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ChangeLog.txt
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commit affcf873178a13c9109e2143448e10cfdc3dab5e
Author: Luigi Ballabio <[email protected]>
Date: Tue, 26 Sep 2017 14:58:11 +0200
Let CMake use the dynamic Boost libraries by default.
Fixes #257.
CMakeLists.txt | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8285d602c8c3b9e7be5345012c766ff715c5df7e
Author: Luigi Ballabio <[email protected]>
Date: Wed, 20 Sep 2017 16:05:43 +0200
Don't add test when it's disabled.
test-suite/daycounters.cpp | 3 +++
1 file changed, 3 insertions(+)
commit 5df87f7c81b20dc3eece2c698ba6be18367f4c37
Author: Luigi Ballabio <[email protected]>
Date: Wed, 20 Sep 2017 15:16:36 +0200
Decrease tolerance when indexed coupons are enabled.
test-suite/creditdefaultswap.cpp | 10 +++++++++-
1 file changed, 9 insertions(+), 1 deletion(-)
commit f3ec9351cf187b0c9c9f674601ed493b5459dc0f
Author: Luigi Ballabio <[email protected]>
Date: Wed, 20 Sep 2017 13:38:19 +0200
Restore intra-day part of year fraction for Act/360.
ql/time/daycounters/actual360.hpp | 26 ++++++++++++++++----------
1 file changed, 16 insertions(+), 10 deletions(-)
commit f2e51110521fdb34b33610d495110ad610254eac
Author: Luigi Ballabio <[email protected]>
Date: Mon, 18 Sep 2017 11:11:22 +0200
Pass proper bools instead of ints.
test-suite/hestonslvmodel.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 61049e1b17f635cb8bf5c931349e88496fe4ffa9
Author: Luigi Ballabio <[email protected]>
Date: Fri, 15 Sep 2017 10:30:25 +0200
Don't distribute generated unity sources.
ql/cashflows/Makefile.am | 2 +-
ql/currencies/Makefile.am | 2 +-
ql/experimental/amortizingbonds/Makefile.am | 2 +-
ql/experimental/averageois/Makefile.am | 2 +-
ql/experimental/barrieroption/Makefile.am | 2 +-
ql/experimental/callablebonds/Makefile.am | 2 +-
ql/experimental/catbonds/Makefile.am | 2 +-
ql/experimental/commodities/Makefile.am | 2 +-
ql/experimental/convertiblebonds/Makefile.am | 2 +-
ql/experimental/coupons/Makefile.am | 2 +-
ql/experimental/credit/Makefile.am | 2 +-
ql/experimental/exoticoptions/Makefile.am | 2 +-
ql/experimental/finitedifferences/Makefile.am | 2 +-
ql/experimental/fx/Makefile.am | 2 +-
ql/experimental/inflation/Makefile.am | 2 +-
ql/experimental/lattices/Makefile.am | 2 +-
ql/experimental/math/Makefile.am | 2 +-
ql/experimental/mcbasket/Makefile.am | 2 +-
ql/experimental/models/Makefile.am | 2 +-
ql/experimental/processes/Makefile.am | 2 +-
ql/experimental/risk/Makefile.am | 2 +-
ql/experimental/shortrate/Makefile.am | 2 +-
ql/experimental/swaptions/Makefile.am | 2 +-
ql/experimental/variancegamma/Makefile.am | 2 +-
ql/experimental/varianceoption/Makefile.am | 2 +-
ql/experimental/volatility/Makefile.am | 2 +-
ql/indexes/Makefile.am | 2 +-
ql/indexes/ibor/Makefile.am | 2 +-
ql/indexes/swap/Makefile.am | 2 +-
ql/instruments/Makefile.am | 2 +-
ql/instruments/bonds/Makefile.am | 2 +-
ql/legacy/libormarketmodels/Makefile.am | 2 +-
ql/math/Makefile.am | 2 +-
ql/math/copulas/Makefile.am | 2 +-
ql/math/distributions/Makefile.am | 2 +-
ql/math/integrals/Makefile.am | 2 +-
ql/math/matrixutilities/Makefile.am | 2 +-
ql/math/optimization/Makefile.am | 2 +-
ql/math/randomnumbers/Makefile.am | 2 +-
ql/math/statistics/Makefile.am | 2 +-
ql/methods/finitedifferences/Makefile.am | 2 +-
ql/methods/finitedifferences/meshers/Makefile.am | 2 +-
ql/methods/finitedifferences/operators/Makefile.am | 2 +-
ql/methods/finitedifferences/schemes/Makefile.am | 2 +-
ql/methods/finitedifferences/solvers/Makefile.am | 2 +-
ql/methods/finitedifferences/stepconditions/Makefile.am | 2 +-
ql/methods/finitedifferences/utilities/Makefile.am | 2 +-
ql/methods/lattices/Makefile.am | 2 +-
ql/methods/montecarlo/Makefile.am | 2 +-
ql/models/Makefile.am | 2 +-
ql/models/equity/Makefile.am | 2 +-
ql/models/marketmodels/Makefile.am | 2 +-
ql/models/marketmodels/browniangenerators/Makefile.am | 2 +-
ql/models/marketmodels/callability/Makefile.am | 2 +-
ql/models/marketmodels/correlations/Makefile.am | 2 +-
ql/models/marketmodels/curvestates/Makefile.am | 2 +-
ql/models/marketmodels/driftcomputation/Makefile.am | 2 +-
ql/models/marketmodels/evolvers/Makefile.am | 2 +-
ql/models/marketmodels/evolvers/volprocesses/Makefile.am | 2 +-
ql/models/marketmodels/models/Makefile.am | 2 +-
ql/models/marketmodels/pathwisegreeks/Makefile.am | 2 +-
ql/models/marketmodels/products/Makefile.am | 2 +-
ql/models/marketmodels/products/multistep/Makefile.am | 2 +-
ql/models/marketmodels/products/onestep/Makefile.am | 2 +-
ql/models/marketmodels/products/pathwise/Makefile.am | 2 +-
ql/models/shortrate/Makefile.am | 2 +-
ql/models/shortrate/calibrationhelpers/Makefile.am | 2 +-
ql/models/shortrate/onefactormodels/Makefile.am | 2 +-
ql/models/shortrate/twofactormodels/Makefile.am | 2 +-
ql/models/volatility/Makefile.am | 2 +-
ql/patterns/Makefile.am | 2 +-
ql/pricingengines/Makefile.am | 2 +-
ql/pricingengines/asian/Makefile.am | 2 +-
ql/pricingengines/barrier/Makefile.am | 2 +-
ql/pricingengines/basket/Makefile.am | 2 +-
ql/pricingengines/bond/Makefile.am | 2 +-
ql/pricingengines/capfloor/Makefile.am | 2 +-
ql/pricingengines/cliquet/Makefile.am | 2 +-
ql/pricingengines/credit/Makefile.am | 2 +-
ql/pricingengines/inflation/Makefile.am | 2 +-
ql/pricingengines/lookback/Makefile.am | 2 +-
ql/pricingengines/swap/Makefile.am | 2 +-
ql/pricingengines/swaption/Makefile.am | 2 +-
ql/pricingengines/vanilla/Makefile.am | 2 +-
ql/processes/Makefile.am | 2 +-
ql/quotes/Makefile.am | 2 +-
ql/termstructures/Makefile.am | 2 +-
ql/termstructures/credit/Makefile.am | 2 +-
ql/termstructures/inflation/Makefile.am | 2 +-
ql/termstructures/volatility/Makefile.am | 2 +-
ql/termstructures/volatility/capfloor/Makefile.am | 2 +-
ql/termstructures/volatility/equityfx/Makefile.am | 2 +-
ql/termstructures/volatility/inflation/Makefile.am | 2 +-
ql/termstructures/volatility/optionlet/Makefile.am | 2 +-
ql/termstructures/volatility/swaption/Makefile.am | 2 +-
ql/termstructures/yield/Makefile.am | 2 +-
ql/time/Makefile.am | 2 +-
ql/time/calendars/Makefile.am | 2 +-
ql/time/daycounters/Makefile.am | 2 +-
ql/utilities/Makefile.am | 2 +-
100 files changed, 100 insertions(+), 100 deletions(-)
commit 5fbc47df7c439a199bc9ed7c4550010c42062e46
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Sep 2017 17:34:46 +0200
Update copyrights.
Docs/pages/license.docs | 18 ++++++++++++------
LICENSE.TXT | 5 +++--
2 files changed, 15 insertions(+), 8 deletions(-)
commit 06ef94b7cb509889d4107b26ebc44ff660e712b2
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Sep 2017 16:01:52 +0200
Consistent formatting in test messages.
test-suite/blackformula.cpp | 3 +--
test-suite/bonds.cpp | 7 ++++---
test-suite/bonds.hpp | 2 +-
test-suite/creditdefaultswap.cpp | 2 +-
test-suite/fdmlinearop.cpp | 6 +++---
test-suite/hestonmodel.cpp | 8 ++++----
test-suite/overnightindexedswap.cpp | 4 ++--
7 files changed, 16 insertions(+), 16 deletions(-)
commit 077058a155248988e76de79a121d8e85f6548d99
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Sep 2017 11:19:31 +0200
Ensure self-consistency of header file.
ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp | 1 +
1 file changed, 1 insertion(+)
commit 89d920d9eb4bf3c83aa2924310d13186be9b5c87
Merge: a2ea8f01a 792f464c7
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Sep 2017 15:20:58 +0200
Merge pull request #309.
commit a2ea8f01a2ff4b0e9ae4982d037c0025cdaca0ac
Merge: f9d8a9ba5 9c2b1d2f6
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Sep 2017 15:13:26 +0200
Merge pull request #308.
commit 792f464c7e85b38091e1fadf716a1ad8c7ef3f28
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Sep 2017 14:19:00 +0200
Remove obsolete workaround for older versions of Boost.
acinclude.m4 | 18 -
ql/config.msvc.hpp | 3 -
test-suite/Makefile.am | 2 +-
test-suite/americanoption.cpp | 4 +-
test-suite/assetswap.cpp | 378 ++++++++++-----------
test-suite/autocovariances.cpp | 8 +-
test-suite/basketoption.cpp | 4 +-
test-suite/batesmodel.cpp | 24 +-
test-suite/bonds.cpp | 34 +-
test-suite/capfloor.cpp | 2 +-
test-suite/covariance.cpp | 12 +-
test-suite/distributions.cpp | 20 +-
test-suite/fastfouriertransform.cpp | 8 +-
test-suite/functions.cpp | 8 +-
test-suite/hestonmodel.cpp | 28 +-
test-suite/hestonslvmodel.cpp | 43 ++-
test-suite/inflationcpibond.cpp | 2 +-
test-suite/interpolations.cpp | 70 ++--
test-suite/lowdiscrepancysequences.cpp | 54 +--
.../marketmodel_smmcapletalphacalibration.cpp | 4 +-
test-suite/marketmodel_smmcapletcalibration.cpp | 4 +-
.../marketmodel_smmcaplethomocalibration.cpp | 8 +-
test-suite/overnightindexedswap.cpp | 4 +-
test-suite/rounding.cpp | 10 +-
test-suite/shortratemodels.cpp | 6 +-
test-suite/swap.cpp | 2 +-
test-suite/swaption.cpp | 2 +-
test-suite/termstructures.cpp | 2 +-
test-suite/utilities.hpp | 11 -
29 files changed, 379 insertions(+), 396 deletions(-)
commit 9c2b1d2f62b59e95960b3813b8f89b65f3287154
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Sep 2017 13:00:42 +0200
Avoid taking the square root of small negative numbers.
ql/models/shortrate/onefactormodels/hullwhite.cpp | 14 ++++++++++----
1 file changed, 10 insertions(+), 4 deletions(-)
commit f9d8a9ba5ca7dc30781bdec98404c7a7cdd8b3c2
Merge: db35c6b73 8126b0a39
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Sep 2017 12:22:48 +0200
Merge pull request #112.
commit 8126b0a39ec3a18f1860f8f6f17df4bbf1633837
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Sep 2017 10:41:25 +0200
Use latest ISDA conventions throughout.
Examples/CDS/CDS.cpp | 8 --------
ql/pricingengines/credit/isdacdsengine.hpp | 2 +-
.../credit/defaultprobabilityhelpers.cpp | 22 ++++++----------------
.../credit/defaultprobabilityhelpers.hpp | 10 ----------
4 files changed, 7 insertions(+), 35 deletions(-)
commit dffd67337e04a1870cfde23a93ae507fe864fb21
Author: Luigi Ballabio <[email protected]>
Date: Wed, 13 Sep 2017 10:40:49 +0200
Restore check on upfront.
ql/instruments/creditdefaultswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 06d181234f95076c6702296689fd3abdbe511b29
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Sep 2017 13:32:48 +0200
Use settlement days instead of fixed NPV date.
ql/experimental/credit/riskybond.cpp | 52 +++++++++++++++++++++++-------------
ql/experimental/credit/riskybond.hpp | 34 ++++++++---------------
2 files changed, 44 insertions(+), 42 deletions(-)
commit baaea1ad88d170399256deb8769e19914a8267e4
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Sep 2017 12:57:32 +0200
Check for base classes instead of derived.
ql/pricingengines/credit/isdacdsengine.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 2bd3d6fe68120db2fe0117d235c582f252144a2e
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Sep 2017 12:54:50 +0200
Avoid unnecessary calculations.
ql/pricingengines/credit/integralcdsengine.cpp | 9 ++++-----
1 file changed, 4 insertions(+), 5 deletions(-)
commit d87151784f34aa4832599236eee5fe014270e059
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Sep 2017 12:40:46 +0200
Remove unused data members.
Examples/CDS/CDS.cpp | 1 +
ql/pricingengines/credit/isdacdsengine.cpp | 2 --
ql/pricingengines/credit/isdacdsengine.hpp | 11 ++++-------
ql/termstructures/credit/defaultprobabilityhelpers.cpp | 5 +----
4 files changed, 6 insertions(+), 13 deletions(-)
commit a4942a0af34e40312b080b79efbd59ffdfc4db55
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Sep 2017 12:07:32 +0200
Renamed enumeration.
Examples/CDS/CDS.cpp | 20 ++++-----
ql/instruments/creditdefaultswap.cpp | 22 +++++++---
ql/instruments/creditdefaultswap.hpp | 15 ++++---
.../credit/defaultprobabilityhelpers.cpp | 49 ++++++++++++----------
.../credit/defaultprobabilityhelpers.hpp | 26 ++++++------
test-suite/creditdefaultswap.cpp | 2 +-
6 files changed, 75 insertions(+), 59 deletions(-)
commit db35c6b73b711d5ac2256504408c2d3d0e9dc1b5
Merge: c32663cdf 4f9440151
Author: Luigi Ballabio <[email protected]>
Date: Mon, 11 Sep 2017 11:35:39 +0200
Merge pull request #305.
commit 4f9440151ad33cb0a9e024a23f381d5b7eed1519
Author: Joseph Jeisman <[email protected]>
Date: Sun, 3 Sep 2017 20:51:02 +0200
Changes to FloatingLeg and IborCoupon
Changes to allow for Payment Lag, Payment Adjustment and Payment Calendar on FloatingLeg
ql/cashflows/cashflowvectors.hpp | 15 +++++++++++----
ql/cashflows/iborcoupon.cpp | 15 ++++++++++++++-
ql/cashflows/iborcoupon.hpp | 6 ++++++
3 files changed, 31 insertions(+), 5 deletions(-)
commit c32663cdfda7a286c05f7a805be2f67dde65db40
Merge: 94a87194e 765524a51
Author: Luigi Ballabio <[email protected]>
Date: Fri, 8 Sep 2017 17:50:38 +0200
Merge pull request #303.
commit 94a87194ec55988fb8f6f51cbdf53bd7052d4c0e
Merge: 4b5cefb55 f037a8dd5
Author: Luigi Ballabio <[email protected]>
Date: Fri, 8 Sep 2017 15:03:11 +0200
Merge pull request #304.
commit f037a8dd561e04f2ab9cff7bb4830894721f5ad9
Author: Luigi Ballabio <[email protected]>
Date: Fri, 8 Sep 2017 13:24:33 +0200
Extend build matrix to cover g++ 7.2.
.travis.yml | 7 +++++--
1 file changed, 5 insertions(+), 2 deletions(-)
commit 765524a51070751ae9df7d55f4e45224dc967f9a
Author: Luigi Ballabio <[email protected]>
Date: Fri, 8 Sep 2017 12:37:45 +0200
Add Act/365 (no leap) to Actual365Fixed class.
ql/time/daycounters/actual365fixed.cpp | 46 +++++++++++++++++++++++++++++-----
ql/time/daycounters/actual365fixed.hpp | 22 +++++++++++++---
ql/time/daycounters/actual365nl.hpp | 12 +++++----
3 files changed, 65 insertions(+), 15 deletions(-)
commit 4b5cefb55c5ff4c1524cdbbc83295b70ea23ece6
Merge: 46e7c908f ad8bc4384
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Sep 2017 17:45:01 +0200
Merge pull request #302.
commit 59aea4017741010a96102c9a1af6d828a5a8ee26
Author: Guillaume Horel <[email protected]>
Date: Thu, 7 Sep 2017 11:33:56 -0400
fix accuracy
ql/instruments/creditdefaultswap.cpp | 2 +-
ql/instruments/creditdefaultswap.hpp | 2 +-
test-suite/creditdefaultswap.cpp | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 7808f53b7a302d0605e235bc88084d1c6aed27bb
Author: Guillaume Horel <[email protected]>
Date: Thu, 7 Sep 2017 10:19:20 -0400
do not do the search in log space
ql/instruments/creditdefaultswap.cpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 303fca276cc031b2690ff8a4adefe0bbab65b4a1
Author: Guillaume Horel <[email protected]>
Date: Thu, 7 Sep 2017 09:46:00 -0400
Always initialize upfront payment
- set to zero amount cashflow if missing.
- shortcut computation if amount is 0.
ql/instruments/creditdefaultswap.cpp | 39 +++++++++++++-------------
ql/pricingengines/credit/integralcdsengine.cpp | 27 +++++++++---------
ql/pricingengines/credit/isdacdsengine.cpp | 8 ++++--
ql/pricingengines/credit/midpointcdsengine.cpp | 28 +++++++++---------
4 files changed, 53 insertions(+), 49 deletions(-)
commit ad8bc4384de922a8ae3e7dcb3d147cf45aa76561
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Sep 2017 10:20:29 +0200
Remove deprecated NoArbSabrModel::checkAbsorptionMatrix method.
It was deprecated in version 1.8.1.
ql/experimental/volatility/noarbsabr.cpp | 6 ------
ql/experimental/volatility/noarbsabr.hpp | 3 ---
2 files changed, 9 deletions(-)
commit 64b4c7be11815d1fc5be94e12bedd833f2a5f2b5
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Sep 2017 10:13:50 +0200
Remove deprecated CapFloor::impliedVolatility method.
It was deprecated in version 1.9.
ql/instruments/capfloor.cpp | 14 --------------
ql/instruments/capfloor.hpp | 11 -----------
2 files changed, 25 deletions(-)
commit 43afff8d27e35d9c7be8e639cdc92f70c557aaf3
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Sep 2017 09:24:03 +0200
Remove deprecated Swaption::impliedVolatility method.
It was deprecated in version 1.9.
ql/instruments/swaption.cpp | 14 --------------
ql/instruments/swaption.hpp | 11 -----------
2 files changed, 25 deletions(-)
commit d69846c3f9ac7e8232fe62b120036c84520b0ac9
Author: Guillaume Horel <[email protected]>
Date: Wed, 6 Sep 2017 16:06:46 -0400
header cleanup
Examples/CDS/CDS.cpp | 3 ---
1 file changed, 3 deletions(-)
commit e5ef38b030cadd20f29487ef3f9950ddc3e4d7cc
Author: Guillaume Horel <[email protected]>
Date: Wed, 6 Sep 2017 16:04:39 -0400
be more lenient in the casting
ql/pricingengines/credit/isdacdsengine.cpp | 25 ++++++++++++-------------
1 file changed, 12 insertions(+), 13 deletions(-)
commit 7d16001b8e812c31555cd72c1bf9762cdaddfe0c
Author: Guillaume Horel <[email protected]>
Date: Wed, 6 Sep 2017 16:04:19 -0400
use enum
Examples/CDS/CDS.cpp | 18 +++---
ql/instruments/creditdefaultswap.cpp | 69 +++++++++++-----------
ql/instruments/creditdefaultswap.hpp | 9 ++-
ql/instruments/makecds.hpp | 2 +-
.../credit/defaultprobabilityhelpers.cpp | 37 ++++++------
.../credit/defaultprobabilityhelpers.hpp | 22 ++++---
test-suite/creditdefaultswap.cpp | 2 +-
7 files changed, 85 insertions(+), 74 deletions(-)
commit ee1dfd603e0e85dd6e1b72535cb50c1e0b94e31e
Author: Guillaume Horel <[email protected]>
Date: Wed, 6 Sep 2017 13:31:40 -0400
fix example
Examples/CDS/CDS.cpp | 26 ++++++++++++--------------
1 file changed, 12 insertions(+), 14 deletions(-)
commit 53a5e8f8e0886c75fc8bc6db30190871cd63bce7
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 18:18:38 +0200
Remove deprecated MixedLinearCubicInterpolation constructors.
They were deprecated in version 1.8.
ql/math/interpolations/mixedinterpolation.hpp | 63 ---------------------------
1 file changed, 63 deletions(-)
commit 5e414fa5b82b897b21b409189f09c6189739b0a2
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 18:10:25 +0200
Remove deprecated HestonExpansionEngine::numberOfEvaluations.
It was deprecated in version 1.9.
ql/pricingengines/vanilla/hestonexpansionengine.cpp | 4 ----
ql/pricingengines/vanilla/hestonexpansionengine.hpp | 4 ----
2 files changed, 8 deletions(-)
commit 277c68b200db3d97537077b5619a2e971b28d215
Author: Guillaume Horel <[email protected]>
Date: Wed, 6 Sep 2017 10:31:13 -0400
reorder initialization
ql/pricingengines/credit/isdacdsengine.cpp | 1 -
ql/termstructures/credit/defaultprobabilityhelpers.cpp | 16 +++++++++-------
2 files changed, 9 insertions(+), 8 deletions(-)
commit 46e7c908fce7735979993dacaf9c0dc1d80288f1
Merge: 2cce8d5e4 1bcededcb
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 12:31:30 +0200
Merge pull request #292.
commit 2cce8d5e471ce7b1bb19e8917691efecffdf41da
Merge: a5c0c7f0e df9854aba
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 12:01:41 +0200
Merge pull request #258.
commit df9854aba9482bfbf558e69004ef1cd810dd464e
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 11:15:24 +0200
Separate test cases.
test-suite/overnightindexedswap.cpp | 34 ++++++++--------------------------
test-suite/overnightindexedswap.hpp | 1 +
2 files changed, 9 insertions(+), 26 deletions(-)
commit 093498840de567c657eef42096e4a5e66e68afd1
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 11:15:04 +0200
Add default parameter value.
ql/indexes/swapindex.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a5c0c7f0e520b0c4578278c376bee2c40733f2ed
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 09:55:06 +0200
Disable tests using negative rates when explicitly disabled.
Fixes #296.
test-suite/optionletstripper.cpp | 23 +++--------------------
1 file changed, 3 insertions(+), 20 deletions(-)
commit daab4dc69a18c4dd5e297c9986cf27383103acea
Author: Guillaume Horel <[email protected]>
Date: Tue, 5 Sep 2017 20:04:18 -0400
wip
Examples/CDS/CDS.cpp | 36 +++++++++++++---------
ql/instruments/creditdefaultswap.cpp | 5 ++-
ql/pricingengines/credit/isdacdsengine.cpp | 36 ----------------------
ql/pricingengines/credit/isdacdsengine.hpp | 20 ------------
.../credit/defaultprobabilityhelpers.cpp | 30 +++++++++---------
.../credit/defaultprobabilityhelpers.hpp | 23 ++++----------
test-suite/defaultprobabilitycurves.cpp | 3 +-
7 files changed, 45 insertions(+), 108 deletions(-)
commit 5adc8589481644d55c2fd6e261abdc1ddf6cd552
Author: Guillaume Horel <[email protected]>
Date: Mon, 3 Jul 2017 12:40:46 -0400
fix tests
ql/instruments/makecds.hpp | 4 +-
test-suite/creditdefaultswap.cpp | 110 +++++++++++++++++++--------------------
2 files changed, 57 insertions(+), 57 deletions(-)
commit 82de7dac7931935ced7589c89e5beb7b2246ced6
Author: Guillaume Horel <[email protected]>
Date: Fri, 30 Jun 2017 11:17:36 -0400
make_shared takes at most 9 params
Examples/CDS/CDS.cpp | 30 ++++++++++++----------
.../credit/defaultprobabilityhelpers.cpp | 8 +++---
2 files changed, 20 insertions(+), 18 deletions(-)
commit 875d1bba9c8b10655e6ce76d298f541a328f1fac
Author: Guillaume Horel <[email protected]>
Date: Thu, 29 Jun 2017 09:53:49 -0400
use CDS2015 rule
.../credit/defaultprobabilityhelpers.cpp | 21 ++++-----------------
1 file changed, 4 insertions(+), 17 deletions(-)
commit 22dbc90899b624de97fe8824fc0c888416992ab1
Author: Guillaume Horel <[email protected]>
Date: Thu, 29 Jun 2017 09:39:46 -0400
make templates C++98 compatible
ql/pricingengines/credit/isdacdsengine.cpp | 28 ++++++++++++++--------------
test-suite/creditdefaultswap.cpp | 2 +-
2 files changed, 15 insertions(+), 15 deletions(-)
commit 1e7458b67729cb5e378324c20ed457bd9011bae4
Author: Guillaume Horel <[email protected]>
Date: Wed, 28 Jun 2017 17:16:38 -0400
add missing headers
Examples/CDS/CDS.cpp | 12 +++++++++++-
1 file changed, 11 insertions(+), 1 deletion(-)
commit a9f9c023fedc3e10364e4c52946ad1b6a8c31674
Author: Guillaume Horel <[email protected]>
Date: Wed, 28 Jun 2017 16:22:18 -0400
make codacy happy
ql/time/daycounters/actual360.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit e012f7cefb714b8fd5e2058edb1874ebb6250b97
Author: Guillaume Horel <[email protected]>
Date: Mon, 19 Dec 2016 16:42:59 -0500
update to serial_type
ql/time/daycounters/actual360.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 94055d586ad58cffdbbc154e6d818f1363350f50
Author: Guillaume Horel <[email protected]>
Date: Fri, 29 Jul 2016 14:41:09 -0400
Add extra startDate parameters
- if not provided (case of single name cds), the maturity rolls
every 3 months (or 6 months, see below).
- if provided, the cds schedule is fixed, only the protection start
date gets updated when the evaluation date changes.
(case of CDS index for instance)
- also take into account the switch to semi annual roll after
December 10th 2015.
Examples/CDS/CDS.cpp | 14 ++---
.../credit/defaultprobabilityhelpers.cpp | 69 +++++++++++++++-------
.../credit/defaultprobabilityhelpers.hpp | 7 +++
test-suite/defaultprobabilitycurves.cpp | 1 +
4 files changed, 62 insertions(+), 29 deletions(-)
commit 4ed993948c78149389fb6901e713db113a8061f1
Author: Guillaume Horel <[email protected]>
Date: Thu, 28 Jul 2016 14:33:23 -0400
apply fix from piecewiseyieldcurve
ql/termstructures/credit/piecewisedefaultcurve.hpp | 8 +++++++-
1 file changed, 7 insertions(+), 1 deletion(-)
commit 47c4bcd86ecfb7ddf334bdd77a3c6645dbb1bea9
Author: Guillaume Horel <[email protected]>
Date: Thu, 28 Jul 2016 11:04:08 -0400
no need to redefine initializeDate()
ql/termstructures/credit/defaultprobabilityhelpers.cpp | 4 ----
ql/termstructures/credit/defaultprobabilityhelpers.hpp | 3 +--
2 files changed, 1 insertion(+), 6 deletions(-)
commit 9d9a0263a6857e34e7c60b46c0bbd19ae0cbe1bb
Author: Guillaume Horel <[email protected]>
Date: Wed, 20 Jul 2016 10:14:01 -0400
improve guess
swith the parameter searh to log space, in order to enforce positivity
ql/instruments/creditdefaultswap.cpp | 14 +++++++-------
test-suite/creditdefaultswap.cpp | 2 +-
2 files changed, 8 insertions(+), 8 deletions(-)
commit a90f285097e460248222f678452e8a42038718ec
Author: Guillaume Horel <[email protected]>
Date: Mon, 18 Jul 2016 16:11:47 -0400
add test for the isda engine
test-suite/creditdefaultswap.cpp | 149 ++++++++++++++++++++++++++++++++++++++-
test-suite/creditdefaultswap.hpp | 1 +
2 files changed, 149 insertions(+), 1 deletion(-)
commit 5e82c28cba3dbf71b3f3bc809b959f3ea5e833da
Author: Guillaume Horel <[email protected]>
Date: Tue, 19 Jul 2016 15:04:12 -0400
fix upfrontDate
ql/instruments/makecds.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit fb0b9aa3551e3c4d2f874bd62d44270a7a2d897d
Author: Guillaume Horel <[email protected]>
Date: Mon, 18 Jul 2016 15:50:31 -0400
allow to specify termDate
ql/instruments/makecds.cpp | 13 +++++++++++--
ql/instruments/makecds.hpp | 5 ++++-
2 files changed, 15 insertions(+), 3 deletions(-)
commit 85ca9941527eb9cb5757fba679da70919509ae19
Author: Guillaume Horel <[email protected]>
Date: Sat, 16 Jul 2016 14:12:19 -0400
handle case of empty nodes vector
ql/pricingengines/credit/isdacdsengine.cpp | 27 ++++++++++++++++-----------
1 file changed, 16 insertions(+), 11 deletions(-)
commit 0d26b0ed0b044a34ab966095fd83ef39864b80fe
Author: Guillaume Horel <[email protected]>
Date: Sat, 16 Jul 2016 14:11:28 -0400
rorganize dynamic casting
ql/pricingengines/credit/isdacdsengine.cpp | 66 +++++++++++++-----------------
1 file changed, 29 insertions(+), 37 deletions(-)
commit 04e7eb3455c93a65a15b1bbacc02a2e703782cf8
Author: Guillaume Horel <[email protected]>
Date: Fri, 15 Jul 2016 17:21:32 -0400
add option to use isdaengine
ql/instruments/creditdefaultswap.cpp | 94 +++++++++++++++++++++++-------------
ql/instruments/creditdefaultswap.hpp | 6 ++-
2 files changed, 65 insertions(+), 35 deletions(-)
commit 0da26dd52a78b7a27e6c5eef7562b0d3f1a39931
Author: Guillaume Horel <[email protected]>
Date: Fri, 15 Jul 2016 16:39:20 -0400
try one more dynamic cast
ql/pricingengines/credit/isdacdsengine.cpp | 9 ++++++++-
1 file changed, 8 insertions(+), 1 deletion(-)
commit ccb4fa95494fd42a84cfe79a439590b9fa46aa8b
Author: Guillaume Horel <[email protected]>
Date: Wed, 13 Jul 2016 18:02:32 -0400
change the default setting for IsdaEngine
ql/termstructures/credit/defaultprobabilityhelpers.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ba63dfb6a996cd25d3a54e9ccf4e6b587321087e
Author: Guillaume Horel <[email protected]>
Date: Mon, 11 Jul 2016 14:01:04 -0400
do not compute each node twice
ql/pricingengines/credit/isdacdsengine.cpp | 31 +++++++++++++++++-------------
1 file changed, 18 insertions(+), 13 deletions(-)
commit 547973aa3057ead393f21b145da30ca14f79ef75
Author: Guillaume Horel <[email protected]>
Date: Wed, 6 Jul 2016 16:04:49 -0400
Fix the coupon leg computation
- the sign for the accrual bias was wrong
- local nodes generation was incorrect
very close to isda pricer now
ql/pricingengines/credit/isdacdsengine.cpp | 43 +++++++++++-------------------
1 file changed, 15 insertions(+), 28 deletions(-)
commit 8dae5c04f9aedd73e3c3d17533315ccf7319491c
Author: Guillaume Horel <[email protected]>
Date: Wed, 6 Jul 2016 14:59:49 -0400
Fix default leg computation
- simplify node computation, this is simpler and faster.
- there is no need to adjust the end of day computation for
survival probability. default is protection start at beginning of day.
this is much closer to isda engine now.
ql/pricingengines/credit/isdacdsengine.cpp | 57 ++++++++----------------------
1 file changed, 14 insertions(+), 43 deletions(-)
commit e5b5db379f48bc71eaeb776430111d3ecebca2cc
Author: Guillaume Horel <[email protected]>
Date: Fri, 24 Jun 2016 14:10:06 -0400
really fix last_period coupon
ql/cashflows/fixedratecoupon.cpp | 10 +++++-----
ql/time/daycounters/actual360.hpp | 2 +-
2 files changed, 6 insertions(+), 6 deletions(-)
commit 6a773209b488984d5c957daaba10a287d93acd5b
Author: Guillaume Horel <[email protected]>
Date: Tue, 21 Jun 2016 16:19:57 -0400
add CreditDefaultSwap inspector
ql/termstructures/credit/defaultprobabilityhelpers.hpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit 7350fbeb09aa489411afe4a9e9f8d0ed4517d8eb
Author: Guillaume Horel <[email protected]>
Date: Fri, 10 Jun 2016 15:52:35 -0400
fix whitespace
ql/cashflows/fixedratecoupon.cpp | 2 +-
ql/instruments/creditdefaultswap.cpp | 20 ++++++++++----------
ql/instruments/creditdefaultswap.hpp | 12 ++++++------
3 files changed, 17 insertions(+), 17 deletions(-)
commit 1a83341c3eb30cca30aa23872dc07f05a0c23fce
Author: Guillaume Horel <[email protected]>
Date: Tue, 7 Jun 2016 17:08:50 -0400
run full example
Examples/CDS/CDS.cpp | 29 +++++++++++++++++------------
1 file changed, 17 insertions(+), 12 deletions(-)
commit 06a46cebf968b2c689c87f3fa2dcc4bda28f0469
Author: Guillaume Horel <[email protected]>
Date: Mon, 6 Jun 2016 11:26:19 -0400
remove debug statements
ql/pricingengines/credit/isdacdsengine.cpp | 23 -----------------------
1 file changed, 23 deletions(-)
commit f52305df5b7098bdc29f19a43b44e06b0db17c7f
Author: Guillaume Horel <[email protected]>
Date: Fri, 27 May 2016 12:44:19 -0400
rename to be more consitent with other conventions
ql/time/daycounters/actual360.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 47383936d558cbec8431ffd304752e94f08c4ee1
Author: Guillaume Horel <[email protected]>
Date: Fri, 20 May 2016 16:21:14 -0400
fix typos
ql/termstructures/credit/defaultprobabilityhelpers.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit eb346e415b820ba71a62763501f4ccd16ced25f7
Author: Guillaume Horel <[email protected]>
Date: Thu, 19 May 2016 23:35:44 -0400
fix preprocessor variable name
Examples/CDS/CDS.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 73e6021236cb182b2beb1989dd9d7972afcfe819
Author: Peter Caspers <[email protected]>
Date: Sat, 25 Oct 2014 19:55:41 +0200
update example
Examples/CDS/CDS.cpp | 155 +++++++++++++++++++++++++++++++++------------------
1 file changed, 100 insertions(+), 55 deletions(-)
commit aea83a6c2f76f70be2d6137590108458a7b415eb
Author: Peter Caspers <[email protected]>
Date: Sat, 25 Oct 2014 19:54:49 +0200
add some debug outputs
ql/pricingengines/credit/isdacdsengine.cpp | 40 +++++++++++++++++++-----------
1 file changed, 26 insertions(+), 14 deletions(-)
commit 68792169006c1687b9327cc7375c8133c3e92a91
Author: Peter Caspers <[email protected]>
Date: Sun, 4 May 2014 20:35:01 +0200
tentative implementation of maturity included in protection
ql/pricingengines/credit/isdacdsengine.cpp | 20 +++++++++++---------
1 file changed, 11 insertions(+), 9 deletions(-)
commit edaa603bbdccd74eaf90bca133e6539a08b51fa4
Author: Peter Caspers <[email protected]>
Date: Sat, 5 Apr 2014 12:18:34 +0200
handle cds maturity date, reformat code, amend copyrights
ql/pricingengines/credit/isdacdsengine.cpp | 152 ++++++++++-----------
ql/pricingengines/credit/isdacdsengine.hpp | 4 +-
.../credit/defaultprobabilityhelpers.cpp | 1 +
3 files changed, 78 insertions(+), 79 deletions(-)
commit 0603677f1ae946e69b709a9cdb0505afc77ea045
Author: Peter Caspers <[email protected]>
Date: Sun, 23 Mar 2014 20:32:22 +0100
extend example
Examples/CDS/CDS.cpp | 63 +++++++++++++++++++++++++++++++++++++++++-----------
1 file changed, 50 insertions(+), 13 deletions(-)
commit 9ce3ea65bea2f11d5c3e63df072264d9e3503600
Author: Peter Caspers <[email protected]>
Date: Sun, 16 Mar 2014 12:18:59 +0100
temp changes to the example and the isda engine (add debug outputs)
Examples/CDS/CDS.cpp | 68 +++++++++++++++++++-----------
ql/pricingengines/credit/isdacdsengine.cpp | 20 ++++++++-
2 files changed, 62 insertions(+), 26 deletions(-)
commit 1b173997d9c372bf844990a7f38306a2b3771ec4
Author: Peter Caspers <[email protected]>
Date: Sat, 15 Mar 2014 19:03:29 +0100
fix coupon tenor
ql/instruments/makecds.cpp | 21 ++++++++++++---------
ql/instruments/makecds.hpp | 3 ++-
2 files changed, 14 insertions(+), 10 deletions(-)
commit e35bef531825ec8373b2ebb1501df55646fa1c85
Author: Peter Caspers <[email protected]>
Date: Mon, 20 Jan 2014 21:20:35 +0100
make use of isda engine a bool
Examples/CDS/CDS.cpp | 13 +++++++------
1 file changed, 7 insertions(+), 6 deletions(-)
commit 272ffa69969c42ebbf32890c86fc3809f56fe250
Author: Peter Caspers <[email protected]>
Date: Sat, 18 Jan 2014 19:06:44 +0100
initialized isda engine parameters in helper constructors
.../credit/defaultprobabilityhelpers.cpp | 75 ++++++++++------------
1 file changed, 34 insertions(+), 41 deletions(-)
commit 9a9d86e0233f1ff351bfbbc84edef4c421190c95
Author: Peter Caspers <[email protected]>
Date: Sat, 18 Jan 2014 19:06:13 +0100
fix par rates in credit curve, add credit curve output
Examples/CDS/CDS.cpp | 24 ++++++++++++++++++++----
1 file changed, 20 insertions(+), 4 deletions(-)
commit 9b2e4621927d585de83cebe9dbb2cebe6562624f
Author: Peter Caspers <[email protected]>
Date: Fri, 17 Jan 2014 21:26:04 +0100
add example 3