From c517b5eb7cf2f26314a6ca14455ba8761aa36a40 Mon Sep 17 00:00:00 2001 From: Luigi Ballabio Date: Mon, 8 Jan 2024 12:59:39 +0100 Subject: [PATCH] Update news and changelog --- ChangeLog.txt | 6899 ++++++++++++++++++++++++++++++--------- Contributors.txt | 4 + Docs/pages/history.docs | 76 +- News.md | 199 +- 4 files changed, 5543 insertions(+), 1635 deletions(-) diff --git a/ChangeLog.txt b/ChangeLog.txt index 180a7ede422..6fec2c52600 100644 --- a/ChangeLog.txt +++ b/ChangeLog.txt @@ -1,1900 +1,5795 @@ -commit ab65963d73e2f194253e1267bfec4dd606083e48 +commit 216e962f94454fda33f513783312d6bd8b8c40b9 Author: Luigi Ballabio -Date: Mon, 12 Jul 2021 09:46:54 +0200 +Date: Mon, 8 Jan 2024 11:22:18 +0100 - Set version to 1.32 final. + Remove redundant test and polish a few test messages - CMakeLists.txt | 4 ++-- - configure.ac | 2 +- - ql/version.hpp | 4 ++-- - 3 files changed, 5 insertions(+), 5 deletions(-) + test-suite/dates.cpp | 4 ++-- + test-suite/period.cpp | 8 ++++---- + test-suite/prices.cpp | 32 ++++---------------------------- + test-suite/timeseries.cpp | 4 ++-- + 4 files changed, 12 insertions(+), 36 deletions(-) -commit ac90bef266f29990b5709681a06dd7030c4f5fdb -Author: Luigi Ballabio -Date: Thu, 19 Oct 2023 11:17:32 +0200 +commit 107483cb14607f94575957d40528e5f5cc71efc8 +Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> +Date: Sun, 7 Jan 2024 01:30:54 +0000 - Update news + Automated fixes by clang-tidy - Docs/pages/history.docs | 7 ++++--- - News.md | 8 +++++--- - 2 files changed, 9 insertions(+), 6 deletions(-) + test-suite/quantlibbenchmark.cpp | 1 - + 1 file changed, 1 deletion(-) -commit 6c22cad48d028ac55be72c5dc7bb169fe87eeb7b -Merge: d02ef2471 ebef37553 +commit 484e48af47ed6b8cf37be5a45e0962a572940a1f Author: Luigi Ballabio -Date: Tue, 17 Oct 2023 23:23:26 +0200 +Date: Sun, 7 Jan 2024 21:18:13 +0100 - apply the paymentLag and paymentCalendar to the fixed leg (#1812) + Download boost binaries from Sourceforge. + + JFrog now requires authentication. -commit d02ef2471e06680250ba8840bf4cd0f3fadd8f8f -Author: Luigi Ballabio -Date: Fri, 13 Oct 2023 09:17:31 +0200 + .github/workflows/cmake.yml | 18 +++++++++--------- + .github/workflows/msvc-analysis.yml | 6 +++--- + dockerfiles/ci.Dockerfile | 2 +- + 3 files changed, 13 insertions(+), 13 deletions(-) - Update documentation for configuration flag +commit dee33df049a031fed50bb3690615c2116015eb84 +Merge: 6aca59ed1 84d52647c +Author: Luigi Ballabio +Date: Fri, 5 Jan 2024 14:03:48 +0100 - Docs/pages/config.docs | 1 - - configure.ac | 13 ++++++------- - ql/userconfig.hpp | 7 +++---- - 3 files changed, 9 insertions(+), 12 deletions(-) + Added Dec. 31 NYE holiday to Chilean calendar in chile.cpp (#1846) -commit ebef37553632ab8ee8cc08a9534151e367a077d7 -Author: Guillaume Horel -Date: Thu, 12 Oct 2023 15:43:36 -0400 +commit 84d52647cc6eb60e409ed9a72d8b1bd78b6a2843 +Author: Luigi Ballabio +Date: Fri, 5 Jan 2024 11:11:06 +0100 - apply the paymentLag and paymentCalendar to the fixed leg + Update chile.hpp - ql/instruments/overnightindexedswap.cpp | 2 +- + ql/time/calendars/chile.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit 82f71c2b2a644c7206706be93a7bf252f8829220 -Merge: 79561ae4c 88205db80 +commit 6aca59ed1607d0fe83b1560f22bc7d460d28161a +Merge: 7ca3a94d3 4923b7996 Author: Luigi Ballabio -Date: Fri, 6 Oct 2023 16:50:06 +0200 +Date: Fri, 5 Jan 2024 10:10:14 +0100 - fix past-end iterator dereference, clean up (#1806) + Binary search in times (#1876) -commit 88205db8044668af1b62bc54b37ef2ae4bded7b2 -Author: Peter Caspers -Date: Fri, 6 Oct 2023 15:28:47 +0200 +commit 4923b7996d55b48ca617da5f698d0437b6133ed6 +Author: Yi Jiang +Date: Thu, 4 Jan 2024 19:15:18 -0500 - fix past-end iterator dereference, clean up + Shouldn't subtract 1, what was I thinking? - ql/time/ecb.cpp | 93 ++++++++++++++++++++++++++++++++++----------------------- - 1 file changed, 55 insertions(+), 38 deletions(-) + ql/models/parameter.hpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit 79561ae4c71ac3c4e39d401cc1fc8bf05f77b38c -Merge: 6f3046752 0a6c999ea +commit 7ca3a94d3352dfc75bc241905c2baac11f5afd4a +Merge: 72d410d55 07a972a10 Author: Luigi Ballabio -Date: Fri, 6 Oct 2023 08:39:21 +0200 +Date: Thu, 4 Jan 2024 14:00:45 +0100 - Avoid internal compiler error on VC++17 (#1805) + added china calendar for the year 2024 (#1873) -commit 0a6c999eaa5ccc1ff1d2e97ece52c285739d0a7a +commit 07a972a10e09e91d1553b0eb5ed39cd7e9409fff Author: Luigi Ballabio -Date: Thu, 5 Oct 2023 11:37:56 +0200 +Date: Thu, 4 Jan 2024 10:35:14 +0100 - Avoid internal compiler error on VC++17 - - It doesn't seem to like fancy default arguments. - - News.md | 4 ++ - ql/cashflows/digitalcmscoupon.cpp | 5 ++ - ql/cashflows/digitalcmscoupon.hpp | 12 ++-- - ql/cashflows/digitalcoupon.cpp | 15 ++--- - ql/cashflows/digitalcoupon.hpp | 2 +- - ql/cashflows/digitaliborcoupon.cpp | 5 ++ - ql/cashflows/digitaliborcoupon.hpp | 12 ++-- - ql/experimental/coupons/digitalcmsspreadcoupon.cpp | 5 ++ - ql/experimental/coupons/digitalcmsspreadcoupon.hpp | 12 ++-- - test-suite/digitalcoupon.cpp | 64 ++++++---------------- - 10 files changed, 65 insertions(+), 71 deletions(-) - -commit 6f3046752c018544f6d022a3e437aaf5fe273462 -Merge: 2d161c53c bc12e98e4 -Author: Luigi Ballabio -Date: Thu, 5 Oct 2023 15:25:46 +0200 + std::set can be initialized directly - Fix double/Real consistency for maintaining AAD compatibility (#1803) + ql/time/calendars/china.cpp | 5 +---- + 1 file changed, 1 insertion(+), 4 deletions(-) -commit bc12e98e4fa3f387f1b4b50920b3570324f49a26 -Author: Auto Differentiation Dev Team -Date: Thu, 5 Oct 2023 10:40:47 +0100 +commit 745516bcc9828413c1a1d842efc5f769964cffb9 +Author: Yi Jiang +Date: Wed, 3 Jan 2024 15:35:37 -0500 - Fixing warning for integer/double comparison + forgot std:: - test-suite/libormarketmodel.cpp | 2 +- + ql/models/parameter.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit 5ddeb72157283def81642952912e2552844c7265 -Author: Auto Differentiation Dev Team -Date: Thu, 5 Oct 2023 10:40:15 +0100 +commit 7fdddedaf09993365e91cdde98bf96b4aa4a72f5 +Author: Yi Jiang +Date: Wed, 3 Jan 2024 15:30:37 -0500 - Fixing double/Real consistency, maintaining AAD compatibility + Binary search in times - test-suite/xoshiro256starstar.cpp | 12 ++++++------ - 1 file changed, 6 insertions(+), 6 deletions(-) + ql/models/parameter.hpp | 8 ++------ + 1 file changed, 2 insertions(+), 6 deletions(-) -commit 2d161c53c46f87815b1265c9f566c2b867786b62 +commit 72d410d55bd50a57792231b2ace8eacda4520dbb Author: Luigi Ballabio -Date: Wed, 4 Oct 2023 11:52:15 +0200 +Date: Wed, 3 Jan 2024 09:10:39 +0100 - Set version to 1.32-rc + Add clang 17 to CI build matrix - CMakeLists.txt | 4 ++-- - configure.ac | 2 +- - ql/version.hpp | 4 ++-- - 3 files changed, 5 insertions(+), 5 deletions(-) + .github/workflows/devenv-images.yml | 2 +- + .github/workflows/linux-full-tests.yml | 5 +++++ + .github/workflows/linux-nondefault.yml | 5 +++++ + .github/workflows/linux.yml | 7 ++++++- + 4 files changed, 17 insertions(+), 2 deletions(-) -commit dd94abe5439bcdec6c949b69b5fb5c6edbdcc9d1 -Author: Luigi Ballabio -Date: Wed, 4 Oct 2023 11:18:57 +0200 +commit 970a5ac8086d6d4e3def6f32a41f64559741e2f9 +Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> +Date: Sun, 31 Dec 2023 01:23:12 +0000 - Update news and changelog + Automated fixes by clang-tidy - ChangeLog.txt | 3892 ++++++++++++++++------------------------------- - Contributors.txt | 1 + - Docs/pages/history.docs | 124 +- - News.md | 175 ++- - 4 files changed, 1633 insertions(+), 2559 deletions(-) + ql/time/asx.cpp | 4 ++-- + ql/time/ecb.cpp | 8 ++++---- + test-suite/quantlibbenchmark.cpp | 5 +++-- + 3 files changed, 9 insertions(+), 8 deletions(-) -commit c13293b9ec69b94d44c04cea224bb16479160364 -Author: Luigi Ballabio -Date: Tue, 3 Oct 2023 14:36:39 +0200 +commit 3a044ac11eca4819cce94f1244fb6edc7d252b44 +Author: wegamekinglc +Date: Mon, 1 Jan 2024 17:47:00 +0800 - Sync qldefines.hpp.cfg + added china calendar for the year 2024 - ql/qldefines.hpp.cfg | 6 ++++++ - 1 file changed, 6 insertions(+) + ql/time/calendars/china.cpp | 21 ++++++++++++++++++--- + test-suite/calendars.cpp | 36 ++++++++++++++++++++++++++++++++++-- + 2 files changed, 52 insertions(+), 5 deletions(-) -commit 751144fa19b05d5066eb11948f64ba7fa072fd49 +commit 7dfe04c3797552f8853f0368eb8f7c07ef7051cd +Merge: 9f29f971f cf68b4746 Author: Luigi Ballabio -Date: Mon, 2 Oct 2023 08:58:23 +0200 - - Disable array-bounds warning in workflow. - - This prevents us from playing whack-a-mole with warnings while - we investigate. +Date: Thu, 28 Dec 2023 15:01:59 +0100 - .github/workflows/linux-nondefault.yml | 2 +- - Examples/BermudanSwaption/BermudanSwaption.cpp | 9 --------- - .../shortrate/calibrationhelpers/swaptionhelper.cpp | 10 ---------- - test-suite/bermudanswaption.cpp | 19 ------------------- - 4 files changed, 1 insertion(+), 39 deletions(-) + ASX: simplified/improved implementation; completed test coverage (#1854) -commit 4a1fe40d040eea4833179ad1c62d70d3af0b41d7 -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Sun, 1 Oct 2023 02:21:05 +0000 - - Automated fixes by clang-tidy - - ql/instruments/overnightindexedswap.cpp | 4 ++-- - ql/instruments/overnightindexedswap.hpp | 2 +- - 2 files changed, 3 insertions(+), 3 deletions(-) - -commit eaa249d7fa24c0dfd796a81ba27281e989cd55b7 -Merge: 1e58438eb 7df75adc4 +commit 9f29f971f9e28c6589352afcb6f8bf3cc6f4a453 +Merge: 12f63d5c1 7c5fb9243 Author: Luigi Ballabio -Date: Fri, 29 Sep 2023 14:26:30 +0200 +Date: Thu, 28 Dec 2023 14:51:38 +0100 - Include time zero / evaluation date in option date interpolation (#1783) + ECB: updated hard-coded known dates; simplified/improved implementation; completed test coverage (#1865) -commit 1e58438ebae55f538d9f3ac29fbcaa4ff850a72a -Merge: 75accb52d 6dc78b2a7 +commit 12f63d5c1101fbbb3a1d82d13df12f6544fcb5f3 Author: Luigi Ballabio -Date: Fri, 29 Sep 2023 10:27:55 +0200 +Date: Thu, 28 Dec 2023 12:59:41 +0100 - Detect null time-to-reference when calculating zero rates (#1798) + Move test to faster section + + test-suite/optimizers.cpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit 6dc78b2a7d4287b068f431a702c320eeacb484be +commit 7c5fb9243a282481c6c2683a7db8503f6a8465ba Author: Luigi Ballabio -Date: Thu, 28 Sep 2023 14:24:52 +0200 +Date: Thu, 28 Dec 2023 12:16:50 +0100 - Detect null time-to-reference + Match format with variable signedness - ql/termstructures/yieldtermstructure.cpp | 5 +++-- - test-suite/termstructures.cpp | 30 ++++++++++++++++++++++++------ - test-suite/termstructures.hpp | 1 + - 3 files changed, 28 insertions(+), 8 deletions(-) + ql/time/ecb.cpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit 75accb52d7d71660371bc23484c82da42336b8d6 -Merge: a2e4bc529 eedd3db3f +commit ea2cbd73d4928976059c336955898938237048f5 Author: Luigi Ballabio -Date: Thu, 28 Sep 2023 14:24:22 +0200 +Date: Thu, 28 Dec 2023 12:09:10 +0100 - `xoshiro265**` uniform random number generator (#1769) + Explicitly include required header -commit 7df75adc4a82ebb64437ba33668bf2a0e84431e4 -Author: Peter Caspers -Date: Thu, 28 Sep 2023 14:13:34 +0200 + ql/time/ecb.cpp | 5 +++-- + 1 file changed, 3 insertions(+), 2 deletions(-) - we do not need to do that here, it's done in the base class already +commit 7eb870f7981495a66c1e7ddd6badb7f72a3c52b1 +Merge: 5d4d4bbd0 f0e795df7 +Author: Luigi Ballabio +Date: Wed, 27 Dec 2023 17:58:05 +0100 - ql/termstructures/volatility/swaption/swaptionvolcube.cpp | 1 - - 1 file changed, 1 deletion(-) + Period: Complete unit tests (#1867) -commit 550a1a46d8b6ce44e84ba0e630e04e8a1fd7f143 -Author: Peter Caspers -Date: Thu, 28 Sep 2023 13:34:42 +0200 +commit 5d4d4bbd072f93b46adf875d406b24da648a517c +Author: Luigi Ballabio +Date: Wed, 27 Dec 2023 17:24:10 +0100 - fix evaluation / reference date handling + Update Doxygen configuration - .../volatility/swaption/swaptionvolcube.cpp | 3 +-- - .../volatility/swaption/swaptionvoldiscrete.cpp | 16 ++++++++-------- - .../volatility/swaption/swaptionvoldiscrete.hpp | 3 ++- - 3 files changed, 11 insertions(+), 11 deletions(-) + Docs/quantlib.doxy | 12 +++++++++++- + 1 file changed, 11 insertions(+), 1 deletion(-) -commit eedd3db3f593c1346b593e4d6609cc87829fe788 +commit 2bc581e8bf9356f7fcf98d9ad0fafb94215e5432 Author: Luigi Ballabio -Date: Thu, 28 Sep 2023 11:29:28 +0200 +Date: Wed, 27 Dec 2023 16:09:38 +0100 - Use C++-style header + Fix missing doc groups - .../randomnumbers/xoshiro256starstaruniformrng.cpp | 16 ++++++------ - .../randomnumbers/xoshiro256starstaruniformrng.hpp | 30 +++++++++++----------- - 2 files changed, 23 insertions(+), 23 deletions(-) + Docs/pages/engines.docs | 6 ++++++ + Docs/pages/termstructures.docs | 13 ++++++++++++- + ql/experimental/callablebonds/blackcallablebondengine.hpp | 4 ++-- + ql/experimental/callablebonds/treecallablebondengine.hpp | 4 ++-- + ql/experimental/credit/factorspreadedhazardratecurve.hpp | 2 +- + ql/experimental/credit/lossdistribution.hpp | 12 ------------ + ql/experimental/credit/riskyassetswapoption.hpp | 1 - + ql/experimental/credit/spreadedhazardratecurve.hpp | 2 +- + ql/experimental/credit/syntheticcdo.hpp | 2 -- + ql/pricingengines/bond/binomialconvertibleengine.hpp | 2 +- + ql/pricingengines/bond/discountingbondengine.hpp | 4 ++++ + ql/pricingengines/swap/discountingswapengine.hpp | 4 ++++ + ql/termstructures/globalbootstrap.hpp | 1 - + 13 files changed, 33 insertions(+), 24 deletions(-) -commit a65b43e332d52f6627f34db3ce45a017ac36a3b3 -Author: Luigi Ballabio -Date: Thu, 28 Sep 2023 11:18:22 +0200 +commit e5733c4e0c1fcf3272a69c80ad05a4a73ab6aa6c +Author: Paul +Date: Wed, 27 Dec 2023 14:45:06 +0100 - Move splitmix rng to anonymous namespace + iterate bimap correctly - QuantLib.vcxproj | 1 - - QuantLib.vcxproj.filters | 3 -- - ql/CMakeLists.txt | 1 - - ql/math/randomnumbers/Makefile.am | 1 - - ql/math/randomnumbers/all.hpp | 1 - - ql/math/randomnumbers/splitmix64.hpp | 57 ---------------------- - .../randomnumbers/xoshiro256starstaruniformrng.cpp | 43 +++++++++++++--- - .../randomnumbers/xoshiro256starstaruniformrng.hpp | 2 +- - test-suite/xoshiro256starstar.cpp | 22 ++++----- - 9 files changed, 45 insertions(+), 86 deletions(-) + ql/time/ecb.cpp | 9 +++++---- + 1 file changed, 5 insertions(+), 4 deletions(-) -commit a2e4bc5291381df0d995d50f4243528dad5f83ec -Author: Luigi Ballabio -Date: Tue, 26 Sep 2023 16:53:44 +0200 +commit 850af05dfcab7bf6b40630e098e7d7ab370a0206 +Author: Paul +Date: Wed, 27 Dec 2023 14:25:38 +0100 - Avoid a few new warnings - - Hopefully, they're false positives. Tests run correctly. + case insensitive comparison - Examples/BermudanSwaption/BermudanSwaption.cpp | 11 +++++++++++ - .../shortrate/calibrationhelpers/swaptionhelper.cpp | 9 +++++++++ - test-suite/bermudanswaption.cpp | 21 +++++++++++++++++++++ - 3 files changed, 41 insertions(+) + ql/time/ecb.cpp | 52 ++++++++++++++++++++++++++++++++++++---------------- + 1 file changed, 36 insertions(+), 16 deletions(-) -commit d08dc8582752233ca94780fec431775821b2a2fa +commit d3e4b9c223632a78f51f63e011c10317197f6b06 Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Sun, 24 Sep 2023 02:14:40 +0000 +Date: Sun, 24 Dec 2023 01:29:10 +0000 Automated fixes by clang-tidy - ql/instruments/overnightindexedswap.cpp | 8 ++++---- - ql/instruments/overnightindexedswap.hpp | 4 ++-- - 2 files changed, 6 insertions(+), 6 deletions(-) - -commit ac9d99640ed20bc8d2f5ac7641dbbe00efdf08bb -Merge: fd99a8ef2 43d9613de -Author: Luigi Ballabio -Date: Fri, 22 Sep 2023 13:12:59 +0200 - - Add special holiday 2 Oct 2023 for Korea (#1793) + ql/math/integrals/exponentialintegrals.cpp | 8 ++++---- + ql/pricingengines/vanilla/analytichestonengine.cpp | 11 +++++------ + ql/pricingengines/vanilla/analytichestonengine.hpp | 10 +++++----- + test-suite/quantlibbenchmark.cpp | 4 ++-- + 4 files changed, 16 insertions(+), 17 deletions(-) -commit 43d9613def41597176b1ab7c338807caf0197044 -Author: Fredrik Gerdin Börjesson -Date: Fri, 22 Sep 2023 11:47:55 +0200 +commit f0e795df79c9835e52e9c5172291e138bc65b3ac +Author: Paul +Date: Thu, 21 Dec 2023 16:13:26 +0100 - Add new Korean holiday to tests + test days(Period) - test-suite/calendars.cpp | 2 ++ - 1 file changed, 2 insertions(+) + test-suite/period.cpp | 13 +++++++++++++ + 1 file changed, 13 insertions(+) -commit e9f820678e48ea7b7e50cb9331887718df0a5947 -Author: Fredrik Gerdin Börjesson -Date: Fri, 22 Sep 2023 09:23:33 +0200 +commit 08d8a67384760a06d92d4087d43fc3729402ebe8 +Author: Paul +Date: Thu, 21 Dec 2023 16:10:31 +0100 - Add special holiday 2 Oct 2023 for Korea + test months(Period) - ql/time/calendars/southkorea.cpp | 1 + - 1 file changed, 1 insertion(+) + test-suite/period.cpp | 11 +++++++++++ + 1 file changed, 11 insertions(+) -commit fd99a8ef24a14125ff1103f180bb0588ef9271f2 -Merge: 7e0e5df7c f36933666 -Author: Luigi Ballabio -Date: Thu, 21 Sep 2023 15:44:12 +0200 +commit c8c827b3e5faf997bfe13a93b36390be33d9a4f0 +Author: Paul +Date: Thu, 21 Dec 2023 16:09:43 +0100 - Pass through max evaluations to the solver (#1792) + test years(Period) -commit f36933666dea83c91fbad94ac1851996872ed5ae -Author: Jonathan Sweemer -Date: Thu, 21 Sep 2023 21:06:49 +0900 + test-suite/period.cpp | 14 ++++++++++++++ + 1 file changed, 14 insertions(+) - Pass through max evaluations to the solver +commit bfa4fab431015e1069f4f466ef9b448f9ef96637 +Author: Paul +Date: Thu, 21 Dec 2023 15:57:47 +0100 - ql/termstructures/iterativebootstrap.hpp | 8 ++++++-- - 1 file changed, 6 insertions(+), 2 deletions(-) + add tests for Period -= Period; Period *= Integer -commit 7e0e5df7c72fdc5b93af15174ff7783502d70b97 -Merge: 6400e4d7d b7426015b -Author: Luigi Ballabio -Date: Wed, 20 Sep 2023 22:00:44 +0200 + test-suite/period.cpp | 11 +++++++++++ + 1 file changed, 11 insertions(+) - Optional redemption argument for amortizing bond constructors (#1790) +commit 7f6b127edec90945f658b7afa0da61d00f50419f +Author: Paul +Date: Thu, 21 Dec 2023 15:48:13 +0100 -commit b7426015bb0070f6e2e0e7cc9fbaabc66d7fdf3c -Author: Luigi Ballabio -Date: Wed, 20 Sep 2023 17:29:36 +0200 + add tests for Period(Weeks) += Period(Days) - Reorder parameters + test-suite/period.cpp | 5 +++++ + 1 file changed, 5 insertions(+) - ql/instruments/bonds/amortizingcmsratebond.hpp | 2 +- - ql/instruments/bonds/amortizingfixedratebond.cpp | 2 +- - ql/instruments/bonds/amortizingfixedratebond.hpp | 6 ++---- - ql/instruments/bonds/amortizingfloatingratebond.cpp | 8 ++++---- - ql/instruments/bonds/amortizingfloatingratebond.hpp | 7 +++---- - 5 files changed, 11 insertions(+), 14 deletions(-) +commit 8d89c75608182be5e68fe24ab87d27ad135855d5 +Author: Paul +Date: Thu, 21 Dec 2023 15:36:28 +0100 -commit 6400e4d7d4b0ca8789446575e509341ae7fcde6d -Merge: cd33939d5 4d4d31409 -Author: Luigi Ballabio -Date: Tue, 19 Sep 2023 11:22:48 +0200 + test Period::frequency() - Add common fixed-vs-floater base class for vanilla swap and OIS (#1789) + test-suite/period.cpp | 25 ++++++++++++++++++++++++- + 1 file changed, 24 insertions(+), 1 deletion(-) -commit f8da734c90aec3c6d7419c9a8b11a311bad5cce4 -Author: Gyan Sinha -Date: Mon, 18 Sep 2023 18:52:07 -0400 +commit c5deb51559525a0e0b6fd6ce3cc7d964abcbb763 +Author: Paul +Date: Sun, 24 Dec 2023 09:03:32 +0100 - added redemptions to amortizing bond constructors + simplify month str to enum conversion - ql/instruments/bonds/amortizingcmsratebond.cpp | 5 +++-- - ql/instruments/bonds/amortizingcmsratebond.hpp | 5 +++-- - ql/instruments/bonds/amortizingfixedratebond.cpp | 10 +++++++--- - ql/instruments/bonds/amortizingfixedratebond.hpp | 8 ++++++-- - ql/instruments/bonds/amortizingfloatingratebond.cpp | 11 +++++++---- - ql/instruments/bonds/amortizingfloatingratebond.hpp | 9 ++++++--- - 6 files changed, 32 insertions(+), 16 deletions(-) + ql/time/ecb.cpp | 51 ++++++++++++++++++++++++++------------------------- + 1 file changed, 26 insertions(+), 25 deletions(-) -commit 4d4d31409fcf8677558711463193f5ebb073aed2 -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Mon, 18 Sep 2023 15:13:34 +0000 +commit 900c02fe2e2c4664613a44fcdcba18211fb74f15 +Author: Paul +Date: Thu, 21 Dec 2023 15:21:23 +0100 - Automated fixes by clang-tidy + out of bounds access - ql/instruments/overnightindexedswap.cpp | 6 +++--- - ql/instruments/overnightindexedswap.hpp | 4 ++-- - 2 files changed, 5 insertions(+), 5 deletions(-) + ql/time/ecb.cpp | 5 ++--- + 1 file changed, 2 insertions(+), 3 deletions(-) -commit cd33939d56b6d5e1fa49a4be82c2ae487543beab -Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> -Date: Mon, 18 Sep 2023 11:37:52 +0000 +commit 97c46ad51167f16efa6f3d6930a344a96170d3b1 +Author: Paul +Date: Wed, 20 Dec 2023 22:20:54 +0100 - Bump docker/login-action from 2 to 3 - - Bumps [docker/login-action](https://github.com/docker/login-action) from 2 to 3. - - [Release notes](https://github.com/docker/login-action/releases) - - [Commits](https://github.com/docker/login-action/compare/v2...v3) - - --- - updated-dependencies: - - dependency-name: docker/login-action - dependency-type: direct:production - update-type: version-update:semver-major - ... - - Signed-off-by: dependabot[bot] + BOOST_TEST is slow - .github/workflows/devenv-images.yml | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + test-suite/dates.cpp | 16 ++++++++-------- + 1 file changed, 8 insertions(+), 8 deletions(-) -commit 4e0942ab029a69d22d6fc8f57dffd6f91f4fbca2 -Author: Luigi Ballabio -Date: Mon, 18 Sep 2023 16:02:09 +0200 +commit 9f8c5bb4e51f94cc7a68dd43bc2317f97108f6c7 +Author: Paul +Date: Wed, 20 Dec 2023 22:12:58 +0100 - Inherit OIS from fixed-vs-floating swap + cleanup: unify code (call boost::to_upper_copy) - ql/instruments/fixedvsfloatingswap.cpp | 15 +++- - ql/instruments/fixedvsfloatingswap.hpp | 4 +- - ql/instruments/overnightindexedswap.cpp | 134 +++++++++----------------------- - ql/instruments/overnightindexedswap.hpp | 53 +++---------- - test-suite/overnightindexedswap.cpp | 4 +- - 5 files changed, 64 insertions(+), 146 deletions(-) + ql/time/ecb.cpp | 7 +++---- + 1 file changed, 3 insertions(+), 4 deletions(-) -commit 31252ee6f2c5f9a493a9a1d5f97d127a01956b1c -Author: Luigi Ballabio -Date: Mon, 18 Sep 2023 14:49:15 +0200 +commit 1e607e3f8f3a75e3166ec9790e7e40031f0c173d +Author: Paul +Date: Wed, 20 Dec 2023 22:03:48 +0100 - Add variable nominals to fixed-to-floating swap. - - Existing vanilla-swap engines check for a constant nominal. + add ecb maintainence dates (2018..2024) - ql/instruments/fixedvsfloatingswap.cpp | 49 ++++++++++++++++++---- - ql/instruments/fixedvsfloatingswap.hpp | 34 +++++++++++++-- - ql/instruments/vanillaswap.cpp | 9 ++-- - ql/models/shortrate/twofactormodels/g2.cpp | 5 ++- - ql/pricingengines/swap/cvaswapengine.cpp | 3 ++ - ql/pricingengines/swap/discretizedswap.cpp | 3 ++ - .../gaussian1djamshidianswaptionengine.cpp | 3 ++ - .../swaption/gaussian1dswaptionengine.cpp | 3 ++ - .../swaption/jamshidianswaptionengine.cpp | 3 ++ - 9 files changed, 94 insertions(+), 18 deletions(-) + ql/time/ecb.cpp | 30 +++++++++++++++++++++++++++++- + 1 file changed, 29 insertions(+), 1 deletion(-) -commit d326db086a0e315172d1d10452bbd2ca06b70208 -Author: Luigi Ballabio -Date: Wed, 13 Sep 2023 10:06:58 +0200 +commit cf68b47460fb8f66493b28906805a475668f17b0 +Author: Paul +Date: Wed, 20 Dec 2023 21:11:32 +0100 - Use new Boost version for Appveyor build + only evaluate test message for failure (performance regression otherwise) - .appveyor/VS2022.props | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) + test-suite/dates.cpp | 20 ++++++++++---------- + 1 file changed, 10 insertions(+), 10 deletions(-) -commit 5ac60fa3e79faf7c7239a4c797d480adca71f958 -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Sun, 3 Sep 2023 02:54:46 +0000 +commit e4277c8d9f2732429c6ceacef280cf0fac103ffd +Author: Paul +Date: Wed, 20 Dec 2023 20:17:02 +0100 - Automated fixes by clang-tidy + std::isdigit needs unsigned char instead of char - test-suite/overnightindexedswap.cpp | 2 +- + ql/time/asx.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit efedbe7bd6bb608ff94130e7489b140880539aa3 -Author: Peter Caspers -Date: Sun, 3 Sep 2023 11:22:26 +0200 - - include time zero / evaluation date in option date interpolation - - .../volatility/swaption/swaptionvoldiscrete.cpp | 38 +++++++++++++--------- - .../volatility/swaption/swaptionvoldiscrete.hpp | 3 +- - 2 files changed, 24 insertions(+), 17 deletions(-) - -commit 5f64e2040b0281b71bbe6fc1d8d1714a62d82f33 -Merge: c85fc7832 08a0acb44 +commit 42c3a24ff2eb23812bc45b8b95e0410a48853ae1 +Merge: 7cd38086d c1acc8b1c Author: Luigi Ballabio -Date: Wed, 30 Aug 2023 21:00:52 +0200 +Date: Wed, 20 Dec 2023 16:00:00 +0100 - An OIS needs different notionals for different schedules (#1777) + Heston Model: Support for Angled Contour Shift Integrals (#1826) -commit 08a0acb44a72fb0becdb90ee31938de5454b6a46 +commit c1acc8b1c3bccba222a237894dda23b7d6034053 Author: Luigi Ballabio -Date: Wed, 30 Aug 2023 18:21:17 +0200 +Date: Wed, 20 Dec 2023 14:40:46 +0100 - Add test + Remove executable bit from source file - test-suite/overnightindexedswap.cpp | 133 ++++++++++++++++++++++++++++++++++++ - test-suite/overnightindexedswap.hpp | 1 + - 2 files changed, 134 insertions(+) + ql/pricingengines/vanilla/analytichestonengine.cpp | 0 + 1 file changed, 0 insertions(+), 0 deletions(-) -commit abc6aed4dfeddb72a30bdfe4f9f2cf620491b40a -Author: Luigi Ballabio -Date: Wed, 30 Aug 2023 13:30:18 +0200 +commit 7cd38086d663a53b89eaee1a76bbf625a9dfd593 +Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> +Date: Tue, 19 Dec 2023 15:29:18 +0000 - Pass different notionals for different schedules + Automated fixes by clang-tidy - ql/instruments/overnightindexedswap.cpp | 48 +++++++++++++++++++++++++++------ - ql/instruments/overnightindexedswap.hpp | 25 ++++++++--------- - 2 files changed, 53 insertions(+), 20 deletions(-) + test-suite/prices.cpp | 4 ++-- + test-suite/timegrid.cpp | 2 +- + 2 files changed, 3 insertions(+), 3 deletions(-) -commit b9cd359d8c323668a9ad53563981b0fd7ccc7db9 +commit 0d0d23b9b4651943c835a4a17c47d17e008f6b79 +Merge: 5d8a3a592 7dd751cdd Author: Luigi Ballabio -Date: Tue, 29 Aug 2023 12:35:29 +0200 +Date: Tue, 19 Dec 2023 23:23:06 +0100 + + Migrated last test cases to automated registration (#1861) - Don't attribute tests to base class +commit 57666f2bcbe47bd21db7c43f521f57d23603be88 +Author: klaus spanderen +Date: Tue, 19 Dec 2023 20:01:07 +0100 + + fixed QL_REQUIRE condition - ql/instruments/fixedvsfloatingswap.hpp | 14 -------------- - 1 file changed, 14 deletions(-) + ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 5 ++--- + 1 file changed, 2 insertions(+), 3 deletions(-) -commit c85fc7832060fd38eea53a1e0b9be146f781c627 +commit 7dd751cdd29d6e1870a73eb662f4b60843c0774b Author: Luigi Ballabio -Date: Tue, 29 Aug 2023 10:57:24 +0200 +Date: Tue, 19 Dec 2023 15:48:39 +0100 - Add missing test messages + Fix typo - test-suite/calendars.cpp | 2 ++ - test-suite/dates.cpp | 2 ++ - test-suite/daycounters.cpp | 13 ++++++------- - test-suite/fdheston.cpp | 6 ++++-- - test-suite/hybridhestonhullwhiteprocess.cpp | 1 + - test-suite/observable.cpp | 1 + - test-suite/zabr.cpp | 1 + - 7 files changed, 17 insertions(+), 9 deletions(-) + acinclude.m4 | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit cbd1f073be59b95e38473b3676b128aa9732b4b2 +commit 45d5750198a642e74f5e125da811d1873126e9c6 Author: Luigi Ballabio -Date: Mon, 28 Aug 2023 12:45:07 +0200 +Date: Tue, 19 Dec 2023 09:20:49 +0100 - Add action and dockerfile to build CI images + Use autogenerated initializer function - .github/workflows/devenv-images.yml | 42 +++++++++++++++++++++++++++++++++++++ - dockerfiles/ci.Dockerfile | 24 +++++++++++++++++++++ - 2 files changed, 66 insertions(+) + test-suite/CMakeLists.txt | 1 + + test-suite/paralleltestrunner.hpp | 4 ++-- + test-suite/quantlibtestsuite.cpp | 12 ++---------- + test-suite/testsuite.vcxproj | 4 +++- + 4 files changed, 8 insertions(+), 13 deletions(-) -commit 409005c885ba66cef41d71ca0db5bf4bc6f6a891 -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Sun, 27 Aug 2023 01:46:51 +0000 +commit 5d8a3a59232219b245ce385066114aa05f7f8ea6 +Author: Luigi Ballabio +Date: Tue, 19 Dec 2023 09:25:57 +0100 - Automated fixes by clang-tidy + Avoid false positives with clang-tidy + + Array iterators are implemented as pointers in clang (which triggers the rule) but not in all other compilers. - ql/instruments/complexchooseroption.cpp | 5 +++-- - ql/instruments/complexchooseroption.hpp | 2 +- - 2 files changed, 4 insertions(+), 3 deletions(-) + test-suite/prices.cpp | 4 ++-- + 1 file changed, 2 insertions(+), 2 deletions(-) -commit 1f19d495bad888a8df8f9cd3a6b23a72606726f5 -Merge: 51b2bffc9 fad2b0b81 +commit 9b5df4e0f57539423aa559412567e1dfdfab1489 +Merge: 04391fcaa 91607179b Author: Luigi Ballabio -Date: Fri, 25 Aug 2023 23:01:09 +0200 +Date: Tue, 19 Dec 2023 10:13:48 +0100 - Move a few exotic options from experimental to core (#1774) + Stop moving Juneteenth to Friday if Saturday for US-Fed calendar (#1848) -commit fad2b0b811f774d5012be981d62dc0d071bf032c +commit 04391fcaad910b35e5895018cf3532b982a6e80b Author: Luigi Ballabio -Date: Fri, 25 Aug 2023 18:48:21 +0200 - - Move tests to correct section +Date: Mon, 18 Dec 2023 16:36:59 +0100 - test-suite/quantlibtestsuite.cpp | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + Move test to faster section -commit 9946744d6cac9411c08e576e04487258e27be2cc -Author: Luigi Ballabio -Date: Fri, 25 Aug 2023 11:39:19 +0200 - - Move chooser options from experimental to core - - QuantLib.vcxproj | 12 ++-- - QuantLib.vcxproj.filters | 36 +++++++---- - cmake/GenerateHeaders.cmake | 4 ++ - ql/CMakeLists.txt | 12 ++-- - ql/experimental/exoticoptions/Makefile.am | 10 +-- - ql/experimental/exoticoptions/all.hpp | 4 -- - .../exoticoptions/analyticcomplexchooserengine.hpp | 45 +------------ - .../exoticoptions/analyticsimplechooserengine.hpp | 31 +-------- - .../exoticoptions/complexchooseroption.hpp | 51 +-------------- - .../exoticoptions/simplechooseroption.hpp | 49 +-------------- - ql/instruments/Makefile.am | 4 ++ - ql/instruments/all.hpp | 2 + - .../complexchooseroption.cpp | 8 +-- - ql/instruments/complexchooseroption.hpp | 73 ++++++++++++++++++++++ - .../simplechooseroption.cpp | 15 ++--- - ql/instruments/simplechooseroption.hpp | 64 +++++++++++++++++++ - ql/pricingengines/exotic/Makefile.am | 8 ++- - ql/pricingengines/exotic/all.hpp | 2 + - .../exotic}/analyticcomplexchooserengine.cpp | 44 +++++++------ - .../exotic/analyticcomplexchooserengine.hpp | 62 ++++++++++++++++++ - .../exotic}/analyticsimplechooserengine.cpp | 5 +- - .../exotic/analyticsimplechooserengine.hpp | 44 +++++++++++++ - test-suite/chooseroption.cpp | 8 +-- - 23 files changed, 354 insertions(+), 239 deletions(-) - -commit 5dfcdca0283b4d59d9dd82c784407dff46f30fdf -Author: Luigi Ballabio -Date: Thu, 24 Aug 2023 18:03:17 +0200 - - Move compound option from experimental to core - - QuantLib.vcxproj | 6 +- - QuantLib.vcxproj.filters | 18 ++-- - cmake/GenerateHeaders.cmake | 2 + - ql/CMakeLists.txt | 6 +- - ql/experimental/exoticoptions/Makefile.am | 6 +- - ql/experimental/exoticoptions/all.hpp | 2 - - .../exoticoptions/analyticcompoundoptionengine.hpp | 84 +---------------- - ql/experimental/exoticoptions/compoundoption.hpp | 49 +--------- - ql/instruments/Makefile.am | 2 + - ql/instruments/all.hpp | 1 + - .../compoundoption.cpp | 2 +- - ql/instruments/compoundoption.hpp | 66 ++++++++++++++ - ql/pricingengines/exotic/Makefile.am | 2 + - ql/pricingengines/exotic/all.hpp | 1 + - .../exotic}/analyticcompoundoptionengine.cpp | 2 +- - .../exotic/analyticcompoundoptionengine.hpp | 101 +++++++++++++++++++++ - test-suite/compoundoption.cpp | 4 +- - test-suite/quantlibtestsuite.cpp | 2 +- - 18 files changed, 209 insertions(+), 147 deletions(-) - -commit bd88e67f4e37eb1aa34fc5cf500b4a27eb76958f -Author: Luigi Ballabio -Date: Thu, 24 Aug 2023 16:19:26 +0200 - - Move Margrabe option from experimental to core - - QuantLib.vcxproj | 10 ++- - QuantLib.vcxproj.filters | 33 +++++--- - cmake/GenerateHeaders.cmake | 7 ++ - configure.ac | 1 + - ql/CMakeLists.txt | 10 ++- - ql/experimental/exoticoptions/Makefile.am | 8 +- - ql/experimental/exoticoptions/all.hpp | 3 - - .../analyticamericanmargrabeengine.hpp | 39 +--------- - .../analyticeuropeanmargrabeengine.hpp | 39 +--------- - ql/experimental/exoticoptions/margrabeoption.hpp | 80 +------------------ - ql/instruments/Makefile.am | 2 + - ql/instruments/all.hpp | 1 + - .../margrabeoption.cpp | 4 +- - ql/instruments/margrabeoption.hpp | 90 ++++++++++++++++++++++ - ql/pricingengines/Makefile.am | 3 +- - ql/pricingengines/all.hpp | 1 + - ql/pricingengines/exotic/Makefile.am | 47 +++++++++++ - ql/pricingengines/exotic/all.hpp | 6 ++ - .../exotic}/analyticamericanmargrabeengine.cpp | 2 +- - .../exotic/analyticamericanmargrabeengine.hpp | 56 ++++++++++++++ - .../exotic}/analyticeuropeanmargrabeengine.cpp | 2 +- - .../exotic/analyticeuropeanmargrabeengine.hpp | 56 ++++++++++++++ - test-suite/margrabeoption.cpp | 6 +- - test-suite/quantlibtestsuite.cpp | 2 +- - 24 files changed, 327 insertions(+), 181 deletions(-) - -commit 51b2bffc953a1c3559b88714e0786a24b434c174 -Merge: fa4f68cfd 8ee499420 -Author: Luigi Ballabio -Date: Wed, 23 Aug 2023 22:35:26 +0200 - - fix calibration point algorithm (#1772) - -commit fa4f68cfd04c0ff1c5280cd50de362f4470c75f6 -Author: Luigi Ballabio -Date: Wed, 23 Aug 2023 16:48:25 +0200 - - Add check on file Doxygen blocks - - .github/workflows/doxygen.yml | 8 +++++ - .../averageois/makearithmeticaverageois.hpp | 2 +- - ql/indexes/ibor/estr.hpp | 2 +- - ql/indexes/ibor/sonia.hpp | 4 +-- - ql/instruments/inflationcapfloor.hpp | 6 ++-- - tools/check_all_header_docs.sh | 8 +++++ - tools/check_header_docs.py | 34 ++++++++++++++++++++++ - 7 files changed, 57 insertions(+), 7 deletions(-) - -commit 4c9ccc333c50ed8cfe19aa5ad16321e0db4bb265 -Merge: d4e39d8a1 87713cb19 -Author: Luigi Ballabio -Date: Wed, 23 Aug 2023 10:28:51 +0200 - - Correct file-docstrings not matching file names (#1770) - -commit 032a382c0f24cb28232fc2d79a177c5b47d51976 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Sat, 19 Aug 2023 19:45:14 +0200 - - Always create a new seed in the loop. - - ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + test-suite/andreasenhugevolatilityinterpl.cpp | 5 ++--- + 1 file changed, 2 insertions(+), 3 deletions(-) -commit a4724a87c8b1c548726275b2fe34d3e4e6042a7d -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Sat, 19 Aug 2023 19:29:34 +0200 +commit 3fa1d1fc5063dda5b01befcf67bd9e4ca0470864 +Author: Luigi Ballabio +Date: Mon, 18 Dec 2023 23:35:02 +0100 - Moved constructor to header and removed source file splitmix64.cpp + Remove libUnitMain from test suite compilation - QuantLib.vcxproj | 1 - - QuantLib.vcxproj.filters | 3 --- - ql/CMakeLists.txt | 1 - - ql/math/randomnumbers/Makefile.am | 1 - - ql/math/randomnumbers/splitmix64.cpp | 25 ------------------------- - ql/math/randomnumbers/splitmix64.hpp | 2 +- - 6 files changed, 1 insertion(+), 32 deletions(-) + acinclude.m4 | 40 ++++++++++++++++------------------------ + test-suite/CMakeLists.txt | 18 ++---------------- + test-suite/Makefile.am | 8 ++------ + test-suite/main.cpp | 20 -------------------- + 4 files changed, 20 insertions(+), 66 deletions(-) -commit 8ee499420a0832cb2868afc6e884ab8afbf3f74f -Author: Peter Caspers -Date: Sat, 19 Aug 2023 15:54:20 +0200 +commit 6608ead619e2418a699cbe21fcf0102b7729c6f5 +Author: moixastrikes +Date: Mon, 18 Dec 2023 16:27:07 -0500 - fix calibration point algorithm + Added link to issue 1839 in chile.hpp - .../shortrate/onefactormodels/markovfunctional.cpp | 29 +++++++--------------- - 1 file changed, 9 insertions(+), 20 deletions(-) + ql/time/calendars/chile.hpp | 1 + + 1 file changed, 1 insertion(+) -commit 87713cb19e8876cf4af7110af51d5efaaca77828 +commit 91607179b9c09a2163fc2c21fe4d77a4fbc3e28d Author: Fredrik Gerdin Börjesson -Date: Fri, 18 Aug 2023 12:42:38 +0200 - - Correct file-docstrings not matching file names - - ql/cashflows/indexedcashflow.hpp | 2 +- - ql/cashflows/inflationcoupon.hpp | 2 +- - ql/experimental/asian/analytic_cont_geom_av_price_heston.hpp | 2 +- - ql/experimental/asian/analytic_discr_geom_av_price_heston.hpp | 4 ++-- - ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp | 4 ++-- - ql/experimental/commodities/commoditytype.hpp | 2 +- - ql/experimental/commodities/paymentterm.hpp | 4 ++-- - ql/experimental/commodities/unitofmeasureconversion.hpp | 4 ++-- - ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp | 2 +- - .../finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp | 4 ++-- - ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp | 2 +- - ql/experimental/inflation/yoycapfloortermpricesurface.hpp | 2 +- - ql/instruments/makeyoyinflationcapfloor.hpp | 2 +- - ql/math/generallinearleastsquares.hpp | 2 +- - ql/math/interpolations/backwardflatlinearinterpolation.hpp | 2 +- - ql/math/interpolations/flatextrapolation2d.hpp | 2 +- - ql/methods/finitedifferences/operators/fdmg2op.hpp | 4 ++-- - .../finitedifferences/utilities/squarerootprocessrndcalculator.hpp | 2 +- - ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp | 2 +- - ql/pricingengines/lookback/analyticcontinuouspartialfixedlookback.hpp | 2 +- - .../lookback/analyticcontinuouspartialfloatinglookback.hpp | 2 +- - ql/pricingengines/vanilla/hestonexpansionengine.hpp | 2 +- - ql/processes/coxingersollrossprocess.hpp | 2 +- - 23 files changed, 29 insertions(+), 29 deletions(-) - -commit c47b1cb4ea0b5cf79d348d23d3a781e327260438 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Thu, 17 Aug 2023 22:22:51 +0200 - - Added SplitMix64 to initialize xoshiro256** - - QuantLib.vcxproj | 2 + - QuantLib.vcxproj.filters | 6 +++ - ql/CMakeLists.txt | 2 + - ql/math/randomnumbers/Makefile.am | 2 + - ql/math/randomnumbers/all.hpp | 1 + - ql/math/randomnumbers/splitmix64.cpp | 25 ++++++++++ - ql/math/randomnumbers/splitmix64.hpp | 57 ++++++++++++++++++++++ - .../randomnumbers/xoshiro256starstaruniformrng.cpp | 34 +++++-------- - .../randomnumbers/xoshiro256starstaruniformrng.hpp | 16 ++---- - test-suite/xoshiro256starstar.cpp | 36 +++++++++----- - 10 files changed, 134 insertions(+), 47 deletions(-) - -commit a4a4af7c26c5e19d895f0491a01893c9e089e5d0 -Author: ralfeckel -Date: Thu, 17 Aug 2023 12:58:42 +0200 - - Corrected citation - - ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +- - ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp | 4 ++-- - 2 files changed, 3 insertions(+), 3 deletions(-) - -commit 1a1b69106fb9998c7e778e9133b3e2f06358047a -Author: ralfeckel -Date: Thu, 17 Aug 2023 12:53:28 +0200 - - Added comment about the warm up in the constructor +Date: Mon, 18 Dec 2023 17:11:38 +0100 - ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 4 +++- - ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp | 9 ++++++++- - 2 files changed, 11 insertions(+), 2 deletions(-) + Add docstring with references for US-FED calendar -commit 32181a1bc8d9ac1807035249fe00b9a4ab4ae0cd -Author: ralfeckel -Date: Thu, 17 Aug 2023 12:26:20 +0200 + ql/time/calendars/unitedstates.cpp | 3 ++- + ql/time/calendars/unitedstates.hpp | 23 +++++++++++++++++++++++ + 2 files changed, 25 insertions(+), 1 deletion(-) - Inline xoshiro256starstar.c +commit 968a530d6a28ea26d14e886b7c38752c3999f2c7 +Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> +Date: Mon, 18 Dec 2023 11:09:43 +0000 - test-suite/xoshiro256starstar.c | 104 --------------------------------- - test-suite/xoshiro256starstar.cpp | 120 ++++++++++++++++++++++++++++++++++++-- - 2 files changed, 114 insertions(+), 110 deletions(-) + Bump github/codeql-action from 2 to 3 + + Bumps [github/codeql-action](https://github.com/github/codeql-action) from 2 to 3. + - [Release notes](https://github.com/github/codeql-action/releases) + - [Changelog](https://github.com/github/codeql-action/blob/main/CHANGELOG.md) + - [Commits](https://github.com/github/codeql-action/compare/v2...v3) + + --- + updated-dependencies: + - dependency-name: github/codeql-action + dependency-type: direct:production + update-type: version-update:semver-major + ... + + Signed-off-by: dependabot[bot] -commit 490dfab6ceac605e5c00aa00fef19d9e283732a7 -Author: ralfeckel -Date: Thu, 17 Aug 2023 10:57:27 +0200 + .github/workflows/codeql-analysis.yml | 6 +++--- + .github/workflows/msvc-analysis.yml | 2 +- + 2 files changed, 4 insertions(+), 4 deletions(-) - Use uint64_t instead of unsigned long long +commit 7ec4fbb3e451cc85371d6fde3c73cfacfabf4965 +Merge: 2e8231b2b 66de7b577 +Author: Luigi Ballabio +Date: Mon, 18 Dec 2023 15:23:41 +0100 - .../randomnumbers/xoshiro256starstaruniformrng.cpp | 24 ++++++++------------- - .../randomnumbers/xoshiro256starstaruniformrng.hpp | 25 ++++++++-------------- - test-suite/xoshiro256starstar.cpp | 8 +++---- - 3 files changed, 22 insertions(+), 35 deletions(-) + Correct Thailand calendar for 2019-2024 (#1857) -commit 627bd758bd179fa0316bcb6940bcb8d4663c74ea -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Wed, 16 Aug 2023 20:51:31 +0200 +commit 2e8231b2b07ba04d1e231faf6babda70893b9a57 +Merge: a33b3e002 79d1b1f91 +Author: Luigi Ballabio +Date: Mon, 18 Dec 2023 15:21:16 +0100 - Added copyright note for reference impl and brief documentation + TimeSeries: Complete test coverage (#1849) - .../randomnumbers/xoshiro256starstaruniformrng.hpp | 35 ++++++++++++++++++++-- - 1 file changed, 32 insertions(+), 3 deletions(-) +commit a33b3e002b1b0a8c768c460eade7eba6040143e5 +Merge: 350f69a61 3966f81d2 +Author: Luigi Ballabio +Date: Mon, 18 Dec 2023 15:10:12 +0100 -commit 9c6796cba93cf2d68f506aec0a91c3a17db28dab -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Wed, 16 Aug 2023 00:01:57 +0200 + Add TWSE holidays for 2024 to Taiwan calendar (#1847) - Fixed infinite loop for seed==0 +commit 350f69a615f12766b691492a7d329e42474015fe +Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> +Date: Mon, 18 Dec 2023 11:09:37 +0000 - ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + Bump actions/upload-artifact from 3 to 4 + + Bumps [actions/upload-artifact](https://github.com/actions/upload-artifact) from 3 to 4. + - [Release notes](https://github.com/actions/upload-artifact/releases) + - [Commits](https://github.com/actions/upload-artifact/compare/v3...v4) + + --- + updated-dependencies: + - dependency-name: actions/upload-artifact + dependency-type: direct:production + update-type: version-update:semver-major + ... + + Signed-off-by: dependabot[bot] -commit 29d0dfe93359880f3c8ffcb000c8ab8e6ae87d47 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 23:22:39 +0200 + .github/workflows/msvc-analysis.yml | 2 +- + .github/workflows/test-times.yml | 2 +- + 2 files changed, 2 insertions(+), 2 deletions(-) - Using s0_, s1_, s2_, s3_ instead of s_[4] as it is faster +commit c106e66d43033edcd493166137c813473661074f +Author: klaus spanderen +Date: Sun, 17 Dec 2023 23:20:12 +0100 - .../randomnumbers/xoshiro256starstaruniformrng.cpp | 20 ++++++++++---------- - .../randomnumbers/xoshiro256starstaruniformrng.hpp | 18 +++++++++--------- - 2 files changed, 19 insertions(+), 19 deletions(-) + merge -commit 83c7f1aef91b22d1ec037af92827a890b72fe47f -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 22:25:28 +0200 + fuzz-test-suite/CMakeLists.txt | 19 ++++++++++++++----- + 1 file changed, 14 insertions(+), 5 deletions(-) - Re-enable all workflows +commit 604308a763c4e78e45e2a2cc1357634a70e8a1ab +Author: klaus spanderen +Date: Sun, 17 Dec 2023 23:14:00 +0100 - .github/boring-cyborg.yml | 13 +++++++++++++ - .github/dependabot.yml | 8 ++++++++ - 2 files changed, 21 insertions(+) + merge -commit a3778d6269cedc46b504307328354b6b67df8d0c -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Tue, 15 Aug 2023 22:21:09 +0200 + test-suite/CMakeLists.txt | 89 ++------------ + test-suite/testsuite.vcxproj | 77 +----------- + test-suite/testsuite.vcxproj.filters | 227 ++--------------------------------- + 3 files changed, 24 insertions(+), 369 deletions(-) - Update copyright list in license (#92) - - Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> +commit d98f85a9e94c292668193dbffe8250af2a900a61 +Author: klaus spanderen +Date: Sun, 17 Dec 2023 23:06:59 +0100 + + merge + + .github/workflows/cmake.yml | 6 +- + .github/workflows/devenv-images.yml | 2 +- + .github/workflows/msvc-analysis.yml | 2 +- + .github/workflows/stale.yml | 2 +- + LICENSE.TXT | 2 + + fuzz-test-suite/amortizedbondsfuzzer.cpp | 80 + + fuzz-test-suite/fuzzamericanoption.cpp | 131 + + ql/currency.cpp | 39 +- + ql/currency.hpp | 40 + + ql/instruments/makeois.cpp | 110 +- + ql/instruments/makeois.hpp | 14 +- + 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test-suite/swaptionvolatilitymatrix.hpp | 36 - + test-suite/swingoption.cpp | 144 +- + test-suite/swingoption.hpp | 40 - + test-suite/termstructures.cpp | 186 +- + test-suite/termstructures.hpp | 45 - + test-suite/timegrid.cpp | 75 +- + test-suite/timegrid.hpp | 38 - + test-suite/timeseries.cpp | 21 +- + test-suite/timeseries.hpp | 38 - + test-suite/tqreigendecomposition.cpp | 24 +- + test-suite/tqreigendecomposition.hpp | 37 - + test-suite/tracing.cpp | 86 +- + test-suite/tracing.hpp | 35 - + test-suite/transformedgrid.cpp | 15 +- + test-suite/transformedgrid.hpp | 35 - + test-suite/twoassetbarrieroption.cpp | 48 +- + test-suite/twoassetbarrieroption.hpp | 35 - + test-suite/twoassetcorrelationoption.cpp | 17 +- + test-suite/twoassetcorrelationoption.hpp | 35 - + test-suite/ultimateforwardtermstructure.cpp | 227 +- + test-suite/ultimateforwardtermstructure.hpp | 41 - + test-suite/variancegamma.cpp | 48 +- + test-suite/variancegamma.hpp | 38 - + test-suite/varianceoption.cpp | 16 +- + test-suite/varianceoption.hpp | 35 - + test-suite/varianceswaps.cpp | 95 +- + test-suite/varianceswaps.hpp | 36 - + test-suite/volatilitymodels.cpp | 15 +- + test-suite/volatilitymodels.hpp | 35 - + test-suite/vpp.cpp | 390 +- + test-suite/vpp.hpp | 40 - + test-suite/xoshiro256starstar.cpp | 27 +- + test-suite/xoshiro256starstar.hpp | 34 - + test-suite/zabr.cpp | 19 +- + test-suite/zabr.hpp | 36 - + test-suite/zerocouponswap.cpp | 332 +- + test-suite/zerocouponswap.hpp | 37 - + 267 files changed, 53943 insertions(+), 58024 deletions(-) + +commit 7b7553ad637dd6f27ff6f7287ecb97ea187796e1 +Merge: 2dfb5b3bf f43052105 +Author: klaus spanderen +Date: Sun, 17 Dec 2023 22:46:45 +0100 - LICENSE.TXT | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + merge -commit 1931da212fce86eb178fb054997dd8b363dfc6db -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 21:55:06 +0200 +commit 2dfb5b3bf2abcdff878bab5ee40eb6935ead80d6 +Author: klaus spanderen +Date: Sun, 17 Dec 2023 20:32:49 +0100 - Added testAbsenceOfInteractionBetweenInstances() + bring back deprecated function - test-suite/xoshiro256starstar.cpp | 33 +++++++++++++++++++++++++++++++++ - test-suite/xoshiro256starstar.hpp | 1 + - 2 files changed, 34 insertions(+) + ql/pricingengines/vanilla/analytichestonengine.cpp | 98 +++++++++++++++++++++- + ql/pricingengines/vanilla/analytichestonengine.hpp | 18 ++++ + 2 files changed, 115 insertions(+), 1 deletion(-) -commit bcd22b10c2aea0f8c9fe9dbb59265474fa3332ee -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 21:32:11 +0200 +commit 23b94c3f7680cad17cd067e36d18e1e06c8fb9e0 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 13:15:55 +0800 - Renamed test class from Xoshiro256StarStarUniformRngTest to Xoshiro256StarStarTest + Migrated marketmodel.cpp - test-suite/quantlibtestsuite.cpp | 2 +- - test-suite/xoshiro256starstar.cpp | 25 ++++++++++++------------- - test-suite/xoshiro256starstar.hpp | 2 +- - 3 files changed, 14 insertions(+), 15 deletions(-) + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/marketmodel.cpp | 1626 ++++++++++++++++------------------ + test-suite/marketmodel.hpp | 61 -- + test-suite/quantlibtestsuite.cpp | 10 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 760 insertions(+), 943 deletions(-) -commit b1e9f923e9a96a94155fd8932bec58a7d9ab4954 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 21:20:14 +0200 +commit f43052105e8d003e00800e639f5125a20f3eb96e +Merge: 119c2f61f 98822d7ba +Author: Luigi Ballabio +Date: Sun, 17 Dec 2023 19:50:35 +0100 - Renamed xoshiro256starstaruniformrng test files to xoshiro256starstar + Cleanup of automated tests (#1860) - test-suite/CMakeLists.txt | 4 ++-- - test-suite/Makefile.am | 4 ++-- - test-suite/quantlibtestsuite.cpp | 2 +- - test-suite/testsuite.vcxproj | 4 ++-- - test-suite/testsuite.vcxproj.filters | 4 ++-- - .../{xoshiro256starstaruniformrng.cpp => xoshiro256starstar.cpp} | 2 +- - .../{xoshiro256starstaruniformrng.hpp => xoshiro256starstar.hpp} | 6 +++--- - 7 files changed, 13 insertions(+), 13 deletions(-) +commit bc9ae0463dc637cbc57f412fc61607b366673758 +Author: klaus spanderen +Date: Sun, 17 Dec 2023 17:25:02 +0100 -commit ff4799af79509a1b6e985f6a8975a47c8364140f -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 20:41:03 +0200 + eliminate separate enum - Refactor s[4] to s_[4] + .../vanilla/exponentialfittinghestonengine.cpp | 18 +++++++----------- + .../vanilla/exponentialfittinghestonengine.hpp | 20 +++----------------- + test-suite/hestonmodel.cpp | 2 +- + 3 files changed, 11 insertions(+), 29 deletions(-) - .../randomnumbers/xoshiro256starstaruniformrng.cpp | 20 ++++++++++---------- - .../randomnumbers/xoshiro256starstaruniformrng.hpp | 18 +++++++++--------- - 2 files changed, 19 insertions(+), 19 deletions(-) +commit 81c4add50fed5d769fdbbea9bde98a5fe66bd54b +Author: Paul +Date: Sun, 17 Dec 2023 15:33:43 +0100 -commit c78a45e600340ead59f3c7a3c7f6ccd5921cecb9 -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Tue, 15 Aug 2023 17:30:19 +0200 + cleanup: remove debug code - Update generated headers (#89) - - Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> + test-suite/dates.cpp | 3 --- + 1 file changed, 3 deletions(-) - ql/math/randomnumbers/all.hpp | 1 + - 1 file changed, 1 insertion(+) +commit e5e01b7f2d69312de6f4f1768e84a07873443da7 +Author: Paul +Date: Sun, 17 Dec 2023 15:22:41 +0100 -commit 1f331832d381f4d3c87d2f5692bbf8f53d0a0b38 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 17:25:53 +0200 + ECB::isECBcode(code string): no temp string heap allocations - Added xoshiro256starstaruniformrng to VS files + ql/time/ecb.cpp | 35 ++++++++++++----------------------- + 1 file changed, 12 insertions(+), 23 deletions(-) - QuantLib.vcxproj | 2 ++ - QuantLib.vcxproj.filters | 6 ++++++ - test-suite/testsuite.vcxproj | 2 ++ - test-suite/testsuite.vcxproj.filters | 6 ++++++ - 4 files changed, 16 insertions(+) - -commit 83c2e85aa070cdddcd911f9996bd77acad3f0a9d -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 17:13:58 +0200 - - Added xoshiro256starstaruniformrng to make files - - ql/math/randomnumbers/Makefile.am | 6 ++++-- - ql/math/randomnumbers/all.hpp | 2 +- - test-suite/Makefile.am | 2 ++ - 3 files changed, 7 insertions(+), 3 deletions(-) - -commit 390141387236535d5c5e4135af82fc7d71acd129 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 17:07:44 +0200 - - Re-enable all workflows - - .github/workflows/cmake.yml | 6 +- - .github/workflows/codeql-analysis.yml | 51 +++++++ - .github/workflows/copyrights.yml | 21 +++ - .github/workflows/coveralls.yml | 40 ++++++ - .github/workflows/doxygen.yml | 21 +++ - .github/workflows/filelists.yml | 18 +++ - .github/workflows/generated-headers.yml | 31 +++++ - .github/workflows/headers.yml | 24 ++++ - .github/workflows/linux-full-tests.yml | 221 ++++++++++++++++++++++++++++++ - .github/workflows/linux-nondefault.yml | 172 +++++++++++++++++++++++ - .github/workflows/linux.yml | 234 ++++++++++++++++++++++++++++++++ - .github/workflows/macos-nondefault.yml | 49 +++++++ - .github/workflows/macos.yml | 42 ++++++ - .github/workflows/misspell.yml | 19 +++ - .github/workflows/msvc-analysis.yml | 53 ++++++++ - .github/workflows/sanitizer.yml | 44 ++++++ - .github/workflows/stale.yml | 22 +++ - .github/workflows/test-times.yml | 41 ++++++ - .github/workflows/tidy.yml | 32 +++++ - 19 files changed, 1138 insertions(+), 3 deletions(-) - -commit 3468125a0d62cc0b166888e8570df27bed8d621d -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 15 Aug 2023 17:03:17 +0200 - - Suppress warnings from xoshiro256starstar.c implementation - - test-suite/xoshiro256starstaruniformrng.cpp | 18 ++++++++++++++++++ - 1 file changed, 18 insertions(+) - -commit e9713616e7b13ee312b7aa7eb0df66222e05ae54 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Mon, 14 Aug 2023 15:45:48 +0200 - - Testing Xoshiro256StarStarUniformRng::nextInt64() against reference implementation in C - - test-suite/xoshiro256starstar.c | 104 ++++++++++++++++++++++++++++ - test-suite/xoshiro256starstaruniformrng.cpp | 43 +++++++++++- - test-suite/xoshiro256starstaruniformrng.hpp | 1 + - 3 files changed, 146 insertions(+), 2 deletions(-) - -commit db3f6892741683e21ad558f9faea157b2e404edc -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Sun, 13 Aug 2023 15:22:49 +0200 - - Use (1.0 / (1ULL << 53) instead of 1.1102230246251565E-16 plus smaller enhancements - - .../randomnumbers/xoshiro256starstaruniformrng.cpp | 25 +++++++++++----------- - .../randomnumbers/xoshiro256starstaruniformrng.hpp | 12 +++++------ - test-suite/xoshiro256starstaruniformrng.cpp | 9 ++++---- - 3 files changed, 23 insertions(+), 23 deletions(-) - -commit d4e39d8a11a94b02af11f8511324398f8c6dabca -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Sun, 13 Aug 2023 02:27:08 +0000 +commit 9b10957b5504121bb9dd9feeec4af005154558a4 +Author: Paul +Date: Sun, 17 Dec 2023 15:21:30 +0100 - Automated fixes by clang-tidy + ECB::isECBcode(code string) tests - ql/instruments/simplifynotificationgraph.hpp | 6 +++--- - test-suite/quantlibbenchmark.cpp | 6 +++--- - 2 files changed, 6 insertions(+), 6 deletions(-) + test-suite/dates.cpp | 16 ++++++++++++++++ + 1 file changed, 16 insertions(+) -commit abecc87dc7464966964ac11952ced633dac19bc1 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Sun, 13 Aug 2023 14:22:52 +0200 +commit 119c2f61fefb4d8fdba198e8029a40290b0a6185 +Author: Luigi Ballabio +Date: Thu, 14 Dec 2023 18:33:53 +0100 - Renamed Xoshiro256StarStarRng to Xoshiro256StarStarUniformRng + Upgrade some CI builds to Boost 1.84.0 - ql/CMakeLists.txt | 4 ++-- - ...tarrng.cpp => xoshiro256starstaruniformrng.cpp} | 22 +++++++++++----------- - ...tarrng.hpp => xoshiro256starstaruniformrng.hpp} | 12 ++++++------ - test-suite/CMakeLists.txt | 4 ++-- - test-suite/quantlibtestsuite.cpp | 4 ++-- - ...tarrng.cpp => xoshiro256starstaruniformrng.cpp} | 14 +++++++------- - ...tarrng.hpp => xoshiro256starstaruniformrng.hpp} | 8 ++++---- - 7 files changed, 34 insertions(+), 34 deletions(-) + .github/workflows/cmake.yml | 6 +++--- + .github/workflows/msvc-analysis.yml | 2 +- + 2 files changed, 4 insertions(+), 4 deletions(-) -commit 7db39008200b06dd4c6b4ae8d1c85c39947c09f4 +commit 98822d7ba7c691f2972eb012d6e02b7b1516fc92 Author: Luigi Ballabio -Date: Sat, 12 Aug 2023 16:04:20 +0200 +Date: Sun, 17 Dec 2023 10:02:24 +0100 + + Remove unnecessary anonymous namespaces + + test-suite/americanoption.cpp | 414 ++++---- + test-suite/andreasenhugevolatilityinterpl.cpp | 431 +++++---- + test-suite/array.cpp | 10 +- + test-suite/asianoptions.cpp | 117 ++- + test-suite/assetswap.cpp | 77 +- + test-suite/barrieroption.cpp | 114 ++- + test-suite/basismodels.cpp | 318 +++--- + test-suite/basisswapratehelpers.cpp | 305 +++--- + test-suite/basketoption.cpp | 221 +++-- + test-suite/batesmodel.cpp | 67 +- + test-suite/bermudanswaption.cpp | 113 ++- + test-suite/binaryoption.cpp | 58 +- + test-suite/blackdeltacalculator.cpp | 47 +- + test-suite/bondforward.cpp | 64 +- + test-suite/bonds.cpp | 49 +- + test-suite/brownianbridge.cpp | 39 +- + test-suite/businessdayconventions.cpp | 35 +- + test-suite/callablebonds.cpp | 83 +- + test-suite/capfloor.cpp | 163 ++-- + test-suite/capflooredcoupon.cpp | 248 +++-- + test-suite/catbonds.cpp | 43 +- + test-suite/cdo.cpp | 85 +- + test-suite/cliquetoption.cpp | 245 +++-- + test-suite/cms.cpp | 279 +++--- + test-suite/cms_normal.cpp | 281 +++--- + test-suite/cmsspread.cpp | 9 +- + test-suite/compoundoption.cpp | 39 +- + test-suite/convertiblebonds.cpp | 81 +- + test-suite/covariance.cpp | 17 +- + test-suite/crosscurrencyratehelpers.cpp | 324 ++++--- + test-suite/curvestates.cpp | 139 ++- + test-suite/daycounters.cpp | 115 ++- + test-suite/defaultprobabilitycurves.cpp | 215 ++--- + test-suite/digitalcoupon.cpp | 53 +- + test-suite/digitaloption.cpp | 27 +- + test-suite/distributions.cpp | 328 ++++--- + test-suite/dividendoption.cpp | 442 +++++---- + test-suite/doublebarrieroption.cpp | 71 +- + test-suite/doublebinaryoption.cpp | 30 +- + test-suite/equitycashflow.cpp | 220 +++-- + test-suite/equityindex.cpp | 54 +- + test-suite/equitytotalreturnswap.cpp | 316 +++--- + test-suite/europeanoption.cpp | 258 +++-- + test-suite/extendedtrees.cpp | 272 +++--- + test-suite/fdcev.cpp | 25 +- + test-suite/fdheston.cpp | 98 +- + test-suite/fdmlinearop.cpp | 238 +++-- + test-suite/fdsabr.cpp | 153 ++- + test-suite/forwardoption.cpp | 265 +++-- + test-suite/garch.cpp | 80 +- + test-suite/gaussianquadratures.cpp | 175 ++-- + test-suite/hestonmodel.cpp | 266 +++-- + test-suite/hestonslvmodel.cpp | 779 ++++++++------- + test-suite/hybridhestonhullwhiteprocess.cpp | 200 ++-- + test-suite/inflation.cpp | 294 +++--- + test-suite/inflationcapfloor.cpp | 305 +++--- + test-suite/inflationcapflooredcoupon.cpp | 430 +++++---- + test-suite/inflationcpibond.cpp | 191 ++-- + test-suite/inflationcpicapfloor.cpp | 454 +++++---- + test-suite/inflationcpiswap.cpp | 344 ++++--- + test-suite/inflationvolatility.cpp | 414 ++++---- + test-suite/integrals.cpp | 152 ++- + test-suite/interestrates.cpp | 24 +- + test-suite/interpolations.cpp | 307 +++--- + test-suite/jumpdiffusion.cpp | 29 +- + test-suite/lazyobject.cpp | 25 +- + test-suite/libormarketmodel.cpp | 65 +- + test-suite/libormarketmodelprocess.cpp | 79 +- + test-suite/linearleastsquaresregression.cpp | 17 +- + test-suite/lookbackoptions.cpp | 37 +- + test-suite/lowdiscrepancysequences.cpp | 629 ++++++------ + test-suite/margrabeoption.cpp | 77 +- + test-suite/marketmodel_cms.cpp | 631 ++++++------ + test-suite/marketmodel_smm.cpp | 617 ++++++------ + .../marketmodel_smmcapletalphacalibration.cpp | 277 +++--- + test-suite/marketmodel_smmcapletcalibration.cpp | 277 +++--- + .../marketmodel_smmcaplethomocalibration.cpp | 277 +++--- + test-suite/markovfunctional.cpp | 696 +++++++------- + test-suite/matrices.cpp | 165 ++-- + test-suite/mclongstaffschwartzengine.cpp | 134 ++- + test-suite/money.cpp | 21 +- + test-suite/noarbsabr.cpp | 3 +- + test-suite/normalclvmodel.cpp | 19 +- + test-suite/nthorderderivativeop.cpp | 531 +++++----- + test-suite/nthtodefault.cpp | 105 +- + test-suite/numericaldifferentiation.cpp | 91 +- + test-suite/observable.cpp | 148 ++- + test-suite/ode.cpp | 67 +- + test-suite/optimizers.cpp | 502 +++++----- + test-suite/optionletstripper.cpp | 614 ++++++------ + test-suite/overnightindexedcoupon.cpp | 88 +- + test-suite/overnightindexedswap.cpp | 333 ++++--- + test-suite/partialtimebarrieroption.cpp | 15 +- + test-suite/pathgenerator.cpp | 179 ++-- + test-suite/piecewiseyieldcurve.cpp | 1012 ++++++++++---------- + test-suite/piecewisezerospreadedtermstructure.cpp | 77 +- + test-suite/quantooption.cpp | 136 ++- + test-suite/quotes.cpp | 15 +- + test-suite/rangeaccrual.cpp | 577 ++++++----- + test-suite/riskneutraldensitycalculator.cpp | 142 ++- + test-suite/rounding.cpp | 69 +- + test-suite/sampledcurve.cpp | 11 +- + test-suite/schedule.cpp | 27 +- + test-suite/shortratemodels.cpp | 13 +- + test-suite/sofrfutures.cpp | 17 +- + test-suite/solvers.cpp | 245 +++-- + test-suite/squarerootclvmodel.cpp | 277 +++--- + test-suite/stats.cpp | 452 +++++---- + test-suite/subperiodcoupons.cpp | 236 +++-- + test-suite/swap.cpp | 91 +- + test-suite/swapforwardmappings.cpp | 217 ++--- + test-suite/swaption.cpp | 126 ++- + test-suite/swaptionvolatilitycube.cpp | 159 ++- + test-suite/swaptionvolatilitymatrix.cpp | 367 ++++--- + test-suite/swingoption.cpp | 75 +- + test-suite/termstructures.cpp | 119 ++- + test-suite/tracing.cpp | 71 +- + test-suite/twoassetbarrieroption.cpp | 33 +- + test-suite/ultimateforwardtermstructure.cpp | 180 ++-- + test-suite/variancegamma.cpp | 32 +- + test-suite/varianceswaps.cpp | 69 +- + test-suite/vpp.cpp | 291 +++--- + test-suite/zerocouponswap.cpp | 307 +++--- + 123 files changed, 11946 insertions(+), 12355 deletions(-) + +commit 0e9eb9e965344240a72cea10476a9dbf75a0d943 +Author: Paul +Date: Sat, 16 Dec 2023 16:00:54 +0100 + + ECB::nextCode(code string): removed temp strings in implementation + + ql/time/ecb.cpp | 67 ++++++++++++++++++++++++++++++++++----------------------- + 1 file changed, 40 insertions(+), 27 deletions(-) + +commit d41cc2ae585eae912a6f5f790c9c528053de0dd4 +Author: Paul +Date: Sat, 16 Dec 2023 15:22:44 +0100 + + ECB::nextCode(code string) tests + + test-suite/dates.cpp | 13 +++++++++++++ + 1 file changed, 13 insertions(+) + +commit 319a750f33cd63d5d4d3e5fbb72c7941d2602be1 +Author: Paul +Date: Sat, 16 Dec 2023 15:16:25 +0100 + + ECB::code(date) simplification + no temp strings + + ql/time/ecb.cpp | 64 +++++++++++++-------------------------------------------- + 1 file changed, 14 insertions(+), 50 deletions(-) + +commit d66e597f36d90987ad9fed6df209fa6e9c92ba5b +Author: Paul +Date: Sat, 16 Dec 2023 14:17:38 +0100 + + ECB::code(date) tests + + test-suite/dates.cpp | 8 ++++++++ + 1 file changed, 8 insertions(+) + +commit 7f690fc81073856bb21124ee14051fd26212ce04 +Author: Paul +Date: Sat, 16 Dec 2023 13:55:39 +0100 + + cleanup: move static object into anonymous ns + + ql/time/ecb.cpp | 8 +++----- + 1 file changed, 3 insertions(+), 5 deletions(-) + +commit dfff9140712d729b83866df418ed0503c09076d5 +Author: Paul +Date: Sat, 16 Dec 2023 13:51:33 +0100 + + cleanup: format array of dates; include archive.org link to data + + ql/time/ecb.cpp | 73 +++++++++++++++++++++++++++++++++------------------------ + 1 file changed, 42 insertions(+), 31 deletions(-) + +commit f79a76bf59b72dc58fa934fe5fb589d99738fa10 +Author: Paul +Date: Wed, 13 Dec 2023 19:14:17 +0100 + + ECB::date(code) tests + + test-suite/dates.cpp | 17 +++++++++++++++++ + 1 file changed, 17 insertions(+) + +commit c56cac2c2ceb598741181628a13e5516773a8413 +Author: Paul +Date: Sat, 16 Dec 2023 13:07:38 +0100 + + boost::string_view::contains not available in older versions + + ql/time/asx.cpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) - Upgrade Boost in some CI builds +commit bedde48f5fa36c27702b5d1dfc2c209029ee16bc +Merge: e03b7c383 c9b2ead68 +Author: Luigi Ballabio +Date: Fri, 15 Dec 2023 17:31:56 +0100 - .github/workflows/cmake.yml | 6 +++--- - .github/workflows/msvc-analysis.yml | 10 +++++----- - 2 files changed, 8 insertions(+), 8 deletions(-) + Fix typo (#1858) -commit 44a0c90c75a84b8b74427d71e8a2415da3c98cb2 +commit 6171c004459165cff3918fbf1f2b0af9513877ff Author: Luigi Ballabio -Date: Fri, 11 Aug 2023 23:41:20 +0200 +Date: Thu, 14 Dec 2023 18:10:22 +0100 - Freeze Boost version for Ubuntu jammy in CI build + Use test-suite namespaces to avoid ambiguities. + + BOOST_AUTO_TEST_SUITE defines a namespace, so utilities + in test files don't need to be in a namespace (anonymous + or otherwise) to avoid ambiguities, even in unity builds. + + test-suite/americanoption.cpp | 10 +-- + test-suite/amortizingbond.cpp | 4 +- + test-suite/andreasenhugevolatilityinterpl.cpp | 30 ++------ + test-suite/array.cpp | 12 ++- + test-suite/asianoptions.cpp | 10 +-- + test-suite/assetswap.cpp | 30 ++------ + test-suite/autocovariances.cpp | 6 +- + test-suite/barrieroption.cpp | 18 ++--- + test-suite/basismodels.cpp | 8 +- + test-suite/basisswapratehelpers.cpp | 20 ++--- + test-suite/basketoption.cpp | 8 +- + test-suite/batesmodel.cpp | 16 ++-- + test-suite/bermudanswaption.cpp | 16 ++-- + test-suite/binaryoption.cpp | 16 ++-- + test-suite/blackdeltacalculator.cpp | 18 ++--- + test-suite/blackformula.cpp | 6 +- + test-suite/bondforward.cpp | 18 ++--- + test-suite/bonds.cpp | 34 ++------- + test-suite/brownianbridge.cpp | 10 +-- + test-suite/businessdayconventions.cpp | 15 ++-- + test-suite/calendars.cpp | 6 +- + test-suite/callablebonds.cpp | 8 +- + test-suite/capfloor.cpp | 32 ++------ + test-suite/capflooredcoupon.cpp | 14 ++-- + test-suite/cashflows.cpp | 6 +- + test-suite/catbonds.cpp | 26 ++----- + test-suite/cdo.cpp | 16 ++-- + test-suite/cdsoption.cpp | 4 +- + test-suite/chooseroption.cpp | 10 +-- + test-suite/cliquetoption.cpp | 8 +- + test-suite/cms.cpp | 18 ++--- + test-suite/cms_normal.cpp | 18 ++--- + test-suite/cmsspread.cpp | 8 +- + test-suite/commodityunitofmeasure.cpp | 4 +- + test-suite/compiledboostversion.cpp | 4 +- + test-suite/compoundoption.cpp | 16 ++-- + test-suite/convertiblebonds.cpp | 16 ++-- + test-suite/covariance.cpp | 16 ++-- + test-suite/creditdefaultswap.cpp | 6 +- + test-suite/creditriskplus.cpp | 4 +- + test-suite/crosscurrencyratehelpers.cpp | 18 ++--- + test-suite/currency.cpp | 6 +- + test-suite/curvestates.cpp | 34 ++------- + test-suite/dates.cpp | 6 +- + test-suite/daycounters.cpp | 28 +++---- + test-suite/defaultprobabilitycurves.cpp | 6 +- + test-suite/digitalcoupon.cpp | 28 ++----- + test-suite/digitaloption.cpp | 10 +-- + test-suite/distributions.cpp | 20 ++--- + test-suite/dividendoption.cpp | 10 +-- + test-suite/doublebarrieroption.cpp | 16 ++-- + test-suite/doublebinaryoption.cpp | 10 +-- + test-suite/equitycashflow.cpp | 28 ++----- + test-suite/equityindex.cpp | 36 ++------- + test-suite/equitytotalreturnswap.cpp | 22 ++---- + test-suite/europeanoption.cpp | 56 ++------------ + test-suite/everestoption.cpp | 4 +- + test-suite/exchangerate.cpp | 6 +- + test-suite/extendedtrees.cpp | 32 ++------ + test-suite/extensibleoptions.cpp | 4 +- + test-suite/fastfouriertransform.cpp | 6 +- + test-suite/fdcev.cpp | 9 +-- + test-suite/fdcir.cpp | 4 +- + test-suite/fdheston.cpp | 16 ++-- + test-suite/fdmlinearop.cpp | 14 ++-- + test-suite/fdsabr.cpp | 10 +-- + test-suite/fittedbonddiscountcurve.cpp | 6 +- + test-suite/forwardoption.cpp | 10 +-- + test-suite/forwardrateagreement.cpp | 6 +- + test-suite/functions.cpp | 6 +- + test-suite/garch.cpp | 16 ++-- + test-suite/gaussianquadratures.cpp | 30 ++------ + test-suite/gjrgarchmodel.cpp | 6 +- + test-suite/gsr.cpp | 6 +- + test-suite/hestonmodel.cpp | 8 +- + test-suite/hestonslvmodel.cpp | 8 +- + test-suite/himalayaoption.cpp | 6 +- + test-suite/hybridhestonhullwhiteprocess.cpp | 16 ++-- + test-suite/indexes.cpp | 6 +- + test-suite/inflation.cpp | 18 ++--- + test-suite/inflationcapfloor.cpp | 18 ++--- + test-suite/inflationcapflooredcoupon.cpp | 16 ++-- + test-suite/inflationcpibond.cpp | 16 ++-- + test-suite/inflationcpicapfloor.cpp | 16 ++-- + test-suite/inflationcpiswap.cpp | 20 ++--- + test-suite/inflationvolatility.cpp | 16 ++-- + test-suite/instruments.cpp | 6 +- + test-suite/integrals.cpp | 87 +++++++-------------- + test-suite/interestrates.cpp | 10 +-- + test-suite/interpolations.cpp | 9 ++- + test-suite/jumpdiffusion.cpp | 10 +-- + test-suite/lazyobject.cpp | 22 +++--- + test-suite/libormarketmodel.cpp | 20 ++--- + test-suite/libormarketmodelprocess.cpp | 16 ++-- + test-suite/linearleastsquaresregression.cpp | 10 +-- + test-suite/lookbackoptions.cpp | 10 +-- + test-suite/lowdiscrepancysequences.cpp | 4 +- + test-suite/margrabeoption.cpp | 10 +-- + test-suite/marketmodel_cms.cpp | 14 ++-- + test-suite/marketmodel_smm.cpp | 14 ++-- + .../marketmodel_smmcapletalphacalibration.cpp | 14 ++-- + test-suite/marketmodel_smmcapletcalibration.cpp | 14 ++-- + .../marketmodel_smmcaplethomocalibration.cpp | 16 ++-- + test-suite/markovfunctional.cpp | 10 +-- + test-suite/matrices.cpp | 30 ++------ + test-suite/mclongstaffschwartzengine.cpp | 10 +-- + test-suite/mersennetwister.cpp | 6 +- + test-suite/money.cpp | 4 +- + test-suite/noarbsabr.cpp | 8 +- + test-suite/normalclvmodel.cpp | 8 +- + test-suite/nthorderderivativeop.cpp | 6 +- + test-suite/nthtodefault.cpp | 14 ++-- + test-suite/numericaldifferentiation.cpp | 10 +-- + test-suite/observable.cpp | 10 +-- + test-suite/ode.cpp | 10 +-- + test-suite/operators.cpp | 6 +- + test-suite/optimizers.cpp | 10 +-- + test-suite/optionletstripper.cpp | 26 ++----- + test-suite/overnightindexedcoupon.cpp | 30 ++------ + test-suite/overnightindexedswap.cpp | 34 +++------ + test-suite/pagodaoption.cpp | 4 +- + test-suite/paralleltestrunner.hpp | 2 +- + test-suite/partialtimebarrieroption.cpp | 12 ++- + test-suite/pathgenerator.cpp | 10 +-- + test-suite/period.cpp | 6 +- + test-suite/piecewiseyieldcurve.cpp | 48 ++---------- + test-suite/piecewisezerospreadedtermstructure.cpp | 32 ++------ + test-suite/prices.cpp | 4 +- + test-suite/quantlibbenchmark.cpp | 89 +++++++++++----------- + test-suite/quantooption.cpp | 8 +- + test-suite/quotes.cpp | 16 ++-- + test-suite/rangeaccrual.cpp | 19 ++--- + test-suite/riskneutraldensitycalculator.cpp | 4 +- + test-suite/riskstats.cpp | 6 +- + test-suite/rngtraits.cpp | 6 +- + test-suite/rounding.cpp | 22 ++---- + test-suite/sampledcurve.cpp | 14 ++-- + test-suite/schedule.cpp | 10 +-- + test-suite/settings.cpp | 6 +- + test-suite/shortratemodels.cpp | 18 ++--- + test-suite/sofrfutures.cpp | 10 +-- + test-suite/solvers.cpp | 10 +-- + test-suite/spreadoption.cpp | 8 +- + test-suite/squarerootclvmodel.cpp | 15 ++-- + test-suite/stats.cpp | 10 +-- + test-suite/subperiodcoupons.cpp | 18 ++--- + test-suite/svivolatility.cpp | 4 +- + test-suite/swap.cpp | 26 ++----- + test-suite/swapforwardmappings.cpp | 10 +-- + test-suite/swaption.cpp | 30 ++------ + test-suite/swaptionvolatilitycube.cpp | 26 ++----- + test-suite/swaptionvolatilitymatrix.cpp | 16 ++-- + test-suite/swingoption.cpp | 17 +---- + test-suite/termstructures.cpp | 32 ++------ + test-suite/timegrid.cpp | 6 +- + test-suite/timeseries.cpp | 6 +- + test-suite/tqreigendecomposition.cpp | 6 +- + test-suite/tracing.cpp | 10 +-- + test-suite/transformedgrid.cpp | 10 +-- + test-suite/twoassetbarrieroption.cpp | 8 +- + test-suite/twoassetcorrelationoption.cpp | 4 +- + test-suite/ultimateforwardtermstructure.cpp | 24 ++---- + test-suite/variancegamma.cpp | 8 +- + test-suite/varianceoption.cpp | 4 +- + test-suite/varianceswaps.cpp | 10 +-- + test-suite/volatilitymodels.cpp | 6 +- + test-suite/vpp.cpp | 26 ++----- + test-suite/xoshiro256starstar.cpp | 15 ++-- + test-suite/zabr.cpp | 4 +- + test-suite/zerocouponswap.cpp | 24 ++---- + 170 files changed, 864 insertions(+), 1627 deletions(-) + +commit c9b2ead68840e46b15e61c6ffa978fbcbed11e8c +Author: hoanggiapvu79116 +Date: Fri, 15 Dec 2023 03:57:39 +1100 - .github/workflows/linux-full-tests.yml | 4 ++-- - .github/workflows/linux-nondefault.yml | 4 ++-- - .github/workflows/linux.yml | 4 ++-- - 3 files changed, 6 insertions(+), 6 deletions(-) + Fix typo -commit ac69bddaecdcce3eb7b3098eaa58f23c4817da2f -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Fri, 11 Aug 2023 18:25:17 +0000 + ql/time/date.hpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) - Update copyright list in license +commit 66de7b5779441f5afcbcfefda95e0a6dd6311f88 +Author: Fredrik Gerdin Börjesson +Date: Thu, 14 Dec 2023 16:36:33 +0100 - LICENSE.TXT | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + Add known BoT/Thailand holidays for 2022-2024 -commit 98c8326350e1220a3185215ef5df35fbcac84ca2 -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Fri, 11 Aug 2023 15:15:01 +0000 + ql/time/calendars/thailand.cpp | 27 +++++++++++++++++++++++++++ + ql/time/calendars/thailand.hpp | 2 +- + 2 files changed, 28 insertions(+), 1 deletion(-) - Update generated headers +commit f0e2e84cf55b5777363359c83f969f9278cd6209 +Author: Fredrik Gerdin Börjesson +Date: Thu, 14 Dec 2023 16:35:43 +0100 - ql/instruments/all.hpp | 1 + - 1 file changed, 1 insertion(+) + Correct rules for Thailand holidays until 2021 -commit 0f50c94695e6719ee940be45fce6f4fc84a2306b -Merge: 120de4a39 ada1472cd -Author: Luigi Ballabio -Date: Fri, 11 Aug 2023 16:52:34 +0200 + ql/time/calendars/thailand.cpp | 13 ++++++------- + ql/time/calendars/thailand.hpp | 5 +++-- + 2 files changed, 9 insertions(+), 9 deletions(-) - added multi-process performance benchmarks (#1763) +commit 7aa44c8fe92a80f23fdf48a3eb154de0f983a91c +Author: Matthias Groncki +Date: Fri, 18 Jun 2021 11:11:11 +0200 -commit 120de4a39d2b0d06b2cabedae0101ea4a2377bf7 -Merge: 1a02fe6b5 a3ded7029 -Author: Luigi Ballabio -Date: Fri, 11 Aug 2023 15:37:38 +0200 + [touch:1720] Added Coronation Day and the H.M.Queen Suthida Bajrasudhabimalalakshana’s Birthday and the special and Lunar Calendar based holidays for 2019, 2020 and 2021 - notification pass through utility (#1761) + ql/time/calendars/thailand.cpp | 69 +++++++++++++++++++++++++++++++----------- + 1 file changed, 51 insertions(+), 18 deletions(-) -commit ada1472cd0ea2f251fcd2daf3db0af76585e273d +commit 540a5753655e5d6a3ca69cc556e533ff7c288cd0 Author: Luigi Ballabio -Date: Fri, 11 Aug 2023 15:33:48 +0200 +Date: Thu, 14 Dec 2023 09:51:34 +0100 - Run parallel test runner during its CI build + Remove separate "experimental" test suites. + + With manual registration, we could execute all main tests + first and all experimental ones later. With automatic + registration, that's no longer true so there's no point. + + test-suite/asianoptions.cpp | 6 +----- + test-suite/barrieroption.cpp | 6 +----- + test-suite/basismodels.cpp | 4 ++-- + test-suite/basisswapratehelpers.cpp | 4 ++-- + test-suite/blackdeltacalculator.cpp | 2 +- + test-suite/callablebonds.cpp | 4 ++-- + test-suite/catbonds.cpp | 4 ++-- + test-suite/cdo.cpp | 2 +- + test-suite/cdsoption.cpp | 4 ++-- + test-suite/cmsspread.cpp | 4 ++-- + test-suite/commodityunitofmeasure.cpp | 2 +- + test-suite/compiledboostversion.cpp | 4 ++-- + test-suite/creditriskplus.cpp | 4 ++-- + test-suite/doublebarrieroption.cpp | 6 +----- + test-suite/europeanoption.cpp | 6 +----- + test-suite/everestoption.cpp | 4 ++-- + test-suite/extendedtrees.cpp | 4 ++-- + test-suite/extensibleoptions.cpp | 4 ++-- + test-suite/gaussianquadratures.cpp | 6 +----- + test-suite/hestonmodel.cpp | 4 ---- + test-suite/inflationcpicapfloor.cpp | 4 ++-- + test-suite/inflationvolatility.cpp | 4 ++-- + test-suite/noarbsabr.cpp | 4 ++-- + test-suite/normalclvmodel.cpp | 4 ++-- + test-suite/nthtodefault.cpp | 4 ++-- + test-suite/pagodaoption.cpp | 4 ++-- + test-suite/partialtimebarrieroption.cpp | 4 ++-- + test-suite/quantooption.cpp | 6 +----- + test-suite/riskneutraldensitycalculator.cpp | 4 ++-- + test-suite/spreadoption.cpp | 4 ++-- + test-suite/squarerootclvmodel.cpp | 4 ++-- + test-suite/svivolatility.cpp | 4 ++-- + test-suite/swingoption.cpp | 4 ++-- + test-suite/twoassetbarrieroption.cpp | 4 ++-- + test-suite/twoassetcorrelationoption.cpp | 4 ++-- + test-suite/variancegamma.cpp | 4 ++-- + test-suite/varianceoption.cpp | 4 ++-- + test-suite/vpp.cpp | 2 +- + test-suite/zabr.cpp | 4 ++-- + 39 files changed, 66 insertions(+), 94 deletions(-) + +commit 1ea299080155a4d9d4fa1ae459c4797c604ec1db +Author: Paul +Date: Wed, 13 Dec 2023 18:45:49 +0100 + + ECB::date(ecbCode) removed using std::string + + ql/time/ecb.cpp | 45 +++++++++++++++++++++++++++------------------ + 1 file changed, 27 insertions(+), 18 deletions(-) + +commit 0ef2cfc3a08e4118796bf6c8962013cfe4acfd55 +Author: Paul +Date: Wed, 13 Dec 2023 18:56:14 +0100 + + unit test: cleanup + + test-suite/dates.cpp | 50 +++++++++++++++++++++++--------------------------- + 1 file changed, 23 insertions(+), 27 deletions(-) + +commit 27c825a75e3b24cb01f3a3c7d050fe4192888d99 +Author: Paul +Date: Wed, 13 Dec 2023 18:05:21 +0100 + + typo + + test-suite/dates.cpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) - .github/workflows/linux-full-tests.yml | 6 ++++++ - .github/workflows/linux.yml | 4 ++-- - 2 files changed, 8 insertions(+), 2 deletions(-) +commit aec9a77e7d5c2cb855d357c5c1d129eb621a9681 +Author: Paul +Date: Wed, 13 Dec 2023 17:54:04 +0100 -commit baf7545b7410b0c3c53235386ce8e024752da3b1 -Author: klaus spanderen -Date: Thu, 10 Aug 2023 22:03:43 +0200 + cleanup: remove unnecessary using statements - fixed comment + ql/time/asx.cpp | 3 --- + 1 file changed, 3 deletions(-) - test-suite/paralleltestrunner.hpp | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) +commit ced02765ce15acd961b490638ffea3a415365763 +Author: Paul +Date: Wed, 13 Dec 2023 17:52:42 +0100 -commit a3ded7029f5f33288ebfdf09bec0572012e4210a -Author: Peter Caspers -Date: Wed, 9 Aug 2023 12:32:47 +0200 + ASX::date(): remove temporary mem allocation; simplify implementation - GH-1748 add new source files + ql/time/asx.cpp | 44 +++++++++++++++++--------------------------- + 1 file changed, 17 insertions(+), 27 deletions(-) - QuantLib.vcxproj | 2 ++ - QuantLib.vcxproj.filters | 6 ++++++ - ql/instruments/Makefile.am | 2 ++ - 3 files changed, 10 insertions(+) +commit 6ce309265755d9c3d4585343c2a6ec468686da7e +Author: Paul +Date: Wed, 13 Dec 2023 17:19:27 +0100 -commit 77f3da7bfb1d6927964e79812ce24cd84e6c2723 -Author: Peter Caspers -Date: Wed, 9 Aug 2023 11:33:31 +0200 + ASX::code(): simplify implementation - GH-1748 undo + ql/time/asx.cpp | 65 ++++++++++++++------------------------------------------- + 1 file changed, 16 insertions(+), 49 deletions(-) - ql/instrument.hpp | 1 - - 1 file changed, 1 deletion(-) +commit e03b7c383eb054c7930a60ba60545a1801ce7d14 +Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> +Date: Wed, 13 Dec 2023 15:43:37 +0000 -commit 9cb69bff3eead43324e4115f784399941bdac24a -Author: Peter Caspers -Date: Wed, 9 Aug 2023 11:33:14 +0200 + Update copyright list in license - GH-1748 refactor + LICENSE.TXT | 2 ++ + 1 file changed, 2 insertions(+) - ql/CMakeLists.txt | 2 + - ql/instrument.cpp | 14 ------ - ql/instrument.hpp | 18 +------- - ql/instruments/simplifynotificationgraph.cpp | 45 +++++++++++++++++++ - ql/instruments/simplifynotificationgraph.hpp | 66 ++++++++++++++++++++++++++++ - ql/termstructures/yield/oisratehelper.cpp | 3 +- - ql/termstructures/yield/ratehelpers.cpp | 3 +- - 7 files changed, 118 insertions(+), 33 deletions(-) +commit 2526321bda5185d35cc26d6ac4fe0f80ac3e10b3 +Merge: edac8988a 9cfd2ab17 +Author: Luigi Ballabio +Date: Wed, 13 Dec 2023 16:43:17 +0100 -commit 9f4932157918963b0bde206430d625a9d27fc9b1 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Tue, 8 Aug 2023 21:15:34 +0200 + fuzz: Add american option fuzzer (#1833) - Renamed to Xoshiro256StarStarRng +commit edac8988a31b71517129afcfeef2b965942a3335 +Merge: 591e3d7fc 279b4d73a +Author: Luigi Ballabio +Date: Wed, 13 Dec 2023 14:42:26 +0100 - ql/CMakeLists.txt | 4 +-- - ...6starstarprng.cpp => xoshiro256starstarrng.cpp} | 22 ++++++------- - ...6starstarprng.hpp => xoshiro256starstarrng.hpp} | 18 +++++------ - test-suite/CMakeLists.txt | 4 +-- - test-suite/quantlibtestsuite.cpp | 36 ++++++++++------------ - ...6starstarprng.cpp => xoshiro256starstarrng.cpp} | 14 ++++----- - ...6starstarprng.hpp => xoshiro256starstarrng.hpp} | 2 +- - 7 files changed, 49 insertions(+), 51 deletions(-) + GH-1791 add clarifying comment and unit test to confirm result caching (#1850) -commit 1a02fe6b5304823aeccf06bc2fa5c31581b5d41e -Merge: d1b43b8e0 a6b47152a +commit 591e3d7fc730b855e2aec2b5c4b92f8bf4dcc702 +Merge: 55f945c5a 4faa88f2b Author: Luigi Ballabio -Date: Tue, 8 Aug 2023 10:08:13 +0200 +Date: Wed, 13 Dec 2023 14:41:34 +0100 - Unsuppress modernize-use-emplace (#1762) + Unit test for prices.hpp (#1841) -commit a6b47152acb9559bbc009efda22915625149ebe1 -Author: Jonathan Sweemer -Date: Sat, 5 Aug 2023 15:56:28 +0900 +commit e2290d4f9dac0549495ae1ca7fbe6a1debbf2ea4 +Author: Paul +Date: Tue, 12 Dec 2023 17:49:18 +0100 - Unsuppress modernize-use-emplace + isASXcode: reimplement without temporary mem allocs - .clang-tidy | 1 - - ql/currencies/exchangeratemanager.cpp | 2 +- - ql/experimental/commodities/commodity.cpp | 2 +- - ql/methods/montecarlo/lsmbasissystem.cpp | 4 ++-- - .../forward/replicatingvarianceswapengine.hpp | 5 ++--- - .../equityfx/andreasenhugevolatilityinterpl.cpp | 3 +-- - .../volatility/optionlet/strippedoptionlet.cpp | 2 +- - test-suite/andreasenhugevolatilityinterpl.cpp | 26 +++++++++++----------- - test-suite/catbonds.cpp | 6 ++--- - test-suite/swingoption.cpp | 2 +- - 10 files changed, 25 insertions(+), 28 deletions(-) + ql/time/asx.cpp | 14 +++++++------- + 1 file changed, 7 insertions(+), 7 deletions(-) -commit ba319d5ca026e05d06c78647db100af982cd82ed -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Mon, 7 Aug 2023 23:03:04 +0200 +commit 55f945c5a6e574f714f65ec9c9e160fe58a0536c +Author: Luigi Ballabio +Date: Wed, 13 Dec 2023 12:11:23 +0100 - Added mean and std dev test case + Fix typo - ql/math/randomnumbers/xoshiro256starstarprng.cpp | 18 ++++++------ - ql/math/randomnumbers/xoshiro256starstarprng.hpp | 26 +++++++++++------- - test-suite/xoshiro256starstarprng.cpp | 35 ++++++++++++++++++++---- - test-suite/xoshiro256starstarprng.hpp | 2 +- - 4 files changed, 55 insertions(+), 26 deletions(-) + fuzz-test-suite/amortizedbondsfuzzer.cpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit d1b43b8e070324fe92a01472b23b50a8c2fc95e4 -Merge: aff1e87d2 6f64993a1 +commit 4faa88f2b1ed18c5cfe656884a76bdf437991214 Author: Luigi Ballabio -Date: Mon, 7 Aug 2023 22:17:37 +0200 +Date: Wed, 13 Dec 2023 12:04:26 +0100 - Modernize Examples (#1760) + No need for an anonymous namespace -commit 6f64993a1705871ab716c67434fddc45d418e466 + test-suite/prices.cpp | 286 +++++++++++++++++++++++++------------------------- + 1 file changed, 143 insertions(+), 143 deletions(-) + +commit 1cfefcfb1333cdd11fbcd9e5eb745a3b72ea58b2 +Merge: 5611dec05 5cf6983f7 Author: Luigi Ballabio -Date: Mon, 7 Aug 2023 21:06:47 +0200 +Date: Wed, 13 Dec 2023 11:42:19 +0100 - Reuse engines when possible + fuzz: Add amortized-bonds fuzzer (#1832) - Examples/BasketLosses/BasketLosses.cpp | 8 +--- - Examples/ConvertibleBonds/ConvertibleBonds.cpp | 40 ++++++++++---------- - Examples/EquityOption/EquityOption.cpp | 51 +++++++++++++++----------- - 3 files changed, 53 insertions(+), 46 deletions(-) +commit 37db27162620961d79ca2e5c82155de3546a6d0c +Author: Luigi Ballabio +Date: Wed, 13 Dec 2023 11:40:51 +0100 -commit cffac426e1b300d4627fec80a1622dd945ae5155 -Author: klaus spanderen -Date: Mon, 7 Aug 2023 20:17:09 +0200 + Move process creation before engine creation - fixed windows cmake build + fuzz-test-suite/fuzzamericanoption.cpp | 9 +++++---- + 1 file changed, 5 insertions(+), 4 deletions(-) - test-suite/quantlibbenchmark.cpp | 143 +++++++++++++++++++++------------------ - 1 file changed, 79 insertions(+), 64 deletions(-) +commit 279b4d73a04e746d65cf95fc09f785959dbd8d33 +Author: Peter Caspers +Date: Tue, 12 Dec 2023 19:33:20 +0100 -commit 6bbd0e7807551211631d31d0a1dbc608f0fc5431 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Sun, 6 Aug 2023 20:34:41 +0200 + GH-1791 add clarifying comment and unit test to confirm result caching - Implemented Xoshiro256StarStar and a basic test + ql/pricingengines/swaption/blackswaptionengine.hpp | 7 +++--- + test-suite/swaption.cpp | 26 ++++++++++++++++++++++ + 2 files changed, 30 insertions(+), 3 deletions(-) - ql/math/randomnumbers/xoshiro256starstarprng.cpp | 36 ++++++++++++++++ - ql/math/randomnumbers/xoshiro256starstarprng.hpp | 54 ++++++++++++++++++++++-- - test-suite/quantlibtestsuite.cpp | 2 + - test-suite/xoshiro256starstarprng.cpp | 21 +++++++++ - test-suite/xoshiro256starstarprng.hpp | 14 ++++-- - 5 files changed, 121 insertions(+), 6 deletions(-) +commit 5cf6983f70c4998d38fc5da7929de0ff7f06b4c9 +Author: Nathaniel Brough +Date: Wed, 15 Nov 2023 14:44:47 -0800 -commit 6d359fc6df335fa948c245823e766ea384671f79 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Sun, 6 Aug 2023 18:38:16 +0200 + fuzz: Add amortized-bonds fuzzer - Added empty test files xoshiro256starstarprng.cpp/hpp + fuzz-test-suite/CMakeLists.txt | 12 +++-- + fuzz-test-suite/amortizedbondsfuzzer.cpp | 80 ++++++++++++++++++++++++++++++++ + 2 files changed, 87 insertions(+), 5 deletions(-) - test-suite/CMakeLists.txt | 2 ++ - test-suite/xoshiro256starstarprng.cpp | 20 ++++++++++++++++++++ - test-suite/xoshiro256starstarprng.hpp | 24 ++++++++++++++++++++++++ - 3 files changed, 46 insertions(+) +commit f5815856090725fce16e1995f8f2f39d3827086f +Author: Nathaniel Brough +Date: Wed, 15 Nov 2023 16:20:36 -0800 -commit d3cf6d79205b7d445b30ef163706a156a8b3519d -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Sun, 6 Aug 2023 18:30:27 +0200 + fuzz: Add american option fuzzer - Added empty files xoshiro256starstarprng.cpp/hpp + fuzz-test-suite/CMakeLists.txt | 11 ++- + fuzz-test-suite/fuzzamericanoption.cpp | 130 +++++++++++++++++++++++++++++++++ + 2 files changed, 137 insertions(+), 4 deletions(-) - ql/CMakeLists.txt | 2 ++ - ql/math/randomnumbers/xoshiro256starstarprng.cpp | 20 ++++++++++++++++++++ - ql/math/randomnumbers/xoshiro256starstarprng.hpp | 23 +++++++++++++++++++++++ - 3 files changed, 45 insertions(+) +commit e5133dad3d0e1f0762f2407c1cc40a07437a805e +Author: Paul +Date: Tue, 12 Dec 2023 17:32:26 +0100 -commit c399c6f2e563df920d5d08f92162037c6f716f6a -Author: klaus spanderen -Date: Sun, 6 Aug 2023 18:11:50 +0200 + test isASXdate, nextDate, nextCode - avoid WinSock.h error message + test-suite/dates.cpp | 31 +++++++++++++++++++++++++++++++ + 1 file changed, 31 insertions(+) - test-suite/paralleltestrunner.hpp | 5 +++-- - test-suite/quantlibbenchmark.cpp | 22 +++++++++++----------- - 2 files changed, 14 insertions(+), 13 deletions(-) +commit 5df997add0404e933cd91cbd871798d6bb1fa149 +Author: Paul +Date: Tue, 12 Dec 2023 16:31:57 +0100 -commit 6edf08f8a0a1fd4503aecef90aba67fea0569981 -Author: klaus spanderen -Date: Sun, 6 Aug 2023 16:39:02 +0200 - - added parallel version of quantLib benchmark - - test-suite/quantlibbenchmark.cpp | 340 +++++++++++++++++++++++++++------------ - 1 file changed, 236 insertions(+), 104 deletions(-) - -commit fb1955b2e4f6b4e0d31abf7d304850a214b0c082 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Sun, 6 Aug 2023 16:17:41 +0200 - - Removed workflows for the time being to increase workflow build time - - .github/boring-cyborg.yml | 13 -- - .github/dependabot.yml | 8 -- - .github/workflows/codeql-analysis.yml | 51 -------- - .github/workflows/copyrights.yml | 21 --- - .github/workflows/coveralls.yml | 40 ------ - .github/workflows/doxygen.yml | 21 --- - .github/workflows/filelists.yml | 18 --- - .github/workflows/generated-headers.yml | 31 ----- - .github/workflows/headers.yml | 24 ---- - .github/workflows/linux-full-tests.yml | 205 ----------------------------- - .github/workflows/linux-nondefault.yml | 162 ----------------------- - .github/workflows/linux.yml | 224 -------------------------------- - .github/workflows/macos-nondefault.yml | 40 ------ - .github/workflows/macos.yml | 37 ------ - .github/workflows/misspell.yml | 19 --- - .github/workflows/msvc-analysis.yml | 53 -------- - .github/workflows/sanitizer.yml | 44 ------- - .github/workflows/stale.yml | 22 ---- - .github/workflows/test-times.yml | 41 ------ - .github/workflows/tidy.yml | 31 ----- - 20 files changed, 1105 deletions(-) - -commit fd256cbbc5e33b6602d010878f08e05f9b32f80d -Author: Peter Caspers -Date: Sat, 5 Aug 2023 16:34:17 +0200 - - GH-1748 fix - - ql/patterns/lazyobject.hpp | 2 +- - 1 file changed, 1 insertion(+), 1 deletion(-) + cleanup unit test -commit 2cbb747427612e14544753423714510c4d83fe1c -Author: Peter Caspers -Date: Sat, 5 Aug 2023 16:29:43 +0200 + test-suite/dates.cpp | 32 +++++++++++++------------------- + 1 file changed, 13 insertions(+), 19 deletions(-) - GH-1748 typos, further clarification +commit 79d1b1f9148315331ea41c3daada116216dcf40b +Author: Paul +Date: Tue, 12 Dec 2023 16:04:42 +0100 - ql/instrument.hpp | 7 ++++--- - 1 file changed, 4 insertions(+), 3 deletions(-) + const correctness -commit a1af567cdd029b2ac15f6a480dbb188831ff9676 -Author: Peter Caspers -Date: Sat, 5 Aug 2023 16:21:03 +0200 + test-suite/timeseries.cpp | 4 ++-- + 1 file changed, 2 insertions(+), 2 deletions(-) - GH-1748 apply optimization to rate helpers +commit fa81ccfbf95bdf9fcef108b21cd8491d8ce2cb39 +Author: Fredrik Gerdin Börjesson +Date: Tue, 12 Dec 2023 15:52:03 +0100 - ql/termstructures/yield/oisratehelper.cpp | 2 ++ - ql/termstructures/yield/ratehelpers.cpp | 2 ++ - 2 files changed, 4 insertions(+) + Stop moving Juneteenth to Friday if Saturday for Fed -commit f50411fd481f1087d0de107c71947b208b5b7445 -Author: Peter Caspers -Date: Sat, 5 Aug 2023 16:20:35 +0200 + ql/time/calendars/unitedstates.cpp | 8 ++++---- + test-suite/calendars.cpp | 30 ++++++++++++++++++++++++++++++ + 2 files changed, 34 insertions(+), 4 deletions(-) - GH-1748 add legs() inspector to swap +commit 3004b51520bc60753389782bffcb7be9c6b13a6c +Author: Paul +Date: Tue, 12 Dec 2023 14:07:24 +0100 - ql/instruments/swap.cpp | 2 ++ - ql/instruments/swap.hpp | 1 + - 2 files changed, 3 insertions(+) + test utilities: find, dates, values -commit 6a3c9f07af6b9edf8fdbefa4bb9e9a82a6b30b46 -Author: Peter Caspers -Date: Sat, 5 Aug 2023 16:20:07 +0200 + test-suite/timeseries.cpp | 44 ++++++++++++++++++++++++++++++++++++++++++++ + 1 file changed, 44 insertions(+) - GH-1748 add utility function to unregister with cashflows +commit 3966f81d260e1dfd87b58917a3e1223d2415ed1b +Author: Fredrik Gerdin Börjesson +Date: Tue, 12 Dec 2023 15:06:22 +0100 - ql/instrument.cpp | 14 ++++++++++++++ - ql/instrument.hpp | 18 +++++++++++++++++- - 2 files changed, 31 insertions(+), 1 deletion(-) + Add TWSE holidays for 2024 to Taiwan calendar -commit 7ccde3ae15d153419f0e746af50bbbd4f7cdb16c -Author: Peter Caspers -Date: Sat, 5 Aug 2023 16:19:21 +0200 + ql/time/calendars/taiwan.cpp | 20 ++++++++++++++++++++ + ql/time/calendars/taiwan.hpp | 3 ++- + 2 files changed, 22 insertions(+), 1 deletion(-) - GH-1748 add isCalculated() to lazy object +commit c2dcfd90bcfd6e7e94eab7efeef5e14c1ce776f4 +Author: Paul +Date: Sun, 10 Dec 2023 14:07:22 +0100 - ql/patterns/lazyobject.hpp | 6 ++++++ - 1 file changed, 6 insertions(+) + test inspectors: firstDate, size, empty -commit 2747de43b87388920be1a414b7dbd476721140c7 -Author: Jonathan Sweemer -Date: Fri, 4 Aug 2023 21:49:12 +0900 - - Modernize Examples - - Examples/BasketLosses/BasketLosses.cpp | 115 ++++++------- - Examples/BermudanSwaption/BermudanSwaption.cpp | 130 ++++++--------- - Examples/Bonds/Bonds.cpp | 132 +++++++-------- - Examples/CDS/CDS.cpp | 184 +++++++++------------ - Examples/CVAIRS/CVAIRS.cpp | 52 +++--- - Examples/CallableBonds/CallableBonds.cpp | 43 ++--- - Examples/ConvertibleBonds/ConvertibleBonds.cpp | 80 +++------ - Examples/DiscreteHedging/DiscreteHedging.cpp | 34 ++-- - Examples/EquityOption/EquityOption.cpp | 145 ++++++---------- - Examples/FRA/FRA.cpp | 50 +++--- - Examples/FittedBondCurve/FittedBondCurve.cpp | 107 +++++------- - Examples/Gaussian1dModels/Gaussian1dModels.cpp | 83 ++++------ - Examples/GlobalOptimizer/GlobalOptimizer.cpp | 12 +- - Examples/LatentModel/LatentModel.cpp | 32 ++-- - Examples/MarketModels/MarketModels.cpp | 50 +++--- - .../MulticurveBootstrapping.cpp | 28 ++-- - Examples/MultidimIntegral/MultidimIntegral.cpp | 4 +- - Examples/Replication/Replication.cpp | 69 +++----- - Examples/Repo/Repo.cpp | 28 ++-- - 19 files changed, 554 insertions(+), 824 deletions(-) - -commit aff1e87d2186e475e13d14247a385a60e02aa10d -Author: Luigi Ballabio -Date: Fri, 4 Aug 2023 15:13:15 +0200 - - Add MacOS 13 to build matrix - - .github/workflows/cmake.yml | 2 -- - .github/workflows/macos-nondefault.yml | 15 ++++++++++++--- - .github/workflows/macos.yml | 7 ++++++- - 3 files changed, 18 insertions(+), 6 deletions(-) - -commit 5443aef354115eb5379c26202b03b1aa9bd3d3f6 -Author: Luigi Ballabio -Date: Fri, 4 Aug 2023 12:40:13 +0200 - - Avoid a few code-scanning warnings - - test-suite/americanoption.cpp | 4 ++-- - test-suite/interpolations.cpp | 4 ++-- - 2 files changed, 4 insertions(+), 4 deletions(-) + test-suite/timeseries.cpp | 8 +++++--- + 1 file changed, 5 insertions(+), 3 deletions(-) -commit 94eae2c3e8ab0500d5ecfd52a8dba04707372445 -Merge: 82597fe4e 34e18b4a5 -Author: Luigi Ballabio -Date: Fri, 4 Aug 2023 13:41:42 +0200 +commit ed051227cce85e6fdbcd27fa38f85e7bbe21945d +Author: Paul +Date: Sun, 10 Dec 2023 14:04:10 +0100 - Unsuppress bugprone-multiple-new-in-one-expression (#1758) + split up test -commit 82597fe4e27fd3d0094535281aecd3f63decf71c -Merge: 9a9d4298b a765cb4bb -Author: Luigi Ballabio -Date: Fri, 4 Aug 2023 12:39:02 +0200 + test-suite/timeseries.cpp | 112 +++++++++++++++++++++++----------------------- + 1 file changed, 55 insertions(+), 57 deletions(-) - Make cashflow lazy (#1757) +commit 8f7493900ee3e2058dc1a24c6b8dbdd6d0d02a71 +Author: Paul +Date: Tue, 12 Dec 2023 14:17:29 +0100 -commit 34e18b4a5c710a13edf00a774025ba7418be0bf3 -Author: Jonathan Sweemer -Date: Fri, 4 Aug 2023 06:17:28 +0000 - - Also unsuppress modernize-make-shared - - .clang-tidy | 7 +++- - Examples/CDS/CDS.cpp | 6 +-- - ql/cashflows/digitalcmscoupon.hpp | 4 +- - ql/cashflows/digitaliborcoupon.hpp | 4 +- - ql/experimental/basismodels/tenorswaptionvts.cpp | 8 ++-- - ql/experimental/coupons/digitalcmsspreadcoupon.hpp | 4 +- - .../coupons/lognormalcmsspreadpricer.cpp | 8 ++-- - ql/experimental/credit/riskyassetswap.cpp | 5 +-- - .../swaptions/haganirregularswaptionengine.cpp | 8 ++-- - ql/indexes/swapindex.cpp | 25 +++++------- - ql/instruments/makecds.cpp | 4 +- - .../swaption/basketgeneratingengine.cpp | 8 ++-- - .../credit/defaultprobabilityhelpers.cpp | 8 ++-- - test-suite/basketoption.cpp | 5 +-- - test-suite/batesmodel.cpp | 8 ++-- - test-suite/cms.cpp | 5 +-- - test-suite/cms_normal.cpp | 5 +-- - test-suite/cmsspread.cpp | 46 ++++++++++------------ - test-suite/defaultprobabilitycurves.cpp | 6 +-- - test-suite/hestonslvmodel.cpp | 4 +- - test-suite/inflation.cpp | 12 +++--- - test-suite/swaptionvolatilitycube.cpp | 11 ++---- - test-suite/ultimateforwardtermstructure.cpp | 6 +-- - 23 files changed, 96 insertions(+), 111 deletions(-) - -commit a765cb4bb79bae8558439d592551ebeccfee6326 -Author: Peter Caspers -Date: Thu, 3 Aug 2023 13:00:42 +0200 - - GH-1755 make cashflow lazy - - ql/cashflow.hpp | 7 ++++++- - ql/cashflows/digitalcoupon.hpp | 3 +-- - ql/cashflows/fixedratecoupon.cpp | 12 ++++++++---- - ql/cashflows/fixedratecoupon.hpp | 5 +++++ - ql/cashflows/floatingratecoupon.hpp | 2 +- - ql/cashflows/indexedcashflow.cpp | 10 +++++++--- - ql/cashflows/indexedcashflow.hpp | 8 ++++---- - ql/cashflows/inflationcoupon.cpp | 7 ++++++- - ql/cashflows/inflationcoupon.hpp | 8 ++++---- - ql/experimental/inflation/yoyoptionlethelpers.cpp | 2 +- - ql/instruments/bond.cpp | 4 +--- - ql/instruments/capfloor.cpp | 3 +-- - ql/instruments/swap.cpp | 3 +-- - ql/termstructures/inflation/inflationhelpers.cpp | 4 ++-- - 14 files changed, 48 insertions(+), 30 deletions(-) - -commit 9a9d4298bc61b215abd49815cc6407b369c452a5 -Author: Luigi Ballabio -Date: Tue, 1 Aug 2023 16:07:37 +0200 - - Add gcc 13 and clang 16 to the build matrix - - .github/workflows/linux-full-tests.yml | 10 ++++++++++ - .github/workflows/linux-nondefault.yml | 10 ++++++++++ - .github/workflows/linux.yml | 14 ++++++++++++-- - 3 files changed, 32 insertions(+), 2 deletions(-) - -commit de5a890a86a37197408c91a8786eee766c2a4b17 -Author: Jonathan Sweemer -Date: Wed, 2 Aug 2023 20:59:41 +0900 + remove nested anonymous namespaces - Unsuppress bugprone-multiple-new-in-one-expression + test-suite/prices.cpp | 32 ++++++++++++++------------------ + 1 file changed, 14 insertions(+), 18 deletions(-) - .clang-tidy | 1 - - Examples/Bonds/Bonds.cpp | 2 +- - Examples/ConvertibleBonds/ConvertibleBonds.cpp | 8 ++------ - Examples/EquityOption/EquityOption.cpp | 5 ++--- - Examples/Gaussian1dModels/Gaussian1dModels.cpp | 2 +- - Examples/Replication/Replication.cpp | 5 ++--- - 6 files changed, 8 insertions(+), 15 deletions(-) +commit f8cbb3690b73da0bd15e3019129aa5b3a8c5e4e4 +Author: Paul +Date: Tue, 12 Dec 2023 14:17:02 +0100 -commit 520d62fdec38bfd0269f111ff0f7b04b24a4d56a -Merge: 42a8591e8 9397a1161 -Author: Luigi Ballabio -Date: Tue, 1 Aug 2023 12:35:41 +0200 + fix copy-paste errors - Add suppressions for clang-tidy-18 (#1749) + test-suite/prices.cpp | 7 +++---- + 1 file changed, 3 insertions(+), 4 deletions(-) -commit 42a8591e87bb8ce3e60f57b1aed13ba63f33177a -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Sun, 30 Jul 2023 02:00:49 +0000 +commit e3939ca436998d568e664d269f4cf4f0d0783cc6 +Author: Paul +Date: Tue, 12 Dec 2023 14:13:23 +0100 - Automated fixes by clang-tidy + claim copyright - ql/patterns/observable.hpp | 2 +- + test-suite/prices.cpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit 9397a1161d29b89f5b190ddd6f788ec7aaae22bf -Author: Jonathan Sweemer -Date: Sat, 29 Jul 2023 05:46:08 +0000 +commit 5611dec05f484abd5973519b5bc73b703b0fe696 +Merge: 6304a211b 23e541c6e +Author: Luigi Ballabio +Date: Tue, 12 Dec 2023 10:34:06 +0100 + + TimeGrid: Complete the unit tests (#1844) - Add suppressions for clang-tidy-18 +commit 6304a211bbc1b4b4cc1c84c22c1553c218ef0509 +Merge: aab8c6979 30e1ec114 +Author: Luigi Ballabio +Date: Tue, 12 Dec 2023 10:33:21 +0100 - .clang-tidy | 6 ++++++ - ql/experimental/averageois/arithmeticoisratehelper.hpp | 1 + - ql/experimental/swaptions/haganirregularswaptionengine.hpp | 1 + - ql/experimental/volatility/interestratevolsurface.hpp | 1 - - ql/math/interpolations/xabrinterpolation.hpp | 2 +- - ql/math/matrixutilities/svd.cpp | 2 +- - ql/patterns/observable.hpp | 7 +++++-- - ql/termstructures/credit/defaultprobabilityhelpers.hpp | 1 + - ql/termstructures/yield/oisratehelper.hpp | 1 + - ql/termstructures/yield/ratehelpers.hpp | 2 ++ - ql/utilities/steppingiterator.hpp | 4 ++-- - test-suite/lazyobject.cpp | 2 +- - 12 files changed, 22 insertions(+), 8 deletions(-) + Clean up types in SobolRsg (#1843) -commit c08d68c565b1152149abef85aa8f73ed7cd5613b +commit aab8c69792a7d15447ebedce919431f53df0f1a2 +Merge: c74153225 7d1c6b838 Author: Luigi Ballabio -Date: Sat, 29 Jul 2023 09:33:33 +0200 +Date: Tue, 12 Dec 2023 00:21:24 +0100 - Fix typo + Deprecate Currency::format (#1810) - CMakePresets.json | 4 ++-- - 1 file changed, 2 insertions(+), 2 deletions(-) +commit 3a4dcb0ab73d11d67388e80d5daccffd6a987f17 +Author: moixastrikes +Date: Mon, 11 Dec 2023 15:43:02 -0500 -commit cfcbbb68b8f2b4173ef7c091b5428dc713679f3c -Merge: e32d72c46 b15a3a4f0 -Author: Luigi Ballabio -Date: Fri, 28 Jul 2023 22:46:47 +0200 + Added Dec. 31 NYE holiday to Chilean calendar in chile.cpp - Use `std::function`, `std::bind` and `std::tuple` by default (#1747) + ql/time/calendars/chile.cpp | 2 ++ + 1 file changed, 2 insertions(+) -commit e32d72c4676162b8e8ec292381839a0b715677cb -Merge: 288f32ea3 0bc645dd1 -Author: Luigi Ballabio -Date: Fri, 28 Jul 2023 20:44:11 +0200 +commit c74153225811f8d2701bddb4c5fb70ccb32d9789 +Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com> +Date: Mon, 11 Dec 2023 11:45:45 +0000 + + Bump actions/stale from 8 to 9 + + Bumps [actions/stale](https://github.com/actions/stale) from 8 to 9. + - [Release notes](https://github.com/actions/stale/releases) + - [Changelog](https://github.com/actions/stale/blob/main/CHANGELOG.md) + - [Commits](https://github.com/actions/stale/compare/v8...v9) + + --- + updated-dependencies: + - dependency-name: actions/stale + dependency-type: direct:production + update-type: version-update:semver-major + ... + + Signed-off-by: dependabot[bot] - use `std::set` everywhere to store observers, observables (#1744) + .github/workflows/stale.yml | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) -commit 288f32ea30d7c8ca59c04fbe68132f9abc0f4590 -Merge: d1cace577 b5d3bfa0c +commit 7345a7d38b19e70c52fa1c84a0e475359deab6f7 Author: Luigi Ballabio -Date: Fri, 28 Jul 2023 20:41:54 +0200 +Date: Mon, 11 Dec 2023 14:54:38 +0100 - register with observables of bootstrap helpers instead of the helpers themselves (#1742) + Fix typo in template argument name + + ql/money.cpp | 4 ++-- + 1 file changed, 2 insertions(+), 2 deletions(-) -commit b15a3a4f0e70e9a6575a585b460150b243570f13 +commit 86a8fa85552933a250ce66d75000522801e6e4a9 +Merge: 1cb2dfc4a 1bc5f91c0 Author: Luigi Ballabio -Date: Fri, 28 Jul 2023 14:34:52 +0200 +Date: Mon, 11 Dec 2023 13:41:01 +0100 - Avoid a few errors with gcc 5.4 + Money: Implementation simplification and increased unit test coverage (#1840) - .../credit/randomdefaultlatentmodel.hpp | 2 +- - ql/models/equity/hestonslvfdmmodel.cpp | 18 +++++++++--------- - test-suite/hestonslvmodel.cpp | 22 ++++++++++++---------- - test-suite/interpolations.cpp | 20 ++++++++++---------- - 4 files changed, 32 insertions(+), 30 deletions(-) +commit 7d1c6b8386de79d5cd5c9095b0c97ee0e2058769 +Author: Jonathan Sweemer +Date: Tue, 10 Oct 2023 21:47:13 +0900 -commit d1cace5774e4a00b868544a3536a84144660027d -Merge: f9b21c1ff 4db458d2b -Author: Luigi Ballabio -Date: Fri, 28 Jul 2023 12:46:38 +0200 + Deprecate Currency::format - Cleaner syntax for `std::function` in some places (#1746) + ql/currency.cpp | 39 ++++++++++++++++++++++++++++++++++++++- + ql/currency.hpp | 40 ++++++++++++++++++++++++++++++++++++++++ + ql/money.cpp | 11 +---------- + test-suite/currency.cpp | 2 +- + 4 files changed, 80 insertions(+), 12 deletions(-) -commit f9b21c1ffbf7fe9597676c23e591fc4d56dba359 -Merge: 1ded9ade1 605a68f2e -Author: Luigi Ballabio -Date: Fri, 28 Jul 2023 09:32:37 +0200 +commit 23e541c6ee64822f89eac5888e1865ff61ea8f54 +Author: Paul +Date: Sat, 9 Dec 2023 22:31:41 +0100 - remove reference to observable settings (#1745) + undo whitespace changes -commit 38fc9f0325ddc7080a51d1dce98d007edb123087 -Author: Luigi Ballabio -Date: Fri, 28 Jul 2023 09:10:33 +0200 + test-suite/timegrid.cpp | 16 ++++++++-------- + 1 file changed, 8 insertions(+), 8 deletions(-) - Flip switches in "non-default" CI builds +commit 6abf054209bea0281d9ff41167c8cac8bc7a63a4 +Author: Paul +Date: Sat, 9 Dec 2023 22:25:50 +0100 - .github/workflows/linux-full-tests.yml | 4 ++-- - .github/workflows/linux-nondefault.yml | 4 ++-- - .github/workflows/linux.yml | 4 ++-- - .github/workflows/macos-nondefault.yml | 4 ++-- - CMakePresets.json | 12 ++++++++++-- - 5 files changed, 18 insertions(+), 10 deletions(-) + better test message -commit 605a68f2ea5f8b1e35c5e7037968381afeb779de + test-suite/timegrid.cpp | 19 ++++++++++--------- + 1 file changed, 10 insertions(+), 9 deletions(-) + +commit 30e1ec114cf54bc4a911bc81860c8736eb3d268d Author: Peter Caspers -Date: Thu, 27 Jul 2023 18:59:13 +0100 +Date: Sat, 9 Dec 2023 18:48:35 +0100 - remove reference to observable settings + GH-1821 clean up types, remove bits_ and normalizationFactor_ as separate members - ql/patterns/observable.cpp | 28 +++++++++++++--------------- - ql/patterns/observable.hpp | 11 ++++------- - 2 files changed, 17 insertions(+), 22 deletions(-) + ql/math/randomnumbers/sobolrsg.cpp | 77973 +++++++++++++++++------------------ + ql/math/randomnumbers/sobolrsg.hpp | 18 +- + 2 files changed, 38992 insertions(+), 38999 deletions(-) -commit 16e4273b42cdd9398615378adb827b82df96093e -Author: Luigi Ballabio -Date: Thu, 27 Jul 2023 19:33:40 +0200 +commit eff0c83ffa8a4a75d5ab8ed711cacac0521a3558 +Author: Paul +Date: Fri, 8 Dec 2023 23:01:35 +0100 - Use std::function, std::bind and std::tuple by default + full test coverage of timegrid - CMakeLists.txt | 4 ++-- - Docs/pages/config.docs | 12 ++++++------ - configure.ac | 22 +++++++++++----------- - ql/userconfig.hpp | 10 +++++----- - 4 files changed, 24 insertions(+), 24 deletions(-) + test-suite/timegrid.cpp | 35 +++++++++++++++++++++++++++++++++++ + 1 file changed, 35 insertions(+) -commit 0bc645dd1b49cb0f4633fadfcdc961b454be31f9 -Author: Peter Caspers -Date: Thu, 27 Jul 2023 18:31:09 +0100 +commit 1bc5f91c0f578c8fa3fc5cb58198d9149a350d09 +Author: Paul +Date: Wed, 6 Dec 2023 20:22:54 +0100 - use std::set everywhere to store observers, observables + simplify generic compare/apply function - ql/patterns/observable.hpp | 9 ++++----- - 1 file changed, 4 insertions(+), 5 deletions(-) + ql/money.cpp | 29 +++++++++++------------------ + 1 file changed, 11 insertions(+), 18 deletions(-) -commit 4db458d2b100139e6e7e2c00a4b7ecb5e4a893b7 -Author: Luigi Ballabio -Date: Thu, 27 Jul 2023 19:02:37 +0200 +commit 2aabea04d51db05da98f034f65ca035a0bc85c68 +Author: Paul +Date: Fri, 1 Dec 2023 21:34:20 +0100 - Cleaner syntax for std::function in some places + unit test: check comparisons - .../math/gaussiannoncentralchisquaredpolynomial.cpp | 3 +-- - ql/experimental/shortrate/generalizedhullwhite.hpp | 12 ++++-------- - ql/functional.hpp | 8 ++++++++ - ql/math/matrixutilities/bicgstab.cpp | 4 ++-- - ql/math/matrixutilities/gmres.cpp | 4 ++-- - ql/math/optimization/lmdif.cpp | 4 ++-- - .../utilities/fdmtimedepdirichletboundary.cpp | 4 ++-- - ql/pricingengines/vanilla/analytichestonengine.cpp | 4 ++-- - ql/pricingengines/vanilla/analytichestonengine.hpp | 6 +++--- - ql/termstructures/globalbootstrap.hpp | 4 ++-- - test-suite/fdmlinearop.cpp | 16 ++++++++-------- - 11 files changed, 36 insertions(+), 33 deletions(-) + test-suite/money.cpp | 64 ++++++++++++++++++++++++++++++++++++++++++++ + test-suite/preconditions.hpp | 2 +- + 2 files changed, 65 insertions(+), 1 deletion(-) -commit b5d3bfa0cc696eb64c395186329110e6a097bd9e -Author: Peter Caspers -Date: Tue, 25 Jul 2023 20:12:09 +0100 +commit 143a732f899aa8df0bb24204f259f785b1892876 +Author: Paul +Date: Wed, 6 Dec 2023 20:56:04 +0100 - amend thread-safe portion of code as well + unit test: compare values with tolerance (+style changes) - ql/patterns/observable.hpp | 10 ---------- - 1 file changed, 10 deletions(-) + test-suite/money.cpp | 106 +++++++++++++++++++++++++++------------------------ + 1 file changed, 56 insertions(+), 50 deletions(-) -commit ec737f5d324da4469c7e58a1b9a7c7ebb9f13218 -Author: Peter Caspers -Date: Tue, 25 Jul 2023 11:30:33 +0100 +commit e79c868a648cbaee15cf9c35f21e829ef50acf64 +Author: Paul +Date: Tue, 28 Nov 2023 21:08:54 +0100 - register with observables of bootstrap helpers instead of the helpers themselves - - often the set of helpers will share common observables which we only need to register with once + money: operator/ - ql/patterns/observable.hpp | 10 ---------- - ql/termstructures/globalbootstrap.hpp | 4 ++-- - ql/termstructures/iterativebootstrap.hpp | 2 +- - ql/termstructures/localbootstrap.hpp | 2 +- - 4 files changed, 4 insertions(+), 14 deletions(-) + ql/money.cpp | 62 ++++++++++++++++++++++++++---------------------------------- + 1 file changed, 27 insertions(+), 35 deletions(-) -commit 1ded9ade1ccfd51733a09ed8640ac6816d79c954 -Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> -Date: Sun, 23 Jul 2023 01:58:34 +0000 +commit 70f47bb171e07a5c9f510254b666458970158430 +Author: Paul +Date: Tue, 28 Nov 2023 21:08:09 +0100 - Automated fixes by clang-tidy + money: operator-= in terms of operator+= - ql/instruments/overnightindexedswap.cpp | 26 +++++++++++++------------- - ql/instruments/overnightindexedswap.hpp | 4 ++-- - ql/timeseries.hpp | 3 +-- - 3 files changed, 16 insertions(+), 17 deletions(-) + ql/money.cpp | 17 +---------------- + 1 file changed, 1 insertion(+), 16 deletions(-) -commit d2cfb8bb4df45b8c3d8ed8480b25659c6a387dca -Merge: 6140e3186 09b2b1bc7 -Author: Luigi Ballabio -Date: Mon, 24 Jul 2023 12:38:08 +0200 +commit 6f9f82640003e231f7b74df879f5acca1e3cd95c +Author: Paul +Date: Tue, 28 Nov 2023 20:53:56 +0100 - Renamed conflicting preset names `debug`, `release` and `relwithdebinfo` (#1740) + money: unify comparison operators -commit 09b2b1bc7ef23ee19f8b0cc1fd8995550b042ef1 -Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com> -Date: Sun, 23 Jul 2023 15:39:44 +0200 + ql/money.cpp | 122 ++++++++++++++++++----------------------------------------- + 1 file changed, 36 insertions(+), 86 deletions(-) - Renamed conflicting preset names debug, release and relwithdebinfo +commit 79df5df65a007425b56fd3b593a0af12477f7009 +Author: Paul +Date: Mon, 27 Nov 2023 20:32:23 +0100 - CMakePresets.json | 38 +++++++++++++++++++------------------- - 1 file changed, 19 insertions(+), 19 deletions(-) + add test for operator/(money, money) -commit c54b59b85196420c54275ec73c9d461f3e5eba7a -Merge: 537e4cfaf 549dcb143 -Author: Luigi Ballabio -Date: Fri, 21 Jul 2023 13:00:27 +0200 + test-suite/money.cpp | 29 +++++++++++++++++++---------- + 1 file changed, 19 insertions(+), 10 deletions(-) - update comment on deprecation of registerWithObservables() (#1737) +commit 8fdf0fc3a51b0e9301ed375f58bf102ec54be91e +Author: Paul +Date: Tue, 5 Dec 2023 20:56:34 +0100 -commit 549dcb1438acbb0ac0133d7b4ed45830c85ac7a3 -Author: Peter Caspers -Date: Fri, 21 Jul 2023 10:21:45 +0100 + remove header from build files - update comment + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 4 files changed, 6 deletions(-) - ql/patterns/observable.hpp | 24 ++++++++++++++---------- - 1 file changed, 14 insertions(+), 10 deletions(-) +commit 8b2367a085e9f1f7749284d69e3447c6eb83e28b +Author: Paul +Date: Tue, 5 Dec 2023 20:54:00 +0100 -commit 537e4cfafc962d16bb5817f383ec9273ebe0f61e -Merge: 811cca57d c04310fc2 -Author: Luigi Ballabio -Date: Thu, 20 Jul 2023 15:50:13 +0200 + use BOOST_FIXTURE_TEST_SUITE - Modernised CMakePresets.json to make it more useful for developers (#1723) + test-suite/prices.cpp | 66 ++++++++++++++++++++-------------------- + test-suite/prices.hpp | 30 ------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + 3 files changed, 33 insertions(+), 65 deletions(-) -commit 811cca57db54d7ba31d16d5a215da27188df081e -Merge: 84e516837 d3fa189a1 -Author: Luigi Ballabio -Date: Thu, 20 Jul 2023 09:03:15 +0200 +commit 12a9e3c339eb8b15b5e1447843a9810ae2d30adb +Merge: 6fae6216b 3d6cec9f7 +Author: Paul +Date: Tue, 5 Dec 2023 20:37:22 +0100 - Save a historical fixing map access (#1731) + rebase onto master + merge -commit d3fa189a1334328749e41a3dd71740fc03f19dd0 -Author: Tom Anderson -Date: Wed, 19 Jul 2023 17:30:14 +0100 +commit 6fae6216b1778dbf4ae99574cd90e8350b96b7c1 +Author: Paul +Date: Tue, 5 Dec 2023 20:19:35 +0100 - Only make one lookup in the underlying container when looking up individual values in a time series + revert for-loop to std::tranform change - ql/timeseries.hpp | 12 ++++++------ - 1 file changed, 6 insertions(+), 6 deletions(-) + ql/prices.cpp | 8 +++----- + 1 file changed, 3 insertions(+), 5 deletions(-) -commit 84e51683764dad275d2995e7cb008cbd0625615d -Merge: ef0915202 3521664e4 +commit 1cb2dfc4acccdfa78d0a24ca4898bc281e7235f7 Author: Luigi Ballabio -Date: Wed, 19 Jul 2023 11:56:04 +0200 +Date: Tue, 5 Dec 2023 18:17:46 +0100 - Deprecate some unused bits of the old FD framework (#1735) - -commit ef09152020719ab0253515d701e764bdfc2260ee -Merge: 943bf356e 903f04c3d -Author: Luigi Ballabio -Date: Wed, 19 Jul 2023 11:55:19 +0200 + Remove spurious messages in test case - Expose ois schedule (#1670) + test-suite/lowdiscrepancysequences.cpp | 7 +------ + 1 file changed, 1 insertion(+), 6 deletions(-) -commit 943bf356e728f33becc458d85513122c3f2e7adf -Merge: e9b2eb363 b12752d9d +commit 3d6cec9f79ac71379d8eadeb1fb369d3b6f9e8fe +Merge: 261bbc101 1e071626f Author: Luigi Ballabio -Date: Tue, 18 Jul 2023 18:24:12 +0200 +Date: Mon, 4 Dec 2023 10:39:57 +0100 - Removed features deprecated in version 1.27 (#1734) + Automated registration of Unit test using boost test (#1834) -commit e9b2eb3639973534085285b4a9b390ba76ed0f66 +commit 261bbc101b01178270c40f5644de3cbd7d4ee669 +Merge: 1b2fcf5bc 87e6e3c89 Author: Luigi Ballabio -Date: Thu, 15 Apr 2021 16:25:45 +0200 +Date: Mon, 4 Dec 2023 10:30:01 +0100 - Set version to 1.32-dev. + Initialize bounds in Solver1D (#1842) - CMakeLists.txt | 6 +++--- - configure.ac | 2 +- - ql/version.hpp | 4 ++-- - 3 files changed, 6 insertions(+), 6 deletions(-) +commit 87e6e3c8936559d1c7c85bb53d0b0b626667bfea +Author: Jonathan Sweemer +Date: Sun, 3 Dec 2023 20:31:01 +0900 -commit 3521664e42b5b1f1dceac4fa9b93b6ec785fe7e6 -Author: Luigi Ballabio -Date: Fri, 14 Jul 2023 17:33:04 +0200 - - Deprecate some unused bits of the old FD framework - - ql/math/sampledcurve.hpp | 24 ++++++++++++++++++++--- - ql/methods/finitedifferences/bsmtermoperator.hpp | 7 +++---- - ql/methods/finitedifferences/fdtypedefs.hpp | 19 +++++++++++++++--- - ql/methods/finitedifferences/parallelevolver.hpp | 22 +++++++++++++++------ - ql/pricingengines/vanilla/fdmultiperiodengine.hpp | 21 +++++++++++++++++++- - ql/pricingengines/vanilla/fdvanillaengine.cpp | 8 ++++++++ - ql/pricingengines/vanilla/fdvanillaengine.hpp | 13 ++++++------ - test-suite/operators.cpp | 2 +- - test-suite/sampledcurve.cpp | 4 ++++ - 9 files changed, 96 insertions(+), 24 deletions(-) - -commit b12752d9d66337c904a73dc1bce4d328cd14a152 -Author: Luigi Ballabio -Date: Thu, 13 Jul 2023 17:13:00 +0200 - - Removed features deprecated in version 1.27 - - QuantLib.vcxproj | 7 - - QuantLib.vcxproj.filters | 19 - - cmake/GenerateHeaders.cmake | 15 +- - ql/CMakeLists.txt | 7 - - ql/Makefile.am | 2 - - ql/auto_ptr.hpp | 36 -- - ql/experimental/termstructures/Makefile.am | 2 +- - ql/experimental/termstructures/all.hpp | 1 - - .../termstructures/multicurvesensitivities.hpp | 144 +------- - ql/math/Makefile.am | 3 +- - ql/math/functional.hpp | 383 --------------------- - ql/math/initializers.hpp | 26 -- - ql/methods/finitedifferences/Makefile.am | 4 +- - ql/methods/finitedifferences/all.hpp | 2 - - ql/methods/finitedifferences/americancondition.hpp | 28 -- - ql/methods/finitedifferences/onefactoroperator.hpp | 27 -- - ql/methods/finitedifferences/pdeshortrate.hpp | 33 +- - ql/methods/finitedifferences/shoutcondition.hpp | 62 +--- - ql/models/marketmodels/Makefile.am | 2 +- - ql/models/marketmodels/all.hpp | 1 - - ql/models/marketmodels/duffsdeviceinnerproduct.hpp | 72 +--- - ql/pricingengines/vanilla/Makefile.am | 4 +- - ql/pricingengines/vanilla/all.hpp | 3 - - ql/pricingengines/vanilla/fdconditions.hpp | 43 +-- - ql/pricingengines/vanilla/fddividendengine.hpp | 215 +----------- - .../vanilla/fddividendshoutengine.hpp | 28 -- - ql/pricingengines/vanilla/fdshoutengine.hpp | 28 -- - .../vanilla/fdstepconditionengine.hpp | 119 +------ - ql/pricingengines/vanilla/fdvanillaengine.hpp | 21 -- - ql/qldefines.hpp | 27 -- - ql/qldefines.hpp.cfg | 27 -- - ql/utilities/Makefile.am | 3 +- - ql/utilities/disposable.hpp | 37 -- - 33 files changed, 28 insertions(+), 1403 deletions(-) - -commit 903f04c3d1df3fbd5058c082acd6ccc388f2d519 -Author: Tom Anderson -Date: Wed, 12 Jul 2023 18:32:36 +0100 - - Allow overnight index swaps to have different schedules for the fixed and overnight-index legs - - ql/instruments/overnightindexedswap.cpp | 81 +++++++++++++++++++++++++++------ - ql/instruments/overnightindexedswap.hpp | 40 ++++++++++++++-- - 2 files changed, 104 insertions(+), 17 deletions(-) - -commit b8eb4296a18aad98eb81ee11d75544cd56e0b7f7 -Author: Tom Anderson -Date: Wed, 12 Jul 2023 18:18:07 +0100 - - Collapse the initialize method into the one constructor which calls it, and eliminate some fields which were only used to communicate between them - - ql/instruments/overnightindexedswap.cpp | 27 ++++++++++++--------------- - ql/instruments/overnightindexedswap.hpp | 5 ----- - 2 files changed, 12 insertions(+), 20 deletions(-) - -commit 342d54e86d97ff671ceccf9caa872269c24bc2e9 -Author: Tom Anderson -Date: Fri, 12 May 2023 17:20:06 +0100 - - Store the whole schedule in OvernightIndexedSwap, to allow later inspection (#1666) - - ql/instruments/overnightindexedswap.cpp | 11 +++++------ - ql/instruments/overnightindexedswap.hpp | 10 +++++----- - 2 files changed, 10 insertions(+), 11 deletions(-) - -commit 11d9826aa30e111ce740a83cf96774a3721a8673 -Author: Tom Anderson -Date: Fri, 12 May 2023 17:11:39 +0100 - - Use a delegating constructor to reduce duplication in OvernightIndexedSwap - - ql/instruments/overnightindexedswap.cpp | 22 ++++++++++++---------- - 1 file changed, 12 insertions(+), 10 deletions(-) - -commit 6e7327f1ca47eb9c8defbeb20ed13373c3a1f78c -Author: Tom Anderson -Date: Fri, 12 May 2023 17:08:51 +0100 - - Reformat OvernightIndexedSwap sources - - ql/instruments/overnightindexedswap.cpp | 62 ++++++++++++++++----------------- - ql/instruments/overnightindexedswap.hpp | 8 ++--- - 2 files changed, 35 insertions(+), 35 deletions(-) - -commit c04310fc2f250c8cc9a68d0f0bf198dc4e9b5f66 -Author: Auto Differentiation Dev Team -Date: Wed, 5 Jul 2023 09:31:10 +0100 - - Fixes install step by adding back sudo in workflow - - .github/workflows/cmake.yml | 2 +- + Initialize bounds + + ql/math/solver1d.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) -commit b716df5ea995db7ab0f835a5496c9f3e72ac7a29 -Author: Auto Differentiation Dev Team -Date: Wed, 5 Jul 2023 09:30:37 +0100 +commit 5491294438e23726bdd5e7421a978035a49e81a9 +Author: Paul +Date: Sat, 2 Dec 2023 22:46:17 +0100 + + include new files in vcxproj files - Separting out base configs from vendor-specific things and from generators + test-suite/testsuite.vcxproj | 4 +++- + test-suite/testsuite.vcxproj.filters | 6 ++++++ + 2 files changed, 9 insertions(+), 1 deletion(-) - CMakePresets.json | 63 +++++++++++++++++++++++++++++++++++++------------------ - 1 file changed, 43 insertions(+), 20 deletions(-) +commit 6c6ffbbae56b725d1adc68eaf0687b9494f67b7c +Author: Paul +Date: Sat, 2 Dec 2023 19:30:27 +0100 -commit bfc4f05bf59d80ed2048132d7825a718358eadcd -Author: Auto Differentiation Dev Team -Date: Tue, 4 Jul 2023 10:18:30 +0100 + remove maybe_unused attribute - Modifies build dirs for Linux configs to be consistent with Windows + test-suite/prices.cpp | 14 +++++++------- + 1 file changed, 7 insertions(+), 7 deletions(-) - CMakePresets.json | 3 +-- - 1 file changed, 1 insertion(+), 2 deletions(-) +commit b0af6f153d9cef56e833e0007d44471342d4d2dc +Author: Paul +Date: Sat, 2 Dec 2023 17:39:06 +0100 -commit a632fcda7749285424e7ec9d0bc71dbecd1e1f66 -Author: Auto Differentiation Dev Team -Date: Tue, 4 Jul 2023 06:01:33 +0100 + use std::transform + style change - Modernised CMakePresets.json to make it more useful for developers + ql/prices.cpp | 8 +++++--- + ql/prices.hpp | 2 +- + 2 files changed, 6 insertions(+), 4 deletions(-) - .github/workflows/cmake.yml | 10 +- - .github/workflows/tidy.yml | 3 +- - CMakePresets.json | 352 +++++++++++++++++++++++++++----------------- - 3 files changed, 228 insertions(+), 137 deletions(-) +commit 9e190c022724afe5c4f86f2809beeae700780965 +Author: Paul +Date: Sat, 2 Dec 2023 17:26:16 +0100 -commit 9e59eb5ec57333a4772463587a08f72fc92a60f6 -Author: Luigi Ballabio -Date: Tue, 16 May 2023 13:18:14 +0200 + testing IntervalPrice::extractComponent() - Avoid compilation warnings + ql/prices.hpp | 2 +- + test-suite/prices.cpp | 48 +++++++++++++++++++++++++++++++++++++++++++++++- + 2 files changed, 48 insertions(+), 2 deletions(-) - .../volatility/optionlet/capletvariancecurve.hpp | 5 +--- - test-suite/libormarketmodel.cpp | 32 ++++++++++------------ - 2 files changed, 16 insertions(+), 21 deletions(-) +commit d6c75be890139a25f83902b4fcda88c1314676be +Author: Paul +Date: Sat, 2 Dec 2023 16:55:30 +0100 -commit 2b16fb854ebe8c75cdb781af63ed1110797cd7e7 -Author: Luigi Ballabio -Date: Thu, 16 Mar 2023 12:29:57 +0100 + testing IntervalPrice::extractValues - Add fixed vs floating swap; inherit VanillaSwap + ql/prices.hpp | 2 +- + test-suite/prices.cpp | 25 +++++++++++++++++++++++++ + 2 files changed, 26 insertions(+), 1 deletion(-) - QuantLib.vcxproj | 4 +- - QuantLib.vcxproj.filters | 8 +- - ql/CMakeLists.txt | 2 + - ql/instruments/Makefile.am | 2 + - ql/instruments/all.hpp | 1 + - ql/instruments/fixedvsfloatingswap.cpp | 204 +++++++++++++++++++++++++++++++ - ql/instruments/fixedvsfloatingswap.hpp | 217 +++++++++++++++++++++++++++++++++ - ql/instruments/vanillaswap.cpp | 211 ++++---------------------------- - ql/instruments/vanillaswap.hpp | 140 +-------------------- - 9 files changed, 466 insertions(+), 323 deletions(-) +commit 039eefed059671a4de28af8c9209dfed7518c09a +Author: Paul +Date: Sat, 2 Dec 2023 16:45:03 +0100 + + extract timeSeries creation for testing + + test-suite/prices.cpp | 13 ++++++++----- + 1 file changed, 8 insertions(+), 5 deletions(-) + +commit 245b51933049c7508c78851b3e4486f678589be3 +Author: Paul +Date: Sat, 2 Dec 2023 16:42:33 +0100 + + testing IntervalPrice::makeSeries() + + ql/prices.hpp | 2 +- + test-suite/prices.cpp | 24 ++++++++++++++++++++++++ + 2 files changed, 25 insertions(+), 1 deletion(-) + +commit 4ca57bdd3e9eceacec3ee3d59cea5b276b9953f3 +Author: Paul +Date: Sat, 2 Dec 2023 16:40:58 +0100 + + testing IntervalPrice::() + + ql/prices.hpp | 2 +- + test-suite/prices.cpp | 29 +++++++++++++++++++++++++++++ + 2 files changed, 30 insertions(+), 1 deletion(-) + +commit c5be5bc3af776ebefcfc98cadbebd66eed62809a +Author: Paul +Date: Sat, 2 Dec 2023 15:53:00 +0100 + + testing IntervalPrice:: + + ql/prices.hpp | 2 ++ + test-suite/prices.cpp | 19 +++++++++++++++++++ + 2 files changed, 21 insertions(+) + +commit 4498aad3327c3cc8f9014d10952abd9d6aff9184 +Author: Paul +Date: Sat, 2 Dec 2023 15:40:19 +0100 + + testing midSafe + + ql/prices.hpp | 1 + + test-suite/prices.cpp | 11 +++++++++++ + 2 files changed, 12 insertions(+) + +commit 9cbaa30825c24cf61d0aede421a98fad3e462d75 +Author: Paul +Date: Sat, 2 Dec 2023 15:25:51 +0100 + + testing midEquivalent + + ql/prices.hpp | 1 + + test-suite/prices.cpp | 31 +++++++++++++++++++++++++++++++ + 2 files changed, 32 insertions(+) + +commit b067cd75897fd34132bba2874f8575c1fc423ec6 +Author: Paul +Date: Fri, 1 Dec 2023 22:09:00 +0100 + + empty setup for testing prices.hpp + + test-suite/CMakeLists.txt | 2 ++ + test-suite/Makefile.am | 2 ++ + test-suite/prices.cpp | 30 ++++++++++++++++++++++++++++++ + test-suite/prices.hpp | 30 ++++++++++++++++++++++++++++++ + test-suite/quantlibtestsuite.cpp | 2 ++ + 5 files changed, 66 insertions(+) + +commit 1b2fcf5bcb63da3541890eb348545b05b930f2e8 +Author: Luigi Ballabio +Date: Fri, 1 Dec 2023 16:18:13 +0100 + + Move test to faster section + + test-suite/andreasenhugevolatilityinterpl.cpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 7389c6640be13515e3f2eb349e6d6b9bf42893ea +Author: Luigi Ballabio +Date: Fri, 1 Dec 2023 11:40:27 +0100 + + Update rolling Ubuntu image for CI builds + + .github/workflows/devenv-images.yml | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 95775e1b45039bbb519b275aca64b2be942ed00f +Merge: e0e8a080b fd2ca0863 +Author: Luigi Ballabio +Date: Fri, 1 Dec 2023 11:29:28 +0100 + + Allow different frequencies in MakeOIS and OISRateHelper (#1837) + +commit e0e8a080b8847c110289fec59d13164cf5298a6e +Merge: 7ae8d53f5 3a00f8596 +Author: Luigi Ballabio +Date: Fri, 1 Dec 2023 11:22:09 +0100 + + Fix skipping expired additionalDates (#1838) + +commit fd23f186c75f6193dacd372e161d723c37ee4a15 +Author: klaus spanderen +Date: Sun, 26 Nov 2023 17:15:39 +0100 + + parameter fine-tuning + + ql/pricingengines/vanilla/analytichestonengine.cpp | 10 +++++----- + 1 file changed, 5 insertions(+), 5 deletions(-) + +commit 95731b2d5576f5f7eea0a84ced96e06447c43da1 +Author: klaus spanderen +Date: Sat, 25 Nov 2023 22:01:57 +0100 + + use contour integral also for asymptotic control variate + + ql/pricingengines/vanilla/analytichestonengine.cpp | 53 +++++++++------------- + .../vanilla/exponentialfittinghestonengine.cpp | 2 +- + 2 files changed, 23 insertions(+), 32 deletions(-) + +commit 3a00f85968454a4dcd89fdd3ff385f0114c5b549 +Author: Eugene Toder +Date: Mon, 20 Nov 2023 20:09:14 -0500 + + Fix skipping expired additionalDates + + * Do not assume additionalDates are sorted. + * Fix appending additionalDates to dates (2*firstAdditionalDate_ were + skipped leading to an abort later). + * Simplify the code. + + ql/termstructures/globalbootstrap.hpp | 39 ++++++++++++++++------------------- + test-suite/piecewiseyieldcurve.cpp | 10 +++++++-- + 2 files changed, 26 insertions(+), 23 deletions(-) + +commit 7ae8d53f57813122ce930d898b58567bac93de4a +Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> +Date: Sun, 19 Nov 2023 01:41:52 +0000 + + Automated fixes by clang-tidy + + ql/math/randomnumbers/burley2020sobolrsg.cpp | 48 ++++++++++++++-------------- + ql/math/randomnumbers/sobolrsg.cpp | 2 +- + 2 files changed, 25 insertions(+), 25 deletions(-) + +commit 89a6948b496b6ba94e8a6aac9d55c851804fd904 +Author: klaus spanderen +Date: Sun, 19 Nov 2023 22:35:59 +0100 + + fixed parallel benchmark + + test-suite/quantlibbenchmark.cpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 53863ae508cb287ffb865993d5f7954d819411ba +Merge: b0be193bb 9ea78221a +Author: klaus spanderen +Date: Sun, 19 Nov 2023 18:59:11 +0100 + + merge with head + +commit fd2ca08638adfa74ac21792ea9434a0c5e99238a +Author: Eugene Toder +Date: Sat, 18 Nov 2023 04:25:40 -0500 + + Allow different calendars in MakeOIS and OISRateHelper + + ql/instruments/makeois.cpp | 42 +++++++++++++++++++------------ + ql/instruments/makeois.hpp | 4 ++- + ql/termstructures/yield/oisratehelper.cpp | 14 ++++++++--- + ql/termstructures/yield/oisratehelper.hpp | 7 ++++-- + 4 files changed, 45 insertions(+), 22 deletions(-) + +commit f99e73f33bce84cdaa9dbdbe60a6a478f1764ffd +Author: Eugene Toder +Date: Sat, 18 Nov 2023 00:48:24 -0500 + + Allow different frequencies in MakeOIS and OISRateHelper + + Allow setting different payment frequencies for fixed and overnight + legs. + + ql/instruments/makeois.cpp | 74 ++++++++++++++++++++++++------- + ql/instruments/makeois.hpp | 10 ++++- + ql/termstructures/yield/oisratehelper.cpp | 25 +++++++---- + ql/termstructures/yield/oisratehelper.hpp | 7 ++- + 4 files changed, 88 insertions(+), 28 deletions(-) + +commit 9ea78221a2c0c0ce565358869c317c655ee254c0 +Author: Luigi Ballabio +Date: Fri, 17 Nov 2023 14:34:31 +0100 + + Move test to Fast section + + test-suite/hestonslvmodel.cpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 1e071626f5f1457a98f767d1f05414118c0a10da +Merge: bf42eb401 77013dbc9 +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Fri, 17 Nov 2023 13:13:15 +0800 + + Merge pull request #14 from Sidsky/automated-test-registration + + Automated test registration + +commit 77013dbc9bf4d9e58f3cd1a5a6b874e4aaebfc75 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 11:18:30 +0800 + + Migrated zerocouponswap.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 3 +-- + test-suite/quantlibtestsuite.cpp | 3 --- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/zerocouponswap.cpp | 31 +++++++++++++----------------- + test-suite/zerocouponswap.hpp | 37 ------------------------------------ + 7 files changed, 14 insertions(+), 65 deletions(-) + +commit 9ef8982cdb963bd04f26a9eab29dee522d768835 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 11:14:48 +0800 + + Migrated zabr.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 4 ---- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/zabr.cpp | 19 +++++++++---------- + test-suite/zabr.hpp | 36 ------------------------------------ + 7 files changed, 9 insertions(+), 56 deletions(-) + +commit 7d5a92635cd6ab676edf758e59ee31624bcbe833 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 11:12:16 +0800 + + Migrated xoshiro256starstar.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/xoshiro256starstar.cpp | 24 +++++++++++------------- + test-suite/xoshiro256starstar.hpp | 34 ---------------------------------- + 7 files changed, 11 insertions(+), 55 deletions(-) + +commit e44ea1c1218e172231390b1c312c00f496cc5d3d +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 11:09:25 +0800 + + Migrated vpp.cpp + + test-suite/CMakeLists.txt | 3 +- + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + test-suite/vpp.cpp | 329 ++++++++++++++++------------------- + test-suite/vpp.hpp | 40 ----- + 7 files changed, 155 insertions(+), 224 deletions(-) + +commit 14574fa01148951db237823f6a0e2838c75f5326 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 11:02:57 +0800 + + Migrated volatilitymodels.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/volatilitymodels.cpp | 15 ++++++++------- + test-suite/volatilitymodels.hpp | 35 ----------------------------------- + 7 files changed, 8 insertions(+), 50 deletions(-) + +commit 59e3321803e8fee840a9d122b13a7d48ca023166 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 11:01:23 +0800 + + Migrated varianceswaps.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 3 +-- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/varianceswaps.cpp | 20 ++++++++------------ + test-suite/varianceswaps.hpp | 36 ------------------------------------ + 7 files changed, 9 insertions(+), 56 deletions(-) + +commit e274e67df50aacc192b6dcec647955e361ceaa6d +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:59:30 +0800 + + Migrated varianceoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/varianceoption.cpp | 16 ++++++++-------- + test-suite/varianceoption.hpp | 35 ----------------------------------- + 7 files changed, 8 insertions(+), 51 deletions(-) + +commit a5e9b6821faa519f6fabae1836d16bb7ec8e3af1 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:52:52 +0800 + + Migrated variancegamma.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/variancegamma.cpp | 18 ++++++++--------- + test-suite/variancegamma.hpp | 38 ------------------------------------ + 7 files changed, 9 insertions(+), 57 deletions(-) + +commit 87c901402a8c0e8e0d91485fc894804bb2c430f7 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:50:16 +0800 + + Migrated ultimateforwardtermstructure.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/ultimateforwardtermstructure.cpp | 35 ++++++++++-------------- + test-suite/ultimateforwardtermstructure.hpp | 41 ----------------------------- + 7 files changed, 15 insertions(+), 71 deletions(-) + +commit 05768c6ce2478343f13ed88e9f4be555138fff2f +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:46:55 +0800 + + Migrated twoassetcorrelationoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/twoassetcorrelationoption.cpp | 17 ++++++++-------- + test-suite/twoassetcorrelationoption.hpp | 35 -------------------------------- + 7 files changed, 8 insertions(+), 52 deletions(-) + +commit b91df14c3878bbbde007f476200a3ea8e8a07b74 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:44:39 +0800 + + Migrated twoassetbarrieroption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/twoassetbarrieroption.cpp | 15 ++++++++------- + test-suite/twoassetbarrieroption.hpp | 35 ----------------------------------- + 7 files changed, 8 insertions(+), 50 deletions(-) + +commit 3bf645f33ad8c2d6528e827e1a30aafbf93fffc7 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:42:49 +0800 + + Migrated transformedgrid.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/transformedgrid.cpp | 15 ++++++++------- + test-suite/transformedgrid.hpp | 35 ----------------------------------- + 7 files changed, 8 insertions(+), 50 deletions(-) + +commit 4f6e268ef8660c37854b9470cca600261f3260b1 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:40:23 +0800 + + Migrated tracing.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/tracing.cpp | 15 +++++++-------- + test-suite/tracing.hpp | 35 ----------------------------------- + 7 files changed, 7 insertions(+), 51 deletions(-) + +commit 62ee49f5f3418c8923b080e21df33f1db84a34ca +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:38:28 +0800 + + Migrated tqreigendecomposition.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 3 --- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/tqreigendecomposition.cpp | 24 ++++++++++------------- + test-suite/tqreigendecomposition.hpp | 37 ------------------------------------ + 7 files changed, 10 insertions(+), 60 deletions(-) + +commit 40a7279f4bfb2df0bc0fe8880ff9ce45d079dd86 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:35:53 +0800 + + Migrated timeseries.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 1 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/timeseries.cpp | 21 ++++++++++---------- + test-suite/timeseries.hpp | 38 ------------------------------------ + 7 files changed, 10 insertions(+), 56 deletions(-) + +commit 542e05bc731af071021ab4d7562e61d5796af476 +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:33:59 +0800 + + Migrated timegrid.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + test-suite/timegrid.cpp | 39 ++++++++++++++---------------------- + test-suite/timegrid.hpp | 38 ----------------------------------- + 7 files changed, 15 insertions(+), 70 deletions(-) + +commit 155c1da0cf1de290f1fba7a3b81c92a31ac46e7f +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:30:46 +0800 + + Migrated termstructures.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/termstructures.cpp | 47 ++++++++++++++---------------------- + test-suite/termstructures.hpp | 45 ---------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 18 insertions(+), 82 deletions(-) + +commit 9b8cb2b9d7121d8db826fa40d63174d6c841440a +Author: siddharthmehrotra +Date: Fri, 17 Nov 2023 10:27:13 +0800 + + Migrated swingoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/swingoption.cpp | 108 +++++++++++++++-------------------- + test-suite/swingoption.hpp | 40 ------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 45 insertions(+), 111 deletions(-) + +commit bf42eb401f6d3e8e5d847bf8ee3d8c885b69281e +Merge: 8b7eb9179 140c7f088 +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Fri, 17 Nov 2023 09:48:36 +0800 + + Merge pull request #13 from lballabio/master + + cmake: Roll back cmake version change + +commit 140c7f088916d10863e85091b97657efa086fb34 +Merge: a32bc1fdf 4a7773644 +Author: Luigi Ballabio +Date: Thu, 16 Nov 2023 18:54:47 +0100 + + cmake: Roll back cmake version change (#1831) + +commit b0be193bbc1002985b2027db24e0428e7650779d +Author: klaus spanderen +Date: Thu, 16 Nov 2023 18:12:33 +0100 + + update papi documentation and initialization + + test-suite/quantlibbenchmark.cpp | 105 ++++++++------------------------------- + 1 file changed, 21 insertions(+), 84 deletions(-) + +commit 8b7eb91797965511fe85a3a31b1e1f8a4c92b7ac +Author: siddharthmehrotra +Date: Thu, 16 Nov 2023 15:08:57 +0800 + + comment unused function + + test-suite/swapforwardmappings.cpp | 24 ++++++++++++------------ + 1 file changed, 12 insertions(+), 12 deletions(-) + +commit ba30da7bcb721855b3642d90c6caeedc3dc4d70e +Author: siddharthmehrotra +Date: Thu, 16 Nov 2023 11:48:28 +0800 + + Migrated swaptionvolatilitymatrix.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/swaptionvolatilitymatrix.cpp | 23 ++++++++------------- + test-suite/swaptionvolatilitymatrix.hpp | 36 --------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 59 deletions(-) + +commit 5d79adab92b982dbb3ce4e0bd029272f4f71b4e9 +Author: siddharthmehrotra +Date: Thu, 16 Nov 2023 11:46:10 +0800 + + Migrated swaptionvolatilitycube.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/swaptionvolatilitycube.cpp | 46 ++++++++++++++--------------------- + test-suite/swaptionvolatilitycube.hpp | 42 -------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 18 insertions(+), 78 deletions(-) + +commit f2a00b86e7b856cc80a426889d0e5d1a84e863ba +Merge: 00e17d9e4 1f464d32f +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Thu, 16 Nov 2023 11:03:36 +0800 + + Merge pull request #11 from Sidsky/automated-test-registration + + Automated test registration + +commit 3b7f005309bdea63d2f9d69ac24e10f131cbb295 +Author: siddharthmehrotra +Date: Thu, 16 Nov 2023 10:42:01 +0800 + + Migrated swaption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/swaption.cpp | 47 ++++++++++++------------------------ + test-suite/swaption.hpp | 46 ----------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 16 insertions(+), 85 deletions(-) + +commit 6276ee274204fa6a0a5fa6e2851ee66d3ca1ca5d +Author: siddharthmehrotra +Date: Thu, 16 Nov 2023 10:38:03 +0800 + + Migrated swapforwardmappings.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/swapforwardmappings.cpp | 174 +++++++++++++++++------------------ + test-suite/swapforwardmappings.hpp | 37 -------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 82 insertions(+), 137 deletions(-) + +commit 066c50de2d1d38c434af8981960bf99e4782b407 +Author: siddharthmehrotra +Date: Thu, 16 Nov 2023 10:34:26 +0800 + + Migrated swap.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/swap.cpp | 32 ++++++++++++---------------- + test-suite/swap.hpp | 41 ------------------------------------ + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 14 insertions(+), 69 deletions(-) + +commit 869b560898e5925211469ca585f58e8bbb8e5675 +Author: siddharthmehrotra +Date: Thu, 16 Nov 2023 10:31:36 +0800 + + Migrated svivolatility.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/svivolatility.cpp | 15 ++++++++------- + test-suite/svivolatility.hpp | 35 ----------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 51 deletions(-) + +commit e3d520197a036e37125f971f134a21ce9cc793b2 +Author: siddharthmehrotra +Date: Thu, 16 Nov 2023 10:28:49 +0800 + + Migrated subperiodcoupons.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/subperiodcoupons.cpp | 43 ++++++++++++++---------------------- + test-suite/subperiodcoupons.hpp | 42 ----------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 16 insertions(+), 77 deletions(-) + +commit 6b9c1bf6b3a8039b07364ce5033907955c12c3b7 +Author: siddharthmehrotra +Date: Thu, 16 Nov 2023 10:25:39 +0800 + + Migrated stats.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/stats.cpp | 73 ++++++++++++++---------------------- + test-suite/stats.hpp | 41 -------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 29 insertions(+), 93 deletions(-) + +commit 4a7773644a0e523261ab3f8915ea21d6637ab4ff +Author: Nathaniel Brough +Date: Wed, 15 Nov 2023 10:43:22 -0800 + + cmake: Roll back cmake version change + + CMakeLists.txt | 8 +++----- + 1 file changed, 3 insertions(+), 5 deletions(-) + +commit 3a4cd58ccf826fc8013def384909abc9e531dcf2 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 15:21:37 +0800 + + Migrated squarerootclvmodel.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/squarerootclvmodel.cpp | 756 +++++++++++++++++------------------ + test-suite/squarerootclvmodel.hpp | 34 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 374 insertions(+), 424 deletions(-) + +commit 966f58c3e510da2bd36b2b992ade7cf0943a552b +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 15:16:35 +0800 + + Migrated spreadoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/spreadoption.cpp | 17 ++++++++--------- + test-suite/spreadoption.hpp | 35 ----------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 52 deletions(-) + +commit 1f464d32f6ce918dc1787e008eca78b23b166f55 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 15:10:51 +0800 + + Migrated solvers.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/solvers.cpp | 36 ++++++++++++------------------ + test-suite/solvers.hpp | 43 ------------------------------------ + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 14 insertions(+), 73 deletions(-) + +commit 3622f0d03ce200b3004bf168ac6b7c8d20e21e81 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 15:05:18 +0800 + + remove redundant header + + test-suite/shortratemodels.cpp | 1 - + 1 file changed, 1 deletion(-) + +commit f3b201d2129afd5b3f7838c4d936423aea20beda +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 15:02:38 +0800 + + Migrated sofrfutures.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/sofrfutures.cpp | 16 +++++++--------- + test-suite/sofrfutures.hpp | 32 -------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 7 insertions(+), 49 deletions(-) + +commit 5040d98edcc52a51f87ebd98fafac5161979981e +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 14:57:05 +0800 + + Migrated shortratemodels.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 2 -- + test-suite/quantlibbenchmark.cpp | 8 +++++-- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/shortratemodels.cpp | 34 ++++++++++++------------------ + test-suite/shortratemodels.hpp | 41 ------------------------------------ + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 20 insertions(+), 74 deletions(-) + +commit ac1b5599571a29346896e64cc4d9f40ef6e79400 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 14:48:32 +0800 + + Migrated settings.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/settings.cpp | 15 ++++++++------- + test-suite/settings.hpp | 35 ----------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 50 deletions(-) + +commit 0edee520c9b92df6a594c2dd497f5b327e0853aa +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 14:43:50 +0800 + + Migrated schedule.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/schedule.cpp | 93 +++++++++++++----------------------- + test-suite/schedule.hpp | 59 ----------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 32 insertions(+), 128 deletions(-) + +commit e13073925b1eec895ec5f1a5f22285b806441919 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 14:37:44 +0800 + + Migrated sampledcurve.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/sampledcurve.cpp | 15 ++++++++------- + test-suite/sampledcurve.hpp | 35 ----------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 50 deletions(-) + +commit afea3c8ef403fdb06117bc919b0d1119dfa00504 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 14:09:34 +0800 + + Migrated rounding.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/rounding.cpp | 27 ++++++++++--------------- + test-suite/rounding.hpp | 39 ------------------------------------ + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 11 insertions(+), 63 deletions(-) + +commit 78196198f03d7e0b1ade08d43e7ff17bded95806 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 14:07:17 +0800 + + Migrated rngtraits.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/rngtraits.cpp | 26 ++++++++++-------------- + test-suite/rngtraits.hpp | 39 ------------------------------------ + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 11 insertions(+), 62 deletions(-) + +commit 1dae1e7dade6c063d8c1646f63b4e85c60049efa +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 13:58:39 +0800 + + Update the header from speedlevel.cpp to preconditions.cpp + + test-suite/lowdiscrepancysequences.cpp | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 0e51483a97225f00839fba4c28c0a6f67fac3da0 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 12:00:46 +0800 + + Migrated riskstats.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 2 -- + test-suite/quantlibbenchmark.cpp | 7 ++++++- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/riskstats.cpp | 16 ++++++++-------- + test-suite/riskstats.hpp | 35 ----------------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 15 insertions(+), 54 deletions(-) + +commit 8fc0a0059ebf5ff3e19a0034cc0522aba7dcf29d +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 11:56:16 +0800 + + Migrated riskneutraldensitycalculator.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/riskneutraldensitycalculator.cpp | 46 ++++++++++------------------- + test-suite/riskneutraldensitycalculator.hpp | 42 -------------------------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 15 insertions(+), 81 deletions(-) + +commit 737ffecaabedddd8fe77c20d2dfd1010941a0055 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 11:47:03 +0800 + + Migrated rangeaccrual.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/rangeaccrual.cpp | 27 +++++++++++---------------- + test-suite/rangeaccrual.hpp | 36 ------------------------------------ + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 11 insertions(+), 60 deletions(-) + +commit 778b758dc0a95459188e7290982b28935327ffd2 +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 11:42:32 +0800 + + Migrated quotes.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 2 -- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/quotes.cpp | 29 ++++++++++----------------- + test-suite/quotes.hpp | 39 ------------------------------------ + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 11 insertions(+), 66 deletions(-) + +commit 480538b57cff87ee6f42f4fd50dcb8e72e3a2e6d +Author: siddharthmehrotra +Date: Wed, 15 Nov 2023 10:22:35 +0800 + + Refactored speedlevel.cpp to preconditions.cpp to group preconditions + + test-suite/CMakeLists.txt | 8 +-- + test-suite/Makefile.am | 8 +-- + test-suite/americanoption.cpp | 19 +++-- + test-suite/andreasenhugevolatilityinterpl.cpp | 20 +++--- + test-suite/asianoptions.cpp | 24 +++---- + test-suite/basketoption.cpp | 16 ++--- + test-suite/bermudanswaption.cpp | 2 +- + test-suite/cashflows.cpp | 11 +-- + test-suite/cdo.cpp | 16 ++--- + test-suite/dividendoption.cpp | 2 +- + test-suite/doublebarrieroption.cpp | 30 ++++---- + test-suite/fdheston.cpp | 30 ++++---- + test-suite/fdmlinearop.cpp | 76 ++++++++++---------- + test-suite/fdsabr.cpp | 4 +- + test-suite/forwardoption.cpp | 16 ++--- + test-suite/gjrgarchmodel.cpp | 18 ++--- + test-suite/hestonmodel.cpp | 4 +- + test-suite/hestonslvmodel.cpp | 88 ++++++++++++------------ + test-suite/hybridhestonhullwhiteprocess.cpp | 36 +++++----- + test-suite/interpolations.cpp | 2 +- + test-suite/libormarketmodel.cpp | 33 +++++---- + test-suite/libormarketmodelprocess.cpp | 16 ++--- + test-suite/lookbackoptions.cpp | 12 ++-- + test-suite/marketmodel.hpp | 2 +- + test-suite/marketmodel_cms.cpp | 30 ++++---- + test-suite/marketmodel_smm.cpp | 42 +++++------ + test-suite/markovfunctional.cpp | 48 ++++++------- + test-suite/mclongstaffschwartzengine.cpp | 2 +- + test-suite/normalclvmodel.cpp | 6 +- + test-suite/nthorderderivativeop.cpp | 15 ++-- + test-suite/nthtodefault.cpp | 12 ++-- + test-suite/optimizers.cpp | 12 ++-- + test-suite/optionletstripper.cpp | 16 ++--- + test-suite/piecewiseyieldcurve.cpp | 11 +-- + test-suite/{speedlevel.cpp => preconditions.cpp} | 27 ++------ + test-suite/{speedlevel.hpp => preconditions.hpp} | 10 +-- + test-suite/quantlibglobalfixture.cpp | 20 ++++++ + test-suite/quantlibglobalfixture.hpp | 4 +- + test-suite/quantlibtestsuite.cpp | 2 +- + test-suite/riskneutraldensitycalculator.hpp | 2 +- + test-suite/shortratemodels.hpp | 2 +- + test-suite/swaption.hpp | 2 +- + test-suite/swingoption.hpp | 2 +- + test-suite/testsuite.vcxproj | 4 +- + test-suite/testsuite.vcxproj.filters | 12 ++-- + test-suite/vpp.hpp | 2 +- + test-suite/zabr.hpp | 2 +- + 47 files changed, 382 insertions(+), 396 deletions(-) + +commit 75cdbfd81b2734234e8fb071038076d305802404 +Author: siddharthmehrotra +Date: Tue, 14 Nov 2023 18:27:54 +0800 + + Migrated quantooption.cpp + + test-suite/CMakeLists.txt | 5 +- + test-suite/Makefile.am | 1 - + test-suite/quantlibbenchmark.cpp | 8 +- + test-suite/quantlibtestsuite.cpp | 3 - + test-suite/quantooption.cpp | 201 ++++++++++++++++------------------- + test-suite/quantooption.hpp | 48 --------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 8 files changed, 100 insertions(+), 170 deletions(-) + +commit 893234b5e2940f5db2eb47693fc85d60b4b65bbb +Author: siddharthmehrotra +Date: Tue, 14 Nov 2023 18:15:06 +0800 + + Migrated piecewisezerospreadedtermstructure.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/piecewisezerospreadedtermstructure.cpp | 50 ++++++++--------------- + test-suite/piecewisezerospreadedtermstructure.hpp | 43 ------------------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 17 insertions(+), 84 deletions(-) + +commit bd35efc876c829c4064c96f05ad45f5a5dc375d0 +Author: siddharthmehrotra +Date: Tue, 14 Nov 2023 18:11:24 +0800 + + Migrated piecewiseyieldcurve.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/piecewiseyieldcurve.cpp | 181 +++++++++++++++-------------------- + test-suite/piecewiseyieldcurve.hpp | 69 ------------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 75 insertions(+), 183 deletions(-) + +commit ba8dc3f166aa329f4dd8c5ca39a419323452f801 +Author: siddharthmehrotra +Date: Mon, 13 Nov 2023 22:30:36 +0800 + + Migrated period.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/period.cpp | 21 ++++++++++---------- + test-suite/period.hpp | 37 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 56 deletions(-) + +commit ec42d8bbd6d1079e774143e0eb6334b2f5cd8390 +Author: siddharthmehrotra +Date: Mon, 13 Nov 2023 22:27:47 +0800 + + Migrated pathgenerator.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/pathgenerator.cpp | 19 ++++++++----------- + test-suite/pathgenerator.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 55 deletions(-) + +commit abfb7663ccd2de2504c16b4634e38fd2807ee3dc +Author: siddharthmehrotra +Date: Mon, 13 Nov 2023 14:02:05 +0800 + + refactored speed_level function into speedlevel.cpp + + test-suite/quantlibglobalfixture.cpp | 20 -------------------- + test-suite/quantlibglobalfixture.hpp | 1 - + test-suite/quantlibtestsuite.cpp | 21 --------------------- + test-suite/speedlevel.cpp | 20 ++++++++++++++++++++ + test-suite/speedlevel.hpp | 3 ++- + 5 files changed, 22 insertions(+), 43 deletions(-) + +commit e4e8216d7a2a8260b8acf5b19af0d220e4e7c78a +Author: siddharthmehrotra +Date: Mon, 13 Nov 2023 13:42:00 +0800 + + Migrated partialtimebarrieroption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/partialtimebarrieroption.cpp | 18 ++++++++--------- + test-suite/partialtimebarrieroption.hpp | 35 --------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 53 deletions(-) + +commit 138413ed526f2a3bc03d8f6ddfd1011c1dcb4c53 +Author: siddharthmehrotra +Date: Mon, 13 Nov 2023 13:39:11 +0800 + + Migrated pagodaoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/pagodaoption.cpp | 16 ++++++++-------- + test-suite/pagodaoption.hpp | 32 -------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 48 deletions(-) + +commit c867824c684eaec5a6a820f29bd83d89fbdc743e +Author: siddharthmehrotra +Date: Mon, 13 Nov 2023 11:35:57 +0800 + + Fixed namespace errors + + test-suite/observable.cpp | 137 +++++++++++++++++++++++----------------------- + 1 file changed, 68 insertions(+), 69 deletions(-) + +commit 32355174624b49a82ee04a29ade52864284a47ab +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 17:14:30 +0800 + + Revert "Migrated marketmodel.cpp" + + This reverts commit 0e012fe1 + + test-suite/CMakeLists.txt | 1 + + test-suite/Makefile.am | 1 + + test-suite/marketmodel.cpp | 189 +++++++++++++++++++---------------- + test-suite/marketmodel.hpp | 61 +++++++++++ + test-suite/quantlibtestsuite.cpp | 2 + + test-suite/testsuite.vcxproj | 1 + + test-suite/testsuite.vcxproj.filters | 3 + + 7 files changed, 172 insertions(+), 86 deletions(-) + +commit 33d30c8aec6bcaae6781edb6a1cfa76cb475abf0 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 16:16:41 +0800 + + Migrated overnightindexedswap.cpp + bug fix + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/nthorderderivativeop.cpp | 2 +- + test-suite/overnightindexedswap.cpp | 196 ++++++++++++++++------------------- + test-suite/overnightindexedswap.hpp | 46 -------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 8 files changed, 91 insertions(+), 161 deletions(-) + +commit a86f85d5ed3e1b3318fc91db189071321e38d41b +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 16:11:26 +0800 + + Migrated overnightindexedcoupon.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/overnightindexedcoupon.cpp | 48 +++++++++++++++-------------------- + test-suite/overnightindexedcoupon.hpp | 40 ----------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 20 insertions(+), 76 deletions(-) + +commit 5ba4269e8709ef93615fef0554e1a1c27298d735 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 16:06:38 +0800 + + Migrated optionletstripper.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/optionletstripper.cpp | 35 +++++++++++++----------------- + test-suite/optionletstripper.hpp | 42 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 15 insertions(+), 70 deletions(-) + +commit 0449cd225f9b4f2608756a3d05402cde93dcbf5f +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 16:02:23 +0800 + + Migrated optimizers.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/optimizers.cpp | 28 ++++++++++------------------ + test-suite/optimizers.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 62 deletions(-) + +commit 7e1345c61ba69770d67fdbfb4f4242c3f34075ef +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:57:05 +0800 + + Migrated operators.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/operators.cpp | 21 +++++++++----------- + test-suite/operators.hpp | 38 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 58 deletions(-) + +commit 1b5862db33e07a1dad7e06eb36945438d34d844b +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:54:58 +0800 + + Migrated ode.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/ode.cpp | 23 +++++++++++----------- + test-suite/ode.hpp | 38 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 11 insertions(+), 58 deletions(-) + +commit ef72eb0d2d3a3aa0205e014ff29a39b02dc2ab72 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:52:18 +0800 + + Migrated observable.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/observable.cpp | 39 ++++++++++++---------------------- + test-suite/observable.hpp | 41 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 13 insertions(+), 75 deletions(-) + +commit 54394ab21037fb0373e3fdb5f4b681519a779996 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:48:10 +0800 + + Migrated numericaldifferentiation.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/numericaldifferentiation.cpp | 48 ++++++++++----------------------- + test-suite/numericaldifferentiation.hpp | 38 -------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 14 insertions(+), 80 deletions(-) + +commit d3d75ed9f70cff3400b051fe7d178e121bb0009a +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:41:04 +0800 + + Migrated nthtodefault.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/nthtodefault.cpp | 33 +++++++++++++++------------------ + test-suite/nthtodefault.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 15 insertions(+), 62 deletions(-) + +commit a04f2305d35bf9d9f39ab96a8cb8e0a81bcc17b5 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:34:18 +0800 + + Migrated nthorderderivativeop.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/nthorderderivativeop.cpp | 76 +++++++++++------------------------- + test-suite/nthorderderivativeop.hpp | 47 ---------------------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 22 insertions(+), 109 deletions(-) + +commit 2237aebcabb9b7d791126d97c95bdaf621654940 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:29:22 +0800 + + Migrated normalclvmodel.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/normalclvmodel.cpp | 41 ++++++++++++------------------------ + test-suite/normalclvmodel.hpp | 37 -------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 13 insertions(+), 73 deletions(-) + +commit c33f85bd7c2762045428a13005748a8598549fb7 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:25:56 +0800 + + Migrated noarbsabr.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/noarbsabr.cpp | 18 +++++++++--------- + test-suite/noarbsabr.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 53 deletions(-) + +commit 808c87befaed2c37d19f5687ebca9113ab54d251 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:23:36 +0800 + + Migrated money.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/money.cpp | 23 ++++++++++------------ + test-suite/money.hpp | 37 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 58 deletions(-) + +commit 8097320ecc35003fdecd03587ed7612431abb7ca +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:21:20 +0800 + + Migrated mersennetwister.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/mersennetwister.cpp | 16 ++++++++-------- + test-suite/mersennetwister.hpp | 35 ----------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 51 deletions(-) + +commit 0baf421d8b3fb9a767ff8479449101fce5c1fce2 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 15:18:29 +0800 + + Migrated mclongstaffschwartzengine.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/mclongstaffschwartzengine.cpp | 23 ++++++++------------ + test-suite/mclongstaffschwartzengine.hpp | 37 -------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 59 deletions(-) + +commit bf46253891d11cd4b09f2b1a23733d6ddd48784a +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 13:51:02 +0800 + + Migrated matrices.cpp and markovfunctional.cpp + + test-suite/CMakeLists.txt | 2 - + test-suite/Makefile.am | 2 - + test-suite/markovfunctional.cpp | 270 +++++++++++++++++------------------ + test-suite/markovfunctional.hpp | 40 ------ + test-suite/matrices.cpp | 89 +++++------- + test-suite/matrices.hpp | 52 ------- + test-suite/quantlibtestsuite.cpp | 4 - + test-suite/testsuite.vcxproj | 2 - + test-suite/testsuite.vcxproj.filters | 6 - + 9 files changed, 165 insertions(+), 302 deletions(-) + +commit 2dd13f8838333aafda5e3276e951da2904d623d3 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 13:44:15 +0800 + + Migrated marketmodel_smmcaplethomocalibration.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + .../marketmodel_smmcaplethomocalibration.cpp | 42 +++++----------------- + .../marketmodel_smmcaplethomocalibration.hpp | 36 ------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 8 insertions(+), 78 deletions(-) + +commit 466e1802813c860cc27b610167049b940e5ae6c3 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 13:38:15 +0800 + + Migrated marketmodel_smmcapletcalibration.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/marketmodel_smmcapletcalibration.cpp | 16 +++++------- + test-suite/marketmodel_smmcapletcalibration.hpp | 34 ------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 6 insertions(+), 52 deletions(-) + +commit 0ac5f2bd563efa7232314cae7ca25a6129b3ca50 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 13:35:13 +0800 + + Migrated marketmodel_smmcapletalphacalibration.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + .../marketmodel_smmcapletalphacalibration.cpp | 17 +++++------ + .../marketmodel_smmcapletalphacalibration.hpp | 34 ---------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 7 insertions(+), 52 deletions(-) + +commit d25e4805788eb10a0e8918db41680a0728a56984 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 13:30:35 +0800 + + Migrated marketmodel_smm.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 2 -- + test-suite/marketmodel_smm.cpp | 22 ++++++---------- + test-suite/marketmodel_smm.hpp | 50 ------------------------------------ + test-suite/quantlibbenchmark.cpp | 13 +++++----- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 16 insertions(+), 80 deletions(-) + +commit 7f307673db861c42e8d7a3afd68876c31a0811bc +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 13:23:14 +0800 + + Migrated marketmodel_cms.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 2 -- + test-suite/marketmodel_cms.cpp | 22 ++++++++------------- + test-suite/marketmodel_cms.hpp | 37 ------------------------------------ + test-suite/quantlibbenchmark.cpp | 8 +++++++- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 16 insertions(+), 62 deletions(-) + +commit 6fed27833da813eae39d5289ebe44e19777c26b3 +Author: siddharthmehrotra +Date: Wed, 8 Nov 2023 13:15:55 +0800 + + Migrated marketmodel.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/marketmodel.cpp | 189 ++++++++++++++++------------------- + test-suite/marketmodel.hpp | 61 ----------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 86 insertions(+), 172 deletions(-) + +commit 292aea8849805628c067171bf67f547136a2cf68 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 17:40:26 +0800 + + Migrated margrabeoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/margrabeoption.cpp | 23 ++++++++++------------- + test-suite/margrabeoption.hpp | 34 ---------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 55 deletions(-) + +commit a32bc1fdf31e289cf8d3396fc45bc95583ebaf3a +Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> +Date: Tue, 14 Nov 2023 16:32:34 +0000 + + Update generated headers + + ql/math/randomnumbers/all.hpp | 1 + + 1 file changed, 1 insertion(+) + +commit 00e17d9e4a9317fe4d5fd359411a69e23c8b61d6 +Merge: 6fa6932a2 f94815da5 +Author: Luigi Ballabio +Date: Tue, 14 Nov 2023 17:30:18 +0100 + + add Burley 2020 scrambled Sobol sequence generator (#1828) + +commit f94815da5fa18fabf57afaf8db4706c23498c9b5 +Author: Peter Caspers +Date: Mon, 13 Nov 2023 18:43:04 +0100 + + add clarifying comment + + ql/math/randomnumbers/sobolrsg.hpp | 10 +++++++++- + 1 file changed, 9 insertions(+), 1 deletion(-) + +commit 6fa6932a27bc2f35115e2125c098d4f2b21e34e9 +Author: Luigi Ballabio +Date: Mon, 13 Nov 2023 16:55:48 +0100 + + Apply clang-tidy suggestions, avoid errors + + test-suite/quantlibbenchmark.cpp | 38 ++++++++++++++++++------------------ + test-suite/quantlibglobalfixture.hpp | 2 +- + test-suite/toplevelfixture.hpp | 4 ++-- + 3 files changed, 22 insertions(+), 22 deletions(-) + +commit 265b60bbfd94b3cc50c3c234a70407448aeb84f9 +Author: Peter Caspers +Date: Sun, 12 Nov 2023 11:20:43 +0100 + + add check whether sequence length is exhausted + + ql/math/randomnumbers/burley2020sobolrsg.cpp | 4 +++- + 1 file changed, 3 insertions(+), 1 deletion(-) + +commit 0f621e7b845425e1659764f9d7a6aa40dcb5905d +Author: Peter Caspers +Date: Sat, 11 Nov 2023 17:58:52 +0100 + + make ctors explicit + + .../browniangenerators/sobolbrowniangenerator.hpp | 11 +++++------ + 1 file changed, 5 insertions(+), 6 deletions(-) + +commit 8dd19ca5d3915655048d7a90972cb331b51aa055 +Author: Peter Caspers +Date: Sat, 11 Nov 2023 17:58:31 +0100 + + move to slow tests, formatting + + test-suite/lowdiscrepancysequences.cpp | 15 ++++++++------- + 1 file changed, 8 insertions(+), 7 deletions(-) + +commit 5213e5235034d82bc299fb84e56d6f659f928d23 +Author: Peter Caspers +Date: Sat, 11 Nov 2023 16:32:09 +0100 + + hardcode hash function, since it seems to have a different implementation on windows + + ql/math/randomnumbers/burley2020sobolrsg.cpp | 26 +++++++++++++++++++------- + 1 file changed, 19 insertions(+), 7 deletions(-) + +commit 13c5dcf6370e14d7a454b695eafe072d4bdc6965 +Author: Peter Caspers +Date: Sat, 11 Nov 2023 13:25:04 +0100 + + fixes + + ql/math/randomnumbers/burley2020sobolrsg.hpp | 2 +- + ql/math/randomnumbers/sobolrsg.cpp | 2 +- + 2 files changed, 2 insertions(+), 2 deletions(-) + +commit d0b22ae6e81f97895b547d2d6fd1973811b061ae +Author: Peter Caspers +Date: Sat, 11 Nov 2023 13:06:32 +0100 + + missing include + + test-suite/lowdiscrepancysequences.cpp | 1 + + 1 file changed, 1 insertion(+) + +commit e53829966d4384b34f8c21c87355a034eec3f026 +Author: Peter Caspers +Date: Fri, 10 Nov 2023 20:27:16 +0100 + + add Burley 2020 scrambled Sobol sequence generator + + QuantLib.vcxproj | 2 + + QuantLib.vcxproj.filters | 6 + + ql/CMakeLists.txt | 2 + + ql/math/randomnumbers/Makefile.am | 6 +- + ql/math/randomnumbers/burley2020sobolrsg.cpp | 139 +++++++++++++++++++++ + ql/math/randomnumbers/burley2020sobolrsg.hpp | 64 ++++++++++ + ql/math/randomnumbers/sobolbrownianbridgersg.cpp | 64 +++++++--- + ql/math/randomnumbers/sobolbrownianbridgersg.hpp | 22 +++- + ql/math/randomnumbers/sobolrsg.cpp | 65 +++++++--- + ql/math/randomnumbers/sobolrsg.hpp | 6 +- + .../browniangenerators/sobolbrowniangenerator.cpp | 62 ++++++--- + .../browniangenerators/sobolbrowniangenerator.hpp | 58 +++++++-- + test-suite/lowdiscrepancysequences.cpp | 69 +++++++++- + 13 files changed, 502 insertions(+), 63 deletions(-) + +commit 77418dc33abba30c23afbea012864f9e7baa158b +Merge: 2e39334c7 a040dee70 +Author: Luigi Ballabio +Date: Wed, 8 Nov 2023 18:23:26 +0100 + + Automated registration of Unit test using boost test (#1811) + +commit a040dee70adae560822cc558b2785c0ec4bbfbb7 +Author: Luigi Ballabio +Date: Wed, 8 Nov 2023 17:05:05 +0100 + + Group parametric tests in sub-suite to allow precondition + + test-suite/basketoption.cpp | 6 +++++- + 1 file changed, 5 insertions(+), 1 deletion(-) + +commit ef04c9b313fcff46fa11605e7f77d497a70edec2 +Author: Luigi Ballabio +Date: Wed, 8 Nov 2023 15:42:49 +0100 + + Add a few missing disclaimers + + test-suite/quantlibglobalfixture.cpp | 6 +++--- + test-suite/quantlibglobalfixture.hpp | 22 +++++++++++++++++++++- + test-suite/speedlevel.cpp | 21 ++++++++++++++++++++- + test-suite/speedlevel.hpp | 1 + + test-suite/toplevelfixture.hpp | 23 ++++++++++++++++++++++- + 5 files changed, 67 insertions(+), 6 deletions(-) + +commit 390a8a8aa7366e23a0fb84a09881b0aa881254c7 +Author: Luigi Ballabio +Date: Wed, 8 Nov 2023 15:37:41 +0100 + + Fix check on test times + + tools/check_test_times.py | 5 +++-- + 1 file changed, 3 insertions(+), 2 deletions(-) + +commit 2e39334c7a4d2277776d043a4320b4c81b43a654 +Merge: 09969e168 0cdb45d06 +Author: Luigi Ballabio +Date: Wed, 8 Nov 2023 14:58:49 +0100 + + fixing compilation issue: value usage of fwd declared struct (#1823) + +commit 09969e1681c07aa523325c5e050cbf6ad96dc32e +Merge: e16a22f6a d8a885ec7 +Author: Luigi Ballabio +Date: Wed, 8 Nov 2023 11:54:40 +0100 + + CMake presets: Obey ordering rule (#1825) + +commit e16a22f6a0cfc73e35b6a3427f99c37456f83d50 +Merge: ef331f567 acbea4922 +Author: Luigi Ballabio +Date: Wed, 8 Nov 2023 11:54:14 +0100 + + testing: Add basic fuzz test harnesses (#1807) + +commit ef331f5672f3340e8dddc496ca883aa787a899a4 +Author: Luigi Ballabio +Date: Wed, 8 Nov 2023 09:34:41 +0100 + + Moved a few tests in a different section + + test-suite/andreasenhugevolatilityinterpl.cpp | 3 --- + test-suite/hestonmodel.cpp | 3 --- + test-suite/hestonslvmodel.cpp | 2 +- + 3 files changed, 1 insertion(+), 7 deletions(-) + +commit 2a9b4af15692dc377d46c99e58863f60f4d4907b +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Wed, 8 Nov 2023 09:25:35 +0800 + + Update test-suite/dividendoption.cpp + + Co-authored-by: Luigi Ballabio + + test-suite/dividendoption.cpp | 1 + + 1 file changed, 1 insertion(+) + +commit 0cdb45d06b067d65e7a98f08314a6a01636a6e3e +Author: Paul +Date: Tue, 7 Nov 2023 19:58:12 +0100 + + fixing compilation issue: value usage of fwd declared struct + + test-suite/optimizers.cpp | 10 ++++------ + 1 file changed, 4 insertions(+), 6 deletions(-) + +commit d8a885ec72e5c690fe86a613d5fd24e608fae6e9 +Author: Paul +Date: Mon, 6 Nov 2023 20:20:50 +0100 + + cleanup presets: make use previous presets for inheritance + + CMakePresets.json | 16 ++++------------ + 1 file changed, 4 insertions(+), 12 deletions(-) + +commit 08c0571647ee882f84bb5ae7b900492f2732f444 +Author: Paul +Date: Tue, 7 Nov 2023 19:54:22 +0100 + + cmake presets ordering important aka fix ninja builds + + CMakePresets.json | 24 ++++++++++++------------ + 1 file changed, 12 insertions(+), 12 deletions(-) + +commit acbea4922056601cd8df9b32e4b1cad87e885552 +Author: Nathaniel Brough +Date: Tue, 7 Nov 2023 08:52:48 -0800 + + Disable fuzz-test builds by default + + CMakeLists.txt | 2 +- + 1 file changed, 1 insertion(+), 1 deletion(-) + +commit 15e33c5fd02d8d2b8e59a0c615c653db636b99e3 +Merge: 589b56c6e 120170f08 +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Tue, 7 Nov 2023 17:28:20 +0800 + + Merge pull request #9 from Sidsky/automated-test-registration + + Automated test registration + +commit 120170f08337c62def377b16fd01af5704131c30 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 15:54:57 +0800 + + Migrated lowdiscrepancysequences.cpp + + test-suite/CMakeLists.txt | 5 +- + test-suite/Makefile.am | 2 - + test-suite/lowdiscrepancysequences.cpp | 90 +++++++++------------------------- + test-suite/lowdiscrepancysequences.hpp | 58 ---------------------- + test-suite/quantlibbenchmark.cpp | 8 ++- + test-suite/quantlibtestsuite.cpp | 8 --- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 8 files changed, 32 insertions(+), 143 deletions(-) + +commit 7ef6b4a36fe1ed17ecec83d143d3de5575619189 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 15:50:54 +0800 + + Migrated lookbackoptions.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/lookbackoptions.cpp | 34 +++++++++++------------------- + test-suite/lookbackoptions.hpp | 40 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 12 insertions(+), 70 deletions(-) + +commit 4ce79390ac722167111e04212969722e7bc3b2ef +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 15:43:35 +0800 + + Migrated linearleastsquaresregression.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/linearleastsquaresregression.cpp | 25 ++++++++----------- + test-suite/linearleastsquaresregression.hpp | 37 ----------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 60 deletions(-) + +commit c459079e7c967e9881317c210132ac9207c01ee4 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 15:38:28 +0800 + + Migrated libormarketmodelprocess.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/libormarketmodel.cpp | 2 +- + test-suite/libormarketmodelprocess.cpp | 29 +++++++++---------------- + test-suite/libormarketmodelprocess.hpp | 39 ---------------------------------- + test-suite/quantlibtestsuite.cpp | 5 ----- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 11 insertions(+), 70 deletions(-) + +commit 115d889ffb63f7d613b84a85ca5bf899686c0654 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 15:32:49 +0800 + + Migrated libormarketmodel.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/libormarketmodel.cpp | 37 ++++++++++----------------------- + test-suite/libormarketmodel.hpp | 40 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 1 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 11 insertions(+), 73 deletions(-) + +commit 423708e98972599bea6d06ab029a758c89f579d9 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 15:24:51 +0800 + + Migrated lazyobject.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 2 -- + test-suite/lazyobject.cpp | 30 ++++++++++++--------------- + test-suite/lazyobject.hpp | 39 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 13 insertions(+), 65 deletions(-) + +commit 4d0533877e75a22e1187be5130117dc640213abf +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 15:18:01 +0800 + + Migrated jumpdiffusion.cpp + + test-suite/CMakeLists.txt | 5 ++--- + test-suite/Makefile.am | 1 - + test-suite/jumpdiffusion.cpp | 17 ++++++++--------- + test-suite/jumpdiffusion.hpp | 36 ------------------------------------ + test-suite/quantlibbenchmark.cpp | 8 ++++++-- + test-suite/quantlibglobalfixture.cpp | 2 +- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 9 files changed, 17 insertions(+), 58 deletions(-) + +commit 7887436361efd146ef871c95735769bdcf3b7991 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 14:48:09 +0800 + + Migrated interpolations.cpp + + test-suite/CMakeLists.txt | 5 +- + test-suite/Makefile.am | 2 - + test-suite/interpolations.cpp | 210 +++++++++++++---------------------- + test-suite/interpolations.hpp | 75 ------------- + test-suite/quantlibbenchmark.cpp | 8 +- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 8 files changed, 85 insertions(+), 221 deletions(-) + +commit 726887e4447bb3c7aa49a745b916e5f04513c77d +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 14:31:52 +0800 + + Migrated interestrates.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/interestrates.cpp | 14 +++++++------- + test-suite/interestrates.hpp | 35 ----------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 7 insertions(+), 50 deletions(-) + +commit ac967c1badc6fb6d5a98a27c6ca9fc8e0446c834 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 14:27:49 +0800 + + Migrated integrals.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/integrals.cpp | 187 ++++++++++++++--------------------- + test-suite/integrals.hpp | 52 ---------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 75 insertions(+), 172 deletions(-) + +commit dc9c14d5aaafc805ab2ed46397ff8826756caed0 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 14:18:57 +0800 + + Migrated inflationvolatility.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/inflationvolatility.cpp | 30 ++++++++------------------ + test-suite/inflationvolatility.hpp | 41 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 70 deletions(-) + +commit fe7483416d2916e804b7efdf820c731ce69b46d0 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 14:15:05 +0800 + + Migrated inflationcpiswap.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/inflationcpiswap.cpp | 25 ++++++++--------------- + test-suite/inflationcpiswap.hpp | 39 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 64 deletions(-) + +commit 6cb7a082eb5b444859f1821c11f098c4925f853b +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 14:12:22 +0800 + + Migrated inflationcpicapfloor.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/inflationcpicapfloor.cpp | 24 ++++++-------------- + test-suite/inflationcpicapfloor.hpp | 43 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 7 insertions(+), 68 deletions(-) + +commit a7ee503cbfced70ab8c3e2c154155f183e7cbc60 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 14:09:55 +0800 + + Migrated inflationcpibond.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/inflationcpibond.cpp | 19 ++++++++----------- + test-suite/inflationcpibond.hpp | 34 ---------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 53 deletions(-) + +commit 92d9aedd99114863fc6097d5dc426a97f62b8418 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 14:07:16 +0800 + + Migrated inflationcapflooredcoupon.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/inflationcapflooredcoupon.cpp | 20 ++++++----------- + test-suite/inflationcapflooredcoupon.hpp | 38 -------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 7 insertions(+), 59 deletions(-) + +commit 53796970c7b43986e6183a0de4173da862eb3e24 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 14:03:54 +0800 + + Migrated inflationcapfloor.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/inflationcapfloor.cpp | 25 ++++++++------------- + test-suite/inflationcapfloor.hpp | 37 -------------------------------- + test-suite/inflationcapflooredcoupon.cpp | 1 - + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 9 insertions(+), 62 deletions(-) + +commit 0e19a66d858b74cc05c1e112e086fb4c61ab55ab +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 13:36:42 +0800 + + Moving headers from quantlibglobalfixture.hpp back to quantlibtestsuite.cpp + + test-suite/quantlibglobalfixture.cpp | 4 ++++ + test-suite/quantlibglobalfixture.hpp | 20 -------------------- + test-suite/quantlibtestsuite.cpp | 4 ++++ + 3 files changed, 8 insertions(+), 20 deletions(-) + +commit 6be0974d82b1aadd3310724c59a173066d45032d +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 13:18:29 +0800 + + Migrated inflation.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/inflation.cpp | 346 ++++++++++++++++------------------- + test-suite/inflation.hpp | 48 ----- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 160 insertions(+), 242 deletions(-) + +commit ac72122461ec46a63d39c16d25c807a038029740 +Author: siddharthmehrotra +Date: Tue, 7 Nov 2023 10:54:28 +0800 + + Migrated indexes.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/indexes.cpp | 22 ++++++++++----------- + test-suite/indexes.hpp | 37 ------------------------------------ + test-suite/quantlibglobalfixture.cpp | 22 --------------------- + test-suite/quantlibglobalfixture.hpp | 21 ++++++++++++++++++++ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/speedlevel.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 10 files changed, 32 insertions(+), 80 deletions(-) + +commit 2de91c2fdc9f15502067a6d061713860b656d240 +Author: klaus spanderen +Date: Mon, 6 Nov 2023 22:33:14 +0100 + + fixed explicit constructor + + ql/math/integrals/expsinhintegral.hpp | 4 ++-- + 1 file changed, 2 insertions(+), 2 deletions(-) + +commit 3b708e97dd3713cf682e70bed09131232cda80c0 +Author: klaus spanderen +Date: Mon, 6 Nov 2023 22:32:37 +0100 + + moved test to fast section + + ql/pricingengines/vanilla/analytichestonengine.cpp | 7 ++----- + ql/pricingengines/vanilla/analytichestonengine.hpp | 3 --- + test-suite/andreasenhugevolatilityinterpl.cpp | 3 --- + 3 files changed, 2 insertions(+), 11 deletions(-) + +commit 078e5defcb4d65808d325b2b6d4cde6ff7ea154b +Author: klaus spanderen +Date: Mon, 6 Nov 2023 21:18:49 +0100 + + removed commented out code + + ql/pricingengines/vanilla/analytichestonengine.cpp | 8 -------- + 1 file changed, 8 deletions(-) + +commit 0c6cfb1cd7d7c8ab69610890685672c9f3882e42 +Author: klaus spanderen +Date: Mon, 6 Nov 2023 21:14:23 +0100 + + removed useless includes + + ql/math/integrals/exponentialintegrals.cpp | 2 -- + ql/pricingengines/vanilla/analytichestonengine.cpp | 2 -- + ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 2 -- + 3 files changed, 6 deletions(-) + +commit d09386c1b7af05c2afef77001c4347104e9bbba2 +Author: klaus spanderen +Date: Mon, 6 Nov 2023 19:16:17 +0100 + + . + + ql/math/all.hpp | 1 + + 1 file changed, 1 insertion(+) + +commit c6ade2c14d3f2a6c4fa5cc49f9b0e62642805341 +Author: siddharthmehrotra +Date: Mon, 6 Nov 2023 17:10:51 +0800 + + Migrated hybridhestonhullwhiteprocess.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/hestonslvmodel.cpp | 194 ++++++++++++++-------------- + test-suite/hybridhestonhullwhiteprocess.cpp | 76 +++-------- + test-suite/hybridhestonhullwhiteprocess.hpp | 48 ------- + test-suite/quantlibtestsuite.cpp | 4 +- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 8 files changed, 119 insertions(+), 209 deletions(-) + +commit 9f940fd4929832354b60780b4479fc80067408c0 +Author: siddharthmehrotra +Date: Mon, 6 Nov 2023 17:04:41 +0800 + + Migrated himalayaoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/himalayaoption.cpp | 16 ++++++++-------- + test-suite/himalayaoption.hpp | 32 -------------------------------- + test-suite/quantlibtestsuite.cpp | 8 +------- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 53 deletions(-) + +commit cb3d9f7ca9d3841c3d97824306b9ef471335cd67 +Author: siddharthmehrotra +Date: Mon, 6 Nov 2023 16:54:11 +0800 + + Migrated hestonslvmodel.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/hestonslvmodel.cpp | 2373 +++++++++++++++++----------------- + test-suite/hestonslvmodel.hpp | 56 - + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 1161 insertions(+), 1276 deletions(-) + +commit 603340ae6f3b132af559e3aa5f7ade4146708549 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 17:49:03 +0800 + + Skip unity build for quantlibbenchmark.cpp + + test-suite/CMakeLists.txt | 1 + + test-suite/Makefile.am | 5 +++-- + 2 files changed, 4 insertions(+), 2 deletions(-) + +commit 445c6dd41baedb18cb3a78fba2c392735467bd39 +Author: klaus spanderen +Date: Sun, 5 Nov 2023 12:57:59 +0100 + + change default to angled contour integration + + ql/pricingengines/vanilla/analytichestonengine.cpp | 17 ++++++++++------- + .../vanilla/analytichestonhullwhiteengine.cpp | 9 +++++++-- + ql/pricingengines/vanilla/batesengine.cpp | 18 ++++++++++++++---- + test-suite/hestonmodel.cpp | 8 ++++---- + 4 files changed, 35 insertions(+), 17 deletions(-) + +commit 62c0f14f252bf06ea5f277717216cc3ffe7cac38 +Merge: 428bdd40e 3a4285e8a +Author: Luigi Ballabio +Date: Fri, 3 Nov 2023 12:09:21 +0100 + + Add 2023-12-15 as South African public holiday (#1819) + +commit 44665e64799c2b63715ff39d6f7b7ba53f011c58 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 17:38:17 +0800 + + Migrated hestonmodel.cpp + + test-suite/CMakeLists.txt | 3 +- + test-suite/Makefile.am | 2 - + test-suite/hestonmodel.cpp | 536 ++++++++++++++++------------------- + test-suite/hestonmodel.hpp | 75 ----- + test-suite/quantlibbenchmark.cpp | 8 +- + test-suite/quantlibtestsuite.cpp | 3 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 8 files changed, 244 insertions(+), 387 deletions(-) + +commit 3a4285e8a115aab6f0f1163ab8f5ae97b771c686 +Author: Francois Botha +Date: Fri, 3 Nov 2023 11:38:12 +0200 + + Add 2023-12-15 as South African public holiday + + ql/time/calendars/southafrica.cpp | 2 ++ + 1 file changed, 2 insertions(+) + +commit 6f61bd00b1fe4780c6dd373912b4bbf66eab9da4 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 17:11:44 +0800 + + Migrated gsr.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/gsr.cpp | 19 +++++++++--------- + test-suite/gsr.hpp | 37 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 54 deletions(-) + +commit 342fa6409a265472594697ad5644a852619741f1 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 17:09:08 +0800 + + Migrated gjrgarchmodel.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/gjrgarchmodel.cpp | 26 ++++++++++--------------- + test-suite/gjrgarchmodel.hpp | 37 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 5 ----- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 64 deletions(-) + +commit 2a225615d5a4bc82a729124a3e2462902840f3e1 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 16:58:57 +0800 + + Migrated gaussianquadratures.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/gaussianquadratures.cpp | 192 ++++++++++++++++------------------- + test-suite/gaussianquadratures.hpp | 45 -------- + test-suite/quantlibtestsuite.cpp | 1 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 86 insertions(+), 158 deletions(-) + +commit 9826b9d84348af0a34078308df3007398716b1d6 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 16:52:53 +0800 + + Migrated garch.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/garch.cpp | 69 +++++++++++++++++------------------- + test-suite/garch.hpp | 33 ----------------- + test-suite/quantlibtestsuite.cpp | 1 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 33 insertions(+), 76 deletions(-) + +commit b71ec470101a1a1a78c183b42e99d2b87c53be40 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 16:48:04 +0800 + + Migrated functions.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/functions.cpp | 29 +++++++++++--------------- + test-suite/functions.hpp | 40 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 12 insertions(+), 65 deletions(-) + +commit 455b1dd38fb2f5fc2de892b6bf4e64977b171eb9 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 16:45:43 +0800 + + Migrated forwardrateagreement.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/forwardrateagreement.cpp | 16 +++++++++------- + test-suite/forwardrateagreement.hpp | 34 ---------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 49 deletions(-) + +commit 1d2da6b5d365cbe6cf4ef6fb3c53a023080c48b4 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 16:42:37 +0800 + + Migrated forwardoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/forwardoption.cpp | 293 ++++++++++++++++------------------- + test-suite/forwardoption.hpp | 43 ----- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 134 insertions(+), 210 deletions(-) + +commit 5fc4c7fa7dc9d69d18a127532e9d54c7c3e3933b +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 16:37:32 +0800 + + Migrated fittedbonddiscountcurve.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/fittedbonddiscountcurve.cpp | 18 ++++++++--------- + test-suite/fittedbonddiscountcurve.hpp | 36 ---------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 53 deletions(-) + +commit 68e0e4e904bd4bc6dcfcc3c56946eea59b7ba027 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 15:37:36 +0800 + + Migrated fdsabr.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/fdsabr.cpp | 103 ++++++++++++++++------------------- + test-suite/fdsabr.hpp | 40 -------------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 46 insertions(+), 105 deletions(-) + +commit 3a38262e18fb4e556ea97fa45c341adb30bc1825 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 15:32:45 +0800 + + Migrated fdmlinearop.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/fdmlinearop.cpp | 360 ++++++++++++++++------------------- + test-suite/fdmlinearop.hpp | 56 ------ + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 162 insertions(+), 262 deletions(-) + +commit 3e2498c32b00275894b779d24c5ffd46a151b040 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 15:21:51 +0800 + + Migrated fdheston.cpp + + test-suite/CMakeLists.txt | 5 +- + test-suite/Makefile.am | 2 - + test-suite/fdcir.cpp | 1 - + test-suite/fdheston.cpp | 90 ++++++++++++++---------------------- + test-suite/fdheston.hpp | 48 ------------------- + test-suite/quantlibbenchmark.cpp | 8 +++- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 9 files changed, 42 insertions(+), 118 deletions(-) + +commit 43511ea9556076b2791f2c4ba32dda760b171310 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 15:10:35 +0800 + + Migrated fdcir.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/fdcir.cpp | 16 ++++++++-------- + test-suite/fdcir.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 52 deletions(-) + +commit 21b75a911b94144c8d040c916e351a87432eb95b +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 15:07:36 +0800 + + Migrated fdcev.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/fdcev.cpp | 21 +++++++++----------- + test-suite/fdcev.hpp | 37 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 57 deletions(-) + +commit 589b56c6e13d14d4be237218b80b24fb05a9acb5 +Merge: 879652233 3c3230f46 +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Fri, 3 Nov 2023 14:23:26 +0800 + + Merge pull request #8 + + automated-test-registration + +commit 3c3230f4602446326f52d0cb4e562cf300977888 +Author: siddharthmehrotra +Date: Fri, 3 Nov 2023 14:21:23 +0800 + + Removed conditions for unity build + + test-suite/quantlibbenchmark.cpp | 31 ------------------------------- + 1 file changed, 31 deletions(-) + +commit 97fd015f640ce9fb0e3aad7a3d92d2e28a19fcd1 +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 16:30:07 +0800 + + Added conditions for unity build + + test-suite/quantlibbenchmark.cpp | 4 ++-- + test-suite/quantlibglobalfixture.cpp | 2 +- + 2 files changed, 3 insertions(+), 3 deletions(-) + +commit acec033066a8a63779e29c6607eeb3ab5fa82a99 +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 15:51:57 +0800 + + Migrated fastfouriertransform.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/fastfouriertransform.cpp | 20 +++++++++---------- + test-suite/fastfouriertransform.hpp | 37 ------------------------------------ + test-suite/quantlibbenchmark.cpp | 3 ++- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 11 insertions(+), 57 deletions(-) + +commit d057548ea7b62fac84114a2510f19207081fa39f +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 15:48:17 +0800 + + Migrated extensibleoptions.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/extensibleoptions.cpp | 22 +++++++++------------- + test-suite/extensibleoptions.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 57 deletions(-) + +commit ec5525f6f619648dae79905d5615a032de434693 +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 15:45:55 +0800 + + Migrated extendedtrees.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/extendedtrees.cpp | 34 ++++++++++++------------------ + test-suite/extendedtrees.hpp | 41 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 13 insertions(+), 70 deletions(-) + +commit 7bd925125a43e2d9b967ce6dab7f5d6ad6c379fc +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 15:30:56 +0800 + + Added condition for unity builds in quantlibbenchmark.cpp + + test-suite/quantlibbenchmark.cpp | 29 +++++++++++++++++++++++++++++ + 1 file changed, 29 insertions(+) + +commit 2355b5b369a683864bce3ac76daf0f75ae148de7 +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 13:40:36 +0800 + + Migrated exchangerate.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/exchangerate.cpp | 27 +++++++++++-------------- + test-suite/exchangerate.hpp | 39 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 12 insertions(+), 62 deletions(-) + +commit 896f012c3380576d8d0b356aa1126171f47452d8 +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 13:37:23 +0800 + + Migrated everestoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/everestoption.cpp | 16 ++++++++-------- + test-suite/everestoption.hpp | 32 -------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 48 deletions(-) + +commit e4d320edf0df7a265b3b4aa9308b8f636d16e0b9 +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 13:23:24 +0800 + + removed boost test no main redefinition + + test-suite/quantlibglobalfixture.cpp | 3 +-- + 1 file changed, 1 insertion(+), 2 deletions(-) + +commit bc67995f572877c77ea388ae6923db4c73a3b6f6 +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 11:25:18 +0800 + + Migrated europeanoption.cpp + + test-suite/CMakeLists.txt | 3 +- + test-suite/Makefile.am | 2 - + test-suite/europeanoption.cpp | 317 ++++++++++++++++------------------- + test-suite/europeanoption.hpp | 61 ------- + test-suite/quantlibbenchmark.cpp | 18 +- + test-suite/quantlibtestsuite.cpp | 3 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 8 files changed, 157 insertions(+), 251 deletions(-) + +commit 985aaebff17f054c32e5a27b50cc8a29aa731d09 +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 10:56:51 +0800 + + Migrated equitytotalreturnswap.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/basketoption.cpp | 2 -- + test-suite/equitytotalreturnswap.cpp | 28 ++++++++++++---------------- + test-suite/equitytotalreturnswap.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 12 insertions(+), 62 deletions(-) + +commit a6781ed7aff3925a710f61c86033b24f5ea846e9 +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 10:55:42 +0800 + + Added auto test case template in cdo.cpp + + test-suite/basketoption.cpp | 4 - + test-suite/cdo.cpp | 498 ++++++++++++++++++++++---------------------- + 2 files changed, 253 insertions(+), 249 deletions(-) + +commit d3e3e040d612f1c275c366e74156c8150fbec3ff +Author: siddharthmehrotra +Date: Thu, 2 Nov 2023 10:05:16 +0800 + + Added auto test case template in basketoption.cpp + + test-suite/basketoption.cpp | 135 ++++++++++++++++-------------- + test-suite/dividendoption.cpp | 190 +++++++++++++++++++++--------------------- + 2 files changed, 168 insertions(+), 157 deletions(-) + +commit eb6f83cd7109a659945bcb43ceeff1359088e9c3 +Author: siddharthmehrotra +Date: Wed, 1 Nov 2023 11:19:00 +0800 + + Migrated equityindex.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/equityindex.cpp | 52 ++++++++++++++---------------------- + test-suite/equityindex.hpp | 43 ----------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 20 insertions(+), 83 deletions(-) + +commit b355809d14651eb5e129325068200b2c86ce5ec1 +Author: siddharthmehrotra +Date: Wed, 1 Nov 2023 11:10:17 +0800 + + Migrated equitycashflow.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/equitycashflow.cpp | 38 ++++++++++++++--------------------- + test-suite/equitycashflow.hpp | 39 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 15 insertions(+), 70 deletions(-) + +commit 83a36bf533e78a6e19e6db5eb66543699c74a540 +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 15:42:15 +0800 + + Reviewed changes + + test-suite/quantlibtestsuite.cpp | 20 ++++++++++++++++++++ + test-suite/testsuite.vcxproj | 2 +- + test-suite/testsuite.vcxproj.filters | 4 ++-- + 3 files changed, 23 insertions(+), 3 deletions(-) + +commit 27a696f7ba8a34939d57904faff923bdf8644c8a +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 15:35:01 +0800 + + Migrated doublebinaryoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/doublebinaryoption.cpp | 17 ++++++++--------- + test-suite/doublebinaryoption.hpp | 36 ------------------------------------ + test-suite/quantlibbenchmark.cpp | 7 +++++-- + test-suite/quantlibtestsuite.cpp | 4 ---- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 13 insertions(+), 57 deletions(-) + +commit fe4c3de6157d52d1a61f1c423c4c12e6b109fa4a +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 15:21:20 +0800 + + Migrated doublebarrieroption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/doublebarrieroption.cpp | 34 +++++++++++++------------------ + test-suite/doublebarrieroption.hpp | 39 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 1 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 14 insertions(+), 66 deletions(-) + +commit a6988e2839c1f2cd1e718e4236b5b5528254cc88 +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 15:03:36 +0800 + + Migrated dividendoption.cpp + + test-suite/CMakeLists.txt | 3 +- + test-suite/Makefile.am | 3 -- + test-suite/dividendoption.cpp | 67 ++++++++++++------------------------ + test-suite/dividendoption.hpp | 50 --------------------------- + test-suite/quantlibbenchmark.cpp | 8 +++-- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 8 files changed, 29 insertions(+), 108 deletions(-) + +commit 59f991c8ab6a6a7309aaab8888a47f28e5a71fdc +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 14:55:16 +0800 + + Migrated distributions.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/distributions.cpp | 69 ++++++++++++++---------------------- + test-suite/distributions.hpp | 46 ------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 27 insertions(+), 96 deletions(-) + +commit 0c4d276b563699203e593fd4f8806dff4cdf06b4 +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 14:48:39 +0800 + + Migrated digitaloption.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 2 -- + test-suite/digitaloption.cpp | 47 ++++++++++++------------------------ + test-suite/digitaloption.hpp | 44 --------------------------------- + test-suite/quantlibbenchmark.cpp | 8 ++++-- + test-suite/quantlibtestsuite.cpp | 3 --- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 22 insertions(+), 89 deletions(-) + +commit 819bb231982faa8732653eca3e752f5d91bf068c +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 14:30:48 +0800 + + Migrated digitalcoupon.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/digitalcoupon.cpp | 36 ++++++++++++------------------ + test-suite/digitalcoupon.hpp | 43 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 3 +-- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 15 insertions(+), 73 deletions(-) + +commit 73d2a6e4fead1b69a6b24e6980e720bd006aa6ac +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 14:27:45 +0800 + + Migrated defaultprobabilitycurves.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/defaultprobabilitycurves.cpp | 50 +++++++++++---------------------- + test-suite/defaultprobabilitycurves.hpp | 44 ----------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 17 insertions(+), 85 deletions(-) + +commit 6bf0b5f4aa920da31daf9a7f60fb507ad95f1e6a +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 14:21:12 +0800 + + Migrated daycounters.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/daycounters.cpp | 85 ++++++++++++------------------------ + test-suite/daycounters.hpp | 54 ----------------------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 27 insertions(+), 120 deletions(-) + +commit f9912e49b3ae16dbf3ea6f0419fa5b921223b2a4 +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 14:12:31 +0800 + + Migrated dates.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/dates.cpp | 46 ++++++++++++++---------------------- + test-suite/dates.hpp | 45 ----------------------------------- + test-suite/quantlibglobalfixture.cpp | 4 +++- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 21 insertions(+), 82 deletions(-) + +commit b056daba30432be1a1582b976dcaf89ece323bcf +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 11:23:36 +0800 + + defined boost_test_no_main in global fixture if parallel processing is enabled + + test-suite/quantlibglobalfixture.cpp | 1 + + 1 file changed, 1 insertion(+) + +commit 87965223342b48510627f64d919586e29048b37f +Merge: 301a0e416 ec1fb3fc7 +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Fri, 27 Oct 2023 10:18:25 +0800 + + Merge pull request #7 + + automated-test-registration + +commit ec1fb3fc79a4db1e9ce0471c0cb948c55842cec5 +Author: siddharthmehrotra +Date: Fri, 27 Oct 2023 09:39:27 +0800 + + Bug fix + + test-suite/cdo.cpp | 2 +- + test-suite/quantlibglobalfixture.cpp | 5 ----- + 2 files changed, 1 insertion(+), 6 deletions(-) + +commit 428bdd40eea7b0ae1efa0c730b97c4a8967e55bf +Merge: 6441d1b63 90028ed50 +Author: Luigi Ballabio +Date: Thu, 26 Oct 2023 17:50:03 +0200 + + Changed paymentLag type to Integer (#1818) + +commit 5370fbd96530362541a2a18d9b82036ae35a0108 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:47:48 +0800 + + Migrated curvestates.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/curvestates.cpp | 49 ++++++++++++++++++------------------ + test-suite/curvestates.hpp | 38 ---------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 24 insertions(+), 71 deletions(-) + +commit d470e02b1d672358c478eb337f95fde05e03bbe6 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:39:55 +0800 + + Migrated currency.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/currency.cpp | 16 ++++++++-------- + test-suite/currency.hpp | 32 -------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 48 deletions(-) + +commit 07496962a2510beb42af4d19b588c9ec0000eaa6 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:37:52 +0800 + + Migrated creditriskplus.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/creditriskplus.cpp | 16 +++++++++------- + test-suite/creditriskplus.hpp | 34 ---------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 49 deletions(-) + +commit 42d394066596388bc593cf780323e6844eb2b4ac +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:35:39 +0800 + + Migrated creditdefaultswap.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/creditdefaultswap.cpp | 45 ++++++++++++++---------------------- + test-suite/creditdefaultswap.hpp | 43 ---------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 17 insertions(+), 79 deletions(-) + +commit efd50993a7dafa603db128483c0a8e0c5d508308 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:31:45 +0800 + + Migrated crosscurrencyratehelpers.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/crosscurrencyratehelpers.cpp | 59 ++++++++++----------------------- + test-suite/crosscurrencyratehelpers.hpp | 45 ------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 17 insertions(+), 95 deletions(-) + +commit 9be368b8fd1302795c4dc50bc1bfb7fd952a0b3a +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:19:36 +0800 + + Migrated covariance.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/covariance.cpp | 24 +++++++++-------------- + test-suite/covariance.hpp | 38 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 61 deletions(-) + +commit ce04ccaab04ec2700bc8337257ef48949d69ff3d +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:16:09 +0800 + + Migrated convertiblebonds.cpp + + test-suite/CMakeLists.txt | 3 +-- + test-suite/Makefile.am | 2 -- + test-suite/convertiblebonds.cpp | 22 +++++++++------------ + test-suite/convertiblebonds.hpp | 37 ------------------------------------ + test-suite/quantlibbenchmark.cpp | 8 ++++++-- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 16 insertions(+), 62 deletions(-) + +commit 43384a1d418d871e8a4e3c3c255551da4e84cce5 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:09:51 +0800 + + Migrated compoundoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/compoundoption.cpp | 21 ++++++++------------- + test-suite/compoundoption.hpp | 35 ----------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 56 deletions(-) + +commit b3473d9e288dd4503a422b8e7a79343354416955 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:07:00 +0800 + + Migrated compiledboostversion.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/compiledboostversion.cpp | 16 ++++++++-------- + test-suite/compiledboostversion.hpp | 33 --------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 49 deletions(-) + +commit f770d36c17051330549194f50db7401237169027 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:03:51 +0800 + + Migrated commodityunitofmeasure.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/commodityunitofmeasure.cpp | 15 ++++++++------- + test-suite/commodityunitofmeasure.hpp | 35 ----------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 50 deletions(-) + +commit d2f2ff5dffb5ca55198df016fd074442316d3f31 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 17:01:15 +0800 + + Migrated cmsspread.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/cmsspread.cpp | 20 ++++++++++---------- + test-suite/cmsspread.hpp | 35 ----------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 53 deletions(-) + +commit bc26486aa419b536decd19c8d9009e2f05b2c7c2 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 16:58:18 +0800 + + Migrated cms_normal.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/cms_normal.cpp | 21 ++++++++++----------- + test-suite/cms_normal.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 55 deletions(-) + +commit 298d38eb7d7917f76a70af92e89a9a878ee19eb7 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 16:55:11 +0800 + + Migrated cms.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/cms.cpp | 21 ++++++++++----------- + test-suite/cms.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 55 deletions(-) + +commit cdcf9b3931eecb1634c371456326228b0cb5b161 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 16:52:31 +0800 + + Migrated cliquetoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/cliquetoption.cpp | 27 ++++++++++--------------- + test-suite/cliquetoption.hpp | 38 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 63 deletions(-) + +commit dde5d43b63916d2643530a9e9a8e784eb7369384 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 16:49:40 +0800 + + Migrated chooseroption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/chooseroption.cpp | 21 ++++++++------------- + test-suite/chooseroption.hpp | 32 -------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 53 deletions(-) + +commit da5627f687af4bd895d30be512b67789600d4d83 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 16:05:51 +0800 + + Migrated cdsoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/cdsoption.cpp | 15 ++++++++------- + test-suite/cdsoption.hpp | 35 ----------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 50 deletions(-) + +commit d46936e509cb4443acd715ba67cbccd9c216aec5 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 15:59:11 +0800 + + Migrated cdo.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/cdo.cpp | 534 +++++++++++++++++------------------ + test-suite/cdo.hpp | 36 --- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 254 insertions(+), 324 deletions(-) + +commit 2eab08d6ee47b0f17e0f50abcdb88a9e6f4c43cf +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 15:44:20 +0800 + + Migrated catbonds.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/catbonds.cpp | 80 +++++++++++++++--------------------- + test-suite/catbonds.hpp | 39 ------------------ + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 32 insertions(+), 95 deletions(-) + +commit b6dc49b55395dd162bff974801051e4e638ba0b4 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 15:35:24 +0800 + + Migrated cashflows.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/cashflows.cpp | 52 ++++++++++++++++++------------------ + test-suite/cashflows.hpp | 40 --------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 26 insertions(+), 74 deletions(-) + +commit 6268784b4a5a1a4dc3ed9b62d11a5d931c7e1090 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 14:12:47 +0800 + + Migrated capflooredcoupon.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/capflooredcoupon.cpp | 18 +++++++++--------- + test-suite/capflooredcoupon.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 53 deletions(-) + +commit ab99be273605fc1d3939283a65d370613b2f3c30 +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 10:28:36 +0800 + + Migrated capfloor.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/capfloor.cpp | 42 +++++++++++++------------------- + test-suite/capfloor.hpp | 46 ------------------------------------ + test-suite/quantlibbenchmark.cpp | 6 +++++ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 22 insertions(+), 80 deletions(-) + +commit 4c0e4ca6d075967d23129023d88bebed7f25bc8a +Author: siddharthmehrotra +Date: Thu, 26 Oct 2023 10:10:12 +0800 + + Migrated callablebonds.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/callablebonds.cpp | 43 ++++++++++++++---------------------- + test-suite/callablebonds.hpp | 41 ---------------------------------- + test-suite/quantlibglobalfixture.cpp | 3 +++ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 19 insertions(+), 76 deletions(-) + +commit 90028ed50544a11f97bc58574fe21b2304cd8bc0 +Author: Stoozy +Date: Wed, 25 Oct 2023 20:02:27 -0400 + + –Changed paymentLag type to Integer + + ql/cashflows/cashflowvectors.hpp | 2 +- + ql/cashflows/fixedratecoupon.cpp | 2 +- + ql/cashflows/fixedratecoupon.hpp | 4 ++-- + ql/cashflows/iborcoupon.cpp | 2 +- + ql/cashflows/iborcoupon.hpp | 4 ++-- + ql/cashflows/overnightindexedcoupon.cpp | 2 +- + ql/cashflows/overnightindexedcoupon.hpp | 4 ++-- + ql/cashflows/subperiodcoupon.cpp | 2 +- + ql/cashflows/subperiodcoupon.hpp | 4 ++-- + ql/instruments/bonds/amortizingfixedratebond.cpp | 2 +- + ql/instruments/bonds/amortizingfixedratebond.hpp | 2 +- + ql/instruments/bonds/amortizingfloatingratebond.cpp | 2 +- + ql/instruments/bonds/amortizingfloatingratebond.hpp | 2 +- + ql/instruments/fixedvsfloatingswap.cpp | 2 +- + ql/instruments/fixedvsfloatingswap.hpp | 2 +- + ql/instruments/makeois.cpp | 2 +- + ql/instruments/makeois.hpp | 4 ++-- + ql/instruments/overnightindexedswap.cpp | 8 ++++---- + ql/instruments/overnightindexedswap.hpp | 8 ++++---- + ql/termstructures/yield/oisratehelper.cpp | 4 ++-- + ql/termstructures/yield/oisratehelper.hpp | 6 +++--- + test-suite/overnightindexedswap.cpp | 4 ++-- + 22 files changed, 37 insertions(+), 37 deletions(-) + +commit 65effc2467ea82e340639e1fb127e7a485044c01 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 18:07:35 +0800 + + Update Makefile.am + + test-suite/Makefile.am | 3 --- + 1 file changed, 3 deletions(-) + +commit 83ffcb79675741ae60373c1986a17b8ff2d11a72 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 17:59:12 +0800 + + Migrated calendars.cpp + + test-suite/CMakeLists.txt | 3 +- + test-suite/Makefile.am | 1 - + test-suite/calendars.cpp | 112 +++++++++++------------------------ + test-suite/calendars.hpp | 72 ---------------------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 7 files changed, 36 insertions(+), 158 deletions(-) + +commit 7ccba120ecf4faa38505f21e95ea21d3adde12f1 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 17:40:30 +0800 + + Migrated businessdayconventions.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/businessdayconventions.cpp | 17 ++++++++--------- + test-suite/businessdayconventions.hpp | 33 --------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 50 deletions(-) + +commit f8cbaa6a5f98ee8eddebefee017d180c8b9eacfe +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 17:36:34 +0800 + + Migrated brownianbridge.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/brownianbridge.cpp | 18 ++++++++---------- + test-suite/brownianbridge.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 8 insertions(+), 54 deletions(-) + +commit 8dd1862e13324df6e934abe650b338d1ca83d4ff +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 17:27:12 +0800 + + Migrated bonds.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/bonds.cpp | 71 ++++++++++++------------------------ + test-suite/bonds.hpp | 50 ------------------------- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 23 insertions(+), 106 deletions(-) + +commit 36ed3071b6eb89f7917dc5a9e53aa6a14f314f5e +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 17:13:32 +0800 + + Migrated bondforward.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/bondforward.cpp | 22 ++++++++++----------- + test-suite/bondforward.hpp | 38 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 58 deletions(-) + +commit 0c2ac52606df204eb2e46edabaaa3f9434960f36 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 17:08:22 +0800 + + Migrated blackformula.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/blackformula.cpp | 54 ++++++++++++------------------------ + test-suite/blackformula.hpp | 46 ------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 -- + 7 files changed, 17 insertions(+), 91 deletions(-) + +commit 852cf902f22350bb863049ba02f2ab24577bea7f +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 16:59:57 +0800 + + Migrated blackdeltacalculator.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/blackdeltacalculator.cpp | 27 ++++++++++--------------- + test-suite/blackdeltacalculator.hpp | 38 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 63 deletions(-) + +commit 05430d63c9edb6665ddd1e818c82ed8d31e9e5ac +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 16:52:41 +0800 + + Combines namespace members into one in batesmodel.cpp. Updates testsuite.vcxproj.filters file + + test-suite/batesmodel.cpp | 53 +++++++++++++++++------------------- + test-suite/testsuite.vcxproj.filters | 2 +- + 2 files changed, 26 insertions(+), 29 deletions(-) + +commit d21cfa78b38bd26a9cfa0f372eed77847bfefe05 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 15:28:16 +0800 + + Migrated binaryoption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/binaryoption.cpp | 18 +++++++++--------- + test-suite/binaryoption.hpp | 36 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 9 insertions(+), 53 deletions(-) + +commit 11144ff6acd9d0b38c0831ee99baad18c9c58acd +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 15:24:21 +0800 + + Migrated bermudanswaption.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/bermudanswaption.cpp | 25 +++++++++-------------- + test-suite/bermudanswaption.hpp | 39 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 62 deletions(-) + +commit 8088cdd931245f3e4f132d952b46907f41359974 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 15:09:49 +0800 + + Migrated batesmodel.cpp + + test-suite/CMakeLists.txt | 5 ++--- + test-suite/Makefile.am | 1 - + test-suite/batesmodel.cpp | 27 ++++++++++++------------- + test-suite/batesmodel.hpp | 38 ------------------------------------ + test-suite/quantlibbenchmark.cpp | 25 ++++++++++++++++-------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 8 files changed, 31 insertions(+), 71 deletions(-) + +commit ffffa1784dd3bd68f3f79233d034399868e5e3c3 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 14:40:09 +0800 + + Removed redundant qualification from TopLevelFixture + + test-suite/americanoption.cpp | 2 +- + test-suite/amortizingbond.cpp | 2 +- + test-suite/andreasenhugevolatilityinterpl.cpp | 2 +- + test-suite/array.cpp | 2 +- + test-suite/asianoptions.cpp | 2 +- + test-suite/assetswap.cpp | 2 +- + test-suite/autocovariances.cpp | 2 +- + test-suite/barrieroption.cpp | 2 +- + test-suite/basismodels.cpp | 2 +- + test-suite/basisswapratehelpers.cpp | 2 +- + 10 files changed, 10 insertions(+), 10 deletions(-) + +commit d325e5cacd55584152a48938c6634fa3c1b205d7 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 14:35:54 +0800 + + Migrated basketoption.cpp + + test-suite/CMakeLists.txt | 3 +- + test-suite/Makefile.am | 1 - + test-suite/basketoption.cpp | 248 ++++++++++++++++------------------- + test-suite/basketoption.hpp | 43 ------ + test-suite/quantlibbenchmark.cpp | 12 +- + test-suite/quantlibtestsuite.cpp | 2 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 8 files changed, 124 insertions(+), 189 deletions(-) + +commit 636d7bc69af69490fe4b91ab422a18dec0c90667 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 12:30:22 +0800 + + Migrated basisswapratehelpers.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/basisswapratehelpers.cpp | 25 ++++++++++-------------- + test-suite/basisswapratehelpers.hpp | 38 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 61 deletions(-) + +commit 231f93c1ac51a834305acbbca526181b9d3b7349 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 12:20:31 +0800 + + Migrated basismodels.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/basismodels.cpp | 23 ++++++++++------------ + test-suite/basismodels.hpp | 38 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 10 insertions(+), 59 deletions(-) + +commit b1d6d3c27910a71f568b6db9cd4427fb176a1e6f +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 11:36:37 +0800 + + Migrated barrieroption.cpp + + test-suite/CMakeLists.txt | 3 +- + test-suite/Makefile.am | 1 - + test-suite/barrieroption.cpp | 814 +++++++++++++++++------------------ + test-suite/barrieroption.hpp | 50 --- + test-suite/quantlibbenchmark.cpp | 6 +- + test-suite/quantlibtestsuite.cpp | 3 - + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 - + 8 files changed, 405 insertions(+), 476 deletions(-) + +commit 37c23d2ef5ed65eb6328694d11c7e6b5aaf02b6e +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 11:12:57 +0800 + + Migrated autocovariances.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 3 +-- + test-suite/autocovariances.cpp | 21 ++++++++++---------- + test-suite/autocovariances.hpp | 37 ------------------------------------ + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 11 insertions(+), 57 deletions(-) + +commit f29da129989f313ad2d5701d03d2cbafc69da5cc +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 11:06:35 +0800 + + Migrated assetswap.cpp + + test-suite/CMakeLists.txt | 1 - + test-suite/Makefile.am | 1 - + test-suite/assetswap.cpp | 45 ++++++++++++++---------------------- + test-suite/assetswap.hpp | 43 ---------------------------------- + test-suite/quantlibtestsuite.cpp | 2 -- + test-suite/testsuite.vcxproj | 1 - + test-suite/testsuite.vcxproj.filters | 3 --- + 7 files changed, 17 insertions(+), 79 deletions(-) + +commit 6f5ac277eeba435b55a22c389ac29ff91f0ee4b6 +Author: siddharthmehrotra +Date: Wed, 25 Oct 2023 10:48:52 +0800 + + Migrated functions from quantlibtestsuite.cpp to quantlibglobalfixture.cpp + + test-suite/quantlibbenchmark.cpp | 4 +- + test-suite/quantlibglobalfixture.cpp | 129 +++++++++++++++++++++++++++++++++-- + test-suite/quantlibtestsuite.cpp | 106 ---------------------------- + 3 files changed, 127 insertions(+), 112 deletions(-) + +commit 301a0e416005eed2e2e9ee6a1c01743de7f24c23 +Merge: c4249d694 8be12adad +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Wed, 25 Oct 2023 09:22:16 +0800 + + Merge pull request #6 from Sidsky/automated-test-registration + + Migrated asianoptions.cpp, array.cpp, andreasenhugevolatilityinterpl.… + +commit 6441d1b63bdc5da112fec297c8e16fac84cbbb2a +Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com> +Date: Sun, 22 Oct 2023 02:02:29 +0000 + + Automated fixes by clang-tidy + + ql/instruments/cpicapfloor.cpp | 4 ++-- + ql/instruments/cpicapfloor.hpp | 2 +- + 2 files changed, 3 insertions(+), 3 deletions(-) + +commit 0a745faa2e891a33136ac40a4cbf60138798218d +Merge: 23156dbeb 24bbaaa53 +Author: Luigi Ballabio +Date: Fri, 20 Oct 2023 19:21:34 +0200 + + Remove features deprecated in version 1.28 (#1815) + +commit 23156dbeb6b2d390e45b1474d8161588e539507a +Merge: e5bef2ed6 332380544 +Author: Luigi Ballabio +Date: Fri, 20 Oct 2023 11:47:59 +0200 + + Fix parameter name (#1814) + +commit e5bef2ed6e02e589837bc874df54ae8a44a418aa +Merge: 3a9fd6039 c7a31049c +Author: Luigi Ballabio +Date: Fri, 20 Oct 2023 11:47:37 +0200 + + minor improvements for the thread safe observer pattern (#1808) + +commit 3a9fd603925e26e7743a1353e1c310e6d4c241bb +Merge: ff5be2798 20eb0e1fe +Author: Luigi Ballabio +Date: Fri, 20 Oct 2023 11:46:14 +0200 + + Feature/add apple m series to presets (#1809) + +commit 24bbaaa53d6f5ef5ba98ee14f7bbba6c1f75a0ea +Author: Luigi Ballabio +Date: Fri, 20 Oct 2023 11:43:50 +0200 + + Remove features deprecated in version 1.28 + + QuantLib.vcxproj | 4 - + QuantLib.vcxproj.filters | 15 --- + cmake/GenerateHeaders.cmake | 9 +- + configure.ac | 1 - + ql/CMakeLists.txt | 4 - + ql/experimental/Makefile.am | 2 +- + ql/experimental/all.hpp | 1 - + ql/experimental/amortizingbonds/Makefile.am | 22 ----- + ql/experimental/amortizingbonds/all.hpp | 4 - + .../amortizingbonds/amortizingcmsratebond.hpp | 23 ----- + .../amortizingbonds/amortizingfixedratebond.hpp | 23 ----- + .../amortizingbonds/amortizingfloatingratebond.hpp | 23 ----- + ql/experimental/callablebonds/callablebond.cpp | 15 --- + ql/experimental/callablebonds/callablebond.hpp | 14 --- + ql/instruments/bonds/amortizingfixedratebond.cpp | 68 ------------- + ql/instruments/bonds/amortizingfixedratebond.hpp | 33 ------- + ql/instruments/bonds/fixedratebond.cpp | 107 --------------------- + ql/instruments/bonds/fixedratebond.hpp | 47 +-------- + ql/instruments/bonds/floatingratebond.cpp | 75 --------------- + ql/instruments/bonds/floatingratebond.hpp | 30 ------ + ql/instruments/cpicapfloor.cpp | 41 +------- + ql/instruments/cpicapfloor.hpp | 49 ---------- + ql/termstructures/volatility/sabrsmilesection.cpp | 11 --- + ql/termstructures/volatility/sabrsmilesection.hpp | 10 -- + test-suite/callablebonds.cpp | 24 ----- + 25 files changed, 7 insertions(+), 648 deletions(-) + +commit 8be12adadb57fd743e3fb3af9a2268ddeacb47e5 +Author: siddharthmehrotra +Date: Fri, 20 Oct 2023 14:52:59 +0800 + + Migrated asianoptions.cpp, array.cpp, andreasenhugevolatilityinterpl.cpp and amortizingbond.cpp + + test-suite/CMakeLists.txt | 6 +- + test-suite/Makefile.am | 5 - + test-suite/amortizingbond.cpp | 22 +- + test-suite/amortizingbond.hpp | 33 - + test-suite/andreasenhugevolatilityinterpl.cpp | 147 ++-- + test-suite/andreasenhugevolatilityinterpl.hpp | 49 -- + test-suite/array.cpp | 25 +- + test-suite/array.hpp | 38 - + test-suite/asianoptions.cpp | 968 ++++++++++++-------------- + test-suite/asianoptions.hpp | 58 -- + test-suite/quantlibbenchmark.cpp | 6 +- + test-suite/quantlibtestsuite.cpp | 13 - + test-suite/testsuite.vcxproj | 4 - + test-suite/testsuite.vcxproj.filters | 12 - + 14 files changed, 548 insertions(+), 838 deletions(-) + +commit ff5be279837e01f379387c9ca4676fdb9f108590 +Author: Luigi Ballabio +Date: Thu, 15 Apr 2021 16:25:45 +0200 + + Set version to 1.33-dev. + + CMakeLists.txt | 6 +++--- + configure.ac | 2 +- + ql/version.hpp | 4 ++-- + 3 files changed, 6 insertions(+), 6 deletions(-) + +commit c4249d6947ea6086d98b2b4c120fd902781cd267 +Merge: d5dfa3356 849d213bd +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Fri, 20 Oct 2023 14:07:16 +0800 + + Merge pull request #5 from klausspanderen/test_reg + + declare benchmark test cases and add cpp to Makefile.am and CMakeLists.txt + +commit 849d213bd7b4a1f270ea95e228303b5fe5ace767 +Author: klaus spanderen +Date: Thu, 19 Oct 2023 20:30:48 +0200 + + declare benchmark tests + + test-suite/CMakeLists.txt | 4 ++-- + test-suite/Makefile.am | 5 +++++ + test-suite/quantlibbenchmark.cpp | 19 ++++++++----------- + 3 files changed, 15 insertions(+), 13 deletions(-) + +commit d5dfa3356d918b89f202a02e13918c6e9fae17f0 +Merge: 65ec85e66 583aafd5e +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Thu, 19 Oct 2023 16:25:43 +0800 + + Merge pull request #4 from Sidsky/automated-test-registration + + adds test case in quantlibbenchmark.cpp using std::bind + +commit 332380544deccc5ab1dc12f9625c459a38afb836 +Author: Francois Botha +Date: Thu, 19 Oct 2023 10:06:52 +0200 + + Fix parameter name + + ql/instruments/bond.hpp | 4 ++-- + 1 file changed, 2 insertions(+), 2 deletions(-) + +commit 583aafd5e313e086572ad1c085e69be8ee37cf81 +Author: siddharthmehrotra +Date: Wed, 18 Oct 2023 17:20:45 +0800 + + adds test case in quantlibbenchmark.cpp using std::bind + + test-suite/CMakeLists.txt | 5 +++-- + test-suite/quantlibbenchmark.cpp | 18 ++++++++++++------ + 2 files changed, 15 insertions(+), 8 deletions(-) + +commit 65ec85e66b7336eeb7970e737ab239533b0ae6c5 +Merge: 82f71c2b2 677a73e42 +Author: Sidsky <61586290+Sidsky@users.noreply.github.com> +Date: Thu, 12 Oct 2023 15:02:03 +0800 + + Merge pull request #3 from Sidsky/automated-test-registration + + Updates to use automated registration + +commit a90a17dd7951f0d13eee384ec7c5ebc7f0ec0f89 +Author: siddharthmehrotra +Date: Thu, 14 Sep 2023 17:29:38 +0800 + + Updates to use automated registration + + test-suite/CMakeLists.txt | 8 +-- + test-suite/Makefile.am | 8 +-- + test-suite/americanoption.cpp | 101 +++++++++++------------------------ + test-suite/americanoption.hpp | 62 --------------------- + test-suite/instruments.cpp | 31 +++++------ + test-suite/instruments.hpp | 37 ------------- + test-suite/paralleltestrunner.hpp | 3 +- + test-suite/quantlibbenchmark.cpp | 4 +- + test-suite/quantlibglobalfixture.cpp | 66 +++++++++++++++++++++++ + test-suite/quantlibglobalfixture.hpp | 19 +++++++ + test-suite/quantlibtestsuite.cpp | 64 ++++++---------------- + test-suite/speedlevel.cpp | 15 ++++++ + test-suite/speedlevel.hpp | 9 ++++ + test-suite/testsuite.vcxproj | 6 ++- + test-suite/testsuite.vcxproj.filters | 18 ++++--- + test-suite/toplevelfixture.hpp | 34 ++++++++++++ + tools/check_test_times.py | 11 ++-- + 17 files changed, 242 insertions(+), 254 deletions(-) + +commit f66acb57a6b253f884584f82a1d901ce94800679 +Author: klaus spanderen +Date: Wed, 11 Oct 2023 22:19:32 +0200 + + . + + test-suite/testsuite.vcxproj | 6 +++--- + 1 file changed, 3 insertions(+), 3 deletions(-) + +commit 306fff10314be81ebef3d382d682f89c894c4e26 +Author: klaus spanderen +Date: Wed, 11 Oct 2023 21:38:12 +0200 + + numbers are alright for order 64 + + ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 3 +-- + 1 file changed, 1 insertion(+), 2 deletions(-) + +commit 74b6f3dd1b0120353e4294bf24154af2447c4a01 +Author: klaus spanderen +Date: Wed, 11 Oct 2023 21:00:29 +0200 + + fixed test case + + test-suite/integrals.cpp | 6 ++---- + 1 file changed, 2 insertions(+), 4 deletions(-) + +commit b89e3c0677a0dc42105266e2cfee87a1ca196d85 +Author: klaus spanderen +Date: Wed, 11 Oct 2023 00:28:33 +0200 + + fixed test case + + test-suite/integrals.cpp | 2 ++ + 1 file changed, 2 insertions(+) + +commit 1070869816fc349c22316583135e80778db5369d +Author: klaus spanderen +Date: Tue, 10 Oct 2023 23:09:50 +0200 + + fixed windows build + + QuantLib.vcxproj | 1 + + QuantLib.vcxproj.filters | 3 +++ + ql/math/integrals/expsinhintegral.hpp | 14 +++++++------- + ql/math/integrals/tanhsinhintegral.hpp | 5 +++-- + test-suite/riskneutraldensitycalculator.cpp | 5 ++--- + 5 files changed, 16 insertions(+), 12 deletions(-) + +commit 333c79cc2bbc15377b0f3015e4cdef1b3b360f9f +Author: Nathaniel Brough +Date: Fri, 6 Oct 2023 14:02:27 -0700 + + testing: Add basic fuzz test harnesses + + CMakeLists.txt | 9 ++++++++- + fuzz-test-suite/CMakeLists.txt | 21 +++++++++++++++++++++ + fuzz-test-suite/dateparserfuzzer.cpp | 24 ++++++++++++++++++++++++ + 3 files changed, 53 insertions(+), 1 deletion(-) + +commit 20eb0e1feec6db5645d0588e369a7cb1c3565e29 +Author: Christian Köhnenkamp +Date: Mon, 9 Oct 2023 10:22:06 +0200 + + Fix naming of M series family to arm64 + + CMakePresets.json | 20 ++++++++++---------- + 1 file changed, 10 insertions(+), 10 deletions(-) + +commit b8b45927aed31b2145cdf7f96d7c50d547acdf76 +Author: Christian Köhnenkamp +Date: Mon, 9 Oct 2023 09:49:49 +0200 + + Adding release and relWithDebInfo + + CMakePresets.json | 27 +++++++++++++++++++-------- + 1 file changed, 19 insertions(+), 8 deletions(-) + +commit 1a215aa1872cb611e218dee04e9b33628d1d7b90 +Author: Christian Köhnenkamp +Date: Sat, 7 Oct 2023 11:16:30 +0200 + + Tests build by default + + CMakePresets.json | 1 - + 1 file changed, 1 deletion(-) + +commit c7a31049ce7298aa1061ab58d42d4bb06526fa21 +Author: klaus spanderen +Date: Fri, 6 Oct 2023 23:43:02 +0200 + + avoid includes + + ql/patterns/observable.hpp | 8 ++++++++ + 1 file changed, 8 insertions(+) + +commit 32b0cbb41ce1cc64610c35d2c741f1a5cda1b019 +Author: klaus spanderen +Date: Fri, 6 Oct 2023 21:58:51 +0200 + + secure observer list + + ql/patterns/observable.cpp | 4 +++- + 1 file changed, 3 insertions(+), 1 deletion(-) + +commit 8a39407e8c69e4d6df586d3bb73efd05d05ee3c5 +Author: klaus spanderen +Date: Fri, 6 Oct 2023 21:43:44 +0200 + + avoid potential double notifications + + ql/patterns/observable.cpp | 25 +++++++++++++------------ + ql/patterns/observable.hpp | 4 ++-- + 2 files changed, 15 insertions(+), 14 deletions(-) + +commit d5e33372c95c27ff4d71176ffc0d603eadba148b +Author: Christian Köhnenkamp +Date: Fri, 6 Oct 2023 20:25:03 +0200 + + Add Apple M1 preset + + CMakePresets.json | 31 +++++++++++++++++++++++++++++++ + 1 file changed, 31 insertions(+) + +commit a85fec373831765576c28aba58a8698b839ae036 +Author: klaus spanderen +Date: Fri, 6 Oct 2023 20:14:36 +0200 + + improve Hestson integration + + ql/CMakeLists.txt | 1 + + ql/math/integrals/Makefile.am | 1 + + ql/math/integrals/all.hpp | 1 + + ql/math/integrals/expsinhintegral.hpp | 104 +++++++++++++++++++++ + ql/math/integrals/simpsonintegral.hpp | 3 + + ql/math/integrals/tanhsinhintegral.hpp | 11 ++- + ql/math/integrals/trapezoidintegral.hpp | 2 + + ql/pricingengines/vanilla/analytichestonengine.cpp | 35 ++++--- + ql/pricingengines/vanilla/analytichestonengine.hpp | 7 +- + test-suite/hestonmodel.cpp | 10 ++ + test-suite/integrals.cpp | 19 ++++ + test-suite/integrals.hpp | 1 + + 12 files changed, 177 insertions(+), 18 deletions(-) + +commit f12e6a6e96e281a6d23eb68efa4e81f45f70f784 +Author: klaus spanderen +Date: Thu, 21 Sep 2023 20:28:16 +0200 + + fixed test case on mac os + + ql/pricingengines/vanilla/analytichestonengine.cpp | 7 +------ + test-suite/riskneutraldensitycalculator.cpp | 2 +- + 2 files changed, 2 insertions(+), 7 deletions(-) + +commit 360f8da5193d4c3eb8d79c2924c367c7457d4409 +Author: klaus spanderen +Date: Wed, 20 Sep 2023 22:27:14 +0200 + + make alpha optional + + ql/pricingengines/vanilla/analytichestonengine.cpp | 25 ++++++++++------------ + ql/pricingengines/vanilla/analytichestonengine.hpp | 5 +++-- + 2 files changed, 14 insertions(+), 16 deletions(-) + +commit 7f04a4982da2b6abe2aca8bc136a7dc7ffcd02bf +Author: klaus spanderen +Date: Wed, 20 Sep 2023 22:19:36 +0200 + + finish work on optimal alpha + + ql/pricingengines/vanilla/analytichestonengine.cpp | 88 ++++++++++++++-------- + ql/pricingengines/vanilla/analytichestonengine.hpp | 6 +- + .../vanilla/exponentialfittinghestonengine.cpp | 23 +++--- + .../vanilla/exponentialfittinghestonengine.hpp | 5 +- + test-suite/hestonmodel.cpp | 9 ++- + test-suite/riskneutraldensitycalculator.cpp | 5 +- + 6 files changed, 81 insertions(+), 55 deletions(-) + +commit 490c96354cd4d74f201a9fe3c888650c4e405e4b +Author: klaus spanderen +Date: Thu, 10 Aug 2023 22:21:11 +0200 + + secure state + + ql/pricingengines/vanilla/analytichestonengine.cpp | 11 +++++------ + ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 3 ++- + 2 files changed, 7 insertions(+), 7 deletions(-) + +commit 018df35316d5c8cb0ea5bba15cfbb37a91836c20 +Author: klaus spanderen +Date: Thu, 10 Aug 2023 22:17:13 +0200 + + secure state + + ql/math/integrals/gausslobattointegral.cpp | 4 +- + ql/pricingengines/vanilla/analytichestonengine.cpp | 160 ++++++++++++--------- + ql/pricingengines/vanilla/analytichestonengine.hpp | 57 ++++---- + .../vanilla/exponentialfittinghestonengine.cpp | 12 +- + .../vanilla/exponentialfittinghestonengine.hpp | 2 + + test-suite/hestonmodel.cpp | 23 ++- + 6 files changed, 160 insertions(+), 98 deletions(-) + +commit 2dbd08b0eedf7e4843238f60ee6e3aaf9388202a +Author: klaus spanderen +Date: Mon, 3 Jul 2023 18:45:22 +0200 + + refactoring: removed unused Fp_Helper constructors + + ql/math/integrals/exponentialintegrals.cpp | 2 +- + ql/pricingengines/vanilla/analytichestonengine.cpp | 81 ++-------------------- + ql/pricingengines/vanilla/analytichestonengine.hpp | 2 + + test-suite/testsuite.vcxproj | 8 +-- + 4 files changed, 13 insertions(+), 80 deletions(-) + +commit 33fc781cb4feca9dbd1f9b60df8bf5ddf17a1f0c +Author: klaus spanderen +Date: Mon, 3 Jul 2023 18:16:39 +0200 + + refactoring: removed doCalculation from AnalyticHestonEngine + + ql/math/integrals/exponentialintegrals.cpp | 2 +- + ql/pricingengines/vanilla/analytichestonengine.cpp | 169 +++++---------------- + ql/pricingengines/vanilla/analytichestonengine.hpp | 35 ++--- + .../volatility/equityfx/hestonblackvolsurface.cpp | 45 +++--- + .../volatility/equityfx/hestonblackvolsurface.hpp | 5 +- + test-suite/integrals.cpp | 2 - + test-suite/marketmodel.cpp | 34 ++--- + test-suite/normalclvmodel.cpp | 9 +- + 8 files changed, 97 insertions(+), 204 deletions(-) + +commit cb4c3aac42fbac5b70c19263674f47a9cc4f400d +Author: klaus spanderen +Date: Mon, 3 Jul 2023 17:05:46 +0200 + + improve windows build + + ql/math/integrals/exponentialintegrals.cpp | 6 +++--- + 1 file changed, 3 insertions(+), 3 deletions(-) + +commit f516ebde63674684368bc05ea6f453750521104a +Author: klaus spanderen +Date: Mon, 3 Jul 2023 16:17:55 +0200 + + added missing file to project definition + + QuantLib.vcxproj | 2 + + QuantLib.vcxproj.filters | 6 ++ + ql/math/Makefile.am | 2 + + ql/pricingengines/vanilla/analytichestonengine.cpp | 67 ++++++++++++---------- + ql/pricingengines/vanilla/analytichestonengine.hpp | 3 + + 5 files changed, 51 insertions(+), 29 deletions(-) + +commit 46011bd3ce86e95ee0c30e0f1b8cd8ee0520901b +Author: klaus spanderen +Date: Mon, 3 Jul 2023 13:12:15 +0200 + + first light from Heston update + + ql/math/integrals/exponentialintegrals.cpp | 131 +++++-- + ql/math/integrals/exponentialintegrals.hpp | 24 +- + ql/pricingengines/vanilla/analytichestonengine.cpp | 421 ++++++++++++++++++--- + ql/pricingengines/vanilla/analytichestonengine.hpp | 78 ++-- + .../vanilla/exponentialfittinghestonengine.cpp | 6 +- + .../vanilla/exponentialfittinghestonengine.hpp | 2 + + 6 files changed, 537 insertions(+), 125 deletions(-) + +commit c7efbd69c1ed0996301c316e2190f2ff6b6909e0 +Author: klaus spanderen +Date: Mon, 3 Jul 2023 13:11:22 +0200 + + first light from Heston update + + ql/CMakeLists.txt | 2 + + ql/math/expm1.cpp | 54 +++++++++ + ql/math/expm1.hpp | 35 ++++++ + test-suite/functions.cpp | 31 +++++ + test-suite/functions.hpp | 3 + + test-suite/hestonmodel.cpp | 157 ++++++++++++++++++++++++-- + test-suite/hestonmodel.hpp | 3 +- + test-suite/integrals.cpp | 276 ++++++++++++++++++++++++++++----------------- + test-suite/integrals.hpp | 1 + + 9 files changed, 448 insertions(+), 114 deletions(-) diff --git a/Contributors.txt b/Contributors.txt index dced0f2a93b..f1f2b7402a0 100644 --- a/Contributors.txt +++ b/Contributors.txt @@ -40,6 +40,7 @@ Theo Boafo, Francois Botha, Delphine Bouthier, Fakher Braham, +Nathaniel Brough, Ole Bueker, Joe Byers, Xavier Caron, @@ -88,6 +89,7 @@ Jose Garcia, Lakshay Garg, Fredrik Gerdin Börjesson, Riccardo Ghetta, +Hoang Giap Vu, Jack Gillett, Paul Giltinan, Roman Gitlin, @@ -122,6 +124,7 @@ Norbert Irmer, Mike Jake, Nicola Jean, Joseph Jeisman, +Yi Jiang, Rahul Kanchi, Roland Kapl, Andrey Karpov, @@ -178,6 +181,7 @@ Marco Marchioro, Francesca Mariani, Slava Mazur, Paolo Mazzocchi, +Siddharth Mehrotra, Magnus Mencke, Enrico Michelotti, Andre Miemiec, diff --git a/Docs/pages/history.docs b/Docs/pages/history.docs index ddf2509c5b8..479352f528f 100644 --- a/Docs/pages/history.docs +++ b/Docs/pages/history.docs @@ -17,7 +17,81 @@ /*! \page history Version history - Release 1.32 - October 2023 + Release 1.33 - January 2024 + + PORTABILITY + - **Future end of support:** as announced in release 1.32, we're + targeting the future release 1.35 as the last to support Visual C++ + 2015, g++ up to version 6.x, and clang up to version 4; support for + those compilers will be dropped in release 1.36, about nine months + from now. From that point onwards, this will allows us to enable + the use of C++17 in the code base. + - **Future end of support:** at the same time as the above, we'll also + remove the configure switch that allows to use `boost::tuple`, + `boost::function` and `boost::bind` instead of their `std` + counterparts; the `std` classes are already the default since + release 1.32. + - Added CMake presets for Apple; thanks to Christian Köhnenkamp. + + DATES AND CALENDARS + - Added New Year's Eve as a holiday to Chilean calendar; thanks to + GitHub user MoixaStrikes. + - Added Chinese holidays for 2024; thanks to Cheng Li. + - Updated list of known ECB dates; thanks to GitHub user PaulXiCao. + - Added Thailandese and Taiwanese holidays up to 2024; thanks to + Fredrik Gerdin Börjesson. + - Added one-time holiday to South African calendar; thanks to Francois + Botha. + + MODELS + - Added support for angled contour shift integrals to Heston model; + thanks to Klaus Spanderen. + + INSTRUMENTS + - Allow different calendars and frequencies for different legs in + `MakeOIS` and `OISRateHelper`; thanks to Eugene Toder. + - Enabled negative payment lag in swap legs; thanks to GitHub user + Stoozy. + + RANDOM NUMBERS + - Added Burley 2020 scrambled Sobol sequence generator; thanks to + Peter Caspers. + + TESTS + - Use automated registration of unit tests; thanks to Siddharth + Mehrotra. + - Added a few fuzzing tests; thanks to Nathaniel Brough. + - Improved test coverage for a few classes; thanks to GitHub user + PaulXiCao. + + DEPRECATED FEATURES + - **Removed** features deprecated in version 1.28: + - The overload of `CallableBond::impliedVolatility` taking an NPV as target. + - The constructor of `AmortizingFixedRateBond` taking a sinking frequency. + - The constructor of `AmortizingFixedRateBond` taking a vector of + `InterestRate` instances. + - The constructor of `FixedRateBond` taking start date, maturity + date etc. instead of a schedule. + - The constructor of `FixedRateBond` taking a vector of + `InterestRate` instances. + - The constructor of `FloatingRateBond` taking start date, maturity + date etc. instead of a schedule. + - The constructor of `CPICapFloor` taking a handle to an + interest-rate index. + - The `CPICapFloor::inflationIndex` method. + - The `infIndex` data member of the `CPICapFloor::arguments` class. + - A redundant constructor of `SabrSmileSection`. + - The empty headers + `ql/experimental/amortizingbonds/amortizingcmsratebond.hpp`, + `ql/experimental/amortizingbonds/amortizingfixedratebond.hpp` and + `ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp`. + - Deprecated the constructor of `Currency` and `Currency::Data` taking + a format string, and the `Currency::format` method. + + Thanks go also to Yi Jiang, Hoang Giap Vu and Jonathan Sweemer for + smaller fixes and improvements. + + Release 1.32 - October 20th, 2023 PORTABILITY - **Possibly breaking change:** the protected `evaluationDate_` data diff --git a/News.md b/News.md index 61cb90b1ee0..d61be99c425 100644 --- a/News.md +++ b/News.md @@ -1,178 +1,113 @@ -Changes for QuantLib 1.32: +Changes for QuantLib 1.33: ========================== -QuantLib 1.32 includes 34 pull requests from several contributors. +QuantLib 1.33 includes 38 pull requests from several contributors. Some of the most notable changes are included below. A detailed list of changes is available in ChangeLog.txt and at -. +. Portability ----------- -- **Possibly breaking change:** the protected `evaluationDate_` data - member of the `SwaptionVolatilityDiscrete` class was renamed to - `cachedReferenceDate_`. - -- **Future end of support:** we're targeting the future release 1.35 - as the last to support Visual C++ 2015, g++ up to version 6.x, and - clang up to version 4; support for those compilers will be dropped - in release 1.36, about one year from now. From that point onwards, - this will allows us to enable the use of C++17 in the code base. +- **Future end of support:** as announced in release 1.32, we're + targeting the future release 1.35 as the last to support Visual C++ + 2015, g++ up to version 6.x, and clang up to version 4; support for + those compilers will be dropped in release 1.36, about nine months + from now. From that point onwards, this will allows us to enable + the use of C++17 in the code base. - **Future end of support:** at the same time as the above, we'll also remove the configure switch that allows to use `boost::tuple`, `boost::function` and `boost::bind` instead of their `std` - counterparts; starting from this release, the `std` classes are - already the default. - -- Reorganized the CMake presets; thanks to the XAD team - (@auto-differentiation-dev). - - -Cash flows ----------- + counterparts; the `std` classes are already the default since + release 1.32. -- All cash flows are now lazy; thanks to Peter Caspers (@pcaspers). +- Added CMake presets for Apple; thanks to Christian Köhnenkamp + (@kohnech). -Instruments ------------ +Dates and calendars +------------------- -- Overnight-indexed swaps can now have different schedules and - nominals on the two legs; thanks to Tom Anderson - (@tomwhoiscontrary). +- Added New Year's Eve as a holiday to Chilean calendar; thanks to + GitHub user @MoixaStrikes. -- Margrabe options, compound options and chooser options were moved - from experimental to core (@lballabio). +- Added Chinese holidays for 2024; thanks to Cheng Li (@wegamekinglc). -- Introduced common base class `FixedVsFloatingSwap` for vanilla swap - and overnight-indexed swaps; this will be used in the future to help - a few existing swap engines support OIS (@lballabio). +- Updated list of known ECB dates; thanks to GitHub user @PaulXiCao. -- Added optional `redemptions` argument to amortizing bond - constructors. This allows them to be used for pools of loans where a - certain proportion of the underlying loans are subject to defaults - and losses. Thanks to Gyan Sinha (@gyansinha). +- Added Thailandese and Taiwanese holidays up to 2024; thanks to + Fredrik Gerdin Börjesson (@gbfredrik). -- It is now possible to manually prune the notification tree for swaps - and bonds if one knows that the cashflows won't change pricer; - thanks to Peter Caspers (@pcaspers). +- Added one-time holiday to South African calendar; thanks to Francois + Botha (@igitur). Models ------ -- Fixed the algorithm to add instruments to the calibration set of the - Markov model; thanks to Peter Caspers (@pcaspers) for the fix and - Giuseppe Trapani (@lePidduN7) for the heads-up. +- Added support for angled contour shift integrals to Heston model; + thanks to Klaus Spanderen (@klausspanderen). -Term structures ---------------- - -- Time-to-date conversion in some swaption volatility classes could - return the wrong date before the first exercise date; this is now - fixed, thanks to Peter Caspers (@pcaspers). +Instruments +----------- -- It's now possible to specify the maximum number of iteration for the - solver inside a bootstrapped term structure; thanks to Jonathan - Sweemer (@sweemer) for the change and Daniel Ángeles Ortiz (@Danie8) - for the heads-up. +- Allow different calendars and frequencies for different legs in + `MakeOIS` and `OISRateHelper`; thanks to Eugene Toder (@eltoder). -- Reduced the number of notifications for bootstrap helpers; thanks to - Peter Caspers (@pcaspers). +- Enabled negative payment lag in swap legs; thanks to GitHub user + @Stoozy. Random numbers -------------- -- Added the xoshiro265** random-number generator; thanks to Ralf - Konrad (@ralfkonrad). It is faster than the Mersenne Twister and - might be used as default in the future. - +- Added Burley 2020 scrambled Sobol sequence generator; thanks to + Peter Caspers (@pcaspers). -Examples --------- -- The code of the examples has been modernized a bit; thanks to - Jonathan Sweemer (@sweemer). +Tests +----- +- Use automated registration of unit tests; thanks to Siddharth + Mehrotra (@Sidsky). -Patterns --------- +- Added a few fuzzing tests; thanks to Nathaniel Brough (@silvergasp). -- Avoided a possible crash when using observables in a multi-threaded - setting; thanks to Peter Caspers (@pcaspers). +- Improved test coverage for a few classes; thanks to GitHub user + @PaulXiCao. Deprecated features ------------------- -- **Removed** features deprecated in version 1.27: - - The `QL_NULL_INTEGER`, `QL_NULL_REAL`, `QL_NOEXCEPT`, - `QL_CONSTEXPR` and `QL_USE_STD_UNIQUE_PTR` macros. - - The `MultiCurveSensitivities` class. - - The `constant`, `identity`, `square`, `cube`, `fourth_power`, - `add`, `subtract`, `subtract_from`, `multiply_by`, `divide`, - `divide_by`, `less_than`, `greater_than`, `greater_or_equal_to`, - `not_zero`, `not_null`, `everywhere`, `nowhere`, `equal_within`, - `clipped_function`, `clip`, `composed_function`, `compose`, - `binary_compose3_function` and `compose3` functors. - - The `PdeShortRate`, `ShoutCondition`, `FDShoutCondition`, - `FDStepConditionEngine` and `FDEngineAdapter` classes from the old - finite-differences framework. - - The `dsd::inner_product` function. - - The `FDDividendEngineBase`, `FDDividendEngineMerton73`, - `FDDividendEngineShiftScale` and `FDDividendEngine` pricing - engines. - - The empty headers `ql/auto_ptr.hpp`, `ql/math/initializers.hpp`, - `ql/methods/finitedifferences/americancondition.hpp`, - `ql/methods/finitedifferences/onefactoroperator.hpp`, - `ql/pricingengines/vanilla/fddividendshoutengine.hpp`, - `ql/pricingengines/vanilla/fdshoutengine.hpp` and - `ql/utilities/disposable.hpp`. - -- Deprecated the overload of the `withReplication` method in the - `DigitalIborLeg`, `DigitalCmsLeg` and `DigitalCmsSpreadLeg` classes - that takes no arguments; use the other overload instead. - -- Deprecated the `StandardFiniteDifferenceModel`, - `StandardSystemFiniteDifferenceModel` and `StandardStepCondition` - typedefs; define your own typedefs if needed. - -- Deprecated the `FDVanillaEngine`, `FDMultiPeriodEngine`, - `StepConditionSet`, `ParallelEvolverTraits`, `ParallelEvolver` and - `SampledCurve`classes and the `BSMTermOperator` and - `SampledCurveSet` typedefs; use the new finite-differences framework - instead. - -- Deprecated the `QL_NULL_FUNCTION` macro; to check if a function is - empty, use it in a bool context instead. - -- Deprecated the now empty headers - `ql/experimental/exoticoptions/margrabeoption.hpp`, - `ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp`, - `ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp`, - `ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp`, - `ql/experimental/exoticoptions/simplechooseroption.hpp`, - `ql/experimental/exoticoptions/compoundoption.hpp`, - `ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp`, - `ql/experimental/exoticoptions/analyticsimplechooserengine.hpp`, - `ql/experimental/exoticoptions/complexchooseroption.hpp`, - `ql/experimental/termstructures/multicurvesensitivities.hpp`, - `ql/methods/finitedifferences/shoutcondition.hpp`, - `ql/methods/finitedifferences/pdeshortrate.hpp`, - `ql/pricingengines/vanilla/fddividendengine.hpp`, - `ql/pricingengines/vanilla/fdstepconditionengine.hpp`, - `ql/pricingengines/vanilla/fdconditions.hpp` and - `ql/models/marketmodels/duffsdeviceinnerproduct.hpp`. - - -**Thanks go also** to Jonathan Sweemer (@sweemer), Ralf Konrad -(@ralfkonrad), Klaus Spanderen (@klausspanderen), Peter Caspers -(@pcaspers), Tom Anderson (@tomwhoiscontrary), Fredrik Gerdin -Börjesson (@gbfredrik), Guillaume Horel (@thrasibule) and the XAD team -(@auto-differentiation-dev) for a number of smaller fixes and -improvements. +- **Removed** features deprecated in version 1.28: + - The overload of `CallableBond::impliedVolatility` taking an NPV as target. + - The constructor of `AmortizingFixedRateBond` taking a sinking frequency. + - The constructor of `AmortizingFixedRateBond` taking a vector of + `InterestRate` instances. + - The constructor of `FixedRateBond` taking start date, maturity + date etc. instead of a schedule. + - The constructor of `FixedRateBond` taking a vector of + `InterestRate` instances. + - The constructor of `FloatingRateBond` taking start date, maturity + date etc. instead of a schedule. + - The constructor of `CPICapFloor` taking a handle to an + interest-rate index. + - The `CPICapFloor::inflationIndex` method. + - The `infIndex` data member of the `CPICapFloor::arguments` class. + - A redundant constructor of `SabrSmileSection`. + - The empty headers + `ql/experimental/amortizingbonds/amortizingcmsratebond.hpp`, + `ql/experimental/amortizingbonds/amortizingfixedratebond.hpp` and + `ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp`. + +- Deprecated the constructor of `Currency` and `Currency::Data` taking + a format string, and the `Currency::format` method. + + +**Thanks go also** to Yi Jiang (@yjian012), Hoang Giap Vu (@hgv79116) +and Jonathan Sweemer (@sweemer) for smaller fixes and improvements.