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ChangeLog.txt
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commit 98bae5a726ad87113aceb815d180bda65b71beed
Author: Luigi Ballabio <[email protected]>
Date: Sat, 22 Jul 2023 22:41:59 +0200
Set version to 1.31.1
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit e00d91410e9b7de58cb3698250f44170c89c2b04
Author: Luigi Ballabio <[email protected]>
Date: Sat, 22 Jul 2023 22:24:51 +0200
Update news
Docs/pages/history.docs | 9 +-
News.md | 231 ++----------------------------------------------
2 files changed, 15 insertions(+), 225 deletions(-)
commit db507bff47da33842abea9646996f72eadabd9ce
Merge: 38551644c 4eda1bb8b
Author: Luigi Ballabio <[email protected]>
Date: Sat, 22 Jul 2023 21:10:43 +0200
Avoid possible segfault when bootstrapping over OIS rates (#1738)
commit 4eda1bb8b8dadcb7eba018844b31a59060b16b4b
Author: Luigi Ballabio <[email protected]>
Date: Sat, 22 Jul 2023 17:13:20 +0200
Fix possible circular notification
ql/termstructures/yield/oisratehelper.cpp | 8 ++++++++
1 file changed, 8 insertions(+)
commit bb355ea1cb78fd7a73ef08710192bc96b7a7980e
Author: Luigi Ballabio <[email protected]>
Date: Sat, 22 Jul 2023 17:13:03 +0200
Update test
test-suite/overnightindexedswap.cpp | 1 +
1 file changed, 1 insertion(+)
commit 9fbffc09b1e416b0c863605dc6872788cda1f429
Author: Luigi Ballabio <[email protected]>
Date: Sat, 22 Jul 2023 12:46:32 +0200
Add regression test case
test-suite/overnightindexedswap.cpp | 24 ++++++++++++++++++++----
test-suite/overnightindexedswap.hpp | 1 +
2 files changed, 21 insertions(+), 4 deletions(-)
commit 38551644cb8b9b6b794f443225e522296ce08331
Author: Luigi Ballabio <[email protected]>
Date: Mon, 17 Jul 2023 10:30:14 +0200
Update changelog
ChangeLog.txt | 71 ++++++++++++++++++++++++++++++++++++++++++++++++++++++-----
1 file changed, 66 insertions(+), 5 deletions(-)
commit 62661ecb9fa15ac98d9e9c37de87bba825d0247c
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.31 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 2a020a2296b84d7070ee19222571b7ee9aca9ddc
Author: Luigi Ballabio <[email protected]>
Date: Thu, 13 Jul 2023 17:40:23 +0200
Avoid overloading processors in AppVeyor builds
Projects already compile C++ files in parallel.
At times, building examples in parallel seems to overwhelm the
agent when linking.
.appveyor.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a32a18f191c53f70a9f3add413e75250f27f8120
Author: Luigi Ballabio <[email protected]>
Date: Thu, 13 Jul 2023 17:16:31 +0200
Update news
Docs/pages/history.docs | 5 +++--
News.md | 6 +++---
2 files changed, 6 insertions(+), 5 deletions(-)
commit 73bde3c8d379166debc2451f294843a4d4c4e4ee
Merge: 5f5e5e87e 5a82d825d
Author: Luigi Ballabio <[email protected]>
Date: Thu, 13 Jul 2023 17:11:02 +0200
Initialise a vector of bool in a way which does not make GCC 13.1 irrationally upset (#1733)
commit 5a82d825d5f29c15492095c716db9eac10989e37
Author: Tom Anderson <[email protected]>
Date: Thu, 13 Jul 2023 14:12:35 +0100
Initialise a vector of bool in a way which does not make GCC 13.1 irrationally upset
test-suite/rangeaccrual.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5f5e5e87e62d60e402aacd598c183cd87c425961
Author: Luigi Ballabio <[email protected]>
Date: Wed, 12 Jul 2023 15:56:02 +0200
Set version to 1.31rc2
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 80d351a118d4bb57fc34effc3ffd46a85729bebf
Author: Luigi Ballabio <[email protected]>
Date: Tue, 11 Jul 2023 11:24:27 +0200
Update news and changelog
ChangeLog.txt | 144 ++++++++++++++++++++++++++++++++++++++++++++++++
Docs/pages/history.docs | 40 +++++++++-----
News.md | 41 +++++++++-----
3 files changed, 199 insertions(+), 26 deletions(-)
commit d8fbe2889533c781effadc1876352af284671fe2
Merge: e964a67c4 cea11f68f
Author: Luigi Ballabio <[email protected]>
Date: Wed, 12 Jul 2023 15:32:30 +0200
Register instruments with evaluation date (#1729)
commit cea11f68f706bdb142ea6be9c2c09348e2a1714e
Author: Luigi Ballabio <[email protected]>
Date: Wed, 12 Jul 2023 09:41:18 +0200
Register instruments with evaluation date
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 1 +
ql/CMakeLists.txt | 1 +
ql/Makefile.am | 1 +
ql/instrument.cpp | 49 ++++++++++++++++++++++++++++++++++++++++++++++++
ql/instrument.hpp | 17 -----------------
6 files changed, 53 insertions(+), 17 deletions(-)
commit e964a67c40079889df18d6ddf676f5b47a2e4331
Merge: 343ee92a3 7362bcca0
Author: Luigi Ballabio <[email protected]>
Date: Wed, 12 Jul 2023 09:39:32 +0200
Break ring of shared_ptr<Stock> dependencies (#1727)
commit 7362bcca0124d87bdeccb6bd42c5af46c27a2766
Author: Ralf Konrad <[email protected]>
Date: Wed, 12 Jul 2023 01:36:46 +0200
Removed fixed leak
.lsan.txt | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 32a48ae6f6dbeb5b68953c0594b9a20910fa1f00
Author: Ralf Konrad <[email protected]>
Date: Tue, 11 Jul 2023 21:27:16 +0200
Break ring of shared_ptr<Stock>
test-suite/lazyobject.cpp | 5 +++++
1 file changed, 5 insertions(+)
commit 343ee92a37f3ec405792c562949eed3200123e9e
Merge: fb7d713e2 42f30b5cb
Author: Luigi Ballabio <[email protected]>
Date: Tue, 11 Jul 2023 11:27:17 +0200
Add compile-time and run-time switch for `LazyObject` notifications (#1724)
commit 42f30b5cb83125f512dcf821a2d0a08cb72f2a71
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Jul 2023 19:01:49 +0200
Move settings to inner class
Renamed to Default to avoid ambiguity with the top-level Settings
in the scope of derived classes.
ql/patterns/lazyobject.hpp | 16 +++++++++-------
test-suite/lazyobject.cpp | 16 ++++++++--------
2 files changed, 17 insertions(+), 15 deletions(-)
commit c06444e782124b6e9ea12fd9e98225a9ca78a6f9
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Jul 2023 12:31:59 +0200
Add compile-time switch
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 2 +-
.github/workflows/macos-nondefault.yml | 2 +-
CMakeLists.txt | 1 +
CMakePresets.json | 2 ++
Docs/pages/config.docs | 12 ++++++++++++
configure.ac | 24 ++++++++++++++++++++++++
ql/config.hpp.cfg | 1 +
ql/patterns/lazyobject.hpp | 4 ++++
ql/userconfig.hpp | 7 +++++++
11 files changed, 55 insertions(+), 4 deletions(-)
commit cd6fd124ecba3cdd3d7a1375da3378fc97394d90
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Jul 2023 12:10:39 +0200
Restore previous default
ql/instruments/compositeinstrument.cpp | 9 +++++++++
ql/instruments/floatfloatswaption.cpp | 9 +++++++++
ql/instruments/nonstandardswaption.cpp | 10 ++++++++++
ql/instruments/swaption.cpp | 9 +++++++++
ql/patterns/lazyobject.hpp | 18 +++++++++++++-----
test-suite/lazyobject.cpp | 4 ++++
6 files changed, 54 insertions(+), 5 deletions(-)
commit fe20798efa87014ea7584564208b0d3c094cf5cb
Author: Luigi Ballabio <[email protected]>
Date: Mon, 10 Jul 2023 11:11:30 +0200
Add back run-time settings for LazyObject
ql/patterns/lazyobject.hpp | 48 +++++++++++++++++++++++----
test-suite/lazyobject.cpp | 81 +++++++++++++++++++++++++++++++++++++++++++---
test-suite/lazyobject.hpp | 2 ++
3 files changed, 120 insertions(+), 11 deletions(-)
commit fb7d713e27d4ed6b28dd234f4d3ec0dee1b49d9a
Author: Luigi Ballabio <[email protected]>
Date: Thu, 1 Apr 2021 11:28:16 +0200
Set version to 1.31 rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 956ed6cdba813a8747e79433382be498b4bf95d0
Author: Luigi Ballabio <[email protected]>
Date: Mon, 3 Jul 2023 17:30:53 +0200
Update news and changelog
ChangeLog.txt | 3869 +++++++++++++++++++++++++----------------------
Contributors.txt | 6 +
Docs/pages/history.docs | 143 +-
News.md | 267 ++--
4 files changed, 2393 insertions(+), 1892 deletions(-)
commit 0476dae92bec1db800c735ceef405945ec22fddd
Author: Luigi Ballabio <[email protected]>
Date: Mon, 3 Jul 2023 12:26:52 +0200
Cosmetic fixes to test messages
test-suite/daycounters.cpp | 2 +-
test-suite/schedule.cpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit d379ffafe7bf4ec6482af9918210b7ad16ceccb7
Author: Luigi Ballabio <[email protected]>
Date: Mon, 3 Jul 2023 11:17:08 +0200
Include main definitions
ql/utilities/null_deleter.hpp | 2 ++
1 file changed, 2 insertions(+)
commit ca0c6d094df746e28d148655c3c2e941d2234700
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 2 Jul 2023 02:56:10 +0000
Automated fixes by clang-tidy
ql/termstructures/yield/oisratehelper.cpp | 5 ++---
ql/termstructures/yield/oisratehelper.hpp | 31 +++++++++++++++----------------
2 files changed, 17 insertions(+), 19 deletions(-)
commit 88395b10b0b69f11fbebf314b07314f84d3ac5d2
Merge: cda594b59 e1a4eea04
Author: Luigi Ballabio <[email protected]>
Date: Fri, 30 Jun 2023 15:43:06 +0200
Add separate calendar for SOFR fixing dates (#1721)
commit e1a4eea04cdb5f4215d08c59db6e3c09bda04ff8
Author: Luigi Ballabio <[email protected]>
Date: Fri, 30 Jun 2023 12:15:37 +0200
Remove obsolete, commented-out declarations
test-suite/calendars.cpp | 2 --
test-suite/calendars.hpp | 2 --
2 files changed, 4 deletions(-)
commit eeffcd7aad63eae6c89dab032e954e2678a25c7a
Author: Luigi Ballabio <[email protected]>
Date: Fri, 30 Jun 2023 12:13:12 +0200
Add SOFR-specific calendar
Some days (so far, we know about Good Friday 2023) are not holidays
for SIFMA but SOFR doesn't fix anyway.
ql/indexes/ibor/sofr.cpp | 2 +-
ql/time/calendars/unitedstates.cpp | 34 ++++++++++++++++++++--------------
ql/time/calendars/unitedstates.hpp | 10 ++++++++--
test-suite/calendars.cpp | 18 ++++++++++++++++++
test-suite/calendars.hpp | 1 +
5 files changed, 48 insertions(+), 17 deletions(-)
commit cda594b5935c04e7cb39169a9b5cd70502e5a566
Merge: 55b35f4d5 6dfc56b34
Author: Luigi Ballabio <[email protected]>
Date: Fri, 30 Jun 2023 11:26:18 +0200
Don't normalize days to weeks in interest-rate index (#1720)
commit 6dfc56b34bec5eb51a059744fe72e3b3c6945589
Author: Luigi Ballabio <[email protected]>
Date: Thu, 29 Jun 2023 15:53:36 +0200
Don't normalize days to weeks in interest-rate index
ql/indexes/interestrateindex.cpp | 4 +++-
test-suite/indexes.cpp | 31 +++++++++++++++++++++++++++++++
test-suite/indexes.hpp | 1 +
3 files changed, 35 insertions(+), 1 deletion(-)
commit 55b35f4d5ac77fbfc749ef67781314f257485146
Author: Luigi Ballabio <[email protected]>
Date: Thu, 29 Jun 2023 08:05:49 +0200
Remove experimental workflow
It doesn't seem to work for the time being. Reassess later.
.github/workflows/permissions-advisor.yml | 26 --------------------------
1 file changed, 26 deletions(-)
commit 46a4f212f060a1499647a4c0739c56818750d8cc
Merge: ce04ea3c5 84022c5b2
Author: Luigi Ballabio <[email protected]>
Date: Wed, 28 Jun 2023 09:28:12 +0200
Expose more parameters for DatedOISRateHelper (#1719)
commit ce04ea3c517c933d60ebe2457ef8ca387ad2cc65
Merge: 006634578 f6c604699
Author: Luigi Ballabio <[email protected]>
Date: Tue, 27 Jun 2023 12:31:37 +0200
Add additional results for VV barrier engine (#1718)
commit 006634578de0c4b521f990053c4c437a51313bf1
Author: Luigi Ballabio <[email protected]>
Date: Tue, 27 Jun 2023 10:46:24 +0200
Add permissions advisor workflow
.github/workflows/permissions-advisor.yml | 26 ++++++++++++++++++++++++++
1 file changed, 26 insertions(+)
commit f6c604699fcc484d209b62ef1ffb8b48db24ff45
Author: Fredrik Gerdin Börjesson <[email protected]>
Date: Tue, 27 Jun 2023 08:34:23 +0200
Add additional results for VV barrier engine
.../barrieroption/vannavolgabarrierengine.cpp | 23 ++++++++++++----------
1 file changed, 13 insertions(+), 10 deletions(-)
commit 84022c5b2944947b96f68086dea0f8007e660950
Author: Eugene Toder <[email protected]>
Date: Mon, 26 Jun 2023 19:09:36 -0400
Expose more parameters for DatedOISRateHelper
ql/termstructures/yield/oisratehelper.cpp | 21 +++++++++++++++++++--
ql/termstructures/yield/oisratehelper.hpp | 9 ++++++++-
2 files changed, 27 insertions(+), 3 deletions(-)
commit e06d6087171ca8d988114b25a40a44d96607e12e
Author: Luigi Ballabio <[email protected]>
Date: Mon, 26 Jun 2023 09:50:46 +0200
Avoid clang-tidy warnings
ql/patterns/lazyobject.hpp | 2 +-
ql/utilities/steppingiterator.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit e4bc0c4ae12ff485fc63ae79e9a30a4aab365b54
Author: Luigi Ballabio <[email protected]>
Date: Mon, 26 Jun 2023 09:30:30 +0200
Avoid triggering bug in clang-tidy
ql/time/calendar.cpp | 7 +++++--
1 file changed, 5 insertions(+), 2 deletions(-)
commit c74e4d17ca567ee2737d07f5abbd96f79bf695f3
Merge: 075bd2f38 1876ee1bc
Author: Luigi Ballabio <[email protected]>
Date: Fri, 23 Jun 2023 12:59:16 +0200
Restore settings after every test (#1713)
commit 1876ee1bce7c07980e7b092bb7ed3af1081c75ba
Author: Luigi Ballabio <[email protected]>
Date: Fri, 23 Jun 2023 11:35:40 +0200
Restrict flag change to scope
test-suite/defaultprobabilitycurves.cpp | 125 +++++++++++++++++---------------
1 file changed, 65 insertions(+), 60 deletions(-)
commit c95e7e4248a0656799ea82a2a9a1e70d208c45ab
Author: Luigi Ballabio <[email protected]>
Date: Fri, 23 Jun 2023 11:30:44 +0200
Move comment to relevant test case
test-suite/defaultprobabilitycurves.cpp | 10 ++++++----
1 file changed, 6 insertions(+), 4 deletions(-)
commit b3a753bd9471e4e923fb79d2bb8a6b335ae7f624
Author: Eugene Toder <[email protected]>
Date: Wed, 21 Jun 2023 18:59:38 -0400
Restore settings after every test
Instead of adding SavedSettings into every test that changes settings,
use it in quantlib_test_case so it applies to every test. This is cheap
and makes writing tests easier.
test-suite/americanoption.cpp | 32 -----------
test-suite/andreasenhugevolatilityinterpl.cpp | 16 ------
test-suite/asianoptions.cpp | 6 --
test-suite/assetswap.cpp | 3 -
test-suite/barrieroption.cpp | 16 ------
test-suite/batesmodel.cpp | 8 ---
test-suite/bermudanswaption.cpp | 4 --
test-suite/blackdeltacalculator.cpp | 6 --
test-suite/blackformula.cpp | 2 -
test-suite/bondforward.cpp | 3 -
test-suite/bonds.cpp | 8 ---
test-suite/callablebonds.cpp | 3 -
test-suite/capfloor.cpp | 4 --
test-suite/capflooredcoupon.cpp | 3 -
test-suite/cashflows.cpp | 4 --
test-suite/catbonds.cpp | 3 -
test-suite/cdo.cpp | 2 -
test-suite/cdsoption.cpp | 2 -
test-suite/cliquetoption.cpp | 4 --
test-suite/cms.cpp | 3 -
test-suite/cms_normal.cpp | 3 -
test-suite/cmsspread.cpp | 1 -
test-suite/compoundoption.cpp | 4 --
test-suite/convertiblebonds.cpp | 5 --
test-suite/creditdefaultswap.cpp | 18 ------
test-suite/crosscurrencyratehelpers.cpp | 2 -
test-suite/curvestates.cpp | 3 -
test-suite/defaultprobabilitycurves.cpp | 6 +-
test-suite/digitalcoupon.cpp | 3 -
test-suite/digitaloption.cpp | 4 --
test-suite/dividendoption.cpp | 28 ----------
test-suite/doublebarrieroption.cpp | 4 --
test-suite/doublebinaryoption.cpp | 2 -
test-suite/equitycashflow.cpp | 2 -
test-suite/equityindex.cpp | 2 -
test-suite/equitytotalreturnswap.cpp | 2 -
test-suite/europeanoption.cpp | 48 ----------------
test-suite/extendedtrees.cpp | 14 -----
test-suite/fdcev.cpp | 2 -
test-suite/fdheston.cpp | 25 ---------
test-suite/fdmlinearop.cpp | 14 -----
test-suite/fdsabr.cpp | 10 ----
test-suite/fittedbonddiscountcurve.cpp | 2 -
test-suite/forwardoption.cpp | 8 ---
test-suite/gjrgarchmodel.cpp | 2 -
test-suite/hestonmodel.cpp | 68 -----------------------
test-suite/hestonslvmodel.cpp | 33 -----------
test-suite/hybridhestonhullwhiteprocess.cpp | 26 ---------
test-suite/inflation.cpp | 24 --------
test-suite/inflationcapfloor.cpp | 4 --
test-suite/inflationcapflooredcoupon.cpp | 4 --
test-suite/inflationcpibond.cpp | 4 --
test-suite/inflationcpicapfloor.cpp | 4 --
test-suite/inflationcpiswap.cpp | 4 --
test-suite/inflationvolatility.cpp | 4 --
test-suite/instruments.cpp | 2 -
test-suite/jumpdiffusion.cpp | 4 --
test-suite/libormarketmodel.cpp | 8 ---
test-suite/libormarketmodelprocess.cpp | 6 --
test-suite/linearleastsquaresregression.cpp | 6 --
test-suite/margrabeoption.cpp | 2 -
test-suite/mclongstaffschwartzengine.cpp | 4 --
test-suite/normalclvmodel.cpp | 10 ----
test-suite/nthorderderivativeop.cpp | 4 --
test-suite/nthtodefault.cpp | 4 --
test-suite/observable.cpp | 3 -
test-suite/optionletstripper.cpp | 3 -
test-suite/overnightindexedcoupon.cpp | 3 -
test-suite/overnightindexedswap.cpp | 5 --
test-suite/pathgenerator.cpp | 4 --
test-suite/piecewiseyieldcurve.cpp | 14 -----
test-suite/piecewisezerospreadedtermstructure.cpp | 3 -
test-suite/quantooption.cpp | 20 -------
test-suite/rangeaccrual.cpp | 3 -
test-suite/riskneutraldensitycalculator.cpp | 8 ---
test-suite/settings.cpp | 2 -
test-suite/shortratemodels.cpp | 9 ---
test-suite/sofrfutures.cpp | 2 -
test-suite/squarerootclvmodel.cpp | 6 --
test-suite/subperiodcoupons.cpp | 2 -
test-suite/swap.cpp | 3 -
test-suite/swaption.cpp | 3 -
test-suite/swaptionvolatilitycube.cpp | 3 -
test-suite/swaptionvolatilitymatrix.cpp | 3 -
test-suite/swingoption.cpp | 12 ----
test-suite/termstructures.cpp | 4 --
test-suite/ultimateforwardtermstructure.cpp | 2 -
test-suite/utilities.hpp | 8 +--
test-suite/variancegamma.cpp | 4 --
test-suite/vpp.cpp | 12 ----
test-suite/zerocouponswap.cpp | 2 -
91 files changed, 4 insertions(+), 710 deletions(-)
commit 075bd2f381e6d1684d32de613c540c5419a7a765
Merge: b1f41c379 0413833f3
Author: Luigi Ballabio <[email protected]>
Date: Thu, 22 Jun 2023 11:51:28 +0200
Simplify Calendar::businessDaysBetween (#1714)
commit 0413833f3215adeab4da51477b32897999f039ca
Author: Eugene Toder <[email protected]>
Date: Wed, 21 Jun 2023 22:01:37 -0400
Simplify Calendar::businessDaysBetween
Use only one loop and make fewer isBusinessDay() calls.
ql/time/calendar.cpp | 47 +++++++++++++++--------------------------------
1 file changed, 15 insertions(+), 32 deletions(-)
commit b1f41c3795608941d9247f0ae8686029e45c346a
Merge: 56d6d7d5e f00e18319
Author: Luigi Ballabio <[email protected]>
Date: Wed, 21 Jun 2023 17:19:35 +0200
Fix compile error on GCC 12 (#1712)
commit f00e18319c4d0df71c28f4a662474c4cc73876aa
Author: Binrui Dong <[email protected]>
Date: Wed, 21 Jun 2023 21:19:20 +0800
Fix compile error on GCC 12
ql/currencies/exchangeratemanager.cpp | 1 +
ql/experimental/credit/basket.cpp | 1 +
ql/termstructures/volatility/smilesectionutils.cpp | 1 +
3 files changed, 3 insertions(+)
commit 56d6d7d5e72ae82b76bf5196b9f2dced42ee983a
Merge: c6a0ed3a5 ad8eb17e5
Author: Luigi Ballabio <[email protected]>
Date: Wed, 21 Jun 2023 10:04:23 +0200
Add test cases for South Korea calendar (#1711)
commit ad8eb17e5e17698038966c97801b617565946ccb
Author: jonghee.lee <[email protected]>
Date: Wed, 21 Jun 2023 14:11:27 +0900
insert empty line
test-suite/calendars.cpp | 3 +++
1 file changed, 3 insertions(+)
commit 07903b09a57d66450ce1a36d0c74b23a889d924c
Author: jonghee.lee <[email protected]>
Date: Wed, 21 Jun 2023 14:06:41 +0900
edit holiday and substitute holiday
ql/time/calendars/southkorea.cpp | 20 +-
ql/time/calendars/southkorea.hpp | 2 +-
test-suite/calendars.cpp | 1326 +++++++++++++++++++++++++++++++++++++-
3 files changed, 1328 insertions(+), 20 deletions(-)
commit c6a0ed3a525e2eec7f83e8616a567cd8fe8484c3
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 20 Jun 2023 20:46:50 +0000
Update copyright list in license
LICENSE.TXT | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 97f7a2b1287feaf940d65456bc4cf3bdd41a0fce
Merge: a0f48a8ad 7c1e0143d
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Jun 2023 22:46:17 +0200
Add rules for substitute holidays to South Korea calendar (#1707)
commit a0f48a8adfefca2a72ad93056d36fc7608e26642
Merge: da0d08671 b9aa0661e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Jun 2023 21:44:08 +0200
Add DESTR, SWESTR OIS indices (#1709)
commit da0d086712fbd8c09cfa6912a8b5dc37c8777e90
Merge: f97f185c9 81a30b64a
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Jun 2023 20:47:57 +0200
Add Hong Kong Securities Market Holidays in 2024 (#1708)
commit f97f185c9105d336660605d86355796b4624d6b7
Merge: 0bc1e5e3b af6fe9745
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Jun 2023 19:19:52 +0200
Update dates correctly in upfront CDS helper when evaluation date changes (#1704)
commit b9aa0661ed60d22a2277387133c9315f7303cf01
Author: Fredrik Gerdin Börjesson <[email protected]>
Date: Tue, 20 Jun 2023 17:44:36 +0200
Add missing imports destr.hpp/swestr.hpp
ql/indexes/ibor/destr.hpp | 2 ++
ql/indexes/ibor/swestr.hpp | 2 ++
2 files changed, 4 insertions(+)
commit 7c1e0143d21b8af1af7f29beb6a5557c92582a32
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Jun 2023 17:37:34 +0200
Associate substitute rules with original ones
ql/time/calendars/southkorea.cpp | 14 ++++++--------
1 file changed, 6 insertions(+), 8 deletions(-)
commit fe5043bd128cc63b31b463383f5fd09df0ac2ba9
Author: jonghee <[email protected]>
Date: Wed, 21 Jun 2023 00:12:52 +0900
make space
ql/time/calendars/southkorea.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a801eb05dbd1fb9eff15f0ff952ba8c4c142fc33
Author: jonghee <[email protected]>
Date: Wed, 21 Jun 2023 00:11:23 +0900
set year limit to 2053
ql/time/calendars/southkorea.cpp | 1 +
ql/time/calendars/southkorea.hpp | 2 +-
2 files changed, 2 insertions(+), 1 deletion(-)
commit cecfba0c659cdff40c0c6aedecd2e1fa9e361ff8
Author: jonghee <[email protected]>
Date: Wed, 21 Jun 2023 00:05:58 +0900
remove some codes
ql/time/calendars/southkorea.cpp | 9 ---------
1 file changed, 9 deletions(-)
commit b22d7c9e85dc5c730ccc87954c3010f3c2822aa9
Author: jonghee <[email protected]>
Date: Tue, 20 Jun 2023 23:59:44 +0900
apply comments
ql/time/calendars/southkorea.cpp | 15 ++++++++-------
ql/time/calendars/southkorea.hpp | 5 +++--
2 files changed, 11 insertions(+), 9 deletions(-)
commit af6fe9745d9f8481c35f8872c47d3938f7e7cb15
Author: Luigi Ballabio <[email protected]>
Date: Tue, 20 Jun 2023 16:58:55 +0200
Reorder data member initialization, rename method
ql/termstructures/credit/defaultprobabilityhelpers.cpp | 16 +++++++---------
ql/termstructures/credit/defaultprobabilityhelpers.hpp | 2 +-
2 files changed, 8 insertions(+), 10 deletions(-)
commit 81a30b64afeca340d41c0e25a3afefd19a4cb8ce
Author: Binrui Dong <[email protected]>
Date: Tue, 20 Jun 2023 22:30:43 +0800
Add Hong Kong Securities Market Holidays in 2024
ql/time/calendars/hongkong.cpp | 17 +++++++++++++++++
1 file changed, 17 insertions(+)
commit df11f6d4bb73969dded5b097c19a3ed55988691e
Author: Fredrik Gerdin Börjesson <[email protected]>
Date: Tue, 20 Jun 2023 15:51:31 +0200
Add DESTR, SWESTR OIS indices
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
ql/CMakeLists.txt | 2 ++
ql/indexes/ibor/Makefile.am | 2 ++
ql/indexes/ibor/all.hpp | 2 ++
ql/indexes/ibor/destr.hpp | 41 +++++++++++++++++++++++++++++++++++++++++
ql/indexes/ibor/swestr.hpp | 41 +++++++++++++++++++++++++++++++++++++++++
7 files changed, 96 insertions(+)
commit c26490f58f0549cc3e08e0d423a6cd12fcbfb464
Author: jonghee.lee <[email protected]>
Date: Tue, 20 Jun 2023 17:22:12 +0900
add copyright
ql/time/calendars/southkorea.cpp | 1 +
1 file changed, 1 insertion(+)
commit 6a39e19dde1d0b498d90ccd39ff1673659752e60
Author: jonghee.lee <[email protected]>
Date: Tue, 20 Jun 2023 17:20:11 +0900
apply substitute holiday to southkorea calendar
ql/time/calendars/southkorea.cpp | 11 +++++++----
1 file changed, 7 insertions(+), 4 deletions(-)
commit edba144d18939ee8fe493bda8b739ccf97ebaa16
Author: jonghee.lee <[email protected]>
Date: Tue, 20 Jun 2023 17:10:28 +0900
apply substitute holiday
ql/time/calendars/southkorea.cpp | 118 ++++++++++++++++++++++++++++++++-------
1 file changed, 99 insertions(+), 19 deletions(-)
commit 0bc1e5e3babd907c33bcb002775fc12ef46caa5a
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 19 Jun 2023 16:52:25 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit cb2080b6eb07655f67717a58db7494285eff016e
Merge: c22f15a3e d8e74fbeb
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Jun 2023 18:51:56 +0200
Add Canadian Overnight Repo Rate Average (CORRA) (#1705)
commit d8e74fbebdc53ff54ec55514c571bd13154969ea
Author: Luigi Ballabio <[email protected]>
Date: Mon, 19 Jun 2023 14:50:40 +0200
Reorder lists
QuantLib.vcxproj | 6 +++---
QuantLib.vcxproj.filters | 14 +++++++-------
ql/CMakeLists.txt | 4 ++--
ql/indexes/ibor/Makefile.am | 8 ++++----
ql/indexes/ibor/all.hpp | 1 +
5 files changed, 17 insertions(+), 16 deletions(-)
commit da0076c07e2066f0b8c9d36d7b3e885681cf9267
Author: AND2797 <[email protected]>
Date: Mon, 19 Jun 2023 07:38:46 -0400
#1685: Support Canadian Overnight Repo Rate Average (CORRA)
- add corra.cpp/.hpp to build files
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
ql/CMakeLists.txt | 1 +
ql/indexes/ibor/Makefile.am | 6 ++++--
4 files changed, 13 insertions(+), 2 deletions(-)
commit a1cdeefe80dc2a8f504233a6498cd2e9a7f16297
Author: AND2797 <[email protected]>
Date: Sun, 18 Jun 2023 03:20:59 -0400
#1685: Support Canadian Overnight Repo Rate Average (CORRA)
- remove idle "//"
ql/indexes/ibor/corra.cpp | 1 -
1 file changed, 1 deletion(-)
commit 5326a10825251776b38c6832a6c8efbe8c044caa
Author: AND2797 <[email protected]>
Date: Sat, 17 Jun 2023 22:07:12 -0400
#1685: Support Canadian Overnight Repo Rate Average (CORRA)
ql/CMakeLists.txt | 1 +
ql/indexes/ibor/corra.cpp | 28 ++++++++++++++++++++++++++++
ql/indexes/ibor/corra.hpp | 33 +++++++++++++++++++++++++++++++++
3 files changed, 62 insertions(+)
commit db90eb6758dcecb7a7a319b3e62174a0642e6a09
Author: Andrea Pellegatta <[email protected]>
Date: Fri, 16 Jun 2023 16:27:58 +0200
update copyright
ql/termstructures/credit/defaultprobabilityhelpers.cpp | 1 +
1 file changed, 1 insertion(+)
commit c2808a4b58c8e45687d109800d0a9cfd3a92c677
Author: Andrea Pellegatta <[email protected]>
Date: Fri, 16 Jun 2023 14:56:43 +0200
bug fix upfront-cds-helper initializeDates
.../credit/defaultprobabilityhelpers.cpp | 19 +++++++++++--------
.../credit/defaultprobabilityhelpers.hpp | 2 ++
2 files changed, 13 insertions(+), 8 deletions(-)
commit c22f15a3e98d3b575bc5a4f98ae489e61e963d13
Merge: e89204adb c0db991a2
Author: Luigi Ballabio <[email protected]>
Date: Wed, 14 Jun 2023 16:13:12 +0200
Suppress LeakSanitizer in testNotificationLoop (#1702)
commit c0db991a2e181dfc074c74069aaf830f691792e8
Author: Jonathan Sweemer <[email protected]>
Date: Wed, 14 Jun 2023 00:41:02 +0000
Suppress LeakSanitizer in testNotificationLoop
.github/workflows/sanitizer.yml | 2 +-
.lsan.txt | 1 +
2 files changed, 2 insertions(+), 1 deletion(-)
commit e89204adb38d2579d94194ab3a7361753595605f
Merge: a3d4b90a1 b04defa0a
Author: Luigi Ballabio <[email protected]>
Date: Wed, 14 Jun 2023 11:19:09 +0200
Drop General Prayer Day from DK calendar from 2024 (#1701)
commit b04defa0aa34cda12096d654cc95acbbd2c60fb2
Author: Fredrik Gerdin Börjesson <[email protected]>
Date: Wed, 14 Jun 2023 09:19:31 +0200
Drop General Prayer Day from DK calendar from 2024
"Store Bededag"
ql/time/calendars/denmark.cpp | 2 +-
ql/time/calendars/denmark.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit a3d4b90a1beb944bef8e69ffddca2bf5a0339235
Merge: a3e0f6d97 fcd23eee8
Author: Luigi Ballabio <[email protected]>
Date: Tue, 13 Jun 2023 12:34:04 +0200
Mark Impl classes as final (#1700)
commit fcd23eee864bf725c18c0cee559198f075ebcc50
Author: Eugene Toder <[email protected]>
Date: Sun, 11 Jun 2023 19:27:39 -0400
Mark Impl classes as final
This expresses the intent and allows compiler to generate more efficient
code.
ql/experimental/shortrate/generalizedhullwhite.hpp | 4 ++--
ql/math/interpolations/abcdinterpolation.hpp | 4 ++--
ql/math/interpolations/convexmonotoneinterpolation.hpp | 2 +-
ql/math/interpolations/cubicinterpolation.hpp | 4 ++--
ql/math/interpolations/xabrinterpolation.hpp | 4 ++--
ql/math/optimization/constraint.hpp | 10 +++++-----
ql/math/optimization/projectedconstraint.hpp | 2 +-
ql/methods/finitedifferences/shoutcondition.hpp | 2 +-
ql/models/equity/gjrgarchmodel.cpp | 2 +-
ql/models/equity/hestonmodel.hpp | 2 +-
ql/models/model.hpp | 2 +-
ql/models/parameter.hpp | 6 +++---
ql/models/shortrate/onefactormodels/coxingersollross.cpp | 2 +-
.../shortrate/onefactormodels/extendedcoxingersollross.hpp | 2 +-
ql/models/shortrate/onefactormodels/hullwhite.hpp | 2 +-
ql/models/shortrate/twofactormodels/g2.hpp | 2 +-
ql/models/volatility/garch.cpp | 4 ++--
ql/time/calendars/argentina.hpp | 2 +-
ql/time/calendars/australia.hpp | 4 ++--
ql/time/calendars/austria.hpp | 4 ++--
ql/time/calendars/bespokecalendar.hpp | 2 +-
ql/time/calendars/botswana.hpp | 2 +-
ql/time/calendars/brazil.hpp | 4 ++--
ql/time/calendars/canada.hpp | 4 ++--
ql/time/calendars/chile.hpp | 2 +-
ql/time/calendars/china.hpp | 4 ++--
ql/time/calendars/czechrepublic.hpp | 2 +-
ql/time/calendars/denmark.hpp | 2 +-
ql/time/calendars/finland.hpp | 2 +-
ql/time/calendars/france.hpp | 4 ++--
ql/time/calendars/germany.hpp | 10 +++++-----
ql/time/calendars/hongkong.hpp | 2 +-
ql/time/calendars/hungary.hpp | 2 +-
ql/time/calendars/iceland.hpp | 2 +-
ql/time/calendars/india.hpp | 2 +-
ql/time/calendars/indonesia.hpp | 2 +-
ql/time/calendars/israel.hpp | 2 +-
ql/time/calendars/italy.hpp | 4 ++--
ql/time/calendars/japan.hpp | 2 +-
ql/time/calendars/jointcalendar.hpp | 2 +-
ql/time/calendars/mexico.hpp | 2 +-
ql/time/calendars/newzealand.hpp | 2 +-
ql/time/calendars/norway.hpp | 2 +-
ql/time/calendars/nullcalendar.hpp | 2 +-
ql/time/calendars/poland.hpp | 2 +-
ql/time/calendars/romania.hpp | 2 +-
ql/time/calendars/russia.hpp | 4 ++--
ql/time/calendars/saudiarabia.hpp | 2 +-
ql/time/calendars/singapore.hpp | 2 +-
ql/time/calendars/slovakia.hpp | 2 +-
ql/time/calendars/southafrica.hpp | 2 +-
ql/time/calendars/southkorea.hpp | 2 +-
ql/time/calendars/sweden.hpp | 2 +-
ql/time/calendars/switzerland.hpp | 2 +-
ql/time/calendars/taiwan.hpp | 2 +-
ql/time/calendars/target.hpp | 2 +-
ql/time/calendars/thailand.hpp | 2 +-
ql/time/calendars/turkey.hpp | 2 +-
ql/time/calendars/ukraine.hpp | 2 +-
ql/time/calendars/unitedkingdom.hpp | 6 +++---
ql/time/calendars/unitedstates.hpp | 10 +++++-----
ql/time/calendars/weekendsonly.hpp | 2 +-
ql/time/daycounters/actual360.hpp | 2 +-
ql/time/daycounters/actual364.hpp | 2 +-
ql/time/daycounters/actual36525.hpp | 2 +-
ql/time/daycounters/actual365fixed.hpp | 6 +++---
ql/time/daycounters/actual366.hpp | 2 +-
ql/time/daycounters/actualactual.hpp | 8 ++++----
ql/time/daycounters/business252.hpp | 2 +-
ql/time/daycounters/one.hpp | 2 +-
ql/time/daycounters/simpledaycounter.hpp | 2 +-
ql/time/daycounters/thirty360.hpp | 12 ++++++------
ql/time/daycounters/thirty365.hpp | 2 +-
73 files changed, 112 insertions(+), 112 deletions(-)
commit a3e0f6d979ce51edfa7c9854065b30e46f0c7d44
Merge: 9b4843605 9d85a9d5f
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Jun 2023 11:45:14 +0200
Use bitmask in BespokeCalendar (#1699)
commit 9b4843605dc1202327a06b150ff2186a53239023
Merge: 47a94ff66 1483ead2c
Author: Luigi Ballabio <[email protected]>
Date: Mon, 12 Jun 2023 09:52:55 +0200
Replace custom no_deletion with standard null_deleter (#1698)
commit 9d85a9d5fbfe29317ca27aaa7b89ca30a871e8ef
Author: Eugene Toder <[email protected]>
Date: Sun, 11 Jun 2023 18:19:43 -0400
Use bitmask in BespokeCalendar
Replace std::set with a bitmask, which is more efficient.
ql/time/calendars/bespokecalendar.cpp | 4 ++--