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ChangeLog.txt
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commit 8614d8d3f74194a595405afc95cd9bd58a93ca92
Author: Luigi Ballabio <[email protected]>
Date: Mon, 20 Jan 2025 09:53:26 +0100
Set version to 1.37 final
Python/setup.py | 2 +-
SWIG/ql.i | 4 ++--
configure.ac | 2 +-
3 files changed, 4 insertions(+), 4 deletions(-)
commit c55aceb1c71067786727df61313f9a475db6897c
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Oct 2024 14:29:46 +0200
Set version to 1.37-rc
Python/setup.py | 2 +-
configure.ac | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit b939b2f7d5d1676046a50a388d5a1d92182ecd27
Author: Luigi Ballabio <[email protected]>
Date: Tue, 7 Jan 2025 20:35:20 +0100
Update changelog and news
ChangeLog.txt | 640 ++++++++++++++++++++++++++++------------------------------
News.md | 61 ++----
2 files changed, 329 insertions(+), 372 deletions(-)
commit 0bced53a2f3aa2d585e3b8b1e2fcf5a73cfa8311
Merge: a397e539 23d42609
Author: Luigi Ballabio <[email protected]>
Date: Tue, 7 Jan 2025 20:33:01 +0100
Added ChoiAsianEngine (#701)
commit 23d42609589d17f09deb703d95d6b000329db03b
Author: klaus spanderen <[email protected]>
Date: Tue, 7 Jan 2025 20:05:33 +0100
fixed typo
SWIG/asianoptions.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2e5b91069bc65a160daeea1bc95a02d6cc3c7383
Author: klaus spanderen <[email protected]>
Date: Tue, 7 Jan 2025 20:04:00 +0100
added ChoiAsianEngine
SWIG/asianoptions.i | 14 ++++++++++++++
1 file changed, 14 insertions(+)
commit a397e5397f94e30ac74a37ce1e676f050466d1b0
Merge: 17829e97 2abba45d
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 18:49:46 +0100
Export MultipleResetsCoupon (#700)
commit 17829e97370fd541fd140b35eadad566ed890784
Merge: 3f1b8e59 19993f0f
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 18:28:02 +0100
Export new constructors for FittedBondDiscountCurve (#699)
commit 3f1b8e59805a16e31c9e400b7ee9d352a6579f4f
Merge: bbb5b997 986d60a4
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 18:01:58 +0100
Export additional arguments for AssetSwap constructor (#698)
commit 2abba45d554e8b824767b4d3ce27fb435545337a
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 18:01:15 +0100
Export MultipleResetsCoupon
SWIG/cashflows.i | 95 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 95 insertions(+)
commit 19993f0ff2469cdfa364e83d7dbee9841a361a5d
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 17:29:46 +0100
Export new constructors for FittedBondDiscountCurve
SWIG/fittedbondcurve.i | 11 +++++++++++
1 file changed, 11 insertions(+)
commit 986d60a4bcaec245dba330d229be26f27de4c627
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 17:11:21 +0100
Export additional arguments for AssetSwap constructor
SWIG/swap.i | 17 ++++++++++-------
1 file changed, 10 insertions(+), 7 deletions(-)
commit bbb5b997462157962d6e16b31e898995c44591dc
Merge: d78300a1 c197afb3
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 17:05:04 +0100
Export Wellington and Auckland variants for New Zealand calendar (#697)
commit d78300a18ec3b35173d02cdc6aa8fdaca53135ef
Merge: 14cefa44 fb9ab717
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 14:58:24 +0100
Add new constructors for YoY inflation curves (#696)
commit c197afb34a5ce77b3450ebebbae61fa742bd0dae
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 09:58:28 +0100
Export Wellington and Auckland variants for New Zealand calendar
SWIG/calendars.i | 7 ++++++-
1 file changed, 6 insertions(+), 1 deletion(-)
commit 14cefa4435e69b1428c190850461b6ad8aeb0f24
Merge: 43e6a7ec 0f0b6eb7
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Dec 2024 09:53:51 +0100
Export Kofr index (#694)
commit fb9ab717056053a072db1d825e82a15c70c81359
Author: Luigi Ballabio <[email protected]>
Date: Fri, 27 Dec 2024 19:12:01 +0100
Add new constructors for YoY inflation curves
SWIG/inflation.i | 19 +++++++++++++++++++
1 file changed, 19 insertions(+)
commit 0f0b6eb7b6ae410a5b4fa4f85543d2bd56919af2
Author: Luigi Ballabio <[email protected]>
Date: Fri, 27 Dec 2024 16:59:47 +0100
Export Kofr index
SWIG/indexes.i | 1 +
1 file changed, 1 insertion(+)
commit 43e6a7ec9c6999a04ea6bfaa173d1b5bc50b4435
Author: Luigi Ballabio <[email protected]>
Date: Tue, 26 Nov 2024 17:17:19 +0100
Avoid error on MSVC
SWIG/ratehelpers.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 28b91c2a502cced06b5da9bcfe57cc2b8404a7f5
Merge: d78b084f d7269a4c
Author: Luigi Ballabio <[email protected]>
Date: Tue, 26 Nov 2024 12:03:15 +0100
Export range-accrual coupon (#692)
commit d78b084fa075e0427deb06b46df6d3428f4cac0f
Merge: 4ef87cd1 b35a9b7b
Author: Luigi Ballabio <[email protected]>
Date: Tue, 26 Nov 2024 11:41:30 +0100
Add a few missing methods to some short-rate models (#691)
commit d7269a4c7373b76efa232555420d49ed2188d8fb
Author: Luigi Ballabio <[email protected]>
Date: Tue, 26 Nov 2024 11:12:56 +0100
Export range-accrual coupon
SWIG/cashflows.i | 84 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 84 insertions(+)
commit b35a9b7bd53058195edd67ef2a4445fdc4604790
Author: Luigi Ballabio <[email protected]>
Date: Tue, 26 Nov 2024 10:36:11 +0100
Add a few missing methods to some short-rate models
SWIG/shortratemodels.i | 28 +++++++++++++++++++---------
1 file changed, 19 insertions(+), 9 deletions(-)
commit 4ef87cd111c9c7f7d34352bdfec739a1a40b029b
Author: Luigi Ballabio <[email protected]>
Date: Mon, 25 Nov 2024 12:06:17 +0100
Fail CI build if SWIG warns
.ci/csharp.build | 2 +-
.ci/java-new.build | 2 +-
.ci/java-old.build | 2 +-
.ci/python.build | 2 +-
.ci/r.build | 2 +-
.ci/scala.build | 2 +-
CSharp/Makefile.am | 2 +-
Java/Makefile.am | 10 +++++-----
Python/Makefile.am | 2 +-
R/Makefile.am | 2 +-
Scala/Makefile.am | 2 +-
11 files changed, 15 insertions(+), 15 deletions(-)
commit 072ca1a9315dfacec455c2eb8478c0aaf44f4423
Merge: 7fb01901 4c4fbeac
Author: Luigi Ballabio <[email protected]>
Date: Mon, 25 Nov 2024 15:25:25 +0100
Remove old overload for `yoyInflationLeg`, re-enable kwargs (#690)
commit 4c4fbeac9948018bcbfe97416e6607bbd16f9831
Author: Luigi Ballabio <[email protected]>
Date: Mon, 25 Nov 2024 11:46:47 +0100
Remove old overload, re-enable kwargs
SWIG/inflation.i | 34 ----------------------------------
1 file changed, 34 deletions(-)
commit 7fb0190171ec95a410a736cf9389c1b0736adc7c
Merge: 1a33f15e afdfc614
Author: Luigi Ballabio <[email protected]>
Date: Wed, 20 Nov 2024 08:14:00 +0100
align interface definition of spread option engines (#689)
commit afdfc614d4de826350d4204c9d07a12e9f00036c
Author: klaus spanderen <[email protected]>
Date: Tue, 19 Nov 2024 21:43:47 +0100
align interface definition of spread option engines
SWIG/basketoptions.i | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 1a33f15ed5b23711b7123e101739b62408cc9ffd
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 12 Nov 2024 16:56:12 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e82ce0aa0076eb09c75df9ad4dd064df78929d27
Merge: ea64f668 aa6b5a56
Author: Luigi Ballabio <[email protected]>
Date: Tue, 12 Nov 2024 17:55:41 +0100
added pricing engines for spread- and basket options (#686)
commit aa6b5a566e890cf242a7c1db19ebfb475d721d22
Author: Luigi Ballabio <[email protected]>
Date: Tue, 12 Nov 2024 15:09:09 +0100
Enable kwargs for Fd2dBlackScholesVanillaEngine
Python/test/test_basket_option.py | 135 +++++++++++++++++---------------------
SWIG/basketoptions.i | 21 +++---
2 files changed, 73 insertions(+), 83 deletions(-)
commit 016a63e7e274d5e3df1632eca3a2255661910597
Author: klaus spanderen <[email protected]>
Date: Sat, 9 Nov 2024 20:20:44 +0100
.
SWIG/basketoptions.i | 1 +
1 file changed, 1 insertion(+)
commit 9f69aa60303e06241b3be3fbe326ab7b891c1aa7
Author: klaus spanderen <[email protected]>
Date: Sat, 9 Nov 2024 19:31:32 +0100
fixed Can't use keyword arguments with overloaded functions
SWIG/basketoptions.i | 3 ---
SWIG/linearalgebra.i | 2 +-
2 files changed, 1 insertion(+), 4 deletions(-)
commit 3f8f182277099e92df4706f474237b4efd54c44f
Author: klaus spanderen <[email protected]>
Date: Sat, 9 Nov 2024 19:20:56 +0100
added Wiener PDE operator
SWIG/fdm.i | 10 ++++++++++
SWIG/linearalgebra.i | 13 +++++++++++++
2 files changed, 23 insertions(+)
commit a0c00fbc69aa3eee6bed0c83885d9423c8ed4e1d
Author: klaus spanderen <[email protected]>
Date: Sat, 9 Nov 2024 17:02:52 +0100
added basket-spread option pricing engines
Python/test/test_basket_option.py | 185 ++++++++++++++++++++++++++++++++++++++
SWIG/basketoptions.i | 108 ++++++++++++++++++++--
SWIG/linearalgebra.i | 2 +-
3 files changed, 285 insertions(+), 10 deletions(-)
commit ea64f668e2d25d071ae90e782d3452c0fc4eff1f
Merge: 592372fa d21a60ce
Author: Luigi Ballabio <[email protected]>
Date: Mon, 4 Nov 2024 18:03:05 +0100
Fix SwapRateHelper.forDates's withIndexedCoupons (#685)
commit d21a60ceb9fdce89769f099b53bafb9f811a1aa4
Author: Eugene Toder <[email protected]>
Date: Mon, 4 Nov 2024 11:14:35 -0500
Fix SwapRateHelper.forDates's withIndexedCoupons
Use ext::optional instead of const ref, since we don't have typemaps for
the latter.
SWIG/ratehelpers.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 592372fa4e1cb301834d2224a4c7da70f9fa595f
Merge: 04d0086b f262fb76
Author: Luigi Ballabio <[email protected]>
Date: Mon, 4 Nov 2024 13:28:30 +0100
Add rule kwarg to OISRateHelper constructor - default to Backward (#684)
commit f262fb76de159c8b1d7b056c79ab9e935b4ecc64
Author: sophistis42 <[email protected]>
Date: Mon, 4 Nov 2024 11:50:39 +0100
Added date generation rule to forDates function, following Luigi's suggestion
SWIG/ratehelpers.i | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 5967cbbd638b80493533fef3835a71aec931c516
Author: sophistis42 <[email protected]>
Date: Mon, 4 Nov 2024 11:05:16 +0100
Add rule kwarg to OISRateHelper constructor
SWIG/ratehelpers.i | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 04d0086be1fd05e1775c2d8e7a4992110248fdcd
Merge: 6fb803d3 959945cc
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Oct 2024 13:43:48 +0100
Add forDates() to SwapRateHelper and OISRateHelper (#683)
commit 959945ccecc62dc84e96ae669ea3b63df529e478
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Oct 2024 12:53:35 +0100
Return shared_ptrs to avoid copies
SWIG/ratehelpers.i | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 92fd63326fbf26fd8cf8ce0f06d74ddbd1f02d68
Author: Luigi Ballabio <[email protected]>
Date: Mon, 28 Oct 2024 12:36:37 +0100
Avoid compilation error on VC++
SWIG/ratehelpers.i | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 6fb803d30c2004216c00e216b18f103cb8fa5153
Merge: d10cd8d6 e3321bd2
Author: Luigi Ballabio <[email protected]>
Date: Fri, 25 Oct 2024 20:23:28 +0200
Don't export class deprecated and removed in C++ library (#682)
commit 63430808e95c0de57225b87148f6041ff3b56086
Author: Eugene Toder <[email protected]>
Date: Fri, 25 Oct 2024 12:43:26 -0400
Add forDates() to SwapRateHelper and OISRateHelper
These produce "dated" helpers.
Do not overload constructors so that we can support kwargs.
SWIG/ratehelpers.i | 57 ++++++++++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 57 insertions(+)
commit c3f82e540b232191e03924f628bcdf4c809af9db
Author: Eugene Toder <[email protected]>
Date: Fri, 25 Oct 2024 11:31:30 -0400
Remove FixedRateBondForward
It was deleted from C++ QuantLib.
SWIG/forward.i | 22 +---------------------
1 file changed, 1 insertion(+), 21 deletions(-)
commit e3321bd2cb127b6a1bb4969449aeddc5061a660a
Author: Luigi Ballabio <[email protected]>
Date: Fri, 25 Oct 2024 17:17:34 +0200
Don't export class removed in C++
SWIG/forward.i | 27 ++-------------------------
1 file changed, 2 insertions(+), 25 deletions(-)
commit d10cd8d6ffee6e49c8aad86fb7b54d2d7ea5b2a6
Author: Luigi Ballabio <[email protected]>
Date: Mon, 21 Oct 2024 16:02:12 +0200
Update SWIG in Docker images for CI
dockerfiles/ci.base.Dockerfile | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2ff1056acdb34d33cba55d11456f8da8bddcff88
Merge: 439ae070 9311fd03
Author: Luigi Ballabio <[email protected]>
Date: Wed, 16 Oct 2024 15:29:33 +0200
Expose swap() on DatedOISRateHelper (#678)
commit 439ae0706130e9b1ea88292fa0de6e1cc68ec4c8
Author: Luigi Ballabio <[email protected]>
Date: Wed, 16 Oct 2024 13:29:01 +0200
Use Ubuntu noble for devenv images.
Later images are more particular about compiler warnings.
.github/workflows/devenv-images.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 879df429f694783919158a4a815315b3d34a1012
Merge: 69a3f18d 8785f22e
Author: Luigi Ballabio <[email protected]>
Date: Wed, 16 Oct 2024 08:49:25 +0200
Avoid classes deprecated in version 1.32 and removed in 1.37 (#679)
commit 39bff1d2793bd369dd4077fd8847f0778c0dbb09
Author: Eugene Toder <[email protected]>
Date: Tue, 15 Oct 2024 17:28:07 -0400
Remove SampledCurve
Was deleted from C++ QuantLib.
SWIG/linearalgebra.i | 13 -------------
SWIG/options.i | 6 ------
SWIG/ql.i | 1 -
SWIG/sampledcurve.i | 45 ---------------------------------------------
4 files changed, 65 deletions(-)
commit d3f1144e19e81850761846aac392259580b95d8a
Author: Eugene Toder <[email protected]>
Date: Tue, 15 Oct 2024 17:04:58 -0400
Expose swap() on DatedOISRateHelper
Also, IborIborBasisSwapRateHelper and OvernightIborBasisSwapRateHelper.
SWIG/ratehelpers.i | 13 +++++++++++++
1 file changed, 13 insertions(+)
commit 69a3f18d6f64ebd9d07e8f36f2363c413b00daf9
Author: Luigi Ballabio <[email protected]>
Date: Fri, 20 Oct 2023 11:34:41 +0200
Set version to 1.37-dev
Python/setup.py | 2 +-
R/DESCRIPTION | 2 +-
configure.ac | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 8785f22e41e01b346ab9a6c00fcf78de959b6955
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sat, 12 Oct 2024 19:29:43 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 94c6d01158a2c79049de172dbd9cb17ae4a9bd00
Author: Luigi Ballabio <[email protected]>
Date: Sat, 12 Oct 2024 21:18:15 +0200
Avoid classes deprecated in version 1.32 and removed in 1.37
SWIG/linearalgebra.i | 14 --------------
SWIG/options.i | 6 ------
SWIG/ql.i | 1 -
SWIG/sampledcurve.i | 45 ---------------------------------------------
4 files changed, 66 deletions(-)