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ChangeLog.txt
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commit fd7b582cb722be1210113f0d0ae50fecd4a6c262
Author: klausspanderen <[email protected]>
Date: Mon, 2 Apr 2018 23:00:55 +0200
Boost 1.67 does not allow to register the same test case name
multiple times.
Backported from #446.
test-suite/asianoptions.cpp | 2 +-
test-suite/barrieroption.cpp | 2 +-
test-suite/basketoption.cpp | 17 ++++++++++-------
test-suite/cdo.cpp | 10 +++++++---
test-suite/europeanoption.cpp | 2 +-
test-suite/extendedtrees.cpp | 2 +-
test-suite/hestonmodel.cpp | 2 +-
test-suite/marketmodel.cpp | 24 ++++++++++++++----------
test-suite/optionletstripper.cpp | 5 ++---
test-suite/paralleltestrunner.hpp | 28 ++--------------------------
test-suite/zabr.cpp | 2 +-
11 files changed, 41 insertions(+), 55 deletions(-)
commit 47919930c4ac485b8c0e17b50b9485a0f4d99bb6
Author: Luigi Ballabio <[email protected]>
Date: Wed, 4 Apr 2018 17:46:43 +0200
Bump version number to 1.12.1.
configure.ac | 2 +-
ql/version.hpp | 8 ++++----
2 files changed, 5 insertions(+), 5 deletions(-)
commit db932cb5ab401140c743fc6232522c336cc60a6b
Author: Luigi Ballabio <[email protected]>
Date: Tue, 30 Jan 2018 13:26:56 +0100
Update history and changelog.
ChangeLog.txt | 4275 +++++++++++++++++++++--------------------------
Contributors.txt | 7 +-
Docs/pages/authors.docs | 6 +
Docs/pages/history.docs | 86 +-
Docs/pages/license.docs | 9 +-
News.txt | 123 +-
6 files changed, 2050 insertions(+), 2456 deletions(-)
commit c2670bd433289eaf98410e911d87156595ca6d67
Merge: a00d43fab 6039f2ab0
Author: Luigi Ballabio <[email protected]>
Date: Thu, 25 Jan 2018 15:47:52 +0100
Merge pull request #398.
commit 6039f2ab0128290eaf8796e114fed5df6ae39b34
Author: Marco Craveiro <[email protected]>
Date: Wed, 24 Jan 2018 10:37:13 +0000
CMake: generate and install config.hpp
CMake builds are broken at present because they are not generating
config.hpp. This is done as part of configure, and cannot be easily
replicated in CMake without some duplication. This patch takes the
easy approach and simply copies across the ANSI configuration and
installs it as part of make install. For details on the discussion,
see [1]
[1] https://github.com/lballabio/QuantLib/issues/396
CMakeLists.txt | 8 ++++++++
1 file changed, 8 insertions(+)
commit a00d43fabf30ab1e7fcaeaa9f497a551b0de528c
Author: Luigi Ballabio <[email protected]>
Date: Sat, 20 Jan 2018 19:21:39 +0100
Fix Doxygen warnings.
ql/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.hpp | 2 +-
.../volatility/equityfx/andreasenhugevolatilityinterpl.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 10438c34f4f0412f591ebe3e128cc12edbe95684
Author: Luigi Ballabio <[email protected]>
Date: Sat, 20 Jan 2018 19:08:07 +0100
Update copyrights.
LICENSE.TXT | 9 ++++++---
ql/time/daycounter.hpp | 2 +-
test-suite/asianoptions.cpp | 2 +-
3 files changed, 8 insertions(+), 5 deletions(-)
commit 7ef794ce4cc7e28dab402b64419fcda29f9f7c5e
Author: Luigi Ballabio <[email protected]>
Date: Fri, 19 Jan 2018 18:08:01 +0100
Avoid uninitialized variable.
ql/experimental/callablebonds/callablebond.cpp | 2 ++
1 file changed, 2 insertions(+)
commit afeec9c9d0a38caf29dc0d7b92e26116e16ca952
Author: Luigi Ballabio <[email protected]>
Date: Fri, 19 Jan 2018 16:47:37 +0100
Enforce conventions in test messages.
test-suite/andreasenhugevolatilityinterpl.cpp | 4 ++--
test-suite/cashflows.cpp | 6 +++---
test-suite/hestonslvmodel.cpp | 2 +-
3 files changed, 6 insertions(+), 6 deletions(-)
commit fae10222bf3d93138718049c3375d1c51a296a24
Author: Luigi Ballabio <[email protected]>
Date: Fri, 19 Jan 2018 04:45:40 -0800
Prevent ambiguous call on VC++9.
test-suite/asianoptions.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a8ce9e585d6bcf6800da62c540666800997837cf
Author: Luigi Ballabio <[email protected]>
Date: Fri, 19 Jan 2018 04:44:38 -0800
Avoid using make_shared with no arguments.
Unfortunately, this doesn't compile on Visual C++ 9,
which we still support for the time being.
.../volatility/equityfx/andreasenhugevolatilityinterpl.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 10c5e11e9da90001238b32c27d1bc632e59f5d99
Author: Luigi Ballabio <[email protected]>
Date: Thu, 18 Jan 2018 12:29:59 +0100
Clean up headers.
- enforced self-consistency;
- reordered inclusions.
ql/experimental/credit/onefactoraffinesurvival.hpp | 1 +
ql/math/randomnumbers/sobolrsg.hpp | 2 +-
2 files changed, 2 insertions(+), 1 deletion(-)
commit e47d481b8a5a9ed8f6002dd8d1c0ffc13001306f
Merge: 05185a389 6d48c3dff
Author: Luigi Ballabio <[email protected]>
Date: Wed, 17 Jan 2018 18:19:12 +0100
Merge pull request #380.
commit 6d48c3dffceabcc7a6cd6a0adb9b2a268ecc8b71
Author: Luigi Ballabio <[email protected]>
Date: Mon, 8 Jan 2018 11:00:25 +0100
Update VC++ projects.
QuantLib.vcxproj.filters | 18 ++++++++++++++++++
QuantLib_vc9.vcproj | 24 ++++++++++++++++++++++++
test-suite/testsuite.vcxproj.filters | 6 ++++++
test-suite/testsuite_vc9.vcproj | 8 ++++++++
4 files changed, 56 insertions(+)
commit d88ba66b0ebb31f09fbd93f239c79ab25fc7f756
Author: klausspanderen <[email protected]>
Date: Wed, 17 Jan 2018 16:48:07 +0100
reduce eps for AndreasenHugeVolatilityAdapter to 1e-6
.../equityfx/andreasenhugevolatilityadapter.hpp | 2 +-
test-suite/andreasenhugevolatilityinterpl.cpp | 23 ++++++++++++----------
2 files changed, 14 insertions(+), 11 deletions(-)
commit 05185a389fce853e9e66755e6fa6a1ecbd8f45aa
Merge: 5c796e782 3f777cd8d
Author: Luigi Ballabio <[email protected]>
Date: Wed, 17 Jan 2018 16:43:58 +0100
Merge pull request #390.
commit 3f777cd8d0c4cdf4978ce2ddc571e92a42a1b0d6
Author: Luigi Ballabio <[email protected]>
Date: Wed, 17 Jan 2018 15:49:31 +0100
Add test cases.
test-suite/interpolations.cpp | 47 +++++++++++++++++++++++++++++++++++++++++++
test-suite/interpolations.hpp | 1 +
2 files changed, 48 insertions(+)
commit 5c796e7827bbdb0b405751ac79ba9b47eed4b032
Merge: b5737ac03 765f33217
Author: Luigi Ballabio <[email protected]>
Date: Wed, 17 Jan 2018 15:02:44 +0100
Merge pull request #393.
commit b5737ac03c5cc675b1f3f9d6eced63a28457afa2
Merge: 12d15c6e9 cf19443b0
Author: Luigi Ballabio <[email protected]>
Date: Wed, 17 Jan 2018 13:36:40 +0100
Merge pull request #391.
commit 765f33217b84f01e81e052ea210b4194a34eb1c7
Author: bmmay <[email protected]>
Date: Wed, 17 Jan 2018 11:15:06 +0100
avoid exception if default fixLegDayCounter is unknown
ql/instruments/makecapfloor.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 733963a2fe088255032820add9a4c484f5e41b89
Author: 刘一铭 <[email protected]>
Date: Tue, 16 Jan 2018 20:22:36 -0500
apply monotonity filter for FritschButland
ql/math/interpolations/cubicinterpolation.hpp | 13 +++++++++++--
1 file changed, 11 insertions(+), 2 deletions(-)
commit 12d15c6e91a7a7a0b171d9d5484d965af082dd08
Merge: 72f987990 c193bc2a2
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 Jan 2018 11:51:41 +0100
Merge pull request #347.
commit 72f9879900b637bfb618731ca66a061636534f95
Merge: b605d1731 dd956bd67
Author: Luigi Ballabio <[email protected]>
Date: Mon, 15 Jan 2018 15:20:07 +0100
Merge pull request #386.
commit dd956bd6737b951888f40f2cb83d1ebd8c7e727a
Author: Luigi Ballabio <[email protected]>
Date: Mon, 15 Jan 2018 14:58:50 +0100
Move helper function to anonymous namespace.
test-suite/inflation.cpp | 6 +++++-
test-suite/inflation.hpp | 6 ------
2 files changed, 5 insertions(+), 7 deletions(-)
commit b605d173103f043788798c9ca9b4d95f7628bfb4
Merge: d9352361f e31252503
Author: Luigi Ballabio <[email protected]>
Date: Mon, 15 Jan 2018 11:47:15 +0100
Merge pull request #388.
commit d9352361fa82400846d2c348adfd0d78e9a31205
Merge: 612027233 e9c7bcbcb
Author: Luigi Ballabio <[email protected]>
Date: Mon, 15 Jan 2018 11:23:30 +0100
Merge pull request #387.
commit cf19443b0d2db9280f9aae3ba5561050b29b2007
Author: francis <[email protected]>
Date: Sun, 14 Jan 2018 17:58:51 +0000
Fix CI failure due to unused variable
test-suite/inflationcpicapfloor.cpp | 2 --
1 file changed, 2 deletions(-)
commit 4baf818a4538dceafe683bf7d19962d330ebcbf5
Author: francis <[email protected]>
Date: Sun, 14 Jan 2018 15:43:46 +0000
Fix inconsistency with strike units on CPI cap/floor price surface
ql/experimental/inflation/cpicapfloortermpricesurface.hpp | 2 +-
test-suite/inflationcpicapfloor.cpp | 15 ++++-----------
2 files changed, 5 insertions(+), 12 deletions(-)
commit a294761c1ef7bd6cc323ef4b1490a54f41919c56
Author: francis <[email protected]>
Date: Sun, 14 Jan 2018 15:16:24 +0000
Add failing test to show issue with the price method
In the price method, strike k is compared with atm but units of
percent are assumed for strike k because of the way
CPICapFloorTermPriceSurface is set up.
test-suite/inflationcpicapfloor.cpp | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit e9ee6cd381fd7c61c922d63e2a2ba3855fe5b556
Author: francis <[email protected]>
Date: Sun, 14 Jan 2018 14:48:00 +0000
Show error with CPICapFloorTermPriceSurface construction
Strikes are fed in and treated as percent, e.g. 0.01 is 1. It leads to
error in unit test when look up prices with actual strike values.
test-suite/inflationcpicapfloor.cpp | 8 +++++++-
1 file changed, 7 insertions(+), 1 deletion(-)
commit 974ba432bac5a5d544e35617eff8642605d8209a
Author: 刘一铭 <[email protected]>
Date: Sat, 13 Jan 2018 00:26:16 -0500
Resolve NaN issue when data to fit is indentical
ql/math/interpolations/cubicinterpolation.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e31252503305a62c6764a5785e4fd76bec175af2
Author: Guillaume Horel <[email protected]>
Date: Fri, 12 Jan 2018 13:05:09 -0500
Do not error when using CDS2015 rule
the test was already amended in the pure running cds case.
ql/instruments/creditdefaultswap.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit e9c7bcbcb611b5703b9f768e465e9ea36f361650
Author: Pepe <[email protected]>
Date: Thu, 11 Jan 2018 22:04:34 +0100
More appropriately use NullCalendar instead, thanks Luigi
ql/pricingengines/swap/cvaswapengine.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 462581632bcf378fd62d544b43ad88ba0ba45ba7
Author: Pepe <[email protected]>
Date: Thu, 11 Jan 2018 19:17:57 +0100
Fixes bug: When the original ctpty curve has no calendar (fix date) calls to reference date calculation fail. Any calendar will do since the intended effect is to have a TS that has zero default probability at all times.
Seems silly to use HR rather than probabilities for this, will change it.
ql/pricingengines/swap/cvaswapengine.cpp | 7 ++++---
1 file changed, 4 insertions(+), 3 deletions(-)
commit 062f78d2372b5cedb3c7186a5316712666b3a5b3
Author: francis <[email protected]>
Date: Thu, 11 Jan 2018 10:48:21 +0000
Fix compilation errors (warnings treated as errors)
test-suite/inflation.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 8af481ae26d45aa7c5d320fa812295bae68ca91a
Author: francis <[email protected]>
Date: Thu, 11 Jan 2018 10:07:25 +0000
Avoid changing seasonalityCorrection signature unless necessary
ql/termstructures/inflation/seasonality.cpp | 17 +++++------------
ql/termstructures/inflation/seasonality.hpp | 5 +----
2 files changed, 6 insertions(+), 16 deletions(-)
commit e33cd9d98abab7b31e0668732460cd3cec5cb79f
Author: francis <[email protected]>
Date: Thu, 11 Jan 2018 00:43:46 +0000
Fix seasonality for zero inflation curves.
The fix is checked in unit tests for an inflation index with and without
interpolation.
The fix is required so that when you take the ratio of projected
inflation fixings from a zero inflation term structure, with and without
seasonality, that you get back the input seasonalities. The unit test
was not picking this up because the tolerance of 0.01 for comparing
index fixings was too large.
ql/termstructures/inflation/seasonality.cpp | 26 ++-
ql/termstructures/inflation/seasonality.hpp | 5 +-
test-suite/inflation.cpp | 267 +++++++++++++---------------
test-suite/inflation.hpp | 6 +
4 files changed, 150 insertions(+), 154 deletions(-)
commit 4c63e9fb894042bd1df24abf245ba9fecb9290a2
Author: klausspanderen <[email protected]>
Date: Tue, 9 Jan 2018 20:33:43 +0100
moved code from update method to performCalculations
.../finitedifferences/operators/fdmhestonop.cpp | 3 +-
.../finitedifferences/operators/fdmhestonop.hpp | 1 -
.../equityfx/andreasenhugelocalvoladapter.cpp | 8 +--
.../equityfx/andreasenhugevolatilityinterpl.cpp | 57 ++++++++++------------
.../equityfx/andreasenhugevolatilityinterpl.hpp | 8 ++-
5 files changed, 34 insertions(+), 43 deletions(-)
commit 612027233c953cfbbe57c3f2b0537ce0b54b28dc
Merge: 0f7d08de4 369fe1086
Author: Luigi Ballabio <[email protected]>
Date: Tue, 9 Jan 2018 12:27:07 +0100
Merge pull request #384.
commit 0f7d08de4918055f8198ca341b2f56c4aa30d2c8
Merge: 9d597afdf 8fc5b23b5
Author: Luigi Ballabio <[email protected]>
Date: Tue, 9 Jan 2018 11:43:43 +0100
Merge pull request #382.
commit 8fc5b23b580485368a460d4f66fe001d82fac23f
Author: Luigi Ballabio <[email protected]>
Date: Tue, 9 Jan 2018 11:13:18 +0100
Add test case for the integration fix.
test-suite/variancegamma.cpp | 46 ++++++++++++++++++++++++++++++++++++++++++++
test-suite/variancegamma.hpp | 2 ++
2 files changed, 48 insertions(+)
commit 369fe1086334dfe426c9ef1ad4330bbf03762c13
Author: Peter Caspers <[email protected]>
Date: Tue, 9 Jan 2018 10:35:39 +0100
no empty namespace in header
ql/experimental/inflation/cpicapfloortermpricesurface.hpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 9d597afdfdb7593531104265c1a7b764857785a3
Merge: 969255af1 567f66b47
Author: Luigi Ballabio <[email protected]>
Date: Tue, 9 Jan 2018 09:23:32 +0100
Merge pull request #383.
commit 518db528e481b80d74ecf03e8ce5d2523130bad0
Author: Peter Caspers <[email protected]>
Date: Mon, 8 Jan 2018 19:42:17 +0100
avoid c++11
.../inflation/cpicapfloortermpricesurface.hpp | 18 ++++++++++--------
1 file changed, 10 insertions(+), 8 deletions(-)
commit 48e868e103a484f6a24886c8c0aa3faf810c601b
Author: Peter Caspers <[email protected]>
Date: Mon, 8 Jan 2018 19:24:26 +0100
handle case of overlapping strike regions for caps and floors
.../inflation/cpicapfloortermpricesurface.hpp | 189 ++++++++++-----------
1 file changed, 88 insertions(+), 101 deletions(-)
commit 567f66b472e4d6bea4653d3b1ae266e118f8f423
Author: Luigi Ballabio <[email protected]>
Date: Mon, 8 Jan 2018 15:25:48 +0100
Add missing constructor.
ql/experimental/credit/onefactoraffinesurvival.hpp | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit 969255af1a68bab51e964b7f6850156284d13789
Merge: a7e0eab20 83bd07ea5
Author: Luigi Ballabio <[email protected]>
Date: Mon, 8 Jan 2018 10:39:39 +0100
Merge pull request #381.
commit 0aa6c7c12505e119a5c1d950ec6f71927a32fec0
Author: Roy Zywina <[email protected]>
Date: Sun, 7 Jan 2018 22:29:46 -0500
fixed crash in analytic VarianceGamma engine
occasionaly there is a singularity at 0 and the simpson integrtor
couldnt handle it
.../variancegamma/analyticvariancegammaengine.cpp | 29 ++++++++++++++++------
.../variancegamma/analyticvariancegammaengine.hpp | 4 ++-
2 files changed, 24 insertions(+), 9 deletions(-)
commit 83bd07ea54e4ab336c94123b989474a9bfdf4333
Author: Joshua Ulrich <[email protected]>
Date: Sun, 7 Jan 2018 14:07:39 -0600
Put builddir before srcdir in AM_CPPFLAGS
The top_srcdir/ql/config.hpp would be found before the
top_builddir/ql/config.hpp when srcdir is before builddir in the
include path and QuantLib is built outside the source tree.
Fixes #379.
Examples/BasketLosses/Makefile.am | 2 +-
Examples/BermudanSwaption/Makefile.am | 2 +-
Examples/Bonds/Makefile.am | 2 +-
Examples/CDS/Makefile.am | 2 +-
Examples/CVAIRS/Makefile.am | 2 +-
Examples/CallableBonds/Makefile.am | 2 +-
Examples/ConvertibleBonds/Makefile.am | 2 +-
Examples/DiscreteHedging/Makefile.am | 2 +-
Examples/EquityOption/Makefile.am | 2 +-
Examples/FRA/Makefile.am | 2 +-
Examples/FittedBondCurve/Makefile.am | 2 +-
Examples/Gaussian1dModels/Makefile.am | 2 +-
Examples/GlobalOptimizer/Makefile.am | 2 +-
Examples/LatentModel/Makefile.am | 2 +-
Examples/Makefile.am | 2 +-
Examples/MarketModels/Makefile.am | 2 +-
Examples/MultidimIntegral/Makefile.am | 2 +-
Examples/Replication/Makefile.am | 2 +-
Examples/Repo/Makefile.am | 2 +-
Examples/Swap/Makefile.am | 2 +-
ql/Makefile.am | 2 +-
ql/cashflows/Makefile.am | 2 +-
ql/currencies/Makefile.am | 2 +-
ql/experimental/Makefile.am | 2 +-
ql/experimental/amortizingbonds/Makefile.am | 2 +-
ql/experimental/averageois/Makefile.am | 2 +-
ql/experimental/barrieroption/Makefile.am | 2 +-
ql/experimental/callablebonds/Makefile.am | 2 +-
ql/experimental/catbonds/Makefile.am | 2 +-
ql/experimental/commodities/Makefile.am | 2 +-
ql/experimental/convertiblebonds/Makefile.am | 2 +-
ql/experimental/coupons/Makefile.am | 2 +-
ql/experimental/credit/Makefile.am | 2 +-
ql/experimental/exoticoptions/Makefile.am | 2 +-
ql/experimental/finitedifferences/Makefile.am | 2 +-
ql/experimental/fx/Makefile.am | 2 +-
ql/experimental/inflation/Makefile.am | 2 +-
ql/experimental/lattices/Makefile.am | 2 +-
ql/experimental/math/Makefile.am | 2 +-
ql/experimental/mcbasket/Makefile.am | 2 +-
ql/experimental/models/Makefile.am | 2 +-
ql/experimental/processes/Makefile.am | 2 +-
ql/experimental/risk/Makefile.am | 2 +-
ql/experimental/shortrate/Makefile.am | 2 +-
ql/experimental/swaptions/Makefile.am | 2 +-
ql/experimental/termstructures/Makefile.am | 2 +-
ql/experimental/variancegamma/Makefile.am | 2 +-
ql/experimental/varianceoption/Makefile.am | 2 +-
ql/experimental/volatility/Makefile.am | 2 +-
ql/indexes/Makefile.am | 2 +-
ql/indexes/ibor/Makefile.am | 2 +-
ql/indexes/inflation/Makefile.am | 2 +-
ql/indexes/swap/Makefile.am | 2 +-
ql/instruments/Makefile.am | 2 +-
ql/instruments/bonds/Makefile.am | 2 +-
ql/legacy/Makefile.am | 2 +-
ql/legacy/libormarketmodels/Makefile.am | 2 +-
ql/math/Makefile.am | 2 +-
ql/math/copulas/Makefile.am | 2 +-
ql/math/distributions/Makefile.am | 2 +-
ql/math/integrals/Makefile.am | 2 +-
ql/math/interpolations/Makefile.am | 2 +-
ql/math/matrixutilities/Makefile.am | 2 +-
ql/math/ode/Makefile.am | 2 +-
ql/math/optimization/Makefile.am | 2 +-
ql/math/randomnumbers/Makefile.am | 2 +-
ql/math/solvers1d/Makefile.am | 2 +-
ql/math/statistics/Makefile.am | 2 +-
ql/methods/Makefile.am | 2 +-
ql/methods/finitedifferences/Makefile.am | 2 +-
ql/methods/finitedifferences/meshers/Makefile.am | 2 +-
ql/methods/finitedifferences/operators/Makefile.am | 2 +-
ql/methods/finitedifferences/schemes/Makefile.am | 2 +-
ql/methods/finitedifferences/solvers/Makefile.am | 2 +-
ql/methods/finitedifferences/stepconditions/Makefile.am | 2 +-
ql/methods/finitedifferences/utilities/Makefile.am | 2 +-
ql/methods/lattices/Makefile.am | 2 +-
ql/methods/montecarlo/Makefile.am | 2 +-
ql/models/Makefile.am | 2 +-
ql/models/equity/Makefile.am | 2 +-
ql/models/marketmodels/Makefile.am | 2 +-
ql/models/marketmodels/browniangenerators/Makefile.am | 2 +-
ql/models/marketmodels/callability/Makefile.am | 2 +-
ql/models/marketmodels/correlations/Makefile.am | 2 +-
ql/models/marketmodels/curvestates/Makefile.am | 2 +-
ql/models/marketmodels/driftcomputation/Makefile.am | 2 +-
ql/models/marketmodels/evolvers/Makefile.am | 2 +-
ql/models/marketmodels/evolvers/volprocesses/Makefile.am | 2 +-
ql/models/marketmodels/models/Makefile.am | 2 +-
ql/models/marketmodels/pathwisegreeks/Makefile.am | 2 +-
ql/models/marketmodels/products/Makefile.am | 2 +-
ql/models/marketmodels/products/multistep/Makefile.am | 2 +-
ql/models/marketmodels/products/onestep/Makefile.am | 2 +-
ql/models/marketmodels/products/pathwise/Makefile.am | 2 +-
ql/models/shortrate/Makefile.am | 2 +-
ql/models/shortrate/calibrationhelpers/Makefile.am | 2 +-
ql/models/shortrate/onefactormodels/Makefile.am | 2 +-
ql/models/shortrate/twofactormodels/Makefile.am | 2 +-
ql/models/volatility/Makefile.am | 2 +-
ql/patterns/Makefile.am | 2 +-
ql/pricingengines/Makefile.am | 2 +-
ql/pricingengines/asian/Makefile.am | 2 +-
ql/pricingengines/barrier/Makefile.am | 2 +-
ql/pricingengines/basket/Makefile.am | 2 +-
ql/pricingengines/bond/Makefile.am | 2 +-
ql/pricingengines/capfloor/Makefile.am | 2 +-
ql/pricingengines/cliquet/Makefile.am | 2 +-
ql/pricingengines/credit/Makefile.am | 2 +-
ql/pricingengines/forward/Makefile.am | 2 +-
ql/pricingengines/inflation/Makefile.am | 2 +-
ql/pricingengines/lookback/Makefile.am | 2 +-
ql/pricingengines/quanto/Makefile.am | 2 +-
ql/pricingengines/swap/Makefile.am | 2 +-
ql/pricingengines/swaption/Makefile.am | 2 +-
ql/pricingengines/vanilla/Makefile.am | 2 +-
ql/processes/Makefile.am | 2 +-
ql/quotes/Makefile.am | 2 +-
ql/termstructures/Makefile.am | 2 +-
ql/termstructures/credit/Makefile.am | 2 +-
ql/termstructures/inflation/Makefile.am | 2 +-
ql/termstructures/volatility/Makefile.am | 2 +-
ql/termstructures/volatility/capfloor/Makefile.am | 2 +-
ql/termstructures/volatility/equityfx/Makefile.am | 2 +-
ql/termstructures/volatility/inflation/Makefile.am | 2 +-
ql/termstructures/volatility/optionlet/Makefile.am | 2 +-
ql/termstructures/volatility/swaption/Makefile.am | 2 +-
ql/termstructures/yield/Makefile.am | 2 +-
ql/time/Makefile.am | 2 +-
ql/time/calendars/Makefile.am | 2 +-
ql/time/daycounters/Makefile.am | 2 +-
ql/utilities/Makefile.am | 2 +-
test-suite/Makefile.am | 2 +-
132 files changed, 132 insertions(+), 132 deletions(-)
commit 2d5ba821822c50c03de0bb3dd38dc6db6e131f38
Author: klausspanderen <[email protected]>
Date: Fri, 5 Jan 2018 23:22:09 +0100
removed old include statement
test-suite/interpolations.cpp | 1 -
1 file changed, 1 deletion(-)
commit c99a3fcdf7bb054271fc635ab5153f4f2009f617
Author: klausspanderen <[email protected]>
Date: Fri, 5 Jan 2018 23:03:32 +0100
- AndreasHugeVolatilityInterpl: allow for moving reference date
- replace PiecewiseConstantInterpolation with BackwardFlatInterpolation
ql/math/interpolations/Makefile.am | 1 -
ql/math/interpolations/all.hpp | 1 -
.../interpolations/backwardflatinterpolation.hpp | 9 +-
.../piecewiseconstantinterpolation.hpp | 118 ---------------------
ql/processes/blackscholesprocess.cpp | 8 +-
ql/processes/blackscholesprocess.hpp | 1 +
.../equityfx/andreasenhugelocalvoladapter.cpp | 18 +++-
.../equityfx/andreasenhugelocalvoladapter.hpp | 7 +-
.../equityfx/andreasenhugevolatilityadapter.cpp | 21 ++--
.../equityfx/andreasenhugevolatilityadapter.hpp | 7 +-
.../equityfx/andreasenhugevolatilityinterpl.cpp | 18 ++--
test-suite/andreasenhugevolatilityinterpl.cpp | 76 +++++++++++++
test-suite/andreasenhugevolatilityinterpl.hpp | 1 +
test-suite/interpolations.cpp | 78 +-------------
test-suite/interpolations.hpp | 3 +-
15 files changed, 140 insertions(+), 227 deletions(-)
commit bbd5e2398e99c0246711a7a37ce524571a7bbe0a
Author: klausspanderen <[email protected]>
Date: Fri, 5 Jan 2018 13:37:11 +0100
declare constructor with 1 argument "explicit"
ql/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2e2ac097f636235cdefcf7219a70a082de04067b
Author: klausspanderen <[email protected]>
Date: Fri, 5 Jan 2018 12:06:25 +0100
added Andreasen-Huge volatility interpolation and local volatility
calibration
ql/processes/blackscholesprocess.cpp | 22 +-
ql/processes/blackscholesprocess.hpp | 12 +-
.../equityfx/andreasenhugelocalvoladapter.cpp | 50 ++
.../equityfx/andreasenhugelocalvoladapter.hpp | 54 ++
.../equityfx/andreasenhugevolatilityadapter.cpp | 65 ++
.../equityfx/andreasenhugevolatilityadapter.hpp | 55 ++
.../equityfx/andreasenhugevolatilityinterpl.cpp | 668 +++++++++++++++
.../equityfx/andreasenhugevolatilityinterpl.hpp | 161 ++++
test-suite/andreasenhugevolatilityinterpl.cpp | 950 +++++++++++++++++++++
test-suite/andreasenhugevolatilityinterpl.hpp | 47 +
test-suite/quantlibbenchmark.cpp | 12 +-
test-suite/quantlibtestsuite.cpp | 301 +++----
12 files changed, 2236 insertions(+), 161 deletions(-)
commit a7e0eab20014587e9f7d9749eab3700a866bf361
Merge: 53af24d37 8221c8e95
Author: Luigi Ballabio <[email protected]>
Date: Thu, 4 Jan 2018 09:48:39 +0100
Merge pull request #378.
commit 8221c8e95ea5b08cd6281554d6339a35e34aacf5
Author: Patrick Lewis <[email protected]>
Date: Wed, 3 Jan 2018 19:42:51 -0800
Update documentation for Calendar::isEndOfMonth
ql/time/calendar.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 53af24d37ed47c0b910ee4a128a421254a08c82f
Merge: 2201ed8fd 00af227f0
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Dec 2017 16:05:33 +0100
Merge pull request #285.
commit 00af227f0988cb37dd7ccf52da0f0fd582024226
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Dec 2017 15:03:01 +0100
Initialize spread explicitly.
ql/models/shortrate/onefactormodel.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 19e1c753191312e037cb94404df5757debcc9302
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Dec 2017 09:50:03 +0100
Explicitly enable ccache.
.travis.yml | 6 +++++-
1 file changed, 5 insertions(+), 1 deletion(-)
commit cde3c5ad226acf6b5e00e284a125a8d5166938c8
Merge: a3c335ff6 e873e9044
Author: Luigi Ballabio <[email protected]>
Date: Wed, 20 Dec 2017 18:36:49 +0100
Merge pull request #350.
commit a3c335ff61d7225d3858c1e8d277e9c4a9274b70
Merge: 93f295406 fc3c34d9c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 20 Dec 2017 12:34:31 +0100
Merge pull request #370.
commit f952cbb6b7c838dbd439266d227fb1007096c072
Author: Bojan Nikolic <[email protected]>
Date: Wed, 20 Dec 2017 00:14:58 +0000
Make NPVSpreadHelper constructor explicit
ql/experimental/callablebonds/callablebond.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3f7ce0f8e471ec50e6d06523a18cb1c1c3e3ef0c
Author: Bojan Nikolic <[email protected]>
Date: Tue, 19 Dec 2017 14:50:56 +0000
Update according to PR feedback
- Renamed to engine function to calculateWithSpread and made private
- The design of helper classes now much closer to ImpliedVolHelper
- const Handle<> rather than relinkable
- Spread rather than double
ql/experimental/callablebonds/callablebond.cpp | 92 ++++++++++------------
ql/experimental/callablebonds/callablebond.hpp | 23 ++++--
.../callablebonds/treecallablebondengine.cpp | 18 ++---
.../callablebonds/treecallablebondengine.hpp | 2 +-
ql/models/shortrate/onefactormodel.hpp | 4 +-
5 files changed, 68 insertions(+), 71 deletions(-)
commit 93f295406f077f60fa488c615bc723bd1592343d
Merge: 4bd609a90 b0ccb50fa
Author: Luigi Ballabio <[email protected]>
Date: Tue, 19 Dec 2017 16:28:12 +0100
Merge pull request #368.
commit fc3c34d9c33a7e33f4a1f52f4333e57c47bbb605
Author: klausspanderen <[email protected]>
Date: Tue, 19 Dec 2017 16:01:53 +0100
make the parameter order more explicit
ql/experimental/models/hestonslvfdmmodel.hpp | 6 +++---
test-suite/hestonslvmodel.cpp | 30 +++++++++++-----------------
test-suite/squarerootclvmodel.cpp | 2 +-
3 files changed, 16 insertions(+), 22 deletions(-)
commit 4bd609a9040d9e4d6fa7320024febcbda94660be
Merge: ba8744daf 674ebd57c
Author: Luigi Ballabio <[email protected]>
Date: Tue, 19 Dec 2017 09:45:06 +0100
Merge pull request #369.
commit 272e53e68bb9218925ad0872281af8e23bf4dca7
Author: klausspanderen <[email protected]>
Date: Mon, 18 Dec 2017 22:09:19 +0100
added Rannacher smoothing steps for Heston stochastic local volatility
calibration
.../finitedifferences/fdmhestonfwdop.cpp | 2 +-
ql/experimental/models/hestonslvfdmmodel.cpp | 7 ++++-
ql/experimental/models/hestonslvfdmmodel.hpp | 3 +++
test-suite/hestonslvmodel.cpp | 30 +++++++++++++---------
4 files changed, 28 insertions(+), 14 deletions(-)
commit ba8744daf973405f5a7a4f4fd50f1bc7fb828273
Merge: 2838f54ca 43ae5dc2f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 18 Dec 2017 16:10:55 +0100
Merge pull request #367.
commit 674ebd57c39659192255fec533bd0283f47a700f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 18 Dec 2017 13:46:34 +0100
Add clang 4.0 to build matrix.
.travis.yml | 4 ++++
1 file changed, 4 insertions(+)
commit b0ccb50fa32e02282f61826ea614da2ece839e77
Author: Bojan Nikolic <[email protected]>
Date: Mon, 18 Dec 2017 12:11:25 +0000
Correct RendistatoCalculator declaration
Should inherit publicly from Lazy Object
ql/instruments/bonds/btp.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 350e8c713716a0c683fd2088878ccef3841ffa2a
Author: Luigi Ballabio <[email protected]>
Date: Mon, 18 Dec 2017 10:33:59 +0100
Avoid CC and CXX being redefined.
.travis.yml | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit a352df6d4a58ee55ed05a8482899a6b0a249de23
Author: Luigi Ballabio <[email protected]>
Date: Mon, 18 Dec 2017 10:29:06 +0100
Define compiler and use ccache explicitly.
.travis.yml | 6 +++++-
1 file changed, 5 insertions(+), 1 deletion(-)
commit 43ae5dc2ff827602996cbcf22695b1cbf26036ae
Merge: 3c95fe13a 2838f54ca
Author: Luigi Ballabio <[email protected]>
Date: Mon, 18 Dec 2017 10:08:12 +0100
Sync with master and resolve conflicts.
commit 3c95fe13a7d6350a21466f1a12d1c8932796fe83
Author: Pepe <[email protected]>
Date: Sat, 16 Dec 2017 19:17:14 +0100
Update LatentModel.cpp
Avoid warnings
Examples/LatentModel/LatentModel.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit db1dc7b1ff43eccb4a90dc35fac0f74108d1b936
Author: Pepe <[email protected]>
Date: Sat, 16 Dec 2017 19:15:29 +0100
Update BasketLosses.cpp
Avoid warnings
Examples/BasketLosses/BasketLosses.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 050ae0dee5f9e7f274f733c1fc32fd746a41b99f
Author: Pepe <[email protected]>
Date: Sat, 16 Dec 2017 19:12:52 +0100
Update randomlosslatentmodel.hpp
Avoid warnings
ql/experimental/credit/randomlosslatentmodel.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 54be4d116c5ce0c1fdee1360e1649cb03f38e5ce
Author: Pepe <[email protected]>
Date: Sat, 16 Dec 2017 19:10:31 +0100
Update randomdefaultlatentmodel.hpp
Avoid warnings
ql/experimental/credit/randomdefaultlatentmodel.hpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 2838f54ca68a35382ab337838d28a12cef387a4a
Merge: acc24fadc e20df6871
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Dec 2017 15:25:42 +0100
Merge pull request #337.
commit e20df6871e284386b377c911ad19d1a1400f50cb
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Dec 2017 15:25:20 +0100
Update project and header files.
QuantLib_vc9.vcproj | 4 ++++
ql/termstructures/yield/all.hpp | 1 +
2 files changed, 5 insertions(+)
commit acc24fadcb938d586fa719f42437f0fcca8921a4
Merge: fca71084c 431f9e6fc
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Dec 2017 11:28:18 +0100
Merge pull request #366.
commit fca71084c3bd3b7abdb05ee0077544cd2a9aa242
Merge: d053752a3 faca3f838
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Dec 2017 11:25:52 +0100
Merge pull request #358.
commit 431f9e6fc14bc5733ce8db8ac7adf5e3a0ac845a
Author: Roy Zywina <[email protected]>
Date: Sun, 10 Dec 2017 12:07:06 -0500
Entire library now compliant with openmp 2.0
Compiles with openmp enabled in VS2015.
ql/experimental/volatility/zabrsmilesection.hpp | 4 ++--
ql/methods/finitedifferences/operators/triplebandlinearop.cpp | 4 ++--
ql/methods/lattices/lattice.hpp | 4 ++--
ql/pricingengines/swaption/gaussian1dswaptionengine.cpp | 2 +-
4 files changed, 7 insertions(+), 7 deletions(-)
commit a1b97a12b1207cb17a24dafa2f74ff33a0d2726e
Author: Roy Zywina <[email protected]>
Date: Sat, 9 Dec 2017 19:20:53 -0500
integer in '#pragma omp for' loop must be signed
please see http://www.openmp.org/wp-content/uploads/cspec20.pdf page 12.
Only MSVC seems to enforce this. I've only commented out the ones in
.hpp files. there is one remaining instance in
gaussian1dswaptionengine.cpp, which works fine as I only compile
QuantLib with default options.
ql/experimental/volatility/zabrsmilesection.hpp | 2 +-
ql/methods/lattices/lattice.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit d053752a31ff3f3f12bc2dd248da420e01c6421c
Merge: bcea852ba 662e801a1
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Dec 2017 15:42:27 +0100
Merge pull request #357.
commit bcea852badc8469df0b42393251f5114aa1ae44c
Merge: 4919fbace 69f767ccb
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Dec 2017 14:36:49 +0100
Merge pull request #330.
commit 69f767ccbd9e645d822fc91d360fe10bbff9aa48
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Dec 2017 12:52:13 +0100
Add cmake macro file to distribution.
Makefile.am | 3 +++
1 file changed, 3 insertions(+)
commit 111a6ce2ba3224ca4df4fba9026eeb40007ef8ef
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Dec 2017 12:39:27 +0100
Select default build type on single-configuration builds.