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ChangeLog.txt
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commit ede2c4b995b543b1e89ff028682f14ec0cff829f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.37 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 7001df124864e7de9572f6708774b88037a0c98f
Author: Luigi Ballabio <[email protected]>
Date: Fri, 10 Jan 2025 17:59:30 +0100
Use fallthrough attribute instead of comment
ql/time/schedule.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 806a6306419732bfadb248f2faa1d43655fd02be
Author: Luigi Ballabio <[email protected]>
Date: Fri, 10 Jan 2025 17:56:52 +0100
Make a few variables constexpr
test-suite/basketoption.cpp | 6 +++---
test-suite/gaussianquadratures.cpp | 3 ++-
test-suite/integrals.cpp | 7 ++++---
test-suite/matrices.cpp | 2 +-
4 files changed, 10 insertions(+), 8 deletions(-)
commit 38d7426c1014ba552f7e49a25253217cd56e59d9
Author: Luigi Ballabio <[email protected]>
Date: Wed, 15 Jan 2025 23:00:56 +0100
Update news
Docs/pages/history.docs | 7 +++++--
News.md | 9 ++++++---
2 files changed, 11 insertions(+), 5 deletions(-)
commit cd8e69c0b46e00e719a951d91d79d003910f1d04
Merge: b5ab596a1 c3c27e28f
Author: Luigi Ballabio <[email protected]>
Date: Fri, 17 Jan 2025 11:45:01 +0100
Move transformation used in GlobalBootstrap into Traits (#2135)
commit c3c27e28fa1f075de0b0907fcdd910b004ca88ce
Author: Eugene Toder <[email protected]>
Date: Wed, 8 Jan 2025 16:12:44 -0500
Move transformation used in GlobalBootstrap into Traits
Also, use exp instead of atan transformation for discount factors. This
is an improvement on #2120 based on these observations:
* Rates-based traits don't need any constraints in the optimization, so
we don't need any transformation with them. This removes unnecessary
computations.
* Discount factors are only bounded on one side (have to be positive),
so instead of estimating a max value to use atan, we can simply use
exp. This is faster and uses fewer magic numbers.
Another issue with atan is that it changes the gradients too much when
the value is far from the middle of the range. This pushes
optimization away from the correct solution when rates are low. This
makes it hard to find value of maxDF that works for both very low and
very high rates.
ql/termstructures/globalbootstrap.hpp | 24 ++++-------------
ql/termstructures/yield/bootstraptraits.hpp | 41 ++++++++++++++---------------
2 files changed, 25 insertions(+), 40 deletions(-)
commit b5ab596a1ea68171fe402a3895fbd4372ceaf935
Author: Luigi Ballabio <[email protected]>
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.37-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit f7a7f693c2b559c16d8e47dfdcd3d52a6a55e3da
Author: Luigi Ballabio <[email protected]>
Date: Tue, 7 Jan 2025 17:25:24 +0100
Update news and changelog
ChangeLog.txt | 2759 +++++++++++-------------
Contributors.txt | 1 +
Docs/pages/history.docs | 154 +-
News.md | 249 +--
ql/experimental/commodities/commodityindex.hpp | 2 +-
5 files changed, 1538 insertions(+), 1627 deletions(-)
commit 6a513c7975dd1b31a03e46fee910ddf4c67fa05b
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 7 Jan 2025 08:05:40 +0000
Fix inclusions of ql headers in double quotes
test-suite/period.cpp | 2 +-
test-suite/timegrid.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 32d42fe38b13e2fb90152675aaf2c2e58e3f343c
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 7 Jan 2025 07:11:49 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 59e0ae1da5dcb3f4a080e999255f8b14043ad988
Author: Luigi Ballabio <[email protected]>
Date: Mon, 6 Jan 2025 16:57:36 +0100
Add workflow to detect inclusions in double quotes
.github/workflows/includes.yml | 22 ++++++++++++++++++++++
1 file changed, 22 insertions(+)
commit 541aa26d79f5d7f6bc735611a8981bc881659eab
Merge: fec2aa047 cf76bc070
Author: Luigi Ballabio <[email protected]>
Date: Tue, 7 Jan 2025 08:11:33 +0100
added Choi Asian engine (#2129)
commit cf76bc0701c92f3130565425f6703e76a09dcced
Author: klaus spanderen <[email protected]>
Date: Mon, 6 Jan 2025 19:53:31 +0100
added reference
ql/pricingengines/asian/choiasianengine.hpp | 13 ++++++++++---
1 file changed, 10 insertions(+), 3 deletions(-)
commit 81af7f03ed894e1985764ab4898de45046c1e42e
Author: klaus spanderen <[email protected]>
Date: Sun, 5 Jan 2025 19:35:12 +0100
fixed typo
QuantLib.vcxproj.filters | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8b7a7aa46a96c36b877c280d9a79ba16b76afbfe
Author: klaus spanderen <[email protected]>
Date: Sun, 5 Jan 2025 19:33:47 +0100
fixed typo
QuantLib.vcxproj.filters | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit c751cbcc2322eba6ab70a07271c0db0bb62c4c80
Author: klaus spanderen <[email protected]>
Date: Sun, 5 Jan 2025 19:22:43 +0100
fixed typo
QuantLib.vcxproj | 4 ++--
ql/pricingengines/asian/choiasianengine.hpp | 3 +--
2 files changed, 3 insertions(+), 4 deletions(-)
commit 2ebd565a037ad6e257f73a364543fb48ae6a2e85
Author: klaus spanderen <[email protected]>
Date: Sun, 5 Jan 2025 17:56:52 +0100
fixed typo
ql/pricingengines/asian/choiasianengine.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3f679f6e4c32c60bcbf03f04b05db967029d626f
Author: klaus spanderen <[email protected]>
Date: Sun, 5 Jan 2025 17:27:24 +0100
added Choi Asian Option engine
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +
ql/CMakeLists.txt | 2 +
ql/pricingengines/asian/Makefile.am | 2 +
ql/pricingengines/asian/all.hpp | 1 +
ql/pricingengines/asian/choiasianengine.cpp | 168 +++++++++++++
ql/pricingengines/asian/choiasianengine.hpp | 59 +++++
.../asian/fdblackscholesasianengine.hpp | 2 +-
ql/time/daycounters/yearfractiontodate.cpp | 2 +-
test-suite/asianoptions.cpp | 278 +++++++++++++++++++--
10 files changed, 502 insertions(+), 20 deletions(-)
commit fec2aa047c36eac8bb2a4429974cf36633388288
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Fri, 3 Jan 2025 11:56:07 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 954bf238d30c744a6c010244b37df095d925e20a
Author: Luigi Ballabio <[email protected]>
Date: Fri, 3 Jan 2025 10:04:23 +0100
Update Boost download URLs
.github/workflows/cmake.yml | 21 ++++++++++++---------
.github/workflows/msvc-all-configs.yml | 2 +-
.github/workflows/msvc-analysis.yml | 7 ++++---
.github/workflows/msvc-nondefault.yml | 2 +-
.github/workflows/msvc.yml | 2 +-
dockerfiles/ci.Dockerfile | 2 +-
6 files changed, 20 insertions(+), 16 deletions(-)
commit 801e6090e93abfcf21f7b1888c3b64edb9b18e1c
Merge: fd9d01162 4abf6c64d
Author: Luigi Ballabio <[email protected]>
Date: Thu, 2 Jan 2025 16:37:17 +0100
Add President Carter's funeral on 2025-Jan-09 (#2127)
commit fd9d0116239eecfe4c31401693243ca2daece140
Merge: e5c4014b1 c76169b6e
Author: Luigi Ballabio <[email protected]>
Date: Thu, 2 Jan 2025 16:34:56 +0100
deal with removable singularity (#2126)
commit 4abf6c64d1593e7f208f39248ed8db38cf3e5e0e
Author: Dirk Eddelbuettel <[email protected]>
Date: Mon, 30 Dec 2024 16:53:25 -0600
Remove President Carter funeral from Govm Bond Mkt holiday
Likely going to be a half-day, and prior ones were not marked
ql/time/calendars/unitedstates.cpp | 6 ++----
1 file changed, 2 insertions(+), 4 deletions(-)
commit c3abd9fcc24be4ed539685354a53bd87b3b7cefa
Author: Dirk Eddelbuettel <[email protected]>
Date: Mon, 30 Dec 2024 09:25:31 -0600
Add President Carter's funeral on 2025-Jan-09
ql/time/calendars/unitedstates.cpp | 13 +++++++++----
1 file changed, 9 insertions(+), 4 deletions(-)
commit c76169b6e7f1e411593f471c3756a5efb2179f1b
Author: klaus spanderen <[email protected]>
Date: Mon, 30 Dec 2024 13:22:30 +0100
formatting
test-suite/basketoption.cpp | 48 ++++++++++++++++++++++-----------------------
1 file changed, 24 insertions(+), 24 deletions(-)
commit cf28d744943ffa49ddbe21022dce76f31364715c
Author: klaus spanderen <[email protected]>
Date: Mon, 30 Dec 2024 11:39:48 +0100
formatting
ql/pricingengines/basket/operatorsplittingspreadengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a5b388ff4d7161b94861a3ca567a1e7072839a87
Author: klaus spanderen <[email protected]>
Date: Mon, 30 Dec 2024 11:38:56 +0100
formatting
.../basket/operatorsplittingspreadengine.cpp | 40 +++++++++++-----------
test-suite/basketoption.cpp | 5 +--
2 files changed, 21 insertions(+), 24 deletions(-)
commit ef6e214690cae8a559909415a1f2fdff36cc1427
Author: klaus spanderen <[email protected]>
Date: Mon, 23 Dec 2024 23:39:26 +0100
first light
.../basket/operatorsplittingspreadengine.cpp | 44 +++++++++++-----
test-suite/basketoption.cpp | 59 ++++++++++++++++++++++
2 files changed, 91 insertions(+), 12 deletions(-)
commit e5c4014b10b8dc4cf4bf940cea82aea03bc16d8d
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 22 Dec 2024 01:31:54 +0000
Automated fixes by clang-tidy
test-suite/calendars.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8ffa50714edaa6b10dea906e45200f079cbe1d48
Merge: 324b39135 ac0a94177
Author: Luigi Ballabio <[email protected]>
Date: Tue, 17 Dec 2024 11:11:43 +0100
Add Wellington and Auckland variants for New Zealand calendar (#2124)
commit ac0a941774c1a2cfeea935a6da347c7e90b8dc88
Author: Luigi Ballabio <[email protected]>
Date: Tue, 17 Dec 2024 09:29:46 +0100
Explicit constructor
ql/time/calendars/newzealand.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 54580b9808a0869ce5aad6cd65d4d30d9d8be074
Author: Luigi Ballabio <[email protected]>
Date: Mon, 16 Dec 2024 13:19:20 +0100
Fixes for New Zealand calendar, added Auckland
ql/time/calendars/newzealand.cpp | 61 ++++++++++++++++++++++++------
ql/time/calendars/newzealand.hpp | 44 ++++++++++++++-------
test-suite/calendars.cpp | 82 ++++++++++++++++++++++++++++++++++++++++
3 files changed, 162 insertions(+), 25 deletions(-)
commit 324b39135c5e790fadeedb1a7988a1a4c7c0da92
Author: Luigi Ballabio <[email protected]>
Date: Thu, 12 Dec 2024 16:44:02 +0100
Pin older Ubuntu images
.github/workflows/devenv-images.yml | 2 +-
.github/workflows/linux-full-tests.yml | 6 +++---
.github/workflows/linux-nondefault.yml | 6 +++---
3 files changed, 7 insertions(+), 7 deletions(-)
commit 5fd9081abe98ccf4156cca714bba3b8bb1cc37c2
Merge: 5fb57df61 113ffeda1
Author: Luigi Ballabio <[email protected]>
Date: Tue, 10 Dec 2024 17:24:14 +0100
Deprecate superseded experimental classes for spread options (#2121)
commit 113ffeda12e848d6e1e2b26714a8043cb9bd242d
Author: Luigi Ballabio <[email protected]>
Date: Tue, 10 Dec 2024 14:42:33 +0100
Deprecate superseded experimental classes for spread options
ql/experimental/exoticoptions/kirkspreadoptionengine.cpp | 4 ++++
ql/experimental/exoticoptions/kirkspreadoptionengine.hpp | 10 ++++++++--
ql/experimental/exoticoptions/spreadoption.hpp | 12 ++++++++----
test-suite/spreadoption.cpp | 5 +++++
4 files changed, 25 insertions(+), 6 deletions(-)
commit 5fb57df616ce6e8e65e548bf6a351a2231f85dbc
Author: Luigi Ballabio <[email protected]>
Date: Mon, 2 Dec 2024 10:29:44 +0100
Pin date in test
test-suite/hestonmodel.cpp | 9 +++------
1 file changed, 3 insertions(+), 6 deletions(-)
commit e44806fc78fe9f57d154ed14c75fa5ab6c06dcb6
Merge: ce96c8e67 c987e2d9f
Author: Luigi Ballabio <[email protected]>
Date: Thu, 28 Nov 2024 09:11:06 +0100
Fix lower/upper bounds for global bootstrap (#2120)
commit c987e2d9f42adac890aeb2fad85db9af7741cbbf
Author: Eugene Toder <[email protected]>
Date: Wed, 27 Nov 2024 10:12:54 -0500
Fix lower/upper bounds for global bootstrap
Currently global bootstrap uses minValueAfter/maxValueAfter methods from
Traits to come up with lower/upper bounds. This is problematic. These
methods depend on the previous point in the curve. In the iterative
bootstrap these methods are called after the previous point is already
known exactly. However, in the global bootstrap all points are still
filled with Traits::initialValue. This makes the bounds too tight and
leads to bad results for curves with higher interest rates.
Instead add separate minValueGlobal/maxValueGlobal methods that do not
rely on previous data.
ql/termstructures/globalbootstrap.hpp | 15 +++++----
ql/termstructures/yield/bootstraptraits.hpp | 52 +++++++++++++++++++++++++++--
2 files changed, 58 insertions(+), 9 deletions(-)
commit ce96c8e67392eff8a274b1d24ece3e7defe0e8ea
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 24 Nov 2024 01:30:58 +0000
Automated fixes by clang-tidy
ql/instruments/assetswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 9cd5eab83fb7990966538c850623a8ef8e0d5b95
Merge: 13e24b13b 4182cd099
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Nov 2024 16:01:12 +0100
Allow use of risk-free rates in asset swaps (#2118)
commit 4182cd09994476eddfcb271ac8da3cba8a7952d9
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Nov 2024 12:25:38 +0100
Enable using overnight rates in asset swap
ql/instruments/assetswap.cpp | 35 ++++++---
ql/instruments/assetswap.hpp | 5 ++
test-suite/assetswap.cpp | 178 +++++++++++++++++++++++++++++++++++++++++++
3 files changed, 209 insertions(+), 9 deletions(-)
commit c56549c813e46a6aed8a3cf9c397377d1e3c160e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 19 Nov 2024 17:58:15 +0100
Unify asset swap constructors
ql/instruments/assetswap.cpp | 251 ++++++++++++++-----------------------------
ql/instruments/assetswap.hpp | 12 ++-
2 files changed, 93 insertions(+), 170 deletions(-)
commit 13e24b13b6ed3180ab5c633ca150696227dcc4c0
Merge: a83be9ee3 f3e980bef
Author: Luigi Ballabio <[email protected]>
Date: Tue, 19 Nov 2024 15:40:51 +0100
Add SimpleCostFunction (#2117)
commit f3e980beff537c8d33651f8fff7a008f70dada73
Author: Eugene Toder <[email protected]>
Date: Tue, 19 Nov 2024 06:51:30 -0500
Add SimpleCostFunction
It allows to turn any functor, usually a lambda, into a CostFunction.
This makes it simpler to define optimization problems.
ql/math/optimization/costfunction.hpp | 10 +++++
ql/termstructures/globalbootstrap.hpp | 73 +++++++++++------------------------
2 files changed, 33 insertions(+), 50 deletions(-)
commit a83be9ee36baf913da7174cd7afa2b438945e1a7
Merge: a07bf7bea 0fb7e68d8
Author: Luigi Ballabio <[email protected]>
Date: Tue, 19 Nov 2024 11:14:39 +0100
Make fewer copies of arrays (#2114)
commit 0fb7e68d8059ac3d1b996c37ba8bbcd046b87bb6
Author: Luigi Ballabio <[email protected]>
Date: Tue, 19 Nov 2024 09:52:08 +0100
Document deprecations in Doxygen reference
ql/math/optimization/levenbergmarquardt.hpp | 10 ++++++++--
ql/termstructures/globalbootstrap.hpp | 4 ++--
2 files changed, 10 insertions(+), 4 deletions(-)
commit 760fb259fd004ca6b92c764338c91e6e1c9e696a
Author: Eugene Toder <[email protected]>
Date: Mon, 18 Nov 2024 11:38:34 -0500
Address review comments
ql/math/optimization/levenbergmarquardt.hpp | 6 ++++++
ql/termstructures/globalbootstrap.hpp | 30 +++++++++++++++++------------
2 files changed, 24 insertions(+), 12 deletions(-)
commit a07bf7bea61acf0b18b8a72d88099810ec550f5b
Merge: e8e8b067b 565a57063
Author: Luigi Ballabio <[email protected]>
Date: Mon, 18 Nov 2024 22:53:19 +0100
Fix datatypes for consistent Real usage, keeping AD compatibility (#2116)
commit f37ba213182353127c557bb687e229da4e9df265
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 18:37:09 +0000
Reference copysign from std namespace
test-suite/basketoption.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 63dcd6ac516867b6d6e90fda9720a7b84149e2ec
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 11:58:30 +0000
Explicit return type for double expressions
ql/math/randomnumbers/zigguratgaussianrng.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 529c720dccfebff377cc7e3617699eaf9b64faaa
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 11:56:28 +0000
Make return type explicit in expression
test-suite/callablebonds.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 2a7d17fc878370b4bb051965cc7ae6552ea75dfa
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 11:51:47 +0000
Replace BOOST_CHECK_SMALL with QL_CHECK_SMALL for type conversions
test-suite/matrices.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit e8e8b067b9ab3039e7267f50cc638213a90f6184
Author: Luigi Ballabio <[email protected]>
Date: Mon, 18 Nov 2024 12:41:44 +0100
More clang-tidy suggestions, dead link
ql/math/interpolations/chebyshevinterpolation.hpp | 10 +++++-----
ql/math/matrixutilities/pseudosqrt.cpp | 2 +-
ql/pricingengines/basket/fdndimblackscholesvanillaengine.cpp | 2 ++
3 files changed, 8 insertions(+), 6 deletions(-)
commit c97d49ea91567a30fe17ff20b2c84634e97cbf41
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 11:07:45 +0000
Add explicit conversion to Real in inner_product
test-suite/basketoption.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit bb4b781cd7625ef4d45b19ec5bbd5a714ad5a2e2
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 17 Nov 2024 19:13:04 +0000
Automated fixes by clang-tidy
ql/methods/finitedifferences/operators/fdmwienerop.cpp | 4 ++--
ql/methods/finitedifferences/operators/fdmwienerop.hpp | 2 +-
.../basket/bjerksundstenslandspreadengine.cpp | 3 ++-
ql/pricingengines/basket/choibasketengine.cpp | 4 ++--
ql/pricingengines/basket/denglizhoubasketengine.cpp | 4 ++--
.../basket/fdndimblackscholesvanillaengine.cpp | 10 +++++-----
ql/pricingengines/basket/kirkengine.cpp | 3 ++-
ql/pricingengines/basket/operatorsplittingspreadengine.cpp | 3 ++-
ql/pricingengines/basket/singlefactorbsmbasketengine.cpp | 3 +--
ql/pricingengines/basket/singlefactorbsmbasketengine.hpp | 2 +-
ql/pricingengines/basket/vectorbsmprocessextractor.cpp | 7 ++++---
ql/pricingengines/basket/vectorbsmprocessextractor.hpp | 7 ++++---
test-suite/basketoption.cpp | 14 +++++++-------
test-suite/matrices.cpp | 2 +-
14 files changed, 36 insertions(+), 32 deletions(-)
commit ac4b749c8f04c402544c7736b490efe4c2ffd0ae
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 10:51:28 +0000
Explicit conversion of accumulate initialiser to Real
ql/pricingengines/basket/denglizhoubasketengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 6b4fb67bb6ddb6a7229bae8d182eae762b039c8b
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 08:21:50 +0000
Type conversions for Real type
ql/pricingengines/basket/denglizhoubasketengine.cpp | 16 ++++++++--------
1 file changed, 8 insertions(+), 8 deletions(-)
commit 3e949701eed09226a7f13e918df31ffdb5b21503
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 08:16:52 +0000
inner_product needs explicit Real for AD type compatibility
ql/pricingengines/basket/choibasketengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 498be2a43797ba02eb8d4c58eda468d7025943a8
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 08:15:42 +0000
Explicit type casts to Real
ql/pricingengines/basket/singlefactorbsmbasketengine.cpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit 668b45b4b911deb9764a81fe69f0a52fd6a5ab3c
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 08:04:46 +0000
Sets type explicitly to Real for AAD compatibility
ql/pricingengines/basket/choibasketengine.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 062ade950f1bc1dbd852ee40076df1fc8a8eb991
Author: Auto Differentiation Dev Team <[email protected]>
Date: Mon, 18 Nov 2024 07:55:15 +0000
Explicitly sets inner_product accumulation type to Real for AAD compatibility
ql/math/matrixutilities/choleskydecomposition.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 5bf7c0d2b365c0290627429b4ae852992bd51f5d
Author: Luigi Ballabio <[email protected]>
Date: Sun, 17 Nov 2024 14:23:26 +0100
Apply a few clang-tidy suggestions manually
The workflow action fails linking, probably because it changes the
hpp and cpp at different times, who knows
.clang-tidy | 1 +
ql/math/matrixutilities/householder.cpp | 4 ++--
ql/math/matrixutilities/householder.hpp | 14 +++++++-------
ql/methods/finitedifferences/operators/fdmwienerop.cpp | 8 ++++----
ql/methods/finitedifferences/operators/fdmwienerop.hpp | 4 ++--
5 files changed, 16 insertions(+), 15 deletions(-)
commit 6f5cdcc9ce2d3cd9be52d5e8cdf8ab71aec0497d
Author: Eugene Toder <[email protected]>
Date: Thu, 14 Nov 2024 12:52:52 -0500
Make fewer copies of arrays
ql/math/optimization/levenbergmarquardt.cpp | 28 +++++++++++++---------------
ql/math/optimization/levenbergmarquardt.hpp | 14 +++-----------
ql/math/optimization/problem.hpp | 4 ++--
ql/termstructures/globalbootstrap.hpp | 9 ++-------
4 files changed, 20 insertions(+), 35 deletions(-)
commit 1aae34679f0abd852b6dc90c72cd6deafbdb5c1e
Merge: 06f617279 86f28e55a
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Nov 2024 12:11:08 +0100
Don't require helpers when passing fixed parameters to fitted bond curve (#2113)
commit 86f28e55ac999cad5f7a6bade29d227d29bb0cbb
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Nov 2024 10:37:08 +0100
Don't require helpers when passing fixed parameters to fitted curve
.../yield/fittedbonddiscountcurve.cpp | 132 ++++++++++++++-------
.../yield/fittedbonddiscountcurve.hpp | 16 +++
test-suite/fittedbonddiscountcurve.cpp | 50 ++++----
3 files changed, 134 insertions(+), 64 deletions(-)
commit 06f617279e12394da5e37d604f42e996fa3de97d
Author: Luigi Ballabio <[email protected]>
Date: Tue, 12 Nov 2024 15:51:26 +0100
Update copyright list in license
LICENSE.TXT | 2 +-
ql/pricingengines/basket/operatorsplittingspreadengine.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 266c3d33c9cad0d6a6063f6811b2d603ea0642eb
Merge: 585bb0989 45292675e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 12 Nov 2024 14:43:32 +0100
added pricing engines for spread- and basket options (#2110)
commit 45292675e3f5a419da60216191e00e38203e21c9
Author: klaus spanderen <[email protected]>
Date: Mon, 11 Nov 2024 20:21:47 +0100
moved SumExponentialsRootSolver to detail namespace
removed executable bit
.../basket/singlefactorbsmbasketengine.cpp | 157 +++++++++++----------
.../basket/singlefactorbsmbasketengine.hpp | 46 +++---
test-suite/basketoption.cpp | 22 +--
3 files changed, 114 insertions(+), 111 deletions(-)
commit efb1c78cb845764327dc78eaced2f423972421b4
Author: klaus spanderen <[email protected]>
Date: Sun, 10 Nov 2024 14:12:11 +0100
fixed typo
ql/instruments/basketoption.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8c1e9ac074a1b49b7b76f9167a5493f942ea8a63
Author: klaus spanderen <[email protected]>
Date: Sun, 10 Nov 2024 14:11:50 +0100
fixed typo
ql/math/integrals/gaussianquadratures.cpp | 4 ++--
ql/math/integrals/gaussianquadratures.hpp | 4 ++--
ql/pricingengines/basket/choibasketengine.cpp | 2 +-
test-suite/gaussianquadratures.cpp | 8 ++++----
4 files changed, 9 insertions(+), 9 deletions(-)
commit 90cf6714b7f3a39b0c750454e34240791fa0c4dc
Author: klaus spanderen <[email protected]>
Date: Sat, 9 Nov 2024 19:26:46 +0100
fixed missing explicit
ql/math/matrixutilities/householder.hpp | 4 ++--
ql/pricingengines/basket/singlefactorbsmbasketengine.hpp | 2 +-
ql/pricingengines/basket/vectorbsmprocessextractor.hpp | 2 +-
3 files changed, 4 insertions(+), 4 deletions(-)
commit 22f4e821e8ebdb5bb0330c413ff2817aaf8ff9c1
Author: klaus spanderen <[email protected]>
Date: Sat, 9 Nov 2024 19:10:04 +0100
fixed typos
.../finitedifferences/operators/fdmwienerop.cpp | 2 +-
.../finitedifferences/operators/fdmwienerop.hpp | 1 -
ql/pricingengines/basket/choibasketengine.hpp | 5 +-
.../basket/denglizhoubasketengine.cpp | 3 +-
.../basket/fdndimblackscholesvanillaengine.hpp | 2 +-
.../basket/operatorsplittingspreadengine.cpp | 2 +-
.../basket/operatorsplittingspreadengine.hpp | 2 +-
.../basket/singlefactorbsmbasketengine.cpp | 1 -
.../basket/singlefactorbsmbasketengine.hpp | 32 ++++-----
test-suite/basketoption.cpp | 84 +++++++++++-----------
test-suite/matrices.cpp | 66 ++++++++---------
11 files changed, 98 insertions(+), 102 deletions(-)
commit 313700ac4cb0c8c86924c7be46d077576d6f5634
Author: klaus spanderen <[email protected]>
Date: Sat, 9 Nov 2024 17:15:48 +0100
enable examples
CMakeLists.txt | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit fd3850138bfc6ab7ac15706dad7f1c7d5297e1ed
Author: klaus spanderen <[email protected]>
Date: Sat, 9 Nov 2024 13:35:22 +0100
fixed test suite runtime
ql/pricingengines/basket/fdndimblackscholesvanillaengine.cpp | 2 +-
test-suite/basketoption.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 932ed9e4215b78cd7445c12aff156879dc84b7c7
Author: klaus spanderen <[email protected]>
Date: Wed, 6 Nov 2024 21:01:38 +0100
fixed compile bug
ql/methods/finitedifferences/operators/Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 736809e3ba1c129cefa43c0dda0c60aca658b4da
Author: klaus spanderen <[email protected]>
Date: Wed, 6 Nov 2024 20:57:41 +0100
fixed compile bug
ql/CMakeLists.txt | 2 +-
ql/methods/finitedifferences/operators/all.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 3c0b6e2b81eb9460201f5ff06f9836d2bdcb236d
Author: klaus spanderen <[email protected]>
Date: Wed, 6 Nov 2024 20:22:02 +0100
remove print statement
test-suite/basketoption.cpp | 2 --
1 file changed, 2 deletions(-)
commit 095f8620d84b544a3d4f0db1bb52041b3bb2f196
Author: klaus spanderen <[email protected]>
Date: Wed, 6 Nov 2024 20:21:35 +0100
fixed test cases
ql/CMakeLists.txt | 2 --
ql/pricingengines/basket/choibasketengine.cpp | 1 -
test-suite/basketoption.cpp | 31 ++++++++++++++++++---------
3 files changed, 21 insertions(+), 13 deletions(-)
commit 7418b93588b4c41a5dc88688538b6bfdeb688366
Author: klaus spanderen <[email protected]>
Date: Wed, 6 Nov 2024 19:48:21 +0100
removed old multi dim Black-Scholes Op
QuantLib.vcxproj | 4 +-
QuantLib.vcxproj.filters | 4 +-
ql/methods/finitedifferences/operators/Makefile.am | 4 +-
.../operators/fdmndimblackscholesop.cpp | 141 ---------------------
.../operators/fdmndimblackscholesop.hpp | 67 ----------
.../basket/fdndimblackscholesvanillaengine.cpp | 63 ---------
6 files changed, 6 insertions(+), 277 deletions(-)
commit a7fa540976d2c5a6d48927eab93177b0d2160a1a
Author: klaus spanderen <[email protected]>
Date: Tue, 5 Nov 2024 21:33:05 +0100
introduced FDM Wiener operator
CMakeLists.txt | 2 +-
ql/CMakeLists.txt | 2 +
.../finitedifferences/operators/fdmwienerop.cpp | 94 +++++++++++
.../finitedifferences/operators/fdmwienerop.hpp | 61 +++++++
ql/pricingengines/basket/choibasketengine.cpp | 4 +-
.../basket/denglizhoubasketengine.cpp | 2 +-
.../basket/fdndimblackscholesvanillaengine.cpp | 185 ++++++++++++++++++++-
.../basket/fdndimblackscholesvanillaengine.hpp | 20 ++-
test-suite/basketoption.cpp | 135 ++++++++++++++-
test-suite/nthorderderivativeop.cpp | 31 ----
10 files changed, 484 insertions(+), 52 deletions(-)
commit 585bb0989fc2370f5ede92037e6fe66b04b700c9
Merge: ea7e1e47c 46880be9b
Author: Luigi Ballabio <[email protected]>
Date: Sat, 2 Nov 2024 18:19:07 +0100
SABR swaption vol cube: use correct guess for given option and swap tenors (#2108)
commit ea7e1e47cf8fb4eabc01ec2c9296cbb8fe675f4a
Merge: a6378c512 de190cc00
Author: Luigi Ballabio <[email protected]>
Date: Sat, 2 Nov 2024 12:12:41 +0100
Add date generation rule to OISRateHelper constructor (#2107)
commit de190cc00ea7b866aadd84b1e9f743ad2c1168c7
Author: sophistis42 <[email protected]>
Date: Fri, 1 Nov 2024 14:23:37 +0100
fix syntax error
ql/termstructures/yield/oisratehelper.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit b07faa43bba9053f2bcc88757542dc87675af9a4
Author: sophistis42 <[email protected]>
Date: Fri, 1 Nov 2024 09:35:17 +0100
added DateGeneration rule as kwarg to oisratehelper to allow to use MakeOIS consistently with the bootstrapped instruments
ql/termstructures/yield/oisratehelper.cpp | 11 +++++++----
ql/termstructures/yield/oisratehelper.hpp | 8 ++++++--
2 files changed, 13 insertions(+), 6 deletions(-)
commit 46880be9bd749378ff02c45436b66493417d6854
Author: Luigi Ballabio <[email protected]>
Date: Thu, 31 Oct 2024 21:37:41 +0100
Use correct guess for given option and swap tenors
ql/termstructures/volatility/swaption/sabrswaptionvolatilitycube.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 84e723722613f6ead785dadd1362da7edbdde2bd
Author: klaus spanderen <[email protected]>
Date: Mon, 28 Oct 2024 19:47:55 +0100
Choi engine supports spread payoffs
ql/CMakeLists.txt | 2 +-
ql/pricingengines/basket/choibasketengine.cpp | 11 ++++++++++-
ql/pricingengines/basket/choibasketengine.hpp | 4 ++--
ql/pricingengines/basket/denglizhoubasketengine.cpp | 11 ++++++++++-
4 files changed, 23 insertions(+), 5 deletions(-)
commit a6378c5122bb3da08446c851be37714f44d93b1e
Merge: a63045eb1 90c9cbaf1
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Oct 2024 09:30:35 +0100
Add SwapRateHelper constructor with fixed dates (#2106)
commit 90c9cbaf19ad73e202e9c862d71a75dea8a9c63e
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Oct 2024 08:39:58 +0100
Add basic consistency test
test-suite/piecewiseyieldcurve.cpp | 63 ++++++++++++++++++++++++++++++++++++++
1 file changed, 63 insertions(+)
commit 4bbf6916f8fbd60907e312820c61a2bbc318776c
Author: Eugene Toder <[email protected]>
Date: Fri, 25 Oct 2024 09:59:47 -0400
Add SwapRateHelper constructor with fixed dates
Also known as "DatedSwapRateHelper". Similar to the new constructor for
OISRateHelper.
ql/instruments/makevanillaswap.cpp | 3 ++-
ql/termstructures/yield/ratehelpers.cpp | 33 ++++++++++++++++++++++++++++++++-
ql/termstructures/yield/ratehelpers.hpp | 20 ++++++++++++++++++++
3 files changed, 54 insertions(+), 2 deletions(-)
commit a63045eb1dc038d90f49adfd3ca6ded1c30ea260
Merge: e3e33d474 92682f6a5
Author: Luigi Ballabio <[email protected]>
Date: Fri, 25 Oct 2024 13:39:51 +0200
Remove a class deprecated in version 1.26 (#2104)
commit 92682f6a57c335d76ab03a51d296235e078b65d6
Author: Luigi Ballabio <[email protected]>
Date: Fri, 25 Oct 2024 11:13:50 +0200
Remove class deprecated in version 1.26
cmake/GenerateHeaders.cmake | 1 +
ql/instruments/Makefile.am | 2 +-
ql/instruments/all.hpp | 1 -
ql/instruments/fixedratebondforward.hpp | 45 ++++-----------------------------
4 files changed, 7 insertions(+), 42 deletions(-)
commit 458f24b605fb7e8f227691a5b4740072c8d7a7fe
Author: Luigi Ballabio <[email protected]>
Date: Fri, 25 Oct 2024 09:57:51 +0200
Keep a test for the deprecated class while it's still there
test-suite/overnightindexedswap.cpp | 30 ++++++++++++++++++++++++++++++
1 file changed, 30 insertions(+)
commit fcc3a1247ae0ff289bddafa3102d3a219dfbd04d
Author: Luigi Ballabio <[email protected]>
Date: Fri, 25 Oct 2024 09:08:54 +0200
Avoid obsolete macro
ql/termstructures/yield/oisratehelper.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit db71299d7985f4f422f186023540843194600b37
Author: Luigi Ballabio <[email protected]>
Date: Fri, 25 Oct 2024 08:54:53 +0200
Use explicit bool, not implicit null date
ql/termstructures/bootstraphelper.hpp | 19 ++++++++-----------
1 file changed, 8 insertions(+), 11 deletions(-)
commit 1d4be6450d635761d0fd7b20fbaef1238be78e07
Author: klaus spanderen <[email protected]>
Date: Mon, 21 Oct 2024 22:28:36 +0200
fixed VS build files
QuantLib.vcxproj | 2 +-
test-suite/matrices.cpp | 8 ++++----
2 files changed, 5 insertions(+), 5 deletions(-)
commit b40e6e81e83952455a5d7a8ff6094bbae097d44f
Author: klaus spanderen <[email protected]>
Date: Mon, 21 Oct 2024 22:02:54 +0200
fixed VS build files
QuantLib.vcxproj | 23 +++++++++++++++-
QuantLib.vcxproj.filters | 67 +++++++++++++++++++++++++++++++++++++++++++--
test-suite/basketoption.cpp | 2 +-
3 files changed, 88 insertions(+), 4 deletions(-)
commit bd3a01ddb98103cd7dee61a98f609fcb1fbeb0ef
Author: klaus spanderen <[email protected]>
Date: Mon, 21 Oct 2024 21:11:53 +0200
added all.hpp files
ql/math/matrixutilities/all.hpp | 1 +
ql/math/solvers1d/all.hpp | 1 +
ql/methods/finitedifferences/operators/all.hpp | 1 +
ql/pricingengines/basket/all.hpp | 8 ++++++++
ql/pricingengines/basket/vectorbsmprocessextractor.cpp | 2 +-
ql/pricingengines/basket/vectorbsmprocessextractor.hpp | 2 +-
6 files changed, 13 insertions(+), 2 deletions(-)