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commit ab65963d73e2f194253e1267bfec4dd606083e48
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.32 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit ac90bef266f29990b5709681a06dd7030c4f5fdb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 19 Oct 2023 11:17:32 +0200
Update news
Docs/pages/history.docs | 7 ++++---
News.md | 8 +++++---
2 files changed, 9 insertions(+), 6 deletions(-)
commit 6c22cad48d028ac55be72c5dc7bb169fe87eeb7b
Merge: d02ef2471 ebef37553
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 17 Oct 2023 23:23:26 +0200
apply the paymentLag and paymentCalendar to the fixed leg (#1812)
commit d02ef2471e06680250ba8840bf4cd0f3fadd8f8f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 13 Oct 2023 09:17:31 +0200
Update documentation for configuration flag
Docs/pages/config.docs | 1 -
configure.ac | 13 ++++++-------
ql/userconfig.hpp | 7 +++----
3 files changed, 9 insertions(+), 12 deletions(-)
commit ebef37553632ab8ee8cc08a9534151e367a077d7
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date: Thu, 12 Oct 2023 15:43:36 -0400
apply the paymentLag and paymentCalendar to the fixed leg
ql/instruments/overnightindexedswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 82f71c2b2a644c7206706be93a7bf252f8829220
Merge: 79561ae4c 88205db80
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 6 Oct 2023 16:50:06 +0200
fix past-end iterator dereference, clean up (#1806)
commit 88205db8044668af1b62bc54b37ef2ae4bded7b2
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Fri, 6 Oct 2023 15:28:47 +0200
fix past-end iterator dereference, clean up
ql/time/ecb.cpp | 93 ++++++++++++++++++++++++++++++++++-----------------------
1 file changed, 55 insertions(+), 38 deletions(-)
commit 79561ae4c71ac3c4e39d401cc1fc8bf05f77b38c
Merge: 6f3046752 0a6c999ea
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 6 Oct 2023 08:39:21 +0200
Avoid internal compiler error on VC++17 (#1805)
commit 0a6c999eaa5ccc1ff1d2e97ece52c285739d0a7a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 5 Oct 2023 11:37:56 +0200
Avoid internal compiler error on VC++17
It doesn't seem to like fancy default arguments.
News.md | 4 ++
ql/cashflows/digitalcmscoupon.cpp | 5 ++
ql/cashflows/digitalcmscoupon.hpp | 12 ++--
ql/cashflows/digitalcoupon.cpp | 15 ++---
ql/cashflows/digitalcoupon.hpp | 2 +-
ql/cashflows/digitaliborcoupon.cpp | 5 ++
ql/cashflows/digitaliborcoupon.hpp | 12 ++--
ql/experimental/coupons/digitalcmsspreadcoupon.cpp | 5 ++
ql/experimental/coupons/digitalcmsspreadcoupon.hpp | 12 ++--
test-suite/digitalcoupon.cpp | 64 ++++++----------------
10 files changed, 65 insertions(+), 71 deletions(-)
commit 6f3046752c018544f6d022a3e437aaf5fe273462
Merge: 2d161c53c bc12e98e4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 5 Oct 2023 15:25:46 +0200
Fix double/Real consistency for maintaining AAD compatibility (#1803)
commit bc12e98e4fa3f387f1b4b50920b3570324f49a26
Author: Auto Differentiation Dev Team <dev@auto-differentiation.com>
Date: Thu, 5 Oct 2023 10:40:47 +0100
Fixing warning for integer/double comparison
test-suite/libormarketmodel.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5ddeb72157283def81642952912e2552844c7265
Author: Auto Differentiation Dev Team <dev@auto-differentiation.com>
Date: Thu, 5 Oct 2023 10:40:15 +0100
Fixing double/Real consistency, maintaining AAD compatibility
test-suite/xoshiro256starstar.cpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 2d161c53c46f87815b1265c9f566c2b867786b62
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.32-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit dd94abe5439bcdec6c949b69b5fb5c6edbdcc9d1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 4 Oct 2023 11:18:57 +0200
Update news and changelog
ChangeLog.txt | 3892 ++++++++++++++++-------------------------------
Contributors.txt | 1 +
Docs/pages/history.docs | 124 +-
News.md | 175 ++-
4 files changed, 1633 insertions(+), 2559 deletions(-)
commit c13293b9ec69b94d44c04cea224bb16479160364
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 3 Oct 2023 14:36:39 +0200
Sync qldefines.hpp.cfg
ql/qldefines.hpp.cfg | 6 ++++++
1 file changed, 6 insertions(+)
commit 751144fa19b05d5066eb11948f64ba7fa072fd49
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 2 Oct 2023 08:58:23 +0200
Disable array-bounds warning in workflow.
This prevents us from playing whack-a-mole with warnings while
we investigate.
.github/workflows/linux-nondefault.yml | 2 +-
Examples/BermudanSwaption/BermudanSwaption.cpp | 9 ---------
.../shortrate/calibrationhelpers/swaptionhelper.cpp | 10 ----------
test-suite/bermudanswaption.cpp | 19 -------------------
4 files changed, 1 insertion(+), 39 deletions(-)
commit 4a1fe40d040eea4833179ad1c62d70d3af0b41d7
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 1 Oct 2023 02:21:05 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 4 ++--
ql/instruments/overnightindexedswap.hpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit eaa249d7fa24c0dfd796a81ba27281e989cd55b7
Merge: 1e58438eb 7df75adc4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 29 Sep 2023 14:26:30 +0200
Include time zero / evaluation date in option date interpolation (#1783)
commit 1e58438ebae55f538d9f3ac29fbcaa4ff850a72a
Merge: 75accb52d 6dc78b2a7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 29 Sep 2023 10:27:55 +0200
Detect null time-to-reference when calculating zero rates (#1798)
commit 6dc78b2a7d4287b068f431a702c320eeacb484be
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Sep 2023 14:24:52 +0200
Detect null time-to-reference
ql/termstructures/yieldtermstructure.cpp | 5 +++--
test-suite/termstructures.cpp | 30 ++++++++++++++++++++++++------
test-suite/termstructures.hpp | 1 +
3 files changed, 28 insertions(+), 8 deletions(-)
commit 75accb52d7d71660371bc23484c82da42336b8d6
Merge: a2e4bc529 eedd3db3f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Sep 2023 14:24:22 +0200
`xoshiro265**` uniform random number generator (#1769)
commit 7df75adc4a82ebb64437ba33668bf2a0e84431e4
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Thu, 28 Sep 2023 14:13:34 +0200
we do not need to do that here, it's done in the base class already
ql/termstructures/volatility/swaption/swaptionvolcube.cpp | 1 -
1 file changed, 1 deletion(-)
commit 550a1a46d8b6ce44e84ba0e630e04e8a1fd7f143
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Thu, 28 Sep 2023 13:34:42 +0200
fix evaluation / reference date handling
.../volatility/swaption/swaptionvolcube.cpp | 3 +--
.../volatility/swaption/swaptionvoldiscrete.cpp | 16 ++++++++--------
.../volatility/swaption/swaptionvoldiscrete.hpp | 3 ++-
3 files changed, 11 insertions(+), 11 deletions(-)
commit eedd3db3f593c1346b593e4d6609cc87829fe788
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Sep 2023 11:29:28 +0200
Use C++-style header
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 16 ++++++------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 30 +++++++++++-----------
2 files changed, 23 insertions(+), 23 deletions(-)
commit a65b43e332d52f6627f34db3ce45a017ac36a3b3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Sep 2023 11:18:22 +0200
Move splitmix rng to anonymous namespace
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 --
ql/CMakeLists.txt | 1 -
ql/math/randomnumbers/Makefile.am | 1 -
ql/math/randomnumbers/all.hpp | 1 -
ql/math/randomnumbers/splitmix64.hpp | 57 ----------------------
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 43 +++++++++++++---
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 2 +-
test-suite/xoshiro256starstar.cpp | 22 ++++-----
9 files changed, 45 insertions(+), 86 deletions(-)
commit a2e4bc5291381df0d995d50f4243528dad5f83ec
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 26 Sep 2023 16:53:44 +0200
Avoid a few new warnings
Hopefully, they're false positives. Tests run correctly.
Examples/BermudanSwaption/BermudanSwaption.cpp | 11 +++++++++++
.../shortrate/calibrationhelpers/swaptionhelper.cpp | 9 +++++++++
test-suite/bermudanswaption.cpp | 21 +++++++++++++++++++++
3 files changed, 41 insertions(+)
commit d08dc8582752233ca94780fec431775821b2a2fa
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 24 Sep 2023 02:14:40 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 8 ++++----
ql/instruments/overnightindexedswap.hpp | 4 ++--
2 files changed, 6 insertions(+), 6 deletions(-)
commit ac9d99640ed20bc8d2f5ac7641dbbe00efdf08bb
Merge: fd99a8ef2 43d9613de
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 22 Sep 2023 13:12:59 +0200
Add special holiday 2 Oct 2023 for Korea (#1793)
commit 43d9613def41597176b1ab7c338807caf0197044
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 22 Sep 2023 11:47:55 +0200
Add new Korean holiday to tests
test-suite/calendars.cpp | 2 ++
1 file changed, 2 insertions(+)
commit e9f820678e48ea7b7e50cb9331887718df0a5947
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 22 Sep 2023 09:23:33 +0200
Add special holiday 2 Oct 2023 for Korea
ql/time/calendars/southkorea.cpp | 1 +
1 file changed, 1 insertion(+)
commit fd99a8ef24a14125ff1103f180bb0588ef9271f2
Merge: 7e0e5df7c f36933666
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 21 Sep 2023 15:44:12 +0200
Pass through max evaluations to the solver (#1792)
commit f36933666dea83c91fbad94ac1851996872ed5ae
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Thu, 21 Sep 2023 21:06:49 +0900
Pass through max evaluations to the solver
ql/termstructures/iterativebootstrap.hpp | 8 ++++++--
1 file changed, 6 insertions(+), 2 deletions(-)
commit 7e0e5df7c72fdc5b93af15174ff7783502d70b97
Merge: 6400e4d7d b7426015b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 20 Sep 2023 22:00:44 +0200
Optional redemption argument for amortizing bond constructors (#1790)
commit b7426015bb0070f6e2e0e7cc9fbaabc66d7fdf3c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 20 Sep 2023 17:29:36 +0200
Reorder parameters
ql/instruments/bonds/amortizingcmsratebond.hpp | 2 +-
ql/instruments/bonds/amortizingfixedratebond.cpp | 2 +-
ql/instruments/bonds/amortizingfixedratebond.hpp | 6 ++----
ql/instruments/bonds/amortizingfloatingratebond.cpp | 8 ++++----
ql/instruments/bonds/amortizingfloatingratebond.hpp | 7 +++----
5 files changed, 11 insertions(+), 14 deletions(-)
commit 6400e4d7d4b0ca8789446575e509341ae7fcde6d
Merge: cd33939d5 4d4d31409
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 19 Sep 2023 11:22:48 +0200
Add common fixed-vs-floater base class for vanilla swap and OIS (#1789)
commit f8da734c90aec3c6d7419c9a8b11a311bad5cce4
Author: Gyan Sinha <gyanorama@gmail.com>
Date: Mon, 18 Sep 2023 18:52:07 -0400
added redemptions to amortizing bond constructors
ql/instruments/bonds/amortizingcmsratebond.cpp | 5 +++--
ql/instruments/bonds/amortizingcmsratebond.hpp | 5 +++--
ql/instruments/bonds/amortizingfixedratebond.cpp | 10 +++++++---
ql/instruments/bonds/amortizingfixedratebond.hpp | 8 ++++++--
ql/instruments/bonds/amortizingfloatingratebond.cpp | 11 +++++++----
ql/instruments/bonds/amortizingfloatingratebond.hpp | 9 ++++++---
6 files changed, 32 insertions(+), 16 deletions(-)
commit 4d4d31409fcf8677558711463193f5ebb073aed2
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 18 Sep 2023 15:13:34 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 6 +++---
ql/instruments/overnightindexedswap.hpp | 4 ++--
2 files changed, 5 insertions(+), 5 deletions(-)
commit cd33939d56b6d5e1fa49a4be82c2ae487543beab
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 18 Sep 2023 11:37:52 +0000
Bump docker/login-action from 2 to 3
Bumps [docker/login-action](https://github.com/docker/login-action) from 2 to 3.
- [Release notes](https://github.com/docker/login-action/releases)
- [Commits](https://github.com/docker/login-action/compare/v2...v3)
---
updated-dependencies:
- dependency-name: docker/login-action
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/devenv-images.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4e0942ab029a69d22d6fc8f57dffd6f91f4fbca2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 18 Sep 2023 16:02:09 +0200
Inherit OIS from fixed-vs-floating swap
ql/instruments/fixedvsfloatingswap.cpp | 15 +++-
ql/instruments/fixedvsfloatingswap.hpp | 4 +-
ql/instruments/overnightindexedswap.cpp | 134 +++++++++-----------------------
ql/instruments/overnightindexedswap.hpp | 53 +++----------
test-suite/overnightindexedswap.cpp | 4 +-
5 files changed, 64 insertions(+), 146 deletions(-)
commit 31252ee6f2c5f9a493a9a1d5f97d127a01956b1c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 18 Sep 2023 14:49:15 +0200
Add variable nominals to fixed-to-floating swap.
Existing vanilla-swap engines check for a constant nominal.
ql/instruments/fixedvsfloatingswap.cpp | 49 ++++++++++++++++++----
ql/instruments/fixedvsfloatingswap.hpp | 34 +++++++++++++--
ql/instruments/vanillaswap.cpp | 9 ++--
ql/models/shortrate/twofactormodels/g2.cpp | 5 ++-
ql/pricingengines/swap/cvaswapengine.cpp | 3 ++
ql/pricingengines/swap/discretizedswap.cpp | 3 ++
.../gaussian1djamshidianswaptionengine.cpp | 3 ++
.../swaption/gaussian1dswaptionengine.cpp | 3 ++
.../swaption/jamshidianswaptionengine.cpp | 3 ++
9 files changed, 94 insertions(+), 18 deletions(-)
commit d326db086a0e315172d1d10452bbd2ca06b70208
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 13 Sep 2023 10:06:58 +0200
Use new Boost version for Appveyor build
.appveyor/VS2022.props | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 5ac60fa3e79faf7c7239a4c797d480adca71f958
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 3 Sep 2023 02:54:46 +0000
Automated fixes by clang-tidy
test-suite/overnightindexedswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit efedbe7bd6bb608ff94130e7489b140880539aa3
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Sun, 3 Sep 2023 11:22:26 +0200
include time zero / evaluation date in option date interpolation
.../volatility/swaption/swaptionvoldiscrete.cpp | 38 +++++++++++++---------
.../volatility/swaption/swaptionvoldiscrete.hpp | 3 +-
2 files changed, 24 insertions(+), 17 deletions(-)
commit 5f64e2040b0281b71bbe6fc1d8d1714a62d82f33
Merge: c85fc7832 08a0acb44
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Aug 2023 21:00:52 +0200
An OIS needs different notionals for different schedules (#1777)
commit 08a0acb44a72fb0becdb90ee31938de5454b6a46
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Aug 2023 18:21:17 +0200
Add test
test-suite/overnightindexedswap.cpp | 133 ++++++++++++++++++++++++++++++++++++
test-suite/overnightindexedswap.hpp | 1 +
2 files changed, 134 insertions(+)
commit abc6aed4dfeddb72a30bdfe4f9f2cf620491b40a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Aug 2023 13:30:18 +0200
Pass different notionals for different schedules
ql/instruments/overnightindexedswap.cpp | 48 +++++++++++++++++++++++++++------
ql/instruments/overnightindexedswap.hpp | 25 ++++++++---------
2 files changed, 53 insertions(+), 20 deletions(-)
commit b9cd359d8c323668a9ad53563981b0fd7ccc7db9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Aug 2023 12:35:29 +0200
Don't attribute tests to base class
ql/instruments/fixedvsfloatingswap.hpp | 14 --------------
1 file changed, 14 deletions(-)
commit c85fc7832060fd38eea53a1e0b9be146f781c627
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Aug 2023 10:57:24 +0200
Add missing test messages
test-suite/calendars.cpp | 2 ++
test-suite/dates.cpp | 2 ++
test-suite/daycounters.cpp | 13 ++++++-------
test-suite/fdheston.cpp | 6 ++++--
test-suite/hybridhestonhullwhiteprocess.cpp | 1 +
test-suite/observable.cpp | 1 +
test-suite/zabr.cpp | 1 +
7 files changed, 17 insertions(+), 9 deletions(-)
commit cbd1f073be59b95e38473b3676b128aa9732b4b2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 28 Aug 2023 12:45:07 +0200
Add action and dockerfile to build CI images
.github/workflows/devenv-images.yml | 42 +++++++++++++++++++++++++++++++++++++
dockerfiles/ci.Dockerfile | 24 +++++++++++++++++++++
2 files changed, 66 insertions(+)
commit 409005c885ba66cef41d71ca0db5bf4bc6f6a891
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 27 Aug 2023 01:46:51 +0000
Automated fixes by clang-tidy
ql/instruments/complexchooseroption.cpp | 5 +++--
ql/instruments/complexchooseroption.hpp | 2 +-
2 files changed, 4 insertions(+), 3 deletions(-)
commit 1f19d495bad888a8df8f9cd3a6b23a72606726f5
Merge: 51b2bffc9 fad2b0b81
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 25 Aug 2023 23:01:09 +0200
Move a few exotic options from experimental to core (#1774)
commit fad2b0b811f774d5012be981d62dc0d071bf032c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 25 Aug 2023 18:48:21 +0200
Move tests to correct section
test-suite/quantlibtestsuite.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 9946744d6cac9411c08e576e04487258e27be2cc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 25 Aug 2023 11:39:19 +0200
Move chooser options from experimental to core
QuantLib.vcxproj | 12 ++--
QuantLib.vcxproj.filters | 36 +++++++----
cmake/GenerateHeaders.cmake | 4 ++
ql/CMakeLists.txt | 12 ++--
ql/experimental/exoticoptions/Makefile.am | 10 +--
ql/experimental/exoticoptions/all.hpp | 4 --
.../exoticoptions/analyticcomplexchooserengine.hpp | 45 +------------
.../exoticoptions/analyticsimplechooserengine.hpp | 31 +--------
.../exoticoptions/complexchooseroption.hpp | 51 +--------------
.../exoticoptions/simplechooseroption.hpp | 49 +--------------
ql/instruments/Makefile.am | 4 ++
ql/instruments/all.hpp | 2 +
.../complexchooseroption.cpp | 8 +--
ql/instruments/complexchooseroption.hpp | 73 ++++++++++++++++++++++
.../simplechooseroption.cpp | 15 ++---
ql/instruments/simplechooseroption.hpp | 64 +++++++++++++++++++
ql/pricingengines/exotic/Makefile.am | 8 ++-
ql/pricingengines/exotic/all.hpp | 2 +
.../exotic}/analyticcomplexchooserengine.cpp | 44 +++++++------
.../exotic/analyticcomplexchooserengine.hpp | 62 ++++++++++++++++++
.../exotic}/analyticsimplechooserengine.cpp | 5 +-
.../exotic/analyticsimplechooserengine.hpp | 44 +++++++++++++
test-suite/chooseroption.cpp | 8 +--
23 files changed, 354 insertions(+), 239 deletions(-)
commit 5dfcdca0283b4d59d9dd82c784407dff46f30fdf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 24 Aug 2023 18:03:17 +0200
Move compound option from experimental to core
QuantLib.vcxproj | 6 +-
QuantLib.vcxproj.filters | 18 ++--
cmake/GenerateHeaders.cmake | 2 +
ql/CMakeLists.txt | 6 +-
ql/experimental/exoticoptions/Makefile.am | 6 +-
ql/experimental/exoticoptions/all.hpp | 2 -
.../exoticoptions/analyticcompoundoptionengine.hpp | 84 +----------------
ql/experimental/exoticoptions/compoundoption.hpp | 49 +---------
ql/instruments/Makefile.am | 2 +
ql/instruments/all.hpp | 1 +
.../compoundoption.cpp | 2 +-
ql/instruments/compoundoption.hpp | 66 ++++++++++++++
ql/pricingengines/exotic/Makefile.am | 2 +
ql/pricingengines/exotic/all.hpp | 1 +
.../exotic}/analyticcompoundoptionengine.cpp | 2 +-
.../exotic/analyticcompoundoptionengine.hpp | 101 +++++++++++++++++++++
test-suite/compoundoption.cpp | 4 +-
test-suite/quantlibtestsuite.cpp | 2 +-
18 files changed, 209 insertions(+), 147 deletions(-)
commit bd88e67f4e37eb1aa34fc5cf500b4a27eb76958f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 24 Aug 2023 16:19:26 +0200
Move Margrabe option from experimental to core
QuantLib.vcxproj | 10 ++-
QuantLib.vcxproj.filters | 33 +++++---
cmake/GenerateHeaders.cmake | 7 ++
configure.ac | 1 +
ql/CMakeLists.txt | 10 ++-
ql/experimental/exoticoptions/Makefile.am | 8 +-
ql/experimental/exoticoptions/all.hpp | 3 -
.../analyticamericanmargrabeengine.hpp | 39 +---------
.../analyticeuropeanmargrabeengine.hpp | 39 +---------
ql/experimental/exoticoptions/margrabeoption.hpp | 80 +------------------
ql/instruments/Makefile.am | 2 +
ql/instruments/all.hpp | 1 +
.../margrabeoption.cpp | 4 +-
ql/instruments/margrabeoption.hpp | 90 ++++++++++++++++++++++
ql/pricingengines/Makefile.am | 3 +-
ql/pricingengines/all.hpp | 1 +
ql/pricingengines/exotic/Makefile.am | 47 +++++++++++
ql/pricingengines/exotic/all.hpp | 6 ++
.../exotic}/analyticamericanmargrabeengine.cpp | 2 +-
.../exotic/analyticamericanmargrabeengine.hpp | 56 ++++++++++++++
.../exotic}/analyticeuropeanmargrabeengine.cpp | 2 +-
.../exotic/analyticeuropeanmargrabeengine.hpp | 56 ++++++++++++++
test-suite/margrabeoption.cpp | 6 +-
test-suite/quantlibtestsuite.cpp | 2 +-
24 files changed, 327 insertions(+), 181 deletions(-)
commit 51b2bffc953a1c3559b88714e0786a24b434c174
Merge: fa4f68cfd 8ee499420
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Aug 2023 22:35:26 +0200
fix calibration point algorithm (#1772)
commit fa4f68cfd04c0ff1c5280cd50de362f4470c75f6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Aug 2023 16:48:25 +0200
Add check on file Doxygen blocks
.github/workflows/doxygen.yml | 8 +++++
.../averageois/makearithmeticaverageois.hpp | 2 +-
ql/indexes/ibor/estr.hpp | 2 +-
ql/indexes/ibor/sonia.hpp | 4 +--
ql/instruments/inflationcapfloor.hpp | 6 ++--
tools/check_all_header_docs.sh | 8 +++++
tools/check_header_docs.py | 34 ++++++++++++++++++++++
7 files changed, 57 insertions(+), 7 deletions(-)
commit 4c9ccc333c50ed8cfe19aa5ad16321e0db4bb265
Merge: d4e39d8a1 87713cb19
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Aug 2023 10:28:51 +0200
Correct file-docstrings not matching file names (#1770)
commit 032a382c0f24cb28232fc2d79a177c5b47d51976
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Sat, 19 Aug 2023 19:45:14 +0200
Always create a new seed in the loop.
ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a4724a87c8b1c548726275b2fe34d3e4e6042a7d
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Sat, 19 Aug 2023 19:29:34 +0200
Moved constructor to header and removed source file splitmix64.cpp
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 ---
ql/CMakeLists.txt | 1 -
ql/math/randomnumbers/Makefile.am | 1 -
ql/math/randomnumbers/splitmix64.cpp | 25 -------------------------
ql/math/randomnumbers/splitmix64.hpp | 2 +-
6 files changed, 1 insertion(+), 32 deletions(-)
commit 8ee499420a0832cb2868afc6e884ab8afbf3f74f
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Sat, 19 Aug 2023 15:54:20 +0200
fix calibration point algorithm
.../shortrate/onefactormodels/markovfunctional.cpp | 29 +++++++---------------
1 file changed, 9 insertions(+), 20 deletions(-)
commit 87713cb19e8876cf4af7110af51d5efaaca77828
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 18 Aug 2023 12:42:38 +0200
Correct file-docstrings not matching file names
ql/cashflows/indexedcashflow.hpp | 2 +-
ql/cashflows/inflationcoupon.hpp | 2 +-
ql/experimental/asian/analytic_cont_geom_av_price_heston.hpp | 2 +-
ql/experimental/asian/analytic_discr_geom_av_price_heston.hpp | 4 ++--
ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp | 4 ++--
ql/experimental/commodities/commoditytype.hpp | 2 +-
ql/experimental/commodities/paymentterm.hpp | 4 ++--
ql/experimental/commodities/unitofmeasureconversion.hpp | 4 ++--
ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp | 2 +-
.../finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp | 4 ++--
ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp | 2 +-
ql/experimental/inflation/yoycapfloortermpricesurface.hpp | 2 +-
ql/instruments/makeyoyinflationcapfloor.hpp | 2 +-
ql/math/generallinearleastsquares.hpp | 2 +-
ql/math/interpolations/backwardflatlinearinterpolation.hpp | 2 +-
ql/math/interpolations/flatextrapolation2d.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmg2op.hpp | 4 ++--
.../finitedifferences/utilities/squarerootprocessrndcalculator.hpp | 2 +-
ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp | 2 +-
ql/pricingengines/lookback/analyticcontinuouspartialfixedlookback.hpp | 2 +-
.../lookback/analyticcontinuouspartialfloatinglookback.hpp | 2 +-
ql/pricingengines/vanilla/hestonexpansionengine.hpp | 2 +-
ql/processes/coxingersollrossprocess.hpp | 2 +-
23 files changed, 29 insertions(+), 29 deletions(-)
commit c47b1cb4ea0b5cf79d348d23d3a781e327260438
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Thu, 17 Aug 2023 22:22:51 +0200
Added SplitMix64 to initialize xoshiro256**
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +++
ql/CMakeLists.txt | 2 +
ql/math/randomnumbers/Makefile.am | 2 +
ql/math/randomnumbers/all.hpp | 1 +
ql/math/randomnumbers/splitmix64.cpp | 25 ++++++++++
ql/math/randomnumbers/splitmix64.hpp | 57 ++++++++++++++++++++++
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 34 +++++--------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 16 ++----
test-suite/xoshiro256starstar.cpp | 36 +++++++++-----
10 files changed, 134 insertions(+), 47 deletions(-)
commit a4a4af7c26c5e19d895f0491a01893c9e089e5d0
Author: ralfeckel <ralf.eckel@smarttra.de>
Date: Thu, 17 Aug 2023 12:58:42 +0200
Corrected citation
ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +-
ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit 1a1b69106fb9998c7e778e9133b3e2f06358047a
Author: ralfeckel <ralf.eckel@smarttra.de>
Date: Thu, 17 Aug 2023 12:53:28 +0200
Added comment about the warm up in the constructor
ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 4 +++-
ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp | 9 ++++++++-
2 files changed, 11 insertions(+), 2 deletions(-)
commit 32181a1bc8d9ac1807035249fe00b9a4ab4ae0cd
Author: ralfeckel <ralf.eckel@smarttra.de>
Date: Thu, 17 Aug 2023 12:26:20 +0200
Inline xoshiro256starstar.c
test-suite/xoshiro256starstar.c | 104 ---------------------------------
test-suite/xoshiro256starstar.cpp | 120 ++++++++++++++++++++++++++++++++++++--
2 files changed, 114 insertions(+), 110 deletions(-)
commit 490dfab6ceac605e5c00aa00fef19d9e283732a7
Author: ralfeckel <ralf.eckel@smarttra.de>
Date: Thu, 17 Aug 2023 10:57:27 +0200
Use uint64_t instead of unsigned long long
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 24 ++++++++-------------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 25 ++++++++--------------
test-suite/xoshiro256starstar.cpp | 8 +++----
3 files changed, 22 insertions(+), 35 deletions(-)
commit 627bd758bd179fa0316bcb6940bcb8d4663c74ea
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Wed, 16 Aug 2023 20:51:31 +0200
Added copyright note for reference impl and brief documentation
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 35 ++++++++++++++++++++--
1 file changed, 32 insertions(+), 3 deletions(-)
commit 9c6796cba93cf2d68f506aec0a91c3a17db28dab
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Wed, 16 Aug 2023 00:01:57 +0200
Fixed infinite loop for seed==0
ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 29d0dfe93359880f3c8ffcb000c8ab8e6ae87d47
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 23:22:39 +0200
Using s0_, s1_, s2_, s3_ instead of s_[4] as it is faster
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 20 ++++++++++----------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 18 +++++++++---------
2 files changed, 19 insertions(+), 19 deletions(-)
commit 83c7f1aef91b22d1ec037af92827a890b72fe47f
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 22:25:28 +0200
Re-enable all workflows
.github/boring-cyborg.yml | 13 +++++++++++++
.github/dependabot.yml | 8 ++++++++
2 files changed, 21 insertions(+)
commit a3778d6269cedc46b504307328354b6b67df8d0c
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 15 Aug 2023 22:21:09 +0200
Update copyright list in license (#92)
Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1931da212fce86eb178fb054997dd8b363dfc6db
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 21:55:06 +0200
Added testAbsenceOfInteractionBetweenInstances()
test-suite/xoshiro256starstar.cpp | 33 +++++++++++++++++++++++++++++++++
test-suite/xoshiro256starstar.hpp | 1 +
2 files changed, 34 insertions(+)
commit bcd22b10c2aea0f8c9fe9dbb59265474fa3332ee
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 21:32:11 +0200
Renamed test class from Xoshiro256StarStarUniformRngTest to Xoshiro256StarStarTest
test-suite/quantlibtestsuite.cpp | 2 +-
test-suite/xoshiro256starstar.cpp | 25 ++++++++++++-------------
test-suite/xoshiro256starstar.hpp | 2 +-
3 files changed, 14 insertions(+), 15 deletions(-)
commit b1e9f923e9a96a94155fd8932bec58a7d9ab4954
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 21:20:14 +0200
Renamed xoshiro256starstaruniformrng test files to xoshiro256starstar
test-suite/CMakeLists.txt | 4 ++--
test-suite/Makefile.am | 4 ++--
test-suite/quantlibtestsuite.cpp | 2 +-
test-suite/testsuite.vcxproj | 4 ++--
test-suite/testsuite.vcxproj.filters | 4 ++--
.../{xoshiro256starstaruniformrng.cpp => xoshiro256starstar.cpp} | 2 +-
.../{xoshiro256starstaruniformrng.hpp => xoshiro256starstar.hpp} | 6 +++---
7 files changed, 13 insertions(+), 13 deletions(-)
commit ff4799af79509a1b6e985f6a8975a47c8364140f
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 20:41:03 +0200
Refactor s[4] to s_[4]
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 20 ++++++++++----------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 18 +++++++++---------
2 files changed, 19 insertions(+), 19 deletions(-)
commit c78a45e600340ead59f3c7a3c7f6ccd5921cecb9
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:30:19 +0200
Update generated headers (#89)
Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
ql/math/randomnumbers/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 1f331832d381f4d3c87d2f5692bbf8f53d0a0b38
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:25:53 +0200
Added xoshiro256starstaruniformrng to VS files
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
test-suite/testsuite.vcxproj | 2 ++
test-suite/testsuite.vcxproj.filters | 6 ++++++
4 files changed, 16 insertions(+)
commit 83c2e85aa070cdddcd911f9996bd77acad3f0a9d
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:13:58 +0200
Added xoshiro256starstaruniformrng to make files
ql/math/randomnumbers/Makefile.am | 6 ++++--
ql/math/randomnumbers/all.hpp | 2 +-
test-suite/Makefile.am | 2 ++
3 files changed, 7 insertions(+), 3 deletions(-)
commit 390141387236535d5c5e4135af82fc7d71acd129
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:07:44 +0200
Re-enable all workflows
.github/workflows/cmake.yml | 6 +-
.github/workflows/codeql-analysis.yml | 51 +++++++
.github/workflows/copyrights.yml | 21 +++
.github/workflows/coveralls.yml | 40 ++++++
.github/workflows/doxygen.yml | 21 +++
.github/workflows/filelists.yml | 18 +++
.github/workflows/generated-headers.yml | 31 +++++
.github/workflows/headers.yml | 24 ++++
.github/workflows/linux-full-tests.yml | 221 ++++++++++++++++++++++++++++++
.github/workflows/linux-nondefault.yml | 172 +++++++++++++++++++++++
.github/workflows/linux.yml | 234 ++++++++++++++++++++++++++++++++
.github/workflows/macos-nondefault.yml | 49 +++++++
.github/workflows/macos.yml | 42 ++++++
.github/workflows/misspell.yml | 19 +++
.github/workflows/msvc-analysis.yml | 53 ++++++++
.github/workflows/sanitizer.yml | 44 ++++++
.github/workflows/stale.yml | 22 +++
.github/workflows/test-times.yml | 41 ++++++
.github/workflows/tidy.yml | 32 +++++
19 files changed, 1138 insertions(+), 3 deletions(-)
commit 3468125a0d62cc0b166888e8570df27bed8d621d
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:03:17 +0200
Suppress warnings from xoshiro256starstar.c implementation
test-suite/xoshiro256starstaruniformrng.cpp | 18 ++++++++++++++++++
1 file changed, 18 insertions(+)
commit e9713616e7b13ee312b7aa7eb0df66222e05ae54
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Mon, 14 Aug 2023 15:45:48 +0200
Testing Xoshiro256StarStarUniformRng::nextInt64() against reference implementation in C
test-suite/xoshiro256starstar.c | 104 ++++++++++++++++++++++++++++
test-suite/xoshiro256starstaruniformrng.cpp | 43 +++++++++++-
test-suite/xoshiro256starstaruniformrng.hpp | 1 +
3 files changed, 146 insertions(+), 2 deletions(-)
commit db3f6892741683e21ad558f9faea157b2e404edc
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Sun, 13 Aug 2023 15:22:49 +0200
Use (1.0 / (1ULL << 53) instead of 1.1102230246251565E-16 plus smaller enhancements
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 25 +++++++++++-----------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 12 +++++------
test-suite/xoshiro256starstaruniformrng.cpp | 9 ++++----
3 files changed, 23 insertions(+), 23 deletions(-)
commit d4e39d8a11a94b02af11f8511324398f8c6dabca
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 13 Aug 2023 02:27:08 +0000
Automated fixes by clang-tidy
ql/instruments/simplifynotificationgraph.hpp | 6 +++---
test-suite/quantlibbenchmark.cpp | 6 +++---
2 files changed, 6 insertions(+), 6 deletions(-)
commit abecc87dc7464966964ac11952ced633dac19bc1
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Sun, 13 Aug 2023 14:22:52 +0200
Renamed Xoshiro256StarStarRng to Xoshiro256StarStarUniformRng
ql/CMakeLists.txt | 4 ++--
...tarrng.cpp => xoshiro256starstaruniformrng.cpp} | 22 +++++++++++-----------
...tarrng.hpp => xoshiro256starstaruniformrng.hpp} | 12 ++++++------
test-suite/CMakeLists.txt | 4 ++--
test-suite/quantlibtestsuite.cpp | 4 ++--
...tarrng.cpp => xoshiro256starstaruniformrng.cpp} | 14 +++++++-------
...tarrng.hpp => xoshiro256starstaruniformrng.hpp} | 8 ++++----
7 files changed, 34 insertions(+), 34 deletions(-)
commit 7db39008200b06dd4c6b4ae8d1c85c39947c09f4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 12 Aug 2023 16:04:20 +0200
Upgrade Boost in some CI builds
.github/workflows/cmake.yml | 6 +++---
.github/workflows/msvc-analysis.yml | 10 +++++-----
2 files changed, 8 insertions(+), 8 deletions(-)
commit 44a0c90c75a84b8b74427d71e8a2415da3c98cb2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>