ ql/experimental/credit/syntheticcdo.cpp            | 22 ++++++++---------
+ ql/experimental/credit/syntheticcdo.hpp            | 24 +++++++++----------
+ ql/instruments/assetswap.cpp                       | 28 +++++++++++-----------
+ ql/instruments/assetswap.hpp                       |  2 +-
+ ql/instruments/bmaswap.cpp                         | 12 ++++++----
+ ql/instruments/bmaswap.hpp                         |  5 ++--
+ ql/instruments/bonds/amortizingcmsratebond.cpp     |  4 ++--
+ ql/instruments/bonds/amortizingcmsratebond.hpp     |  2 +-
+ ql/instruments/bonds/amortizingfixedratebond.cpp   |  4 ++--
+ ql/instruments/bonds/amortizingfixedratebond.hpp   |  2 +-
+ .../bonds/amortizingfloatingratebond.cpp           |  4 ++--
+ .../bonds/amortizingfloatingratebond.hpp           |  4 ++--
+ ql/instruments/bonds/cmsratebond.cpp               |  4 ++--
+ ql/instruments/bonds/cmsratebond.hpp               |  2 +-
+ ql/instruments/bonds/cpibond.cpp                   |  5 ++--
+ ql/instruments/bonds/cpibond.hpp                   |  2 +-
+ ql/instruments/bonds/fixedratebond.cpp             |  4 ++--
+ ql/instruments/bonds/fixedratebond.hpp             |  2 +-
+ ql/instruments/bonds/floatingratebond.cpp          |  4 ++--
+ ql/instruments/bonds/floatingratebond.hpp          |  2 +-
+ ql/instruments/equitytotalreturnswap.cpp           | 22 ++++++++---------
+ ql/instruments/floatfloatswap.cpp                  | 25 +++++++++----------
+ ql/instruments/floatfloatswap.hpp                  |  4 ++--
+ ql/instruments/overnightindexedswap.cpp            | 25 ++++++++++---------
+ ql/instruments/overnightindexedswap.hpp            | 10 ++++----
+ .../calibrationhelpers/swaptionhelper.cpp          | 12 +++++-----
+ .../calibrationhelpers/swaptionhelper.hpp          |  4 ++--
+ ql/termstructures/yield/bondhelpers.cpp            |  8 +++----
+ ql/termstructures/yield/bondhelpers.hpp            |  4 ++--
+ ql/time/daycounters/actualactual.cpp               |  5 ++--
+ ql/time/daycounters/actualactual.hpp               |  8 +++----
+ test-suite/crosscurrencyratehelpers.cpp            | 16 ++++++-------
+ 48 files changed, 195 insertions(+), 204 deletions(-)
+
+commit 7c12452aa18f08f873d926b6a9f9f87eaba1a0b0
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Thu, 4 Apr 2024 10:08:27 +0200
+
+    Add CI builds on MacOS 14 M1 runner
+
+ .github/workflows/macos-nondefault.yml | 6 +++---
+ .github/workflows/macos.yml            | 6 +++---
+ 2 files changed, 6 insertions(+), 6 deletions(-)
+
+commit 0e6892246e51a407f60d89fbbc0000aa916ef8a0
+Merge: 2f384b134 c71e2531e
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Tue, 2 Apr 2024 18:12:58 +0200
+
+    Restore backward compatibility (#1939)
+
+commit c71e2531e3e39e981550b5d6a623b7a1c6d38af6
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Tue, 2 Apr 2024 09:12:11 +0200
+
+    Restore backward compatibility
+
+ Examples/Gaussian1dModels/Gaussian1dModels.cpp            |  6 +++---
+ ql/experimental/basismodels/swaptioncfs.cpp               |  2 +-
+ ql/instruments/nonstandardswaption.cpp                    |  2 +-
+ ql/instruments/swaption.cpp                               |  2 ++
+ ql/instruments/swaption.hpp                               | 13 ++++++++++++-
+ ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 12 +++++++++++-
+ test-suite/swaption.cpp                                   |  4 ++--
+ test-suite/swaptionvolatilitymatrix.cpp                   |  4 ++--
+ 8 files changed, 34 insertions(+), 11 deletions(-)
+
+commit 2f384b134675adc67b27016b33dab9023bf9ce1f
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Tue, 2 Apr 2024 10:21:31 +0200
+
+    Fewer builds in default CI matrix
+
+ .github/workflows/linux.yml | 51 ---------------------------------------------
+ 1 file changed, 51 deletions(-)
+
+commit 217dd4a39bc878447653afc73d8fdd9e0f938eca
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Tue, 2 Apr 2024 09:21:30 +0200
+
+    Remove extra output in tests
+
+ test-suite/cashflows.cpp | 6 ------
+ 1 file changed, 6 deletions(-)
+
+commit 56c63cca3ea298e15927d52ef87ec9bc70a737d0
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Sun, 31 Mar 2024 21:37:00 +0200
+
+    Use checkout action v3 until available on older images
 
- ql/models/parameter.hpp | 8 ++------
- 1 file changed, 2 insertions(+), 6 deletions(-)
+ .github/workflows/linux-full-tests.yml | 2 +-
+ .github/workflows/linux-nondefault.yml | 2 +-
+ 2 files changed, 2 insertions(+), 2 deletions(-)
 
-commit 72d410d55bd50a57792231b2ace8eacda4520dbb
+commit 47ba67de86a64d738b3ea09bff6d7d3f4681d515
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 3 Jan 2024 09:10:39 +0100
-
-    Add clang 17 to CI build matrix
-
- .github/workflows/devenv-images.yml    | 2 +-
- .github/workflows/linux-full-tests.yml | 5 +++++
- .github/workflows/linux-nondefault.yml | 5 +++++
- .github/workflows/linux.yml            | 7 ++++++-
- 4 files changed, 17 insertions(+), 2 deletions(-)
-
-commit 970a5ac8086d6d4e3def6f32a41f64559741e2f9
-Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
-Date:   Sun, 31 Dec 2023 01:23:12 +0000
-
-    Automated fixes by clang-tidy
+Date:   Fri, 29 Mar 2024 11:09:42 +0100
 
- ql/time/asx.cpp                  | 4 ++--
- ql/time/ecb.cpp                  | 8 ++++----
- test-suite/quantlibbenchmark.cpp | 5 +++--
- 3 files changed, 9 insertions(+), 8 deletions(-)
+    Simplify workflow matrix for MacOS
 
-commit 3a044ac11eca4819cce94f1244fb6edc7d252b44
-Author: wegamekinglc <scrappedprince.li@gmail.com>
-Date:   Mon, 1 Jan 2024 17:47:00 +0800
+ .github/workflows/macos-nondefault.yml | 13 +++----------
+ .github/workflows/macos.yml            | 14 +++++---------
+ 2 files changed, 8 insertions(+), 19 deletions(-)
 
-    added china calendar for the year 2024
-
- ql/time/calendars/china.cpp | 21 ++++++++++++++++++---
- test-suite/calendars.cpp    | 36 ++++++++++++++++++++++++++++++++++--
- 2 files changed, 52 insertions(+), 5 deletions(-)
-
-commit 7dfe04c3797552f8853f0368eb8f7c07ef7051cd
-Merge: 9f29f971f cf68b4746
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 28 Dec 2023 15:01:59 +0100
-
-    ASX: simplified/improved implementation; completed test coverage (#1854)
-
-commit 9f29f971f9e28c6589352afcb6f8bf3cc6f4a453
-Merge: 12f63d5c1 7c5fb9243
+commit 9ff05427c30042b97dbd4b1c485f24f680cfebbf
+Merge: d6f6c13a5 9b4efa33c
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 28 Dec 2023 14:51:38 +0100
+Date:   Thu, 28 Mar 2024 15:50:35 +0100
 
-    ECB: updated hard-coded known dates; simplified/improved implementation; completed test coverage (#1865)
+    allow swaptions to take OvernightIndexedSwap (#1593)
 
-commit 12f63d5c1101fbbb3a1d82d13df12f6544fcb5f3
+commit 9b4efa33c4cf21e503ff45a5acef79ef4fea3ee3
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 28 Dec 2023 12:59:41 +0100
+Date:   Thu, 28 Mar 2024 14:17:24 +0100
 
-    Move test to faster section
+    Add warnings to docs
 
- test-suite/optimizers.cpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+ ql/instruments/swaption.hpp                               | 6 ++++++
+ ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 9 +++++++--
+ 2 files changed, 13 insertions(+), 2 deletions(-)
 
-commit 7c5fb9243a282481c6c2683a7db8503f6a8465ba
+commit d6f6c13a57cd5980d6cd619795a82a6ac55b8731
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 28 Dec 2023 12:16:50 +0100
+Date:   Thu, 28 Mar 2024 11:05:02 +0100
 
-    Match format with variable signedness
+    Update checkout action
 
- ql/time/ecb.cpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+ .github/workflows/cmake.yml             | 12 ++++++------
+ .github/workflows/codeql-analysis.yml   |  2 +-
+ .github/workflows/copyrights.yml        |  2 +-
+ .github/workflows/coveralls.yml         |  2 +-
+ .github/workflows/devenv-images.yml     |  2 +-
+ .github/workflows/doxygen.yml           |  4 ++--
+ .github/workflows/filelists.yml         |  2 +-
+ .github/workflows/generated-headers.yml |  2 +-
+ .github/workflows/headers.yml           |  2 +-
+ .github/workflows/linux-full-tests.yml  |  2 +-
+ .github/workflows/linux-nondefault.yml  |  2 +-
+ .github/workflows/linux.yml             |  2 +-
+ .github/workflows/macos-nondefault.yml  |  2 +-
+ .github/workflows/macos.yml             |  2 +-
+ .github/workflows/misspell.yml          |  2 +-
+ .github/workflows/msvc-all-configs.yml  |  2 +-
+ .github/workflows/msvc-analysis.yml     |  2 +-
+ .github/workflows/msvc-nondefault.yml   |  2 +-
+ .github/workflows/msvc.yml              |  2 +-
+ .github/workflows/sanitizer.yml         |  4 ++--
+ .github/workflows/test-times.yml        |  2 +-
+ .github/workflows/tidy.yml              |  2 +-
+ 22 files changed, 29 insertions(+), 29 deletions(-)
 
-commit ea2cbd73d4928976059c336955898938237048f5
+commit 1b422725fd0677bf2283f15fd3e05ba680e0e86f
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 28 Dec 2023 12:09:10 +0100
+Date:   Mon, 25 Mar 2024 15:06:28 +0100
 
-    Explicitly include required header
+    Workflow for MSVC++ build via traditional solution
 
- ql/time/ecb.cpp | 5 +++--
- 1 file changed, 3 insertions(+), 2 deletions(-)
+ .appveyor.yml                          |  12 +--
+ {.appveyor => .ci}/Unity.props         |   0
+ {.appveyor => .ci}/VS2015.props        |   0
+ .ci/VS2017.props                       |  19 +++++
+ .ci/VS2019.alt.props                   |  15 ++++
+ {.appveyor => .ci}/VS2019.props        |   5 +-
+ .ci/VS2022.alt.props                   |  15 ++++
+ {.appveyor => .ci}/VS2022.props        |   5 +-
+ .ci/userconfig2019.alt.hpp             | 137 +++++++++++++++++++++++++++++++++
+ .ci/userconfig2022.alt.hpp             | 137 +++++++++++++++++++++++++++++++++
+ .github/workflows/msvc-all-configs.yml |  68 ++++++++++++++++
+ .github/workflows/msvc-nondefault.yml  |  66 ++++++++++++++++
+ .github/workflows/msvc.yml             |  61 +++++++++++++++
+ README.md                              |   8 +-
+ 14 files changed, 528 insertions(+), 20 deletions(-)
 
-commit 7eb870f7981495a66c1e7ddd6badb7f72a3c52b1
-Merge: 5d4d4bbd0 f0e795df7
+commit 0685ba0073842bcf84fa3f11ee72e34a3729c7b2
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 27 Dec 2023 17:58:05 +0100
+Date:   Wed, 27 Mar 2024 13:20:24 +0100
 
-    Period: Complete unit tests (#1867)
+    Ensure mathconstants.hpp is not included before qldefines.hpp
 
-commit 5d4d4bbd072f93b46adf875d406b24da648a517c
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 27 Dec 2023 17:24:10 +0100
-
-    Update Doxygen configuration
-
- Docs/quantlib.doxy | 12 +++++++++++-
- 1 file changed, 11 insertions(+), 1 deletion(-)
+ ql/math/randomnumbers/stochasticcollocationinvcdf.cpp      | 2 +-
+ ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp | 2 +-
+ 2 files changed, 2 insertions(+), 2 deletions(-)
 
-commit 2bc581e8bf9356f7fcf98d9ad0fafb94215e5432
+commit 65225778397324f7fd8a97cca83aced9e721e028
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 27 Dec 2023 16:09:38 +0100
-
-    Fix missing doc groups
-
- Docs/pages/engines.docs                                   |  6 ++++++
- Docs/pages/termstructures.docs                            | 13 ++++++++++++-
- ql/experimental/callablebonds/blackcallablebondengine.hpp |  4 ++--
- ql/experimental/callablebonds/treecallablebondengine.hpp  |  4 ++--
- ql/experimental/credit/factorspreadedhazardratecurve.hpp  |  2 +-
- ql/experimental/credit/lossdistribution.hpp               | 12 ------------
- ql/experimental/credit/riskyassetswapoption.hpp           |  1 -
- ql/experimental/credit/spreadedhazardratecurve.hpp        |  2 +-
- ql/experimental/credit/syntheticcdo.hpp                   |  2 --
- ql/pricingengines/bond/binomialconvertibleengine.hpp      |  2 +-
- ql/pricingengines/bond/discountingbondengine.hpp          |  4 ++++
- ql/pricingengines/swap/discountingswapengine.hpp          |  4 ++++
- ql/termstructures/globalbootstrap.hpp                     |  1 -
- 13 files changed, 33 insertions(+), 24 deletions(-)
-
-commit e5733c4e0c1fcf3272a69c80ad05a4a73ab6aa6c
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 27 Dec 2023 14:45:06 +0100
-
-    iterate bimap correctly
-
- ql/time/ecb.cpp | 9 +++++----
- 1 file changed, 5 insertions(+), 4 deletions(-)
+Date:   Tue, 26 Mar 2024 08:55:08 +0100
 
-commit 850af05dfcab7bf6b40630e098e7d7ab370a0206
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 27 Dec 2023 14:25:38 +0100
-
-    case insensitive comparison
+    Don't optimize VC++ 2015 build, don't run tests.
+    
+    For some reason Appveyor got a lot slower.  We might have to move
+    away from it.
 
- ql/time/ecb.cpp | 52 ++++++++++++++++++++++++++++++++++++----------------
- 1 file changed, 36 insertions(+), 16 deletions(-)
+ .appveyor.yml          | 2 --
+ .appveyor/VS2015.props | 1 +
+ 2 files changed, 1 insertion(+), 2 deletions(-)
 
-commit d3e4b9c223632a78f51f63e011c10317197f6b06
+commit c566b6db9e5aa750eb88b87ca9580cd1cad5d863
 Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
-Date:   Sun, 24 Dec 2023 01:29:10 +0000
+Date:   Sun, 24 Mar 2024 01:27:50 +0000
 
     Automated fixes by clang-tidy
 
- ql/math/integrals/exponentialintegrals.cpp         |  8 ++++----
- ql/pricingengines/vanilla/analytichestonengine.cpp | 11 +++++------
- ql/pricingengines/vanilla/analytichestonengine.hpp | 10 +++++-----
- test-suite/quantlibbenchmark.cpp                   |  4 ++--
- 4 files changed, 16 insertions(+), 17 deletions(-)
-
-commit f0e795df79c9835e52e9c5172291e138bc65b3ac
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Thu, 21 Dec 2023 16:13:26 +0100
-
-    test days(Period)
-
- test-suite/period.cpp | 13 +++++++++++++
- 1 file changed, 13 insertions(+)
-
-commit 08d8a67384760a06d92d4087d43fc3729402ebe8
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Thu, 21 Dec 2023 16:10:31 +0100
-
-    test months(Period)
-
- test-suite/period.cpp | 11 +++++++++++
- 1 file changed, 11 insertions(+)
-
-commit c8c827b3e5faf997bfe13a93b36390be33d9a4f0
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Thu, 21 Dec 2023 16:09:43 +0100
-
-    test years(Period)
-
- test-suite/period.cpp | 14 ++++++++++++++
- 1 file changed, 14 insertions(+)
-
-commit bfa4fab431015e1069f4f466ef9b448f9ef96637
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Thu, 21 Dec 2023 15:57:47 +0100
-
-    add tests for Period -= Period; Period *= Integer
-
- test-suite/period.cpp | 11 +++++++++++
- 1 file changed, 11 insertions(+)
-
-commit 7f6b127edec90945f658b7afa0da61d00f50419f
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Thu, 21 Dec 2023 15:48:13 +0100
-
-    add tests for Period(Weeks) += Period(Days)
-
- test-suite/period.cpp | 5 +++++
- 1 file changed, 5 insertions(+)
-
-commit 8d89c75608182be5e68fe24ab87d27ad135855d5
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Thu, 21 Dec 2023 15:36:28 +0100
-
-    test Period::frequency()
-
- test-suite/period.cpp | 25 ++++++++++++++++++++++++-
- 1 file changed, 24 insertions(+), 1 deletion(-)
-
-commit c5deb51559525a0e0b6fd6ce3cc7d964abcbb763
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sun, 24 Dec 2023 09:03:32 +0100
-
-    simplify month str to enum conversion
-
- ql/time/ecb.cpp | 51 ++++++++++++++++++++++++++-------------------------
- 1 file changed, 26 insertions(+), 25 deletions(-)
-
-commit 900c02fe2e2c4664613a44fcdcba18211fb74f15
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Thu, 21 Dec 2023 15:21:23 +0100
-
-    out of bounds access
-
- ql/time/ecb.cpp | 5 ++---
- 1 file changed, 2 insertions(+), 3 deletions(-)
-
-commit 97c46ad51167f16efa6f3d6930a344a96170d3b1
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 20 Dec 2023 22:20:54 +0100
-
-    BOOST_TEST is slow
-
- test-suite/dates.cpp | 16 ++++++++--------
- 1 file changed, 8 insertions(+), 8 deletions(-)
-
-commit 9f8c5bb4e51f94cc7a68dd43bc2317f97108f6c7
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 20 Dec 2023 22:12:58 +0100
+ ql/experimental/math/laplaceinterpolation.cpp | 9 +++++----
+ ql/experimental/math/laplaceinterpolation.hpp | 2 +-
+ 2 files changed, 6 insertions(+), 5 deletions(-)
 
-    cleanup: unify code (call boost::to_upper_copy)
-
- ql/time/ecb.cpp | 7 +++----
- 1 file changed, 3 insertions(+), 4 deletions(-)
-
-commit 1e607e3f8f3a75e3166ec9790e7e40031f0c173d
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 20 Dec 2023 22:03:48 +0100
-
-    add ecb maintainence dates (2018..2024)
-
- ql/time/ecb.cpp | 30 +++++++++++++++++++++++++++++-
- 1 file changed, 29 insertions(+), 1 deletion(-)
-
-commit cf68b47460fb8f66493b28906805a475668f17b0
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 20 Dec 2023 21:11:32 +0100
-
-    only evaluate test message for failure (performance regression otherwise)
-
- test-suite/dates.cpp | 20 ++++++++++----------
- 1 file changed, 10 insertions(+), 10 deletions(-)
-
-commit e4277c8d9f2732429c6ceacef280cf0fac103ffd
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 20 Dec 2023 20:17:02 +0100
+commit 8c0386b4496b15805dd3eee0f3cce7c30d167a81
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 25 Mar 2024 17:32:37 +0100
 
-    std::isdigit needs unsigned char instead of char
+    Speed up CI build for VC++ 2015
 
- ql/time/asx.cpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+ .appveyor/VS2015.props | 3 +++
+ 1 file changed, 3 insertions(+)
 
-commit 42c3a24ff2eb23812bc45b8b95e0410a48853ae1
-Merge: 7cd38086d c1acc8b1c
+commit 27d4f37fd3bd3223c0bf9b4661609e86d8bb6053
+Merge: c7943e5a2 a5a6c5504
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 20 Dec 2023 16:00:00 +0100
+Date:   Fri, 22 Mar 2024 18:34:07 +0100
 
-    Heston Model: Support for Angled Contour Shift Integrals (#1826)
+    Add conversions to Real in Laplace Interpolation file for consistency (#1935)
 
-commit c1acc8b1c3bccba222a237894dda23b7d6034053
+commit c7943e5a23606ab698ec8f7eb050c746f2a0df7b
+Merge: a5612b907 fffcb9f5f
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 20 Dec 2023 14:40:46 +0100
-
-    Remove executable bit from source file
+Date:   Fri, 22 Mar 2024 15:31:52 +0100
 
- ql/pricingengines/vanilla/analytichestonengine.cpp | 0
- 1 file changed, 0 insertions(+), 0 deletions(-)
+    LinearTsrPricer: fix past payment dates, support overnight swap indices, add missing include (#1775)
 
-commit 7cd38086d663a53b89eaee1a76bbf625a9dfd593
+commit a5612b907701e6e4159c9320158f6fef9b2ab5c0
 Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
-Date:   Tue, 19 Dec 2023 15:29:18 +0000
+Date:   Thu, 21 Mar 2024 15:44:58 +0000
 
-    Automated fixes by clang-tidy
-
- test-suite/prices.cpp   | 4 ++--
- test-suite/timegrid.cpp | 2 +-
- 2 files changed, 3 insertions(+), 3 deletions(-)
-
-commit 0d0d23b9b4651943c835a4a17c47d17e008f6b79
-Merge: 5d8a3a592 7dd751cdd
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 19 Dec 2023 23:23:06 +0100
-
-    Migrated last test cases to automated registration (#1861)
-
-commit 57666f2bcbe47bd21db7c43f521f57d23603be88
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Tue, 19 Dec 2023 20:01:07 +0100
-
-    fixed QL_REQUIRE condition
-
- ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 5 ++---
- 1 file changed, 2 insertions(+), 3 deletions(-)
-
-commit 7dd751cdd29d6e1870a73eb662f4b60843c0774b
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 19 Dec 2023 15:48:39 +0100
-
-    Fix typo
+    Update copyright list in license
 
- acinclude.m4 | 2 +-
+ LICENSE.TXT | 2 +-
  1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit 45d5750198a642e74f5e125da811d1873126e9c6
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 19 Dec 2023 09:20:49 +0100
-
-    Use autogenerated initializer function
-
- test-suite/CMakeLists.txt         |  1 +
- test-suite/paralleltestrunner.hpp |  4 ++--
- test-suite/quantlibtestsuite.cpp  | 12 ++----------
- test-suite/testsuite.vcxproj      |  4 +++-
- 4 files changed, 8 insertions(+), 13 deletions(-)
-
-commit 5d8a3a59232219b245ce385066114aa05f7f8ea6
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 19 Dec 2023 09:25:57 +0100
-
-    Avoid false positives with clang-tidy
-    
-    Array iterators are implemented as pointers in clang (which triggers the rule) but not in all other compilers.
-
- test-suite/prices.cpp | 4 ++--
- 1 file changed, 2 insertions(+), 2 deletions(-)
-
-commit 9b5df4e0f57539423aa559412567e1dfdfab1489
-Merge: 04391fcaa 91607179b
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 19 Dec 2023 10:13:48 +0100
-
-    Stop moving Juneteenth to Friday if Saturday for US-Fed calendar (#1848)
-
-commit 04391fcaad910b35e5895018cf3532b982a6e80b
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 18 Dec 2023 16:36:59 +0100
-
-    Move test to faster section
-
- test-suite/andreasenhugevolatilityinterpl.cpp | 5 ++---
- 1 file changed, 2 insertions(+), 3 deletions(-)
-
-commit 3fa1d1fc5063dda5b01befcf67bd9e4ca0470864
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 18 Dec 2023 23:35:02 +0100
-
-    Remove libUnitMain from test suite compilation
-
- acinclude.m4              | 40 ++++++++++++++++------------------------
- test-suite/CMakeLists.txt | 18 ++----------------
- test-suite/Makefile.am    |  8 ++------
- test-suite/main.cpp       | 20 --------------------
- 4 files changed, 20 insertions(+), 66 deletions(-)
-
-commit 6608ead619e2418a699cbe21fcf0102b7729c6f5
-Author: moixastrikes <moixaprotocol@gmail.com>
-Date:   Mon, 18 Dec 2023 16:27:07 -0500
-
-    Added link to issue 1839 in chile.hpp
-
- ql/time/calendars/chile.hpp | 1 +
- 1 file changed, 1 insertion(+)
-
-commit 91607179b9c09a2163fc2c21fe4d77a4fbc3e28d
-Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
-Date:   Mon, 18 Dec 2023 17:11:38 +0100
-
-    Add docstring with references for US-FED calendar
-
- ql/time/calendars/unitedstates.cpp |  3 ++-
- ql/time/calendars/unitedstates.hpp | 23 +++++++++++++++++++++++
- 2 files changed, 25 insertions(+), 1 deletion(-)
-
-commit 968a530d6a28ea26d14e886b7c38752c3999f2c7
-Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
-Date:   Mon, 18 Dec 2023 11:09:43 +0000
-
-    Bump github/codeql-action from 2 to 3
-    
-    Bumps [github/codeql-action](https://github.com/github/codeql-action) from 2 to 3.
-    - [Release notes](https://github.com/github/codeql-action/releases)
-    - [Changelog](https://github.com/github/codeql-action/blob/main/CHANGELOG.md)
-    - [Commits](https://github.com/github/codeql-action/compare/v2...v3)
-    
-    ---
-    updated-dependencies:
-    - dependency-name: github/codeql-action
-      dependency-type: direct:production
-      update-type: version-update:semver-major
-    ...
-    
-    Signed-off-by: dependabot[bot] <support@github.com>
-
- .github/workflows/codeql-analysis.yml | 6 +++---
- .github/workflows/msvc-analysis.yml   | 2 +-
- 2 files changed, 4 insertions(+), 4 deletions(-)
-
-commit 7ec4fbb3e451cc85371d6fde3c73cfacfabf4965
-Merge: 2e8231b2b 66de7b577
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 18 Dec 2023 15:23:41 +0100
-
-    Correct Thailand calendar for 2019-2024 (#1857)
-
-commit 2e8231b2b07ba04d1e231faf6babda70893b9a57
-Merge: a33b3e002 79d1b1f91
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 18 Dec 2023 15:21:16 +0100
-
-    TimeSeries: Complete test coverage (#1849)
-
-commit a33b3e002b1b0a8c768c460eade7eba6040143e5
-Merge: 350f69a61 3966f81d2
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 18 Dec 2023 15:10:12 +0100
-
-    Add TWSE holidays for 2024 to Taiwan calendar (#1847)
-
-commit 350f69a615f12766b691492a7d329e42474015fe
-Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
-Date:   Mon, 18 Dec 2023 11:09:37 +0000
-
-    Bump actions/upload-artifact from 3 to 4
-    
-    Bumps [actions/upload-artifact](https://github.com/actions/upload-artifact) from 3 to 4.
-    - [Release notes](https://github.com/actions/upload-artifact/releases)
-    - [Commits](https://github.com/actions/upload-artifact/compare/v3...v4)
-    
-    ---
-    updated-dependencies:
-    - dependency-name: actions/upload-artifact
-      dependency-type: direct:production
-      update-type: version-update:semver-major
-    ...
-    
-    Signed-off-by: dependabot[bot] <support@github.com>
-
- .github/workflows/msvc-analysis.yml | 2 +-
- .github/workflows/test-times.yml    | 2 +-
- 2 files changed, 2 insertions(+), 2 deletions(-)
-
-commit c106e66d43033edcd493166137c813473661074f
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 17 Dec 2023 23:20:12 +0100
-
-    merge
-
- fuzz-test-suite/CMakeLists.txt | 19 ++++++++++++++-----
- 1 file changed, 14 insertions(+), 5 deletions(-)
-
-commit 604308a763c4e78e45e2a2cc1357634a70e8a1ab
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 17 Dec 2023 23:14:00 +0100
-
-    merge
-
- test-suite/CMakeLists.txt            |  89 ++------------
- test-suite/testsuite.vcxproj         |  77 +-----------
- test-suite/testsuite.vcxproj.filters | 227 ++---------------------------------
- 3 files changed, 24 insertions(+), 369 deletions(-)
-
-commit d98f85a9e94c292668193dbffe8250af2a900a61
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 17 Dec 2023 23:06:59 +0100
-
-    merge
-
- .github/workflows/cmake.yml                        |     6 +-
- .github/workflows/devenv-images.yml                |     2 +-
- .github/workflows/msvc-analysis.yml                |     2 +-
- .github/workflows/stale.yml                        |     2 +-
- LICENSE.TXT                                        |     2 +
- fuzz-test-suite/amortizedbondsfuzzer.cpp           |    80 +
- fuzz-test-suite/fuzzamericanoption.cpp             |   131 +
- ql/currency.cpp                                    |    39 +-
- ql/currency.hpp                                    |    40 +
- ql/instruments/makeois.cpp                         |   110 +-
- ql/instruments/makeois.hpp                         |    14 +-
- ql/math/randomnumbers/sobolrsg.cpp                 | 77973 +++++++++----------
- ql/math/randomnumbers/sobolrsg.hpp                 |    18 +-
- ql/math/solver1d.hpp                               |     2 +-
- ql/money.cpp                                       |   168 +-
- ql/prices.hpp                                      |     6 +-
- ql/pricingengines/swaption/blackswaptionengine.hpp |     7 +-
- ql/termstructures/globalbootstrap.hpp              |    39 +-
- ql/termstructures/yield/oisratehelper.cpp          |    33 +-
- ql/termstructures/yield/oisratehelper.hpp          |    10 +-
- ql/time/date.hpp                                   |     2 +-
- test-suite/Makefile.am                             |    88 +-
- test-suite/americanoption.cpp                      |   443 +-
- test-suite/amortizingbond.cpp                      |     4 +-
- test-suite/andreasenhugevolatilityinterpl.cpp      |   481 +-
- test-suite/array.cpp                               |    16 +-
- test-suite/asianoptions.cpp                        |   155 +-
- test-suite/assetswap.cpp                           |   105 +-
- test-suite/autocovariances.cpp                     |     6 +-
- test-suite/barrieroption.cpp                       |   136 +-
- test-suite/basismodels.cpp                         |   324 +-
- test-suite/basisswapratehelpers.cpp                |   323 +-
- test-suite/basketoption.cpp                        |   241 +-
- test-suite/batesmodel.cpp                          |    75 +-
- test-suite/bermudanswaption.cpp                    |   129 +-
- test-suite/binaryoption.cpp                        |    68 +-
- test-suite/blackdeltacalculator.cpp                |    63 +-
- test-suite/blackformula.cpp                        |     6 +-
- test-suite/bondforward.cpp                         |    76 +-
- test-suite/bonds.cpp                               |    81 +-
- test-suite/brownianbridge.cpp                      |    47 +-
- test-suite/businessdayconventions.cpp              |    46 +-
- test-suite/calendars.cpp                           |     6 +-
- test-suite/callablebonds.cpp                       |    91 +-
- test-suite/capfloor.cpp                            |   189 +-
- test-suite/capflooredcoupon.cpp                    |   260 +-
- test-suite/cashflows.cpp                           |    17 +-
- test-suite/catbonds.cpp                            |    65 +-
- test-suite/cdo.cpp                                 |   113 +-
- test-suite/cdsoption.cpp                           |     6 +-
- test-suite/chooseroption.cpp                       |    10 +-
- test-suite/cliquetoption.cpp                       |   253 +-
- test-suite/cms.cpp                                 |   293 +-
- test-suite/cms_normal.cpp                          |   295 +-
- test-suite/cmsspread.cpp                           |    17 +-
- test-suite/commodityunitofmeasure.cpp              |     4 +-
- test-suite/compiledboostversion.cpp                |     6 +-
- test-suite/compoundoption.cpp                      |    53 +-
- test-suite/convertiblebonds.cpp                    |    93 +-
- test-suite/covariance.cpp                          |    27 +-
- test-suite/creditdefaultswap.cpp                   |     6 +-
- test-suite/creditriskplus.cpp                      |     6 +-
- test-suite/crosscurrencyratehelpers.cpp            |   340 +-
- test-suite/currency.cpp                            |     8 +-
- test-suite/curvestates.cpp                         |   169 +-
- test-suite/dates.cpp                               |     6 +-
- test-suite/daycounters.cpp                         |   139 +-
- test-suite/defaultprobabilitycurves.cpp            |   221 +-
- test-suite/digitalcoupon.cpp                       |    79 +-
- test-suite/digitaloption.cpp                       |    37 +-
- test-suite/distributions.cpp                       |   342 +-
- test-suite/dividendoption.cpp                      |   454 +-
- test-suite/doublebarrieroption.cpp                 |   121 +-
- test-suite/doublebinaryoption.cpp                  |    38 +-
- test-suite/equitycashflow.cpp                      |   240 +-
- test-suite/equityindex.cpp                         |    84 +-
- test-suite/equitytotalreturnswap.cpp               |   334 +-
- test-suite/europeanoption.cpp                      |   300 +-
- test-suite/everestoption.cpp                       |     6 +-
- test-suite/exchangerate.cpp                        |     6 +-
- test-suite/extendedtrees.cpp                       |   296 +-
- test-suite/extensibleoptions.cpp                   |     6 +-
- test-suite/fastfouriertransform.cpp                |     6 +-
- test-suite/fdcev.cpp                               |    26 +-
- test-suite/fdcir.cpp                               |     4 +-
- test-suite/fdheston.cpp                            |   142 +-
- test-suite/fdmlinearop.cpp                         |   316 +-
- test-suite/fdsabr.cpp                              |   167 +-
- test-suite/fittedbonddiscountcurve.cpp             |     6 +-
- test-suite/forwardoption.cpp                       |   289 +-
- test-suite/forwardrateagreement.cpp                |     6 +-
- test-suite/functions.cpp                           |     4 +-
- test-suite/garch.cpp                               |    92 +-
- test-suite/gaussianquadratures.cpp                 |   209 +-
- test-suite/gjrgarchmodel.cpp                       |    24 +-
- test-suite/gsr.cpp                                 |     6 +-
- test-suite/hestonmodel.cpp                         |     3 -
- test-suite/hestonslvmodel.cpp                      |   865 +-
- test-suite/himalayaoption.cpp                      |     6 +-
- test-suite/hybridhestonhullwhiteprocess.cpp        |   248 +-
- test-suite/indexes.cpp                             |     6 +-
- test-suite/inflation.cpp                           |   310 +-
- test-suite/inflationcapfloor.cpp                   |   319 +-
- test-suite/inflationcapflooredcoupon.cpp           |   444 +-
- test-suite/inflationcpibond.cpp                    |   203 +-
- test-suite/inflationcpicapfloor.cpp                |   468 +-
- test-suite/inflationcpiswap.cpp                    |   360 +-
- test-suite/inflationvolatility.cpp                 |   430 +-
- test-suite/instruments.cpp                         |     6 +-
- test-suite/integrals.cpp                           |   227 +-
- test-suite/interestrates.cpp                       |    30 +-
- test-suite/interpolations.cpp                      |   310 +-
- test-suite/jumpdiffusion.cpp                       |    39 +-
- test-suite/lazyobject.cpp                          |    41 +-
- test-suite/libormarketmodel.cpp                    |   112 +-
- test-suite/libormarketmodelprocess.cpp             |   105 +-
- test-suite/linearleastsquaresregression.cpp        |    25 +-
- test-suite/lookbackoptions.cpp                     |    55 +-
- test-suite/lowdiscrepancysequences.cpp             |   642 +-
- test-suite/margrabeoption.cpp                      |   104 +-
- test-suite/margrabeoption.hpp                      |    34 -
- test-suite/marketmodel.hpp                         |     2 +-
- test-suite/marketmodel_cms.cpp                     |   683 +-
- test-suite/marketmodel_cms.hpp                     |    37 -
- test-suite/marketmodel_smm.cpp                     |   681 +-
- test-suite/marketmodel_smm.hpp                     |    50 -
- .../marketmodel_smmcapletalphacalibration.cpp      |   298 +-
- .../marketmodel_smmcapletalphacalibration.hpp      |    34 -
- test-suite/marketmodel_smmcapletcalibration.cpp    |   299 +-
- test-suite/marketmodel_smmcapletcalibration.hpp    |    34 -
- .../marketmodel_smmcaplethomocalibration.cpp       |   327 +-
- .../marketmodel_smmcaplethomocalibration.hpp       |    36 -
- test-suite/markovfunctional.cpp                    |  1000 +-
- test-suite/markovfunctional.hpp                    |    40 -
- test-suite/matrices.cpp                            |   246 +-
- test-suite/matrices.hpp                            |    52 -
- test-suite/mclongstaffschwartzengine.cpp           |   153 +-
- test-suite/mclongstaffschwartzengine.hpp           |    37 -
- test-suite/mersennetwister.cpp                     |    16 +-
- test-suite/mersennetwister.hpp                     |    35 -
- test-suite/money.cpp                               |   187 +-
- test-suite/money.hpp                               |    37 -
- test-suite/noarbsabr.cpp                           |    21 +-
- test-suite/noarbsabr.hpp                           |    36 -
- test-suite/normalclvmodel.cpp                      |    66 +-
- test-suite/normalclvmodel.hpp                      |    37 -
- test-suite/nthorderderivativeop.cpp                |   622 +-
- test-suite/nthorderderivativeop.hpp                |    47 -
- test-suite/nthtodefault.cpp                        |   148 +-
- test-suite/nthtodefault.hpp                        |    36 -
- test-suite/numericaldifferentiation.cpp            |   137 +-
- test-suite/numericaldifferentiation.hpp            |    38 -
- test-suite/observable.cpp                          |   224 +-
- test-suite/observable.hpp                          |    41 -
- test-suite/ode.cpp                                 |    86 +-
- test-suite/ode.hpp                                 |    38 -
- test-suite/operators.cpp                           |    21 +-
- test-suite/operators.hpp                           |    38 -
- test-suite/optimizers.cpp                          |   540 +-
- test-suite/optimizers.hpp                          |    36 -
- test-suite/optionletstripper.cpp                   |   663 +-
- test-suite/optionletstripper.hpp                   |    42 -
- test-suite/overnightindexedcoupon.cpp              |   154 +-
- test-suite/overnightindexedcoupon.hpp              |    40 -
- test-suite/overnightindexedswap.cpp                |   443 +-
- test-suite/overnightindexedswap.hpp                |    46 -
- test-suite/pagodaoption.cpp                        |    16 +-
- test-suite/pagodaoption.hpp                        |    32 -
- test-suite/paralleltestrunner.hpp                  |     2 +-
- test-suite/partialtimebarrieroption.cpp            |    33 +-
- test-suite/partialtimebarrieroption.hpp            |    35 -
- test-suite/pathgenerator.cpp                       |   198 +-
- test-suite/pathgenerator.hpp                       |    36 -
- test-suite/period.cpp                              |    21 +-
- test-suite/period.hpp                              |    37 -
- test-suite/piecewiseyieldcurve.cpp                 |  1216 +-
- test-suite/piecewiseyieldcurve.hpp                 |    69 -
- test-suite/piecewisezerospreadedtermstructure.cpp  |   147 +-
- test-suite/piecewisezerospreadedtermstructure.hpp  |    43 -
- test-suite/{speedlevel.cpp => preconditions.cpp}   |     9 +-
- test-suite/{speedlevel.hpp => preconditions.hpp}   |     9 +-
- test-suite/prices.cpp                              |   213 +
- test-suite/quantlibglobalfixture.cpp               |    22 +-
- test-suite/quantlibglobalfixture.hpp               |     5 +-
- test-suite/quantlibtestsuite.cpp                   |   166 +-
- test-suite/quantooption.cpp                        |   339 +-
- test-suite/quantooption.hpp                        |    48 -
- test-suite/quotes.cpp                              |    46 +-
- test-suite/quotes.hpp                              |    39 -
- test-suite/rangeaccrual.cpp                        |   611 +-
- test-suite/rangeaccrual.hpp                        |    36 -
- test-suite/riskneutraldensitycalculator.cpp        |   188 +-
- test-suite/riskneutraldensitycalculator.hpp        |    42 -
- test-suite/riskstats.cpp                           |    16 +-
- test-suite/riskstats.hpp                           |    35 -
- test-suite/rngtraits.cpp                           |    26 +-
- test-suite/rngtraits.hpp                           |    39 -
- test-suite/rounding.cpp                            |   112 +-
- test-suite/rounding.hpp                            |    39 -
- test-suite/sampledcurve.cpp                        |    28 +-
- test-suite/sampledcurve.hpp                        |    35 -
- test-suite/schedule.cpp                            |   118 +-
- test-suite/schedule.hpp                            |    59 -
- test-suite/settings.cpp                            |    15 +-
- test-suite/settings.hpp                            |    35 -
- test-suite/shortratemodels.cpp                     |    50 +-
- test-suite/shortratemodels.hpp                     |    41 -
- test-suite/sofrfutures.cpp                         |    31 +-
- test-suite/sofrfutures.hpp                         |    32 -
- test-suite/solvers.cpp                             |   281 +-
- test-suite/solvers.hpp                             |    43 -
- test-suite/spreadoption.cpp                        |    17 +-
- test-suite/spreadoption.hpp                        |    35 -
- test-suite/squarerootclvmodel.cpp                  |  1026 +-
- test-suite/squarerootclvmodel.hpp                  |    34 -
- test-suite/stats.cpp                               |   493 +-
- test-suite/stats.hpp                               |    41 -
- test-suite/subperiodcoupons.cpp                    |   285 +-
- test-suite/subperiodcoupons.hpp                    |    42 -
- test-suite/svivolatility.cpp                       |    15 +-
- test-suite/svivolatility.hpp                       |    35 -
- test-suite/swap.cpp                                |   139 +-
- test-suite/swap.hpp                                |    41 -
- test-suite/swapforwardmappings.cpp                 |   419 +-
- test-suite/swapforwardmappings.hpp                 |    37 -
- test-suite/swaption.cpp                            |   213 +-
- test-suite/swaption.hpp                            |    46 -
- test-suite/swaptionvolatilitycube.cpp              |   219 +-
- test-suite/swaptionvolatilitycube.hpp              |    42 -
- test-suite/swaptionvolatilitymatrix.cpp            |   396 +-
- test-suite/swaptionvolatilitymatrix.hpp            |    36 -
- test-suite/swingoption.cpp                         |   144 +-
- test-suite/swingoption.hpp                         |    40 -
- test-suite/termstructures.cpp                      |   186 +-
- test-suite/termstructures.hpp                      |    45 -
- test-suite/timegrid.cpp                            |    75 +-
- test-suite/timegrid.hpp                            |    38 -
- test-suite/timeseries.cpp                          |    21 +-
- test-suite/timeseries.hpp                          |    38 -
- test-suite/tqreigendecomposition.cpp               |    24 +-
- test-suite/tqreigendecomposition.hpp               |    37 -
- test-suite/tracing.cpp                             |    86 +-
- test-suite/tracing.hpp                             |    35 -
- test-suite/transformedgrid.cpp                     |    15 +-
- test-suite/transformedgrid.hpp                     |    35 -
- test-suite/twoassetbarrieroption.cpp               |    48 +-
- test-suite/twoassetbarrieroption.hpp               |    35 -
- test-suite/twoassetcorrelationoption.cpp           |    17 +-
- test-suite/twoassetcorrelationoption.hpp           |    35 -
- test-suite/ultimateforwardtermstructure.cpp        |   227 +-
- test-suite/ultimateforwardtermstructure.hpp        |    41 -
- test-suite/variancegamma.cpp                       |    48 +-
- test-suite/variancegamma.hpp                       |    38 -
- test-suite/varianceoption.cpp                      |    16 +-
- test-suite/varianceoption.hpp                      |    35 -
- test-suite/varianceswaps.cpp                       |    95 +-
- test-suite/varianceswaps.hpp                       |    36 -
- test-suite/volatilitymodels.cpp                    |    15 +-
- test-suite/volatilitymodels.hpp                    |    35 -
- test-suite/vpp.cpp                                 |   390 +-
- test-suite/vpp.hpp                                 |    40 -
- test-suite/xoshiro256starstar.cpp                  |    27 +-
- test-suite/xoshiro256starstar.hpp                  |    34 -
- test-suite/zabr.cpp                                |    19 +-
- test-suite/zabr.hpp                                |    36 -
- test-suite/zerocouponswap.cpp                      |   332 +-
- test-suite/zerocouponswap.hpp                      |    37 -
- 267 files changed, 53943 insertions(+), 58024 deletions(-)
-
-commit 7b7553ad637dd6f27ff6f7287ecb97ea187796e1
-Merge: 2dfb5b3bf f43052105
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 17 Dec 2023 22:46:45 +0100
-
-    merge
-
-commit 2dfb5b3bf2abcdff878bab5ee40eb6935ead80d6
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 17 Dec 2023 20:32:49 +0100
-
-    bring back deprecated function
-
- ql/pricingengines/vanilla/analytichestonengine.cpp | 98 +++++++++++++++++++++-
- ql/pricingengines/vanilla/analytichestonengine.hpp | 18 ++++
- 2 files changed, 115 insertions(+), 1 deletion(-)
-
-commit 23b94c3f7680cad17cd067e36d18e1e06c8fb9e0
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 13:15:55 +0800
-
-    Migrated marketmodel.cpp
-
- test-suite/CMakeLists.txt            |    1 -
- test-suite/Makefile.am               |    1 -
- test-suite/marketmodel.cpp           | 1626 ++++++++++++++++------------------
- test-suite/marketmodel.hpp           |   61 --
- test-suite/quantlibtestsuite.cpp     |   10 -
- test-suite/testsuite.vcxproj         |    1 -
- test-suite/testsuite.vcxproj.filters |    3 -
- 7 files changed, 760 insertions(+), 943 deletions(-)
-
-commit f43052105e8d003e00800e639f5125a20f3eb96e
-Merge: 119c2f61f 98822d7ba
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Sun, 17 Dec 2023 19:50:35 +0100
-
-    Cleanup of automated tests (#1860)
-
-commit bc9ae0463dc637cbc57f412fc61607b366673758
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 17 Dec 2023 17:25:02 +0100
-
-    eliminate separate enum
-
- .../vanilla/exponentialfittinghestonengine.cpp       | 18 +++++++-----------
- .../vanilla/exponentialfittinghestonengine.hpp       | 20 +++-----------------
- test-suite/hestonmodel.cpp                           |  2 +-
- 3 files changed, 11 insertions(+), 29 deletions(-)
-
-commit 81c4add50fed5d769fdbbea9bde98a5fe66bd54b
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sun, 17 Dec 2023 15:33:43 +0100
-
-    cleanup: remove debug code
-
- test-suite/dates.cpp | 3 ---
- 1 file changed, 3 deletions(-)
-
-commit e5e01b7f2d69312de6f4f1768e84a07873443da7
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sun, 17 Dec 2023 15:22:41 +0100
-
-    ECB::isECBcode(code string): no temp string heap allocations
-
- ql/time/ecb.cpp | 35 ++++++++++++-----------------------
- 1 file changed, 12 insertions(+), 23 deletions(-)
-
-commit 9b10957b5504121bb9dd9feeec4af005154558a4
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sun, 17 Dec 2023 15:21:30 +0100
-
-    ECB::isECBcode(code string) tests
-
- test-suite/dates.cpp | 16 ++++++++++++++++
- 1 file changed, 16 insertions(+)
-
-commit 119c2f61fefb4d8fdba198e8029a40290b0a6185
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 14 Dec 2023 18:33:53 +0100
-
-    Upgrade some CI builds to Boost 1.84.0
-
- .github/workflows/cmake.yml         | 6 +++---
- .github/workflows/msvc-analysis.yml | 2 +-
- 2 files changed, 4 insertions(+), 4 deletions(-)
-
-commit 98822d7ba7c691f2972eb012d6e02b7b1516fc92
+commit fffcb9f5fb6dd53dea39eca51aeb1ec82f40fec1
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Sun, 17 Dec 2023 10:02:24 +0100
-
-    Remove unnecessary anonymous namespaces
-
- test-suite/americanoption.cpp                      |  414 ++++----
- test-suite/andreasenhugevolatilityinterpl.cpp      |  431 +++++----
- test-suite/array.cpp                               |   10 +-
- test-suite/asianoptions.cpp                        |  117 ++-
- test-suite/assetswap.cpp                           |   77 +-
- test-suite/barrieroption.cpp                       |  114 ++-
- test-suite/basismodels.cpp                         |  318 +++---
- test-suite/basisswapratehelpers.cpp                |  305 +++---
- test-suite/basketoption.cpp                        |  221 +++--
- test-suite/batesmodel.cpp                          |   67 +-
- test-suite/bermudanswaption.cpp                    |  113 ++-
- test-suite/binaryoption.cpp                        |   58 +-
- test-suite/blackdeltacalculator.cpp                |   47 +-
- test-suite/bondforward.cpp                         |   64 +-
- test-suite/bonds.cpp                               |   49 +-
- test-suite/brownianbridge.cpp                      |   39 +-
- test-suite/businessdayconventions.cpp              |   35 +-
- test-suite/callablebonds.cpp                       |   83 +-
- test-suite/capfloor.cpp                            |  163 ++--
- test-suite/capflooredcoupon.cpp                    |  248 +++--
- test-suite/catbonds.cpp                            |   43 +-
- test-suite/cdo.cpp                                 |   85 +-
- test-suite/cliquetoption.cpp                       |  245 +++--
- test-suite/cms.cpp                                 |  279 +++---
- test-suite/cms_normal.cpp                          |  281 +++---
- test-suite/cmsspread.cpp                           |    9 +-
- test-suite/compoundoption.cpp                      |   39 +-
- test-suite/convertiblebonds.cpp                    |   81 +-
- test-suite/covariance.cpp                          |   17 +-
- test-suite/crosscurrencyratehelpers.cpp            |  324 ++++---
- test-suite/curvestates.cpp                         |  139 ++-
- test-suite/daycounters.cpp                         |  115 ++-
- test-suite/defaultprobabilitycurves.cpp            |  215 ++---
- test-suite/digitalcoupon.cpp                       |   53 +-
- test-suite/digitaloption.cpp                       |   27 +-
- test-suite/distributions.cpp                       |  328 ++++---
- test-suite/dividendoption.cpp                      |  442 +++++----
- test-suite/doublebarrieroption.cpp                 |   71 +-
- test-suite/doublebinaryoption.cpp                  |   30 +-
- test-suite/equitycashflow.cpp                      |  220 +++--
- test-suite/equityindex.cpp                         |   54 +-
- test-suite/equitytotalreturnswap.cpp               |  316 +++---
- test-suite/europeanoption.cpp                      |  258 +++--
- test-suite/extendedtrees.cpp                       |  272 +++---
- test-suite/fdcev.cpp                               |   25 +-
- test-suite/fdheston.cpp                            |   98 +-
- test-suite/fdmlinearop.cpp                         |  238 +++--
- test-suite/fdsabr.cpp                              |  153 ++-
- test-suite/forwardoption.cpp                       |  265 +++--
- test-suite/garch.cpp                               |   80 +-
- test-suite/gaussianquadratures.cpp                 |  175 ++--
- test-suite/hestonmodel.cpp                         |  266 +++--
- test-suite/hestonslvmodel.cpp                      |  779 ++++++++-------
- test-suite/hybridhestonhullwhiteprocess.cpp        |  200 ++--
- test-suite/inflation.cpp                           |  294 +++---
- test-suite/inflationcapfloor.cpp                   |  305 +++---
- test-suite/inflationcapflooredcoupon.cpp           |  430 +++++----
- test-suite/inflationcpibond.cpp                    |  191 ++--
- test-suite/inflationcpicapfloor.cpp                |  454 +++++----
- test-suite/inflationcpiswap.cpp                    |  344 ++++---
- test-suite/inflationvolatility.cpp                 |  414 ++++----
- test-suite/integrals.cpp                           |  152 ++-
- test-suite/interestrates.cpp                       |   24 +-
- test-suite/interpolations.cpp                      |  307 +++---
- test-suite/jumpdiffusion.cpp                       |   29 +-
- test-suite/lazyobject.cpp                          |   25 +-
- test-suite/libormarketmodel.cpp                    |   65 +-
- test-suite/libormarketmodelprocess.cpp             |   79 +-
- test-suite/linearleastsquaresregression.cpp        |   17 +-
- test-suite/lookbackoptions.cpp                     |   37 +-
- test-suite/lowdiscrepancysequences.cpp             |  629 ++++++------
- test-suite/margrabeoption.cpp                      |   77 +-
- test-suite/marketmodel_cms.cpp                     |  631 ++++++------
- test-suite/marketmodel_smm.cpp                     |  617 ++++++------
- .../marketmodel_smmcapletalphacalibration.cpp      |  277 +++---
- test-suite/marketmodel_smmcapletcalibration.cpp    |  277 +++---
- .../marketmodel_smmcaplethomocalibration.cpp       |  277 +++---
- test-suite/markovfunctional.cpp                    |  696 +++++++-------
- test-suite/matrices.cpp                            |  165 ++--
- test-suite/mclongstaffschwartzengine.cpp           |  134 ++-
- test-suite/money.cpp                               |   21 +-
- test-suite/noarbsabr.cpp                           |    3 +-
- test-suite/normalclvmodel.cpp                      |   19 +-
- test-suite/nthorderderivativeop.cpp                |  531 +++++-----
- test-suite/nthtodefault.cpp                        |  105 +-
- test-suite/numericaldifferentiation.cpp            |   91 +-
- test-suite/observable.cpp                          |  148 ++-
- test-suite/ode.cpp                                 |   67 +-
- test-suite/optimizers.cpp                          |  502 +++++-----
- test-suite/optionletstripper.cpp                   |  614 ++++++------
- test-suite/overnightindexedcoupon.cpp              |   88 +-
- test-suite/overnightindexedswap.cpp                |  333 ++++---
- test-suite/partialtimebarrieroption.cpp            |   15 +-
- test-suite/pathgenerator.cpp                       |  179 ++--
- test-suite/piecewiseyieldcurve.cpp                 | 1012 ++++++++++----------
- test-suite/piecewisezerospreadedtermstructure.cpp  |   77 +-
- test-suite/quantooption.cpp                        |  136 ++-
- test-suite/quotes.cpp                              |   15 +-
- test-suite/rangeaccrual.cpp                        |  577 ++++++-----
- test-suite/riskneutraldensitycalculator.cpp        |  142 ++-
- test-suite/rounding.cpp                            |   69 +-
- test-suite/sampledcurve.cpp                        |   11 +-
- test-suite/schedule.cpp                            |   27 +-
- test-suite/shortratemodels.cpp                     |   13 +-
- test-suite/sofrfutures.cpp                         |   17 +-
- test-suite/solvers.cpp                             |  245 +++--
- test-suite/squarerootclvmodel.cpp                  |  277 +++---
- test-suite/stats.cpp                               |  452 +++++----
- test-suite/subperiodcoupons.cpp                    |  236 +++--
- test-suite/swap.cpp                                |   91 +-
- test-suite/swapforwardmappings.cpp                 |  217 ++---
- test-suite/swaption.cpp                            |  126 ++-
- test-suite/swaptionvolatilitycube.cpp              |  159 ++-
- test-suite/swaptionvolatilitymatrix.cpp            |  367 ++++---
- test-suite/swingoption.cpp                         |   75 +-
- test-suite/termstructures.cpp                      |  119 ++-
- test-suite/tracing.cpp                             |   71 +-
- test-suite/twoassetbarrieroption.cpp               |   33 +-
- test-suite/ultimateforwardtermstructure.cpp        |  180 ++--
- test-suite/variancegamma.cpp                       |   32 +-
- test-suite/varianceswaps.cpp                       |   69 +-
- test-suite/vpp.cpp                                 |  291 +++---
- test-suite/zerocouponswap.cpp                      |  307 +++---
- 123 files changed, 11946 insertions(+), 12355 deletions(-)
-
-commit 0e9eb9e965344240a72cea10476a9dbf75a0d943
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 16 Dec 2023 16:00:54 +0100
-
-    ECB::nextCode(code string): removed temp strings in implementation
-
- ql/time/ecb.cpp | 67 ++++++++++++++++++++++++++++++++++-----------------------
- 1 file changed, 40 insertions(+), 27 deletions(-)
-
-commit d41cc2ae585eae912a6f5f790c9c528053de0dd4
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 16 Dec 2023 15:22:44 +0100
+Date:   Fri, 22 Mar 2024 12:00:39 +0100
 
-    ECB::nextCode(code string) tests
-
- test-suite/dates.cpp | 13 +++++++++++++
- 1 file changed, 13 insertions(+)
-
-commit 319a750f33cd63d5d4d3e5fbb72c7941d2602be1
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 16 Dec 2023 15:16:25 +0100
-
-    ECB::code(date) simplification + no temp strings
-
- ql/time/ecb.cpp | 64 +++++++++++++--------------------------------------------
- 1 file changed, 14 insertions(+), 50 deletions(-)
-
-commit d66e597f36d90987ad9fed6df209fa6e9c92ba5b
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 16 Dec 2023 14:17:38 +0100
+    Use fixed vs floater swap
 
-    ECB::code(date) tests
+ ql/cashflows/lineartsrpricer.cpp | 17 ++++++-----------
+ ql/cashflows/lineartsrpricer.hpp |  4 ++--
+ 2 files changed, 8 insertions(+), 13 deletions(-)
 
- test-suite/dates.cpp | 8 ++++++++
- 1 file changed, 8 insertions(+)
-
-commit 7f690fc81073856bb21124ee14051fd26212ce04
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 16 Dec 2023 13:55:39 +0100
-
-    cleanup: move static object into anonymous ns
-
- ql/time/ecb.cpp | 8 +++-----
- 1 file changed, 3 insertions(+), 5 deletions(-)
-
-commit dfff9140712d729b83866df418ed0503c09076d5
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 16 Dec 2023 13:51:33 +0100
-
-    cleanup: format array of dates; include archive.org link to data
-
- ql/time/ecb.cpp | 73 +++++++++++++++++++++++++++++++++------------------------
- 1 file changed, 42 insertions(+), 31 deletions(-)
-
-commit f79a76bf59b72dc58fa934fe5fb589d99738fa10
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 13 Dec 2023 19:14:17 +0100
-
-    ECB::date(code) tests
-
- test-suite/dates.cpp | 17 +++++++++++++++++
- 1 file changed, 17 insertions(+)
-
-commit c56cac2c2ceb598741181628a13e5516773a8413
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 16 Dec 2023 13:07:38 +0100
+commit a5a6c5504ef50be09733f2409a8454724240f3db
+Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
+Date:   Fri, 22 Mar 2024 08:08:21 +0000
 
-    boost::string_view::contains not available in older versions
+    Fixes accumulate to work with the Real type in laplaceinterpolation.cpp
 
- ql/time/asx.cpp | 2 +-
+ ql/experimental/math/laplaceinterpolation.cpp | 2 +-
  1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit bedde48f5fa36c27702b5d1dfc2c209029ee16bc
-Merge: e03b7c383 c9b2ead68
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 15 Dec 2023 17:31:56 +0100
-
-    Fix typo (#1858)
+commit 2a7555baef3be926f8fe2ddff7b5a436ee7f812b
+Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
+Date:   Fri, 22 Mar 2024 07:48:23 +0000
 
-commit 6171c004459165cff3918fbf1f2b0af9513877ff
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 14 Dec 2023 18:10:22 +0100
+    Correct cast to Real for ternary expression
 
-    Use test-suite namespaces to avoid ambiguities.
-    
-    BOOST_AUTO_TEST_SUITE defines a namespace, so utilities
-    in test files don't need to be in a namespace (anonymous
-    or otherwise) to avoid ambiguities, even in unity builds.
-
- test-suite/americanoption.cpp                      | 10 +--
- test-suite/amortizingbond.cpp                      |  4 +-
- test-suite/andreasenhugevolatilityinterpl.cpp      | 30 ++------
- test-suite/array.cpp                               | 12 ++-
- test-suite/asianoptions.cpp                        | 10 +--
- test-suite/assetswap.cpp                           | 30 ++------
- test-suite/autocovariances.cpp                     |  6 +-
- test-suite/barrieroption.cpp                       | 18 ++---
- test-suite/basismodels.cpp                         |  8 +-
- test-suite/basisswapratehelpers.cpp                | 20 ++---
- test-suite/basketoption.cpp                        |  8 +-
- test-suite/batesmodel.cpp                          | 16 ++--
- test-suite/bermudanswaption.cpp                    | 16 ++--
- test-suite/binaryoption.cpp                        | 16 ++--
- test-suite/blackdeltacalculator.cpp                | 18 ++---
- test-suite/blackformula.cpp                        |  6 +-
- test-suite/bondforward.cpp                         | 18 ++---
- test-suite/bonds.cpp                               | 34 ++-------
- test-suite/brownianbridge.cpp                      | 10 +--
- test-suite/businessdayconventions.cpp              | 15 ++--
- test-suite/calendars.cpp                           |  6 +-
- test-suite/callablebonds.cpp                       |  8 +-
- test-suite/capfloor.cpp                            | 32 ++------
- test-suite/capflooredcoupon.cpp                    | 14 ++--
- test-suite/cashflows.cpp                           |  6 +-
- test-suite/catbonds.cpp                            | 26 ++-----
- test-suite/cdo.cpp                                 | 16 ++--
- test-suite/cdsoption.cpp                           |  4 +-
- test-suite/chooseroption.cpp                       | 10 +--
- test-suite/cliquetoption.cpp                       |  8 +-
- test-suite/cms.cpp                                 | 18 ++---
- test-suite/cms_normal.cpp                          | 18 ++---
- test-suite/cmsspread.cpp                           |  8 +-
- test-suite/commodityunitofmeasure.cpp              |  4 +-
- test-suite/compiledboostversion.cpp                |  4 +-
- test-suite/compoundoption.cpp                      | 16 ++--
- test-suite/convertiblebonds.cpp                    | 16 ++--
- test-suite/covariance.cpp                          | 16 ++--
- test-suite/creditdefaultswap.cpp                   |  6 +-
- test-suite/creditriskplus.cpp                      |  4 +-
- test-suite/crosscurrencyratehelpers.cpp            | 18 ++---
- test-suite/currency.cpp                            |  6 +-
- test-suite/curvestates.cpp                         | 34 ++-------
- test-suite/dates.cpp                               |  6 +-
- test-suite/daycounters.cpp                         | 28 +++----
- test-suite/defaultprobabilitycurves.cpp            |  6 +-
- test-suite/digitalcoupon.cpp                       | 28 ++-----
- test-suite/digitaloption.cpp                       | 10 +--
- test-suite/distributions.cpp                       | 20 ++---
- test-suite/dividendoption.cpp                      | 10 +--
- test-suite/doublebarrieroption.cpp                 | 16 ++--
- test-suite/doublebinaryoption.cpp                  | 10 +--
- test-suite/equitycashflow.cpp                      | 28 ++-----
- test-suite/equityindex.cpp                         | 36 ++-------
- test-suite/equitytotalreturnswap.cpp               | 22 ++----
- test-suite/europeanoption.cpp                      | 56 ++------------
- test-suite/everestoption.cpp                       |  4 +-
- test-suite/exchangerate.cpp                        |  6 +-
- test-suite/extendedtrees.cpp                       | 32 ++------
- test-suite/extensibleoptions.cpp                   |  4 +-
- test-suite/fastfouriertransform.cpp                |  6 +-
- test-suite/fdcev.cpp                               |  9 +--
- test-suite/fdcir.cpp                               |  4 +-
- test-suite/fdheston.cpp                            | 16 ++--
- test-suite/fdmlinearop.cpp                         | 14 ++--
- test-suite/fdsabr.cpp                              | 10 +--
- test-suite/fittedbonddiscountcurve.cpp             |  6 +-
- test-suite/forwardoption.cpp                       | 10 +--
- test-suite/forwardrateagreement.cpp                |  6 +-
- test-suite/functions.cpp                           |  6 +-
- test-suite/garch.cpp                               | 16 ++--
- test-suite/gaussianquadratures.cpp                 | 30 ++------
- test-suite/gjrgarchmodel.cpp                       |  6 +-
- test-suite/gsr.cpp                                 |  6 +-
- test-suite/hestonmodel.cpp                         |  8 +-
- test-suite/hestonslvmodel.cpp                      |  8 +-
- test-suite/himalayaoption.cpp                      |  6 +-
- test-suite/hybridhestonhullwhiteprocess.cpp        | 16 ++--
- test-suite/indexes.cpp                             |  6 +-
- test-suite/inflation.cpp                           | 18 ++---
- test-suite/inflationcapfloor.cpp                   | 18 ++---
- test-suite/inflationcapflooredcoupon.cpp           | 16 ++--
- test-suite/inflationcpibond.cpp                    | 16 ++--
- test-suite/inflationcpicapfloor.cpp                | 16 ++--
- test-suite/inflationcpiswap.cpp                    | 20 ++---
- test-suite/inflationvolatility.cpp                 | 16 ++--
- test-suite/instruments.cpp                         |  6 +-
- test-suite/integrals.cpp                           | 87 +++++++--------------
- test-suite/interestrates.cpp                       | 10 +--
- test-suite/interpolations.cpp                      |  9 ++-
- test-suite/jumpdiffusion.cpp                       | 10 +--
- test-suite/lazyobject.cpp                          | 22 +++---
- test-suite/libormarketmodel.cpp                    | 20 ++---
- test-suite/libormarketmodelprocess.cpp             | 16 ++--
- test-suite/linearleastsquaresregression.cpp        | 10 +--
- test-suite/lookbackoptions.cpp                     | 10 +--
- test-suite/lowdiscrepancysequences.cpp             |  4 +-
- test-suite/margrabeoption.cpp                      | 10 +--
- test-suite/marketmodel_cms.cpp                     | 14 ++--
- test-suite/marketmodel_smm.cpp                     | 14 ++--
- .../marketmodel_smmcapletalphacalibration.cpp      | 14 ++--
- test-suite/marketmodel_smmcapletcalibration.cpp    | 14 ++--
- .../marketmodel_smmcaplethomocalibration.cpp       | 16 ++--
- test-suite/markovfunctional.cpp                    | 10 +--
- test-suite/matrices.cpp                            | 30 ++------
- test-suite/mclongstaffschwartzengine.cpp           | 10 +--
- test-suite/mersennetwister.cpp                     |  6 +-
- test-suite/money.cpp                               |  4 +-
- test-suite/noarbsabr.cpp                           |  8 +-
- test-suite/normalclvmodel.cpp                      |  8 +-
- test-suite/nthorderderivativeop.cpp                |  6 +-
- test-suite/nthtodefault.cpp                        | 14 ++--
- test-suite/numericaldifferentiation.cpp            | 10 +--
- test-suite/observable.cpp                          | 10 +--
- test-suite/ode.cpp                                 | 10 +--
- test-suite/operators.cpp                           |  6 +-
- test-suite/optimizers.cpp                          | 10 +--
- test-suite/optionletstripper.cpp                   | 26 ++-----
- test-suite/overnightindexedcoupon.cpp              | 30 ++------
- test-suite/overnightindexedswap.cpp                | 34 +++------
- test-suite/pagodaoption.cpp                        |  4 +-
- test-suite/paralleltestrunner.hpp                  |  2 +-
- test-suite/partialtimebarrieroption.cpp            | 12 ++-
- test-suite/pathgenerator.cpp                       | 10 +--
- test-suite/period.cpp                              |  6 +-
- test-suite/piecewiseyieldcurve.cpp                 | 48 ++----------
- test-suite/piecewisezerospreadedtermstructure.cpp  | 32 ++------
- test-suite/prices.cpp                              |  4 +-
- test-suite/quantlibbenchmark.cpp                   | 89 +++++++++++-----------
- test-suite/quantooption.cpp                        |  8 +-
- test-suite/quotes.cpp                              | 16 ++--
- test-suite/rangeaccrual.cpp                        | 19 ++---
- test-suite/riskneutraldensitycalculator.cpp        |  4 +-
- test-suite/riskstats.cpp                           |  6 +-
- test-suite/rngtraits.cpp                           |  6 +-
- test-suite/rounding.cpp                            | 22 ++----
- test-suite/sampledcurve.cpp                        | 14 ++--
- test-suite/schedule.cpp                            | 10 +--
- test-suite/settings.cpp                            |  6 +-
- test-suite/shortratemodels.cpp                     | 18 ++---
- test-suite/sofrfutures.cpp                         | 10 +--
- test-suite/solvers.cpp                             | 10 +--
- test-suite/spreadoption.cpp                        |  8 +-
- test-suite/squarerootclvmodel.cpp                  | 15 ++--
- test-suite/stats.cpp                               | 10 +--
- test-suite/subperiodcoupons.cpp                    | 18 ++---
- test-suite/svivolatility.cpp                       |  4 +-
- test-suite/swap.cpp                                | 26 ++-----
- test-suite/swapforwardmappings.cpp                 | 10 +--
- test-suite/swaption.cpp                            | 30 ++------
- test-suite/swaptionvolatilitycube.cpp              | 26 ++-----
- test-suite/swaptionvolatilitymatrix.cpp            | 16 ++--
- test-suite/swingoption.cpp                         | 17 +----
- test-suite/termstructures.cpp                      | 32 ++------
- test-suite/timegrid.cpp                            |  6 +-
- test-suite/timeseries.cpp                          |  6 +-
- test-suite/tqreigendecomposition.cpp               |  6 +-
- test-suite/tracing.cpp                             | 10 +--
- test-suite/transformedgrid.cpp                     | 10 +--
- test-suite/twoassetbarrieroption.cpp               |  8 +-
- test-suite/twoassetcorrelationoption.cpp           |  4 +-
- test-suite/ultimateforwardtermstructure.cpp        | 24 ++----
- test-suite/variancegamma.cpp                       |  8 +-
- test-suite/varianceoption.cpp                      |  4 +-
- test-suite/varianceswaps.cpp                       | 10 +--
- test-suite/volatilitymodels.cpp                    |  6 +-
- test-suite/vpp.cpp                                 | 26 ++-----
- test-suite/xoshiro256starstar.cpp                  | 15 ++--
- test-suite/zabr.cpp                                |  4 +-
- test-suite/zerocouponswap.cpp                      | 24 ++----
- 170 files changed, 864 insertions(+), 1627 deletions(-)
-
-commit c9b2ead68840e46b15e61c6ffa978fbcbed11e8c
-Author: hoanggiapvu79116 <hoanggiapvuvhg@gmail.com>
-Date:   Fri, 15 Dec 2023 03:57:39 +1100
-
-    Fix typo
-
- ql/time/date.hpp | 2 +-
+ ql/experimental/math/laplaceinterpolation.cpp | 2 +-
  1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit 66de7b5779441f5afcbcfefda95e0a6dd6311f88
-Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
-Date:   Thu, 14 Dec 2023 16:36:33 +0100
-
-    Add known BoT/Thailand holidays for 2022-2024
-
- ql/time/calendars/thailand.cpp | 27 +++++++++++++++++++++++++++
- ql/time/calendars/thailand.hpp |  2 +-
- 2 files changed, 28 insertions(+), 1 deletion(-)
-
-commit f0e2e84cf55b5777363359c83f969f9278cd6209
-Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
-Date:   Thu, 14 Dec 2023 16:35:43 +0100
-
-    Correct rules for Thailand holidays until 2021
-
- ql/time/calendars/thailand.cpp | 13 ++++++-------
- ql/time/calendars/thailand.hpp |  5 +++--
- 2 files changed, 9 insertions(+), 9 deletions(-)
-
-commit 7aa44c8fe92a80f23fdf48a3eb154de0f983a91c
-Author: Matthias Groncki <matthias.groncki@acadiasoft.com>
-Date:   Fri, 18 Jun 2021 11:11:11 +0200
-
-    [touch:1720] Added Coronation Day and the H.M.Queen Suthida Bajrasudhabimalalakshana’s Birthday and the special and Lunar Calendar based holidays for 2019, 2020 and 2021
-
- ql/time/calendars/thailand.cpp | 69 +++++++++++++++++++++++++++++++-----------
- 1 file changed, 51 insertions(+), 18 deletions(-)
-
-commit 540a5753655e5d6a3ca69cc556e533ff7c288cd0
+commit 7356c36b276a36d1e8cd96db353d807af91ea2b0
+Merge: bdeb56ff9 5727400e1
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 14 Dec 2023 09:51:34 +0100
-
-    Remove separate "experimental" test suites.
-    
-    With manual registration, we could execute all main tests
-    first and all experimental ones later.  With automatic
-    registration, that's no longer true so there's no point.
-
- test-suite/asianoptions.cpp                 | 6 +-----
- test-suite/barrieroption.cpp                | 6 +-----
- test-suite/basismodels.cpp                  | 4 ++--
- test-suite/basisswapratehelpers.cpp         | 4 ++--
- test-suite/blackdeltacalculator.cpp         | 2 +-
- test-suite/callablebonds.cpp                | 4 ++--
- test-suite/catbonds.cpp                     | 4 ++--
- test-suite/cdo.cpp                          | 2 +-
- test-suite/cdsoption.cpp                    | 4 ++--
- test-suite/cmsspread.cpp                    | 4 ++--
- test-suite/commodityunitofmeasure.cpp       | 2 +-
- test-suite/compiledboostversion.cpp         | 4 ++--
- test-suite/creditriskplus.cpp               | 4 ++--
- test-suite/doublebarrieroption.cpp          | 6 +-----
- test-suite/europeanoption.cpp               | 6 +-----
- test-suite/everestoption.cpp                | 4 ++--
- test-suite/extendedtrees.cpp                | 4 ++--
- test-suite/extensibleoptions.cpp            | 4 ++--
- test-suite/gaussianquadratures.cpp          | 6 +-----
- test-suite/hestonmodel.cpp                  | 4 ----
- test-suite/inflationcpicapfloor.cpp         | 4 ++--
- test-suite/inflationvolatility.cpp          | 4 ++--
- test-suite/noarbsabr.cpp                    | 4 ++--
- test-suite/normalclvmodel.cpp               | 4 ++--
- test-suite/nthtodefault.cpp                 | 4 ++--
- test-suite/pagodaoption.cpp                 | 4 ++--
- test-suite/partialtimebarrieroption.cpp     | 4 ++--
- test-suite/quantooption.cpp                 | 6 +-----
- test-suite/riskneutraldensitycalculator.cpp | 4 ++--
- test-suite/spreadoption.cpp                 | 4 ++--
- test-suite/squarerootclvmodel.cpp           | 4 ++--
- test-suite/svivolatility.cpp                | 4 ++--
- test-suite/swingoption.cpp                  | 4 ++--
- test-suite/twoassetbarrieroption.cpp        | 4 ++--
- test-suite/twoassetcorrelationoption.cpp    | 4 ++--
- test-suite/variancegamma.cpp                | 4 ++--
- test-suite/varianceoption.cpp               | 4 ++--
- test-suite/vpp.cpp                          | 2 +-
- test-suite/zabr.cpp                         | 4 ++--
- 39 files changed, 66 insertions(+), 94 deletions(-)
-
-commit 1ea299080155a4d9d4fa1ae459c4797c604ec1db
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 13 Dec 2023 18:45:49 +0100
-
-    ECB::date(ecbCode) removed using std::string
-
- ql/time/ecb.cpp | 45 +++++++++++++++++++++++++++------------------
- 1 file changed, 27 insertions(+), 18 deletions(-)
-
-commit 0ef2cfc3a08e4118796bf6c8962013cfe4acfd55
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 13 Dec 2023 18:56:14 +0100
-
-    unit test: cleanup
-
- test-suite/dates.cpp | 50 +++++++++++++++++++++++---------------------------
- 1 file changed, 23 insertions(+), 27 deletions(-)
-
-commit 27c825a75e3b24cb01f3a3c7d050fe4192888d99
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 13 Dec 2023 18:05:21 +0100
+Date:   Thu, 21 Mar 2024 16:44:30 +0100
 
-    typo
+    handle non-equidistant grids and arbitrary dimensions in Laplace interpolation, add unit tests (#1931)
 
- test-suite/dates.cpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
-
-commit aec9a77e7d5c2cb855d357c5c1d129eb621a9681
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 13 Dec 2023 17:54:04 +0100
-
-    cleanup: remove unnecessary using statements
-
- ql/time/asx.cpp | 3 ---
- 1 file changed, 3 deletions(-)
-
-commit ced02765ce15acd961b490638ffea3a415365763
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 13 Dec 2023 17:52:42 +0100
-
-    ASX::date(): remove temporary mem allocation; simplify implementation
-
- ql/time/asx.cpp | 44 +++++++++++++++++---------------------------
- 1 file changed, 17 insertions(+), 27 deletions(-)
-
-commit 6ce309265755d9c3d4585343c2a6ec468686da7e
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 13 Dec 2023 17:19:27 +0100
-
-    ASX::code(): simplify implementation
-
- ql/time/asx.cpp | 65 ++++++++++++++-------------------------------------------
- 1 file changed, 16 insertions(+), 49 deletions(-)
-
-commit e03b7c383eb054c7930a60ba60545a1801ce7d14
-Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
-Date:   Wed, 13 Dec 2023 15:43:37 +0000
-
-    Update copyright list in license
-
- LICENSE.TXT | 2 ++
- 1 file changed, 2 insertions(+)
-
-commit 2526321bda5185d35cc26d6ac4fe0f80ac3e10b3
-Merge: edac8988a 9cfd2ab17
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 13 Dec 2023 16:43:17 +0100
-
-    fuzz: Add american option fuzzer (#1833)
+commit 5727400e1738fdf0935c0e600eaad01c77ab8922
+Author: Peter Caspers <peter.caspers@acadia.inc>
+Date:   Thu, 21 Mar 2024 15:07:03 +0100
 
-commit edac8988a31b71517129afcfeef2b965942a3335
-Merge: 591e3d7fc 279b4d73a
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 13 Dec 2023 14:42:26 +0100
+    remove template version, just support QuantLib::Matrix
 
-    GH-1791 add clarifying comment and unit test to confirm result caching (#1850)
+ ql/experimental/math/laplaceinterpolation.cpp | 10 +---------
+ ql/experimental/math/laplaceinterpolation.hpp |  4 ++--
+ 2 files changed, 3 insertions(+), 11 deletions(-)
 
-commit 591e3d7fc730b855e2aec2b5c4b92f8bf4dcc702
-Merge: 55f945c5a 4faa88f2b
+commit bdeb56ff99d43087825818f226e1e31c100983bc
+Merge: 8b687cb2e ea5fe1b55
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 13 Dec 2023 14:41:34 +0100
+Date:   Wed, 20 Mar 2024 16:13:35 +0100
 
-    Unit test for prices.hpp (#1841)
-
-commit e2290d4f9dac0549495ae1ca7fbe6a1debbf2ea4
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 12 Dec 2023 17:49:18 +0100
-
-    isASXcode: reimplement without temporary mem allocs
-
- ql/time/asx.cpp | 14 +++++++-------
- 1 file changed, 7 insertions(+), 7 deletions(-)
+    Bug fix - cross currency basis swap rate helpers settlement date payment (#1930)
 
-commit 55f945c5a6e574f714f65ec9c9e160fe58a0536c
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 13 Dec 2023 12:11:23 +0100
+commit 85448fc9950e3bf71e891804d37ff4440a2565ab
+Author: Peter Caspers <peter.caspers@acadia.inc>
+Date:   Tue, 19 Mar 2024 15:27:48 +0100
 
-    Fix typo
+    make ctor explicit
 
- fuzz-test-suite/amortizedbondsfuzzer.cpp | 2 +-
+ ql/experimental/math/laplaceinterpolation.cpp | 2 +-
  1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit 4faa88f2b1ed18c5cfe656884a76bdf437991214
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 13 Dec 2023 12:04:26 +0100
-
-    No need for an anonymous namespace
-
- test-suite/prices.cpp | 286 +++++++++++++++++++++++++-------------------------
- 1 file changed, 143 insertions(+), 143 deletions(-)
-
-commit 1cfefcfb1333cdd11fbcd9e5eb745a3b72ea58b2
-Merge: 5611dec05 5cf6983f7
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 13 Dec 2023 11:42:19 +0100
-
-    fuzz: Add amortized-bonds fuzzer (#1832)
-
-commit 37db27162620961d79ca2e5c82155de3546a6d0c
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 13 Dec 2023 11:40:51 +0100
-
-    Move process creation before engine creation
-
- fuzz-test-suite/fuzzamericanoption.cpp | 9 +++++----
- 1 file changed, 5 insertions(+), 4 deletions(-)
-
-commit 279b4d73a04e746d65cf95fc09f785959dbd8d33
+commit 93586e09011074f8d01976315ea067e5e3abe3d8
 Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Tue, 12 Dec 2023 19:33:20 +0100
-
-    GH-1791 add clarifying comment and unit test to confirm result caching
-
- ql/pricingengines/swaption/blackswaptionengine.hpp |  7 +++---
- test-suite/swaption.cpp                            | 26 ++++++++++++++++++++++
- 2 files changed, 30 insertions(+), 3 deletions(-)
-
-commit 5cf6983f70c4998d38fc5da7929de0ff7f06b4c9
-Author: Nathaniel Brough <nathaniel.brough@gmail.com>
-Date:   Wed, 15 Nov 2023 14:44:47 -0800
-
-    fuzz: Add amortized-bonds fuzzer
-
- fuzz-test-suite/CMakeLists.txt           | 12 +++--
- fuzz-test-suite/amortizedbondsfuzzer.cpp | 80 ++++++++++++++++++++++++++++++++
- 2 files changed, 87 insertions(+), 5 deletions(-)
-
-commit f5815856090725fce16e1995f8f2f39d3827086f
-Author: Nathaniel Brough <nathaniel.brough@gmail.com>
-Date:   Wed, 15 Nov 2023 16:20:36 -0800
-
-    fuzz: Add american option fuzzer
-
- fuzz-test-suite/CMakeLists.txt         |  11 ++-
- fuzz-test-suite/fuzzamericanoption.cpp | 130 +++++++++++++++++++++++++++++++++
- 2 files changed, 137 insertions(+), 4 deletions(-)
-
-commit e5133dad3d0e1f0762f2407c1cc40a07437a805e
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 12 Dec 2023 17:32:26 +0100
-
-    test isASXdate, nextDate, nextCode
-
- test-suite/dates.cpp | 31 +++++++++++++++++++++++++++++++
- 1 file changed, 31 insertions(+)
-
-commit 5df997add0404e933cd91cbd871798d6bb1fa149
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 12 Dec 2023 16:31:57 +0100
+Date:   Tue, 19 Mar 2024 15:10:48 +0100
 
-    cleanup unit test
+    update make file
 
- test-suite/dates.cpp | 32 +++++++++++++-------------------
- 1 file changed, 13 insertions(+), 19 deletions(-)
-
-commit 79d1b1f9148315331ea41c3daada116216dcf40b
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 12 Dec 2023 16:04:42 +0100
-
-    const correctness
-
- test-suite/timeseries.cpp | 4 ++--
- 1 file changed, 2 insertions(+), 2 deletions(-)
-
-commit fa81ccfbf95bdf9fcef108b21cd8491d8ce2cb39
-Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
-Date:   Tue, 12 Dec 2023 15:52:03 +0100
-
-    Stop moving Juneteenth to Friday if Saturday for Fed
-
- ql/time/calendars/unitedstates.cpp |  8 ++++----
- test-suite/calendars.cpp           | 30 ++++++++++++++++++++++++++++++
- 2 files changed, 34 insertions(+), 4 deletions(-)
-
-commit 3004b51520bc60753389782bffcb7be9c6b13a6c
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 12 Dec 2023 14:07:24 +0100
-
-    test utilities: find, dates, values
-
- test-suite/timeseries.cpp | 44 ++++++++++++++++++++++++++++++++++++++++++++
- 1 file changed, 44 insertions(+)
-
-commit 3966f81d260e1dfd87b58917a3e1223d2415ed1b
-Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
-Date:   Tue, 12 Dec 2023 15:06:22 +0100
-
-    Add TWSE holidays for 2024 to Taiwan calendar
-
- ql/time/calendars/taiwan.cpp | 20 ++++++++++++++++++++
- ql/time/calendars/taiwan.hpp |  3 ++-
- 2 files changed, 22 insertions(+), 1 deletion(-)
-
-commit c2dcfd90bcfd6e7e94eab7efeef5e14c1ce776f4
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sun, 10 Dec 2023 14:07:22 +0100
-
-    test inspectors: firstDate, size, empty
-
- test-suite/timeseries.cpp | 8 +++++---
- 1 file changed, 5 insertions(+), 3 deletions(-)
-
-commit ed051227cce85e6fdbcd27fa38f85e7bbe21945d
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sun, 10 Dec 2023 14:04:10 +0100
-
-    split up test
-
- test-suite/timeseries.cpp | 112 +++++++++++++++++++++++-----------------------
- 1 file changed, 55 insertions(+), 57 deletions(-)
-
-commit 8f7493900ee3e2058dc1a24c6b8dbdd6d0d02a71
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 12 Dec 2023 14:17:29 +0100
-
-    remove nested anonymous namespaces
-
- test-suite/prices.cpp | 32 ++++++++++++++------------------
- 1 file changed, 14 insertions(+), 18 deletions(-)
-
-commit f8cbb3690b73da0bd15e3019129aa5b3a8c5e4e4
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 12 Dec 2023 14:17:02 +0100
+ ql/experimental/math/Makefile.am | 1 +
+ 1 file changed, 1 insertion(+)
 
-    fix copy-paste errors
+commit 3e1e10ffea614dd3da1f4ce1b86db83bcbd27858
+Author: Peter Caspers <peter.caspers@acadia.inc>
+Date:   Tue, 19 Mar 2024 15:02:48 +0100
 
- test-suite/prices.cpp | 7 +++----
- 1 file changed, 3 insertions(+), 4 deletions(-)
+    update project files, fix typo
 
-commit e3939ca436998d568e664d269f4cf4f0d0783cc6
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 12 Dec 2023 14:13:23 +0100
+ QuantLib.vcxproj                              | 1 +
+ QuantLib.vcxproj.filters                      | 3 +++
+ ql/experimental/math/laplaceinterpolation.cpp | 2 +-
+ 3 files changed, 5 insertions(+), 1 deletion(-)
 
-    claim copyright
+commit 628ebc5810accc29eab68de65fb78689682e0af0
+Author: Peter Caspers <peter.caspers@acadia.inc>
+Date:   Tue, 19 Mar 2024 14:54:08 +0100
 
- test-suite/prices.cpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+    handle non-equidistant grids and arbitrary dimensions
 
-commit 5611dec05f484abd5973519b5bc73b703b0fe696
-Merge: 6304a211b 23e541c6e
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 12 Dec 2023 10:34:06 +0100
+ ql/CMakeLists.txt                             |   1 +
+ ql/experimental/math/laplaceinterpolation.cpp | 253 +++++++++++++++++++++++++
+ ql/experimental/math/laplaceinterpolation.hpp | 173 +++++------------
+ test-suite/interpolations.cpp                 | 261 ++++++++++++++++++++++++++
+ 4 files changed, 557 insertions(+), 131 deletions(-)
 
-    TimeGrid: Complete the unit tests (#1844)
+commit ea5fe1b55d34e1661c5564ecc790fcb7983f3085
+Author: Marcin Rybacki <m.rybacki@basispoint.io>
+Date:   Mon, 18 Mar 2024 11:27:37 +0100
 
-commit 6304a211bbc1b4b4cc1c84c22c1553c218ef0509
-Merge: aab8c6979 30e1ec114
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 12 Dec 2023 10:33:21 +0100
+    Use correct discount rate for settlement date cash flow
 
-    Clean up types in SobolRsg (#1843)
+ .../termstructures/crosscurrencyratehelpers.cpp    |  5 ++-
+ test-suite/crosscurrencyratehelpers.cpp            | 37 ++++++++++++++--------
+ 2 files changed, 27 insertions(+), 15 deletions(-)
 
-commit aab8c69792a7d15447ebedce919431f53df0f1a2
-Merge: c74153225 7d1c6b838
+commit ebf1f8871d5ed07d6bbf2fad6daf98b84021352f
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 12 Dec 2023 00:21:24 +0100
-
-    Deprecate Currency::format (#1810)
-
-commit 3a4dcb0ab73d11d67388e80d5daccffd6a987f17
-Author: moixastrikes <moixaprotocol@gmail.com>
-Date:   Mon, 11 Dec 2023 15:43:02 -0500
-
-    Added Dec. 31 NYE holiday to Chilean calendar in chile.cpp
-
- ql/time/calendars/chile.cpp | 2 ++
- 1 file changed, 2 insertions(+)
-
-commit c74153225811f8d2701bddb4c5fb70ccb32d9789
-Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
-Date:   Mon, 11 Dec 2023 11:45:45 +0000
+Date:   Fri, 15 Mar 2024 17:01:43 +0100
 
-    Bump actions/stale from 8 to 9
-    
-    Bumps [actions/stale](https://github.com/actions/stale) from 8 to 9.
-    - [Release notes](https://github.com/actions/stale/releases)
-    - [Changelog](https://github.com/actions/stale/blob/main/CHANGELOG.md)
-    - [Commits](https://github.com/actions/stale/compare/v8...v9)
-    
-    ---
-    updated-dependencies:
-    - dependency-name: actions/stale
-      dependency-type: direct:production
-      update-type: version-update:semver-major
-    ...
-    
-    Signed-off-by: dependabot[bot] <support@github.com>
+    Extract swap-building function
 
- .github/workflows/stale.yml | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+ .../calibrationhelpers/swaptionhelper.cpp          | 43 +++++++++-------------
+ .../calibrationhelpers/swaptionhelper.hpp          |  4 ++
+ 2 files changed, 22 insertions(+), 25 deletions(-)
 
-commit 7345a7d38b19e70c52fa1c84a0e475359deab6f7
+commit c329d29b788f41e192b520ca30633157595ba51f
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 11 Dec 2023 14:54:38 +0100
+Date:   Fri, 15 Mar 2024 16:48:58 +0100
 
-    Fix typo in template argument name
+    Use correct fixed rate and float schedule in OIS case
 
- ql/money.cpp | 4 ++--
- 1 file changed, 2 insertions(+), 2 deletions(-)
+ ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 12 +++++++-----
+ ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp |  9 +++------
+ 2 files changed, 10 insertions(+), 11 deletions(-)
 
-commit 86a8fa85552933a250ce66d75000522801e6e4a9
-Merge: 1cb2dfc4a 1bc5f91c0
+commit 8b687cb2ede10619ef8caa6a19b7ccc9c4ccc12b
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 11 Dec 2023 13:41:01 +0100
+Date:   Sun, 10 Mar 2024 20:39:18 +0100
 
-    Money: Implementation simplification and increased unit test coverage (#1840)
+    Avoid brew errors in CI setup
 
-commit 7d1c6b8386de79d5cd5c9095b0c97ee0e2058769
-Author: Jonathan Sweemer <sweemer@gmail.com>
-Date:   Tue, 10 Oct 2023 21:47:13 +0900
+ .github/workflows/doxygen.yml | 1 -
+ 1 file changed, 1 deletion(-)
 
-    Deprecate Currency::format
+commit f2597af011b10ff1cba8a05d1d8eb404bf866f1f
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Sun, 10 Mar 2024 20:29:33 +0100
 
- ql/currency.cpp         | 39 ++++++++++++++++++++++++++++++++++++++-
- ql/currency.hpp         | 40 ++++++++++++++++++++++++++++++++++++++++
- ql/money.cpp            | 11 +----------
- test-suite/currency.cpp |  2 +-
- 4 files changed, 80 insertions(+), 12 deletions(-)
+    Remove OSX 11 from build matrix.
 
-commit 23e541c6ee64822f89eac5888e1865ff61ea8f54
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 9 Dec 2023 22:31:41 +0100
+ .github/workflows/macos-nondefault.yml | 6 ------
+ .github/workflows/macos.yml            | 2 --
+ 2 files changed, 8 deletions(-)
 
-    undo whitespace changes
+commit 3e086ede50f25d8ea1d86eb14084c5c6fc5c12f2
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Sun, 10 Mar 2024 16:54:42 +0100
 
- test-suite/timegrid.cpp | 16 ++++++++--------
- 1 file changed, 8 insertions(+), 8 deletions(-)
+    Avoid reinstalling brew dependent packages
 
-commit 6abf054209bea0281d9ff41167c8cac8bc7a63a4
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 9 Dec 2023 22:25:50 +0100
+ .github/workflows/cmake.yml            | 2 ++
+ .github/workflows/macos-nondefault.yml | 2 ++
+ .github/workflows/macos.yml            | 2 ++
+ 3 files changed, 6 insertions(+)
 
-    better test message
+commit 992a8e18c34a637ce8a572d048c8a8ef5f1e56d0
+Merge: b56bebad8 6bb9c1f18
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Fri, 8 Mar 2024 19:17:35 +0100
 
- test-suite/timegrid.cpp | 19 ++++++++++---------
- 1 file changed, 10 insertions(+), 9 deletions(-)
+    Uses Real in GeometricBrownianMotionProcess instead of double (#1927)
 
-commit 30e1ec114cf54bc4a911bc81860c8736eb3d268d
-Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Sat, 9 Dec 2023 18:48:35 +0100
+commit b56bebad829222290a71f01b7ae4b8a9c796feb5
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Fri, 8 Mar 2024 16:36:50 +0100
 
-    GH-1821 clean up types, remove bits_ and normalizationFactor_ as separate members
+    Add missing argument to uninstantiated template method call
 
- ql/math/randomnumbers/sobolrsg.cpp | 77973 +++++++++++++++++------------------
- ql/math/randomnumbers/sobolrsg.hpp |    18 +-
- 2 files changed, 38992 insertions(+), 38999 deletions(-)
+ ql/pricingengines/bond/bondfunctions.hpp | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit eff0c83ffa8a4a75d5ab8ed711cacac0521a3558
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Fri, 8 Dec 2023 23:01:35 +0100
+commit 1f5518c17351e46b8e9371dbfba6e9c674dcbcc9
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Fri, 8 Mar 2024 12:11:23 +0100
 
-    full test coverage of timegrid
+    Avoid ambiguous calls
 
- test-suite/timegrid.cpp | 35 +++++++++++++++++++++++++++++++++++
- 1 file changed, 35 insertions(+)
+ ql/pricingengines/bond/bondfunctions.hpp | 4 ++--
+ 1 file changed, 2 insertions(+), 2 deletions(-)
 
-commit 1bc5f91c0f578c8fa3fc5cb58198d9149a350d09
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 6 Dec 2023 20:22:54 +0100
+commit 6bb9c1f18ff6d4c47f06a66136fb83411207e67c
+Author: Auto Differentiation Dev Team <dev@auto-differentiation.com>
+Date:   Fri, 8 Mar 2024 09:04:41 +0000
 
-    simplify generic compare/apply function
+    Uses Real in GemoetricBrownianMotionProcess instead of double
 
- ql/money.cpp | 29 +++++++++++------------------
- 1 file changed, 11 insertions(+), 18 deletions(-)
+ ql/processes/geometricbrownianprocess.cpp |  6 +++---
+ ql/processes/geometricbrownianprocess.hpp | 12 ++++++------
+ 2 files changed, 9 insertions(+), 9 deletions(-)
 
-commit 2aabea04d51db05da98f034f65ca035a0bc85c68
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Fri, 1 Dec 2023 21:34:20 +0100
+commit 6d5892e02871436fd00f19a30ee123e0bed77bab
+Merge: 028c76e91 f1ed88696
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Thu, 7 Mar 2024 00:39:19 +0100
 
-    unit test: check comparisons
+    More functions to support both clean and dirty prices as input parameter (#1813)
 
- test-suite/money.cpp         | 64 ++++++++++++++++++++++++++++++++++++++++++++
- test-suite/preconditions.hpp |  2 +-
- 2 files changed, 65 insertions(+), 1 deletion(-)
+commit f1ed88696825015763807e78ab4687bd010705d2
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 6 Mar 2024 17:50:51 +0100
 
-commit 143a732f899aa8df0bb24204f259f785b1892876
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Wed, 6 Dec 2023 20:56:04 +0100
+    More concise default
 
-    unit test: compare values with tolerance (+style changes)
+ ql/pricingengines/bond/bondfunctions.hpp | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
 
- test-suite/money.cpp | 106 +++++++++++++++++++++++++++------------------------
- 1 file changed, 56 insertions(+), 50 deletions(-)
+commit 072a71e36e5bbd86bfc2fa746d85b48d1897ab2e
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 6 Mar 2024 17:24:28 +0100
 
-commit e79c868a648cbaee15cf9c35f21e829ef50acf64
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 28 Nov 2023 21:08:54 +0100
+    Document deprecations in Doxygen
 
-    money: operator/
+ ql/instruments/bond.hpp                  |  8 +++++---
+ ql/pricingengines/bond/bondfunctions.hpp | 21 +++++++++++++++++----
+ 2 files changed, 22 insertions(+), 7 deletions(-)
 
- ql/money.cpp | 62 ++++++++++++++++++++++++++----------------------------------
- 1 file changed, 27 insertions(+), 35 deletions(-)
+commit d944c52183c7338787ae66088acbaec1c402b6a6
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 6 Mar 2024 17:15:33 +0100
 
-commit 70f47bb171e07a5c9f510254b666458970158430
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 28 Nov 2023 21:08:09 +0100
+    Use aggregate initialization for brevity
 
-    money: operator-= in terms of operator+=
+ Examples/Bonds/Bonds.cpp                     |  8 +---
+ Examples/FittedBondCurve/FittedBondCurve.cpp |  2 +-
+ ql/instruments/bond.cpp                      |  2 +-
+ ql/instruments/bonds/btp.cpp                 |  8 ++--
+ ql/pricingengines/bond/bondfunctions.cpp     |  8 ++--
+ test-suite/bonds.cpp                         | 61 +++++++++++++++-------------
+ test-suite/fittedbonddiscountcurve.cpp       |  4 +-
+ 7 files changed, 48 insertions(+), 45 deletions(-)
 
- ql/money.cpp | 17 +----------------
- 1 file changed, 1 insertion(+), 16 deletions(-)
+commit 0c9b9a801b8f54292665dc1d8e1a90d22684a360
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 6 Mar 2024 16:53:58 +0100
 
-commit 6f9f82640003e231f7b74df879f5acca1e3cd95c
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 28 Nov 2023 20:53:56 +0100
+    Remove implicit conversion from Real
 
-    money: unify comparison operators
+ ql/instruments/bond.hpp | 1 -
+ 1 file changed, 1 deletion(-)
+
+commit cf1a1c5bf5fbccc88b8407c738fbc624b8f0b0fe
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 6 Mar 2024 16:51:28 +0100
 
- ql/money.cpp | 122 ++++++++++++++++++-----------------------------------------
- 1 file changed, 36 insertions(+), 86 deletions(-)
+    Replace comparison to null with isValid method
 
-commit 79df5df65a007425b56fd3b593a0af12477f7009
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Mon, 27 Nov 2023 20:32:23 +0100
+ ql/instruments/bond.cpp                  |  8 --------
+ ql/instruments/bond.hpp                  |  9 +--------
+ ql/pricingengines/bond/bondfunctions.cpp | 16 +++++++---------
+ 3 files changed, 8 insertions(+), 25 deletions(-)
 
-    add test for operator/(money, money)
+commit 028c76e914a43218efaf5f6e5a4f057f434666fe
+Merge: 589b042de 368c13b06
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Tue, 5 Mar 2024 09:02:15 +0100
 
- test-suite/money.cpp | 29 +++++++++++++++++++----------
- 1 file changed, 19 insertions(+), 10 deletions(-)
+    Test failure: Recompute fixingDays after add/subtract 10 years (#1925)
 
-commit 8fdf0fc3a51b0e9301ed375f58bf102ec54be91e
+commit 368c13b0641ecd9940915e865331b2c1bc01e8b3
 Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 5 Dec 2023 20:56:34 +0100
-
-    remove header from build files
+Date:   Mon, 4 Mar 2024 13:29:19 +0100
 
- test-suite/CMakeLists.txt            | 1 -
- test-suite/Makefile.am               | 1 -
- test-suite/testsuite.vcxproj         | 1 -
- test-suite/testsuite.vcxproj.filters | 3 ---
- 4 files changed, 6 deletions(-)
+    make use of Calendar::businessDaysBetween()
 
-commit 8b2367a085e9f1f7749284d69e3447c6eb83e28b
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 5 Dec 2023 20:54:00 +0100
+ test-suite/convertiblebonds.cpp | 5 +----
+ 1 file changed, 1 insertion(+), 4 deletions(-)
 
-    use BOOST_FIXTURE_TEST_SUITE
+commit 589b042de50dd2ec629e0a085af2db50bef60b75
+Merge: 2d1fd5b5e 4dd52ef0e
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 4 Mar 2024 12:20:32 +0100
 
- test-suite/prices.cpp            | 66 ++++++++++++++++++++--------------------
- test-suite/prices.hpp            | 30 ------------------
- test-suite/quantlibtestsuite.cpp |  2 --
- 3 files changed, 33 insertions(+), 65 deletions(-)
+    Fix Thailand, Singapore, South African calendars for 2023, 2024 (#1922)
 
-commit 12a9e3c339eb8b15b5e1447843a9810ae2d30adb
-Merge: 6fae6216b 3d6cec9f7
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 5 Dec 2023 20:37:22 +0100
+commit 2d1fd5b5e4bd102cdaddb168860afd310a0f5c80
+Merge: 014d08a6c 73192b60d
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 4 Mar 2024 12:18:42 +0100
 
-    rebase onto master + merge
+    Fixes data type used for test tolerances in boost (#1923)
 
-commit 6fae6216b1778dbf4ae99574cd90e8350b96b7c1
+commit 3a984131765801f50302611d42c2f2e45a9c3ec7
 Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 5 Dec 2023 20:19:35 +0100
+Date:   Sun, 3 Mar 2024 23:26:30 +0100
 
-    revert for-loop to std::tranform change
+    recompute fixingDays after add/subtract 10 years
 
- ql/prices.cpp | 8 +++-----
- 1 file changed, 3 insertions(+), 5 deletions(-)
+ test-suite/convertiblebonds.cpp | 16 ++++++++++------
+ 1 file changed, 10 insertions(+), 6 deletions(-)
 
-commit 1cb2dfc4acccdfa78d0a24ca4898bc281e7235f7
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 5 Dec 2023 18:17:46 +0100
+commit 73192b60d61c241ec70e7554a46e7cc6b897dadd
+Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
+Date:   Fri, 1 Mar 2024 16:03:10 +0000
 
-    Remove spurious messages in test case
+    Fixes data type used for test tolerances (tolerances with mistmatched types are ignored)
 
- test-suite/lowdiscrepancysequences.cpp | 7 +------
- 1 file changed, 1 insertion(+), 6 deletions(-)
+ test-suite/cashflows.cpp |  2 +-
+ test-suite/period.cpp    |  4 ++--
+ test-suite/prices.cpp    | 10 +++++-----
+ 3 files changed, 8 insertions(+), 8 deletions(-)
 
-commit 3d6cec9f79ac71379d8eadeb1fb369d3b6f9e8fe
-Merge: 261bbc101 1e071626f
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 4 Dec 2023 10:39:57 +0100
+commit 4dd52ef0e19127afc77a5908957f2544544f21e6
+Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
+Date:   Fri, 1 Mar 2024 15:12:19 +0100
 
-    Automated registration of Unit test using boost test (#1834)
+    Add South African election holiday 2024-05-29
+    
+    https://www.gov.za/news/media-statements/president-cyril-ramaphosa-announces-2024-general-elections-date-20-feb-2024
 
-commit 261bbc101b01178270c40f5644de3cbd7d4ee669
-Merge: 1b2fcf5bc 87e6e3c89
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 4 Dec 2023 10:30:01 +0100
+ ql/time/calendars/southafrica.cpp | 4 +++-
+ 1 file changed, 3 insertions(+), 1 deletion(-)
 
-    Initialize bounds in Solver1D (#1842)
+commit dbf861e4533f8c8e8a195270e78237b9823bec51
+Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
+Date:   Fri, 1 Mar 2024 10:55:27 +0100
 
-commit 87e6e3c8936559d1c7c85bb53d0b0b626667bfea
-Author: Jonathan Sweemer <sweemer@gmail.com>
-Date:   Sun, 3 Dec 2023 20:31:01 +0900
+    Add Thai holiday for 2024-04-12
 
-    Initialize bounds
+ ql/time/calendars/thailand.cpp | 3 ++-
+ 1 file changed, 2 insertions(+), 1 deletion(-)
 
- ql/math/solver1d.hpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+commit 07b4e62589d277fa472fbddc6e3dbfbc6ccc88f0
+Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
+Date:   Fri, 1 Mar 2024 10:54:41 +0100
 
-commit 5491294438e23726bdd5e7421a978035a49e81a9
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 22:46:17 +0100
+    Patch Singapore calendar for 2023, 2024
 
-    include new files in vcxproj files
+ ql/time/calendars/singapore.cpp | 18 ++++++++++++++++++
+ ql/time/calendars/singapore.hpp |  3 ++-
+ 2 files changed, 20 insertions(+), 1 deletion(-)
 
- test-suite/testsuite.vcxproj         | 4 +++-
- test-suite/testsuite.vcxproj.filters | 6 ++++++
- 2 files changed, 9 insertions(+), 1 deletion(-)
+commit 95ac5fa2783a10cf626d5fa3dc6d1ec80c8c87d8
+Author: Francois Botha <igitur@gmail.com>
+Date:   Tue, 27 Feb 2024 11:02:14 +0200
 
-commit 6c6ffbbae56b725d1adc68eaf0687b9494f67b7c
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 19:30:27 +0100
+    Add BondFunctions::dirtyPrice() functions
 
-    remove maybe_unused attribute
+ ql/pricingengines/bond/bondfunctions.cpp | 26 ++++++++++++++++++++++++--
+ ql/pricingengines/bond/bondfunctions.hpp | 10 ++++++++++
+ test-suite/bonds.cpp                     | 31 +++++++++++++++++++++++++++++++
+ 3 files changed, 65 insertions(+), 2 deletions(-)
 
- test-suite/prices.cpp | 14 +++++++-------
- 1 file changed, 7 insertions(+), 7 deletions(-)
+commit 28c71b7318d9413016d314bdba860d65a0495cfe
+Author: Francois Botha <igitur@gmail.com>
+Date:   Wed, 18 Nov 2020 14:42:41 +0200
 
-commit b0af6f153d9cef56e833e0007d44471342d4d2dc
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 17:39:06 +0100
+    More functions to support both clean and dirty prices as input parameter
 
-    use std::transform + style change
+ ql/pricingengines/bond/bondfunctions.cpp | 48 +++++++++++++++++-----
+ ql/pricingengines/bond/bondfunctions.hpp | 16 ++++++++
+ test-suite/bonds.cpp                     | 69 +++++++++++++++++++++++++++-----
+ 3 files changed, 114 insertions(+), 19 deletions(-)
 
- ql/prices.cpp | 8 +++++---
- ql/prices.hpp | 2 +-
- 2 files changed, 6 insertions(+), 4 deletions(-)
+commit 2ee2bf7721fe57f9bffab87e08a36052bef22845
+Author: Francois Botha <igitur@gmail.com>
+Date:   Tue, 27 Feb 2024 10:46:14 +0200
 
-commit 9e190c022724afe5c4f86f2809beeae700780965
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 17:26:16 +0100
+    Add Bond::Price constructor and equality/inequality operators with single arguemnt to enable Null<Bond::Price> support
 
-    testing IntervalPrice::extractComponent()
+ ql/instruments/bond.cpp |  8 ++++++++
+ ql/instruments/bond.hpp | 11 ++++++++++-
+ 2 files changed, 18 insertions(+), 1 deletion(-)
 
- ql/prices.hpp         |  2 +-
- test-suite/prices.cpp | 48 +++++++++++++++++++++++++++++++++++++++++++++++-
- 2 files changed, 48 insertions(+), 2 deletions(-)
+commit 014d08a6cfab211f1bba2ca539cb5eac7dbb3fe0
+Merge: bd7242c49 89d300930
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Thu, 29 Feb 2024 14:56:05 +0100
 
-commit d6c75be890139a25f83902b4fcda88c1314676be
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 16:55:30 +0100
+    Update 2023-2024 holidays in Indian calendar (#1919)
 
-    testing IntervalPrice::extractValues
+commit ceef8c0d96e213a050066c9c8947adbeb7cc570c
+Author: Francois Botha <igitur@gmail.com>
+Date:   Mon, 26 Feb 2024 20:38:19 +0200
+
+    Use Bond::Price class instead of separate Real/Bond::Price::Type arguments. Mark old methods as deprecated.
+
+ Examples/Bonds/Bonds.cpp                           |   5 +-
+ Examples/FittedBondCurve/FittedBondCurve.cpp       |   2 +-
+ Examples/Repo/Repo.cpp                             |   2 +-
+ ql/instruments/bond.cpp                            |  17 ++-
+ ql/instruments/bond.hpp                            |  11 ++
+ ql/instruments/bonds/btp.cpp                       |  15 +-
+ ql/pricingengines/bond/bondfunctions.cpp           |  14 +-
+ ql/pricingengines/bond/bondfunctions.hpp           |  36 ++++-
+ .../yield/fittedbonddiscountcurve.cpp              |   5 +-
+ test-suite/bonds.cpp                               | 152 +++++++++------------
+ test-suite/fittedbonddiscountcurve.cpp             |   6 +-
+ 11 files changed, 154 insertions(+), 111 deletions(-)
+
+commit 53346f890af4d2577b380af949092da8ec203f83
+Author: Francois Botha <igitur@gmail.com>
+Date:   Tue, 17 Oct 2023 17:13:00 +0200
 
- ql/prices.hpp         |  2 +-
- test-suite/prices.cpp | 25 +++++++++++++++++++++++++
- 2 files changed, 26 insertions(+), 1 deletion(-)
+    Fix spelling of 'frequency'
 
-commit 039eefed059671a4de28af8c9209dfed7518c09a
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 16:45:03 +0100
+ test-suite/bonds.cpp | 50 +++++++++++++++++++++++++-------------------------
+ 1 file changed, 25 insertions(+), 25 deletions(-)
 
-    extract timeSeries creation for testing
+commit 2a30164d719e3abc8c96dbe9f9d1645a4fc6e755
+Author: Francois Botha <igitur@gmail.com>
+Date:   Wed, 18 Oct 2023 10:16:45 +0200
 
- test-suite/prices.cpp | 13 ++++++++-----
- 1 file changed, 8 insertions(+), 5 deletions(-)
+    Fix indentation after #1040 changed it
 
-commit 245b51933049c7508c78851b3e4486f678589be3
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 16:42:33 +0100
+ test-suite/bonds.cpp | 109 +++++++++++++++++++++++++++------------------------
+ 1 file changed, 58 insertions(+), 51 deletions(-)
 
-    testing IntervalPrice::makeSeries()
+commit bd7242c49fa79238afbd1029596ac0336458855d
+Merge: ea15ebbf8 4ed9da411
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 28 Feb 2024 17:52:03 +0100
 
- ql/prices.hpp         |  2 +-
- test-suite/prices.cpp | 24 ++++++++++++++++++++++++
- 2 files changed, 25 insertions(+), 1 deletion(-)
+    Fix calendar advance for unadjusted convention (#1917)
+    
+    Fix calendar advance for unadjusted convention
 
-commit 4ca57bdd3e9eceacec3ee3d59cea5b276b9953f3
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 16:40:58 +0100
+commit ea15ebbf8f80c89190d6d75286ff2f2dcea45055
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Tue, 27 Feb 2024 21:14:46 +0100
 
-    testing IntervalPrice::<Modifiers>()
+    Pin test date to default for test suite
 
- ql/prices.hpp         |  2 +-
- test-suite/prices.cpp | 29 +++++++++++++++++++++++++++++
- 2 files changed, 30 insertions(+), 1 deletion(-)
+ test-suite/convertiblebonds.cpp | 3 +--
+ 1 file changed, 1 insertion(+), 2 deletions(-)
 
-commit c5be5bc3af776ebefcfc98cadbebd66eed62809a
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 15:53:00 +0100
+commit 89d300930a2ff83036e70e04641856abb70f2489
+Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
+Date:   Tue, 27 Feb 2024 10:07:48 +0100
 
-    testing IntervalPrice::<Inspectors>
+    Update 2023-2024 holidays in Indian calendar
 
- ql/prices.hpp         |  2 ++
- test-suite/prices.cpp | 19 +++++++++++++++++++
- 2 files changed, 21 insertions(+)
+ ql/time/calendars/india.cpp | 30 ++++++++++++++++++------------
+ 1 file changed, 18 insertions(+), 12 deletions(-)
 
-commit 4498aad3327c3cc8f9014d10952abd9d6aff9184
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 15:40:19 +0100
+commit 4ed9da4116c50e798db4c50cee19592b71430afc
+Author: DeimosXing <deimos.xing@outlook.com>
+Date:   Mon, 26 Feb 2024 10:07:06 -0800
 
-    testing midSafe
+    check if end of calendar day before moving
 
- ql/prices.hpp         |  1 +
- test-suite/prices.cpp | 11 +++++++++++
- 2 files changed, 12 insertions(+)
+ ql/time/calendar.cpp | 9 +++++----
+ 1 file changed, 5 insertions(+), 4 deletions(-)
 
-commit 9cbaa30825c24cf61d0aede421a98fad3e462d75
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Sat, 2 Dec 2023 15:25:51 +0100
+commit af1e9dbfd78299db6e2e8db4b538817eb93387ee
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 26 Feb 2024 10:52:10 +0100
 
-    testing midEquivalent
+    Disable warning in CI build with uncommon configuration
 
- ql/prices.hpp         |  1 +
- test-suite/prices.cpp | 31 +++++++++++++++++++++++++++++++
- 2 files changed, 32 insertions(+)
+ .github/workflows/linux-nondefault.yml | 5 ++---
+ 1 file changed, 2 insertions(+), 3 deletions(-)
 
-commit b067cd75897fd34132bba2874f8575c1fc423ec6
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Fri, 1 Dec 2023 22:09:00 +0100
+commit 21d1b154e838a4980d517acd189b4764fb974221
+Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
+Date:   Sun, 25 Feb 2024 01:10:15 +0000
 
-    empty setup for testing prices.hpp
+    Automated fixes by clang-tidy
 
- test-suite/CMakeLists.txt        |  2 ++
- test-suite/Makefile.am           |  2 ++
- test-suite/prices.cpp            | 30 ++++++++++++++++++++++++++++++
- test-suite/prices.hpp            | 30 ++++++++++++++++++++++++++++++
- test-suite/quantlibtestsuite.cpp |  2 ++
- 5 files changed, 66 insertions(+)
+ ql/termstructures/yield/ratehelpers.cpp | 4 ++--
+ 1 file changed, 2 insertions(+), 2 deletions(-)
 
-commit 1b2fcf5bcb63da3541890eb348545b05b930f2e8
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 1 Dec 2023 16:18:13 +0100
+commit cddfec43489a06414d1b3b30ce76ed570a467433
+Author: DeimosXing <deimos.xing@outlook.com>
+Date:   Fri, 23 Feb 2024 11:21:31 -0800
 
-    Move test to faster section
+    fix lint; fix businessday convention unadjusted case
 
- test-suite/andreasenhugevolatilityinterpl.cpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+ ql/time/calendar.cpp                  | 3 ++-
+ test-suite/businessdayconventions.cpp | 2 +-
+ 2 files changed, 3 insertions(+), 2 deletions(-)
 
-commit 7389c6640be13515e3f2eb349e6d6b9bf42893ea
+commit 1db1904cd26c532f46afa830cfb838621529fd08
+Merge: 012754dc4 93fcafc20
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 1 Dec 2023 11:40:27 +0100
+Date:   Thu, 22 Feb 2024 15:49:30 +0100
 
-    Update rolling Ubuntu image for CI builds
+    Generate and install pkg-config files as part of CMake builds, too (#1916)
 
- .github/workflows/devenv-images.yml | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+commit 108de597b9b394147c3755e84dda2549d2d25259
+Author: DeimosXing <deimos.xing@outlook.com>
+Date:   Tue, 20 Feb 2024 23:50:52 -0800
 
-commit 95775e1b45039bbb519b275aca64b2be942ed00f
-Merge: e0e8a080b fd2ca0863
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 1 Dec 2023 11:29:28 +0100
+    fix bug, add test for date and cashflow
 
-    Allow different frequencies in MakeOIS and OISRateHelper (#1837)
+ ql/time/calendar.cpp     |  3 +--
+ test-suite/cashflows.cpp | 16 +++++++++++++---
+ 2 files changed, 14 insertions(+), 5 deletions(-)
 
-commit e0e8a080b8847c110289fec59d13164cf5298a6e
-Merge: 7ae8d53f5 3a00f8596
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 1 Dec 2023 11:22:09 +0100
+commit a338de4ea1284bc6642ba4e592911e86a905ae2b
+Author: DeimosXing <deimos.xing@outlook.com>
+Date:   Fri, 16 Feb 2024 17:40:26 -0800
 
-    Fix skipping expired additionalDates (#1838)
+    fix irregular first date with eom true, add test
 
-commit fd23f186c75f6193dacd372e161d723c37ee4a15
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 26 Nov 2023 17:15:39 +0100
+ ql/time/calendar.cpp     |  7 ++++++-
+ test-suite/cashflows.cpp | 22 ++++++++++++++++++++++
+ 2 files changed, 28 insertions(+), 1 deletion(-)
 
-    parameter fine-tuning
+commit 012754dc444101143d645eda8d48558e6764e867
+Merge: 72012a72d 1917baf04
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 21 Feb 2024 20:27:16 +0100
 
- ql/pricingengines/vanilla/analytichestonengine.cpp | 10 +++++-----
- 1 file changed, 5 insertions(+), 5 deletions(-)
+    Add Futures::Type Custom (#1915)
 
-commit 95731b2d5576f5f7eea0a84ced96e06447c43da1
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sat, 25 Nov 2023 22:01:57 +0100
+commit 93fcafc2096a0c7e5e9d84dd8e3e5fde30b6e432
+Author: JZ <135723295+jez6@users.noreply.github.com>
+Date:   Wed, 21 Feb 2024 11:09:40 -0500
 
-    use contour integral also for asymptotic control variate
+    Update CMakeLists.txt
+    
+    use FILES target for quantlib.pc so it doesn't get executable bits set
 
- ql/pricingengines/vanilla/analytichestonengine.cpp | 53 +++++++++-------------
- .../vanilla/exponentialfittinghestonengine.cpp     |  2 +-
- 2 files changed, 23 insertions(+), 32 deletions(-)
+ CMakeLists.txt | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit 3a00f85968454a4dcd89fdd3ff385f0114c5b549
+commit 1917baf040c7a0c8b98e00609827919f3b272e8e
 Author: Eugene Toder <eltoder@twosigma.com>
-Date:   Mon, 20 Nov 2023 20:09:14 -0500
+Date:   Tue, 20 Feb 2024 18:45:54 -0500
 
-    Fix skipping expired additionalDates
+    Add Futures::Type Custom
     
-    * Do not assume additionalDates are sorted.
-    * Fix appending additionalDates to dates (2*firstAdditionalDate_ were
-      skipped leading to an abort later).
-    * Simplify the code.
+    This allows passing custom future dates. Closes #1855
 
- ql/termstructures/globalbootstrap.hpp | 39 ++++++++++++++++-------------------
- test-suite/piecewiseyieldcurve.cpp    | 10 +++++++--
- 2 files changed, 26 insertions(+), 23 deletions(-)
+ ql/instruments/futures.cpp              | 4 +++-
+ ql/instruments/futures.hpp              | 3 ++-
+ ql/termstructures/yield/ratehelpers.cpp | 9 +++++----
+ 3 files changed, 10 insertions(+), 6 deletions(-)
 
-commit 7ae8d53f57813122ce930d898b58567bac93de4a
-Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
-Date:   Sun, 19 Nov 2023 01:41:52 +0000
+commit 9c3e65f9f1e9be27e8c71450bcda9edb0d4bb006
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Tue, 20 Feb 2024 22:21:24 -0500
 
-    Automated fixes by clang-tidy
+    check if OI swap index or not
 
- ql/math/randomnumbers/burley2020sobolrsg.cpp | 48 ++++++++++++++--------------
- ql/math/randomnumbers/sobolrsg.cpp           |  2 +-
- 2 files changed, 25 insertions(+), 25 deletions(-)
+ ql/instruments/makeswaption.cpp | 31 ++++++++++++++++++++++++-------
+ 1 file changed, 24 insertions(+), 7 deletions(-)
 
-commit 89a6948b496b6ba94e8a6aac9d55c851804fd904
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 19 Nov 2023 22:35:59 +0100
+commit 74be0b16905ee14fca3982b5f0101ba27ecb991d
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Tue, 20 Feb 2024 22:05:05 -0500
 
-    fixed parallel benchmark
+    use reference to prevent copy
 
- test-suite/quantlibbenchmark.cpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+ ql/pricingengines/swaption/blackswaptionengine.hpp | 4 ++--
+ 1 file changed, 2 insertions(+), 2 deletions(-)
 
-commit 53863ae508cb287ffb865993d5f7954d819411ba
-Merge: b0be193bb 9ea78221a
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 19 Nov 2023 18:59:11 +0100
+commit c9e7de27eddc53a7e4d45e3bdbee2ce20ce04271
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Tue, 20 Feb 2024 22:03:49 -0500
 
-    merge with head
+    use index valueDate implementation
 
-commit fd2ca08638adfa74ac21792ea9434a0c5e99238a
-Author: Eugene Toder <eltoder@twosigma.com>
-Date:   Sat, 18 Nov 2023 04:25:40 -0500
+ ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 15 ++++++++-------
+ 1 file changed, 8 insertions(+), 7 deletions(-)
 
-    Allow different calendars in MakeOIS and OISRateHelper
+commit 7130a22f2fa5fa16a72be1310f1d1cc83f27105d
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Tue, 20 Feb 2024 21:44:48 -0500
 
- ql/instruments/makeois.cpp                | 42 +++++++++++++++++++------------
- ql/instruments/makeois.hpp                |  4 ++-
- ql/termstructures/yield/oisratehelper.cpp | 14 ++++++++---
- ql/termstructures/yield/oisratehelper.hpp |  7 ++++--
- 4 files changed, 45 insertions(+), 22 deletions(-)
+    use unique_ptr to prevent leaking
 
-commit f99e73f33bce84cdaa9dbdbe60a6a478f1764ffd
-Author: Eugene Toder <eltoder@twosigma.com>
-Date:   Sat, 18 Nov 2023 00:48:24 -0500
+ .../shortrate/calibrationhelpers/swaptionhelper.cpp     | 17 ++++++++++-------
+ 1 file changed, 10 insertions(+), 7 deletions(-)
 
-    Allow different frequencies in MakeOIS and OISRateHelper
-    
-    Allow setting different payment frequencies for fixed and overnight
-    legs.
+commit 72012a72da1e3bce984a8e7784701390483fdee2
+Merge: ce909f40f 30d6eb5be
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 19 Feb 2024 15:43:52 +0100
 
- ql/instruments/makeois.cpp                | 74 ++++++++++++++++++++++++-------
- ql/instruments/makeois.hpp                | 10 ++++-
- ql/termstructures/yield/oisratehelper.cpp | 25 +++++++----
- ql/termstructures/yield/oisratehelper.hpp |  7 ++-
- 4 files changed, 88 insertions(+), 28 deletions(-)
+    Reduce duplication in rate helpers constructors (#1911)
 
-commit 9ea78221a2c0c0ce565358869c317c655ee254c0
+commit ce909f40fb316efb3d7acca53006d30c169497b4
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 17 Nov 2023 14:34:31 +0100
+Date:   Mon, 19 Feb 2024 13:07:59 +0100
 
-    Move test to Fast section
+    Install ninja manually to avoid choco failures
 
- test-suite/hestonslvmodel.cpp | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+ .github/workflows/cmake.yml | 15 ++++++++++++---
+ 1 file changed, 12 insertions(+), 3 deletions(-)
 
-commit 1e071626f5f1457a98f767d1f05414118c0a10da
-Merge: bf42eb401 77013dbc9
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Fri, 17 Nov 2023 13:13:15 +0800
+commit 30d6eb5be8e9637572258ee57455887b92f9aa42
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 19 Feb 2024 12:17:18 +0100
 
-    Merge pull request #14 from Sidsky/automated-test-registration
-    
-    Automated test registration
-
-commit 77013dbc9bf4d9e58f3cd1a5a6b874e4aaebfc75
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 11:18:30 +0800
-
-    Migrated zerocouponswap.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  3 +--
- test-suite/quantlibtestsuite.cpp     |  3 ---
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/zerocouponswap.cpp        | 31 +++++++++++++-----------------
- test-suite/zerocouponswap.hpp        | 37 ------------------------------------
- 7 files changed, 14 insertions(+), 65 deletions(-)
-
-commit 9ef8982cdb963bd04f26a9eab29dee522d768835
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 11:14:48 +0800
-
-    Migrated zabr.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  4 ----
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/zabr.cpp                  | 19 +++++++++----------
- test-suite/zabr.hpp                  | 36 ------------------------------------
- 7 files changed, 9 insertions(+), 56 deletions(-)
-
-commit 7d5a92635cd6ab676edf758e59ee31624bcbe833
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 11:12:16 +0800
-
-    Migrated xoshiro256starstar.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/xoshiro256starstar.cpp    | 24 +++++++++++-------------
- test-suite/xoshiro256starstar.hpp    | 34 ----------------------------------
- 7 files changed, 11 insertions(+), 55 deletions(-)
-
-commit e44ea1c1218e172231390b1c312c00f496cc5d3d
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 11:09:25 +0800
-
-    Migrated vpp.cpp
-
- test-suite/CMakeLists.txt            |   3 +-
- test-suite/Makefile.am               |   1 -
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- test-suite/vpp.cpp                   | 329 ++++++++++++++++-------------------
- test-suite/vpp.hpp                   |  40 -----
- 7 files changed, 155 insertions(+), 224 deletions(-)
-
-commit 14574fa01148951db237823f6a0e2838c75f5326
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 11:02:57 +0800
-
-    Migrated volatilitymodels.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/volatilitymodels.cpp      | 15 ++++++++-------
- test-suite/volatilitymodels.hpp      | 35 -----------------------------------
- 7 files changed, 8 insertions(+), 50 deletions(-)
-
-commit 59e3321803e8fee840a9d122b13a7d48ca023166
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 11:01:23 +0800
-
-    Migrated varianceswaps.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  3 +--
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/varianceswaps.cpp         | 20 ++++++++------------
- test-suite/varianceswaps.hpp         | 36 ------------------------------------
- 7 files changed, 9 insertions(+), 56 deletions(-)
-
-commit e274e67df50aacc192b6dcec647955e361ceaa6d
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:59:30 +0800
-
-    Migrated varianceoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/varianceoption.cpp        | 16 ++++++++--------
- test-suite/varianceoption.hpp        | 35 -----------------------------------
- 7 files changed, 8 insertions(+), 51 deletions(-)
-
-commit a5e9b6821faa519f6fabae1836d16bb7ec8e3af1
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:52:52 +0800
-
-    Migrated variancegamma.cpp
-
- test-suite/CMakeLists.txt            |  3 +--
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/variancegamma.cpp         | 18 ++++++++---------
- test-suite/variancegamma.hpp         | 38 ------------------------------------
- 7 files changed, 9 insertions(+), 57 deletions(-)
-
-commit 87c901402a8c0e8e0d91485fc894804bb2c430f7
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:50:16 +0800
-
-    Migrated ultimateforwardtermstructure.cpp
-
- test-suite/CMakeLists.txt                   |  3 +--
- test-suite/Makefile.am                      |  1 -
- test-suite/quantlibtestsuite.cpp            |  2 --
- test-suite/testsuite.vcxproj                |  1 -
- test-suite/testsuite.vcxproj.filters        |  3 ---
- test-suite/ultimateforwardtermstructure.cpp | 35 ++++++++++--------------
- test-suite/ultimateforwardtermstructure.hpp | 41 -----------------------------
- 7 files changed, 15 insertions(+), 71 deletions(-)
-
-commit 05768c6ce2478343f13ed88e9f4be555138fff2f
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:46:55 +0800
-
-    Migrated twoassetcorrelationoption.cpp
-
- test-suite/CMakeLists.txt                |  1 -
- test-suite/Makefile.am                   |  1 -
- test-suite/quantlibtestsuite.cpp         |  2 --
- test-suite/testsuite.vcxproj             |  1 -
- test-suite/testsuite.vcxproj.filters     |  3 ---
- test-suite/twoassetcorrelationoption.cpp | 17 ++++++++--------
- test-suite/twoassetcorrelationoption.hpp | 35 --------------------------------
- 7 files changed, 8 insertions(+), 52 deletions(-)
-
-commit b91df14c3878bbbde007f476200a3ea8e8a07b74
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:44:39 +0800
-
-    Migrated twoassetbarrieroption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/twoassetbarrieroption.cpp | 15 ++++++++-------
- test-suite/twoassetbarrieroption.hpp | 35 -----------------------------------
- 7 files changed, 8 insertions(+), 50 deletions(-)
-
-commit 3bf645f33ad8c2d6528e827e1a30aafbf93fffc7
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:42:49 +0800
-
-    Migrated transformedgrid.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/transformedgrid.cpp       | 15 ++++++++-------
- test-suite/transformedgrid.hpp       | 35 -----------------------------------
- 7 files changed, 8 insertions(+), 50 deletions(-)
-
-commit 4f6e268ef8660c37854b9470cca600261f3260b1
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:40:23 +0800
-
-    Migrated tracing.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/tracing.cpp               | 15 +++++++--------
- test-suite/tracing.hpp               | 35 -----------------------------------
- 7 files changed, 7 insertions(+), 51 deletions(-)
-
-commit 62ee49f5f3418c8923b080e21df33f1db84a34ca
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:38:28 +0800
-
-    Migrated tqreigendecomposition.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  3 ---
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/tqreigendecomposition.cpp | 24 ++++++++++-------------
- test-suite/tqreigendecomposition.hpp | 37 ------------------------------------
- 7 files changed, 10 insertions(+), 60 deletions(-)
-
-commit 40a7279f4bfb2df0bc0fe8880ff9ce45d079dd86
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:35:53 +0800
-
-    Migrated timeseries.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  1 -
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/timeseries.cpp            | 21 ++++++++++----------
- test-suite/timeseries.hpp            | 38 ------------------------------------
- 7 files changed, 10 insertions(+), 56 deletions(-)
-
-commit 542e05bc731af071021ab4d7562e61d5796af476
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:33:59 +0800
-
-    Migrated timegrid.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- test-suite/timegrid.cpp              | 39 ++++++++++++++----------------------
- test-suite/timegrid.hpp              | 38 -----------------------------------
- 7 files changed, 15 insertions(+), 70 deletions(-)
-
-commit 155c1da0cf1de290f1fba7a3b81c92a31ac46e7f
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:30:46 +0800
-
-    Migrated termstructures.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/termstructures.cpp        | 47 ++++++++++++++----------------------
- test-suite/termstructures.hpp        | 45 ----------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 18 insertions(+), 82 deletions(-)
-
-commit 9b8cb2b9d7121d8db826fa40d63174d6c841440a
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 17 Nov 2023 10:27:13 +0800
-
-    Migrated swingoption.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/swingoption.cpp           | 108 +++++++++++++++--------------------
- test-suite/swingoption.hpp           |  40 -------------
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 45 insertions(+), 111 deletions(-)
-
-commit bf42eb401f6d3e8e5d847bf8ee3d8c885b69281e
-Merge: 8b7eb9179 140c7f088
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Fri, 17 Nov 2023 09:48:36 +0800
-
-    Merge pull request #13 from lballabio/master
-    
-    cmake: Roll back cmake version change
+    Rename convenience function
 
-commit 140c7f088916d10863e85091b97657efa086fb34
-Merge: a32bc1fdf 4a7773644
+ Examples/CDS/CDS.cpp                           |  2 +-
+ Examples/CVAIRS/CVAIRS.cpp                     |  2 +-
+ Examples/ConvertibleBonds/ConvertibleBonds.cpp |  4 ++--
+ Examples/DiscreteHedging/DiscreteHedging.cpp   |  2 +-
+ Examples/EquityOption/EquityOption.cpp         |  2 +-
+ Examples/Gaussian1dModels/Gaussian1dModels.cpp | 10 ++++-----
+ ql/quotes/simplequote.hpp                      |  4 ++--
+ ql/termstructures/bootstraphelper.hpp          |  2 +-
+ ql/termstructures/yield/ratehelpers.cpp        | 28 +++++++++++++-------------
+ 9 files changed, 28 insertions(+), 28 deletions(-)
+
+commit 408493f89afa86189006d974ad2aaa20fd1127df
+Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
+Date:   Sun, 18 Feb 2024 01:18:17 +0000
+
+    Automated fixes by clang-tidy
+
+ ql/math/integrals/discreteintegrals.cpp | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
+
+commit 22dc9118b8082a3b77e04ad0cb6d293b0a61921d
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 16 Nov 2023 18:54:47 +0100
+Date:   Fri, 16 Feb 2024 12:32:32 +0100
+
+    Create relinkable handle in convenience function
 
-    cmake: Roll back cmake version change (#1831)
+ ql/quotes/simplequote.hpp | 6 +++---
+ 1 file changed, 3 insertions(+), 3 deletions(-)
 
-commit b0be193bbc1002985b2027db24e0428e7650779d
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Thu, 16 Nov 2023 18:12:33 +0100
+commit f1db18fa543973945c8ff67d9034127cdb3453a6
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Fri, 16 Feb 2024 11:48:36 +0100
 
-    update papi documentation and initialization
+    Use convenience function in examples
 
- test-suite/quantlibbenchmark.cpp | 105 ++++++++-------------------------------
- 1 file changed, 21 insertions(+), 84 deletions(-)
+ Examples/CDS/CDS.cpp                           |  2 +-
+ Examples/CVAIRS/CVAIRS.cpp                     |  2 +-
+ Examples/ConvertibleBonds/ConvertibleBonds.cpp |  4 ++--
+ Examples/DiscreteHedging/DiscreteHedging.cpp   |  3 +--
+ Examples/EquityOption/EquityOption.cpp         |  2 +-
+ Examples/Gaussian1dModels/Gaussian1dModels.cpp | 10 ++++------
+ 6 files changed, 10 insertions(+), 13 deletions(-)
 
-commit 8b7eb91797965511fe85a3a31b1e1f8a4c92b7ac
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 16 Nov 2023 15:08:57 +0800
+commit 9ca941007ef0bf4f926312583e23abf1793da749
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Fri, 16 Feb 2024 10:22:35 +0100
 
-    comment unused function
+    Extract static method to function for shorter calls
 
- test-suite/swapforwardmappings.cpp | 24 ++++++++++++------------
- 1 file changed, 12 insertions(+), 12 deletions(-)
+ ql/quotes/simplequote.hpp               |  6 ++--
+ ql/termstructures/bootstraphelper.hpp   |  2 +-
+ ql/termstructures/yield/ratehelpers.cpp | 49 ++++++++++++++-------------------
+ 3 files changed, 26 insertions(+), 31 deletions(-)
 
-commit ba30da7bcb721855b3642d90c6caeedc3dc4d70e
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 16 Nov 2023 11:48:28 +0800
+commit cef64cc98651cc9f44cf930a2018cb2da0369976
+Author: Eugene Toder <eltoder@twosigma.com>
+Date:   Fri, 9 Feb 2024 15:26:52 -0500
 
-    Migrated swaptionvolatilitymatrix.cpp
+    Reduce duplication in rate helpers constructors
 
- test-suite/CMakeLists.txt               |  1 -
- test-suite/Makefile.am                  |  1 -
- test-suite/quantlibtestsuite.cpp        |  2 --
- test-suite/swaptionvolatilitymatrix.cpp | 23 ++++++++-------------
- test-suite/swaptionvolatilitymatrix.hpp | 36 ---------------------------------
- test-suite/testsuite.vcxproj            |  1 -
- test-suite/testsuite.vcxproj.filters    |  3 ---
- 7 files changed, 8 insertions(+), 59 deletions(-)
+ ql/handle.hpp                           |  16 +--
+ ql/quotes/simplequote.hpp               |   5 +
+ ql/termstructures/bootstraphelper.hpp   |   3 +-
+ ql/termstructures/yield/ratehelpers.cpp | 197 ++++++--------------------------
+ 4 files changed, 50 insertions(+), 171 deletions(-)
 
-commit 5d79adab92b982dbb3ce4e0bd029272f4f71b4e9
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 16 Nov 2023 11:46:10 +0800
+commit c5eb7e30091d0be89ffe56442fbb22c2af5fc2c5
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Tue, 13 Feb 2024 13:06:43 -0500
 
-    Migrated swaptionvolatilitycube.cpp
+    move test to Faster section
 
- test-suite/CMakeLists.txt             |  1 -
- test-suite/Makefile.am                |  1 -
- test-suite/quantlibtestsuite.cpp      |  2 --
- test-suite/swaptionvolatilitycube.cpp | 46 ++++++++++++++---------------------
- test-suite/swaptionvolatilitycube.hpp | 42 --------------------------------
- test-suite/testsuite.vcxproj          |  1 -
- test-suite/testsuite.vcxproj.filters  |  3 ---
- 7 files changed, 18 insertions(+), 78 deletions(-)
+ test-suite/swaption.cpp | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit f2a00b86e7b856cc80a426889d0e5d1a84e863ba
-Merge: 00e17d9e4 1f464d32f
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Thu, 16 Nov 2023 11:03:36 +0800
+commit ace449ba350e14a9c34b2bfe15b7b55174c24e9c
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Tue, 13 Feb 2024 13:06:25 -0500
 
-    Merge pull request #11 from Sidsky/automated-test-registration
-    
-    Automated test registration
-
-commit 3b7f005309bdea63d2f9d69ac24e10f131cbb295
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 16 Nov 2023 10:42:01 +0800
-
-    Migrated swaption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/swaption.cpp              | 47 ++++++++++++------------------------
- test-suite/swaption.hpp              | 46 -----------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 16 insertions(+), 85 deletions(-)
-
-commit 6276ee274204fa6a0a5fa6e2851ee66d3ca1ca5d
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 16 Nov 2023 10:38:03 +0800
-
-    Migrated swapforwardmappings.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/swapforwardmappings.cpp   | 174 +++++++++++++++++------------------
- test-suite/swapforwardmappings.hpp   |  37 --------
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 82 insertions(+), 137 deletions(-)
-
-commit 066c50de2d1d38c434af8981960bf99e4782b407
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 16 Nov 2023 10:34:26 +0800
-
-    Migrated swap.cpp
-
- test-suite/CMakeLists.txt            |  3 +--
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/swap.cpp                  | 32 ++++++++++++----------------
- test-suite/swap.hpp                  | 41 ------------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 14 insertions(+), 69 deletions(-)
-
-commit 869b560898e5925211469ca585f58e8bbb8e5675
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 16 Nov 2023 10:31:36 +0800
-
-    Migrated svivolatility.cpp
-
- test-suite/CMakeLists.txt            |  3 +--
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/svivolatility.cpp         | 15 ++++++++-------
- test-suite/svivolatility.hpp         | 35 -----------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 51 deletions(-)
-
-commit e3d520197a036e37125f971f134a21ce9cc793b2
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 16 Nov 2023 10:28:49 +0800
-
-    Migrated subperiodcoupons.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/subperiodcoupons.cpp      | 43 ++++++++++++++----------------------
- test-suite/subperiodcoupons.hpp      | 42 -----------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 16 insertions(+), 77 deletions(-)
-
-commit 6b9c1bf6b3a8039b07364ce5033907955c12c3b7
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 16 Nov 2023 10:25:39 +0800
-
-    Migrated stats.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 -
- test-suite/stats.cpp                 | 73 ++++++++++++++----------------------
- test-suite/stats.hpp                 | 41 --------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 7 files changed, 29 insertions(+), 93 deletions(-)
-
-commit 4a7773644a0e523261ab3f8915ea21d6637ab4ff
-Author: Nathaniel Brough <nathaniel.brough@gmail.com>
-Date:   Wed, 15 Nov 2023 10:43:22 -0800
-
-    cmake: Roll back cmake version change
-
- CMakeLists.txt | 8 +++-----
- 1 file changed, 3 insertions(+), 5 deletions(-)
-
-commit 3a4cd58ccf826fc8013def384909abc9e531dcf2
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 15:21:37 +0800
-
-    Migrated squarerootclvmodel.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/squarerootclvmodel.cpp    | 756 +++++++++++++++++------------------
- test-suite/squarerootclvmodel.hpp    |  34 --
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 374 insertions(+), 424 deletions(-)
-
-commit 966f58c3e510da2bd36b2b992ade7cf0943a552b
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 15:16:35 +0800
-
-    Migrated spreadoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/spreadoption.cpp          | 17 ++++++++---------
- test-suite/spreadoption.hpp          | 35 -----------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 52 deletions(-)
-
-commit 1f464d32f6ce918dc1787e008eca78b23b166f55
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 15:10:51 +0800
-
-    Migrated solvers.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/solvers.cpp               | 36 ++++++++++++------------------
- test-suite/solvers.hpp               | 43 ------------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 14 insertions(+), 73 deletions(-)
-
-commit 3622f0d03ce200b3004bf168ac6b7c8d20e21e81
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 15:05:18 +0800
-
-    remove redundant header
-
- test-suite/shortratemodels.cpp | 1 -
- 1 file changed, 1 deletion(-)
+    make constructor explicit
 
-commit f3b201d2129afd5b3f7838c4d936423aea20beda
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 15:02:38 +0800
-
-    Migrated sofrfutures.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/sofrfutures.cpp           | 16 +++++++---------
- test-suite/sofrfutures.hpp           | 32 --------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 7 insertions(+), 49 deletions(-)
-
-commit 5040d98edcc52a51f87ebd98fafac5161979981e
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 14:57:05 +0800
-
-    Migrated shortratemodels.cpp
-
- test-suite/CMakeLists.txt            |  3 +--
- test-suite/Makefile.am               |  2 --
- test-suite/quantlibbenchmark.cpp     |  8 +++++--
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/shortratemodels.cpp       | 34 ++++++++++++------------------
- test-suite/shortratemodels.hpp       | 41 ------------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 20 insertions(+), 74 deletions(-)
-
-commit ac1b5599571a29346896e64cc4d9f40ef6e79400
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 14:48:32 +0800
-
-    Migrated settings.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/settings.cpp              | 15 ++++++++-------
- test-suite/settings.hpp              | 35 -----------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 50 deletions(-)
-
-commit 0edee520c9b92df6a594c2dd497f5b327e0853aa
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 14:43:50 +0800
-
-    Migrated schedule.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 -
- test-suite/schedule.cpp              | 93 +++++++++++++-----------------------
- test-suite/schedule.hpp              | 59 -----------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 7 files changed, 32 insertions(+), 128 deletions(-)
-
-commit e13073925b1eec895ec5f1a5f22285b806441919
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 14:37:44 +0800
-
-    Migrated sampledcurve.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/sampledcurve.cpp          | 15 ++++++++-------
- test-suite/sampledcurve.hpp          | 35 -----------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 50 deletions(-)
-
-commit afea3c8ef403fdb06117bc919b0d1119dfa00504
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 14:09:34 +0800
-
-    Migrated rounding.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/rounding.cpp              | 27 ++++++++++---------------
- test-suite/rounding.hpp              | 39 ------------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 11 insertions(+), 63 deletions(-)
-
-commit 78196198f03d7e0b1ade08d43e7ff17bded95806
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 14:07:17 +0800
-
-    Migrated rngtraits.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/rngtraits.cpp             | 26 ++++++++++--------------
- test-suite/rngtraits.hpp             | 39 ------------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 11 insertions(+), 62 deletions(-)
-
-commit 1dae1e7dade6c063d8c1646f63b4e85c60049efa
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 13:58:39 +0800
-
-    Update the header from speedlevel.cpp to preconditions.cpp
-
- test-suite/lowdiscrepancysequences.cpp | 2 +-
+ ql/instruments/nonstandardswap.hpp | 2 +-
  1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit 0e51483a97225f00839fba4c28c0a6f67fac3da0
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 12:00:46 +0800
-
-    Migrated riskstats.cpp
-
- test-suite/CMakeLists.txt            |  3 +--
- test-suite/Makefile.am               |  2 --
- test-suite/quantlibbenchmark.cpp     |  7 ++++++-
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/riskstats.cpp             | 16 ++++++++--------
- test-suite/riskstats.hpp             | 35 -----------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 15 insertions(+), 54 deletions(-)
-
-commit 8fc0a0059ebf5ff3e19a0034cc0522aba7dcf29d
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 11:56:16 +0800
-
-    Migrated riskneutraldensitycalculator.cpp
-
- test-suite/CMakeLists.txt                   |  1 -
- test-suite/Makefile.am                      |  1 -
- test-suite/quantlibtestsuite.cpp            |  2 --
- test-suite/riskneutraldensitycalculator.cpp | 46 ++++++++++-------------------
- test-suite/riskneutraldensitycalculator.hpp | 42 --------------------------
- test-suite/testsuite.vcxproj                |  1 -
- test-suite/testsuite.vcxproj.filters        |  3 --
- 7 files changed, 15 insertions(+), 81 deletions(-)
-
-commit 737ffecaabedddd8fe77c20d2dfd1010941a0055
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 11:47:03 +0800
-
-    Migrated rangeaccrual.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/rangeaccrual.cpp          | 27 +++++++++++----------------
- test-suite/rangeaccrual.hpp          | 36 ------------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 11 insertions(+), 60 deletions(-)
-
-commit 778b758dc0a95459188e7290982b28935327ffd2
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 11:42:32 +0800
-
-    Migrated quotes.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  2 --
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/quotes.cpp                | 29 ++++++++++-----------------
- test-suite/quotes.hpp                | 39 ------------------------------------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 11 insertions(+), 66 deletions(-)
-
-commit 480538b57cff87ee6f42f4fd50dcb8e72e3a2e6d
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 15 Nov 2023 10:22:35 +0800
-
-    Refactored speedlevel.cpp to preconditions.cpp to group preconditions
-
- test-suite/CMakeLists.txt                        |  8 +--
- test-suite/Makefile.am                           |  8 +--
- test-suite/americanoption.cpp                    | 19 +++--
- test-suite/andreasenhugevolatilityinterpl.cpp    | 20 +++---
- test-suite/asianoptions.cpp                      | 24 +++----
- test-suite/basketoption.cpp                      | 16 ++---
- test-suite/bermudanswaption.cpp                  |  2 +-
- test-suite/cashflows.cpp                         | 11 +--
- test-suite/cdo.cpp                               | 16 ++---
- test-suite/dividendoption.cpp                    |  2 +-
- test-suite/doublebarrieroption.cpp               | 30 ++++----
- test-suite/fdheston.cpp                          | 30 ++++----
- test-suite/fdmlinearop.cpp                       | 76 ++++++++++----------
- test-suite/fdsabr.cpp                            |  4 +-
- test-suite/forwardoption.cpp                     | 16 ++---
- test-suite/gjrgarchmodel.cpp                     | 18 ++---
- test-suite/hestonmodel.cpp                       |  4 +-
- test-suite/hestonslvmodel.cpp                    | 88 ++++++++++++------------
- test-suite/hybridhestonhullwhiteprocess.cpp      | 36 +++++-----
- test-suite/interpolations.cpp                    |  2 +-
- test-suite/libormarketmodel.cpp                  | 33 +++++----
- test-suite/libormarketmodelprocess.cpp           | 16 ++---
- test-suite/lookbackoptions.cpp                   | 12 ++--
- test-suite/marketmodel.hpp                       |  2 +-
- test-suite/marketmodel_cms.cpp                   | 30 ++++----
- test-suite/marketmodel_smm.cpp                   | 42 +++++------
- test-suite/markovfunctional.cpp                  | 48 ++++++-------
- test-suite/mclongstaffschwartzengine.cpp         |  2 +-
- test-suite/normalclvmodel.cpp                    |  6 +-
- test-suite/nthorderderivativeop.cpp              | 15 ++--
- test-suite/nthtodefault.cpp                      | 12 ++--
- test-suite/optimizers.cpp                        | 12 ++--
- test-suite/optionletstripper.cpp                 | 16 ++---
- test-suite/piecewiseyieldcurve.cpp               | 11 +--
- test-suite/{speedlevel.cpp => preconditions.cpp} | 27 ++------
- test-suite/{speedlevel.hpp => preconditions.hpp} | 10 +--
- test-suite/quantlibglobalfixture.cpp             | 20 ++++++
- test-suite/quantlibglobalfixture.hpp             |  4 +-
- test-suite/quantlibtestsuite.cpp                 |  2 +-
- test-suite/riskneutraldensitycalculator.hpp      |  2 +-
- test-suite/shortratemodels.hpp                   |  2 +-
- test-suite/swaption.hpp                          |  2 +-
- test-suite/swingoption.hpp                       |  2 +-
- test-suite/testsuite.vcxproj                     |  4 +-
- test-suite/testsuite.vcxproj.filters             | 12 ++--
- test-suite/vpp.hpp                               |  2 +-
- test-suite/zabr.hpp                              |  2 +-
- 47 files changed, 382 insertions(+), 396 deletions(-)
-
-commit 75cdbfd81b2734234e8fb071038076d305802404
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 14 Nov 2023 18:27:54 +0800
-
-    Migrated quantooption.cpp
-
- test-suite/CMakeLists.txt            |   5 +-
- test-suite/Makefile.am               |   1 -
- test-suite/quantlibbenchmark.cpp     |   8 +-
- test-suite/quantlibtestsuite.cpp     |   3 -
- test-suite/quantooption.cpp          | 201 ++++++++++++++++-------------------
- test-suite/quantooption.hpp          |  48 ---------
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 8 files changed, 100 insertions(+), 170 deletions(-)
-
-commit 893234b5e2940f5db2eb47693fc85d60b4b65bbb
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 14 Nov 2023 18:15:06 +0800
-
-    Migrated piecewisezerospreadedtermstructure.cpp
-
- test-suite/CMakeLists.txt                         |  1 -
- test-suite/Makefile.am                            |  1 -
- test-suite/piecewisezerospreadedtermstructure.cpp | 50 ++++++++---------------
- test-suite/piecewisezerospreadedtermstructure.hpp | 43 -------------------
- test-suite/quantlibtestsuite.cpp                  |  2 -
- test-suite/testsuite.vcxproj                      |  1 -
- test-suite/testsuite.vcxproj.filters              |  3 --
- 7 files changed, 17 insertions(+), 84 deletions(-)
-
-commit bd35efc876c829c4064c96f05ad45f5a5dc375d0
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 14 Nov 2023 18:11:24 +0800
-
-    Migrated piecewiseyieldcurve.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/piecewiseyieldcurve.cpp   | 181 +++++++++++++++--------------------
- test-suite/piecewiseyieldcurve.hpp   |  69 -------------
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 75 insertions(+), 183 deletions(-)
-
-commit ba8dc3f166aa329f4dd8c5ca39a419323452f801
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Mon, 13 Nov 2023 22:30:36 +0800
-
-    Migrated period.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/period.cpp                | 21 ++++++++++----------
- test-suite/period.hpp                | 37 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 56 deletions(-)
-
-commit ec42d8bbd6d1079e774143e0eb6334b2f5cd8390
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Mon, 13 Nov 2023 22:27:47 +0800
-
-    Migrated pathgenerator.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/pathgenerator.cpp         | 19 ++++++++-----------
- test-suite/pathgenerator.hpp         | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 55 deletions(-)
-
-commit abfb7663ccd2de2504c16b4634e38fd2807ee3dc
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Mon, 13 Nov 2023 14:02:05 +0800
-
-    refactored speed_level function into speedlevel.cpp
-
- test-suite/quantlibglobalfixture.cpp | 20 --------------------
- test-suite/quantlibglobalfixture.hpp |  1 -
- test-suite/quantlibtestsuite.cpp     | 21 ---------------------
- test-suite/speedlevel.cpp            | 20 ++++++++++++++++++++
- test-suite/speedlevel.hpp            |  3 ++-
- 5 files changed, 22 insertions(+), 43 deletions(-)
-
-commit e4e8216d7a2a8260b8acf5b19af0d220e4e7c78a
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Mon, 13 Nov 2023 13:42:00 +0800
-
-    Migrated partialtimebarrieroption.cpp
-
- test-suite/CMakeLists.txt               |  1 -
- test-suite/Makefile.am                  |  1 -
- test-suite/partialtimebarrieroption.cpp | 18 ++++++++---------
- test-suite/partialtimebarrieroption.hpp | 35 ---------------------------------
- test-suite/quantlibtestsuite.cpp        |  2 --
- test-suite/testsuite.vcxproj            |  1 -
- test-suite/testsuite.vcxproj.filters    |  3 ---
- 7 files changed, 8 insertions(+), 53 deletions(-)
-
-commit 138413ed526f2a3bc03d8f6ddfd1011c1dcb4c53
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Mon, 13 Nov 2023 13:39:11 +0800
-
-    Migrated pagodaoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/pagodaoption.cpp          | 16 ++++++++--------
- test-suite/pagodaoption.hpp          | 32 --------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 48 deletions(-)
-
-commit c867824c684eaec5a6a820f29bd83d89fbdc743e
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Mon, 13 Nov 2023 11:35:57 +0800
-
-    Fixed namespace errors
-
- test-suite/observable.cpp | 137 +++++++++++++++++++++++-----------------------
- 1 file changed, 68 insertions(+), 69 deletions(-)
-
-commit 32355174624b49a82ee04a29ade52864284a47ab
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 17:14:30 +0800
-
-    Revert "Migrated marketmodel.cpp"
-    
-    This reverts commit 0e012fe1
-
- test-suite/CMakeLists.txt            |   1 +
- test-suite/Makefile.am               |   1 +
- test-suite/marketmodel.cpp           | 189 +++++++++++++++++++----------------
- test-suite/marketmodel.hpp           |  61 +++++++++++
- test-suite/quantlibtestsuite.cpp     |   2 +
- test-suite/testsuite.vcxproj         |   1 +
- test-suite/testsuite.vcxproj.filters |   3 +
- 7 files changed, 172 insertions(+), 86 deletions(-)
-
-commit 33d30c8aec6bcaae6781edb6a1cfa76cb475abf0
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 16:16:41 +0800
-
-    Migrated overnightindexedswap.cpp + bug fix
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/nthorderderivativeop.cpp  |   2 +-
- test-suite/overnightindexedswap.cpp  | 196 ++++++++++++++++-------------------
- test-suite/overnightindexedswap.hpp  |  46 --------
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 8 files changed, 91 insertions(+), 161 deletions(-)
-
-commit a86f85d5ed3e1b3318fc91db189071321e38d41b
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 16:11:26 +0800
-
-    Migrated overnightindexedcoupon.cpp
-
- test-suite/CMakeLists.txt             |  1 -
- test-suite/Makefile.am                |  1 -
- test-suite/overnightindexedcoupon.cpp | 48 +++++++++++++++--------------------
- test-suite/overnightindexedcoupon.hpp | 40 -----------------------------
- test-suite/quantlibtestsuite.cpp      |  2 --
- test-suite/testsuite.vcxproj          |  1 -
- test-suite/testsuite.vcxproj.filters  |  3 ---
- 7 files changed, 20 insertions(+), 76 deletions(-)
-
-commit 5ba4269e8709ef93615fef0554e1a1c27298d735
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 16:06:38 +0800
-
-    Migrated optionletstripper.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/optionletstripper.cpp     | 35 +++++++++++++-----------------
- test-suite/optionletstripper.hpp     | 42 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 15 insertions(+), 70 deletions(-)
-
-commit 0449cd225f9b4f2608756a3d05402cde93dcbf5f
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 16:02:23 +0800
-
-    Migrated optimizers.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/optimizers.cpp            | 28 ++++++++++------------------
- test-suite/optimizers.hpp            | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 62 deletions(-)
-
-commit 7e1345c61ba69770d67fdbfb4f4242c3f34075ef
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:57:05 +0800
-
-    Migrated operators.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/operators.cpp             | 21 +++++++++-----------
- test-suite/operators.hpp             | 38 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 58 deletions(-)
-
-commit 1b5862db33e07a1dad7e06eb36945438d34d844b
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:54:58 +0800
-
-    Migrated ode.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/ode.cpp                   | 23 +++++++++++-----------
- test-suite/ode.hpp                   | 38 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 11 insertions(+), 58 deletions(-)
-
-commit ef72eb0d2d3a3aa0205e014ff29a39b02dc2ab72
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:52:18 +0800
-
-    Migrated observable.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/observable.cpp            | 39 ++++++++++++----------------------
- test-suite/observable.hpp            | 41 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 13 insertions(+), 75 deletions(-)
-
-commit 54394ab21037fb0373e3fdb5f4b681519a779996
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:48:10 +0800
-
-    Migrated numericaldifferentiation.cpp
-
- test-suite/CMakeLists.txt               |  1 -
- test-suite/Makefile.am                  |  1 -
- test-suite/numericaldifferentiation.cpp | 48 ++++++++++-----------------------
- test-suite/numericaldifferentiation.hpp | 38 --------------------------
- test-suite/quantlibtestsuite.cpp        |  2 --
- test-suite/testsuite.vcxproj            |  1 -
- test-suite/testsuite.vcxproj.filters    |  3 ---
- 7 files changed, 14 insertions(+), 80 deletions(-)
-
-commit d3d75ed9f70cff3400b051fe7d178e121bb0009a
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:41:04 +0800
-
-    Migrated nthtodefault.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/nthtodefault.cpp          | 33 +++++++++++++++------------------
- test-suite/nthtodefault.hpp          | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 15 insertions(+), 62 deletions(-)
-
-commit a04f2305d35bf9d9f39ab96a8cb8e0a81bcc17b5
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:34:18 +0800
-
-    Migrated nthorderderivativeop.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/nthorderderivativeop.cpp  | 76 +++++++++++-------------------------
- test-suite/nthorderderivativeop.hpp  | 47 ----------------------
- test-suite/quantlibtestsuite.cpp     |  2 -
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 7 files changed, 22 insertions(+), 109 deletions(-)
-
-commit 2237aebcabb9b7d791126d97c95bdaf621654940
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:29:22 +0800
-
-    Migrated normalclvmodel.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/normalclvmodel.cpp        | 41 ++++++++++++------------------------
- test-suite/normalclvmodel.hpp        | 37 --------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 13 insertions(+), 73 deletions(-)
-
-commit c33f85bd7c2762045428a13005748a8598549fb7
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:25:56 +0800
-
-    Migrated noarbsabr.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/noarbsabr.cpp             | 18 +++++++++---------
- test-suite/noarbsabr.hpp             | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 53 deletions(-)
-
-commit 808c87befaed2c37d19f5687ebca9113ab54d251
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:23:36 +0800
-
-    Migrated money.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/money.cpp                 | 23 ++++++++++------------
- test-suite/money.hpp                 | 37 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 58 deletions(-)
-
-commit 8097320ecc35003fdecd03587ed7612431abb7ca
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:21:20 +0800
-
-    Migrated mersennetwister.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/mersennetwister.cpp       | 16 ++++++++--------
- test-suite/mersennetwister.hpp       | 35 -----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 51 deletions(-)
-
-commit 0baf421d8b3fb9a767ff8479449101fce5c1fce2
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 15:18:29 +0800
-
-    Migrated mclongstaffschwartzengine.cpp
-
- test-suite/CMakeLists.txt                |  1 -
- test-suite/Makefile.am                   |  1 -
- test-suite/mclongstaffschwartzengine.cpp | 23 ++++++++------------
- test-suite/mclongstaffschwartzengine.hpp | 37 --------------------------------
- test-suite/quantlibtestsuite.cpp         |  2 --
- test-suite/testsuite.vcxproj             |  1 -
- test-suite/testsuite.vcxproj.filters     |  3 ---
- 7 files changed, 9 insertions(+), 59 deletions(-)
-
-commit bf46253891d11cd4b09f2b1a23733d6ddd48784a
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 13:51:02 +0800
-
-    Migrated matrices.cpp and markovfunctional.cpp
-
- test-suite/CMakeLists.txt            |   2 -
- test-suite/Makefile.am               |   2 -
- test-suite/markovfunctional.cpp      | 270 +++++++++++++++++------------------
- test-suite/markovfunctional.hpp      |  40 ------
- test-suite/matrices.cpp              |  89 +++++-------
- test-suite/matrices.hpp              |  52 -------
- test-suite/quantlibtestsuite.cpp     |   4 -
- test-suite/testsuite.vcxproj         |   2 -
- test-suite/testsuite.vcxproj.filters |   6 -
- 9 files changed, 165 insertions(+), 302 deletions(-)
-
-commit 2dd13f8838333aafda5e3276e951da2904d623d3
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 13:44:15 +0800
-
-    Migrated marketmodel_smmcaplethomocalibration.cpp
-
- test-suite/CMakeLists.txt                          |  1 -
- test-suite/Makefile.am                             |  1 -
- .../marketmodel_smmcaplethomocalibration.cpp       | 42 +++++-----------------
- .../marketmodel_smmcaplethomocalibration.hpp       | 36 -------------------
- test-suite/quantlibtestsuite.cpp                   |  2 --
- test-suite/testsuite.vcxproj                       |  1 -
- test-suite/testsuite.vcxproj.filters               |  3 --
- 7 files changed, 8 insertions(+), 78 deletions(-)
-
-commit 466e1802813c860cc27b610167049b940e5ae6c3
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 13:38:15 +0800
-
-    Migrated marketmodel_smmcapletcalibration.cpp
-
- test-suite/CMakeLists.txt                       |  1 -
- test-suite/Makefile.am                          |  1 -
- test-suite/marketmodel_smmcapletcalibration.cpp | 16 +++++-------
- test-suite/marketmodel_smmcapletcalibration.hpp | 34 -------------------------
- test-suite/quantlibtestsuite.cpp                |  2 --
- test-suite/testsuite.vcxproj                    |  1 -
- test-suite/testsuite.vcxproj.filters            |  3 ---
- 7 files changed, 6 insertions(+), 52 deletions(-)
-
-commit 0ac5f2bd563efa7232314cae7ca25a6129b3ca50
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 13:35:13 +0800
-
-    Migrated marketmodel_smmcapletalphacalibration.cpp
-
- test-suite/CMakeLists.txt                          |  1 -
- test-suite/Makefile.am                             |  1 -
- .../marketmodel_smmcapletalphacalibration.cpp      | 17 +++++------
- .../marketmodel_smmcapletalphacalibration.hpp      | 34 ----------------------
- test-suite/quantlibtestsuite.cpp                   |  2 --
- test-suite/testsuite.vcxproj                       |  1 -
- test-suite/testsuite.vcxproj.filters               |  3 --
- 7 files changed, 7 insertions(+), 52 deletions(-)
-
-commit d25e4805788eb10a0e8918db41680a0728a56984
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 13:30:35 +0800
-
-    Migrated marketmodel_smm.cpp
-
- test-suite/CMakeLists.txt            |  3 +--
- test-suite/Makefile.am               |  2 --
- test-suite/marketmodel_smm.cpp       | 22 ++++++----------
- test-suite/marketmodel_smm.hpp       | 50 ------------------------------------
- test-suite/quantlibbenchmark.cpp     | 13 +++++-----
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 16 insertions(+), 80 deletions(-)
-
-commit 7f307673db861c42e8d7a3afd68876c31a0811bc
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 13:23:14 +0800
-
-    Migrated marketmodel_cms.cpp
-
- test-suite/CMakeLists.txt            |  3 +--
- test-suite/Makefile.am               |  2 --
- test-suite/marketmodel_cms.cpp       | 22 ++++++++-------------
- test-suite/marketmodel_cms.hpp       | 37 ------------------------------------
- test-suite/quantlibbenchmark.cpp     |  8 +++++++-
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 16 insertions(+), 62 deletions(-)
-
-commit 6fed27833da813eae39d5289ebe44e19777c26b3
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 8 Nov 2023 13:15:55 +0800
-
-    Migrated marketmodel.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/marketmodel.cpp           | 189 ++++++++++++++++-------------------
- test-suite/marketmodel.hpp           |  61 -----------
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 86 insertions(+), 172 deletions(-)
-
-commit 292aea8849805628c067171bf67f547136a2cf68
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 17:40:26 +0800
-
-    Migrated margrabeoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/margrabeoption.cpp        | 23 ++++++++++-------------
- test-suite/margrabeoption.hpp        | 34 ----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 55 deletions(-)
-
-commit a32bc1fdf31e289cf8d3396fc45bc95583ebaf3a
+commit cbec61ea00011fa00189dad0a698acd8c4fffb03
 Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
-Date:   Tue, 14 Nov 2023 16:32:34 +0000
+Date:   Sun, 11 Feb 2024 02:23:00 +0000
 
-    Update generated headers
+    Automated fixes by clang-tidy
 
- ql/math/randomnumbers/all.hpp | 1 +
- 1 file changed, 1 insertion(+)
+ ql/math/integrals/discreteintegrals.cpp | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit 00e17d9e4a9317fe4d5fd359411a69e23c8b61d6
-Merge: 6fa6932a2 f94815da5
+commit 8c87dc2ffe241e260b248385348bb272301f32dd
+Merge: 4a2171330 b0a40f0f7
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Tue, 14 Nov 2023 17:30:18 +0100
-
-    add Burley 2020 scrambled Sobol sequence generator (#1828)
+Date:   Mon, 12 Feb 2024 10:30:15 +0100
 
-commit f94815da5fa18fabf57afaf8db4706c23498c9b5
-Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Mon, 13 Nov 2023 18:43:04 +0100
+    Add MakeVanillaSwap.withPaymentConvention (#1907)
 
-    add clarifying comment
+commit 4a2171330ac91854f3f198e6dff5edb3b3edda55
+Merge: c29d49cbf 6a67c30a6
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 12 Feb 2024 10:29:15 +0100
 
- ql/math/randomnumbers/sobolrsg.hpp | 10 +++++++++-
- 1 file changed, 9 insertions(+), 1 deletion(-)
+    Return cached fixingDate in IborCoupon (#1908)
 
-commit 6fa6932a27bc2f35115e2125c098d4f2b21e34e9
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Mon, 13 Nov 2023 16:55:48 +0100
+commit 6a67c30a6a2e1ff8f96391b792cbbc0ed68d57f7
+Author: Eugene Toder <eltoder@twosigma.com>
+Date:   Fri, 9 Feb 2024 14:19:11 -0500
 
-    Apply clang-tidy suggestions, avoid errors
+    Return cached fixingDate in IborCoupon
+    
+    Return the cached date from fixingDate() method since it is used
+    internally in indexFixing().
 
- test-suite/quantlibbenchmark.cpp     | 38 ++++++++++++++++++------------------
- test-suite/quantlibglobalfixture.hpp |  2 +-
- test-suite/toplevelfixture.hpp       |  4 ++--
- 3 files changed, 22 insertions(+), 22 deletions(-)
+ ql/cashflows/iborcoupon.cpp | 6 +++++-
+ ql/cashflows/iborcoupon.hpp | 1 +
+ 2 files changed, 6 insertions(+), 1 deletion(-)
 
-commit 265b60bbfd94b3cc50c3c234a70407448aeb84f9
-Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Sun, 12 Nov 2023 11:20:43 +0100
+commit b0a40f0f7d337a7b917477efb4bf0cf2a705b015
+Author: Eugene Toder <eltoder@twosigma.com>
+Date:   Fri, 9 Feb 2024 13:46:08 -0500
 
-    add check whether sequence length is exhausted
+    Add MakeVanillaSwap.withPaymentConvention
 
- ql/math/randomnumbers/burley2020sobolrsg.cpp | 4 +++-
- 1 file changed, 3 insertions(+), 1 deletion(-)
+ ql/instruments/makevanillaswap.cpp | 9 +++++++--
+ ql/instruments/makevanillaswap.hpp | 2 ++
+ 2 files changed, 9 insertions(+), 2 deletions(-)
 
-commit 0f621e7b845425e1659764f9d7a6aa40dcb5905d
-Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Sat, 11 Nov 2023 17:58:52 +0100
+commit c29d49cbf0d5a786d626c650576b43a8a852c7f5
+Merge: f63cb21e0 f466c3ccd
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Thu, 8 Feb 2024 09:00:59 +0100
 
-    make ctors explicit
+    generate schedules with DateGeneration::Backward in linear time (#1906)
 
- .../browniangenerators/sobolbrowniangenerator.hpp             | 11 +++++------
- 1 file changed, 5 insertions(+), 6 deletions(-)
+commit f466c3ccdbebdab56a845d596b482caf36545f19
+Author: Steve Dacek <stephen.dacek@twosigma.com>
+Date:   Wed, 7 Feb 2024 11:04:05 -0500
 
-commit 8dd19ca5d3915655048d7a90972cb331b51aa055
-Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Sat, 11 Nov 2023 17:58:31 +0100
+    generate schedules with DateGeneration::Backward linearly
+    
+    push_back all new dates/regular flags and reverse at the end
 
-    move to slow tests, formatting
+ ql/time/schedule.cpp | 27 +++++++++++++--------------
+ 1 file changed, 13 insertions(+), 14 deletions(-)
 
- test-suite/lowdiscrepancysequences.cpp | 15 ++++++++-------
- 1 file changed, 8 insertions(+), 7 deletions(-)
+commit f63cb21e0a99d2bfab4bb625e1c8805f011c924d
+Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
+Date:   Mon, 5 Feb 2024 11:24:24 +0000
 
-commit 5213e5235034d82bc299fb84e56d6f659f928d23
-Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Sat, 11 Nov 2023 16:32:09 +0100
+    Bump peter-evans/create-pull-request from 5 to 6
+    
+    Bumps [peter-evans/create-pull-request](https://github.com/peter-evans/create-pull-request) from 5 to 6.
+    - [Release notes](https://github.com/peter-evans/create-pull-request/releases)
+    - [Commits](https://github.com/peter-evans/create-pull-request/compare/v5...v6)
+    
+    ---
+    updated-dependencies:
+    - dependency-name: peter-evans/create-pull-request
+      dependency-type: direct:production
+      update-type: version-update:semver-major
+    ...
+    
+    Signed-off-by: dependabot[bot] <support@github.com>
 
-    hardcode hash function, since it seems to have a different implementation on windows
+ .github/workflows/copyrights.yml        | 2 +-
+ .github/workflows/generated-headers.yml | 2 +-
+ .github/workflows/misspell.yml          | 2 +-
+ .github/workflows/tidy.yml              | 2 +-
+ 4 files changed, 4 insertions(+), 4 deletions(-)
 
- ql/math/randomnumbers/burley2020sobolrsg.cpp | 26 +++++++++++++++++++-------
- 1 file changed, 19 insertions(+), 7 deletions(-)
+commit 1d05432b694236f8e12f00f9e7115992e5003ee2
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Mon, 5 Feb 2024 14:09:48 -0500
 
-commit 13c5dcf6370e14d7a454b695eafe072d4bdc6965
-Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Sat, 11 Nov 2023 13:25:04 +0100
+    try to prevent notifying the swaption
 
-    fixes
+ ql/pricingengines/swaption/blackswaptionengine.hpp | 2 ++
+ 1 file changed, 2 insertions(+)
 
- ql/math/randomnumbers/burley2020sobolrsg.hpp | 2 +-
- ql/math/randomnumbers/sobolrsg.cpp           | 2 +-
- 2 files changed, 2 insertions(+), 2 deletions(-)
+commit 14e26318bff20d335105e91207df29d3242ddf57
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Mon, 5 Feb 2024 13:42:24 -0500
 
-commit d0b22ae6e81f97895b547d2d6fd1973811b061ae
-Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Sat, 11 Nov 2023 13:06:32 +0100
+    extend MakeSwaption
 
-    missing include
+ ql/instruments/makeswaption.cpp | 52 +++++++++++++++++++++++++++--------------
+ ql/instruments/makeswaption.hpp |  2 +-
+ 2 files changed, 36 insertions(+), 18 deletions(-)
 
- test-suite/lowdiscrepancysequences.cpp | 1 +
- 1 file changed, 1 insertion(+)
+commit 78bc02b2fa5a2d21007537be06c0c2b47e423f0c
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Tue, 10 Oct 2023 16:06:45 -0400
 
-commit e53829966d4384b34f8c21c87355a034eec3f026
-Author: Peter Caspers <peter.caspers@acadia.inc>
-Date:   Fri, 10 Nov 2023 20:27:16 +0100
-
-    add Burley 2020 scrambled Sobol sequence generator
-
- QuantLib.vcxproj                                   |   2 +
- QuantLib.vcxproj.filters                           |   6 +
- ql/CMakeLists.txt                                  |   2 +
- ql/math/randomnumbers/Makefile.am                  |   6 +-
- ql/math/randomnumbers/burley2020sobolrsg.cpp       | 139 +++++++++++++++++++++
- ql/math/randomnumbers/burley2020sobolrsg.hpp       |  64 ++++++++++
- ql/math/randomnumbers/sobolbrownianbridgersg.cpp   |  64 +++++++---
- ql/math/randomnumbers/sobolbrownianbridgersg.hpp   |  22 +++-
- ql/math/randomnumbers/sobolrsg.cpp                 |  65 +++++++---
- ql/math/randomnumbers/sobolrsg.hpp                 |   6 +-
- .../browniangenerators/sobolbrowniangenerator.cpp  |  62 ++++++---
- .../browniangenerators/sobolbrowniangenerator.hpp  |  58 +++++++--
- test-suite/lowdiscrepancysequences.cpp             |  69 +++++++++-
- 13 files changed, 502 insertions(+), 63 deletions(-)
-
-commit 77418dc33abba30c23afbea012864f9e7baa158b
-Merge: 2e39334c7 a040dee70
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 8 Nov 2023 18:23:26 +0100
+    add missing includes
 
-    Automated registration of Unit test using boost test (#1811)
+ Examples/BermudanSwaption/BermudanSwaption.cpp | 1 +
+ test-suite/basismodels.cpp                     | 1 +
+ test-suite/libormarketmodel.cpp                | 1 +
+ 3 files changed, 3 insertions(+)
 
-commit a040dee70adae560822cc558b2785c0ec4bbfbb7
+commit 4235e31ff9e448e0cef1ca67ef41233cf3b73471
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 8 Nov 2023 17:05:05 +0100
+Date:   Mon, 6 Mar 2023 17:38:21 +0100
 
-    Group parametric tests in sub-suite to allow precondition
+    Add a couple of tests for OI swaption
 
- test-suite/basketoption.cpp | 6 +++++-
- 1 file changed, 5 insertions(+), 1 deletion(-)
+ test-suite/swaption.cpp | 142 ++++++++++++++++++++++++++++++++++++++++++++++--
+ 1 file changed, 138 insertions(+), 4 deletions(-)
 
-commit ef04c9b313fcff46fa11605e7f77d497a70edec2
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 8 Nov 2023 15:42:49 +0100
+commit 22d077080177125894fbad30ec91b5aa7c9b0434
+Author: Guillaume Horel <guillaume.horel@gmail.com>
+Date:   Wed, 8 Feb 2023 10:58:32 -0500
 
-    Add a few missing disclaimers
+    allow swaptions to take OvernightIndexedSwap
 
- test-suite/quantlibglobalfixture.cpp |  6 +++---
- test-suite/quantlibglobalfixture.hpp | 22 +++++++++++++++++++++-
- test-suite/speedlevel.cpp            | 21 ++++++++++++++++++++-
- test-suite/speedlevel.hpp            |  1 +
- test-suite/toplevelfixture.hpp       | 23 ++++++++++++++++++++++-
- 5 files changed, 67 insertions(+), 6 deletions(-)
+ ql/cashflows/overnightindexedcoupon.cpp            |  2 +-
+ ql/cashflows/overnightindexedcoupon.hpp            |  3 +
+ ql/experimental/basismodels/swaptioncfs.cpp        |  2 +-
+ ql/experimental/basismodels/swaptioncfs.hpp        |  2 +-
+ ql/experimental/basismodels/tenorswaptionvts.cpp   | 13 ++--
+ ql/instruments/nonstandardswap.cpp                 |  2 +-
+ ql/instruments/nonstandardswap.hpp                 |  4 +-
+ ql/instruments/swaption.cpp                        | 10 ++-
+ ql/instruments/swaption.hpp                        | 12 ++--
+ ql/legacy/libormarketmodels/lfmswaptionengine.cpp  | 17 +++--
+ .../utilities/fdmaffinemodelswapinnervalue.hpp     | 26 ++++----
+ .../calibrationhelpers/swaptionhelper.cpp          | 76 ++++++++++++++--------
+ .../calibrationhelpers/swaptionhelper.hpp          | 22 +++++--
+ ql/pricingengines/swaption/blackswaptionengine.hpp | 50 +++++++-------
+ ql/pricingengines/swaption/g2swaptionengine.hpp    | 10 +--
+ .../swaption/gaussian1dswaptionengine.cpp          |  6 +-
+ 16 files changed, 148 insertions(+), 109 deletions(-)
 
-commit 390a8a8aa7366e23a0fb84a09881b0aa881254c7
+commit c6492d00290d55d1113fddde10997c617ce401c4
+Merge: 6d66cced3 19987be07
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 8 Nov 2023 15:37:41 +0100
+Date:   Mon, 5 Feb 2024 09:55:47 +0100
 
-    Fix check on test times
+    Reduce space usage of Discrete Integrals (#1877)
 
- tools/check_test_times.py | 5 +++--
- 1 file changed, 3 insertions(+), 2 deletions(-)
+commit 19987be07f0f66e70a6e819e289c9aa4dcc1fc8d
+Author: Yi Jiang <yijiangcontact@gmail.com>
+Date:   Sat, 3 Feb 2024 15:54:32 -0800
+
+    N/A
+
+ ql/math/integrals/discreteintegrals.cpp | 4 ++--
+ 1 file changed, 2 insertions(+), 2 deletions(-)
 
-commit 2e39334c7a4d2277776d043a4320b4c81b43a654
-Merge: 09969e168 0cdb45d06
+commit 6d66cced3fef4a1ef42f47ab61771dc377736b5d
+Merge: daba5abec fca2359b7
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 8 Nov 2023 14:58:49 +0100
+Date:   Thu, 1 Feb 2024 12:03:34 +0100
 
-    fixing compilation issue: value usage of fwd declared struct (#1823)
+    Deprecate unused and broken bond helper inspector (#1901)
 
-commit 09969e1681c07aa523325c5e050cbf6ad96dc32e
-Merge: e16a22f6a d8a885ec7
+commit fca2359b73e2519097eeebb4a3ed1f1ee26472e0
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 8 Nov 2023 11:54:40 +0100
+Date:   Thu, 1 Feb 2024 10:44:54 +0100
 
-    CMake presets: Obey ordering rule (#1825)
+    Avoid a couple more warnings
 
-commit e16a22f6a0cfc73e35b6a3427f99c37456f83d50
-Merge: ef331f567 acbea4922
+ ql/termstructures/yield/bondhelpers.cpp | 10 ++++++++++
+ 1 file changed, 10 insertions(+)
+
+commit e0a6d1066106f5987cc0090e452ee460985aa413
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 8 Nov 2023 11:54:14 +0100
+Date:   Thu, 1 Feb 2024 10:18:27 +0100
+
+    Avoid deprecation warnings
 
-    testing: Add basic fuzz test harnesses (#1807)
+ ql/termstructures/yield/bondhelpers.hpp | 12 ++++++++++--
+ 1 file changed, 10 insertions(+), 2 deletions(-)
 
-commit ef331f5672f3340e8dddc496ca883aa787a899a4
+commit ebdcda4e661747198628e6211fae5ed303b8815e
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Wed, 8 Nov 2023 09:34:41 +0100
+Date:   Thu, 1 Feb 2024 10:09:43 +0100
 
-    Moved a few tests in a different section
+    Deprecate methods instead of removing them
 
- test-suite/andreasenhugevolatilityinterpl.cpp | 3 ---
- test-suite/hestonmodel.cpp                    | 3 ---
- test-suite/hestonslvmodel.cpp                 | 2 +-
- 3 files changed, 1 insertion(+), 7 deletions(-)
+ ql/termstructures/yield/bondhelpers.cpp | 30 ++++++++++++------------------
+ ql/termstructures/yield/bondhelpers.hpp | 32 ++++++++++++++++++++++++++++++++
+ 2 files changed, 44 insertions(+), 18 deletions(-)
 
-commit 2a9b4af15692dc377d46c99e58863f60f4d4907b
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Wed, 8 Nov 2023 09:25:35 +0800
+commit 10201c5ec76b0839645419a399479b9f6f3a0e56
+Author: Viktor Zhou <viktorzhou97@hotmail.com>
+Date:   Wed, 31 Jan 2024 14:02:26 -0500
 
-    Update test-suite/dividendoption.cpp
-    
-    Co-authored-by: Luigi Ballabio <luigi.ballabio@gmail.com>
+    [QL-333] deprecate unused and broken bond helper inspector
 
- test-suite/dividendoption.cpp | 1 +
- 1 file changed, 1 insertion(+)
+ ql/termstructures/yield/bondhelpers.hpp | 17 -----------------
+ 1 file changed, 17 deletions(-)
 
-commit 0cdb45d06b067d65e7a98f08314a6a01636a6e3e
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 7 Nov 2023 19:58:12 +0100
+commit daba5abec7fdf37d38953e61667f7fcbaa51ea85
+Merge: 772d19a96 96a0e1207
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 31 Jan 2024 18:08:06 +0100
 
-    fixing compilation issue: value usage of fwd declared struct
+    FuturesRateHelper supplying reference dates for yearFraction computation (#1829)
 
- test-suite/optimizers.cpp | 10 ++++------
- 1 file changed, 4 insertions(+), 6 deletions(-)
+commit 96a0e120752a1e7415f2fd042f561f1d5dc7359e
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 31 Jan 2024 16:36:51 +0100
 
-commit d8a885ec72e5c690fe86a613d5fd24e608fae6e9
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Mon, 6 Nov 2023 20:20:50 +0100
+    Add test case
 
-    cleanup presets: make use previous presets for inheritance
+ test-suite/piecewiseyieldcurve.cpp | 35 +++++++++++++++++++++++++++++++++++
+ 1 file changed, 35 insertions(+)
 
- CMakePresets.json | 16 ++++------------
- 1 file changed, 4 insertions(+), 12 deletions(-)
+commit 0c4e45260e81b427c24b8320b406cac3b2791c6f
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 31 Jan 2024 15:49:36 +0100
 
-commit 08c0571647ee882f84bb5ae7b900492f2732f444
-Author: Paul <d.goldbauer@protonmail.com>
-Date:   Tue, 7 Nov 2023 19:54:22 +0100
+    FuturesRateHelperDates and APPLY_DATES no longer required
 
-    cmake presets ordering important aka fix ninja builds
+ ql/termstructures/yield/ratehelpers.cpp | 75 +++++++++++++--------------------
+ 1 file changed, 30 insertions(+), 45 deletions(-)
 
- CMakePresets.json | 24 ++++++++++++------------
- 1 file changed, 12 insertions(+), 12 deletions(-)
+commit efd32183e7df09974dff814fcb69615bf5b021e4
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 31 Jan 2024 15:24:39 +0100
 
-commit acbea4922056601cd8df9b32e4b1cad87e885552
-Author: Nathaniel Brough <nathaniel.brough@gmail.com>
-Date:   Tue, 7 Nov 2023 08:52:48 -0800
+    Initialization code is no longer deprecated, no need for functions
 
-    Disable fuzz-test builds by default
+ ql/termstructures/yield/ratehelpers.cpp | 130 +++++++++++++-------------------
+ 1 file changed, 52 insertions(+), 78 deletions(-)
 
- CMakeLists.txt | 2 +-
- 1 file changed, 1 insertion(+), 1 deletion(-)
+commit 685847fc87f577eac2747f00941aad9c027ac48b
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 31 Jan 2024 15:04:17 +0100
 
-commit 15e33c5fd02d8d2b8e59a0c615c653db636b99e3
-Merge: 589b56c6e 120170f08
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Tue, 7 Nov 2023 17:28:20 +0800
+    Use delegating constructors
 
-    Merge pull request #9 from Sidsky/automated-test-registration
-    
-    Automated test registration
-
-commit 120170f08337c62def377b16fd01af5704131c30
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 15:54:57 +0800
-
-    Migrated lowdiscrepancysequences.cpp
-
- test-suite/CMakeLists.txt              |  5 +-
- test-suite/Makefile.am                 |  2 -
- test-suite/lowdiscrepancysequences.cpp | 90 +++++++++-------------------------
- test-suite/lowdiscrepancysequences.hpp | 58 ----------------------
- test-suite/quantlibbenchmark.cpp       |  8 ++-
- test-suite/quantlibtestsuite.cpp       |  8 ---
- test-suite/testsuite.vcxproj           |  1 -
- test-suite/testsuite.vcxproj.filters   |  3 --
- 8 files changed, 32 insertions(+), 143 deletions(-)
-
-commit 7ef6b4a36fe1ed17ecec83d143d3de5575619189
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 15:50:54 +0800
-
-    Migrated lookbackoptions.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/lookbackoptions.cpp       | 34 +++++++++++-------------------
- test-suite/lookbackoptions.hpp       | 40 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 12 insertions(+), 70 deletions(-)
-
-commit 4ce79390ac722167111e04212969722e7bc3b2ef
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 15:43:35 +0800
-
-    Migrated linearleastsquaresregression.cpp
-
- test-suite/CMakeLists.txt                   |  1 -
- test-suite/Makefile.am                      |  1 -
- test-suite/linearleastsquaresregression.cpp | 25 ++++++++-----------
- test-suite/linearleastsquaresregression.hpp | 37 -----------------------------
- test-suite/quantlibtestsuite.cpp            |  2 --
- test-suite/testsuite.vcxproj                |  1 -
- test-suite/testsuite.vcxproj.filters        |  3 ---
- 7 files changed, 10 insertions(+), 60 deletions(-)
-
-commit c459079e7c967e9881317c210132ac9207c01ee4
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 15:38:28 +0800
-
-    Migrated libormarketmodelprocess.cpp
-
- test-suite/CMakeLists.txt              |  1 -
- test-suite/Makefile.am                 |  1 -
- test-suite/libormarketmodel.cpp        |  2 +-
- test-suite/libormarketmodelprocess.cpp | 29 +++++++++----------------
- test-suite/libormarketmodelprocess.hpp | 39 ----------------------------------
- test-suite/quantlibtestsuite.cpp       |  5 -----
- test-suite/testsuite.vcxproj           |  1 -
- test-suite/testsuite.vcxproj.filters   |  3 ---
- 8 files changed, 11 insertions(+), 70 deletions(-)
-
-commit 115d889ffb63f7d613b84a85ca5bf899686c0654
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 15:32:49 +0800
-
-    Migrated libormarketmodel.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/libormarketmodel.cpp      | 37 ++++++++++-----------------------
- test-suite/libormarketmodel.hpp      | 40 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  1 -
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 11 insertions(+), 73 deletions(-)
-
-commit 423708e98972599bea6d06ab029a758c89f579d9
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 15:24:51 +0800
-
-    Migrated lazyobject.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  2 --
- test-suite/lazyobject.cpp            | 30 ++++++++++++---------------
- test-suite/lazyobject.hpp            | 39 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 13 insertions(+), 65 deletions(-)
-
-commit 4d0533877e75a22e1187be5130117dc640213abf
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 15:18:01 +0800
-
-    Migrated jumpdiffusion.cpp
-
- test-suite/CMakeLists.txt            |  5 ++---
- test-suite/Makefile.am               |  1 -
- test-suite/jumpdiffusion.cpp         | 17 ++++++++---------
- test-suite/jumpdiffusion.hpp         | 36 ------------------------------------
- test-suite/quantlibbenchmark.cpp     |  8 ++++++--
- test-suite/quantlibglobalfixture.cpp |  2 +-
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 9 files changed, 17 insertions(+), 58 deletions(-)
-
-commit 7887436361efd146ef871c95735769bdcf3b7991
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 14:48:09 +0800
-
-    Migrated interpolations.cpp
-
- test-suite/CMakeLists.txt            |   5 +-
- test-suite/Makefile.am               |   2 -
- test-suite/interpolations.cpp        | 210 +++++++++++++----------------------
- test-suite/interpolations.hpp        |  75 -------------
- test-suite/quantlibbenchmark.cpp     |   8 +-
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 8 files changed, 85 insertions(+), 221 deletions(-)
-
-commit 726887e4447bb3c7aa49a745b916e5f04513c77d
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 14:31:52 +0800
-
-    Migrated interestrates.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/interestrates.cpp         | 14 +++++++-------
- test-suite/interestrates.hpp         | 35 -----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 7 insertions(+), 50 deletions(-)
-
-commit ac967c1badc6fb6d5a98a27c6ca9fc8e0446c834
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 14:27:49 +0800
-
-    Migrated integrals.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/integrals.cpp             | 187 ++++++++++++++---------------------
- test-suite/integrals.hpp             |  52 ----------
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 75 insertions(+), 172 deletions(-)
-
-commit dc9c14d5aaafc805ab2ed46397ff8826756caed0
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 14:18:57 +0800
-
-    Migrated inflationvolatility.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/inflationvolatility.cpp   | 30 ++++++++------------------
- test-suite/inflationvolatility.hpp   | 41 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 70 deletions(-)
-
-commit fe7483416d2916e804b7efdf820c731ce69b46d0
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 14:15:05 +0800
-
-    Migrated inflationcpiswap.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/inflationcpiswap.cpp      | 25 ++++++++---------------
- test-suite/inflationcpiswap.hpp      | 39 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 64 deletions(-)
-
-commit 6cb7a082eb5b444859f1821c11f098c4925f853b
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 14:12:22 +0800
-
-    Migrated inflationcpicapfloor.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/inflationcpicapfloor.cpp  | 24 ++++++--------------
- test-suite/inflationcpicapfloor.hpp  | 43 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 7 insertions(+), 68 deletions(-)
-
-commit a7ee503cbfced70ab8c3e2c154155f183e7cbc60
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 14:09:55 +0800
-
-    Migrated inflationcpibond.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/inflationcpibond.cpp      | 19 ++++++++-----------
- test-suite/inflationcpibond.hpp      | 34 ----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 53 deletions(-)
-
-commit 92d9aedd99114863fc6097d5dc426a97f62b8418
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 14:07:16 +0800
-
-    Migrated inflationcapflooredcoupon.cpp
-
- test-suite/CMakeLists.txt                |  1 -
- test-suite/Makefile.am                   |  1 -
- test-suite/inflationcapflooredcoupon.cpp | 20 ++++++-----------
- test-suite/inflationcapflooredcoupon.hpp | 38 --------------------------------
- test-suite/quantlibtestsuite.cpp         |  2 --
- test-suite/testsuite.vcxproj             |  1 -
- test-suite/testsuite.vcxproj.filters     |  3 ---
- 7 files changed, 7 insertions(+), 59 deletions(-)
-
-commit 53796970c7b43986e6183a0de4173da862eb3e24
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 14:03:54 +0800
-
-    Migrated inflationcapfloor.cpp
-
- test-suite/CMakeLists.txt                |  1 -
- test-suite/Makefile.am                   |  1 -
- test-suite/inflationcapfloor.cpp         | 25 ++++++++-------------
- test-suite/inflationcapfloor.hpp         | 37 --------------------------------
- test-suite/inflationcapflooredcoupon.cpp |  1 -
- test-suite/quantlibtestsuite.cpp         |  2 --
- test-suite/testsuite.vcxproj             |  1 -
- test-suite/testsuite.vcxproj.filters     |  3 ---
- 8 files changed, 9 insertions(+), 62 deletions(-)
-
-commit 0e19a66d858b74cc05c1e112e086fb4c61ab55ab
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 13:36:42 +0800
-
-    Moving headers from quantlibglobalfixture.hpp back to quantlibtestsuite.cpp
-
- test-suite/quantlibglobalfixture.cpp |  4 ++++
- test-suite/quantlibglobalfixture.hpp | 20 --------------------
- test-suite/quantlibtestsuite.cpp     |  4 ++++
- 3 files changed, 8 insertions(+), 20 deletions(-)
-
-commit 6be0974d82b1aadd3310724c59a173066d45032d
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 13:18:29 +0800
-
-    Migrated inflation.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/inflation.cpp             | 346 ++++++++++++++++-------------------
- test-suite/inflation.hpp             |  48 -----
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 160 insertions(+), 242 deletions(-)
-
-commit ac72122461ec46a63d39c16d25c807a038029740
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Tue, 7 Nov 2023 10:54:28 +0800
-
-    Migrated indexes.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/indexes.cpp               | 22 ++++++++++-----------
- test-suite/indexes.hpp               | 37 ------------------------------------
- test-suite/quantlibglobalfixture.cpp | 22 ---------------------
- test-suite/quantlibglobalfixture.hpp | 21 ++++++++++++++++++++
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/speedlevel.cpp            |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 10 files changed, 32 insertions(+), 80 deletions(-)
-
-commit 2de91c2fdc9f15502067a6d061713860b656d240
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 6 Nov 2023 22:33:14 +0100
-
-    fixed explicit constructor
-
- ql/math/integrals/expsinhintegral.hpp | 4 ++--
- 1 file changed, 2 insertions(+), 2 deletions(-)
+ ql/termstructures/yield/ratehelpers.cpp | 30 +++++++++++++-----------------
+ 1 file changed, 13 insertions(+), 17 deletions(-)
 
-commit 3b708e97dd3713cf682e70bed09131232cda80c0
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 6 Nov 2023 22:32:37 +0100
+commit 772d19a967a9a708066b9f1d49f2fb20e9b037e7
+Merge: eb68e03cf ff16f2fc1
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 31 Jan 2024 11:59:45 +0100
 
-    moved test to fast section
+    Fix - São Paulo city holiday just for years before 2022  (#1897)
 
- ql/pricingengines/vanilla/analytichestonengine.cpp | 7 ++-----
- ql/pricingengines/vanilla/analytichestonengine.hpp | 3 ---
- test-suite/andreasenhugevolatilityinterpl.cpp      | 3 ---
- 3 files changed, 2 insertions(+), 11 deletions(-)
+commit ff16f2fc16d477a6f385473fcc9cc700a9add18c
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 31 Jan 2024 09:28:40 +0100
 
-commit 078e5defcb4d65808d325b2b6d4cde6ff7ea154b
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 6 Nov 2023 21:18:49 +0100
+    Update documentation
 
-    removed commented out code
+ ql/time/calendars/brazil.hpp | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
 
- ql/pricingengines/vanilla/analytichestonengine.cpp | 8 --------
- 1 file changed, 8 deletions(-)
+commit eb68e03cf02fc2f46fd770510bde178a75b3c76d
+Merge: c6e9323d8 ff1124a0e
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 31 Jan 2024 09:25:01 +0100
 
-commit 0c6cfb1cd7d7c8ab69610890685672c9f3882e42
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 6 Nov 2023 21:14:23 +0100
+    Allow setting conventions and per-leg EOM in MakeOIS (#1890)
 
-    removed useless includes
+commit c6e9323d8b2a9d14b1d14e65ec8a7bee1412a8b4
+Merge: a72b76b4f a80fbc0fb
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Tue, 30 Jan 2024 14:47:30 +0100
 
- ql/math/integrals/exponentialintegrals.cpp                   | 2 --
- ql/pricingengines/vanilla/analytichestonengine.cpp           | 2 --
- ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 2 --
- 3 files changed, 6 deletions(-)
+    Make BondFunctions BPV and YVBP consistent (#1900)
 
-commit d09386c1b7af05c2afef77001c4347104e9bbba2
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 6 Nov 2023 19:16:17 +0100
+commit a80fbc0fbac4c57fbeeebc83a15c43fc88a5b75b
+Author: JZ <135723295+jez6@users.noreply.github.com>
+Date:   Mon, 29 Jan 2024 14:02:27 -0500
 
-    .
+    Make BondFunctions BPV and YVBP consistent
+    
+    - Make BondFunctions::basisPointValue() and yieldValueBasisPoint()
+      overloads taking DayCounter, Compounding, and Frequency call
+      the overloads taking an InterestRate to correct settlement date-
+      handling as well as to be consistent with similarly-paired
+      methods
 
- ql/math/all.hpp | 1 +
- 1 file changed, 1 insertion(+)
+ ql/pricingengines/bond/bondfunctions.cpp |  6 +--
+ test-suite/bonds.cpp                     | 72 +++++++++++++++++++++++++++++++-
+ 2 files changed, 72 insertions(+), 6 deletions(-)
 
-commit c6ade2c14d3f2a6c4fa5cc49f9b0e62642805341
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Mon, 6 Nov 2023 17:10:51 +0800
-
-    Migrated hybridhestonhullwhiteprocess.cpp
-
- test-suite/CMakeLists.txt                   |   1 -
- test-suite/Makefile.am                      |   1 -
- test-suite/hestonslvmodel.cpp               | 194 ++++++++++++++--------------
- test-suite/hybridhestonhullwhiteprocess.cpp |  76 +++--------
- test-suite/hybridhestonhullwhiteprocess.hpp |  48 -------
- test-suite/quantlibtestsuite.cpp            |   4 +-
- test-suite/testsuite.vcxproj                |   1 -
- test-suite/testsuite.vcxproj.filters        |   3 -
- 8 files changed, 119 insertions(+), 209 deletions(-)
-
-commit 9f940fd4929832354b60780b4479fc80067408c0
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Mon, 6 Nov 2023 17:04:41 +0800
-
-    Migrated himalayaoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/himalayaoption.cpp        | 16 ++++++++--------
- test-suite/himalayaoption.hpp        | 32 --------------------------------
- test-suite/quantlibtestsuite.cpp     |  8 +-------
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 53 deletions(-)
-
-commit cb3d9f7ca9d3841c3d97824306b9ef471335cd67
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Mon, 6 Nov 2023 16:54:11 +0800
-
-    Migrated hestonslvmodel.cpp
-
- test-suite/CMakeLists.txt            |    1 -
- test-suite/Makefile.am               |    1 -
- test-suite/hestonslvmodel.cpp        | 2373 +++++++++++++++++-----------------
- test-suite/hestonslvmodel.hpp        |   56 -
- test-suite/quantlibtestsuite.cpp     |    2 -
- test-suite/testsuite.vcxproj         |    1 -
- test-suite/testsuite.vcxproj.filters |    3 -
- 7 files changed, 1161 insertions(+), 1276 deletions(-)
-
-commit 603340ae6f3b132af559e3aa5f7ade4146708549
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 17:49:03 +0800
-
-    Skip unity build for quantlibbenchmark.cpp
-
- test-suite/CMakeLists.txt | 1 +
- test-suite/Makefile.am    | 5 +++--
- 2 files changed, 4 insertions(+), 2 deletions(-)
-
-commit 445c6dd41baedb18cb3a78fba2c392735467bd39
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Sun, 5 Nov 2023 12:57:59 +0100
-
-    change default to angled contour integration
-
- ql/pricingengines/vanilla/analytichestonengine.cpp     | 17 ++++++++++-------
- .../vanilla/analytichestonhullwhiteengine.cpp          |  9 +++++++--
- ql/pricingengines/vanilla/batesengine.cpp              | 18 ++++++++++++++----
- test-suite/hestonmodel.cpp                             |  8 ++++----
- 4 files changed, 35 insertions(+), 17 deletions(-)
-
-commit 62c0f14f252bf06ea5f277717216cc3ffe7cac38
-Merge: 428bdd40e 3a4285e8a
+commit a72b76b4f8aca4c3a6937cdfc08073a70dd3d309
+Merge: d5bfae627 1e019ea2d
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 3 Nov 2023 12:09:21 +0100
+Date:   Mon, 29 Jan 2024 12:55:49 +0100
 
-    Add 2023-12-15 as South African public holiday (#1819)
+    Good Friday holiday for SOFR (#1898)
 
-commit 44665e64799c2b63715ff39d6f7b7ba53f011c58
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 17:38:17 +0800
+commit 1e019ea2db2706c430620d4f802891f21ac4a719
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 29 Jan 2024 11:40:27 +0100
 
-    Migrated hestonmodel.cpp
+    Add comment
 
- test-suite/CMakeLists.txt            |   3 +-
- test-suite/Makefile.am               |   2 -
- test-suite/hestonmodel.cpp           | 536 ++++++++++++++++-------------------
- test-suite/hestonmodel.hpp           |  75 -----
- test-suite/quantlibbenchmark.cpp     |   8 +-
- test-suite/quantlibtestsuite.cpp     |   3 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 8 files changed, 244 insertions(+), 387 deletions(-)
+ ql/time/calendars/unitedstates.cpp | 3 +++
+ 1 file changed, 3 insertions(+)
 
-commit 3a4285e8a115aab6f0f1163ab8f5ae97b771c686
-Author: Francois Botha <igitur@gmail.com>
-Date:   Fri, 3 Nov 2023 11:38:12 +0200
+commit d5bfae62717ddb51f21c687f9d1b05de12b7a7f3
+Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
+Date:   Sun, 28 Jan 2024 02:25:28 +0000
 
-    Add 2023-12-15 as South African public holiday
+    Automated fixes by clang-tidy
 
- ql/time/calendars/southafrica.cpp | 2 ++
- 1 file changed, 2 insertions(+)
+ ql/experimental/inflation/cpicapfloortermpricesurface.cpp | 4 ++--
+ ql/experimental/inflation/cpicapfloortermpricesurface.hpp | 2 +-
+ test-suite/curvestates.cpp                                | 5 ++---
+ 3 files changed, 5 insertions(+), 6 deletions(-)
 
-commit 6f61bd00b1fe4780c6dd373912b4bbf66eab9da4
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 17:11:44 +0800
-
-    Migrated gsr.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/gsr.cpp                   | 19 +++++++++---------
- test-suite/gsr.hpp                   | 37 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 54 deletions(-)
-
-commit 342fa6409a265472594697ad5644a852619741f1
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 17:09:08 +0800
-
-    Migrated gjrgarchmodel.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/gjrgarchmodel.cpp         | 26 ++++++++++---------------
- test-suite/gjrgarchmodel.hpp         | 37 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  5 -----
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 64 deletions(-)
-
-commit 2a225615d5a4bc82a729124a3e2462902840f3e1
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 16:58:57 +0800
-
-    Migrated gaussianquadratures.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/gaussianquadratures.cpp   | 192 ++++++++++++++++-------------------
- test-suite/gaussianquadratures.hpp   |  45 --------
- test-suite/quantlibtestsuite.cpp     |   1 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 86 insertions(+), 158 deletions(-)
-
-commit 9826b9d84348af0a34078308df3007398716b1d6
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 16:52:53 +0800
-
-    Migrated garch.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/garch.cpp                 | 69 +++++++++++++++++-------------------
- test-suite/garch.hpp                 | 33 -----------------
- test-suite/quantlibtestsuite.cpp     |  1 -
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 7 files changed, 33 insertions(+), 76 deletions(-)
-
-commit b71ec470101a1a1a78c183b42e99d2b87c53be40
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 16:48:04 +0800
-
-    Migrated functions.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/functions.cpp             | 29 +++++++++++---------------
- test-suite/functions.hpp             | 40 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 12 insertions(+), 65 deletions(-)
-
-commit 455b1dd38fb2f5fc2de892b6bf4e64977b171eb9
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 16:45:43 +0800
-
-    Migrated forwardrateagreement.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/forwardrateagreement.cpp  | 16 +++++++++-------
- test-suite/forwardrateagreement.hpp  | 34 ----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 49 deletions(-)
-
-commit 1d2da6b5d365cbe6cf4ef6fb3c53a023080c48b4
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 16:42:37 +0800
-
-    Migrated forwardoption.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/forwardoption.cpp         | 293 ++++++++++++++++-------------------
- test-suite/forwardoption.hpp         |  43 -----
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 134 insertions(+), 210 deletions(-)
-
-commit 5fc4c7fa7dc9d69d18a127532e9d54c7c3e3933b
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 16:37:32 +0800
-
-    Migrated fittedbonddiscountcurve.cpp
-
- test-suite/CMakeLists.txt              |  1 -
- test-suite/Makefile.am                 |  1 -
- test-suite/fittedbonddiscountcurve.cpp | 18 ++++++++---------
- test-suite/fittedbonddiscountcurve.hpp | 36 ----------------------------------
- test-suite/quantlibtestsuite.cpp       |  2 --
- test-suite/testsuite.vcxproj           |  1 -
- test-suite/testsuite.vcxproj.filters   |  3 ---
- 7 files changed, 9 insertions(+), 53 deletions(-)
-
-commit 68e0e4e904bd4bc6dcfcc3c56946eea59b7ba027
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 15:37:36 +0800
-
-    Migrated fdsabr.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/fdsabr.cpp                | 103 ++++++++++++++++-------------------
- test-suite/fdsabr.hpp                |  40 --------------
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 46 insertions(+), 105 deletions(-)
-
-commit 3a38262e18fb4e556ea97fa45c341adb30bc1825
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 15:32:45 +0800
-
-    Migrated fdmlinearop.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/fdmlinearop.cpp           | 360 ++++++++++++++++-------------------
- test-suite/fdmlinearop.hpp           |  56 ------
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 162 insertions(+), 262 deletions(-)
-
-commit 3e2498c32b00275894b779d24c5ffd46a151b040
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 15:21:51 +0800
-
-    Migrated fdheston.cpp
-
- test-suite/CMakeLists.txt            |  5 +-
- test-suite/Makefile.am               |  2 -
- test-suite/fdcir.cpp                 |  1 -
- test-suite/fdheston.cpp              | 90 ++++++++++++++----------------------
- test-suite/fdheston.hpp              | 48 -------------------
- test-suite/quantlibbenchmark.cpp     |  8 +++-
- test-suite/quantlibtestsuite.cpp     |  2 -
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 9 files changed, 42 insertions(+), 118 deletions(-)
-
-commit 43511ea9556076b2791f2c4ba32dda760b171310
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 15:10:35 +0800
-
-    Migrated fdcir.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/fdcir.cpp                 | 16 ++++++++--------
- test-suite/fdcir.hpp                 | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 52 deletions(-)
-
-commit 21b75a911b94144c8d040c916e351a87432eb95b
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 15:07:36 +0800
-
-    Migrated fdcev.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/fdcev.cpp                 | 21 +++++++++-----------
- test-suite/fdcev.hpp                 | 37 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 57 deletions(-)
-
-commit 589b56c6e13d14d4be237218b80b24fb05a9acb5
-Merge: 879652233 3c3230f46
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Fri, 3 Nov 2023 14:23:26 +0800
-
-    Merge pull request #8
-    
-    automated-test-registration
-
-commit 3c3230f4602446326f52d0cb4e562cf300977888
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 3 Nov 2023 14:21:23 +0800
-
-    Removed conditions for unity build
-
- test-suite/quantlibbenchmark.cpp | 31 -------------------------------
- 1 file changed, 31 deletions(-)
-
-commit 97fd015f640ce9fb0e3aad7a3d92d2e28a19fcd1
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 16:30:07 +0800
-
-    Added conditions for unity build
-
- test-suite/quantlibbenchmark.cpp     | 4 ++--
- test-suite/quantlibglobalfixture.cpp | 2 +-
- 2 files changed, 3 insertions(+), 3 deletions(-)
-
-commit acec033066a8a63779e29c6607eeb3ab5fa82a99
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 15:51:57 +0800
-
-    Migrated fastfouriertransform.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/fastfouriertransform.cpp  | 20 +++++++++----------
- test-suite/fastfouriertransform.hpp  | 37 ------------------------------------
- test-suite/quantlibbenchmark.cpp     |  3 ++-
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 11 insertions(+), 57 deletions(-)
-
-commit d057548ea7b62fac84114a2510f19207081fa39f
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 15:48:17 +0800
-
-    Migrated extensibleoptions.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/extensibleoptions.cpp     | 22 +++++++++-------------
- test-suite/extensibleoptions.hpp     | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 57 deletions(-)
-
-commit ec5525f6f619648dae79905d5615a032de434693
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 15:45:55 +0800
-
-    Migrated extendedtrees.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/extendedtrees.cpp         | 34 ++++++++++++------------------
- test-suite/extendedtrees.hpp         | 41 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 13 insertions(+), 70 deletions(-)
-
-commit 7bd925125a43e2d9b967ce6dab7f5d6ad6c379fc
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 15:30:56 +0800
-
-    Added condition for unity builds in quantlibbenchmark.cpp
-
- test-suite/quantlibbenchmark.cpp | 29 +++++++++++++++++++++++++++++
- 1 file changed, 29 insertions(+)
-
-commit 2355b5b369a683864bce3ac76daf0f75ae148de7
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 13:40:36 +0800
-
-    Migrated exchangerate.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/exchangerate.cpp          | 27 +++++++++++--------------
- test-suite/exchangerate.hpp          | 39 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 12 insertions(+), 62 deletions(-)
-
-commit 896f012c3380576d8d0b356aa1126171f47452d8
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 13:37:23 +0800
-
-    Migrated everestoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/everestoption.cpp         | 16 ++++++++--------
- test-suite/everestoption.hpp         | 32 --------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 48 deletions(-)
-
-commit e4d320edf0df7a265b3b4aa9308b8f636d16e0b9
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 13:23:24 +0800
-
-    removed boost test no main redefinition
-
- test-suite/quantlibglobalfixture.cpp | 3 +--
- 1 file changed, 1 insertion(+), 2 deletions(-)
+commit c6732187d30d84318fb2ae3a285897223dad23a4
+Author: Paul <d.goldbauer@protonmail.com>
+Date:   Sat, 27 Jan 2024 21:42:40 +0100
 
-commit bc67995f572877c77ea388ae6923db4c73a3b6f6
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 11:25:18 +0800
-
-    Migrated europeanoption.cpp
-
- test-suite/CMakeLists.txt            |   3 +-
- test-suite/Makefile.am               |   2 -
- test-suite/europeanoption.cpp        | 317 ++++++++++++++++-------------------
- test-suite/europeanoption.hpp        |  61 -------
- test-suite/quantlibbenchmark.cpp     |  18 +-
- test-suite/quantlibtestsuite.cpp     |   3 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 8 files changed, 157 insertions(+), 251 deletions(-)
-
-commit 985aaebff17f054c32e5a27b50cc8a29aa731d09
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 10:56:51 +0800
-
-    Migrated equitytotalreturnswap.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/basketoption.cpp          |  2 --
- test-suite/equitytotalreturnswap.cpp | 28 ++++++++++++----------------
- test-suite/equitytotalreturnswap.hpp | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 12 insertions(+), 62 deletions(-)
-
-commit a6781ed7aff3925a710f61c86033b24f5ea846e9
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 10:55:42 +0800
-
-    Added auto test case template in cdo.cpp
-
- test-suite/basketoption.cpp |   4 -
- test-suite/cdo.cpp          | 498 ++++++++++++++++++++++----------------------
- 2 files changed, 253 insertions(+), 249 deletions(-)
-
-commit d3e3e040d612f1c275c366e74156c8150fbec3ff
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 2 Nov 2023 10:05:16 +0800
-
-    Added auto test case template in basketoption.cpp
-
- test-suite/basketoption.cpp   | 135 ++++++++++++++++--------------
- test-suite/dividendoption.cpp | 190 +++++++++++++++++++++---------------------
- 2 files changed, 168 insertions(+), 157 deletions(-)
-
-commit eb6f83cd7109a659945bcb43ceeff1359088e9c3
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 1 Nov 2023 11:19:00 +0800
-
-    Migrated equityindex.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/equityindex.cpp           | 52 ++++++++++++++----------------------
- test-suite/equityindex.hpp           | 43 -----------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 20 insertions(+), 83 deletions(-)
-
-commit b355809d14651eb5e129325068200b2c86ce5ec1
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 1 Nov 2023 11:10:17 +0800
-
-    Migrated equitycashflow.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/equitycashflow.cpp        | 38 ++++++++++++++---------------------
- test-suite/equitycashflow.hpp        | 39 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 15 insertions(+), 70 deletions(-)
-
-commit 83a36bf533e78a6e19e6db5eb66543699c74a540
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 15:42:15 +0800
-
-    Reviewed changes
-
- test-suite/quantlibtestsuite.cpp     | 20 ++++++++++++++++++++
- test-suite/testsuite.vcxproj         |  2 +-
- test-suite/testsuite.vcxproj.filters |  4 ++--
- 3 files changed, 23 insertions(+), 3 deletions(-)
-
-commit 27a696f7ba8a34939d57904faff923bdf8644c8a
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 15:35:01 +0800
-
-    Migrated doublebinaryoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/doublebinaryoption.cpp    | 17 ++++++++---------
- test-suite/doublebinaryoption.hpp    | 36 ------------------------------------
- test-suite/quantlibbenchmark.cpp     |  7 +++++--
- test-suite/quantlibtestsuite.cpp     |  4 ----
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 13 insertions(+), 57 deletions(-)
-
-commit fe4c3de6157d52d1a61f1c423c4c12e6b109fa4a
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 15:21:20 +0800
-
-    Migrated doublebarrieroption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/doublebarrieroption.cpp   | 34 +++++++++++++------------------
- test-suite/doublebarrieroption.hpp   | 39 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  1 -
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 14 insertions(+), 66 deletions(-)
-
-commit a6988e2839c1f2cd1e718e4236b5b5528254cc88
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 15:03:36 +0800
-
-    Migrated dividendoption.cpp
-
- test-suite/CMakeLists.txt            |  3 +-
- test-suite/Makefile.am               |  3 --
- test-suite/dividendoption.cpp        | 67 ++++++++++++------------------------
- test-suite/dividendoption.hpp        | 50 ---------------------------
- test-suite/quantlibbenchmark.cpp     |  8 +++--
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 8 files changed, 29 insertions(+), 108 deletions(-)
-
-commit 59f991c8ab6a6a7309aaab8888a47f28e5a71fdc
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 14:55:16 +0800
-
-    Migrated distributions.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/distributions.cpp         | 69 ++++++++++++++----------------------
- test-suite/distributions.hpp         | 46 ------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 7 files changed, 27 insertions(+), 96 deletions(-)
-
-commit 0c4d276b563699203e593fd4f8806dff4cdf06b4
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 14:48:39 +0800
-
-    Migrated digitaloption.cpp
-
- test-suite/CMakeLists.txt            |  3 +--
- test-suite/Makefile.am               |  2 --
- test-suite/digitaloption.cpp         | 47 ++++++++++++------------------------
- test-suite/digitaloption.hpp         | 44 ---------------------------------
- test-suite/quantlibbenchmark.cpp     |  8 ++++--
- test-suite/quantlibtestsuite.cpp     |  3 ---
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 22 insertions(+), 89 deletions(-)
-
-commit 819bb231982faa8732653eca3e752f5d91bf068c
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 14:30:48 +0800
-
-    Migrated digitalcoupon.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/digitalcoupon.cpp         | 36 ++++++++++++------------------
- test-suite/digitalcoupon.hpp         | 43 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  3 +--
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 15 insertions(+), 73 deletions(-)
-
-commit 73d2a6e4fead1b69a6b24e6980e720bd006aa6ac
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 14:27:45 +0800
-
-    Migrated defaultprobabilitycurves.cpp
-
- test-suite/CMakeLists.txt               |  1 -
- test-suite/Makefile.am                  |  1 -
- test-suite/defaultprobabilitycurves.cpp | 50 +++++++++++----------------------
- test-suite/defaultprobabilitycurves.hpp | 44 -----------------------------
- test-suite/quantlibtestsuite.cpp        |  2 --
- test-suite/testsuite.vcxproj            |  1 -
- test-suite/testsuite.vcxproj.filters    |  3 --
- 7 files changed, 17 insertions(+), 85 deletions(-)
-
-commit 6bf0b5f4aa920da31daf9a7f60fb507ad95f1e6a
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 14:21:12 +0800
-
-    Migrated daycounters.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/daycounters.cpp           | 85 ++++++++++++------------------------
- test-suite/daycounters.hpp           | 54 -----------------------
- test-suite/quantlibtestsuite.cpp     |  2 -
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 7 files changed, 27 insertions(+), 120 deletions(-)
-
-commit f9912e49b3ae16dbf3ea6f0419fa5b921223b2a4
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 14:12:31 +0800
-
-    Migrated dates.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/dates.cpp                 | 46 ++++++++++++++----------------------
- test-suite/dates.hpp                 | 45 -----------------------------------
- test-suite/quantlibglobalfixture.cpp |  4 +++-
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 21 insertions(+), 82 deletions(-)
-
-commit b056daba30432be1a1582b976dcaf89ece323bcf
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 11:23:36 +0800
-
-    defined boost_test_no_main in global fixture if parallel processing is enabled
-
- test-suite/quantlibglobalfixture.cpp | 1 +
- 1 file changed, 1 insertion(+)
+    Good Friday holiday for SOFR; unit test
 
-commit 87965223342b48510627f64d919586e29048b37f
-Merge: 301a0e416 ec1fb3fc7
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Fri, 27 Oct 2023 10:18:25 +0800
+ ql/time/calendars/unitedstates.cpp |  8 ++++++--
+ test-suite/calendars.cpp           | 21 ++++++++++-----------
+ 2 files changed, 16 insertions(+), 13 deletions(-)
 
-    Merge pull request #7
-    
-    automated-test-registration
+commit 7b773f65b51d81d78c9dd04de35416663c1ad9f9
+Author: Marco Bruno Ferreira Vasconcellos <marco.bfv@gmail.com>
+Date:   Fri, 26 Jan 2024 15:25:53 -0300
 
-commit ec1fb3fc79a4db1e9ce0471c0cb948c55842cec5
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 27 Oct 2023 09:39:27 +0800
+    Fix - São Paulo city holiday just for years before 2022 for Brazilian exchange holidays
 
-    Bug fix
+ ql/time/calendars/brazil.cpp | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
 
- test-suite/cdo.cpp                   | 2 +-
- test-suite/quantlibglobalfixture.cpp | 5 -----
- 2 files changed, 1 insertion(+), 6 deletions(-)
+commit ff1124a0e6a587b29b8676af13b709de526c2811
+Author: Eugene Toder <eltoder@twosigma.com>
+Date:   Fri, 26 Jan 2024 11:59:10 -0500
 
-commit 428bdd40eea7b0ae1efa0c730b97c4a8967e55bf
-Merge: 6441d1b63 90028ed50
-Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 26 Oct 2023 17:50:03 +0200
-
-    Changed paymentLag type to Integer (#1818)
-
-commit 5370fbd96530362541a2a18d9b82036ae35a0108
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:47:48 +0800
-
-    Migrated curvestates.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/curvestates.cpp           | 49 ++++++++++++++++++------------------
- test-suite/curvestates.hpp           | 38 ----------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 24 insertions(+), 71 deletions(-)
-
-commit d470e02b1d672358c478eb337f95fde05e03bbe6
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:39:55 +0800
-
-    Migrated currency.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/currency.cpp              | 16 ++++++++--------
- test-suite/currency.hpp              | 32 --------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 48 deletions(-)
-
-commit 07496962a2510beb42af4d19b588c9ec0000eaa6
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:37:52 +0800
-
-    Migrated creditriskplus.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/creditriskplus.cpp        | 16 +++++++++-------
- test-suite/creditriskplus.hpp        | 34 ----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 49 deletions(-)
-
-commit 42d394066596388bc593cf780323e6844eb2b4ac
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:35:39 +0800
-
-    Migrated creditdefaultswap.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/creditdefaultswap.cpp     | 45 ++++++++++++++----------------------
- test-suite/creditdefaultswap.hpp     | 43 ----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 17 insertions(+), 79 deletions(-)
-
-commit efd50993a7dafa603db128483c0a8e0c5d508308
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:31:45 +0800
-
-    Migrated crosscurrencyratehelpers.cpp
-
- test-suite/CMakeLists.txt               |  1 -
- test-suite/Makefile.am                  |  1 -
- test-suite/crosscurrencyratehelpers.cpp | 59 ++++++++++-----------------------
- test-suite/crosscurrencyratehelpers.hpp | 45 -------------------------
- test-suite/quantlibtestsuite.cpp        |  2 --
- test-suite/testsuite.vcxproj            |  1 -
- test-suite/testsuite.vcxproj.filters    |  3 --
- 7 files changed, 17 insertions(+), 95 deletions(-)
-
-commit 9be368b8fd1302795c4dc50bc1bfb7fd952a0b3a
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:19:36 +0800
-
-    Migrated covariance.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/covariance.cpp            | 24 +++++++++--------------
- test-suite/covariance.hpp            | 38 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 61 deletions(-)
-
-commit ce04ccaab04ec2700bc8337257ef48949d69ff3d
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:16:09 +0800
-
-    Migrated convertiblebonds.cpp
-
- test-suite/CMakeLists.txt            |  3 +--
- test-suite/Makefile.am               |  2 --
- test-suite/convertiblebonds.cpp      | 22 +++++++++------------
- test-suite/convertiblebonds.hpp      | 37 ------------------------------------
- test-suite/quantlibbenchmark.cpp     |  8 ++++++--
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 16 insertions(+), 62 deletions(-)
-
-commit 43384a1d418d871e8a4e3c3c255551da4e84cce5
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:09:51 +0800
-
-    Migrated compoundoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/compoundoption.cpp        | 21 ++++++++-------------
- test-suite/compoundoption.hpp        | 35 -----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 56 deletions(-)
-
-commit b3473d9e288dd4503a422b8e7a79343354416955
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:07:00 +0800
-
-    Migrated compiledboostversion.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/compiledboostversion.cpp  | 16 ++++++++--------
- test-suite/compiledboostversion.hpp  | 33 ---------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 49 deletions(-)
-
-commit f770d36c17051330549194f50db7401237169027
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:03:51 +0800
-
-    Migrated commodityunitofmeasure.cpp
-
- test-suite/CMakeLists.txt             |  1 -
- test-suite/Makefile.am                |  1 -
- test-suite/commodityunitofmeasure.cpp | 15 ++++++++-------
- test-suite/commodityunitofmeasure.hpp | 35 -----------------------------------
- test-suite/quantlibtestsuite.cpp      |  2 --
- test-suite/testsuite.vcxproj          |  1 -
- test-suite/testsuite.vcxproj.filters  |  3 ---
- 7 files changed, 8 insertions(+), 50 deletions(-)
-
-commit d2f2ff5dffb5ca55198df016fd074442316d3f31
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 17:01:15 +0800
-
-    Migrated cmsspread.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/cmsspread.cpp             | 20 ++++++++++----------
- test-suite/cmsspread.hpp             | 35 -----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 53 deletions(-)
-
-commit bc26486aa419b536decd19c8d9009e2f05b2c7c2
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 16:58:18 +0800
-
-    Migrated cms_normal.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/cms_normal.cpp            | 21 ++++++++++-----------
- test-suite/cms_normal.hpp            | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 55 deletions(-)
-
-commit 298d38eb7d7917f76a70af92e89a9a878ee19eb7
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 16:55:11 +0800
-
-    Migrated cms.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/cms.cpp                   | 21 ++++++++++-----------
- test-suite/cms.hpp                   | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 55 deletions(-)
-
-commit cdcf9b3931eecb1634c371456326228b0cb5b161
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 16:52:31 +0800
-
-    Migrated cliquetoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/cliquetoption.cpp         | 27 ++++++++++---------------
- test-suite/cliquetoption.hpp         | 38 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 63 deletions(-)
-
-commit dde5d43b63916d2643530a9e9a8e784eb7369384
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 16:49:40 +0800
-
-    Migrated chooseroption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/chooseroption.cpp         | 21 ++++++++-------------
- test-suite/chooseroption.hpp         | 32 --------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 53 deletions(-)
-
-commit da5627f687af4bd895d30be512b67789600d4d83
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 16:05:51 +0800
-
-    Migrated cdsoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/cdsoption.cpp             | 15 ++++++++-------
- test-suite/cdsoption.hpp             | 35 -----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 50 deletions(-)
-
-commit d46936e509cb4443acd715ba67cbccd9c216aec5
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 15:59:11 +0800
-
-    Migrated cdo.cpp
-
- test-suite/CMakeLists.txt            |   1 -
- test-suite/Makefile.am               |   1 -
- test-suite/cdo.cpp                   | 534 +++++++++++++++++------------------
- test-suite/cdo.hpp                   |  36 ---
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 254 insertions(+), 324 deletions(-)
-
-commit 2eab08d6ee47b0f17e0f50abcdb88a9e6f4c43cf
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 15:44:20 +0800
-
-    Migrated catbonds.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/catbonds.cpp              | 80 +++++++++++++++---------------------
- test-suite/catbonds.hpp              | 39 ------------------
- test-suite/quantlibtestsuite.cpp     |  2 -
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 7 files changed, 32 insertions(+), 95 deletions(-)
-
-commit b6dc49b55395dd162bff974801051e4e638ba0b4
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 15:35:24 +0800
-
-    Migrated cashflows.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/cashflows.cpp             | 52 ++++++++++++++++++------------------
- test-suite/cashflows.hpp             | 40 ---------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 26 insertions(+), 74 deletions(-)
-
-commit 6268784b4a5a1a4dc3ed9b62d11a5d931c7e1090
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 14:12:47 +0800
-
-    Migrated capflooredcoupon.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/capflooredcoupon.cpp      | 18 +++++++++---------
- test-suite/capflooredcoupon.hpp      | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 53 deletions(-)
-
-commit ab99be273605fc1d3939283a65d370613b2f3c30
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 10:28:36 +0800
-
-    Migrated capfloor.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/capfloor.cpp              | 42 +++++++++++++-------------------
- test-suite/capfloor.hpp              | 46 ------------------------------------
- test-suite/quantlibbenchmark.cpp     |  6 +++++
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 22 insertions(+), 80 deletions(-)
-
-commit 4c0e4ca6d075967d23129023d88bebed7f25bc8a
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 26 Oct 2023 10:10:12 +0800
-
-    Migrated callablebonds.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/callablebonds.cpp         | 43 ++++++++++++++----------------------
- test-suite/callablebonds.hpp         | 41 ----------------------------------
- test-suite/quantlibglobalfixture.cpp |  3 +++
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 19 insertions(+), 76 deletions(-)
-
-commit 90028ed50544a11f97bc58574fe21b2304cd8bc0
-Author: Stoozy <stoozy@proton.me>
-Date:   Wed, 25 Oct 2023 20:02:27 -0400
-
-    –Changed paymentLag type to Integer
-
- ql/cashflows/cashflowvectors.hpp                    | 2 +-
- ql/cashflows/fixedratecoupon.cpp                    | 2 +-
- ql/cashflows/fixedratecoupon.hpp                    | 4 ++--
- ql/cashflows/iborcoupon.cpp                         | 2 +-
- ql/cashflows/iborcoupon.hpp                         | 4 ++--
- ql/cashflows/overnightindexedcoupon.cpp             | 2 +-
- ql/cashflows/overnightindexedcoupon.hpp             | 4 ++--
- ql/cashflows/subperiodcoupon.cpp                    | 2 +-
- ql/cashflows/subperiodcoupon.hpp                    | 4 ++--
- ql/instruments/bonds/amortizingfixedratebond.cpp    | 2 +-
- ql/instruments/bonds/amortizingfixedratebond.hpp    | 2 +-
- ql/instruments/bonds/amortizingfloatingratebond.cpp | 2 +-
- ql/instruments/bonds/amortizingfloatingratebond.hpp | 2 +-
- ql/instruments/fixedvsfloatingswap.cpp              | 2 +-
- ql/instruments/fixedvsfloatingswap.hpp              | 2 +-
- ql/instruments/makeois.cpp                          | 2 +-
- ql/instruments/makeois.hpp                          | 4 ++--
- ql/instruments/overnightindexedswap.cpp             | 8 ++++----
- ql/instruments/overnightindexedswap.hpp             | 8 ++++----
- ql/termstructures/yield/oisratehelper.cpp           | 4 ++--
- ql/termstructures/yield/oisratehelper.hpp           | 6 +++---
- test-suite/overnightindexedswap.cpp                 | 4 ++--
- 22 files changed, 37 insertions(+), 37 deletions(-)
-
-commit 65effc2467ea82e340639e1fb127e7a485044c01
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 18:07:35 +0800
-
-    Update Makefile.am
-
- test-suite/Makefile.am | 3 ---
- 1 file changed, 3 deletions(-)
-
-commit 83ffcb79675741ae60373c1986a17b8ff2d11a72
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 17:59:12 +0800
-
-    Migrated calendars.cpp
-
- test-suite/CMakeLists.txt            |   3 +-
- test-suite/Makefile.am               |   1 -
- test-suite/calendars.cpp             | 112 +++++++++++------------------------
- test-suite/calendars.hpp             |  72 ----------------------
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 7 files changed, 36 insertions(+), 158 deletions(-)
-
-commit 7ccba120ecf4faa38505f21e95ea21d3adde12f1
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 17:40:30 +0800
-
-    Migrated businessdayconventions.cpp
-
- test-suite/CMakeLists.txt             |  1 -
- test-suite/Makefile.am                |  1 -
- test-suite/businessdayconventions.cpp | 17 ++++++++---------
- test-suite/businessdayconventions.hpp | 33 ---------------------------------
- test-suite/quantlibtestsuite.cpp      |  2 --
- test-suite/testsuite.vcxproj          |  1 -
- test-suite/testsuite.vcxproj.filters  |  3 ---
- 7 files changed, 8 insertions(+), 50 deletions(-)
-
-commit f8cbaa6a5f98ee8eddebefee017d180c8b9eacfe
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 17:36:34 +0800
-
-    Migrated brownianbridge.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/brownianbridge.cpp        | 18 ++++++++----------
- test-suite/brownianbridge.hpp        | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 8 insertions(+), 54 deletions(-)
-
-commit 8dd1862e13324df6e934abe650b338d1ca83d4ff
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 17:27:12 +0800
-
-    Migrated bonds.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/bonds.cpp                 | 71 ++++++++++++------------------------
- test-suite/bonds.hpp                 | 50 -------------------------
- test-suite/quantlibtestsuite.cpp     |  2 -
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 7 files changed, 23 insertions(+), 106 deletions(-)
-
-commit 36ed3071b6eb89f7917dc5a9e53aa6a14f314f5e
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 17:13:32 +0800
-
-    Migrated bondforward.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/bondforward.cpp           | 22 ++++++++++-----------
- test-suite/bondforward.hpp           | 38 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 58 deletions(-)
-
-commit 0c2ac52606df204eb2e46edabaaa3f9434960f36
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 17:08:22 +0800
-
-    Migrated blackformula.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/blackformula.cpp          | 54 ++++++++++++------------------------
- test-suite/blackformula.hpp          | 46 ------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 --
- 7 files changed, 17 insertions(+), 91 deletions(-)
-
-commit 852cf902f22350bb863049ba02f2ab24577bea7f
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 16:59:57 +0800
-
-    Migrated blackdeltacalculator.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/blackdeltacalculator.cpp  | 27 ++++++++++---------------
- test-suite/blackdeltacalculator.hpp  | 38 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 63 deletions(-)
-
-commit 05430d63c9edb6665ddd1e818c82ed8d31e9e5ac
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 16:52:41 +0800
-
-    Combines namespace members into one in batesmodel.cpp. Updates testsuite.vcxproj.filters file
-
- test-suite/batesmodel.cpp            | 53 +++++++++++++++++-------------------
- test-suite/testsuite.vcxproj.filters |  2 +-
- 2 files changed, 26 insertions(+), 29 deletions(-)
-
-commit d21cfa78b38bd26a9cfa0f372eed77847bfefe05
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 15:28:16 +0800
-
-    Migrated binaryoption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/binaryoption.cpp          | 18 +++++++++---------
- test-suite/binaryoption.hpp          | 36 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 9 insertions(+), 53 deletions(-)
-
-commit 11144ff6acd9d0b38c0831ee99baad18c9c58acd
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 15:24:21 +0800
-
-    Migrated bermudanswaption.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/bermudanswaption.cpp      | 25 +++++++++--------------
- test-suite/bermudanswaption.hpp      | 39 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 62 deletions(-)
-
-commit 8088cdd931245f3e4f132d952b46907f41359974
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 15:09:49 +0800
-
-    Migrated batesmodel.cpp
-
- test-suite/CMakeLists.txt            |  5 ++---
- test-suite/Makefile.am               |  1 -
- test-suite/batesmodel.cpp            | 27 ++++++++++++-------------
- test-suite/batesmodel.hpp            | 38 ------------------------------------
- test-suite/quantlibbenchmark.cpp     | 25 ++++++++++++++++--------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 8 files changed, 31 insertions(+), 71 deletions(-)
-
-commit ffffa1784dd3bd68f3f79233d034399868e5e3c3
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 14:40:09 +0800
-
-    Removed redundant qualification from TopLevelFixture
-
- test-suite/americanoption.cpp                 | 2 +-
- test-suite/amortizingbond.cpp                 | 2 +-
- test-suite/andreasenhugevolatilityinterpl.cpp | 2 +-
- test-suite/array.cpp                          | 2 +-
- test-suite/asianoptions.cpp                   | 2 +-
- test-suite/assetswap.cpp                      | 2 +-
- test-suite/autocovariances.cpp                | 2 +-
- test-suite/barrieroption.cpp                  | 2 +-
- test-suite/basismodels.cpp                    | 2 +-
- test-suite/basisswapratehelpers.cpp           | 2 +-
- 10 files changed, 10 insertions(+), 10 deletions(-)
-
-commit d325e5cacd55584152a48938c6634fa3c1b205d7
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 14:35:54 +0800
-
-    Migrated basketoption.cpp
-
- test-suite/CMakeLists.txt            |   3 +-
- test-suite/Makefile.am               |   1 -
- test-suite/basketoption.cpp          | 248 ++++++++++++++++-------------------
- test-suite/basketoption.hpp          |  43 ------
- test-suite/quantlibbenchmark.cpp     |  12 +-
- test-suite/quantlibtestsuite.cpp     |   2 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 8 files changed, 124 insertions(+), 189 deletions(-)
-
-commit 636d7bc69af69490fe4b91ab422a18dec0c90667
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 12:30:22 +0800
-
-    Migrated basisswapratehelpers.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/basisswapratehelpers.cpp  | 25 ++++++++++--------------
- test-suite/basisswapratehelpers.hpp  | 38 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 61 deletions(-)
-
-commit 231f93c1ac51a834305acbbca526181b9d3b7349
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 12:20:31 +0800
-
-    Migrated basismodels.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/basismodels.cpp           | 23 ++++++++++------------
- test-suite/basismodels.hpp           | 38 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 10 insertions(+), 59 deletions(-)
-
-commit b1d6d3c27910a71f568b6db9cd4427fb176a1e6f
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 11:36:37 +0800
-
-    Migrated barrieroption.cpp
-
- test-suite/CMakeLists.txt            |   3 +-
- test-suite/Makefile.am               |   1 -
- test-suite/barrieroption.cpp         | 814 +++++++++++++++++------------------
- test-suite/barrieroption.hpp         |  50 ---
- test-suite/quantlibbenchmark.cpp     |   6 +-
- test-suite/quantlibtestsuite.cpp     |   3 -
- test-suite/testsuite.vcxproj         |   1 -
- test-suite/testsuite.vcxproj.filters |   3 -
- 8 files changed, 405 insertions(+), 476 deletions(-)
-
-commit 37c23d2ef5ed65eb6328694d11c7e6b5aaf02b6e
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 11:12:57 +0800
-
-    Migrated autocovariances.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  3 +--
- test-suite/autocovariances.cpp       | 21 ++++++++++----------
- test-suite/autocovariances.hpp       | 37 ------------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 11 insertions(+), 57 deletions(-)
-
-commit f29da129989f313ad2d5701d03d2cbafc69da5cc
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 11:06:35 +0800
-
-    Migrated assetswap.cpp
-
- test-suite/CMakeLists.txt            |  1 -
- test-suite/Makefile.am               |  1 -
- test-suite/assetswap.cpp             | 45 ++++++++++++++----------------------
- test-suite/assetswap.hpp             | 43 ----------------------------------
- test-suite/quantlibtestsuite.cpp     |  2 --
- test-suite/testsuite.vcxproj         |  1 -
- test-suite/testsuite.vcxproj.filters |  3 ---
- 7 files changed, 17 insertions(+), 79 deletions(-)
-
-commit 6f5ac277eeba435b55a22c389ac29ff91f0ee4b6
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 25 Oct 2023 10:48:52 +0800
-
-    Migrated functions from quantlibtestsuite.cpp to quantlibglobalfixture.cpp
-
- test-suite/quantlibbenchmark.cpp     |   4 +-
- test-suite/quantlibglobalfixture.cpp | 129 +++++++++++++++++++++++++++++++++--
- test-suite/quantlibtestsuite.cpp     | 106 ----------------------------
- 3 files changed, 127 insertions(+), 112 deletions(-)
-
-commit 301a0e416005eed2e2e9ee6a1c01743de7f24c23
-Merge: c4249d694 8be12adad
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Wed, 25 Oct 2023 09:22:16 +0800
-
-    Merge pull request #6 from Sidsky/automated-test-registration
-    
-    Migrated asianoptions.cpp, array.cpp, andreasenhugevolatilityinterpl.…
+    Simplify and add convenience methods
 
-commit 6441d1b63bdc5da112fec297c8e16fac84cbbb2a
-Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
-Date:   Sun, 22 Oct 2023 02:02:29 +0000
+ ql/instruments/makeois.cpp | 41 +++++++++++++++++++++++------------------
+ ql/instruments/makeois.hpp |  3 +++
+ 2 files changed, 26 insertions(+), 18 deletions(-)
 
-    Automated fixes by clang-tidy
+commit 605ce81dbb453b75f363b886014aad40a8a59ae3
+Merge: 73d76d2e0 0f27598c3
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Fri, 26 Jan 2024 14:41:17 +0100
 
- ql/instruments/cpicapfloor.cpp | 4 ++--
- ql/instruments/cpicapfloor.hpp | 2 +-
- 2 files changed, 3 insertions(+), 3 deletions(-)
+    Pass an explicit base date to inflation curves instead of an observation lag (#1896)
 
-commit 0a745faa2e891a33136ac40a4cbf60138798218d
-Merge: 23156dbeb 24bbaaa53
+commit 73d76d2e0e6b26f3f03ef7c356bd9e13ef733ebd
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 20 Oct 2023 19:21:34 +0200
+Date:   Fri, 26 Jan 2024 13:05:58 +0100
+
+    Remove job from main CI build matrix if ccache is not working.
+    
+    Sidestep ccache and use full compilation in weekly CI build.
 
-    Remove features deprecated in version 1.28 (#1815)
+ .github/workflows/linux-full-tests.yml | 12 ++----------
+ .github/workflows/linux-nondefault.yml |  2 +-
+ .github/workflows/linux.yml            | 22 +---------------------
+ 3 files changed, 4 insertions(+), 32 deletions(-)
 
-commit 23156dbeb6b2d390e45b1474d8161588e539507a
-Merge: e5bef2ed6 332380544
+commit 0f27598c3412ebfbc96165b82c9ad102044052e1
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 20 Oct 2023 11:47:59 +0200
+Date:   Thu, 25 Jan 2024 18:50:44 +0100
+
+    Add constructors for YoY inflation curves taking the base date
 
-    Fix parameter name (#1814)
+ .../inflation/yoycapfloortermpricesurface.hpp      |  19 ++-
+ ql/termstructures/inflation/inflationtraits.hpp    |   1 +
+ .../inflation/interpolatedyoyinflationcurve.hpp    |  90 +++++++++++-
+ .../inflation/piecewiseyoyinflationcurve.hpp       |  36 ++++-
+ ql/termstructures/inflationtermstructure.cpp       |  35 +++++
+ ql/termstructures/inflationtermstructure.hpp       |  66 +++++++--
+ test-suite/inflation.cpp                           | 161 ++++++++++++++++++++-
+ test-suite/inflationcapfloor.cpp                   |  12 +-
+ test-suite/inflationcapflooredcoupon.cpp           |  12 +-
+ test-suite/inflationvolatility.cpp                 |   7 +-
+ 10 files changed, 395 insertions(+), 44 deletions(-)
 
-commit e5bef2ed6e02e589837bc874df54ae8a44a418aa
-Merge: 3a9fd6039 c7a31049c
+commit b15c427d193280eccfc6c19100498d43d96672c3
+Merge: 11f96621a 9d0e70e79
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 20 Oct 2023 11:47:37 +0200
+Date:   Thu, 25 Jan 2024 17:25:16 +0100
 
-    minor improvements for the thread safe observer pattern (#1808)
+    Refactoring Curve State Unit Tests (#1895)
 
-commit 3a9fd603925e26e7743a1353e1c310e6d4c241bb
-Merge: ff5be2798 20eb0e1fe
+commit 7e0554ad4eface90276d23acfff1e8dfa8c300b9
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 20 Oct 2023 11:46:14 +0200
+Date:   Thu, 25 Jan 2024 16:03:34 +0100
 
-    Feature/add apple m series to presets (#1809)
+    Add utility function to get last inflation fixing date
 
-commit 24bbaaa53d6f5ef5ba98ee14f7bbba6c1f75a0ea
+ ql/indexes/inflationindex.cpp       |  6 +++++
+ ql/indexes/inflationindex.hpp       |  1 +
+ test-suite/inflation.cpp            | 46 +++++++++++++++++++++++++------------
+ test-suite/inflationcpibond.cpp     |  3 ++-
+ test-suite/inflationcpicapfloor.cpp |  2 +-
+ test-suite/inflationcpiswap.cpp     |  2 +-
+ 6 files changed, 42 insertions(+), 18 deletions(-)
+
+commit cfe8c3e3cc1766a2a1ac3ee11bfd40f12d196eb7
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Fri, 20 Oct 2023 11:43:50 +0200
-
-    Remove features deprecated in version 1.28
-
- QuantLib.vcxproj                                   |   4 -
- QuantLib.vcxproj.filters                           |  15 ---
- cmake/GenerateHeaders.cmake                        |   9 +-
- configure.ac                                       |   1 -
- ql/CMakeLists.txt                                  |   4 -
- ql/experimental/Makefile.am                        |   2 +-
- ql/experimental/all.hpp                            |   1 -
- ql/experimental/amortizingbonds/Makefile.am        |  22 -----
- ql/experimental/amortizingbonds/all.hpp            |   4 -
- .../amortizingbonds/amortizingcmsratebond.hpp      |  23 -----
- .../amortizingbonds/amortizingfixedratebond.hpp    |  23 -----
- .../amortizingbonds/amortizingfloatingratebond.hpp |  23 -----
- ql/experimental/callablebonds/callablebond.cpp     |  15 ---
- ql/experimental/callablebonds/callablebond.hpp     |  14 ---
- ql/instruments/bonds/amortizingfixedratebond.cpp   |  68 -------------
- ql/instruments/bonds/amortizingfixedratebond.hpp   |  33 -------
- ql/instruments/bonds/fixedratebond.cpp             | 107 ---------------------
- ql/instruments/bonds/fixedratebond.hpp             |  47 +--------
- ql/instruments/bonds/floatingratebond.cpp          |  75 ---------------
- ql/instruments/bonds/floatingratebond.hpp          |  30 ------
- ql/instruments/cpicapfloor.cpp                     |  41 +-------
- ql/instruments/cpicapfloor.hpp                     |  49 ----------
- ql/termstructures/volatility/sabrsmilesection.cpp  |  11 ---
- ql/termstructures/volatility/sabrsmilesection.hpp  |  10 --
- test-suite/callablebonds.cpp                       |  24 -----
- 25 files changed, 7 insertions(+), 648 deletions(-)
-
-commit 8be12adadb57fd743e3fb3af9a2268ddeacb47e5
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Fri, 20 Oct 2023 14:52:59 +0800
-
-    Migrated asianoptions.cpp, array.cpp, andreasenhugevolatilityinterpl.cpp and amortizingbond.cpp
-
- test-suite/CMakeLists.txt                     |   6 +-
- test-suite/Makefile.am                        |   5 -
- test-suite/amortizingbond.cpp                 |  22 +-
- test-suite/amortizingbond.hpp                 |  33 -
- test-suite/andreasenhugevolatilityinterpl.cpp | 147 ++--
- test-suite/andreasenhugevolatilityinterpl.hpp |  49 --
- test-suite/array.cpp                          |  25 +-
- test-suite/array.hpp                          |  38 -
- test-suite/asianoptions.cpp                   | 968 ++++++++++++--------------
- test-suite/asianoptions.hpp                   |  58 --
- test-suite/quantlibbenchmark.cpp              |   6 +-
- test-suite/quantlibtestsuite.cpp              |  13 -
- test-suite/testsuite.vcxproj                  |   4 -
- test-suite/testsuite.vcxproj.filters          |  12 -
- 14 files changed, 548 insertions(+), 838 deletions(-)
-
-commit ff5be279837e01f379387c9ca4676fdb9f108590
+Date:   Thu, 25 Jan 2024 15:20:03 +0100
+
+    Remove temporary output
+
+ test-suite/inflation.cpp | 7 -------
+ 1 file changed, 7 deletions(-)
+
+commit 56de61633796f59ee548f65dc617287a35486051
+Author: Viktor Zhou <viktorzhou97@hotmail.com>
+Date:   Thu, 25 Jan 2024 09:03:28 -0500
+
+    [QL-230] refactor checks and removed comments
+
+ test-suite/curvestates.cpp | 91 ++++++++++++++--------------------------------
+ 1 file changed, 28 insertions(+), 63 deletions(-)
+
+commit 6e41eb8cf6c7f268f06c0d08fa6899d72697920b
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
-Date:   Thu, 15 Apr 2021 16:25:45 +0200
+Date:   Thu, 25 Jan 2024 14:43:02 +0100
 
-    Set version to 1.33-dev.
+    Avoid gcc issue
 
- CMakeLists.txt | 6 +++---
- configure.ac   | 2 +-
- ql/version.hpp | 4 ++--
- 3 files changed, 6 insertions(+), 6 deletions(-)
+ ql/termstructures/inflation/piecewisezeroinflationcurve.hpp | 4 +++-
+ 1 file changed, 3 insertions(+), 1 deletion(-)
 
-commit c4249d6947ea6086d98b2b4c120fd902781cd267
-Merge: d5dfa3356 849d213bd
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Fri, 20 Oct 2023 14:07:16 +0800
+commit 15216303f01e1e529d76f89fb3dbeeff9f098448
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Thu, 25 Jan 2024 13:20:27 +0100
 
-    Merge pull request #5 from klausspanderen/test_reg
+    Extend backward from first node during zero inflation bootstrap.
     
-    declare benchmark test cases and add cpp to Makefile.am and CMakeLists.txt
+    This removes the need for a base rate in zero inflation curves.
 
-commit 849d213bd7b4a1f270ea95e228303b5fe5ace767
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Thu, 19 Oct 2023 20:30:48 +0200
+ ql/termstructures/inflation/inflationtraits.hpp         | 15 +++++----------
+ .../inflation/interpolatedzeroinflationcurve.hpp        |  6 ++----
+ .../inflation/piecewisezeroinflationcurve.hpp           |  4 +---
+ ql/termstructures/inflationtermstructure.cpp            | 17 ++++++-----------
+ ql/termstructures/inflationtermstructure.hpp            | 15 ++++++---------
+ test-suite/inflation.cpp                                | 10 ++++++++--
+ test-suite/inflationcpibond.cpp                         |  4 +---
+ test-suite/inflationcpicapfloor.cpp                     |  3 +--
+ test-suite/inflationcpiswap.cpp                         |  4 +---
+ 9 files changed, 31 insertions(+), 47 deletions(-)
 
-    declare benchmark tests
+commit 0d425cb39a679b82232ec890898f9cc2c1e6d4e0
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Thu, 25 Jan 2024 11:26:13 +0100
 
- test-suite/CMakeLists.txt        |  4 ++--
- test-suite/Makefile.am           |  5 +++++
- test-suite/quantlibbenchmark.cpp | 19 ++++++++-----------
- 3 files changed, 15 insertions(+), 13 deletions(-)
+    Add constructors for zero-rate inflation curves taking the base date
 
-commit d5dfa3356d918b89f202a02e13918c6e9fae17f0
-Merge: 65ec85e66 583aafd5e
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Thu, 19 Oct 2023 16:25:43 +0800
+ ql/termstructures/inflation/inflationtraits.hpp    |   9 +-
+ .../inflation/interpolatedzeroinflationcurve.hpp   |  81 ++++++++-
+ .../inflation/piecewisezeroinflationcurve.hpp      |  31 +++-
+ ql/termstructures/inflationtermstructure.cpp       | 105 +++++++++++-
+ ql/termstructures/inflationtermstructure.hpp       |  98 +++++++++--
+ test-suite/inflation.cpp                           | 186 ++++++++++++++++++++-
+ test-suite/inflationcpibond.cpp                    |  28 ++--
+ test-suite/inflationcpicapfloor.cpp                |  26 ++-
+ test-suite/inflationcpiswap.cpp                    |  33 ++--
+ 9 files changed, 520 insertions(+), 77 deletions(-)
 
-    Merge pull request #4 from Sidsky/automated-test-registration
-    
-    adds test case in quantlibbenchmark.cpp using std::bind
+commit 1c0c1f1697d895d193726c25fe9cdd9b6c6503b9
+Author: Viktor Zhou <viktorzhou97@hotmail.com>
+Date:   Wed, 24 Jan 2024 18:57:06 -0500
 
-commit 332380544deccc5ab1dc12f9625c459a38afb836
-Author: Francois Botha <igitur@gmail.com>
-Date:   Thu, 19 Oct 2023 10:06:52 +0200
+    [QL-230] adding comment
 
-    Fix parameter name
+ test-suite/curvestates.cpp | 3 ++-
+ 1 file changed, 2 insertions(+), 1 deletion(-)
 
- ql/instruments/bond.hpp | 4 ++--
- 1 file changed, 2 insertions(+), 2 deletions(-)
+commit 272aa390feb865aaceac67fde3f515f0736de5e9
+Author: Viktor Zhou <viktorzhou97@hotmail.com>
+Date:   Wed, 24 Jan 2024 18:57:06 -0500
 
-commit 583aafd5e313e086572ad1c085e69be8ee37cf81
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Wed, 18 Oct 2023 17:20:45 +0800
+    [QL-230] more refactor
 
-    adds test case in quantlibbenchmark.cpp using std::bind
+ test-suite/curvestates.cpp | 86 ++++++++++------------------------------------
+ 1 file changed, 18 insertions(+), 68 deletions(-)
 
- test-suite/CMakeLists.txt        |  5 +++--
- test-suite/quantlibbenchmark.cpp | 18 ++++++++++++------
- 2 files changed, 15 insertions(+), 8 deletions(-)
+commit 0b0d9f172bafc0a81ba6557ab9e07210586f3155
+Author: Viktor Zhou <viktorzhou97@hotmail.com>
+Date:   Wed, 24 Jan 2024 18:57:06 -0500
 
-commit 65ec85e66b7336eeb7970e737ab239533b0ae6c5
-Merge: 82f71c2b2 677a73e42
-Author: Sidsky <61586290+Sidsky@users.noreply.github.com>
-Date:   Thu, 12 Oct 2023 15:02:03 +0800
+    [QL-230] refactor COT unit tests
 
-    Merge pull request #3 from Sidsky/automated-test-registration
-    
-    Updates to use automated registration
-
-commit a90a17dd7951f0d13eee384ec7c5ebc7f0ec0f89
-Author: siddharthmehrotra <siddharthmehrotra1234@gmail.com>
-Date:   Thu, 14 Sep 2023 17:29:38 +0800
-
-    Updates to use automated registration
-
- test-suite/CMakeLists.txt            |   8 +--
- test-suite/Makefile.am               |   8 +--
- test-suite/americanoption.cpp        | 101 +++++++++++------------------------
- test-suite/americanoption.hpp        |  62 ---------------------
- test-suite/instruments.cpp           |  31 +++++------
- test-suite/instruments.hpp           |  37 -------------
- test-suite/paralleltestrunner.hpp    |   3 +-
- test-suite/quantlibbenchmark.cpp     |   4 +-
- test-suite/quantlibglobalfixture.cpp |  66 +++++++++++++++++++++++
- test-suite/quantlibglobalfixture.hpp |  19 +++++++
- test-suite/quantlibtestsuite.cpp     |  64 ++++++----------------
- test-suite/speedlevel.cpp            |  15 ++++++
- test-suite/speedlevel.hpp            |   9 ++++
- test-suite/testsuite.vcxproj         |   6 ++-
- test-suite/testsuite.vcxproj.filters |  18 ++++---
- test-suite/toplevelfixture.hpp       |  34 ++++++++++++
- tools/check_test_times.py            |  11 ++--
- 17 files changed, 242 insertions(+), 254 deletions(-)
-
-commit f66acb57a6b253f884584f82a1d901ce94800679
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Wed, 11 Oct 2023 22:19:32 +0200
-
-    .
-
- test-suite/testsuite.vcxproj | 6 +++---
- 1 file changed, 3 insertions(+), 3 deletions(-)
+ test-suite/curvestates.cpp | 201 +++++++++++++++++++++++++++++++++------------
+ 1 file changed, 150 insertions(+), 51 deletions(-)
 
-commit 306fff10314be81ebef3d382d682f89c894c4e26
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Wed, 11 Oct 2023 21:38:12 +0200
+commit 73c1a6efe05adee15f2410ba790d004a37475749
+Author: Viktor Zhou <viktorzhou97@hotmail.com>
+Date:   Wed, 24 Jan 2024 18:57:06 -0500
 
-    numbers are alright for order 64
+    [QL-230] refactor CMS unit test
 
- ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 3 +--
- 1 file changed, 1 insertion(+), 2 deletions(-)
+ test-suite/curvestates.cpp | 102 ++++++++++++++++++++++++++++-----------------
+ 1 file changed, 64 insertions(+), 38 deletions(-)
 
-commit 74b6f3dd1b0120353e4294bf24154af2447c4a01
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Wed, 11 Oct 2023 21:00:29 +0200
+commit ec3a3e0f8600ce4c7a9ff27f385e6a5f09399339
+Author: Viktor Zhou <viktorzhou97@hotmail.com>
+Date:   Wed, 24 Jan 2024 18:57:06 -0500
 
-    fixed test case
+    [QL-230] refactor test for LMM Curve State
 
- test-suite/integrals.cpp | 6 ++----
- 1 file changed, 2 insertions(+), 4 deletions(-)
+ test-suite/curvestates.cpp | 181 +++++++++++++++++++++++++++++++++------------
+ 1 file changed, 132 insertions(+), 49 deletions(-)
 
-commit b89e3c0677a0dc42105266e2cfee87a1ca196d85
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Wed, 11 Oct 2023 00:28:33 +0200
+commit 11f96621ad6aa947d94a5555675a386fed269daa
+Merge: ce606b06d 216eec2ff
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 24 Jan 2024 22:25:39 +0100
 
-    fixed test case
+    Remove use of BOOST_ALL_DYN_LINK (#1893)
 
- test-suite/integrals.cpp | 2 ++
- 1 file changed, 2 insertions(+)
+commit 216eec2fffbcd40d0706dd74596de65cfc917b2f
+Author: Isuru Fernando <ifernando@quansight.com>
+Date:   Wed, 24 Jan 2024 10:33:59 -0600
 
-commit 1070869816fc349c22316583135e80778db5369d
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Tue, 10 Oct 2023 23:09:50 +0200
+    Remove use of BOOST_ALL_DYN_LINK
+    
+    Since we are using header only parts using BOOST_ALL_NO_LIB
 
-    fixed windows build
+ test-suite/CMakeLists.txt | 6 ------
+ 1 file changed, 6 deletions(-)
 
- QuantLib.vcxproj                            |  1 +
- QuantLib.vcxproj.filters                    |  3 +++
- ql/math/integrals/expsinhintegral.hpp       | 14 +++++++-------
- ql/math/integrals/tanhsinhintegral.hpp      |  5 +++--
- test-suite/riskneutraldensitycalculator.cpp |  5 ++---
- 5 files changed, 16 insertions(+), 12 deletions(-)
+commit 1ebd2428aff7b8900f311518ab28d72b39136805
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 24 Jan 2024 15:10:35 +0100
 
-commit 333c79cc2bbc15377b0f3015e4cdef1b3b360f9f
-Author: Nathaniel Brough <nathaniel.brough@gmail.com>
-Date:   Fri, 6 Oct 2023 14:02:27 -0700
+    Don't inherit XXXCapFloorTermPriceSurface from InflationTermStructure
 
-    testing: Add basic fuzz test harnesses
+ .../inflation/cpicapfloortermpricesurface.cpp        |  5 +++--
+ .../inflation/cpicapfloortermpricesurface.hpp        | 20 ++++++++++++++++----
+ .../inflation/yoycapfloortermpricesurface.cpp        |  6 ++----
+ .../inflation/yoycapfloortermpricesurface.hpp        | 14 +++++++++++++-
+ 4 files changed, 34 insertions(+), 11 deletions(-)
 
- CMakeLists.txt                       |  9 ++++++++-
- fuzz-test-suite/CMakeLists.txt       | 21 +++++++++++++++++++++
- fuzz-test-suite/dateparserfuzzer.cpp | 24 ++++++++++++++++++++++++
- 3 files changed, 53 insertions(+), 1 deletion(-)
+commit 1fe84c1d201b2130383887d89cb2a49746512a30
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 24 Jan 2024 13:04:37 +0100
 
-commit 20eb0e1feec6db5645d0588e369a7cb1c3565e29
-Author: Christian Köhnenkamp <cvk5@me.com>
-Date:   Mon, 9 Oct 2023 10:22:06 +0200
+    Deprecate a couple of utility methods
 
-    Fix naming of M series family to arm64
+ ql/termstructures/inflationtermstructure.hpp | 26 ++++++++++++--------------
+ test-suite/inflation.cpp                     |  2 +-
+ 2 files changed, 13 insertions(+), 15 deletions(-)
 
- CMakePresets.json | 20 ++++++++++----------
- 1 file changed, 10 insertions(+), 10 deletions(-)
+commit ce606b06d5f5cd9fee6af786a98252f0094d8c21
+Merge: 806e455b0 8be4136fc
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 22 Jan 2024 14:08:52 +0100
 
-commit b8b45927aed31b2145cdf7f96d7c50d547acdf76
-Author: Christian Köhnenkamp <cvk5@me.com>
-Date:   Mon, 9 Oct 2023 09:49:49 +0200
+    Remove features deprecated in version 1.29 (#1891)
 
-    Adding release and relWithDebInfo
+commit 806e455b0d1486e0e3da3192ab00831f1de3648c
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Thu, 15 Apr 2021 16:25:45 +0200
 
- CMakePresets.json | 27 +++++++++++++++++++--------
- 1 file changed, 19 insertions(+), 8 deletions(-)
+    Set version to 1.34-dev.
 
-commit 1a215aa1872cb611e218dee04e9b33628d1d7b90
-Author: Christian Köhnenkamp <cvk5@me.com>
-Date:   Sat, 7 Oct 2023 11:16:30 +0200
+ CMakeLists.txt | 6 +++---
+ configure.ac   | 2 +-
+ ql/version.hpp | 4 ++--
+ 3 files changed, 6 insertions(+), 6 deletions(-)
 
-    Tests build by default
+commit 1a4c8e20505515a3f8d213fa5c7d178e834bafe0
+Author: Eugene Toder <eltoder@twosigma.com>
+Date:   Tue, 16 Jan 2024 20:58:29 -0500
 
- CMakePresets.json | 1 -
- 1 file changed, 1 deletion(-)
+    Allow setting conventions and per-leg EOM in MakeOIS
+    
+    Closes #1875
+
+ ql/instruments/makeois.cpp | 65 ++++++++++++++++++++++++++++++++++++----------
+ ql/instruments/makeois.hpp | 12 ++++++++-
+ 2 files changed, 63 insertions(+), 14 deletions(-)
+
+commit 8be4136fce4debd5e80e167f2aa9c21fe108bb42
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 15 Jan 2024 17:32:39 +0100
+
+    Remove features deprecated in version 1.29
+
+ QuantLib.vcxproj                                   |   1 -
+ QuantLib.vcxproj.filters                           |   3 -
+ cmake/GenerateHeaders.cmake                        |   1 -
+ ql/CMakeLists.txt                                  |   1 -
+ ql/cashflow.hpp                                    |  18 --
+ ql/cashflows/cashflows.cpp                         |  11 -
+ ql/cashflows/cashflows.hpp                         |  13 -
+ ql/cashflows/conundrumpricer.hpp                   |  11 -
+ ql/cashflows/inflationcouponpricer.hpp             |   5 -
+ ql/experimental/credit/Makefile.am                 |   3 +-
+ ql/experimental/credit/riskybond.hpp               |  27 --
+ .../inflation/cpicapfloortermpricesurface.cpp      |   2 +-
+ ql/experimental/inflation/genericindexes.hpp       |  16 --
+ ql/experimental/math/convolvedstudentt.hpp         |  22 --
+ ql/experimental/math/latentmodel.hpp               |   6 -
+ ql/indexes/inflation/aucpi.hpp                     |  14 -
+ ql/indexes/inflation/euhicp.hpp                    |  26 --
+ ql/indexes/inflation/frhicp.hpp                    |  13 -
+ ql/indexes/inflation/ukrpi.hpp                     |  13 -
+ ql/indexes/inflation/uscpi.hpp                     |  13 -
+ ql/indexes/inflation/zacpi.hpp                     |  13 -
+ ql/indexes/inflationindex.cpp                      | 113 +-------
+ ql/indexes/inflationindex.hpp                      |  55 +---
+ ql/instruments/cpicapfloor.cpp                     |   2 +-
+ ql/instruments/zerocouponinflationswap.cpp         |   6 +-
+ ql/math/abcdmathfunction.hpp                       |  12 -
+ ql/math/comparison.hpp                             |  18 --
+ ql/math/copulas/alimikhailhaqcopula.hpp            |  18 --
+ ql/math/copulas/claytoncopula.hpp                  |  18 --
+ ql/math/copulas/farliegumbelmorgensterncopula.hpp  |  18 --
+ ql/math/copulas/frankcopula.hpp                    |  18 --
+ ql/math/copulas/galamboscopula.hpp                 |  18 --
+ ql/math/copulas/gaussiancopula.hpp                 |  18 --
+ ql/math/copulas/gumbelcopula.hpp                   |  18 --
+ ql/math/copulas/huslerreisscopula.hpp              |  18 --
+ ql/math/copulas/independentcopula.hpp              |  18 --
+ ql/math/copulas/marshallolkincopula.hpp            |  18 --
+ ql/math/copulas/maxcopula.hpp                      |  18 --
+ ql/math/copulas/mincopula.hpp                      |  18 --
+ ql/math/copulas/plackettcopula.hpp                 |  18 --
+ ql/math/distributions/binomialdistribution.hpp     |  24 --
+ ql/math/distributions/chisquaredistribution.hpp    |  48 ----
+ ql/math/distributions/gammadistribution.hpp        |  24 --
+ ql/math/distributions/normaldistribution.hpp       |  72 -----
+ ql/math/distributions/poissondistribution.hpp      |  36 ---
+ ql/math/distributions/studenttdistribution.hpp     |  36 ---
+ ql/math/errorfunction.hpp                          |  12 -
+ ql/math/interpolation.hpp                          |  12 -
+ ql/math/interpolations/interpolation2d.hpp         |  17 --
+ ql/math/linearleastsquaresregression.hpp           |  11 -
+ ql/math/polynomialmathfunction.hpp                 |  12 -
+ .../randomnumbers/stochasticcollocationinvcdf.hpp  |  12 -
+ .../operators/numericaldifferentiation.hpp         |  12 -
+ ql/methods/montecarlo/pathpricer.hpp               |   5 -
+ ql/patterns/singleton.hpp                          |  16 --
+ ql/payoff.hpp                                      |  12 -
+ ql/termstructures/inflation/inflationhelpers.cpp   |   4 +-
+ ql/termstructures/volatility/abcd.hpp              |  12 -
+ test-suite/inflation.cpp                           | 307 +++++----------------
+ 59 files changed, 86 insertions(+), 1270 deletions(-)
+
+commit dacef8baf74c491af0ca32cadb4d611de881fd93
+Author: Yi Jiang <yijiangcontact@gmail.com>
+Date:   Mon, 8 Jan 2024 02:02:56 -0500
 
-commit c7a31049ce7298aa1061ab58d42d4bb06526fa21
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Fri, 6 Oct 2023 23:43:02 +0200
+    Remove boost accumulator dependence. Revert back to simple summation.
 
-    avoid includes
+ ql/math/integrals/discreteintegrals.cpp | 53 +++++++++++++++------------------
+ 1 file changed, 24 insertions(+), 29 deletions(-)
 
- ql/patterns/observable.hpp | 8 ++++++++
- 1 file changed, 8 insertions(+)
+commit 377f578ce51dc6ecdc4fa23c369fbdc240f2fb7e
+Author: Yi Jiang <yijiangcontact@gmail.com>
+Date:   Sat, 6 Jan 2024 18:25:05 -0500
 
-commit 32b0cbb41ce1cc64610c35d2c741f1a5cda1b019
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Fri, 6 Oct 2023 21:58:51 +0200
+    Revert to accumulator
 
-    secure observer list
+ ql/math/integrals/discreteintegrals.cpp | 34 ++++++++++++++++++++++-----------
+ 1 file changed, 23 insertions(+), 11 deletions(-)
 
- ql/patterns/observable.cpp | 4 +++-
- 1 file changed, 3 insertions(+), 1 deletion(-)
+commit cc31f4c1eb705c608da9b77f6fcf7e5d2b963da6
+Author: Yi Jiang <yijiangcontact@gmail.com>
+Date:   Fri, 5 Jan 2024 22:52:37 -0800
 
-commit 8a39407e8c69e4d6df586d3bb73efd05d05ee3c5
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Fri, 6 Oct 2023 21:43:44 +0200
+    Don't need accumulator
 
-    avoid potential double notifications
+ ql/math/integrals/discreteintegrals.cpp | 44 +++++++++++++++------------------
+ 1 file changed, 20 insertions(+), 24 deletions(-)
 
- ql/patterns/observable.cpp | 25 +++++++++++++------------
- ql/patterns/observable.hpp |  4 ++--
- 2 files changed, 15 insertions(+), 14 deletions(-)
+commit 68fdb6e327653858881deda4efde63374c0f2377
+Author: Yi Jiang <yijiangcontact@gmail.com>
+Date:   Fri, 5 Jan 2024 22:16:53 -0800
 
-commit d5e33372c95c27ff4d71176ffc0d603eadba148b
-Author: Christian Köhnenkamp <cvk5@me.com>
-Date:   Fri, 6 Oct 2023 20:25:03 +0200
+    Actually, no need to use extra space here. Don't need statistics on that.
 
-    Add Apple M1 preset
+ ql/math/integrals/discreteintegrals.cpp | 14 +++++++-------
+ 1 file changed, 7 insertions(+), 7 deletions(-)
 
- CMakePresets.json | 31 +++++++++++++++++++++++++++++++
- 1 file changed, 31 insertions(+)
+commit e3305b74eaa8a9c32c21a313a4200dca00b39715
+Author: Yi Jiang <yijiangcontact@gmail.com>
+Date:   Fri, 5 Jan 2024 10:00:07 -0500
 
-commit a85fec373831765576c28aba58a8698b839ae036
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Fri, 6 Oct 2023 20:14:36 +0200
-
-    improve Hestson integration
+    Lower space usage of numerical integration when evenly spaced.
 
- ql/CMakeLists.txt                                  |   1 +
- ql/math/integrals/Makefile.am                      |   1 +
- ql/math/integrals/all.hpp                          |   1 +
- ql/math/integrals/expsinhintegral.hpp              | 104 +++++++++++++++++++++
- ql/math/integrals/simpsonintegral.hpp              |   3 +
- ql/math/integrals/tanhsinhintegral.hpp             |  11 ++-
- ql/math/integrals/trapezoidintegral.hpp            |   2 +
- ql/pricingengines/vanilla/analytichestonengine.cpp |  35 ++++---
- ql/pricingengines/vanilla/analytichestonengine.hpp |   7 +-
- test-suite/hestonmodel.cpp                         |  10 ++
- test-suite/integrals.cpp                           |  19 ++++
- test-suite/integrals.hpp                           |   1 +
- 12 files changed, 177 insertions(+), 18 deletions(-)
+ ql/math/integrals/discreteintegrals.cpp | 50 +++++++++++++++++++++++----------
+ 1 file changed, 35 insertions(+), 15 deletions(-)
 
-commit f12e6a6e96e281a6d23eb68efa4e81f45f70f784
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Thu, 21 Sep 2023 20:28:16 +0200
+commit 905d8fe5d0cd001a8e89a8eaa327fa6aa07a6f23
+Author: JZ <135723295+jez6@users.noreply.github.com>
+Date:   Thu, 16 Nov 2023 17:48:29 -0500
 
-    fixed test case on mac os
+    Build/install pkgconfig files in CMake builds
+    
+    - Generate and install quantlib.pc in addition to quantlib-config
+      as part of CMake builds
+    
+    Issues: jez6/QuantLib#1
 
- ql/pricingengines/vanilla/analytichestonengine.cpp | 7 +------
- test-suite/riskneutraldensitycalculator.cpp        | 2 +-
- 2 files changed, 2 insertions(+), 7 deletions(-)
+ CMakeLists.txt | 3 +++
+ 1 file changed, 3 insertions(+)
 
-commit 360f8da5193d4c3eb8d79c2924c367c7457d4409
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Wed, 20 Sep 2023 22:27:14 +0200
+commit b63c81665f30cc1fd301f6daac5989ad9373a661
+Author: Paul <d.goldbauer@protonmail.com>
+Date:   Sat, 11 Nov 2023 16:10:54 +0100
 
-    make alpha optional
+    clang format
 
- ql/pricingengines/vanilla/analytichestonengine.cpp | 25 ++++++++++------------
- ql/pricingengines/vanilla/analytichestonengine.hpp |  5 +++--
- 2 files changed, 14 insertions(+), 16 deletions(-)
+ ql/termstructures/yield/ratehelpers.cpp | 91 ++++++++++++++++-----------------
+ 1 file changed, 44 insertions(+), 47 deletions(-)
 
-commit 7f04a4982da2b6abe2aca8bc136a7dc7ffcd02bf
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Wed, 20 Sep 2023 22:19:36 +0200
+commit 85fcf794740c5e538101e9e63b69bfb59e2182b3
+Author: Paul <d.goldbauer@protonmail.com>
+Date:   Fri, 10 Nov 2023 22:34:01 +0100
 
-    finish work on optimal alpha
+    supply dates as references for A_365_CA yearFraction computation
 
- ql/pricingengines/vanilla/analytichestonengine.cpp | 88 ++++++++++++++--------
- ql/pricingengines/vanilla/analytichestonengine.hpp |  6 +-
- .../vanilla/exponentialfittinghestonengine.cpp     | 23 +++---
- .../vanilla/exponentialfittinghestonengine.hpp     |  5 +-
- test-suite/hestonmodel.cpp                         |  9 ++-
- test-suite/riskneutraldensitycalculator.cpp        |  5 +-
- 6 files changed, 81 insertions(+), 55 deletions(-)
+ ql/termstructures/yield/ratehelpers.cpp | 3 ++-
+ 1 file changed, 2 insertions(+), 1 deletion(-)
 
-commit 490c96354cd4d74f201a9fe3c888650c4e405e4b
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Thu, 10 Aug 2023 22:21:11 +0200
+commit 478ddcc8ae93bd334927a40deb1ed6e6315036b6
+Author: Paul <d.goldbauer@protonmail.com>
+Date:   Fri, 10 Nov 2023 21:42:33 +0100
 
-    secure state
+    refactor FuturesRateHelper ctors
 
- ql/pricingengines/vanilla/analytichestonengine.cpp           | 11 +++++------
- ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp |  3 ++-
- 2 files changed, 7 insertions(+), 7 deletions(-)
+ ql/termstructures/yield/ratehelpers.cpp | 280 ++++++++++++++------------------
+ 1 file changed, 122 insertions(+), 158 deletions(-)
 
-commit 018df35316d5c8cb0ea5bba15cfbb37a91836c20
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Thu, 10 Aug 2023 22:17:13 +0200
+commit d2cff826c49bf8c6e7e28becca0ba29da499c378
+Author: Peter Caspers <peter.caspers@acadia.inc>
+Date:   Sat, 26 Aug 2023 20:10:14 +0200
 
-    secure state
+    fix namespace
 
- ql/math/integrals/gausslobattointegral.cpp         |   4 +-
- ql/pricingengines/vanilla/analytichestonengine.cpp | 160 ++++++++++++---------
- ql/pricingengines/vanilla/analytichestonengine.hpp |  57 ++++----
- .../vanilla/exponentialfittinghestonengine.cpp     |  12 +-
- .../vanilla/exponentialfittinghestonengine.hpp     |   2 +
- test-suite/hestonmodel.cpp                         |  23 ++-
- 6 files changed, 160 insertions(+), 98 deletions(-)
+ ql/cashflows/lineartsrpricer.cpp | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
 
-commit 2dbd08b0eedf7e4843238f60ee6e3aaf9388202a
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 3 Jul 2023 18:45:22 +0200
-
-    refactoring: removed unused Fp_Helper constructors
+commit 17883f220952299fd20bf4caa047bad1b43a4f1d
+Author: Peter Caspers <peter.caspers@acadia.inc>
+Date:   Sat, 26 Aug 2023 19:53:28 +0200
 
- ql/math/integrals/exponentialintegrals.cpp         |  2 +-
- ql/pricingengines/vanilla/analytichestonengine.cpp | 81 ++--------------------
- ql/pricingengines/vanilla/analytichestonengine.hpp |  2 +
- test-suite/testsuite.vcxproj                       |  8 +--
- 4 files changed, 13 insertions(+), 80 deletions(-)
-
-commit 33fc781cb4feca9dbd1f9b60df8bf5ddf17a1f0c
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 3 Jul 2023 18:16:39 +0200
-
-    refactoring: removed doCalculation from AnalyticHestonEngine
-
- ql/math/integrals/exponentialintegrals.cpp         |   2 +-
- ql/pricingengines/vanilla/analytichestonengine.cpp | 169 +++++----------------
- ql/pricingengines/vanilla/analytichestonengine.hpp |  35 ++---
- .../volatility/equityfx/hestonblackvolsurface.cpp  |  45 +++---
- .../volatility/equityfx/hestonblackvolsurface.hpp  |   5 +-
- test-suite/integrals.cpp                           |   2 -
- test-suite/marketmodel.cpp                         |  34 ++---
- test-suite/normalclvmodel.cpp                      |   9 +-
- 8 files changed, 97 insertions(+), 204 deletions(-)
-
-commit cb4c3aac42fbac5b70c19263674f47a9cc4f400d
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 3 Jul 2023 17:05:46 +0200
-
-    improve windows build
-
- ql/math/integrals/exponentialintegrals.cpp | 6 +++---
- 1 file changed, 3 insertions(+), 3 deletions(-)
+    fix handling of past payment dates, add missing include
 
-commit f516ebde63674684368bc05ea6f453750521104a
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 3 Jul 2023 16:17:55 +0200
-
-    added missing file to project definition
-
- QuantLib.vcxproj                                   |  2 +
- QuantLib.vcxproj.filters                           |  6 ++
- ql/math/Makefile.am                                |  2 +
- ql/pricingengines/vanilla/analytichestonengine.cpp | 67 ++++++++++++----------
- ql/pricingengines/vanilla/analytichestonengine.hpp |  3 +
- 5 files changed, 51 insertions(+), 29 deletions(-)
-
-commit 46011bd3ce86e95ee0c30e0f1b8cd8ee0520901b
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 3 Jul 2023 13:12:15 +0200
-
-    first light from Heston update
-
- ql/math/integrals/exponentialintegrals.cpp         | 131 +++++--
- ql/math/integrals/exponentialintegrals.hpp         |  24 +-
- ql/pricingengines/vanilla/analytichestonengine.cpp | 421 ++++++++++++++++++---
- ql/pricingengines/vanilla/analytichestonengine.hpp |  78 ++--
- .../vanilla/exponentialfittinghestonengine.cpp     |   6 +-
- .../vanilla/exponentialfittinghestonengine.hpp     |   2 +
- 6 files changed, 537 insertions(+), 125 deletions(-)
-
-commit c7efbd69c1ed0996301c316e2190f2ff6b6909e0
-Author: klaus spanderen <klaus@spanderen.de>
-Date:   Mon, 3 Jul 2023 13:11:22 +0200
-
-    first light from Heston update
-
- ql/CMakeLists.txt          |   2 +
- ql/math/expm1.cpp          |  54 +++++++++
- ql/math/expm1.hpp          |  35 ++++++
- test-suite/functions.cpp   |  31 +++++
- test-suite/functions.hpp   |   3 +
- test-suite/hestonmodel.cpp | 157 ++++++++++++++++++++++++--
- test-suite/hestonmodel.hpp |   3 +-
- test-suite/integrals.cpp   | 276 ++++++++++++++++++++++++++++-----------------
- test-suite/integrals.hpp   |   1 +
- 9 files changed, 448 insertions(+), 114 deletions(-)
+ ql/cashflows/lineartsrpricer.cpp | 72 +++++++++++++++++++++++-----------------
+ ql/cashflows/lineartsrpricer.hpp |  4 ++-
+ 2 files changed, 44 insertions(+), 32 deletions(-)
diff --git a/Contributors.txt b/Contributors.txt
index f1f2b7402a0..e799bbceb8b 100644
--- a/Contributors.txt
+++ b/Contributors.txt
@@ -56,6 +56,7 @@ Meryem Chibo,
 Warren Chou,
 Scott Condit,
 Marco Craveiro,
+Stephen Dacek,
 Jon Davidson,
 Daniele De Francesco,
 Frédéric Degraeve,
@@ -77,7 +78,9 @@ Giorgio Facchinetti,
 Matt Fair,
 Paul Farrington,
 Lorella Fatone,
+Isuru Fernando,
 Luca Ferraro,
+Marco Bruno Ferreira Vasconcellos,
 Neil Firth,
 Stefano Fondi,
 Chiara Fornarola,
@@ -293,6 +296,7 @@ Frank Xue,
 Jeff Yu,
 Maddalena Zanzi,
 Li Zhong,
+Viktor Zhou,
 Francesco Zirilli,
 and Roy Zywina.
 
diff --git a/Docs/pages/history.docs b/Docs/pages/history.docs
index b9fd3488620..de99f69f921 100644
--- a/Docs/pages/history.docs
+++ b/Docs/pages/history.docs
@@ -17,7 +17,111 @@
 
 /*! \page history Version history
 
-    <strong>Release 1.33 - January 2024</strong>
+    <strong>Release 1.34 - April 2024</strong>
+
+    PORTABILITY
+    - **Future end of support:** as announced in release 1.32, we're
+      targeting next release (1.35) as the last to support Visual C++
+      2015, g++ up to version 6.x, and clang up to version 4; support for
+      those compilers will be dropped in release 1.36, about six months
+      from now.  From that point onwards, this will allows us to enable
+      the use of C++17 in the code base.
+      Also, given the testing environments available on GitHub actions,
+      clang 5 is already no longer available to us for testing, and in a
+      while the same will hold for clang 6 and g++ 7.  Therefore, it is
+      suggested to upgrade to a newer version if possible.
+    - **Future end of support:** at the same time as the above, we'll also
+      remove the configure switch that allows to use `boost::tuple`,
+      `boost::function` and `boost::bind` instead of their `std`
+      counterparts; the `std` classes are already the default since
+      release 1.32.
+    - Generate and install pkg-config files in CMake builds; thanks to
+      GitHub user jez6.
+
+    DATES AND CALENDARS
+    - Prevent `Calendar::advance` from returning the business end of month
+      (instead of the calendar end) when `endOfMonth` is `true` and
+      `convention` is `Unadjusted`; thanks to GitHub user DeimosXing.
+    - Add good Friday holiday for SOFR fixing; thanks to GitHub user
+      PaulXiCao.
+    - Properly restrict São Paulo city holiday to years before 2022;
+      thanks to Marco Bruno Ferreira Vasconcellos.
+    - Update holidays for 2023 and 2024 in calendars for India, Thailand,
+      Singapore and South Africa; thanks to Fredrik Gerdin Börjesson.
+
+    CASH FLOWS
+    - Fixed a couple of cases in which notifications were not forwarded
+      properly; thanks to GitHub user djkrystul for the heads-up.
+    - Fixed past payment dates and added support for OIS in
+      `LinearTsrPricer`; thanks to Peter Caspers.
+
+    INSTRUMENTS
+    - Swaptions can now take an OIS as underlying; thanks to Guillaume
+      Horel  and Peter Caspers.  So far, only
+      `BlackSwaptionEngine` manages OIS explicitly; other engines might
+      work and return approximated values.
+    - More methods in `MakeOIS` and `MakeVanillaSwap`; thanks to Eugene Toder.
+    - More methods in the `BondFunctions` class now support either clean or
+      dirty prices; thanks to Francois Botha.
+    - The `basisPointValue` and `yieldValueBasisPoint` methods in
+      `BondFunctions` didn't always manage the settlement date correctly;
+      this is now fixed (thanks to GitHub user jez6).
+    - Add `Custom` to `Futures::Type` enumeration to allow passing custom
+      dates to futures; thanks to Eugene Toder.
+
+    TERM STRUCTURES
+    - Inflation curves can now be built passing an explicit base date
+      (corresponding to the last published fixing) instead of an
+      observation lag.
+    - Fixed calculation of year fraction under Actual/365 Canadian
+      convention in `FuturesRateHelper`; thanks to GitHub user PaulXiCao.
+    - Fixed settlement date calculation in cross-currency basis-swap rate
+      helpers in some cases; thanks to Marcin Rybacki
+      for the fix and to Aleksis Ali Raza for the heads-up.
+
+    MATH
+    - Handle non-equidistant grids and arbitrary dimensions in Laplace
+      interpolation; thanks to Peter Caspers.
+
+    DEPRECATED FEATURES
+    - **Removed** features deprecated in version 1.29:
+      - The `argument_type`, `first_argument_type`, `second_argument_type`
+        and `result_type` typedefs in several classes;
+      - The overloads of zero-rate inflation index constructors taking an
+        `interpolated` argument;
+      - The `interpolated` method and the protected `interpolated_` data
+        member in `InflationIndex`;
+      - The overload of `CashFlows::npvbps` taking the result by reference;
+      - The protected `rateCurve_` method in `InflationCouponPricer`;
+      - The `ThreadKey` typedef;
+      - The empty header `ql/experimental/credit/riskybond.hpp`.
+    - Deprecated the constructors of `InflationTermStructure`,
+      `ZeroInflationTermStructure`, `YoYInflationTermStructure`,
+      `InterpolatedZeroInflationCurve`, `InterpolatedYoYInflationCurve`,
+      `PiecewiseZeroInflationCurve` and `PiecewiseYoYInflationCurve`
+      taking an observation lag; use the overloads taking an explicit base
+      date instead.
+    - Deprecated the `Bond::yield`, `BondFunctions::atmRate`,
+      `BondFunctions::yield` and `BondFunctions::zSpread` overloads taking
+      a clean price as a number; use the overloads taking a `Bond::Price`
+      instead.
+    - Deprecated the `InflationTermStructure::setSeasonality` overload
+      taking no arguments; use the overload taking a pointer and pass an
+      empty one to remove seasonality.
+    - Deprecated the `InflationTermStructure::setBaseRate` method; set
+      `baseRate_` directly if needed.
+    - Deprecated the `Swaption::underlyingSwap` and
+      `SwaptionHelper::underlyingSwap` methods; use `underlying` instead.
+    - Deprecated the broken `FixedRateBondHelper::fixedRateBond` and
+      `CPIBondHelper::cpiBond` methods and the corresponding
+      `fixedRateBond_` and `cpiBond_` data members.
+
+    Thanks go also to Isuru Fernando, Viktor Zhou, Stephen Dacek, Yi
+    Jiang, Jonathan Sweemer, Eugene Toder, the XAD team and GitHub
+    user PaulXiCao and klin333 for miscellaneous fixes, improvements
+    or reports.
+
+    <strong>Release 1.33 - January 22nd, 2024</strong>
 
     PORTABILITY
     - **Future end of support:** as announced in release 1.32, we're
diff --git a/News.md b/News.md
index 4b127c56a6b..a87bd5173c8 100644
--- a/News.md
+++ b/News.md
@@ -1,22 +1,26 @@
-Changes for QuantLib 1.33:
+Changes for QuantLib 1.34:
 ==========================
 
-QuantLib 1.33 includes 43 pull requests from several contributors.
+QuantLib 1.34 includes 35 pull requests from several contributors.
 
 Some of the most notable changes are included below.
 A detailed list of changes is available in ChangeLog.txt and at
-<https://github.com/lballabio/QuantLib/milestone/31?closed=1>.
+<https://github.com/lballabio/QuantLib/milestone/32?closed=1>.
 
 
 Portability
 -----------
 
 - **Future end of support:** as announced in release 1.32, we're
-  targeting the future release 1.35 as the last to support Visual C++
+  targeting next release (1.35) as the last to support Visual C++
   2015, g++ up to version 6.x, and clang up to version 4; support for
-  those compilers will be dropped in release 1.36, about nine months
+  those compilers will be dropped in release 1.36, about six months
   from now.  From that point onwards, this will allows us to enable
   the use of C++17 in the code base.
+  Also, given the testing environments available on GitHub actions,
+  clang 5 is already no longer available to us for testing, and in a
+  while the same will hold for clang 6 and g++ 7.  Therefore, it is
+  suggested to upgrade to a newer version if possible.
 
 - **Future end of support:** at the same time as the above, we'll also
   remove the configure switch that allows to use `boost::tuple`,
@@ -24,97 +28,126 @@ Portability
   counterparts; the `std` classes are already the default since
   release 1.32.
 
-- Added CMake presets for Apple; thanks to Christian Köhnenkamp
-  (@kohnech).
+- Generate and install pkg-config files in CMake builds; thanks to
+  GitHub user @jez6.
 
 
 Dates and calendars
 -------------------
 
-- Added New Year's Eve as a holiday to the Chilean calendar; thanks to
-  GitHub user @MoixaStrikes.
+- Prevent `Calendar::advance` from returning the business end of month
+  (instead of the calendar end) when `endOfMonth` is `true` and
+  `convention` is `Unadjusted`; thanks to GitHub user @DeimosXing.
 
-- Added Black Awareness Day as a holiday to the Brazilian calendar
-  starting from 2024; thanks to GitHub user @PaulXiCao.
-
-- Added Inauguration Day as a holiday to the Mexican calendar starting
-  from 2024; thanks to Fredrik Gerdin Börjesson (@gbfredrik).
-
-- Added Chinese holidays for 2024; thanks to Cheng Li (@wegamekinglc).
+- Add good Friday holiday for SOFR fixing; thanks to GitHub user
+  @PaulXiCao.
 
-- Updated list of known ECB dates; thanks to GitHub user @PaulXiCao.
+- Properly restrict São Paulo city holiday to years before 2022;
+  thanks to Marco Bruno Ferreira Vasconcellos (@marcobfv).
 
-- Added Thailandese and Taiwanese holidays up to 2024; thanks to
-  Fredrik Gerdin Börjesson (@gbfredrik).
+- Update holidays for 2023 and 2024 in calendars for India, Thailand,
+  Singapore and South Africa; thanks to Fredrik Gerdin Börjesson
+  (@gbfredrik).
 
-- Added a one-time holiday to the South African calendar; thanks to
-  Francois Botha (@igitur).
 
+Cash flows
+----------
 
-Models
-------
+- Fixed a couple of cases in which notifications were not forwarded
+  properly; thanks to GitHub user @djkrystul for the heads-up.
 
-- Added support for angled contour shift integrals to Heston model;
-  thanks to Klaus Spanderen (@klausspanderen).
+- Fixed past payment dates and added support for OIS in
+  `LinearTsrPricer`; thanks to Peter Caspers (@pcaspers).
 
 
 Instruments
 -----------
 
-- Allow different calendars and frequencies for different legs in
-  `MakeOIS` and `OISRateHelper`; thanks to Eugene Toder (@eltoder).
+- Swaptions can now take an OIS as underlying; thanks to Guillaume
+  Horel (@thrasibule) and Peter Caspers (@pcaspers).  So far, only
+  `BlackSwaptionEngine` manages OIS explicitly; other engines might
+  work and return approximated values.
 
-- Enabled negative payment lag in swap legs; thanks to GitHub user
-  @Stoozy.
+- More methods in `MakeOIS` and `MakeVanillaSwap`; thanks to Eugene Toder
+  (@eltoder).
 
+- More methods in the `BondFunctions` class now support either clean or
+  dirty prices; thanks to Francois Botha (@igitur).
 
-Random numbers
---------------
+- The `basisPointValue` and `yieldValueBasisPoint` methods in
+  `BondFunctions` didn't always manage the settlement date correctly;
+  this is now fixed (thanks to GitHub user @jez6).
 
-- Added Burley 2020 scrambled Sobol sequence generator; thanks to
-  Peter Caspers (@pcaspers).
+- Add `Custom` to `Futures::Type` enumeration to allow passing custom
+  dates to futures; thanks to Eugene Toder (@eltoder).
 
 
-Tests
------
+Term structures
+---------------
 
-- Use automated registration of unit tests; thanks to Siddharth
-  Mehrotra (@Sidsky).
+- Inflation curves can now be built passing an explicit base date
+  (corresponding to the last published fixing) instead of an
+  observation lag (@lballabio).
 
-- Added a few fuzzing tests; thanks to Nathaniel Brough (@silvergasp).
+- Fixed calculation of year fraction under Actual/365 Canadian
+  convention in `FuturesRateHelper`; thanks to GitHub user @PaulXiCao.
 
-- Improved test coverage for a few classes; thanks to GitHub user
-  @PaulXiCao.
+- Fixed settlement date calculation in cross-currency basis-swap rate
+  helpers in some cases; thanks to Marcin Rybacki (@marcin-rybacki)
+  for the fix and to Aleksis Ali Raza for the heads-up.
+
+
+Math
+----
+
+- Handle non-equidistant grids and arbitrary dimensions in Laplace
+  interpolation; thanks to Peter Caspers (@pcaspers).
 
 
 Deprecated features
 -------------------
 
-- **Removed** features deprecated in version 1.28:
-  - The overload of `CallableBond::impliedVolatility` taking an NPV as target.
-  - The constructor of `AmortizingFixedRateBond` taking a sinking frequency.
-  - The constructor of `AmortizingFixedRateBond` taking a vector of
-    `InterestRate` instances.
-  - The constructor of `FixedRateBond` taking start date, maturity
-    date etc. instead of a schedule.
-  - The constructor of `FixedRateBond` taking a vector of
-    `InterestRate` instances.
-  - The constructor of `FloatingRateBond` taking start date, maturity
-    date etc. instead of a schedule.
-  - The constructor of `CPICapFloor` taking a handle to an
-    interest-rate index.
-  - The `CPICapFloor::inflationIndex` method.
-  - The `infIndex` data member of the `CPICapFloor::arguments` class.
-  - A redundant constructor of `SabrSmileSection`.
-  - The empty headers
-    `ql/experimental/amortizingbonds/amortizingcmsratebond.hpp`,
-    `ql/experimental/amortizingbonds/amortizingfixedratebond.hpp` and
-    `ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp`.
-
-- Deprecated the constructor of `Currency` and `Currency::Data` taking
-  a format string, and the `Currency::format` method.
-
-
-**Thanks go also** to Yi Jiang (@yjian012), Hoang Giap Vu (@hgv79116),
-Jonathan Sweemer (@sweemer) and the XAD team
-(@auto-differentiation-dev) for smaller fixes and improvements.
+- **Removed** features deprecated in version 1.29:
+  - The `argument_type`, `first_argument_type`, `second_argument_type`
+    and `result_type` typedefs in several classes;
+  - The overloads of zero-rate inflation index constructors taking an
+    `interpolated` argument;
+  - The `interpolated` method and the protected `interpolated_` data
+    member in `InflationIndex`;
+  - The overload of `CashFlows::npvbps` taking the result by reference;
+  - The protected `rateCurve_` method in `InflationCouponPricer`;
+  - The `ThreadKey` typedef;
+  - The empty header `ql/experimental/credit/riskybond.hpp`.
+
+- Deprecated the constructors of `InflationTermStructure`,
+  `ZeroInflationTermStructure`, `YoYInflationTermStructure`,
+  `InterpolatedZeroInflationCurve`, `InterpolatedYoYInflationCurve`,
+  `PiecewiseZeroInflationCurve` and `PiecewiseYoYInflationCurve`
+  taking an observation lag; use the overloads taking an explicit base
+  date instead.
+
+- Deprecated the `Bond::yield`, `BondFunctions::atmRate`,
+  `BondFunctions::yield` and `BondFunctions::zSpread` overloads taking
+  a clean price as a number; use the overloads taking a `Bond::Price`
+  instead.
+
+- Deprecated the `InflationTermStructure::setSeasonality` overload
+  taking no arguments; use the overload taking a pointer and pass an
+  empty one to remove seasonality.
+
+- Deprecated the `InflationTermStructure::setBaseRate` method; set
+  `baseRate_` directly if needed.
+
+- Deprecated the `Swaption::underlyingSwap` and
+  `SwaptionHelper::underlyingSwap` methods; use `underlying` instead.
+
+- Deprecated the broken `FixedRateBondHelper::fixedRateBond` and
+  `CPIBondHelper::cpiBond` methods and the corresponding
+  `fixedRateBond_` and `cpiBond_` data members.
+
+
+**Thanks go also** to Isuru Fernando (@isuruf), Viktor Zhou
+(@yyuuhhjjnnmm), Stephen Dacek (@sdacek), Yi Jiang (@yjian012),
+Jonathan Sweemer (@sweemer), Eugene Toder (@eltoder), the XAD team
+(@auto-differentiation-dev) and GitHub user @PaulXiCao and @klin333
+for miscellaneous fixes, improvements or reports.

From 5ea96972bae030909c8ba564247f4d0f02665693 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 4 Oct 2023 11:52:15 +0200
Subject: [PATCH 92/95] Set version to 1.34-rc

---
 CMakeLists.txt | 4 ++--
 configure.ac   | 2 +-
 ql/version.hpp | 4 ++--
 3 files changed, 5 insertions(+), 5 deletions(-)

diff --git a/CMakeLists.txt b/CMakeLists.txt
index 522fad95d3d..f330f5daa50 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -11,8 +11,8 @@ set(QUANTLIB_VERSION ${QUANTLIB_VERSION_MAJOR}.${QUANTLIB_VERSION_MINOR}.${QUANT
 
 # Project Info
 set(PACKAGE_NAME          "QuantLib")
-set(PACKAGE_VERSION       "${QUANTLIB_VERSION}-dev")
-set(PACKAGE_VERSION_HEX   "0x01340000")
+set(PACKAGE_VERSION       "${QUANTLIB_VERSION}-rc")
+set(PACKAGE_VERSION_HEX   "0x013400c0")
 set(PACKAGE_STRING        "${PACKAGE_NAME} ${PACKAGE_VERSION}")
 set(PACKAGE_TARNAME       "${PACKAGE_NAME}-${PACKAGE_VERSION}")
 set(PACKAGE_BUGREPORT     "https://github.com/lballabio/QuantLib/issues/")
diff --git a/configure.ac b/configure.ac
index 47720b0da3e..8326f62cecd 100644
--- a/configure.ac
+++ b/configure.ac
@@ -1,5 +1,5 @@
 # Process this file with autoconf to produce a configure script.
-AC_INIT([QuantLib], [1.34-dev],
+AC_INIT([QuantLib], [1.34-rc],
         [quantlib-dev@lists.sourceforge.net],
         [QuantLib])
 AC_PREREQ(2.62)
diff --git a/ql/version.hpp b/ql/version.hpp
index eac0b222680..153a4d96b89 100644
--- a/ql/version.hpp
+++ b/ql/version.hpp
@@ -31,10 +31,10 @@
 /*! @{ */
 
 //! version string
-#define QL_VERSION "1.34-dev"
+#define QL_VERSION "1.34-rc"
 
 //! version hexadecimal number
-#define QL_HEX_VERSION 0x01340000
+#define QL_HEX_VERSION 0x013400c0
 
 /*! @}  */
 

From 9a9c15480a1de15708267c16b345c517ee65155b Mon Sep 17 00:00:00 2001
From: "github-actions[bot]"
 <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 17 Apr 2024 13:43:28 +0000
Subject: [PATCH 93/95] Automated fixes by clang-tidy

---
 ql/instruments/overnightindexedswap.cpp | 4 ++--
 ql/instruments/overnightindexedswap.hpp | 2 +-
 2 files changed, 3 insertions(+), 3 deletions(-)

diff --git a/ql/instruments/overnightindexedswap.cpp b/ql/instruments/overnightindexedswap.cpp
index b93a1946690..bb128372885 100644
--- a/ql/instruments/overnightindexedswap.cpp
+++ b/ql/instruments/overnightindexedswap.cpp
@@ -29,7 +29,7 @@ namespace QuantLib {
 
     OvernightIndexedSwap::OvernightIndexedSwap(Type type,
                                                Real nominal,
-                                               Schedule schedule,
+                                               const Schedule& schedule,
                                                Rate fixedRate,
                                                DayCounter fixedDC,
                                                const ext::shared_ptr<OvernightIndex>& overnightIndex,
@@ -41,7 +41,7 @@ namespace QuantLib {
                                                RateAveraging::Type averagingMethod)
     : OvernightIndexedSwap(type,
                            std::vector<Real>(1, nominal),
-                           std::move(schedule),
+                           schedule,
                            fixedRate,
                            std::move(fixedDC),
                            overnightIndex,
diff --git a/ql/instruments/overnightindexedswap.hpp b/ql/instruments/overnightindexedswap.hpp
index 58b27756510..72b3c036c2d 100644
--- a/ql/instruments/overnightindexedswap.hpp
+++ b/ql/instruments/overnightindexedswap.hpp
@@ -43,7 +43,7 @@ namespace QuantLib {
       public:
         OvernightIndexedSwap(Type type,
                              Real nominal,
-                             Schedule schedule,
+                             const Schedule& schedule,
                              Rate fixedRate,
                              DayCounter fixedDC,
                              const ext::shared_ptr<OvernightIndex>& overnightIndex,

From d3fe049dfd501250ec09513174b95aedd9243816 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Subject: [PATCH 94/95] Set version to 1.34 final.

---
 CMakeLists.txt | 4 ++--
 configure.ac   | 2 +-
 ql/version.hpp | 4 ++--
 3 files changed, 5 insertions(+), 5 deletions(-)

diff --git a/CMakeLists.txt b/CMakeLists.txt
index f330f5daa50..6586378d9f9 100644
--- a/CMakeLists.txt
+++ b/CMakeLists.txt
@@ -11,8 +11,8 @@ set(QUANTLIB_VERSION ${QUANTLIB_VERSION_MAJOR}.${QUANTLIB_VERSION_MINOR}.${QUANT
 
 # Project Info
 set(PACKAGE_NAME          "QuantLib")
-set(PACKAGE_VERSION       "${QUANTLIB_VERSION}-rc")
-set(PACKAGE_VERSION_HEX   "0x013400c0")
+set(PACKAGE_VERSION       "${QUANTLIB_VERSION}")
+set(PACKAGE_VERSION_HEX   "0x013400f0")
 set(PACKAGE_STRING        "${PACKAGE_NAME} ${PACKAGE_VERSION}")
 set(PACKAGE_TARNAME       "${PACKAGE_NAME}-${PACKAGE_VERSION}")
 set(PACKAGE_BUGREPORT     "https://github.com/lballabio/QuantLib/issues/")
diff --git a/configure.ac b/configure.ac
index 8326f62cecd..c97e5b096aa 100644
--- a/configure.ac
+++ b/configure.ac
@@ -1,5 +1,5 @@
 # Process this file with autoconf to produce a configure script.
-AC_INIT([QuantLib], [1.34-rc],
+AC_INIT([QuantLib], [1.34],
         [quantlib-dev@lists.sourceforge.net],
         [QuantLib])
 AC_PREREQ(2.62)
diff --git a/ql/version.hpp b/ql/version.hpp
index 153a4d96b89..a8fb504f16f 100644
--- a/ql/version.hpp
+++ b/ql/version.hpp
@@ -31,10 +31,10 @@
 /*! @{ */
 
 //! version string
-#define QL_VERSION "1.34-rc"
+#define QL_VERSION "1.34"
 
 //! version hexadecimal number
-#define QL_HEX_VERSION 0x013400c0
+#define QL_HEX_VERSION 0x013400f0
 
 /*! @}  */
 

From 35fba52c4dd1561740a42e859502581c339bba00 Mon Sep 17 00:00:00 2001
From: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 22 Apr 2024 10:04:08 +0200
Subject: [PATCH 95/95] Update changelog

---
 ChangeLog.txt | 45 +++++++++++++++++++++++++++++++++++++++------
 1 file changed, 39 insertions(+), 6 deletions(-)

diff --git a/ChangeLog.txt b/ChangeLog.txt
index 2d60bab4ca9..c332a96c720 100644
--- a/ChangeLog.txt
+++ b/ChangeLog.txt
@@ -1,13 +1,46 @@
-commit 0b457201e4d411b56dd9dd03833991f0535a36ff
+commit d3fe049dfd501250ec09513174b95aedd9243816
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 12 Jul 2021 09:46:54 +0200
+
+    Set version to 1.34 final.
+
+ CMakeLists.txt | 4 ++--
+ configure.ac   | 2 +-
+ ql/version.hpp | 4 ++--
+ 3 files changed, 5 insertions(+), 5 deletions(-)
+
+commit 9a9c15480a1de15708267c16b345c517ee65155b
+Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
+Date:   Wed, 17 Apr 2024 13:43:28 +0000
+
+    Automated fixes by clang-tidy
+
+ ql/instruments/overnightindexedswap.cpp | 4 ++--
+ ql/instruments/overnightindexedswap.hpp | 2 +-
+ 2 files changed, 3 insertions(+), 3 deletions(-)
+
+commit 5ea96972bae030909c8ba564247f4d0f02665693
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 4 Oct 2023 11:52:15 +0200
+
+    Set version to 1.34-rc
+
+ CMakeLists.txt | 4 ++--
+ configure.ac   | 2 +-
+ ql/version.hpp | 4 ++--
+ 3 files changed, 5 insertions(+), 5 deletions(-)
+
+commit e448f8d8fc16497209707a529667e0059dca0b57
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
 Date:   Mon, 15 Apr 2024 14:56:57 +0200
 
-    Update news and contributors
+    Update news and changelog
 
- Contributors.txt        |   4 ++
- Docs/pages/history.docs | 105 +++++++++++++++++++++++++++++-
- News.md                 | 169 +++++++++++++++++++++++++++++-------------------
- 3 files changed, 209 insertions(+), 69 deletions(-)
+ ChangeLog.txt           | 6844 +++++++++--------------------------------------
+ Contributors.txt        |    4 +
+ Docs/pages/history.docs |  106 +-
+ News.md                 |  169 +-
+ 4 files changed, 1526 insertions(+), 5597 deletions(-)
 
 commit e8bd858c87df8b7c199b5b3df20bb04acf04f2a2
 Merge: acc3b125e 1e6247489