pax_global_header 0000666 0000000 0000000 00000000064 14553046144 0014520 g ustar 00root root 0000000 0000000 52 comment=9b052b1fe3a1455aa56cc89d34d70e4732eb1191
QuantLib-1.33/ 0000775 0000000 0000000 00000000000 14553046144 0013165 5 ustar 00root root 0000000 0000000 QuantLib-1.33/.appveyor.yml 0000664 0000000 0000000 00000001306 14553046144 0015633 0 ustar 00root root 0000000 0000000 image:
- Visual Studio 2015
- Visual Studio 2022
platform: x64
configuration: Release
version: ci.{build}
build:
parallel: false
project: QuantLib.sln
verbosity: normal
for:
-
matrix:
only:
- image: Visual Studio 2015
before_build:
- COPY .appveyor\VS2015.props .\Build.props
test_script:
- .\test-suite\bin\QuantLib-test-suite-x64-mt.exe --log_level=message --build_info=yes -- --faster
-
matrix:
only:
- image: Visual Studio 2022
before_build:
- COPY .appveyor\VS2022.props .\Build.props
- COPY .appveyor\Unity.props .\Directory.Build.props
test_script:
- .\test-suite\bin\QuantLib-test-suite-x64-mt.exe --log_level=message --build_info=yes
QuantLib-1.33/.appveyor/ 0000775 0000000 0000000 00000000000 14553046144 0015110 5 ustar 00root root 0000000 0000000 QuantLib-1.33/.appveyor/Unity.props 0000664 0000000 0000000 00000000255 14553046144 0017307 0 ustar 00root root 0000000 0000000
true
QuantLib-1.33/.appveyor/VS2015.props 0000664 0000000 0000000 00000001154 14553046144 0017036 0 ustar 00root root 0000000 0000000
C:\Libraries\boost_1_69_0;%(AdditionalIncludeDirectories)
C:\Libraries\boost_1_69_0\lib64-msvc-14.0;%(AdditionalLibraryDirectories)
QuantLib-1.33/.appveyor/VS2019.props 0000664 0000000 0000000 00000001356 14553046144 0017046 0 ustar 00root root 0000000 0000000
C:\Libraries\boost_1_73_0;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
C:\Libraries\boost_1_73_0\lib64-msvc-14.2;%(AdditionalLibraryDirectories)
QuantLib-1.33/.appveyor/VS2022.props 0000664 0000000 0000000 00000001356 14553046144 0017040 0 ustar 00root root 0000000 0000000
C:\Libraries\boost_1_83_0;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
C:\Libraries\boost_1_83_0\lib64-msvc-14.3;%(AdditionalLibraryDirectories)
QuantLib-1.33/.clang-format 0000664 0000000 0000000 00000002144 14553046144 0015541 0 ustar 00root root 0000000 0000000 ---
Language: Cpp
Standard: c++14
# The following is close to the style we've been using all these years
# without formalizing it. Formatting won't be enforced, but this file
# can help if you want to use the general feel of the library.
# General appearance:
BasedOnStyle: LLVM
IndentWidth: 4
ColumnLimit: 100
NamespaceIndentation: All
MaxEmptyLinesToKeep: 2
FixNamespaceComments: false
# Function declarations:
BinPackParameters: false
AllowShortFunctionsOnASingleLine: Inline
AlwaysBreakTemplateDeclarations: true
# T& x, not T &x:
DerivePointerAlignment: false
PointerAlignment: Left
# QuantLib headers first, then Boost, then std
SortIncludes: true
IncludeBlocks: Merge
IncludeCategories:
- Regex: '^"'
Priority: 1
- Regex: '^
-*,
bugprone-*,
-bugprone-assignment-in-if-condition,
-bugprone-branch-clone,
-bugprone-easily-swappable-parameters,
-bugprone-empty-catch,
-bugprone-implicit-widening-of-multiplication-result,
-bugprone-macro-parentheses,
-bugprone-narrowing-conversions,
-bugprone-non-zero-enum-to-bool-conversion,
-bugprone-suspicious-include,
clang-analyzer-*,
-clang-analyzer-core.UndefinedBinaryOperatorResult,
-clang-analyzer-core.uninitialized.Assign,
-clang-analyzer-optin.cplusplus.UninitializedObject,
-clang-analyzer-optin.performance.Padding,
-clang-analyzer-security.FloatLoopCounter,
cppcoreguidelines-*,
-cppcoreguidelines-avoid-c-arrays,
-cppcoreguidelines-avoid-const-or-ref-data-members,
-cppcoreguidelines-avoid-do-while,
-cppcoreguidelines-avoid-goto,
-cppcoreguidelines-avoid-magic-numbers,
-cppcoreguidelines-avoid-non-const-global-variables,
-cppcoreguidelines-init-variables,
-cppcoreguidelines-macro-usage,
-cppcoreguidelines-narrowing-conversions,
-cppcoreguidelines-non-private-member-variables-in-classes,
-cppcoreguidelines-owning-memory,
-cppcoreguidelines-prefer-member-initializer,
-cppcoreguidelines-pro-bounds-array-to-pointer-decay,
-cppcoreguidelines-pro-bounds-constant-array-index,
-cppcoreguidelines-pro-bounds-pointer-arithmetic,
-cppcoreguidelines-pro-type-const-cast,
-cppcoreguidelines-pro-type-member-init,
-cppcoreguidelines-pro-type-vararg,
misc-*,
-misc-confusable-identifiers,
-misc-const-correctness,
-misc-include-cleaner,
-misc-no-recursion,
-misc-non-private-member-variables-in-classes,
-misc-use-anonymous-namespace,
-misc-unused-parameters,
modernize-*,
-modernize-avoid-c-arrays,
-modernize-macro-to-enum,
-modernize-return-braced-init-list,
-modernize-use-trailing-return-type,
-modernize-use-using,
performance-*,
-performance-avoid-endl,
-performance-enum-size,
readability-*,
-readability-braces-around-statements,
-readability-const-return-type,
-readability-convert-member-functions-to-static,
-readability-else-after-return,
-readability-function-cognitive-complexity,
-readability-identifier-length,
-readability-inconsistent-declaration-parameter-name,
-readability-isolate-declaration,
-readability-magic-numbers,
-readability-make-member-function-const,
-readability-named-parameter,
-readability-redundant-declaration,
-readability-simplify-boolean-expr,
-readability-suspicious-call-argument,
-readability-use-anyofallof,
HeaderFilterRegex: '.*'
FormatStyle: none
CheckOptions:
- key: cppcoreguidelines-special-member-functions.AllowSoleDefaultDtor
value: 1
- key: modernize-make-shared.MakeSmartPtrFunction
value: ext::make_shared
- key: modernize-make-shared.MakeSmartPtrFunctionHeader
value:
- key: modernize-use-default-member-init.UseAssignment
value: 1
...
QuantLib-1.33/.codecov.yml 0000664 0000000 0000000 00000001541 14553046144 0015411 0 ustar 00root root 0000000 0000000 coverage:
precision: 1
# We put red at 50 to have a chance at some non-red build.
# I would be happy with 80 right now, so that's where the target is.
range: 50...80
ignore:
- "test-suite"
- "Examples"
# The process to get a correct report is a bit fiddly.
# This worked in the past, and is added here for reference:
#
# - clone the repo and mount it in a recent quantlib-devenv image;
# - run the following:
#
# apt update && apt install -y lcov curl git
# mkdir build
# cd build
# CXXFLAGS='-O1 -fprofile-arcs -ftest-coverage' LDFLAGS='-lgcov' cmake ..
# CXXFLAGS='-O1 -fprofile-arcs -ftest-coverage' LDFLAGS='-lgcov' make -j 4
# ./test-suite/quantlib-test-suite --log_level=message
# bash <(curl -s https://codecov.io/bash) -t @cc_token
#
# where the file `cc_token` contains the Codecov upload token.
QuantLib-1.33/.github/ 0000775 0000000 0000000 00000000000 14553046144 0014525 5 ustar 00root root 0000000 0000000 QuantLib-1.33/.github/boring-cyborg.yml 0000664 0000000 0000000 00000001145 14553046144 0020014 0 ustar 00root root 0000000 0000000
# Comment to be posted to welcome users when they open their first PR
firstPRWelcomeComment: >
Thanks for opening this pull request! It might take a while before we look at it, so don't worry if there seems to be no feedback. We'll get to it.
# Comment to be posted to congratulate user on their first merged PR
firstPRMergeComment: >
Congratulations on your first merged pull request!
# Comment to be posted to on first time issues
firstIssueWelcomeComment: >
Thanks for posting! It might take a while before we look at your issue, so don't worry if there seems to be no feedback. We'll get to it.
QuantLib-1.33/.github/dependabot.yml 0000664 0000000 0000000 00000000261 14553046144 0017354 0 ustar 00root root 0000000 0000000 version: 2
updates:
- package-ecosystem: "github-actions"
directory: "/"
schedule:
# Check for updates to GitHub Actions every weekday
interval: "weekly"
QuantLib-1.33/.github/workflows/ 0000775 0000000 0000000 00000000000 14553046144 0016562 5 ustar 00root root 0000000 0000000 QuantLib-1.33/.github/workflows/cmake.yml 0000664 0000000 0000000 00000014741 14553046144 0020374 0 ustar 00root root 0000000 0000000 name: CMake build
on: [push, pull_request]
jobs:
cmake-linux:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-build-${{ github.ref }}
restore-keys: |
cmake-linux-ci-build-${{ github.ref }}
cmake-linux-ci-build-refs/heads/master
cmake-linux-ci-build-
- name: Compile
run: |
mkdir build
cd build
cmake .. -GNinja -DBOOST_ROOT=/usr -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -L
cmake --build . --verbose
sudo cmake --install .
sudo ldconfig
- name: Test
run: |
quantlib-test-suite --log_level=message
cmake-linux-with-options:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-all-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-opts-${{ github.ref }}
restore-keys: |
cmake-linux-ci-opts-${{ github.ref }}
cmake-linux-ci-opts-refs/heads/master
cmake-linux-ci-opts-
- name: Compile
run: |
cmake --preset linux-ci-build-with-nonstandard-options -L
cd build/linux-ci-build-with-nonstandard-options
cmake --build . --verbose
sudo cmake --build . --target install
- name: Test
run: |
quantlib-test-suite --log_level=message
cmake-win:
runs-on: windows-2022
steps:
- uses: actions/checkout@v3
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-build-${{ github.ref }}
restore-keys: |
cmake-windows-ci-build-${{ github.ref }}
cmake-windows-ci-build-refs/heads/master
cmake-windows-ci-build-
variant: sccache
- name: Setup
run: |
$Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
choco install -y ninja
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" amd64 -vcvars_ver=14.3 || exit 1
cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-dynamic-runtime:
runs-on: windows-2022
steps:
- uses: actions/checkout@v3
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-dyn-build-${{ github.ref }}
restore-keys: |
cmake-windows-ci-dyn-build-${{ github.ref }}
cmake-windows-ci-dyn-build-refs/heads/master
cmake-windows-ci-dyn-build-
variant: sccache
- name: Setup
run: |
$Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
choco install -y ninja
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" amd64 -vcvars_ver=14.3 || exit 1
cmake .. -GNinja -DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-with-options:
runs-on: windows-2022
steps:
- uses: actions/checkout@v3
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-opts-${{ github.ref }}
restore-keys: |
cmake-windows-ci-opts-${{ github.ref }}
cmake-windows-ci-opts-refs/heads/master
cmake-windows-ci-opts-
variant: sccache
- name: Setup
run: |
$Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
choco install -y ninja
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
call "C:\Program Files\Microsoft Visual Studio\2022\Enterprise\Vc\Auxiliary\Build\vcvarsall.bat" amd64 -vcvars_ver=14.3 || exit 1
cmake --preset windows-ci-build-with-nonstandard-options -L
cd build/windows-ci-build-with-nonstandard-options
cmake --build . --verbose
cmake --build . --target install
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-macos:
runs-on: macos-latest
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
brew install boost ccache ninja
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-macos-ci-${{ github.ref }}
restore-keys: |
cmake-macos-ci-${{ github.ref }}
cmake-macos-ci-refs/heads/master
cmake-macos-ci-
- name: Compile
run: |
mkdir build
cd build
cmake .. -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -GNinja -L
cmake --build . --verbose
cmake --install .
- name: Test
run: |
quantlib-test-suite --log_level=message
QuantLib-1.33/.github/workflows/codeql-analysis.yml 0000664 0000000 0000000 00000002622 14553046144 0022377 0 ustar 00root root 0000000 0000000 # For most projects, this workflow file will not need changing; you simply need
# to commit it to your repository.
#
# You may wish to alter this file to override the set of languages analyzed,
# or to provide custom queries or build logic.
name: "CodeQL"
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
analyze:
name: CodeQL analysis
runs-on: ubuntu-latest
steps:
- name: Checkout repository
uses: actions/checkout@v3
# Initializes the CodeQL tools for scanning.
- name: Initialize CodeQL
uses: github/codeql-action/init@v3
with:
languages: cpp
# Set up build environment
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev
# Autobuild attempts to build any compiled languages (C/C++, C#, or Java).
# If this step fails, then you should remove it and run the build manually (see below)
- name: Autobuild
uses: github/codeql-action/autobuild@v3
# ℹ️ Command-line programs to run using the OS shell.
# 📚 https://git.io/JvXDl
# ✏️ If the Autobuild fails above, remove it and uncomment the following three lines
# and modify them (or add more) to build your code if your project
# uses a compiled language
#- run: |
# make bootstrap
# make release
- name: Perform CodeQL Analysis
uses: github/codeql-action/analyze@v3
QuantLib-1.33/.github/workflows/copyrights.yml 0000664 0000000 0000000 00000001150 14553046144 0021475 0 ustar 00root root 0000000 0000000 name: Update copyright list
on:
push:
branches:
- '**'
jobs:
copyrights:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- name: Check
run: |
./tools/check_copyrights.sh
- uses: peter-evans/create-pull-request@v5
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: update-copyright-list-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update copyright list in license'
title: 'Update copyright list in license'
author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
QuantLib-1.33/.github/workflows/coveralls.yml 0000664 0000000 0000000 00000002474 14553046144 0021306 0 ustar 00root root 0000000 0000000 name: Coverage report
on:
push:
branches:
- master
pull_request:
jobs:
coverage:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
sudo apt update
sudo apt install -y lcov libboost-dev
- name: Compile
run: |
./autogen.sh
./configure --disable-shared CXXFLAGS='-O1 -fprofile-arcs -ftest-coverage' LDFLAGS='-lgcov'
make -j 4
- name: Capture baseline
run: |
mkdir -p coverage tmp
lcov --no-external --capture --initial --directory . --output-file ./tmp/lcov_base.info
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make -C Examples check-examples
- name: Capture coverage
run: |
lcov --no-external --capture --directory . --output-file ./tmp/lcov_run.info
lcov --add-tracefile ./tmp/lcov_base.info --add-tracefile ./tmp/lcov_run.info --output-file ./tmp/lcov_total.info
lcov --remove ./tmp/lcov_total.info "$PWD/Examples/*" "$PWD/test-suite/*" --output-file ./coverage/lcov.info
- name: Upload coverage to Coveralls
uses: coverallsapp/github-action@master
with:
github-token: ${{ secrets.GITHUB_TOKEN }}
path-to-lcov: ./coverage/lcov.info
QuantLib-1.33/.github/workflows/devenv-images.yml 0000664 0000000 0000000 00000003266 14553046144 0022046 0 ustar 00root root 0000000 0000000 name: Build quantlib-devenv Docker images
on:
workflow_dispatch:
inputs:
boostVersion:
description: 'Boost version'
required: true
env:
ROLLING: mantic
jobs:
docker-images:
runs-on: ubuntu-latest
strategy:
matrix:
tag: [lunar, mantic, noble]
steps:
- uses: actions/checkout@v3
- name: Build CI images
working-directory: dockerfiles
run: |
docker build -f ci.Dockerfile \
--build-arg tag=${{ matrix.tag }} \
--build-arg boost_version=${{ github.event.inputs.boostVersion }} \
--build-arg boost_dir=boost_$(echo "${{ github.event.inputs.boostVersion }}" | sed "s/\./_/g") \
-t ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }} .
docker tag ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }} ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}-${{ github.event.inputs.boostVersion }}
if test "${{ matrix.tag }}" = "$ROLLING" ; then
docker tag ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }} ghcr.io/lballabio/quantlib-devenv:rolling
fi
- name: Login to GitHub Container Registry
uses: docker/login-action@v3
with:
registry: ghcr.io
username: ${{ github.repository_owner }}
password: ${{ secrets.GHCR_PAT }}
- name: Push Docker images
run: |
docker push ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}-${{ github.event.inputs.boostVersion }}
docker push ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
if test "${{ matrix.tag }}" = "$ROLLING" ; then
docker push ghcr.io/lballabio/quantlib-devenv:rolling
fi
QuantLib-1.33/.github/workflows/doxygen.yml 0000664 0000000 0000000 00000001147 14553046144 0020765 0 ustar 00root root 0000000 0000000 name: Check doc generation
on: [push, pull_request]
jobs:
docs:
runs-on: macos-latest
steps:
- uses: actions/checkout@v3
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew update
brew install automake boost doxygen graphviz
./autogen.sh
./configure
- name: Doxygen version
run: |
doxygen --version
- name: Check
run: |
make docs
header-docs:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- name: Check
run: |
./tools/check_all_header_docs.sh
QuantLib-1.33/.github/workflows/filelists.yml 0000664 0000000 0000000 00000000616 14553046144 0021306 0 ustar 00root root 0000000 0000000 name: Check CMake file list and VC++ projects
on: [push, pull_request]
jobs:
filelists:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev
- name: Configure
run: |
./autogen.sh
./configure
- name: Check
run: |
./tools/check_filelists.sh
QuantLib-1.33/.github/workflows/generated-headers.yml 0000664 0000000 0000000 00000001506 14553046144 0022656 0 ustar 00root root 0000000 0000000 name: Update generated headers
on:
push:
branches:
- '**'
jobs:
filelists:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev
- name: Configure
run: |
./autogen.sh
./configure
- name: Update headers
run: |
find ql -name *.am | xargs touch
make dist
rm QuantLib-*.tar.gz
- uses: peter-evans/create-pull-request@v5
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: update-generated-headers-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update generated headers'
title: 'Update generated headers'
author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
QuantLib-1.33/.github/workflows/headers.yml 0000664 0000000 0000000 00000001132 14553046144 0020715 0 ustar 00root root 0000000 0000000 name: Compile single headers
on: [push, pull_request]
jobs:
headers:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev ccache
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: single-headers-${{ github.ref }}
restore-keys: |
single-headers-${{ github.ref }}
single-headers-refs/heads/master
single-headers-
- name: Check
env:
CXX: ccache g++
run: |
./tools/check_all_headers.sh
QuantLib-1.33/.github/workflows/linux-full-tests.yml 0000664 0000000 0000000 00000015523 14553046144 0022552 0 ustar 00root root 0000000 0000000 name: Linux build with full test matrix
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
build:
runs-on: ubuntu-latest
strategy:
fail-fast: false
matrix:
include:
- name: "gcc 5.4 (Boost 1.66)"
shortname: gcc5
tag: xenial
cc: gcc
cxx: g++
- name: "gcc 6.3 (Boost 1.66)"
shortname: gcc6
tag: zesty
cc: gcc
cxx: g++
- name: "gcc 7.4 (Boost 1.72)"
shortname: gcc7
tag: bionic
cc: gcc
cxx: g++
- name: "gcc 8.3 (Boost 1.72)"
shortname: gcc8
tag: cosmic
cc: gcc
cxx: g++
- name: "gcc 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 10.3 (Boost 1.79)"
shortname: gcc10
tag: hirsute
cc: gcc
cxx: g++
- name: "gcc 11.x (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 12.x"
shortname: gcc12
tag: lunar
cc: gcc
cxx: g++
- name: "gcc 13.x"
shortname: gcc13
tag: mantic
cc: gcc
cxx: g++
- name: "Clang 6 (Boost 1.72)"
shortname: clang6
tag: bionic
cc: clang
cxx: clang++
- name: "Clang 7 (Boost 1.72)"
shortname: clang7
tag: cosmic
cc: clang
cxx: clang++
- name: "Clang 8 (Boost 1.72)"
shortname: clang8
tag: disco
cc: clang
cxx: clang++
- name: "Clang 9 (Boost 1.74)"
shortname: clang9
tag: eoan
cc: clang
cxx: clang++
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 11 (Boost 1.78)"
shortname: clang11
tag: groovy
cc: clang
cxx: clang++
- name: "Clang 12 (Boost 1.79)"
shortname: clang12
tag: hirsute
cc: clang
cxx: clang++
- name: "Clang 13 (Boost 1.79)"
shortname: clang13
tag: impish
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 15"
shortname: clang15
tag: lunar
cc: clang
cxx: clang++
- name: "Clang 16"
shortname: clang16
tag: mantic
cc: clang
cxx: clang++
- name: "Clang 17"
shortname: clang17
tag: noble
cc: clang
cxx: clang++
- name: "C++14 mode"
shortname: c++14
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++14"
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Intraday calculations enabled"
shortname: intraday
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-intraday
- name: "Throwing in cycles enabled"
shortname: cycles
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-throwing-in-cycles --disable-faster-lazy-objects
- name: "Indexed coupons enabled"
shortname: indexed
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-indexed-coupons
- name: "Standard Library classes enabled/disabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-any --enable-std-optional
- name: "Thread-safe observer enabled"
shortname: threadsafe
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-thread-safe-observer-pattern
- name: "Sessions enabled"
shortname: sessions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-sessions
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
- name: "Parallel unit-test runner"
shortname: paralleltests
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-parallel-unit-test-runner
- name: "Null as function template"
shortname: nullfunctions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-null-as-functions
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v3
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: linux-ci-build-${{ matrix.shortname }}-${{ github.ref }}
restore-keys: |
linux-ci-build-${{ matrix.shortname }}-${{ github.ref }}
linux-ci-build-${{ matrix.shortname }}-refs/heads/master
linux-ci-build-${{ matrix.shortname }}-
- name: Compiler version
run: |
${{ matrix.cc }} --version
- name: Build
run: |
./autogen.sh
./configure --disable-static ${{ matrix.configureflags }} CC="ccache ${{ matrix.cc }}" CXX="ccache ${{ matrix.cxx }}" CXXFLAGS="-O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }}"
make -j 4
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make check-examples
- name: Check global header
run: |
echo "#include " > test1.cpp && echo "int main() { return 0; }" >> test1.cpp
echo "#include " > test2.cpp
make install
${{ matrix.cxx }} -O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }} `quantlib-config --cflags` test1.cpp test2.cpp `quantlib-config --libs`
QuantLib-1.33/.github/workflows/linux-nondefault.yml 0000664 0000000 0000000 00000012715 14553046144 0022607 0 ustar 00root root 0000000 0000000 name: Linux build with non-default configuration
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
build:
runs-on: ubuntu-latest
strategy:
fail-fast: false
matrix:
include:
- name: "gcc 5.4 (Boost 1.66)"
shortname: gcc5
tag: xenial
cc: gcc
cxx: g++
- name: "gcc 6.3 (Boost 1.66)"
shortname: gcc6
tag: zesty
cc: gcc
cxx: g++
- name: "gcc 7.4 (Boost 1.72)"
shortname: gcc7
tag: bionic
cc: gcc
cxx: g++
- name: "gcc 8.3 (Boost 1.72)"
shortname: gcc8
tag: cosmic
cc: gcc
cxx: g++
- name: "gcc 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 10.3 (Boost 1.79)"
shortname: gcc10
tag: hirsute
cc: gcc
cxx: g++
- name: "gcc 11.x (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 12.x"
shortname: gcc12
tag: lunar
cc: gcc
cxx: g++
- name: "gcc 13.x"
shortname: gcc13
tag: mantic
cc: gcc
cxx: g++
- name: "Clang 6 (Boost 1.72)"
shortname: clang6
tag: bionic
cc: clang
cxx: clang++
- name: "Clang 7 (Boost 1.72)"
shortname: clang7
tag: cosmic
cc: clang
cxx: clang++
- name: "Clang 8 (Boost 1.72)"
shortname: clang8
tag: disco
cc: clang
cxx: clang++
- name: "Clang 9 (Boost 1.74)"
shortname: clang9
tag: eoan
cc: clang
cxx: clang++
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 11 (Boost 1.78)"
shortname: clang11
tag: groovy
cc: clang
cxx: clang++
- name: "Clang 12 (Boost 1.79)"
shortname: clang12
tag: hirsute
cc: clang
cxx: clang++
- name: "Clang 13 (Boost 1.79)"
shortname: clang13
tag: impish
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 15"
shortname: clang15
tag: lunar
cc: clang
cxx: clang++
- name: "Clang 16"
shortname: clang16
tag: mantic
cc: clang
cxx: clang++
- name: "Clang 17"
shortname: clang17
tag: noble
cc: clang
cxx: clang++
- name: "C++14 mode"
shortname: c++14
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++14"
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-Wno-array-bounds"
configureflags: --enable-unity-build
- name: "Standard Library classes enabled/disabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17 -Wno-array-bounds"
configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-any --enable-std-optional
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v3
- name: Compiler version
run: |
${{ matrix.cc }} --version
- name: Build
run: |
./autogen.sh
./configure --disable-static --enable-error-lines --enable-error-functions --enable-tracing --enable-indexed-coupons --enable-extra-safety-checks --enable-sessions --enable-thread-safe-observer-pattern --enable-intraday --disable-faster-lazy-objects --enable-throwing-in-cycles --enable-null-as-functions ${{ matrix.configureflags }} CC="${{ matrix.cc }}" CXX="${{ matrix.cxx }}" CXXFLAGS="-O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }}"
make -j 4
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make check-examples
- name: Check global header
run: |
echo "#include " > test1.cpp && echo "int main() { return 0; }" >> test1.cpp
echo "#include " > test2.cpp
make install
${{ matrix.cxx }} -O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }} `quantlib-config --cflags` test1.cpp test2.cpp `quantlib-config --libs`
QuantLib-1.33/.github/workflows/linux.yml 0000664 0000000 0000000 00000016253 14553046144 0020453 0 ustar 00root root 0000000 0000000 name: Linux build
on: [push, pull_request]
jobs:
build:
runs-on: ubuntu-latest
strategy:
fail-fast: false
matrix:
include:
- name: "gcc 5.4 (Boost 1.66)"
shortname: gcc5
tag: xenial
cc: gcc
cxx: g++
- name: "gcc 6.3 (Boost 1.66)"
shortname: gcc6
tag: zesty
cc: gcc
cxx: g++
- name: "gcc 7.4 (Boost 1.72)"
shortname: gcc7
tag: bionic
cc: gcc
cxx: g++
- name: "gcc 8.3 (Boost 1.72)"
shortname: gcc8
tag: cosmic
cc: gcc
cxx: g++
- name: "gcc 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 10.3 (Boost 1.79)"
shortname: gcc10
tag: hirsute
cc: gcc
cxx: g++
- name: "gcc 11.x (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 12.x"
shortname: gcc12
tag: lunar
cc: gcc
cxx: g++
tests: true
- name: "gcc 13.x"
shortname: gcc13
tag: mantic
cc: gcc
cxx: g++
tests: true
- name: "Clang 6 (Boost 1.72)"
shortname: clang6
tag: bionic
cc: clang
cxx: clang++
- name: "Clang 7 (Boost 1.72)"
shortname: clang7
tag: cosmic
cc: clang
cxx: clang++
- name: "Clang 8 (Boost 1.72)"
shortname: clang8
tag: disco
cc: clang
cxx: clang++
- name: "Clang 9 (Boost 1.74)"
shortname: clang9
tag: eoan
cc: clang
cxx: clang++
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 11 (Boost 1.78)"
shortname: clang11
tag: groovy
cc: clang
cxx: clang++
- name: "Clang 12 (Boost 1.79)"
shortname: clang12
tag: hirsute
cc: clang
cxx: clang++
- name: "Clang 13 (Boost 1.79)"
shortname: clang13
tag: impish
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 15"
shortname: clang15
tag: lunar
cc: clang
cxx: clang++
- name: "Clang 16"
shortname: clang16
tag: mantic
cc: clang
cxx: clang++
tests: true
- name: "Clang 17"
shortname: clang17
tag: noble
cc: clang
cxx: clang++
tests: true
- name: "C++14 mode"
shortname: c++14
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++14"
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Intraday calculations enabled"
shortname: intraday
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-intraday
tests: true
- name: "Throwing in cycles enabled"
shortname: cycles
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-throwing-in-cycles --disable-faster-lazy-objects
tests: true
- name: "Indexed coupons enabled"
shortname: indexed
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-indexed-coupons
tests: true
- name: "Standard Library classes enabled/disabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-any --enable-std-optional
tests: true
- name: "Thread-safe observer enabled"
shortname: threadsafe
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-thread-safe-observer-pattern
tests: true
- name: "Sessions enabled"
shortname: sessions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-sessions
tests: true
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
tests: true
- name: "Parallel unit-test runner"
shortname: paralleltests
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-parallel-unit-test-runner
tests: true
- name: "Null as function template"
shortname: nullfunctions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-null-as-functions
tests: true
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v3
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: linux-ci-build-${{ matrix.shortname }}-${{ github.ref }}
restore-keys: |
linux-ci-build-${{ matrix.shortname }}-${{ github.ref }}
linux-ci-build-${{ matrix.shortname }}-refs/heads/master
linux-ci-build-${{ matrix.shortname }}-
- name: Compiler version
run: |
${{ matrix.cc }} --version
- name: Build
run: |
./autogen.sh
./configure --disable-static ${{ matrix.configureflags }} CC="ccache ${{ matrix.cc }}" CXX="ccache ${{ matrix.cxx }}" CXXFLAGS="-O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }}"
make -j 4
- name: Run tests
if: ${{ matrix.tests }}
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
if: ${{ matrix.tests }}
run: |
make check-examples
- name: Check global header
if: ${{ matrix.tests }}
run: |
echo "#include " > test1.cpp && echo "int main() { return 0; }" >> test1.cpp
echo "#include " > test2.cpp
make install
${{ matrix.cxx }} -O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }} `quantlib-config --cflags` test1.cpp test2.cpp `quantlib-config --libs`
QuantLib-1.33/.github/workflows/macos-nondefault.yml 0000664 0000000 0000000 00000003630 14553046144 0022546 0 ustar 00root root 0000000 0000000 name: Mac OS build with non-default configuration
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
build:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
include:
- os: [macos-11]
shortname: default-11
- os: [macos-11]
shortname: stdclasses-11
cxxflags: "-std=c++17"
configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-optional --enable-std-any
- os: [macos-12]
shortname: default-12
- os: [macos-12]
shortname: stdclasses-12
cxxflags: "-std=c++17"
configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-optional --enable-std-any
- os: [macos-13]
shortname: default-13
- os: [macos-13]
shortname: stdclasses-13
cxxflags: "-std=c++17"
configureflags: --disable-std-function --disable-std-tuple --enable-std-pointers --enable-std-optional --enable-std-any
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
brew install automake boost
- name: Compiler version
run: |
clang --version
- name: Build
run: |
./autogen.sh
./configure --disable-shared --enable-error-lines --enable-error-functions --enable-tracing --enable-indexed-coupons --enable-extra-safety-checks --enable-sessions --enable-thread-safe-observer-pattern --enable-intraday --disable-faster-lazy-objects --enable-throwing-in-cycles --enable-null-as-functions ${{ matrix.configureflags }} CC="clang" CXX="clang++" CXXFLAGS="-O2 -g0 -Wall -Werror ${{ matrix.cxxflags }}"
make -j 3
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make -C Examples check-examples
QuantLib-1.33/.github/workflows/macos.yml 0000664 0000000 0000000 00000002377 14553046144 0020420 0 ustar 00root root 0000000 0000000 name: Mac OS build
on: [push, pull_request]
jobs:
build:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
include:
- os: [macos-11]
shortname: default-11
- os: [macos-12]
shortname: default-12
- os: [macos-13]
shortname: default-13
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
brew install automake boost ccache
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: macos-ci-build-${{ matrix.shortname }}-${{ github.ref }}
restore-keys: |
macos-ci-build-${{ matrix.shortname }}-${{ github.ref }}
macos-ci-build-${{ matrix.shortname }}-refs/heads/master
macos-ci-build-${{ matrix.shortname }}-
- name: Compiler version
run: |
clang --version
- name: Build
run: |
./autogen.sh
./configure --disable-shared ${{ matrix.configureflags }} CC="ccache clang" CXX="ccache clang++" CXXFLAGS="-O2 -g0 -Wall -Werror ${{ matrix.cxxflags }}"
make -j 3
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make -C Examples check-examples
QuantLib-1.33/.github/workflows/misspell.yml 0000664 0000000 0000000 00000001070 14553046144 0021133 0 ustar 00root root 0000000 0000000 name: Misspell fixer
on:
push:
branches:
- '**'
jobs:
check:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- uses: sobolevn/misspell-fixer-action@master
- uses: peter-evans/create-pull-request@v5
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: misspell-fixes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fixes by misspell-fixer'
title: 'Typos fixed by misspell-fixer'
author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
QuantLib-1.33/.github/workflows/msvc-analysis.yml 0000664 0000000 0000000 00000003057 14553046144 0022103 0 ustar 00root root 0000000 0000000 name: Microsoft C++ Code Analysis
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
env:
# Path to the CMake build directory.
build: '${{ github.workspace }}/build'
jobs:
analyze:
name: Analyze
runs-on: windows-2022
steps:
- name: Checkout repository
uses: actions/checkout@v3
- name: Setup
run: |
$Url = "https://boostorg.jfrog.io/artifactory/main/release/1.84.0/binaries/boost_1_84_0-msvc-14.3-64.exe"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.exe")
Start-Process -Wait -FilePath "$RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=C:\local\boost"
- name: Configure CMake
env:
BOOST_ROOT: C:\local\boost
run: cmake -B ${{ env.build }} -DQL_USE_STD_CLASSES=ON
- name: Run MSVC Code Analysis
uses: microsoft/msvc-code-analysis-action@v0.1.1
# Provide a unique ID to access the sarif output path
id: run-analysis
env:
CAExcludePath: C:\local\boost
with:
cmakeBuildDirectory: ${{ env.build }}
buildConfiguration: Release
ruleset: '${{ github.workspace }}/.msvc-analysis.ruleset'
- name: Upload SARIF to GitHub
uses: github/codeql-action/upload-sarif@v3
with:
sarif_file: ${{ steps.run-analysis.outputs.sarif }}
- name: Upload SARIF as an Artifact
uses: actions/upload-artifact@v4
with:
name: sarif-file
path: ${{ steps.run-analysis.outputs.sarif }}
QuantLib-1.33/.github/workflows/sanitizer.yml 0000664 0000000 0000000 00000002646 14553046144 0021325 0 ustar 00root root 0000000 0000000 name: Linux build with address sanitizer enabled
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
sanitize-address-undefined:
runs-on: ubuntu-latest
container: ghcr.io/lballabio/quantlib-devenv:rolling
steps:
- uses: actions/checkout@v3
- name: Compiler version
run: |
gcc --version
- name: Build
run: |
./autogen.sh
./configure --disable-static CC="gcc" CXX="g++" CXXFLAGS="-O2 -g0 -fsanitize=address,undefined -fno-sanitize-recover=all -fno-omit-frame-pointer -Wall -Wno-unknown-pragmas -Werror"
make -j 4
- name: Run tests
run: |
LSAN_OPTIONS=suppressions=.lsan.txt ./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make check-examples
sanitize-thread:
runs-on: ubuntu-latest
container: ghcr.io/lballabio/quantlib-devenv:rolling
steps:
- uses: actions/checkout@v3
- name: Compiler version
run: |
gcc --version
- name: Build
run: |
./autogen.sh
./configure --disable-static --enable-sessions --enable-thread-safe-observer-pattern CC="gcc" CXX="g++" CXXFLAGS="-O2 -g0 -fsanitize=thread -fno-sanitize-recover=all -Wall -Wno-unknown-pragmas -Werror"
make -j 4
- name: Run tests
run: |
./test-suite/quantlib-test-suite --log_level=message
- name: Run examples
run: |
make check-examples
QuantLib-1.33/.github/workflows/stale.yml 0000664 0000000 0000000 00000002223 14553046144 0020414 0 ustar 00root root 0000000 0000000 name: Close stale issues and PR
on:
schedule:
- cron: '30 1 * * *'
jobs:
staleness-check:
runs-on: ubuntu-latest
steps:
- uses: actions/stale@v9
with:
repo-token: ${{ secrets.GITHUB_TOKEN }}
stale-issue-message: 'This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-issue-message: 'This issue was automatically closed because it has been stalled for two weeks with no further activity.'
stale-pr-message: 'This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-pr-message: 'This PR was automatically closed because it has been stalled for two weeks with no further activity.'
days-before-stale: 60
days-before-close: 14
stale-issue-label: 'stale'
stale-pr-label: 'stale'
exempt-issue-labels: 'help wanted,in progress'
exempt-pr-labels: 'help wanted,in progress'
exempt-all-milestones: true
QuantLib-1.33/.github/workflows/test-times.yml 0000664 0000000 0000000 00000002447 14553046144 0021412 0 ustar 00root root 0000000 0000000 name: Check test times
on: [push, pull_request]
jobs:
check-test-times:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v3
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: linux-ci-test-times-${{ github.ref }}
restore-keys: |
linux-ci-test-times-${{ github.ref }}
linux-ci-test-times-refs/heads/master
linux-ci-test-times-
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev autoconf automake libtool ccache
- name: Build
run: |
./autogen.sh
./configure --disable-static CC="ccache gcc" CXX="ccache g++" CXXFLAGS="-O2 -g0"
make -j 4
- name: Run faster tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,faster.xml:HRF,message -- --faster
- name: Run fast tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,fast.xml:HRF,message -- --fast
- name: Run all tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,all.xml:HRF,message
- name: Save test times
uses: actions/upload-artifact@v4
with:
name: test-reports
path: ./*.xml
- name: Check test times
run: |
python ./tools/check_test_times.py
QuantLib-1.33/.github/workflows/tidy.yml 0000664 0000000 0000000 00000002024 14553046144 0020254 0 ustar 00root root 0000000 0000000 name: Apply clang-tidy fixes
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
check:
runs-on: ubuntu-22.04
steps:
- uses: actions/checkout@v3
- name: Setup
run: |
sudo apt-get update
sudo apt-get install -y clang-tidy-15 libboost-dev
- name: Check
run: |
cmake --preset linux-ci-build-with-clang-tidy
cd build/linux-ci-build-with-clang-tidy
cmake --build . -j1
- uses: peter-evans/create-pull-request@v5
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: clang-tidy-fixes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Automated fixes by clang-tidy'
title: 'Automated fixes by clang-tidy'
author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
body: |
This is an automated PR generated by the [create-pull-request](https://github.com/peter-evans/create-pull-request) GitHub action.
Please review the changes before merging.
QuantLib-1.33/.gitignore 0000664 0000000 0000000 00000003650 14553046144 0015161 0 ustar 00root root 0000000 0000000 # Compilation artifacts
configure
quantlib-config
libtool
aclocal.m4
autom4te.cache
config.log
config.status
config/*
!config/Makefile.am
m4/*.m4
ql/config.hpp
ql/config.hpp.in
ql/stamp-h1
elc-stamp
quantlib.elc
quantlib.pc
QuantLib.spec
CMakeCache.txt
CMakeUserPresets.json
Docs/.time-stamp
Docs/.time-stamp-html
Docs/.time-stamp-online
Docs/.time-stamp-man
Docs/LICENSE.TXT
Docs/reference-*/
Docs/html/
Docs/man/
Examples/*/bin/
Examples/*/build/
Examples/*/*.trs
build/
lib/
test-suite/bin/QuantLib-test-suite-*.manifest
test-suite/build/
test-suite/*.trs
# Build outputs
**/x64/Debug
**/x64/Release
**/Debug
**/Release
**/bin/*.xml
**/bin/*.manifest
# Artifacts created in multiple directories
Makefile
Makefile.in
unity.cpp
unity_*.cpp
testCaseCollection.xml
.deps
.libs
*.la
*.lo
*.o
*.so
.build-stamp
*.exe
*.dll
*.exp
*.lib
*.pdb
*.ilk
*~
*.ncb
*.suo
*.vcproj.*.user
*.vcxproj.user
*.VC.db
*.VC.opendb
*.log
*.sdf
*.opensdf
*.pch
*.idb
*.ipch
CMakeFiles
*.cmake
!cmake/*.cmake
TAGS
.dirstamp
# Outputs
Examples/BasketLosses/BasketLosses
Examples/BermudanSwaption/BermudanSwaption
Examples/Bonds/Bonds
Examples/CallableBonds/CallableBonds
Examples/CDS/CDS
Examples/ConvertibleBonds/ConvertibleBonds
Examples/CVAIRS/CVAIRS
Examples/DiscreteHedging/DiscreteHedging
Examples/EquityOption/EquityOption
Examples/FittedBondCurve/FittedBondCurve
Examples/FRA/FRA
Examples/Gaussian1dModels/Gaussian1dModels
Examples/GlobalOptimizer/GlobalOptimizer
Examples/LatentModel/LatentModel
Examples/MarketModels/MarketModels
Examples/MultidimIntegral/MultidimIntegral
Examples/MulticurveBootstrapping/MulticurveBootstrapping
Examples/Replication/Replication
Examples/Repo/Repo
test-suite/quantlib-test-suite
test-suite/quantlib-benchmark
test-suite/bin/*.exp
test-suite/bin/*.lib
test-suite/bin/*.pdb
test-suite/.unit_test_profile.txt
# IDEs
.vs
.vscode
.idea
cmake-build-*
nbproject
.cproject
# User customizations
.dir-locals.el
Build.props
Directory.Build.props
QuantLib-1.33/.lgtm.yml 0000664 0000000 0000000 00000000246 14553046144 0014733 0 ustar 00root root 0000000 0000000
path_classifiers:
docs:
- Docs
- Examples
test:
- test-suite
library:
- tools
queries:
- exclude: cpp/fixme-comment
QuantLib-1.33/.lsan.txt 0000664 0000000 0000000 00000000001 14553046144 0014730 0 ustar 00root root 0000000 0000000
QuantLib-1.33/.misspell-fixer.ignore 0000664 0000000 0000000 00000000022 14553046144 0017405 0 ustar 00root root 0000000 0000000 ^./ChangeLog.txt
QuantLib-1.33/.msvc-analysis.ruleset 0000664 0000000 0000000 00000001004 14553046144 0017434 0 ustar 00root root 0000000 0000000
QuantLib-1.33/CITATION.cff 0000664 0000000 0000000 00000000555 14553046144 0015064 0 ustar 00root root 0000000 0000000 cff-version: 1.2.0
message: If you use this software, please cite it using these metadata.
title: "QuantLib: a free/open-source library for quantitative finance"
authors:
- name: "The QuantLib contributors"
url: "https://www.quantlib.org/"
type: software
doi: 10.5281/zenodo.1440997
license: BSD-3-Clause
repository-code: "https://github.com/lballabio/QuantLib"
QuantLib-1.33/CMakeLists.txt 0000664 0000000 0000000 00000025763 14553046144 0015742 0 ustar 00root root 0000000 0000000 cmake_minimum_required(VERSION 3.15.0)
# For MSVC RUNTIME LIBRARY, need CMP0091=NEW and cmake 3.15+
cmake_policy(SET CMP0091 NEW)
# Version info
set(QUANTLIB_VERSION_MAJOR 1)
set(QUANTLIB_VERSION_MINOR 33)
set(QUANTLIB_VERSION_PATCH 0)
set(QUANTLIB_VERSION ${QUANTLIB_VERSION_MAJOR}.${QUANTLIB_VERSION_MINOR}.${QUANTLIB_VERSION_PATCH})
# Project Info
set(PACKAGE_NAME "QuantLib")
set(PACKAGE_VERSION "${QUANTLIB_VERSION}")
set(PACKAGE_VERSION_HEX "0x013300f0")
set(PACKAGE_STRING "${PACKAGE_NAME} ${PACKAGE_VERSION}")
set(PACKAGE_TARNAME "${PACKAGE_NAME}-${PACKAGE_VERSION}")
set(PACKAGE_BUGREPORT "https://github.com/lballabio/QuantLib/issues/")
# Default build type for single-config generators (set this before project() command)
# For multi-config generators, such as Visual Studio, use: cmake --build . --config=
if (NOT CMAKE_BUILD_TYPE OR CMAKE_BUILD_TYPE STREQUAL "")
set(CMAKE_BUILD_TYPE "Release" CACHE
STRING "Build type for single-config generators" FORCE)
endif()
project(${PACKAGE_NAME} LANGUAGES CXX DESCRIPTION "The QuantLib C++ Library")
# Path for package-local cmake modules
set(CMAKE_MODULE_PATH "${PROJECT_SOURCE_DIR}/cmake" ${CMAKE_MODULE_PATH})
# Installation directories
set(QL_INSTALL_BINDIR "bin" CACHE STRING "Installation directory for executables")
set(QL_INSTALL_LIBDIR "lib" CACHE STRING "Installation directory for libraries")
set(QL_INSTALL_INCLUDEDIR "include" CACHE STRING "Installation directory for headers")
set(QL_INSTALL_EXAMPLESDIR "lib/QuantLib/examples" CACHE STRING
"Installation directory for examples")
set(QL_INSTALL_CMAKEDIR "lib/cmake/${PACKAGE_NAME}" CACHE STRING
"Installation directory for CMake scripts")
# Options
option(QL_BUILD_BENCHMARK "Build benchmark" ON)
option(QL_BUILD_EXAMPLES "Build examples" ON)
option(QL_BUILD_TEST_SUITE "Build test suite" ON)
option(QL_BUILD_FUZZ_TEST_SUITE "Build fuzz test suite" OFF)
option(QL_ENABLE_OPENMP "Detect and use OpenMP" OFF)
option(QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER "Enable the parallel unit test runner" OFF)
option(QL_ENABLE_SESSIONS "Singletons return different instances for different sessions" OFF)
option(QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN "Enable the thread-safe observer pattern" OFF)
option(QL_ENABLE_TRACING "Tracing messages should be allowed" OFF)
option(QL_ENABLE_DEFAULT_WARNING_LEVEL "Enable the default warning level to pass the ci pipeline" ON)
option(QL_COMPILE_WARNING_AS_ERROR "Specify whether to treat warnings on compile as errors." OFF)
option(QL_ERROR_FUNCTIONS "Error messages should include current function information" OFF)
option(QL_ERROR_LINES "Error messages should include file and line information" OFF)
option(QL_EXTRA_SAFETY_CHECKS "Extra safety checks should be performed" OFF)
option(QL_HIGH_RESOLUTION_DATE "Enable date resolution down to microseconds" OFF)
option(QL_THROW_IN_CYCLES "Throw an exception when a notification loop is detected" OFF)
option(QL_FASTER_LAZY_OBJECTS "Cause lazy objects to forward just the first notification instead of every one" ON)
option(QL_NULL_AS_FUNCTIONS "Enable the implementation of Null as template functions" OFF)
option(QL_INSTALL_BENCHMARK "Install benchmark" ON)
option(QL_INSTALL_EXAMPLES "Install examples" ON)
option(QL_INSTALL_TEST_SUITE "Install test suite" ON)
option(QL_TAGGED_LAYOUT "Library names use layout tags" ${MSVC})
option(QL_USE_CLANG_TIDY "Use clang-tidy when building" OFF)
option(QL_USE_INDEXED_COUPON "Use indexed coupons instead of par coupons" OFF)
option(QL_USE_STD_ANY "Use std::any instead of boost::any" OFF)
option(QL_USE_STD_CLASSES "Enable all QL_USE_STD_ options" OFF)
option(QL_USE_STD_FUNCTION "Use std::function and std::bind instead of Boost ones" ON)
option(QL_USE_STD_OPTIONAL "Use std::optional instead of boost::optional" OFF)
option(QL_USE_STD_SHARED_PTR "Use standard smart pointers instead of Boost ones" OFF)
option(QL_USE_STD_TUPLE "Use std::tuple instead of boost::tuple" ON)
set(QL_EXTERNAL_SUBDIRECTORIES "" CACHE STRING "Optional list of external source directories to be added to the build (semicolon-separated)")
set(QL_EXTRA_LINK_LIBRARIES "" CACHE STRING "Optional extra link libraries to add to QuantLib")
# Require C++14 or higher
if (NOT DEFINED CMAKE_CXX_STANDARD)
set(CMAKE_CXX_STANDARD 14)
elseif(CMAKE_CXX_STANDARD LESS 14)
message(FATAL_ERROR "Please specify CMAKE_CXX_STANDARD of 14 or higher")
endif()
if (NOT DEFINED CMAKE_CXX_STANDARD_REQUIRED)
set(CMAKE_CXX_STANDARD_REQUIRED ON)
endif()
# Avoid use of compiler language extensions, i.e. -std=c++14 not -std=gnu++14
if (NOT DEFINED CMAKE_CXX_EXTENSIONS)
set(CMAKE_CXX_EXTENSIONS FALSE)
endif()
# Convenience option to activate all STD options
if (QL_USE_STD_CLASSES)
if (CMAKE_CXX_STANDARD GREATER_EQUAL 17)
set(QL_USE_STD_ANY ON)
set(QL_USE_STD_OPTIONAL ON)
endif()
set(QL_USE_STD_FUNCTION ON)
set(QL_USE_STD_SHARED_PTR ON)
set(QL_USE_STD_TUPLE ON)
endif()
if (CMAKE_CXX_STANDARD LESS 17)
if (QL_USE_STD_ANY)
message(FATAL_ERROR "QL_USE_STD_ANY requires at least C++17")
endif()
if (QL_USE_STD_OPTIONAL)
message(FATAL_ERROR "QL_USE_STD_OPTIONAL requires at least C++17")
endif()
endif ()
# Set the default warning level we use to pass the GitHub workflows
if (QL_ENABLE_DEFAULT_WARNING_LEVEL)
if (MSVC)
# warning level 3
# There are also specific warnings disabled for MSCV in cmake/Platform.cmake.
add_compile_options(-W3)
elseif (CMAKE_CXX_COMPILER_ID STREQUAL "GNU" OR CMAKE_CXX_COMPILER_ID STREQUAL "Clang" OR CMAKE_CXX_COMPILER_ID STREQUAL "AppleClang")
# lots of warnings
add_compile_options(-Wall -Wno-unknown-pragmas)
endif()
endif()
# Treat warnings on compile as errors
if (QL_COMPILE_WARNING_AS_ERROR)
# all compiler warnings as errors
if (CMAKE_VERSION VERSION_GREATER_EQUAL "3.24.0")
# since v3.24 cmake can set all compiler warnings as errors itself
set(CMAKE_COMPILE_WARNING_AS_ERROR ON)
else()
# or set them manually
if (MSVC)
add_compile_options(-WX)
elseif (CMAKE_CXX_COMPILER_ID STREQUAL "GNU" OR CMAKE_CXX_COMPILER_ID STREQUAL "Clang" OR CMAKE_CXX_COMPILER_ID STREQUAL "AppleClang")
add_compile_options(-Werror)
endif()
endif()
endif()
if (QL_USE_CLANG_TIDY)
if (NOT DEFINED QL_CLANG_TIDY)
set(QL_CLANG_TIDY clang-tidy)
endif()
if (NOT DEFINED QL_CLANG_TIDY_OPTIONS)
set(QL_CLANG_TIDY_OPTIONS)
endif()
if (QL_CLANG_TIDY_OPTIONS)
set(CMAKE_CXX_CLANG_TIDY "${QL_CLANG_TIDY};${QL_CLANG_TIDY_OPTIONS}")
else()
set(CMAKE_CXX_CLANG_TIDY "${QL_CLANG_TIDY}")
endif()
endif()
# Project shared libs ON for UNIX
if (NOT DEFINED BUILD_SHARED_LIBS)
set(BUILD_SHARED_LIBS ${UNIX})
endif()
# Boost static libs ON for MSVC
if (NOT DEFINED Boost_USE_STATIC_LIBS)
set(Boost_USE_STATIC_LIBS ${MSVC})
endif()
# Boost static runtime ON for MSVC
if (NOT DEFINED Boost_USE_STATIC_RUNTIME)
set(Boost_USE_STATIC_RUNTIME ${MSVC})
endif()
if (NOT DEFINED QL_BOOST_VERSION)
# Boost 1.75.0 or greater required for compiling with C++20
if (CMAKE_CXX_STANDARD GREATER_EQUAL 20)
set(QL_BOOST_VERSION 1.75.0)
else()
set(QL_BOOST_VERSION 1.58.0)
endif()
endif()
if (CMAKE_CXX_COMPILER STREQUAL "icpx")
find_package(IntelDPCPP REQUIRED)
endif()
find_package(Boost ${QL_BOOST_VERSION} REQUIRED)
# Do not warn about Boost versions higher than 1.58.0
set(Boost_NO_WARN_NEW_VERSIONS ON)
# Avoid using Boost auto-linking
add_compile_definitions(BOOST_ALL_NO_LIB)
if (QL_ENABLE_OPENMP)
find_package(OpenMP REQUIRED)
endif()
# Prefer pthread flag as per https://cmake.org/cmake/help/latest/module/FindThreads.html
if (NOT DEFINED THREADS_PREFER_PTHREAD_FLAG)
set(THREADS_PREFER_PTHREAD_FLAG ON)
endif()
# Add Threads dependency when any of the threading features are enabled
if (QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER OR QL_ENABLE_SESSIONS OR QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN)
find_package(Threads REQUIRED)
# Parallel test runner needs library rt on *nix for shm_open, etc.
if (QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER AND UNIX AND NOT APPLE)
find_library(RT_LIBRARY rt REQUIRED)
set(QL_THREAD_LIBRARIES Threads::Threads ${RT_LIBRARY})
else()
set(QL_THREAD_LIBRARIES Threads::Threads)
endif()
endif()
# If available, use PIC for shared libs and PIE for executables
if (NOT DEFINED CMAKE_POSITION_INDEPENDENT_CODE)
set(CMAKE_POSITION_INDEPENDENT_CODE ON)
endif()
if (CMAKE_POSITION_INDEPENDENT_CODE)
# cmake policy CMP0083: add PIE support if possible (need cmake 3.14)
include(CheckPIESupported)
check_pie_supported()
endif()
# Configure files
set(QL_HAVE_CONFIG_H ON)
set(QL_VERSION ${PACKAGE_VERSION})
set(QL_HEX_VERSION ${PACKAGE_VERSION_HEX})
configure_file(ql/config.hpp.cfg ql/config.hpp @ONLY)
configure_file(ql/qldefines.hpp.cfg ql/qldefines.hpp @ONLY)
# Generate quantlib-config
# Define the variables to be substituted in the input file
set(prefix ${CMAKE_INSTALL_PREFIX})
set(exec_prefix "\${prefix}")
set(includedir "\${prefix}/include")
set(libdir "\${exec_prefix}/lib")
configure_file(quantlib-config.in quantlib-config @ONLY)
include(Platform)
# Check for library name layout tagging
if (QL_TAGGED_LAYOUT)
if (${CMAKE_SIZEOF_VOID_P} EQUAL 8)
set(DEBUG_POSTFIX "-x64")
set(RELEASE_POSTFIX "-x64")
endif()
set(DEBUG_POSTFIX ${DEBUG_POSTFIX}-mt)
set(RELEASE_POSTFIX ${RELEASE_POSTFIX}-mt)
if (CMAKE_MSVC_RUNTIME_LIBRARY MATCHES ".*DLL$")
set(DEBUG_POSTFIX ${DEBUG_POSTFIX}-gd)
else()
set(DEBUG_POSTFIX ${DEBUG_POSTFIX}-sgd)
set(RELEASE_POSTFIX ${RELEASE_POSTFIX}-s)
endif()
set(CMAKE_DEBUG_POSTFIX ${DEBUG_POSTFIX})
set(CMAKE_RELEASE_POSTFIX ${RELEASE_POSTFIX})
set(CMAKE_RELWITHDEBINFO_POSTFIX ${RELEASE_POSTFIX})
set(CMAKE_MINSIZEREL_POSTFIX ${RELEASE_POSTFIX})
endif()
include(CTest)
# extension subdirectories if they exist (hook for external projects)
foreach(extdir ${QL_EXTERNAL_SUBDIRECTORIES})
get_filename_component(name_without_dir "${extdir}" NAME)
add_subdirectory(${extdir} ${name_without_dir})
endforeach()
# Add subdirectories
add_subdirectory(ql)
if (QL_BUILD_EXAMPLES)
add_subdirectory(Examples)
endif()
if (QL_BUILD_TEST_SUITE OR QL_BUILD_BENCHMARK)
add_subdirectory(test-suite)
endif()
if ('${CMAKE_CXX_COMPILER_ID}' MATCHES 'Clang' AND QL_BUILD_FUZZ_TEST_SUITE)
add_subdirectory(fuzz-test-suite)
endif()
# CPack support (make package, make package_source)
set(CPACK_PACKAGE_VERSION_MAJOR ${QUANTLIB_VERSION_MAJOR})
set(CPACK_PACKAGE_VERSION_MINOR ${QUANTLIB_VERSION_MINOR})
set(CPACK_PACKAGE_VERSION_PATCH ${QUANTLIB_VERSION_PATCH})
set(CPACK_PACKAGE_FILE_NAME ${PACKAGE_NAME}-${PACKAGE_VERSION})
set(CPACK_GENERATOR "TGZ" "ZIP" "7Z")
set(CPACK_SOURCE_PACKAGE_FILE_NAME ${PACKAGE_NAME}-${PACKAGE_VERSION})
set(CPACK_SOURCE_GENERATOR "TGZ" "ZIP" "7Z")
set(CPACK_SOURCE_IGNORE_FILES
"~$"
"\\\\.swp$"
"/[Bb]uild"
"/\\\\.app"
"/\\\\.cla"
"/\\\\.cod"
"/\\\\.git"
"/\\\\.lgt"
"/\\\\.mis")
include(CPack)
QuantLib-1.33/CMakePresets.json 0000664 0000000 0000000 00000020126 14553046144 0016407 0 ustar 00root root 0000000 0000000 {
"version": 3,
"configurePresets": [
{
"name": "windows-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"architecture": {
"value": "x64",
"strategy": "external"
},
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Windows"
}
},
{
"name": "windows-msvc-base",
"hidden": true,
"inherits": "windows-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "cl.exe"
},
"vendor": {
"microsoft.com/VisualStudioSettings/CMake/1.0": {
"intelliSenseMode": "windows-msvc-x64"
}
}
},
{
"name": "windows-clang-base",
"hidden": true,
"inherits": "windows-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "clang-cl.exe"
},
"vendor": {
"microsoft.com/VisualStudioSettings/CMake/1.0": {
"intelliSenseMode": "windows-clang-x64"
}
}
},
{
"name": "linux-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Linux"
},
"vendor": {
"microsoft.com/VisualStudioRemoteSettings/CMake/1.0": {
"sourceDir": "$env{HOME}/.vs/$ms{projectDirName}"
},
"microsoft.com/VisualStudioSettings/CMake/1.0": {
"intelliSenseMode": "linux-gcc-x64",
"hostOS": [
"Linux"
]
}
}
},
{
"name": "linux-gcc-base",
"hidden": true,
"inherits": "linux-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "g++"
}
},
{
"name": "linux-clang-base",
"hidden": true,
"inherits": "linux-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "clang++"
}
},
{
"name": "apple-arm64-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"architecture": {
"value": "arm64",
"strategy": "external"
},
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Darwin"
}
},
{
"name": "ninja",
"hidden": true,
"generator": "Ninja"
},
{
"name": "make",
"hidden": true,
"generator": "Unix Makefiles"
},
{
"name": "_release",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Release"
}
},
{
"name": "_debug",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Debug"
}
},
{
"name": "_relwithdebinfo",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "RelWithDebInfo"
}
},
{
"name": "linux-clang-debug",
"inherits": [
"linux-clang-base",
"make",
"_debug"
]
},
{
"name": "linux-clang-release",
"inherits": [
"linux-clang-base",
"make",
"_release"
]
},
{
"name": "linux-clang-relwithdebinfo",
"inherits": [
"linux-clang-base",
"make",
"_relwithdebinfo"
]
},
{
"name": "linux-gcc-debug",
"inherits": [
"linux-gcc-base",
"make",
"_debug"
]
},
{
"name": "linux-gcc-release",
"inherits": [
"linux-gcc-base",
"make",
"_release"
]
},
{
"name": "linux-gcc-relwithdebinfo",
"inherits": [
"linux-gcc-base",
"make",
"_relwithdebinfo"
]
},
{
"name": "linux-clang-ninja-debug",
"inherits": [
"ninja",
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QuantLib-1.33/CONTRIBUTING.md 0000664 0000000 0000000 00000003631 14553046144 0015421 0 ustar 00root root 0000000 0000000
# Contributing to QuantLib
Thanks for considering a contribution! We're looking forward to it.
The preferred way to contribute is through a pull request on GitHub.
This gives us some convenient tooling to look at your changes and
provide feedback; also, opening a pull request triggers automated
building and testing of your code and often gives you feedback before
a human has a chance to look at it (the time we can give to the
project is, unfortunately, limited).
So, in short: get a GitHub account if you don't have it already and
clone the repository at with
the "Fork" button in the top right corner of the page. Check out your
clone to your machine, code away, push your changes to your clone and
submit a pull request: links to more detailed instructions are at the
end of this file.
A note: a pull request will show any new changes committed and pushed
to the corresponding branch. For this reason, we strongly advise you
to use a feature branch for your changes, instead of your `master`
branch. This gives you the freedom to add unrelated changes to your
master, and also gives the maintainers the freedom to push further
changes to the branch.
It's likely that we won't merge your code right away, and we'll ask
for some changes instead. Don't be discouraged! That's normal; the
library is complex, and thus it might take some time to become
familiar with it and to use it in an idiomatic way.
Again, thanks — and welcome! We're looking forward to your contributions.
#### Useful links
Instructions for forking a cloning a repository are at
.
More detailed instructions for creating pull requests are at
.
Finally, a basic guide to GitHub is at
.
GitHub also provides interactive learning at .
QuantLib-1.33/ChangeLog.txt 0000664 0000000 0000000 00000724122 14553046144 0015565 0 ustar 00root root 0000000 0000000 commit 9b0ef744951aa69c4e6a8ed796282bfa622b795e
Merge: a6f874bc0 c5f6ac108
Author: Luigi Ballabio
Date: Sat, 20 Jan 2024 23:39:37 +0100
Fix building parallel test runner (#1889)
commit a6f874bc034d48a67f507c20fedd7ae327a5193a
Author: Luigi Ballabio
Date: Fri, 19 Jan 2024 10:24:22 +0100
Update changelog
ChangeLog.txt | 191 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 191 insertions(+)
commit 58a908d202289cc6da5a302e57d3a50421432017
Author: Luigi Ballabio
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.33 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit e9422af1e7d46379bc6c38df46dd0e3d071ab09d
Author: Luigi Ballabio
Date: Wed, 17 Jan 2024 21:23:39 +0100
Use all available cores on Action runners
.github/workflows/coveralls.yml | 2 +-
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 2 +-
.github/workflows/sanitizer.yml | 4 ++--
.github/workflows/test-times.yml | 2 +-
6 files changed, 7 insertions(+), 7 deletions(-)
commit 69cc0ccf32bd56f78ca6434849eb11c0c349d1dc
Author: Luigi Ballabio
Date: Tue, 16 Jan 2024 14:54:10 +0100
Update news
Docs/pages/history.docs | 14 +++++++++-----
News.md | 19 +++++++++++++------
2 files changed, 22 insertions(+), 11 deletions(-)
commit 7fbbf5f892792952e1a24c29177eeab5a0ea0c45
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 17 Jan 2024 09:14:27 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 03e86a168a27db63d4d6d0281d7b563f98a501a1
Merge: 9d2c7b2b4 6582fad9c
Author: Luigi Ballabio
Date: Wed, 17 Jan 2024 10:15:18 +0100
Move calendar imports where they are used (#1885)
commit 9d2c7b2b4e4167635919ff943d10f792e6dc4df9
Merge: f094be00f 014a9a2f0
Author: Luigi Ballabio
Date: Wed, 17 Jan 2024 10:14:09 +0100
Add Inauguration Day to Mexican calendar (#1884)
commit c5f6ac108231a8dbae462fb9b7a8f2c96910cc68
Author: Eugene Toder
Date: Tue, 16 Jan 2024 21:15:30 -0500
Fix building parallel test runner
We are missing #include of the config option to select parallel test
runner, so we always end up with the standard one.
test-suite/quantlibtestsuite.cpp | 2 ++
1 file changed, 2 insertions(+)
commit 6582fad9ca941417bf8bc361730c98df39d114b0
Author: Fredrik Gerdin Börjesson
Date: Tue, 16 Jan 2024 18:48:09 +0100
Move calendar imports where they are used
ql/indexes/ibor/thbfix.hpp | 3 ---
ql/termstructures/yield/overnightindexfutureratehelper.cpp | 1 +
ql/termstructures/yield/ratehelpers.cpp | 1 -
ql/termstructures/yield/ratehelpers.hpp | 1 -
test-suite/overnightindexedswap.cpp | 1 +
5 files changed, 2 insertions(+), 5 deletions(-)
commit 014a9a2f0f34e7cd43aa932689cbef1e1c30f5c0
Author: Fredrik Gerdin Börjesson
Date: Tue, 16 Jan 2024 18:46:48 +0100
Add Inauguration Day to Mexican calendar
ql/time/calendars/mexico.cpp | 3 +++
ql/time/calendars/mexico.hpp | 2 ++
test-suite/calendars.cpp | 42 +++++++++++++++++++++++++++++++++++++++++-
3 files changed, 46 insertions(+), 1 deletion(-)
commit f094be00f7ea262aafa230f8b72485b180ed8b97
Merge: 32f57d05e 6909bfc1b
Author: Luigi Ballabio
Date: Fri, 12 Jan 2024 08:54:57 +0100
New Brazilian holiday (#1879)
commit 32f57d05e8bf5555b446dfcd8addbf013b08ad81
Author: Luigi Ballabio
Date: Wed, 10 Jan 2024 08:48:50 +0100
Back to Artifactory for Boost downloads
This reverts commit 484e48af47ed6b8cf37be5a45e0962a572940a1f.
.github/workflows/cmake.yml | 6 +++---
.github/workflows/msvc-analysis.yml | 2 +-
dockerfiles/ci.Dockerfile | 2 +-
3 files changed, 5 insertions(+), 5 deletions(-)
commit 19c991861075efb195071b27447897932ec434c9
Author: Luigi Ballabio
Date: Mon, 8 Jan 2024 17:33:23 +0100
Disable compile-time bound check in CI build
.github/workflows/linux-nondefault.yml | 1 +
1 file changed, 1 insertion(+)
commit a643b957415898a4587306d706d94af2b7d7f27e
Merge: 2e5a77b20 d860bf0c3
Author: Luigi Ballabio
Date: Tue, 9 Jan 2024 20:37:48 +0100
Fixes to maintain AAD compatibility (#1881)
commit d860bf0c3f1710328d818438de1d9de146423757
Author: Auto Differentiation Dev Team
Date: Tue, 9 Jan 2024 15:34:49 +0000
Consistently using QL_CHECK_XXX macros
test-suite/americanoption.cpp | 18 +++++++++---------
test-suite/functions.cpp | 12 ++++++------
test-suite/hestonmodel.cpp | 10 +++++-----
test-suite/integrals.cpp | 14 +++++++-------
4 files changed, 27 insertions(+), 27 deletions(-)
commit bf4b0bec06f1fd8f2d020be4576e248e16e5fc17
Author: Auto Differentiation Dev Team
Date: Tue, 9 Jan 2024 15:34:43 +0000
Adds utility test macro QL_CHECK_CLOSE_FRACTION, compatible to arbitrary Real types
test-suite/utilities.hpp | 1 +
1 file changed, 1 insertion(+)
commit 9c40fd424ede69457628bc679f4e0fd8309712ca
Author: Auto Differentiation Dev Team
Date: Tue, 9 Jan 2024 15:34:30 +0000
Defines constants as double type
ql/math/integrals/exponentialintegrals.cpp | 4 ++--
ql/pricingengines/vanilla/analytichestonengine.cpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit 2e5a77b20d9e83ad41c00aa6b5398a0846ce0f9b
Author: Luigi Ballabio
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.33-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit c517b5eb7cf2f26314a6ca14455ba8761aa36a40
Author: Luigi Ballabio
Date: Mon, 8 Jan 2024 12:59:39 +0100
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(-)
commit 216e962f94454fda33f513783312d6bd8b8c40b9
Author: Luigi Ballabio
Date: Mon, 8 Jan 2024 11:22:18 +0100
Remove redundant test and polish a few test messages
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(-)
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Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 7 Jan 2024 01:30:54 +0000
Automated fixes by clang-tidy
test-suite/quantlibbenchmark.cpp | 1 -
1 file changed, 1 deletion(-)
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Author: Luigi Ballabio
Date: Sun, 7 Jan 2024 21:18:13 +0100
Download boost binaries from Sourceforge.
JFrog now requires authentication.
.github/workflows/cmake.yml | 18 +++++++++---------
.github/workflows/msvc-analysis.yml | 6 +++---
dockerfiles/ci.Dockerfile | 2 +-
3 files changed, 13 insertions(+), 13 deletions(-)
commit 6909bfc1b011d8bd9198e6cf98ac8fcb762dfda3
Author: Paul
Date: Sun, 7 Jan 2024 14:46:57 +0100
fix unit test
test-suite/amortizingbond.cpp | 5 ++++-
1 file changed, 4 insertions(+), 1 deletion(-)
commit d892b8d3b33e7bcf5198fcbcf30d2711e45ec899
Author: Paul
Date: Sun, 7 Jan 2024 13:49:17 +0100
add Black Awarenedd Day holiday
ql/time/calendars/brazil.cpp | 2 ++
ql/time/calendars/brazil.hpp | 1 +
2 files changed, 3 insertions(+)
commit dee33df049a031fed50bb3690615c2116015eb84
Merge: 6aca59ed1 84d52647c
Author: Luigi Ballabio
Date: Fri, 5 Jan 2024 14:03:48 +0100
Added Dec. 31 NYE holiday to Chilean calendar in chile.cpp (#1846)
commit 84d52647cc6eb60e409ed9a72d8b1bd78b6a2843
Author: Luigi Ballabio
Date: Fri, 5 Jan 2024 11:11:06 +0100
Update chile.hpp
ql/time/calendars/chile.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 6aca59ed1607d0fe83b1560f22bc7d460d28161a
Merge: 7ca3a94d3 4923b7996
Author: Luigi Ballabio
Date: Fri, 5 Jan 2024 10:10:14 +0100
Binary search in times (#1876)
commit 4923b7996d55b48ca617da5f698d0437b6133ed6
Author: Yi Jiang
Date: Thu, 4 Jan 2024 19:15:18 -0500
Shouldn't subtract 1, what was I thinking?
ql/models/parameter.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7ca3a94d3352dfc75bc241905c2baac11f5afd4a
Merge: 72d410d55 07a972a10
Author: Luigi Ballabio
Date: Thu, 4 Jan 2024 14:00:45 +0100
added china calendar for the year 2024 (#1873)
commit 07a972a10e09e91d1553b0eb5ed39cd7e9409fff
Author: Luigi Ballabio
Date: Thu, 4 Jan 2024 10:35:14 +0100
std::set can be initialized directly
ql/time/calendars/china.cpp | 5 +----
1 file changed, 1 insertion(+), 4 deletions(-)
commit 745516bcc9828413c1a1d842efc5f769964cffb9
Author: Yi Jiang
Date: Wed, 3 Jan 2024 15:35:37 -0500
forgot std::
ql/models/parameter.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7fdddedaf09993365e91cdde98bf96b4aa4a72f5
Author: Yi Jiang
Date: Wed, 3 Jan 2024 15:30:37 -0500
Binary search in times
ql/models/parameter.hpp | 8 ++------
1 file changed, 2 insertions(+), 6 deletions(-)
commit 72d410d55bd50a57792231b2ace8eacda4520dbb
Author: Luigi Ballabio
Date: Wed, 3 Jan 2024 09:10:39 +0100
Add clang 17 to CI build matrix
.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(-)
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Date: Sun, 31 Dec 2023 01:23:12 +0000
Automated fixes by clang-tidy
ql/time/asx.cpp | 4 ++--
ql/time/ecb.cpp | 8 ++++----
test-suite/quantlibbenchmark.cpp | 5 +++--
3 files changed, 9 insertions(+), 8 deletions(-)
commit 3a044ac11eca4819cce94f1244fb6edc7d252b44
Author: wegamekinglc
Date: Mon, 1 Jan 2024 17:47:00 +0800
added china calendar for the year 2024
ql/time/calendars/china.cpp | 21 ++++++++++++++++++---
test-suite/calendars.cpp | 36 ++++++++++++++++++++++++++++++++++--
2 files changed, 52 insertions(+), 5 deletions(-)
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Merge: 9f29f971f cf68b4746
Author: Luigi Ballabio
Date: Thu, 28 Dec 2023 15:01:59 +0100
ASX: simplified/improved implementation; completed test coverage (#1854)
commit 9f29f971f9e28c6589352afcb6f8bf3cc6f4a453
Merge: 12f63d5c1 7c5fb9243
Author: Luigi Ballabio
Date: Thu, 28 Dec 2023 14:51:38 +0100
ECB: updated hard-coded known dates; simplified/improved implementation; completed test coverage (#1865)
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Author: Luigi Ballabio
Date: Thu, 28 Dec 2023 12:59:41 +0100
Move test to faster section
test-suite/optimizers.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
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Author: Luigi Ballabio
Date: Thu, 28 Dec 2023 12:16:50 +0100
Match format with variable signedness
ql/time/ecb.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
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Author: Luigi Ballabio
Date: Thu, 28 Dec 2023 12:09:10 +0100
Explicitly include required header
ql/time/ecb.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
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Merge: 5d4d4bbd0 f0e795df7
Author: Luigi Ballabio
Date: Wed, 27 Dec 2023 17:58:05 +0100
Period: Complete unit tests (#1867)
commit 5d4d4bbd072f93b46adf875d406b24da648a517c
Author: Luigi Ballabio
Date: Wed, 27 Dec 2023 17:24:10 +0100
Update Doxygen configuration
Docs/quantlib.doxy | 12 +++++++++++-
1 file changed, 11 insertions(+), 1 deletion(-)
commit 2bc581e8bf9356f7fcf98d9ad0fafb94215e5432
Author: Luigi Ballabio
Date: Wed, 27 Dec 2023 16:09:38 +0100
Fix missing doc groups
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 e5733c4e0c1fcf3272a69c80ad05a4a73ab6aa6c
Author: Paul
Date: Wed, 27 Dec 2023 14:45:06 +0100
iterate bimap correctly
ql/time/ecb.cpp | 9 +++++----
1 file changed, 5 insertions(+), 4 deletions(-)
commit 850af05dfcab7bf6b40630e098e7d7ab370a0206
Author: Paul
Date: Wed, 27 Dec 2023 14:25:38 +0100
case insensitive comparison
ql/time/ecb.cpp | 52 ++++++++++++++++++++++++++++++++++++----------------
1 file changed, 36 insertions(+), 16 deletions(-)
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Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 24 Dec 2023 01:29:10 +0000
Automated fixes by clang-tidy
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(-)
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Author: Paul
Date: Thu, 21 Dec 2023 16:13:26 +0100
test days(Period)
test-suite/period.cpp | 13 +++++++++++++
1 file changed, 13 insertions(+)
commit 08d8a67384760a06d92d4087d43fc3729402ebe8
Author: Paul
Date: Thu, 21 Dec 2023 16:10:31 +0100
test months(Period)
test-suite/period.cpp | 11 +++++++++++
1 file changed, 11 insertions(+)
commit c8c827b3e5faf997bfe13a93b36390be33d9a4f0
Author: Paul
Date: Thu, 21 Dec 2023 16:09:43 +0100
test years(Period)
test-suite/period.cpp | 14 ++++++++++++++
1 file changed, 14 insertions(+)
commit bfa4fab431015e1069f4f466ef9b448f9ef96637
Author: Paul
Date: Thu, 21 Dec 2023 15:57:47 +0100
add tests for Period -= Period; Period *= Integer
test-suite/period.cpp | 11 +++++++++++
1 file changed, 11 insertions(+)
commit 7f6b127edec90945f658b7afa0da61d00f50419f
Author: Paul
Date: Thu, 21 Dec 2023 15:48:13 +0100
add tests for Period(Weeks) += Period(Days)
test-suite/period.cpp | 5 +++++
1 file changed, 5 insertions(+)
commit 8d89c75608182be5e68fe24ab87d27ad135855d5
Author: Paul
Date: Thu, 21 Dec 2023 15:36:28 +0100
test Period::frequency()
test-suite/period.cpp | 25 ++++++++++++++++++++++++-
1 file changed, 24 insertions(+), 1 deletion(-)
commit c5deb51559525a0e0b6fd6ce3cc7d964abcbb763
Author: Paul
Date: Sun, 24 Dec 2023 09:03:32 +0100
simplify month str to enum conversion
ql/time/ecb.cpp | 51 ++++++++++++++++++++++++++-------------------------
1 file changed, 26 insertions(+), 25 deletions(-)
commit 900c02fe2e2c4664613a44fcdcba18211fb74f15
Author: Paul
Date: Thu, 21 Dec 2023 15:21:23 +0100
out of bounds access
ql/time/ecb.cpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 97c46ad51167f16efa6f3d6930a344a96170d3b1
Author: Paul
Date: Wed, 20 Dec 2023 22:20:54 +0100
BOOST_TEST is slow
test-suite/dates.cpp | 16 ++++++++--------
1 file changed, 8 insertions(+), 8 deletions(-)
commit 9f8c5bb4e51f94cc7a68dd43bc2317f97108f6c7
Author: Paul
Date: Wed, 20 Dec 2023 22:12:58 +0100
cleanup: unify code (call boost::to_upper_copy)
ql/time/ecb.cpp | 7 +++----
1 file changed, 3 insertions(+), 4 deletions(-)
commit 1e607e3f8f3a75e3166ec9790e7e40031f0c173d
Author: Paul
Date: Wed, 20 Dec 2023 22:03:48 +0100
add ecb maintainence dates (2018..2024)
ql/time/ecb.cpp | 30 +++++++++++++++++++++++++++++-
1 file changed, 29 insertions(+), 1 deletion(-)
commit cf68b47460fb8f66493b28906805a475668f17b0
Author: Paul
Date: Wed, 20 Dec 2023 21:11:32 +0100
only evaluate test message for failure (performance regression otherwise)
test-suite/dates.cpp | 20 ++++++++++----------
1 file changed, 10 insertions(+), 10 deletions(-)
commit e4277c8d9f2732429c6ceacef280cf0fac103ffd
Author: Paul
Date: Wed, 20 Dec 2023 20:17:02 +0100
std::isdigit needs unsigned char instead of char
ql/time/asx.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 42c3a24ff2eb23812bc45b8b95e0410a48853ae1
Merge: 7cd38086d c1acc8b1c
Author: Luigi Ballabio
Date: Wed, 20 Dec 2023 16:00:00 +0100
Heston Model: Support for Angled Contour Shift Integrals (#1826)
commit c1acc8b1c3bccba222a237894dda23b7d6034053
Author: Luigi Ballabio
Date: Wed, 20 Dec 2023 14:40:46 +0100
Remove executable bit from source file
ql/pricingengines/vanilla/analytichestonengine.cpp | 0
1 file changed, 0 insertions(+), 0 deletions(-)
commit 7cd38086d663a53b89eaee1a76bbf625a9dfd593
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 19 Dec 2023 15:29:18 +0000
Automated fixes by clang-tidy
test-suite/prices.cpp | 4 ++--
test-suite/timegrid.cpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit 0d0d23b9b4651943c835a4a17c47d17e008f6b79
Merge: 5d8a3a592 7dd751cdd
Author: Luigi Ballabio
Date: Tue, 19 Dec 2023 23:23:06 +0100
Migrated last test cases to automated registration (#1861)
commit 57666f2bcbe47bd21db7c43f521f57d23603be88
Author: klaus spanderen
Date: Tue, 19 Dec 2023 20:01:07 +0100
fixed QL_REQUIRE condition
ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 7dd751cdd29d6e1870a73eb662f4b60843c0774b
Author: Luigi Ballabio
Date: Tue, 19 Dec 2023 15:48:39 +0100
Fix typo
acinclude.m4 | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 45d5750198a642e74f5e125da811d1873126e9c6
Author: Luigi Ballabio
Date: Tue, 19 Dec 2023 09:20:49 +0100
Use autogenerated initializer function
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 5d8a3a59232219b245ce385066114aa05f7f8ea6
Author: Luigi Ballabio
Date: Tue, 19 Dec 2023 09:25:57 +0100
Avoid false positives with clang-tidy
Array iterators are implemented as pointers in clang (which triggers the rule) but not in all other compilers.
test-suite/prices.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 9b5df4e0f57539423aa559412567e1dfdfab1489
Merge: 04391fcaa 91607179b
Author: Luigi Ballabio
Date: Tue, 19 Dec 2023 10:13:48 +0100
Stop moving Juneteenth to Friday if Saturday for US-Fed calendar (#1848)
commit 04391fcaad910b35e5895018cf3532b982a6e80b
Author: Luigi Ballabio
Date: Mon, 18 Dec 2023 16:36:59 +0100
Move test to faster section
test-suite/andreasenhugevolatilityinterpl.cpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 3fa1d1fc5063dda5b01befcf67bd9e4ca0470864
Author: Luigi Ballabio
Date: Mon, 18 Dec 2023 23:35:02 +0100
Remove libUnitMain from test suite compilation
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 6608ead619e2418a699cbe21fcf0102b7729c6f5
Author: moixastrikes
Date: Mon, 18 Dec 2023 16:27:07 -0500
Added link to issue 1839 in chile.hpp
ql/time/calendars/chile.hpp | 1 +
1 file changed, 1 insertion(+)
commit 91607179b9c09a2163fc2c21fe4d77a4fbc3e28d
Author: Fredrik Gerdin Börjesson
Date: Mon, 18 Dec 2023 17:11:38 +0100
Add docstring with references for US-FED calendar
ql/time/calendars/unitedstates.cpp | 3 ++-
ql/time/calendars/unitedstates.hpp | 23 +++++++++++++++++++++++
2 files changed, 25 insertions(+), 1 deletion(-)
commit 968a530d6a28ea26d14e886b7c38752c3999f2c7
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 18 Dec 2023 11:09:43 +0000
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]
.github/workflows/codeql-analysis.yml | 6 +++---
.github/workflows/msvc-analysis.yml | 2 +-
2 files changed, 4 insertions(+), 4 deletions(-)
commit 7ec4fbb3e451cc85371d6fde3c73cfacfabf4965
Merge: 2e8231b2b 66de7b577
Author: Luigi Ballabio
Date: Mon, 18 Dec 2023 15:23:41 +0100
Correct Thailand calendar for 2019-2024 (#1857)
commit 2e8231b2b07ba04d1e231faf6babda70893b9a57
Merge: a33b3e002 79d1b1f91
Author: Luigi Ballabio
Date: Mon, 18 Dec 2023 15:21:16 +0100
TimeSeries: Complete test coverage (#1849)
commit a33b3e002b1b0a8c768c460eade7eba6040143e5
Merge: 350f69a61 3966f81d2
Author: Luigi Ballabio
Date: Mon, 18 Dec 2023 15:10:12 +0100
Add TWSE holidays for 2024 to Taiwan calendar (#1847)
commit 350f69a615f12766b691492a7d329e42474015fe
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 18 Dec 2023 11:09:37 +0000
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]
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/test-times.yml | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit c106e66d43033edcd493166137c813473661074f
Author: klaus spanderen
Date: Sun, 17 Dec 2023 23:20:12 +0100
merge
fuzz-test-suite/CMakeLists.txt | 19 ++++++++++++++-----
1 file changed, 14 insertions(+), 5 deletions(-)
commit 604308a763c4e78e45e2a2cc1357634a70e8a1ab
Author: klaus spanderen
Date: Sun, 17 Dec 2023 23:14:00 +0100
merge
test-suite/CMakeLists.txt | 89 ++------------
test-suite/testsuite.vcxproj | 77 +-----------
test-suite/testsuite.vcxproj.filters | 227 ++---------------------------------
3 files changed, 24 insertions(+), 369 deletions(-)
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 +-
ql/math/randomnumbers/sobolrsg.cpp | 77973 +++++++++----------
ql/math/randomnumbers/sobolrsg.hpp | 18 +-
ql/math/solver1d.hpp | 2 +-
ql/money.cpp | 168 +-
ql/prices.hpp | 6 +-
ql/pricingengines/swaption/blackswaptionengine.hpp | 7 +-
ql/termstructures/globalbootstrap.hpp | 39 +-
ql/termstructures/yield/oisratehelper.cpp | 33 +-
ql/termstructures/yield/oisratehelper.hpp | 10 +-
ql/time/date.hpp | 2 +-
test-suite/Makefile.am | 88 +-
test-suite/americanoption.cpp | 443 +-
test-suite/amortizingbond.cpp | 4 +-
test-suite/andreasenhugevolatilityinterpl.cpp | 481 +-
test-suite/array.cpp | 16 +-
test-suite/asianoptions.cpp | 155 +-
test-suite/assetswap.cpp | 105 +-
test-suite/autocovariances.cpp | 6 +-
test-suite/barrieroption.cpp | 136 +-
test-suite/basismodels.cpp | 324 +-
test-suite/basisswapratehelpers.cpp | 323 +-
test-suite/basketoption.cpp | 241 +-
test-suite/batesmodel.cpp | 75 +-
test-suite/bermudanswaption.cpp | 129 +-
test-suite/binaryoption.cpp | 68 +-
test-suite/blackdeltacalculator.cpp | 63 +-
test-suite/blackformula.cpp | 6 +-
test-suite/bondforward.cpp | 76 +-
test-suite/bonds.cpp | 81 +-
test-suite/brownianbridge.cpp | 47 +-
test-suite/businessdayconventions.cpp | 46 +-
test-suite/calendars.cpp | 6 +-
test-suite/callablebonds.cpp | 91 +-
test-suite/capfloor.cpp | 189 +-
test-suite/capflooredcoupon.cpp | 260 +-
test-suite/cashflows.cpp | 17 +-
test-suite/catbonds.cpp | 65 +-
test-suite/cdo.cpp | 113 +-
test-suite/cdsoption.cpp | 6 +-
test-suite/chooseroption.cpp | 10 +-
test-suite/cliquetoption.cpp | 253 +-
test-suite/cms.cpp | 293 +-
test-suite/cms_normal.cpp | 295 +-
test-suite/cmsspread.cpp | 17 +-
test-suite/commodityunitofmeasure.cpp | 4 +-
test-suite/compiledboostversion.cpp | 6 +-
test-suite/compoundoption.cpp | 53 +-
test-suite/convertiblebonds.cpp | 93 +-
test-suite/covariance.cpp | 27 +-
test-suite/creditdefaultswap.cpp | 6 +-
test-suite/creditriskplus.cpp | 6 +-
test-suite/crosscurrencyratehelpers.cpp | 340 +-
test-suite/currency.cpp | 8 +-
test-suite/curvestates.cpp | 169 +-
test-suite/dates.cpp | 6 +-
test-suite/daycounters.cpp | 139 +-
test-suite/defaultprobabilitycurves.cpp | 221 +-
test-suite/digitalcoupon.cpp | 79 +-
test-suite/digitaloption.cpp | 37 +-
test-suite/distributions.cpp | 342 +-
test-suite/dividendoption.cpp | 454 +-
test-suite/doublebarrieroption.cpp | 121 +-
test-suite/doublebinaryoption.cpp | 38 +-
test-suite/equitycashflow.cpp | 240 +-
test-suite/equityindex.cpp | 84 +-
test-suite/equitytotalreturnswap.cpp | 334 +-
test-suite/europeanoption.cpp | 300 +-
test-suite/everestoption.cpp | 6 +-
test-suite/exchangerate.cpp | 6 +-
test-suite/extendedtrees.cpp | 296 +-
test-suite/extensibleoptions.cpp | 6 +-
test-suite/fastfouriertransform.cpp | 6 +-
test-suite/fdcev.cpp | 26 +-
test-suite/fdcir.cpp | 4 +-
test-suite/fdheston.cpp | 142 +-
test-suite/fdmlinearop.cpp | 316 +-
test-suite/fdsabr.cpp | 167 +-
test-suite/fittedbonddiscountcurve.cpp | 6 +-
test-suite/forwardoption.cpp | 289 +-
test-suite/forwardrateagreement.cpp | 6 +-
test-suite/functions.cpp | 4 +-
test-suite/garch.cpp | 92 +-
test-suite/gaussianquadratures.cpp | 209 +-
test-suite/gjrgarchmodel.cpp | 24 +-
test-suite/gsr.cpp | 6 +-
test-suite/hestonmodel.cpp | 3 -
test-suite/hestonslvmodel.cpp | 865 +-
test-suite/himalayaoption.cpp | 6 +-
test-suite/hybridhestonhullwhiteprocess.cpp | 248 +-
test-suite/indexes.cpp | 6 +-
test-suite/inflation.cpp | 310 +-
test-suite/inflationcapfloor.cpp | 319 +-
test-suite/inflationcapflooredcoupon.cpp | 444 +-
test-suite/inflationcpibond.cpp | 203 +-
test-suite/inflationcpicapfloor.cpp | 468 +-
test-suite/inflationcpiswap.cpp | 360 +-
test-suite/inflationvolatility.cpp | 430 +-
test-suite/instruments.cpp | 6 +-
test-suite/integrals.cpp | 227 +-
test-suite/interestrates.cpp | 30 +-
test-suite/interpolations.cpp | 310 +-
test-suite/jumpdiffusion.cpp | 39 +-
test-suite/lazyobject.cpp | 41 +-
test-suite/libormarketmodel.cpp | 112 +-
test-suite/libormarketmodelprocess.cpp | 105 +-
test-suite/linearleastsquaresregression.cpp | 25 +-
test-suite/lookbackoptions.cpp | 55 +-
test-suite/lowdiscrepancysequences.cpp | 642 +-
test-suite/margrabeoption.cpp | 104 +-
test-suite/margrabeoption.hpp | 34 -
test-suite/marketmodel.hpp | 2 +-
test-suite/marketmodel_cms.cpp | 683 +-
test-suite/marketmodel_cms.hpp | 37 -
test-suite/marketmodel_smm.cpp | 681 +-
test-suite/marketmodel_smm.hpp | 50 -
.../marketmodel_smmcapletalphacalibration.cpp | 298 +-
.../marketmodel_smmcapletalphacalibration.hpp | 34 -
test-suite/marketmodel_smmcapletcalibration.cpp | 299 +-
test-suite/marketmodel_smmcapletcalibration.hpp | 34 -
.../marketmodel_smmcaplethomocalibration.cpp | 327 +-
.../marketmodel_smmcaplethomocalibration.hpp | 36 -
test-suite/markovfunctional.cpp | 1000 +-
test-suite/markovfunctional.hpp | 40 -
test-suite/matrices.cpp | 246 +-
test-suite/matrices.hpp | 52 -
test-suite/mclongstaffschwartzengine.cpp | 153 +-
test-suite/mclongstaffschwartzengine.hpp | 37 -
test-suite/mersennetwister.cpp | 16 +-
test-suite/mersennetwister.hpp | 35 -
test-suite/money.cpp | 187 +-
test-suite/money.hpp | 37 -
test-suite/noarbsabr.cpp | 21 +-
test-suite/noarbsabr.hpp | 36 -
test-suite/normalclvmodel.cpp | 66 +-
test-suite/normalclvmodel.hpp | 37 -
test-suite/nthorderderivativeop.cpp | 622 +-
test-suite/nthorderderivativeop.hpp | 47 -
test-suite/nthtodefault.cpp | 148 +-
test-suite/nthtodefault.hpp | 36 -
test-suite/numericaldifferentiation.cpp | 137 +-
test-suite/numericaldifferentiation.hpp | 38 -
test-suite/observable.cpp | 224 +-
test-suite/observable.hpp | 41 -
test-suite/ode.cpp | 86 +-
test-suite/ode.hpp | 38 -
test-suite/operators.cpp | 21 +-
test-suite/operators.hpp | 38 -
test-suite/optimizers.cpp | 540 +-
test-suite/optimizers.hpp | 36 -
test-suite/optionletstripper.cpp | 663 +-
test-suite/optionletstripper.hpp | 42 -
test-suite/overnightindexedcoupon.cpp | 154 +-
test-suite/overnightindexedcoupon.hpp | 40 -
test-suite/overnightindexedswap.cpp | 443 +-
test-suite/overnightindexedswap.hpp | 46 -
test-suite/pagodaoption.cpp | 16 +-
test-suite/pagodaoption.hpp | 32 -
test-suite/paralleltestrunner.hpp | 2 +-
test-suite/partialtimebarrieroption.cpp | 33 +-
test-suite/partialtimebarrieroption.hpp | 35 -
test-suite/pathgenerator.cpp | 198 +-
test-suite/pathgenerator.hpp | 36 -
test-suite/period.cpp | 21 +-
test-suite/period.hpp | 37 -
test-suite/piecewiseyieldcurve.cpp | 1216 +-
test-suite/piecewiseyieldcurve.hpp | 69 -
test-suite/piecewisezerospreadedtermstructure.cpp | 147 +-
test-suite/piecewisezerospreadedtermstructure.hpp | 43 -
test-suite/{speedlevel.cpp => preconditions.cpp} | 9 +-
test-suite/{speedlevel.hpp => preconditions.hpp} | 9 +-
test-suite/prices.cpp | 213 +
test-suite/quantlibglobalfixture.cpp | 22 +-
test-suite/quantlibglobalfixture.hpp | 5 +-
test-suite/quantlibtestsuite.cpp | 166 +-
test-suite/quantooption.cpp | 339 +-
test-suite/quantooption.hpp | 48 -
test-suite/quotes.cpp | 46 +-
test-suite/quotes.hpp | 39 -
test-suite/rangeaccrual.cpp | 611 +-
test-suite/rangeaccrual.hpp | 36 -
test-suite/riskneutraldensitycalculator.cpp | 188 +-
test-suite/riskneutraldensitycalculator.hpp | 42 -
test-suite/riskstats.cpp | 16 +-
test-suite/riskstats.hpp | 35 -
test-suite/rngtraits.cpp | 26 +-
test-suite/rngtraits.hpp | 39 -
test-suite/rounding.cpp | 112 +-
test-suite/rounding.hpp | 39 -
test-suite/sampledcurve.cpp | 28 +-
test-suite/sampledcurve.hpp | 35 -
test-suite/schedule.cpp | 118 +-
test-suite/schedule.hpp | 59 -
test-suite/settings.cpp | 15 +-
test-suite/settings.hpp | 35 -
test-suite/shortratemodels.cpp | 50 +-
test-suite/shortratemodels.hpp | 41 -
test-suite/sofrfutures.cpp | 31 +-
test-suite/sofrfutures.hpp | 32 -
test-suite/solvers.cpp | 281 +-
test-suite/solvers.hpp | 43 -
test-suite/spreadoption.cpp | 17 +-
test-suite/spreadoption.hpp | 35 -
test-suite/squarerootclvmodel.cpp | 1026 +-
test-suite/squarerootclvmodel.hpp | 34 -
test-suite/stats.cpp | 493 +-
test-suite/stats.hpp | 41 -
test-suite/subperiodcoupons.cpp | 285 +-
test-suite/subperiodcoupons.hpp | 42 -
test-suite/svivolatility.cpp | 15 +-
test-suite/svivolatility.hpp | 35 -
test-suite/swap.cpp | 139 +-
test-suite/swap.hpp | 41 -
test-suite/swapforwardmappings.cpp | 419 +-
test-suite/swapforwardmappings.hpp | 37 -
test-suite/swaption.cpp | 213 +-
test-suite/swaption.hpp | 46 -
test-suite/swaptionvolatilitycube.cpp | 219 +-
test-suite/swaptionvolatilitycube.hpp | 42 -
test-suite/swaptionvolatilitymatrix.cpp | 396 +-
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
merge
commit 2dfb5b3bf2abcdff878bab5ee40eb6935ead80d6
Author: klaus spanderen
Date: Sun, 17 Dec 2023 20:32:49 +0100
bring back deprecated function
ql/pricingengines/vanilla/analytichestonengine.cpp | 98 +++++++++++++++++++++-
ql/pricingengines/vanilla/analytichestonengine.hpp | 18 ++++
2 files changed, 115 insertions(+), 1 deletion(-)
commit 23b94c3f7680cad17cd067e36d18e1e06c8fb9e0
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 | 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 f43052105e8d003e00800e639f5125a20f3eb96e
Merge: 119c2f61f 98822d7ba
Author: Luigi Ballabio
Date: Sun, 17 Dec 2023 19:50:35 +0100
Cleanup of automated tests (#1860)
commit bc9ae0463dc637cbc57f412fc61607b366673758
Author: klaus spanderen
Date: Sun, 17 Dec 2023 17:25:02 +0100
eliminate separate enum
.../vanilla/exponentialfittinghestonengine.cpp | 18 +++++++-----------
.../vanilla/exponentialfittinghestonengine.hpp | 20 +++-----------------
test-suite/hestonmodel.cpp | 2 +-
3 files changed, 11 insertions(+), 29 deletions(-)
commit 81c4add50fed5d769fdbbea9bde98a5fe66bd54b
Author: Paul
Date: Sun, 17 Dec 2023 15:33:43 +0100
cleanup: remove debug code
test-suite/dates.cpp | 3 ---
1 file changed, 3 deletions(-)
commit e5e01b7f2d69312de6f4f1768e84a07873443da7
Author: Paul
Date: Sun, 17 Dec 2023 15:22:41 +0100
ECB::isECBcode(code string): no temp string heap allocations
ql/time/ecb.cpp | 35 ++++++++++++-----------------------
1 file changed, 12 insertions(+), 23 deletions(-)
commit 9b10957b5504121bb9dd9feeec4af005154558a4
Author: Paul
Date: Sun, 17 Dec 2023 15:21:30 +0100
ECB::isECBcode(code string) tests
test-suite/dates.cpp | 16 ++++++++++++++++
1 file changed, 16 insertions(+)
commit 119c2f61fefb4d8fdba198e8029a40290b0a6185
Author: Luigi Ballabio
Date: Thu, 14 Dec 2023 18:33:53 +0100
Upgrade some CI builds to Boost 1.84.0
.github/workflows/cmake.yml | 6 +++---
.github/workflows/msvc-analysis.yml | 2 +-
2 files changed, 4 insertions(+), 4 deletions(-)
commit 98822d7ba7c691f2972eb012d6e02b7b1516fc92
Author: Luigi Ballabio
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(-)
commit bedde48f5fa36c27702b5d1dfc2c209029ee16bc
Merge: e03b7c383 c9b2ead68
Author: Luigi Ballabio
Date: Fri, 15 Dec 2023 17:31:56 +0100
Fix typo (#1858)
commit 6171c004459165cff3918fbf1f2b0af9513877ff
Author: Luigi Ballabio
Date: Thu, 14 Dec 2023 18:10:22 +0100
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
Fix typo
ql/time/date.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 66de7b5779441f5afcbcfefda95e0a6dd6311f88
Author: Fredrik Gerdin Börjesson
Date: Thu, 14 Dec 2023 16:36:33 +0100
Add known BoT/Thailand holidays for 2022-2024
ql/time/calendars/thailand.cpp | 27 +++++++++++++++++++++++++++
ql/time/calendars/thailand.hpp | 2 +-
2 files changed, 28 insertions(+), 1 deletion(-)
commit f0e2e84cf55b5777363359c83f969f9278cd6209
Author: Fredrik Gerdin Börjesson
Date: Thu, 14 Dec 2023 16:35:43 +0100
Correct rules for Thailand holidays until 2021
ql/time/calendars/thailand.cpp | 13 ++++++-------
ql/time/calendars/thailand.hpp | 5 +++--
2 files changed, 9 insertions(+), 9 deletions(-)
commit 7aa44c8fe92a80f23fdf48a3eb154de0f983a91c
Author: Matthias Groncki
Date: Fri, 18 Jun 2021 11:11:11 +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
ql/time/calendars/thailand.cpp | 69 +++++++++++++++++++++++++++++++-----------
1 file changed, 51 insertions(+), 18 deletions(-)
commit 540a5753655e5d6a3ca69cc556e533ff7c288cd0
Author: Luigi Ballabio
Date: Thu, 14 Dec 2023 09:51:34 +0100
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(-)
commit aec9a77e7d5c2cb855d357c5c1d129eb621a9681
Author: Paul
Date: Wed, 13 Dec 2023 17:54:04 +0100
cleanup: remove unnecessary using statements
ql/time/asx.cpp | 3 ---
1 file changed, 3 deletions(-)
commit ced02765ce15acd961b490638ffea3a415365763
Author: Paul
Date: Wed, 13 Dec 2023 17:52:42 +0100
ASX::date(): remove temporary mem allocation; simplify implementation
ql/time/asx.cpp | 44 +++++++++++++++++---------------------------
1 file changed, 17 insertions(+), 27 deletions(-)
commit 6ce309265755d9c3d4585343c2a6ec468686da7e
Author: Paul
Date: Wed, 13 Dec 2023 17:19:27 +0100
ASX::code(): simplify implementation
ql/time/asx.cpp | 65 ++++++++++++++-------------------------------------------
1 file changed, 16 insertions(+), 49 deletions(-)
commit e03b7c383eb054c7930a60ba60545a1801ce7d14
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 13 Dec 2023 15:43:37 +0000
Update copyright list in license
LICENSE.TXT | 2 ++
1 file changed, 2 insertions(+)
commit 2526321bda5185d35cc26d6ac4fe0f80ac3e10b3
Merge: edac8988a 9cfd2ab17
Author: Luigi Ballabio
Date: Wed, 13 Dec 2023 16:43:17 +0100
fuzz: Add american option fuzzer (#1833)
commit edac8988a31b71517129afcfeef2b965942a3335
Merge: 591e3d7fc 279b4d73a
Author: Luigi Ballabio
Date: Wed, 13 Dec 2023 14:42:26 +0100
GH-1791 add clarifying comment and unit test to confirm result caching (#1850)
commit 591e3d7fc730b855e2aec2b5c4b92f8bf4dcc702
Merge: 55f945c5a 4faa88f2b
Author: Luigi Ballabio
Date: Wed, 13 Dec 2023 14:41:34 +0100
Unit test for prices.hpp (#1841)
commit e2290d4f9dac0549495ae1ca7fbe6a1debbf2ea4
Author: Paul
Date: Tue, 12 Dec 2023 17:49:18 +0100
isASXcode: reimplement without temporary mem allocs
ql/time/asx.cpp | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
commit 55f945c5a6e574f714f65ec9c9e160fe58a0536c
Author: Luigi Ballabio
Date: Wed, 13 Dec 2023 12:11:23 +0100
Fix typo
fuzz-test-suite/amortizedbondsfuzzer.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4faa88f2b1ed18c5cfe656884a76bdf437991214
Author: Luigi Ballabio
Date: Wed, 13 Dec 2023 12:04:26 +0100
No need for an anonymous namespace
test-suite/prices.cpp | 286 +++++++++++++++++++++++++-------------------------
1 file changed, 143 insertions(+), 143 deletions(-)
commit 1cfefcfb1333cdd11fbcd9e5eb745a3b72ea58b2
Merge: 5611dec05 5cf6983f7
Author: Luigi Ballabio
Date: Wed, 13 Dec 2023 11:42:19 +0100
fuzz: Add amortized-bonds fuzzer (#1832)
commit 37db27162620961d79ca2e5c82155de3546a6d0c
Author: Luigi Ballabio
Date: Wed, 13 Dec 2023 11:40:51 +0100
Move process creation before engine creation
fuzz-test-suite/fuzzamericanoption.cpp | 9 +++++----
1 file changed, 5 insertions(+), 4 deletions(-)
commit 279b4d73a04e746d65cf95fc09f785959dbd8d33
Author: Peter Caspers
Date: Tue, 12 Dec 2023 19:33:20 +0100
GH-1791 add clarifying comment and unit test to confirm result caching
ql/pricingengines/swaption/blackswaptionengine.hpp | 7 +++---
test-suite/swaption.cpp | 26 ++++++++++++++++++++++
2 files changed, 30 insertions(+), 3 deletions(-)
commit 5cf6983f70c4998d38fc5da7929de0ff7f06b4c9
Author: Nathaniel Brough
Date: Wed, 15 Nov 2023 14:44:47 -0800
fuzz: Add amortized-bonds fuzzer
fuzz-test-suite/CMakeLists.txt | 12 +++--
fuzz-test-suite/amortizedbondsfuzzer.cpp | 80 ++++++++++++++++++++++++++++++++
2 files changed, 87 insertions(+), 5 deletions(-)
commit f5815856090725fce16e1995f8f2f39d3827086f
Author: Nathaniel Brough
Date: Wed, 15 Nov 2023 16:20:36 -0800
fuzz: Add american option fuzzer
fuzz-test-suite/CMakeLists.txt | 11 ++-
fuzz-test-suite/fuzzamericanoption.cpp | 130 +++++++++++++++++++++++++++++++++
2 files changed, 137 insertions(+), 4 deletions(-)
commit e5133dad3d0e1f0762f2407c1cc40a07437a805e
Author: Paul
Date: Tue, 12 Dec 2023 17:32:26 +0100
test isASXdate, nextDate, nextCode
test-suite/dates.cpp | 31 +++++++++++++++++++++++++++++++
1 file changed, 31 insertions(+)
commit 5df997add0404e933cd91cbd871798d6bb1fa149
Author: Paul
Date: Tue, 12 Dec 2023 16:31:57 +0100
cleanup unit test
test-suite/dates.cpp | 32 +++++++++++++-------------------
1 file changed, 13 insertions(+), 19 deletions(-)
commit 79d1b1f9148315331ea41c3daada116216dcf40b
Author: Paul
Date: Tue, 12 Dec 2023 16:04:42 +0100
const correctness
test-suite/timeseries.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit fa81ccfbf95bdf9fcef108b21cd8491d8ce2cb39
Author: Fredrik Gerdin Börjesson
Date: Tue, 12 Dec 2023 15:52:03 +0100
Stop moving Juneteenth to Friday if Saturday for Fed
ql/time/calendars/unitedstates.cpp | 8 ++++----
test-suite/calendars.cpp | 30 ++++++++++++++++++++++++++++++
2 files changed, 34 insertions(+), 4 deletions(-)
commit 3004b51520bc60753389782bffcb7be9c6b13a6c
Author: Paul
Date: Tue, 12 Dec 2023 14:07:24 +0100
test utilities: find, dates, values
test-suite/timeseries.cpp | 44 ++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 44 insertions(+)
commit 3966f81d260e1dfd87b58917a3e1223d2415ed1b
Author: Fredrik Gerdin Börjesson
Date: Tue, 12 Dec 2023 15:06:22 +0100
Add TWSE holidays for 2024 to Taiwan calendar
ql/time/calendars/taiwan.cpp | 20 ++++++++++++++++++++
ql/time/calendars/taiwan.hpp | 3 ++-
2 files changed, 22 insertions(+), 1 deletion(-)
commit c2dcfd90bcfd6e7e94eab7efeef5e14c1ce776f4
Author: Paul
Date: Sun, 10 Dec 2023 14:07:22 +0100
test inspectors: firstDate, size, empty
test-suite/timeseries.cpp | 8 +++++---
1 file changed, 5 insertions(+), 3 deletions(-)
commit ed051227cce85e6fdbcd27fa38f85e7bbe21945d
Author: Paul
Date: Sun, 10 Dec 2023 14:04:10 +0100
split up test
test-suite/timeseries.cpp | 112 +++++++++++++++++++++++-----------------------
1 file changed, 55 insertions(+), 57 deletions(-)
commit 8f7493900ee3e2058dc1a24c6b8dbdd6d0d02a71
Author: Paul
Date: Tue, 12 Dec 2023 14:17:29 +0100
remove nested anonymous namespaces
test-suite/prices.cpp | 32 ++++++++++++++------------------
1 file changed, 14 insertions(+), 18 deletions(-)
commit f8cbb3690b73da0bd15e3019129aa5b3a8c5e4e4
Author: Paul
Date: Tue, 12 Dec 2023 14:17:02 +0100
fix copy-paste errors
test-suite/prices.cpp | 7 +++----
1 file changed, 3 insertions(+), 4 deletions(-)
commit e3939ca436998d568e664d269f4cf4f0d0783cc6
Author: Paul
Date: Tue, 12 Dec 2023 14:13:23 +0100
claim copyright
test-suite/prices.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5611dec05f484abd5973519b5bc73b703b0fe696
Merge: 6304a211b 23e541c6e
Author: Luigi Ballabio
Date: Tue, 12 Dec 2023 10:34:06 +0100
TimeGrid: Complete the unit tests (#1844)
commit 6304a211bbc1b4b4cc1c84c22c1553c218ef0509
Merge: aab8c6979 30e1ec114
Author: Luigi Ballabio
Date: Tue, 12 Dec 2023 10:33:21 +0100
Clean up types in SobolRsg (#1843)
commit aab8c69792a7d15447ebedce919431f53df0f1a2
Merge: c74153225 7d1c6b838
Author: Luigi Ballabio
Date: Tue, 12 Dec 2023 00:21:24 +0100
Deprecate Currency::format (#1810)
commit 3a4dcb0ab73d11d67388e80d5daccffd6a987f17
Author: moixastrikes
Date: Mon, 11 Dec 2023 15:43:02 -0500
Added Dec. 31 NYE holiday to Chilean calendar in chile.cpp
ql/time/calendars/chile.cpp | 2 ++
1 file changed, 2 insertions(+)
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]
.github/workflows/stale.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7345a7d38b19e70c52fa1c84a0e475359deab6f7
Author: Luigi Ballabio
Date: Mon, 11 Dec 2023 14:54:38 +0100
Fix typo in template argument name
ql/money.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 86a8fa85552933a250ce66d75000522801e6e4a9
Merge: 1cb2dfc4a 1bc5f91c0
Author: Luigi Ballabio
Date: Mon, 11 Dec 2023 13:41:01 +0100
Money: Implementation simplification and increased unit test coverage (#1840)
commit 7d1c6b8386de79d5cd5c9095b0c97ee0e2058769
Author: Jonathan Sweemer
Date: Tue, 10 Oct 2023 21:47:13 +0900
Deprecate Currency::format
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 23e541c6ee64822f89eac5888e1865ff61ea8f54
Author: Paul
Date: Sat, 9 Dec 2023 22:31:41 +0100
undo whitespace changes
test-suite/timegrid.cpp | 16 ++++++++--------
1 file changed, 8 insertions(+), 8 deletions(-)
commit 6abf054209bea0281d9ff41167c8cac8bc7a63a4
Author: Paul
Date: Sat, 9 Dec 2023 22:25:50 +0100
better test message
test-suite/timegrid.cpp | 19 ++++++++++---------
1 file changed, 10 insertions(+), 9 deletions(-)
commit 30e1ec114cf54bc4a911bc81860c8736eb3d268d
Author: Peter Caspers
Date: Sat, 9 Dec 2023 18:48:35 +0100
GH-1821 clean up types, remove bits_ and normalizationFactor_ as separate members
ql/math/randomnumbers/sobolrsg.cpp | 77973 +++++++++++++++++------------------
ql/math/randomnumbers/sobolrsg.hpp | 18 +-
2 files changed, 38992 insertions(+), 38999 deletions(-)
commit eff0c83ffa8a4a75d5ab8ed711cacac0521a3558
Author: Paul
Date: Fri, 8 Dec 2023 23:01:35 +0100
full test coverage of timegrid
test-suite/timegrid.cpp | 35 +++++++++++++++++++++++++++++++++++
1 file changed, 35 insertions(+)
commit 1bc5f91c0f578c8fa3fc5cb58198d9149a350d09
Author: Paul
Date: Wed, 6 Dec 2023 20:22:54 +0100
simplify generic compare/apply function
ql/money.cpp | 29 +++++++++++------------------
1 file changed, 11 insertions(+), 18 deletions(-)
commit 2aabea04d51db05da98f034f65ca035a0bc85c68
Author: Paul
Date: Fri, 1 Dec 2023 21:34:20 +0100
unit test: check comparisons
test-suite/money.cpp | 64 ++++++++++++++++++++++++++++++++++++++++++++
test-suite/preconditions.hpp | 2 +-
2 files changed, 65 insertions(+), 1 deletion(-)
commit 143a732f899aa8df0bb24204f259f785b1892876
Author: Paul
Date: Wed, 6 Dec 2023 20:56:04 +0100
unit test: compare values with tolerance (+style changes)
test-suite/money.cpp | 106 +++++++++++++++++++++++++++------------------------
1 file changed, 56 insertions(+), 50 deletions(-)
commit e79c868a648cbaee15cf9c35f21e829ef50acf64
Author: Paul
Date: Tue, 28 Nov 2023 21:08:54 +0100
money: operator/
ql/money.cpp | 62 ++++++++++++++++++++++++++----------------------------------
1 file changed, 27 insertions(+), 35 deletions(-)
commit 70f47bb171e07a5c9f510254b666458970158430
Author: Paul
Date: Tue, 28 Nov 2023 21:08:09 +0100
money: operator-= in terms of operator+=
ql/money.cpp | 17 +----------------
1 file changed, 1 insertion(+), 16 deletions(-)
commit 6f9f82640003e231f7b74df879f5acca1e3cd95c
Author: Paul
Date: Tue, 28 Nov 2023 20:53:56 +0100
money: unify comparison operators
ql/money.cpp | 122 ++++++++++++++++++-----------------------------------------
1 file changed, 36 insertions(+), 86 deletions(-)
commit 79df5df65a007425b56fd3b593a0af12477f7009
Author: Paul
Date: Mon, 27 Nov 2023 20:32:23 +0100
add test for operator/(money, money)
test-suite/money.cpp | 29 +++++++++++++++++++----------
1 file changed, 19 insertions(+), 10 deletions(-)
commit 8fdf0fc3a51b0e9301ed375f58bf102ec54be91e
Author: Paul
Date: Tue, 5 Dec 2023 20:56:34 +0100
remove header from build files
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(-)
commit 8b2367a085e9f1f7749284d69e3447c6eb83e28b
Author: Paul
Date: Tue, 5 Dec 2023 20:54:00 +0100
use BOOST_FIXTURE_TEST_SUITE
test-suite/prices.cpp | 66 ++++++++++++++++++++--------------------
test-suite/prices.hpp | 30 ------------------
test-suite/quantlibtestsuite.cpp | 2 --
3 files changed, 33 insertions(+), 65 deletions(-)
commit 12a9e3c339eb8b15b5e1447843a9810ae2d30adb
Merge: 6fae6216b 3d6cec9f7
Author: Paul
Date: Tue, 5 Dec 2023 20:37:22 +0100
rebase onto master + merge
commit 6fae6216b1778dbf4ae99574cd90e8350b96b7c1
Author: Paul
Date: Tue, 5 Dec 2023 20:19:35 +0100
revert for-loop to std::tranform change
ql/prices.cpp | 8 +++-----
1 file changed, 3 insertions(+), 5 deletions(-)
commit 1cb2dfc4acccdfa78d0a24ca4898bc281e7235f7
Author: Luigi Ballabio
Date: Tue, 5 Dec 2023 18:17:46 +0100
Remove spurious messages in test case
test-suite/lowdiscrepancysequences.cpp | 7 +------
1 file changed, 1 insertion(+), 6 deletions(-)
commit 3d6cec9f79ac71379d8eadeb1fb369d3b6f9e8fe
Merge: 261bbc101 1e071626f
Author: Luigi Ballabio
Date: Mon, 4 Dec 2023 10:39:57 +0100
Automated registration of Unit test using boost test (#1834)
commit 261bbc101b01178270c40f5644de3cbd7d4ee669
Merge: 1b2fcf5bc 87e6e3c89
Author: Luigi Ballabio
Date: Mon, 4 Dec 2023 10:30:01 +0100
Initialize bounds in Solver1D (#1842)
commit 87e6e3c8936559d1c7c85bb53d0b0b626667bfea
Author: Jonathan Sweemer
Date: Sun, 3 Dec 2023 20:31:01 +0900
Initialize bounds
ql/math/solver1d.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5491294438e23726bdd5e7421a978035a49e81a9
Author: Paul
Date: Sat, 2 Dec 2023 22:46:17 +0100
include new files in vcxproj files
test-suite/testsuite.vcxproj | 4 +++-
test-suite/testsuite.vcxproj.filters | 6 ++++++
2 files changed, 9 insertions(+), 1 deletion(-)
commit 6c6ffbbae56b725d1adc68eaf0687b9494f67b7c
Author: Paul
Date: Sat, 2 Dec 2023 19:30:27 +0100
remove maybe_unused attribute
test-suite/prices.cpp | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
commit b0af6f153d9cef56e833e0007d44471342d4d2dc
Author: Paul
Date: Sat, 2 Dec 2023 17:39:06 +0100
use std::transform + style change
ql/prices.cpp | 8 +++++---
ql/prices.hpp | 2 +-
2 files changed, 6 insertions(+), 4 deletions(-)
commit 9e190c022724afe5c4f86f2809beeae700780965
Author: Paul
Date: Sat, 2 Dec 2023 17:26:16 +0100
testing IntervalPrice::extractComponent()
ql/prices.hpp | 2 +-
test-suite/prices.cpp | 48 +++++++++++++++++++++++++++++++++++++++++++++++-
2 files changed, 48 insertions(+), 2 deletions(-)
commit d6c75be890139a25f83902b4fcda88c1314676be
Author: Paul
Date: Sat, 2 Dec 2023 16:55:30 +0100
testing IntervalPrice::extractValues
ql/prices.hpp | 2 +-
test-suite/prices.cpp | 25 +++++++++++++++++++++++++
2 files changed, 26 insertions(+), 1 deletion(-)
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