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QuantLib-1.39/ 0000775 0000000 0000000 00000000000 15037373673 0013203 5 ustar 00root root 0000000 0000000 QuantLib-1.39/.appveyor.yml 0000664 0000000 0000000 00000000322 15037373673 0015646 0 ustar 00root root 0000000 0000000 image: Visual Studio 2017
platform: x64
configuration: Release
version: ci.{build}
before_build:
- COPY .ci\VS2017.props .\Build.props
build:
parallel: false
project: QuantLib.sln
verbosity: normal
QuantLib-1.39/.ci/ 0000775 0000000 0000000 00000000000 15037373673 0013654 5 ustar 00root root 0000000 0000000 QuantLib-1.39/.ci/Unity.props 0000664 0000000 0000000 00000000255 15037373673 0016053 0 ustar 00root root 0000000 0000000 true
QuantLib-1.39/.ci/VS2017.props 0000664 0000000 0000000 00000001471 15037373673 0015606 0 ustar 00root root 0000000 0000000
falseC:\Libraries\boost_1_69_0;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)DisabledC:\Libraries\boost_1_69_0\lib64-msvc-14.1;%(AdditionalLibraryDirectories)
QuantLib-1.39/.ci/VS2019.alt.props 0000664 0000000 0000000 00000001356 15037373673 0016371 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)truestdcpp17_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.39/.ci/VS2019.props 0000664 0000000 0000000 00000001074 15037373673 0015607 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)true
QuantLib-1.39/.ci/VS2022.alt.props 0000664 0000000 0000000 00000001356 15037373673 0016363 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)truestdcpp17_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.39/.ci/VS2022.props 0000664 0000000 0000000 00000001074 15037373673 0015601 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)true
QuantLib-1.39/.ci/userconfig2019.alt.hpp 0000664 0000000 0000000 00000010270 15037373673 0017624 0 ustar 00root root 0000000 0000000 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2011 Ferdinando Ametrano
Copyright (C) 2004, 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_config_hpp
#define quantlib_config_hpp
/***************************************************************
User configuration section:
modify the following definitions to suit your preferences.
Do not modify this file if you are using a Linux/Unix system:
it will not be read by the compiler. The definitions below
will be provided by running ./configure instead.
****************************************************************/
/* Define this if error messages should include current function
information. */
#ifndef QL_ERROR_FUNCTIONS
# define QL_ERROR_FUNCTIONS
#endif
/* Define this if error messages should include file and line information. */
#ifndef QL_ERROR_LINES
# define QL_ERROR_LINES
#endif
/* Define this if tracing messages should be allowed (whether they are
actually emitted will depend on run-time settings.) */
#ifndef QL_ENABLE_TRACING
# define QL_ENABLE_TRACING
#endif
/* Define this if extra safety checks should be performed. This can degrade
performance. */
#ifndef QL_EXTRA_SAFETY_CHECKS
# define QL_EXTRA_SAFETY_CHECKS
#endif
/* Define this to use indexed coupons instead of par coupons in floating
legs as the default in 'bool IborCoupon::Settings::usingAtParCoupons();'. */
#ifndef QL_USE_INDEXED_COUPON
# define QL_USE_INDEXED_COUPON
#endif
/* Define this to have singletons return different instances for
different threads; in particular, this means that the evaluation
date, the stored index fixings and any other settings will be
per-thread.
*/
#ifndef QL_ENABLE_SESSIONS
# define QL_ENABLE_SESSIONS
#endif
/* Define this to enable the thread-safe observer pattern. You should
enable it if you want to use QuantLib via the SWIG layer within
the JVM or .NET eco system or any environment with an
async garbage collector */
#ifndef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
# define QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
#endif
/* Define this to enable a date resolution down to microseconds and
allow for accurate intraday pricing. */
#ifndef QL_HIGH_RESOLUTION_DATE
# define QL_HIGH_RESOLUTION_DATE
#endif
/* Define this if you want to throw an exception when a notification
loop is detected. Enabling this option is recommended but might
cause existing code to throw. */
#ifndef QL_THROW_IN_CYCLES
# define QL_THROW_IN_CYCLES
#endif
/* Undefine this if you want lazy objects to forward all notifications
instead of just the first. Disabling this option is safer in some
cases but can be a lot slower. */
#ifndef QL_FASTER_LAZY_OBJECTS
//# define QL_FASTER_LAZY_OBJECTS
#endif
/* Define this to use std::any instead of boost::any. */
#ifndef QL_USE_STD_ANY
//# define QL_USE_STD_ANY
#endif
/* Define this to use std::optional instead of boost::optional. */
#ifndef QL_USE_STD_OPTIONAL
//# define QL_USE_STD_OPTIONAL
#endif
/* Define this to use standard smart pointers instead of Boost ones.
Note that std::shared_ptr does not check access and can
cause segmentation faults. */
#ifndef QL_USE_STD_SHARED_PTR
# define QL_USE_STD_SHARED_PTR
#endif
/* Define this to enable the implementation of Null as template functions. */
#ifndef QL_NULL_AS_FUNCTIONS
# define QL_NULL_AS_FUNCTIONS
#endif
/* Define this to enable the parallel unit test runner */
#ifndef QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
//# define QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
#endif
#endif
QuantLib-1.39/.ci/userconfig2022.alt.hpp 0000664 0000000 0000000 00000010270 15037373673 0017616 0 ustar 00root root 0000000 0000000 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2011 Ferdinando Ametrano
Copyright (C) 2004, 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_config_hpp
#define quantlib_config_hpp
/***************************************************************
User configuration section:
modify the following definitions to suit your preferences.
Do not modify this file if you are using a Linux/Unix system:
it will not be read by the compiler. The definitions below
will be provided by running ./configure instead.
****************************************************************/
/* Define this if error messages should include current function
information. */
#ifndef QL_ERROR_FUNCTIONS
# define QL_ERROR_FUNCTIONS
#endif
/* Define this if error messages should include file and line information. */
#ifndef QL_ERROR_LINES
# define QL_ERROR_LINES
#endif
/* Define this if tracing messages should be allowed (whether they are
actually emitted will depend on run-time settings.) */
#ifndef QL_ENABLE_TRACING
# define QL_ENABLE_TRACING
#endif
/* Define this if extra safety checks should be performed. This can degrade
performance. */
#ifndef QL_EXTRA_SAFETY_CHECKS
# define QL_EXTRA_SAFETY_CHECKS
#endif
/* Define this to use indexed coupons instead of par coupons in floating
legs as the default in 'bool IborCoupon::Settings::usingAtParCoupons();'. */
#ifndef QL_USE_INDEXED_COUPON
# define QL_USE_INDEXED_COUPON
#endif
/* Define this to have singletons return different instances for
different threads; in particular, this means that the evaluation
date, the stored index fixings and any other settings will be
per-thread.
*/
#ifndef QL_ENABLE_SESSIONS
# define QL_ENABLE_SESSIONS
#endif
/* Define this to enable the thread-safe observer pattern. You should
enable it if you want to use QuantLib via the SWIG layer within
the JVM or .NET eco system or any environment with an
async garbage collector */
#ifndef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
# define QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
#endif
/* Define this to enable a date resolution down to microseconds and
allow for accurate intraday pricing. */
#ifndef QL_HIGH_RESOLUTION_DATE
# define QL_HIGH_RESOLUTION_DATE
#endif
/* Define this if you want to throw an exception when a notification
loop is detected. Enabling this option is recommended but might
cause existing code to throw. */
#ifndef QL_THROW_IN_CYCLES
# define QL_THROW_IN_CYCLES
#endif
/* Undefine this if you want lazy objects to forward all notifications
instead of just the first. Disabling this option is safer in some
cases but can be a lot slower. */
#ifndef QL_FASTER_LAZY_OBJECTS
//# define QL_FASTER_LAZY_OBJECTS
#endif
/* Define this to use std::any instead of boost::any. */
#ifndef QL_USE_STD_ANY
//# define QL_USE_STD_ANY
#endif
/* Define this to use std::optional instead of boost::optional. */
#ifndef QL_USE_STD_OPTIONAL
//# define QL_USE_STD_OPTIONAL
#endif
/* Define this to use standard smart pointers instead of Boost ones.
Note that std::shared_ptr does not check access and can
cause segmentation faults. */
#ifndef QL_USE_STD_SHARED_PTR
# define QL_USE_STD_SHARED_PTR
#endif
/* Define this to enable the implementation of Null as template functions. */
#ifndef QL_NULL_AS_FUNCTIONS
# define QL_NULL_AS_FUNCTIONS
#endif
/* Define this to enable the parallel unit test runner */
#ifndef QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
//# define QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
#endif
#endif
QuantLib-1.39/.clang-format 0000664 0000000 0000000 00000002143 15037373673 0015556 0 ustar 00root root 0000000 0000000 ---
Language: Cpp
Standard: c++17
# 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-crtp-constructor-accessibility,
-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-to-enum,
-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,
-cppcoreguidelines-use-default-member-init,
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-use-internal-linkage,
-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,
-modernize-use-nodiscard,
performance-*,
-performance-avoid-endl,
-performance-enum-size,
readability-*,
-readability-avoid-nested-conditional-operator,
-readability-braces-around-statements,
-readability-const-return-type,
-readability-convert-member-functions-to-static,
-readability-else-after-return,
-readability-enum-initial-value,
-readability-function-cognitive-complexity,
-readability-identifier-length,
-readability-inconsistent-declaration-parameter-name,
-readability-isolate-declaration,
-readability-magic-numbers,
-readability-make-member-function-const,
-readability-math-missing-parentheses,
-readability-named-parameter,
-readability-redundant-casting,
-readability-redundant-declaration,
-readability-simplify-boolean-expr,
-readability-suspicious-call-argument,
-readability-use-anyofallof,
-readability-use-std-min-max,
HeaderFilterRegex: '.*'
FormatStyle: none
CheckOptions:
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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-1.39/.codecov.yml 0000664 0000000 0000000 00000001541 15037373673 0015427 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-1.39/.github/ 0000775 0000000 0000000 00000000000 15037373673 0014543 5 ustar 00root root 0000000 0000000 QuantLib-1.39/.github/boring-cyborg.yml 0000664 0000000 0000000 00000001145 15037373673 0020032 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-1.39/.github/dependabot.yml 0000664 0000000 0000000 00000000261 15037373673 0017372 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-1.39/.github/workflows/ 0000775 0000000 0000000 00000000000 15037373673 0016600 5 ustar 00root root 0000000 0000000 QuantLib-1.39/.github/workflows/cmake.yml 0000664 0000000 0000000 00000017364 15037373673 0020416 0 ustar 00root root 0000000 0000000 name: CMake build
on: [push, pull_request]
jobs:
cmake-linux:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
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
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --install .
sudo ldconfig
- name: Test
run: |
quantlib-test-suite --log_level=message
- name: Run benchmark
run: |
quantlib-benchmark --size=1
cmake-linux-with-options:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
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
cat ql/config.hpp
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@v4
- 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: |
$Url = "https://archives.boost.io/release/1.88.0/source/boost_1_88_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_88_0" -NewName "boost"
$Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
Add-Content $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
if: ${{ !always() }}
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-dynamic-runtime:
runs-on: windows-2022
steps:
- uses: actions/checkout@v4
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-dyn-build-${{ 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: |
$Url = "https://archives.boost.io/release/1.88.0/source/boost_1_88_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_88_0" -NewName "boost"
$Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
Add-Content $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
if: ${{ !always() }}
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-with-options:
runs-on: windows-2022
steps:
- uses: actions/checkout@v4
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-opts-${{ 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: |
$Url = "https://archives.boost.io/release/1.88.0/source/boost_1_88_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_88_0" -NewName "boost"
$Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
Add-Content $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
cmake --preset windows-ci-build-with-nonstandard-options -L
cd build/windows-ci-build-with-nonstandard-options
type ql\config.hpp
cmake --build . --verbose
cmake --build . --target install
- name: Test
if: ${{ !always() }}
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-macos:
runs-on: macos-latest
steps:
- uses: actions/checkout@v4
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install boost ccache ninja
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-macos-ci-${{ 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
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --install .
- name: Test
run: |
DYLD_LIBRARY_PATH=/usr/local/lib quantlib-test-suite --log_level=message
QuantLib-1.39/.github/workflows/codeql-analysis.yml 0000664 0000000 0000000 00000002716 15037373673 0022421 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@v4
# 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 rm /etc/apt/sources.list.d/microsoft-prod.list
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-1.39/.github/workflows/copyrights.yml 0000664 0000000 0000000 00000001150 15037373673 0021513 0 ustar 00root root 0000000 0000000 name: Update copyright list
on:
push:
branches:
- '**'
jobs:
copyrights:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: Check
run: |
./tools/check_copyrights.sh
- uses: peter-evans/create-pull-request@v7
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-1.39/.github/workflows/coveralls.yml 0000664 0000000 0000000 00000002567 15037373673 0021327 0 ustar 00root root 0000000 0000000 name: Coverage report
on:
push:
branches:
- master
pull_request:
jobs:
coverage:
runs-on: ubuntu-22.04
steps:
- uses: actions/checkout@v4
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
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: ${{ secrets.GITHUB_TOKEN }}
path-to-lcov: ./coverage/lcov.info
QuantLib-1.39/.github/workflows/devenv-images.yml 0000664 0000000 0000000 00000003273 15037373673 0022062 0 ustar 00root root 0000000 0000000 name: Build quantlib-devenv Docker images
on:
workflow_dispatch:
inputs:
boostVersion:
description: 'Boost version'
required: true
env:
ROLLING: oracular
jobs:
docker-images:
runs-on: ubuntu-latest
strategy:
matrix:
tag: [noble, oracular, plucky]
steps:
- uses: actions/checkout@v4
- name: Build CI images
working-directory: dockerfiles
run: |
docker build -f ci.Dockerfile \
--build-arg tag=${{ 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-1.39/.github/workflows/doxygen.yml 0000664 0000000 0000000 00000001222 15037373673 0020775 0 ustar 00root root 0000000 0000000 name: Check doc generation
on: [push, pull_request]
jobs:
docs:
runs-on: macos-latest
steps:
- uses: actions/checkout@v4
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost doxygen graphviz
./autogen.sh
./configure --with-boost-include=$(brew --prefix)/include
- name: Doxygen version
run: |
doxygen --version
- name: Check
run: |
make docs
header-docs:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: Check
run: |
./tools/check_all_header_docs.sh
QuantLib-1.39/.github/workflows/filelists.yml 0000664 0000000 0000000 00000000712 15037373673 0021321 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@v4
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev
- name: Configure
run: |
./autogen.sh
./configure
- name: Check
run: |
./tools/check_filelists.sh
QuantLib-1.39/.github/workflows/generated-headers.yml 0000664 0000000 0000000 00000001602 15037373673 0022671 0 ustar 00root root 0000000 0000000 name: Update generated headers
on:
push:
branches:
- '**'
jobs:
filelists:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
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@v7
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-1.39/.github/workflows/headers.yml 0000664 0000000 0000000 00000001226 15037373673 0020737 0 ustar 00root root 0000000 0000000 name: Compile single headers
on: [push, pull_request]
jobs:
headers:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
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-1.39/.github/workflows/includes.yml 0000664 0000000 0000000 00000001336 15037373673 0021134 0 ustar 00root root 0000000 0000000 name: Fix inclusions of ql headers in double quotes
on:
push:
branches:
- '**'
jobs:
namespaces:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: Check
run: |
shopt -s globstar
sed -i -E -e 's|#include *"(ql/.*\.hpp)"|#include <\1>|g' **/*.[hc]pp
- uses: peter-evans/create-pull-request@v7
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: fix-include-in-quotes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fix inclusions of ql headers in double quotes'
title: 'Fix inclusions of ql headers in double quotes'
author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
QuantLib-1.39/.github/workflows/linux-full-tests.yml 0000664 0000000 0000000 00000015141 15037373673 0022564 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 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 11.4 (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 12.3 (Boost 1.86)"
shortname: gcc12
tag: lunar
cc: gcc
cxx: g++
- name: "gcc 13.x"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
- name: "gcc 14.x"
shortname: gcc14
tag: plucky
cc: gcc
cxx: g++
- 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 (Boost 1.86)"
shortname: clang15
tag: lunar
cc: clang
cxx: clang++
- name: "Clang 16 (Boost 1.86)"
shortname: clang16
tag: mantic
cc: clang
cxx: clang++
- name: "Clang 17 (Boost 1.84)"
shortname: clang17
tag: clang-17
cc: clang
cxx: clang++
- name: "Clang 18"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
- name: "Clang 19"
shortname: clang19
tag: oracular
cc: clang
cxx: clang++
- name: "Clang 20"
shortname: clang20
tag: plucky
cc: clang
cxx: clang++
- 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: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- 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"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-classes
- 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@v4
- name: Compiler version
run: |
${{ matrix.cc }} --version
- name: Build
run: |
./autogen.sh
./configure --disable-static ${{ matrix.configureflags }} CC="${{ matrix.cc }}" CXX="${{ matrix.cxx }}" CXXFLAGS="-O2 -g0 -Wall -Wno-unknown-pragmas -Werror ${{ matrix.cxxflags }}"
cat ql/config.hpp
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-1.39/.github/workflows/linux-nondefault.yml 0000664 0000000 0000000 00000012636 15037373673 0022627 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 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 11.4 (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 12.3 (Boost 1.86)"
shortname: gcc12
tag: lunar
cc: gcc
cxx: g++
- name: "gcc 13.x"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
- name: "gcc 14.x"
shortname: gcc14
tag: plucky
cc: gcc
cxx: g++
- 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 (Boost 1.86)"
shortname: clang15
tag: lunar
cc: clang
cxx: clang++
- name: "Clang 16 (Boost 1.86)"
shortname: clang16
tag: mantic
cc: clang
cxx: clang++
- name: "Clang 18"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
- name: "Clang 19"
shortname: clang19
tag: oracular
cc: clang
cxx: clang++
- name: "Clang 20"
shortname: clang20
tag: plucky
cc: clang
cxx: clang++
- 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: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-pointers --disable-std-any --disable-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@v4
- 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 }}" CPPFLAGS="-Wall -Wno-unknown-pragmas -Wno-array-bounds -Werror" CXXFLAGS="-O2 -g0 ${{ matrix.cxxflags }}"
cat ql/config.hpp
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-1.39/.github/workflows/linux.yml 0000664 0000000 0000000 00000013002 15037373673 0020456 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 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 11.4 (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 13.x"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
tests: true
- name: "gcc 14.x"
shortname: gcc14
tag: plucky
cc: gcc
cxx: g++
tests: true
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 18"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
tests: true
- name: "Clang 20"
shortname: clang20
tag: plucky
cc: clang
cxx: clang++
tests: true
- 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: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- 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"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-classes
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@v4
- 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 }}"
cat ql/config.hpp
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-1.39/.github/workflows/macos-nondefault.yml 0000664 0000000 0000000 00000002534 15037373673 0022566 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:
os: [macos-13, macos-14]
classes: [boost, std]
include:
- classes: std
configureflags: --enable-std-pointers --disable-std-any --disable-std-optional
steps:
- uses: actions/checkout@v4
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost
- name: Compiler version
run: |
clang --version
- name: Build
run: |
./autogen.sh
./configure --disable-shared --with-boost-include=`brew --prefix`/include --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"
cat ql/config.hpp
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-1.39/.github/workflows/macos.yml 0000664 0000000 0000000 00000002267 15037373673 0020434 0 ustar 00root root 0000000 0000000 name: Mac OS build
on: [push, pull_request]
jobs:
build:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
os: [macos-13, macos-14]
steps:
- uses: actions/checkout@v4
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost ccache
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: macos-ci-build-${{ matrix.os }}-${{ github.ref }}
restore-keys: |
macos-ci-build-${{ matrix.os }}-${{ github.ref }}
macos-ci-build-${{ matrix.os }}-refs/heads/master
macos-ci-build-${{ matrix.os }}-
- name: Compiler version
run: |
clang --version
- name: Build
run: |
./autogen.sh
./configure --disable-shared --with-boost-include=`brew --prefix`/include ${{ 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-1.39/.github/workflows/misspell.yml 0000664 0000000 0000000 00000001070 15037373673 0021151 0 ustar 00root root 0000000 0000000 name: Misspell fixer
on:
push:
branches:
- '**'
jobs:
check:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- uses: sobolevn/misspell-fixer-action@master
- uses: peter-evans/create-pull-request@v7
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-1.39/.github/workflows/msvc-all-configs.yml 0000664 0000000 0000000 00000004220 15037373673 0022465 0 ustar 00root root 0000000 0000000 name: Windows build with all configurations
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
msbuild:
runs-on: windows-2022
strategy:
fail-fast: false
matrix:
toolset: [v142, v143]
platform: [x64, Win32]
configuration: ['Release', 'Debug', 'Release (static runtime)', 'Debug (static runtime)']
unity: [unity, singles]
include:
- toolset: v142
boost_version: 77
vsversion: 2019
- toolset: v143
boost_version: 88
vsversion: 2022
steps:
- uses: actions/checkout@v4
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Setup Boost
run: |
$Url = "https://archives.boost.io/release/1.${{ matrix.boost_version }}.0/source/boost_1_${{ matrix.boost_version }}_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_${{ matrix.boost_version }}_0" -NewName "boost"
- name: Setup local properties
shell: cmd
run: |
COPY .ci\VS${{ matrix.vsversion }}.props .\Build.props
- name: Setup unity build
if: ${{ matrix.unity == 'unity' }}
shell: cmd
run: |
COPY .ci\Unity.props .\Directory.Build.props
- name: Build
run: |
msbuild ./QuantLib.sln /verbosity:normal /property:Configuration="${{ matrix.configuration }}" /property:Platform=${{ matrix.platform }} /property:PlatformToolset=${{ matrix.toolset }}
- name: Test
if: ${{ (matrix.toolset == 'v142' || matrix.platform == 'Win32') && contains(matrix.configuration, 'Release') }}
run: |
.\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
- name: Run examples
if: ${{ (matrix.toolset == 'v142' || matrix.platform == 'Win32') && contains(matrix.configuration, 'Release') }}
run: |
foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
{
& $file.FullName
if (!$?) { Exit $LASTEXITCODE }
}
QuantLib-1.39/.github/workflows/msvc-analysis.yml 0000664 0000000 0000000 00000003052 15037373673 0022114 0 ustar 00root root 0000000 0000000 name: Microsoft C++ Code Analysis
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
env:
# Path to the CMake build directory.
build: '${{ github.workspace }}/build'
jobs:
analyze:
name: Analyze
runs-on: windows-2022
steps:
- name: Checkout repository
uses: actions/checkout@v4
- name: Setup
run: |
$Url = "https://archives.boost.io/release/1.88.0/source/boost_1_88_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_88_0" -NewName "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-1.39/.github/workflows/msvc-nondefault.yml 0000664 0000000 0000000 00000004024 15037373673 0022430 0 ustar 00root root 0000000 0000000 name: Windows build with non-default configuration
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
msbuild:
runs-on: windows-2022
strategy:
fail-fast: false
matrix:
toolset: [v142, v143]
platform: [x64, Win32]
unity: [unity, singles]
include:
- toolset: v142
boost_version: 77
vsversion: 2019
- toolset: v143
boost_version: 88
vsversion: 2022
steps:
- uses: actions/checkout@v4
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Setup Boost
run: |
$Url = "https://archives.boost.io/release/1.${{ matrix.boost_version }}.0/source/boost_1_${{ matrix.boost_version }}_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_${{ matrix.boost_version }}_0" -NewName "boost"
- name: Setup local properties
shell: cmd
run: |
COPY .ci\VS${{ matrix.vsversion }}.alt.props .\Build.props
COPY .ci\userconfig${{ matrix.vsversion }}.alt.hpp .\ql\userconfig.hpp
- name: Setup unity build
if: ${{ matrix.unity == 'unity' }}
shell: cmd
run: |
COPY .ci\Unity.props .\Directory.Build.props
- name: Build
run: |
msbuild ./QuantLib.sln /verbosity:normal /property:Configuration=Release /property:Platform=${{ matrix.platform }} /property:PlatformToolset=${{ matrix.toolset }}
- name: Test
if: ${{ matrix.toolset == 'v142' || matrix.platform == 'Win32' }}
run: |
.\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
- name: Run examples
if: ${{ matrix.toolset == 'v142' || matrix.platform == 'Win32' }}
run: |
foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
{
& $file.FullName
if (!$?) { Exit $LASTEXITCODE }
}
QuantLib-1.39/.github/workflows/msvc.yml 0000664 0000000 0000000 00000003420 15037373673 0020272 0 ustar 00root root 0000000 0000000 name: Windows build
on: [push, pull_request]
jobs:
msbuild:
runs-on: windows-2022
strategy:
fail-fast: false
matrix:
toolset: [v142, v143]
unity: [unity, singles]
include:
- toolset: v142
boost_version: 77
vsversion: 2019
- toolset: v143
boost_version: 88
vsversion: 2022
steps:
- uses: actions/checkout@v4
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Setup Boost
run: |
$Url = "https://archives.boost.io/release/1.${{ matrix.boost_version }}.0/source/boost_1_${{ matrix.boost_version }}_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_${{ matrix.boost_version }}_0" -NewName "boost"
- name: Setup local properties
shell: cmd
run: |
COPY .ci\VS${{ matrix.vsversion }}.props .\Build.props
- name: Setup unity build
if: ${{ matrix.unity == 'unity' }}
shell: cmd
run: |
COPY .ci\Unity.props .\Directory.Build.props
- name: Build
run: |
msbuild ./QuantLib.sln /verbosity:normal /property:Configuration=Release /property:Platform=x64 /property:PlatformToolset=${{ matrix.toolset }}
- name: Test
if: ${{ matrix.toolset == 'v142' }}
run: |
.\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
- name: Run examples
if: ${{ matrix.toolset == 'v142' }}
run: |
foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
{
& $file.FullName
if (!$?) { Exit $LASTEXITCODE }
}
QuantLib-1.39/.github/workflows/namespaces.yml 0000664 0000000 0000000 00000002233 15037373673 0021442 0 ustar 00root root 0000000 0000000 name: Fix deprecated uses of ext namespace
on:
push:
branches:
- '**'
jobs:
namespaces:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: Check
run: |
shopt -s globstar
sed -i -e 's/ext::function\b/std::function/g' **/*.[hc]pp
sed -i -e 's/ext::bind\b/std::bind/g' **/*.[hc]pp
sed -i -e 's/ext::ref\b/std::ref/g' **/*.[hc]pp
sed -i -e 's/ext::cref\b/std::cref/g' **/*.[hc]pp
sed -i -e 's/ext::placeholders\b/std::placeholders/g' **/*.[hc]pp
sed -i -e 's/ext::tuple\b/std::tuple/g' **/*.[hc]pp
sed -i -e 's/ext::make_tuple\b/std::make_tuple/g' **/*.[hc]pp
sed -i -e 's/ext::get\b/std::get/g' **/*.[hc]pp
sed -i -e 's/ext::tie\b/std::tie/g' **/*.[hc]pp
- uses: peter-evans/create-pull-request@v7
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: fix-ext-namespace-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fix deprecated uses of ext namespace'
title: 'Fix deprecated uses of ext namespace'
author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
QuantLib-1.39/.github/workflows/sanitizer.yml 0000664 0000000 0000000 00000002646 15037373673 0021343 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@v4
- 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@v4
- 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-1.39/.github/workflows/stale.yml 0000664 0000000 0000000 00000002223 15037373673 0020432 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: ${{ secrets.GITHUB_TOKEN }}
stale-issue-message: 'This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-issue-message: 'This issue was automatically closed because it has been stalled for two weeks with no further activity.'
stale-pr-message: 'This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-pr-message: 'This PR was automatically closed because it has been stalled for two weeks with no further activity.'
days-before-stale: 60
days-before-close: 14
stale-issue-label: 'stale'
stale-pr-label: 'stale'
exempt-issue-labels: 'help wanted,in progress'
exempt-pr-labels: 'help wanted,in progress'
exempt-all-milestones: true
QuantLib-1.39/.github/workflows/test-times.yml 0000664 0000000 0000000 00000002543 15037373673 0021425 0 ustar 00root root 0000000 0000000 name: Check test times
on: [push, pull_request]
jobs:
check-test-times:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v4
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: linux-ci-test-times-${{ 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 rm /etc/apt/sources.list.d/microsoft-prod.list
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-1.39/.github/workflows/tidy.yml 0000664 0000000 0000000 00000002056 15037373673 0020277 0 ustar 00root root 0000000 0000000 name: Apply clang-tidy fixes
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
check:
runs-on: ubuntu-24.04
steps:
- uses: actions/checkout@v4
- name: Setup
run: |
sudo apt-get update
sudo apt-get install -y clang-tidy-19 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@v7
if: ${{ always() }}
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-1.39/.gitignore 0000664 0000000 0000000 00000003650 15037373673 0015177 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-1.39/.lgtm.yml 0000664 0000000 0000000 00000000246 15037373673 0014751 0 ustar 00root root 0000000 0000000
path_classifiers:
docs:
- Docs
- Examples
test:
- test-suite
library:
- tools
queries:
- exclude: cpp/fixme-comment
QuantLib-1.39/.lsan.txt 0000664 0000000 0000000 00000000001 15037373673 0014746 0 ustar 00root root 0000000 0000000
QuantLib-1.39/.misspell-fixer.ignore 0000664 0000000 0000000 00000000022 15037373673 0017423 0 ustar 00root root 0000000 0000000 ^./ChangeLog.txt
QuantLib-1.39/.msvc-analysis.ruleset 0000664 0000000 0000000 00000001004 15037373673 0017452 0 ustar 00root root 0000000 0000000
QuantLib-1.39/CITATION.cff 0000664 0000000 0000000 00000000555 15037373673 0015102 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-1.39/CMakeLists.txt 0000664 0000000 0000000 00000025301 15037373673 0015744 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 39)
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 "0x013900f0")
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_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" ON)
option(QL_USE_STD_CLASSES "Enable all QL_USE_STD_ options" OFF)
option(QL_USE_STD_OPTIONAL "Use std::optional instead of boost::optional" ON)
option(QL_USE_STD_SHARED_PTR "Use standard smart pointers instead of Boost ones" OFF)
set(QL_EXTERNAL_SUBDIRECTORIES "" CACHE STRING "Optional list of external source directories to be added to the build (semicolon-separated)")
# set -lpapi here
set(QL_EXTRA_LINK_LIBRARIES "" CACHE STRING "Optional extra link libraries to add to QuantLib")
# Require C++17 or higher
if (NOT DEFINED CMAKE_CXX_STANDARD)
set(CMAKE_CXX_STANDARD 17)
elseif(CMAKE_CXX_STANDARD LESS 17)
message(FATAL_ERROR "Please specify CMAKE_CXX_STANDARD of 17 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++17 not -std=gnu++17
if (NOT DEFINED CMAKE_CXX_EXTENSIONS)
set(CMAKE_CXX_EXTENSIONS FALSE)
endif()
# Convenience option to activate all STD options
if (QL_USE_STD_CLASSES)
set(QL_USE_STD_ANY ON)
set(QL_USE_STD_OPTIONAL ON)
set(QL_USE_STD_SHARED_PTR ON)
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 -Wno-array-bounds)
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")
if (QL_ENABLE_OPENMP)
set(OPENMP_CXXFLAGS ${OpenMP_CXX_FLAGS})
endif()
configure_file(quantlib-config.in quantlib-config @ONLY)
configure_file(quantlib.pc.in quantlib.pc @ONLY)
install(PROGRAMS ${CMAKE_CURRENT_BINARY_DIR}/quantlib-config TYPE BIN)
install(FILES ${CMAKE_CURRENT_BINARY_DIR}/quantlib.pc DESTINATION lib/pkgconfig)
include(Platform)
# Check for library name layout tagging
if (QL_TAGGED_LAYOUT)
if (${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} ${name_without_dir})
endforeach()
# Add subdirectories
add_subdirectory(ql)
if (QL_BUILD_EXAMPLES)
add_subdirectory(Examples)
endif()
if (QL_BUILD_TEST_SUITE)
add_subdirectory(test-suite)
endif()
if ('${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-1.39/CMakePresets.json 0000664 0000000 0000000 00000017600 15037373673 0016430 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",
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"binaryDir": "${sourceDir}/build/${presetName}",
"architecture": {
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"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"
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},
{
"name": "_relwithdebinfo",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "RelWithDebInfo"
}
},
{
"name": "linux-clang-debug",
"inherits": [
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},
{
"name": "linux-clang-release",
"inherits": [
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},
{
"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",
"linux-clang-debug"
]
},
{
"name": "linux-clang-ninja-release",
"inherits": [
"ninja",
"linux-clang-release"
]
},
{
"name": "linux-clang-ninja-relwithdebinfo",
"inherits": [
"ninja",
"linux-clang-relwithdebinfo"
]
},
{
"name": "linux-gcc-ninja-debug",
"inherits": [
"ninja",
"linux-gcc-debug"
]
},
{
"name": "linux-gcc-ninja-release",
"inherits": [
"ninja",
"linux-gcc-release"
]
},
{
"name": "linux-gcc-ninja-relwithdebinfo",
"inherits": [
"ninja",
"linux-gcc-relwithdebinfo"
]
},
{
"name": "linux-gcc-debug-with-clang-tidy",
"inherits": [
"linux-gcc-debug"
],
"cacheVariables": {
"QL_CLANG_TIDY_OPTIONS": "-warnings-as-errors=*",
"QL_USE_CLANG_TIDY": "ON"
}
},
{
"name": "windows-clang-release",
"inherits": [
"windows-clang-base",
"ninja",
"_release"
]
},
{
"name": "windows-clang-debug",
"inherits": [
"windows-clang-base",
"ninja",
"_debug"
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},
{
"name": "windows-clang-relwithdebinfo",
"inherits": [
"windows-clang-base",
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},
{
"name": "windows-msvc-release",
"inherits": [
"windows-msvc-base",
"ninja",
"_release"
]
},
{
"name": "windows-msvc-debug",
"inherits": [
"windows-msvc-base",
"ninja",
"_debug"
]
},
{
"name": "windows-msvc-relwithdebinfo",
"inherits": [
"windows-msvc-base",
"ninja",
"_relwithdebinfo"
]
},
{
"name": "linux-ci-build-with-clang-tidy",
"inherits": [
"linux-gcc-debug"
],
"cacheVariables": {
"BOOST_ROOT": "/usr",
"CMAKE_UNITY_BUILD": "ON",
"QL_CLANG_TIDY": "clang-tidy-19",
"QL_CLANG_TIDY_OPTIONS": "-quiet;-fix",
"QL_USE_CLANG_TIDY": "ON",
"QL_USE_STD_CLASSES": "ON"
}
},
{
"name": "linux-ci-build-with-nonstandard-options",
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"cacheVariables": {
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"QL_FASTER_LAZY_OBJECTS": "OFF",
"QL_THROW_IN_CYCLES": "ON",
"QL_NULL_AS_FUNCTIONS": "ON",
"QL_USE_INDEXED_COUPON": "ON",
"QL_USE_STD_SHARED_PTR": "ON",
"QL_USE_STD_ANY": "OFF",
"QL_USE_STD_OPTIONAL": "OFF",
"QL_COMPILE_WARNING_AS_ERROR": "ON"
}
},
{
"name": "windows-ci-build-with-nonstandard-options",
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],
"cacheVariables": {
"CMAKE_UNITY_BUILD": "ON",
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"QL_THROW_IN_CYCLES": "ON",
"QL_NULL_AS_FUNCTIONS": "ON",
"QL_USE_INDEXED_COUPON": "ON",
"QL_USE_STD_SHARED_PTR": "ON",
"QL_USE_STD_ANY": "OFF",
"QL_USE_STD_OPTIONAL": "OFF",
"QL_COMPILE_WARNING_AS_ERROR": "ON",
"CMAKE_CXX_COMPILER_LAUNCHER": "sccache"
}
},
{
"name": "apple-arm64-ninja-debug",
"description": "Apple M series preset Debug",
"inherits": [
"apple-arm64-base",
"ninja",
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},
{
"name": "apple-arm64-ninja-release",
"description": "Apple M series preset Release",
"inherits": [
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"_release"
]
},
{
"name": "apple-arm64-ninja-relwithdebinfo",
"description": "Apple M series preset RelWithDebInfo",
"inherits": [
"apple-arm64-base",
"ninja",
"_relwithdebinfo"
]
}
]
}
QuantLib-1.39/CONTRIBUTING.md 0000664 0000000 0000000 00000003631 15037373673 0015437 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-1.39/ChangeLog.txt 0000664 0000000 0000000 00000120511 15037373673 0015573 0 ustar 00root root 0000000 0000000 commit b16200d7690373337c2009f20ef5ac4dbebbeb51
Author: Luigi Ballabio
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.39 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit f5b93e4a95d4a2d7399500f410b7dfc4006fcdc2
Author: Luigi Ballabio
Date: Tue, 8 Jul 2025 15:13:48 +0200
Add warning about latest VC++
News.md | 10 ++++++++++
1 file changed, 10 insertions(+)
commit 9a51b98fa8ae6dbd647d158bc778e8602de43cef
Author: Luigi Ballabio
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.39-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 93d64f1bb26d9ae12861f653d89d0ecce8604037
Author: Luigi Ballabio
Date: Tue, 8 Jul 2025 12:31:57 +0200
Update news, contributors and changelog
ChangeLog.txt | 1751 +++++++++++++++++++++--------------------------
Contributors.txt | 3 +
Docs/pages/history.docs | 87 ++-
News.md | 159 ++---
4 files changed, 932 insertions(+), 1068 deletions(-)
commit 272a31200960bc03aa9607212da42c60173a919f
Author: Luigi Ballabio
Date: Mon, 7 Jul 2025 20:52:40 +0200
Update test messages
test-suite/interpolations.cpp | 2 +-
test-suite/optionletstripper.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit f103f5eed4e6987920eeab40bdd6bcc0f1713a85
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 7 Jul 2025 09:31:48 +0000
Automated fixes by clang-tidy
ql/models/marketmodels/products/multistep/multistepnothing.cpp | 4 ++--
test-suite/optionletstripper.cpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit 01fe85db37c5294747ec29eca2304bd2abdd37fb
Author: Luigi Ballabio
Date: Tue, 1 Jul 2025 14:37:20 +0200
Add missing header
ql/version.hpp | 1 +
1 file changed, 1 insertion(+)
commit 8f90fe24f32d55405ae09af1cfd85536226b430b
Author: Luigi Ballabio
Date: Tue, 1 Jul 2025 11:44:15 +0200
Avoid a few warnings or errors when using the latest C++ standards
ql/experimental/exoticoptions/spreadoption.hpp | 4 ++++
ql/models/marketmodels/products/multistep/multistepnothing.cpp | 5 ++---
2 files changed, 6 insertions(+), 3 deletions(-)
commit 961419fba805130e665358f5a1f4d3275ad87308
Merge: d0ec3e34ba 97f35c8831
Author: Luigi Ballabio
Date: Tue, 1 Jul 2025 11:24:26 +0200
Optionlet frequency optional param support in `OptionletStripper` (#2253)
commit 97f35c8831e429dc5a5240469f8b0fcb2e578900
Author: Paolo D'Elia
Date: Mon, 30 Jun 2025 16:09:18 +0200
Add check for optionlet frequency for ON indexes when initializing optionletstripper
ql/termstructures/volatility/optionlet/optionletstripper.cpp | 5 +++++
1 file changed, 5 insertions(+)
commit d0ec3e34ba76e13cedf0e4e51b39b6219d089dc4
Author: Luigi Ballabio
Date: Wed, 25 Jun 2025 23:37:51 +0200
Temporarily disable test for broken 2022 toolset
.github/workflows/cmake.yml | 6 +++---
.github/workflows/msvc-all-configs.yml | 4 ++--
.github/workflows/msvc-nondefault.yml | 2 ++
.github/workflows/msvc.yml | 2 ++
4 files changed, 9 insertions(+), 5 deletions(-)
commit 1bb39b012ab9d4e28ed213571767d99581ecf818
Author: Luigi Ballabio
Date: Tue, 24 Jun 2025 14:50:38 +0200
Avoid the deprecated windows-2019 image.
We can use different toolsets with MSVC 2022 instead.
.github/workflows/msvc-all-configs.yml | 15 +++++++--------
.github/workflows/msvc-nondefault.yml | 15 +++++++--------
.github/workflows/msvc.yml | 15 +++++++--------
3 files changed, 21 insertions(+), 24 deletions(-)
commit 85c975843210c585c3e18ef468948d3fbbc0c3f5
Author: paolodelia99
Date: Mon, 23 Jun 2025 15:09:22 +0200
Test refactoring
test-suite/optionletstripper.cpp | 98 +++++++++++++++++++++-------------------
1 file changed, 51 insertions(+), 47 deletions(-)
commit 70bc8e0600c596440d383ce92b5d499e5e2de6f5
Author: paolodelia99
Date: Mon, 23 Jun 2025 14:44:10 +0200
Add newer test in lower speed tests
test-suite/optionletstripper.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d1f124f0af993d1badf6ff5658d123d81f50c659
Author: paolodelia99
Date: Mon, 23 Jun 2025 11:50:49 +0200
Add optionletFrequency as optional param and related tests
.../volatility/optionlet/optionletstripper.cpp | 13 +-
.../volatility/optionlet/optionletstripper.hpp | 5 +-
.../volatility/optionlet/optionletstripper1.cpp | 5 +-
.../volatility/optionlet/optionletstripper1.hpp | 3 +-
.../volatility/optionlet/optionletstripper2.cpp | 3 +-
test-suite/optionletstripper.cpp | 166 +++++++++++++++++++++
6 files changed, 187 insertions(+), 8 deletions(-)
commit 4460bb64b83fffe0a12cea39ba90d2ba0330600a
Merge: a243e1e086 3ea2ca1da0
Author: Luigi Ballabio
Date: Thu, 19 Jun 2025 09:16:07 +0200
Enhance MakeOIS default settlement days test and use settlement days t+1 for CORRA (#2241)
commit a243e1e086640783c4aebfd3ae7d4f29e353a7cd
Merge: 42883f775c a594d06103
Author: Luigi Ballabio
Date: Thu, 19 Jun 2025 09:13:45 +0200
Add FxSwapRateHelper constructor with fixed dates (#2244)
commit 3ea2ca1da09a39775253949856afc288911b3aab
Author: Zak
Date: Wed, 18 Jun 2025 19:45:16 -0500
Update CORRA settlement days and add test for default settlement days in MakeOIS
- Change CORRA settlement days from T+0 to T+1 to match market convention
- Add comprehensive test for default settlement days across all overnight indices
- Verify T+0 settlement for SONIA
- Verify T+1 settlement for CORRA
- Verify T+2 settlement for all other indices (EONIA, ESTR, FedFunds, etc.)
- Test manual override of settlement days
- Test weekend handling for all settlement patterns
ql/instruments/makeois.cpp | 11 +++++++----
test-suite/overnightindexedswap.cpp | 28 +++++++++++++++++++++-------
2 files changed, 28 insertions(+), 11 deletions(-)
commit a594d0610380616d3123675f577a1fd2ea9ce69e
Author: Eugene Toder
Date: Fri, 13 Jun 2025 23:14:17 -0400
Add FxSwapRateHelper constructor with fixed dates
ql/termstructures/yield/ratehelpers.cpp | 16 ++++++++++++++++
ql/termstructures/yield/ratehelpers.hpp | 6 ++++++
test-suite/piecewiseyieldcurve.cpp | 17 ++++++++++++++---
3 files changed, 36 insertions(+), 3 deletions(-)
commit d889c73e47b1bd504b8457ca3befd234c3df265d
Author: Zak
Date: Tue, 17 Jun 2025 18:55:40 -0500
Enhance MakeOIS default settlement days test
- Refactor test to use vectors and loops for better maintainability
- Test all available overnight indices (SONIA, CORRA, EONIA, ESTR, FedFunds, SOFR, AONIA, TONA, SARON, NZOCR, DESTR, SWESTR, KOFR, MOSPRIME)
- Group indices by settlement days (0-day and 2-day)
- Add comprehensive tests for:
* Default settlement days
* Manual settlement day overrides
* Weekend handling
- Improve code organization with clear comments and logical grouping
test-suite/overnightindexedswap.cpp | 66 +++++++++++++++++++++++++++++--------
1 file changed, 53 insertions(+), 13 deletions(-)
commit 42883f775c7df377e5c826a973531c3a21ee8044
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 15 Jun 2025 01:40:41 +0000
Automated fixes by clang-tidy
test-suite/calendars.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 89f2143f98280af0a79b8ece0f7eda2f9ce6ea8e
Merge: 4c41586099 2e9efb5937
Author: Luigi Ballabio
Date: Mon, 16 Jun 2025 09:15:29 +0200
Fix 30/360 USA calculation (#2243)
commit 4c4158609998fdd5ef6cc3435f1ee18f578b4c66
Merge: 0c872a6234 c062f046a4
Author: Luigi Ballabio
Date: Fri, 13 Jun 2025 09:02:50 +0200
Add SHIR fixing calendar (#2242)
commit 2e9efb593788e6d2f653f1c81429390e9187f423
Author: Eugene Toder
Date: Thu, 12 Jun 2025 13:04:58 -0400
Fix 30/360 USA calculation
The checks should be done in the specific order. Alternatively, the rule
if (dd2 == 31 && dd1 >= 30) dd2 = 30;
can be changed to
if (dd2 == 31 && (dd1 >= 30 || isLastOfFebruary(d1))) dd2 = 30;
ql/time/daycounters/thirty360.cpp | 11 +++++---
test-suite/daycounters.cpp | 54 +++++++++++++++++++++++++++++++++++++++
2 files changed, 61 insertions(+), 4 deletions(-)
commit c062f046a4f2e5835d5529c1b2b60872f82c0633
Author: Luigi Ballabio
Date: Thu, 12 Jun 2025 15:26:19 +0200
Add SHIR fixing calendar
ql/time/calendars/israel.cpp | 745 +++++++++++++++++++++++++------------------
ql/time/calendars/israel.hpp | 11 +-
test-suite/calendars.cpp | 121 +++++++
3 files changed, 566 insertions(+), 311 deletions(-)
commit 94982ed793269e545181757e9a327bc97046da93
Author: Luigi Ballabio
Date: Wed, 11 Jun 2025 13:22:00 +0200
Factor out checks for better output
test-suite/calendars.cpp | 245 +++++++++++++----------------------------------
1 file changed, 69 insertions(+), 176 deletions(-)
commit 0c872a6234ebd489628ffef6d895c6ea4959c7fc
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 8 Jun 2025 01:26:48 +0000
Automated fixes by clang-tidy
ql/termstructures/inflation/inflationhelpers.cpp | 6 +++---
ql/termstructures/inflation/inflationhelpers.hpp | 2 +-
2 files changed, 4 insertions(+), 4 deletions(-)
commit 0a0f4f345a13a1a1eb82c7ecc26c6ed0731b343d
Merge: ee644ccd50 cb517212da
Author: Luigi Ballabio
Date: Thu, 5 Jun 2025 13:21:17 +0200
Fix default settlement logic in MakeOIS: SONIA=0, CORRA=0, others=2. (#2237)
commit cb517212dad1d8543d3745e65ea72472b0e23dda
Author: Luigi Ballabio
Date: Thu, 5 Jun 2025 11:07:56 +0200
Remove conflicting default value
ql/instruments/makeois.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ee644ccd50c73c31993254c128d02a56d89c0b1a
Merge: b1c18c7935 293a2f2f8f
Author: Luigi Ballabio
Date: Wed, 4 Jun 2025 21:12:40 +0200
Another use of variant to avoid overloading (#2240)
commit 293a2f2f8fd1a4bb4be4c07a4f3186d09352d07d
Author: Luigi Ballabio
Date: Wed, 4 Jun 2025 17:13:20 +0200
Another use of variant to avoid overloading
ql/termstructures/yield/oisratehelper.cpp | 4 ++--
ql/termstructures/yield/oisratehelper.hpp | 4 ++--
2 files changed, 4 insertions(+), 4 deletions(-)
commit e4ca333b0c1988a25dfacfae05eaceb2960c78eb
Author: Zak
Date: Sat, 31 May 2025 10:09:53 -0500
Fix default settlement logic in MakeOIS: SONIA=0, CORRA=0, others=2.
Applies default settlement days based on index type, keeps override behavior when .withSettlementDays() is used. Ensures expected behavior with testMakeOISDefaultSettlementDays. MakeOIS constructor initialization order matches declaration.
ql/instruments/makeois.cpp | 16 +++++++++++++++-
test-suite/overnightindexedswap.cpp | 34 ++++++++++++++++++++++++++++++++++
2 files changed, 49 insertions(+), 1 deletion(-)
commit b1c18c793559f7db1938819bae21a3b003f8cde8
Author: Luigi Ballabio
Date: Tue, 3 Jun 2025 12:41:02 +0200
Suppress a couple of false positives from clang-tidy
ql/termstructures/volatility/sabr.cpp | 4 ++--
test-suite/indexes.cpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit 85579753b4ed6500cad1d2dbc8614372744009e1
Author: Luigi Ballabio
Date: Tue, 3 Jun 2025 11:00:09 +0200
Prevent fix from clang-tidy introducing deprecation warning
test-suite/inflation.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e27f1507563e8ff1e06175e3feb010cf6c3589fa
Author: Luigi Ballabio
Date: Tue, 3 Jun 2025 10:57:55 +0200
Update Doxygen configuration
Docs/quantlib.doxy | 12 +++++++++++-
1 file changed, 11 insertions(+), 1 deletion(-)
commit 227f903cc8a7f0518bed8e6907918dd542e12a34
Merge: a27210bf3b b5f0e062d3
Author: Luigi Ballabio
Date: Mon, 26 May 2025 14:36:31 +0200
Add zero-coupon inflation helper that doesn't need a nominal curve (#2234)
commit a27210bf3bbb35f9ce3656e5a0c75611dd96767a
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 25 May 2025 01:36:28 +0000
Automated fixes by clang-tidy
ql/indexes/ibor/custom.cpp | 7 ++++---
ql/indexes/ibor/custom.hpp | 4 ++--
test-suite/overnightindexedswap.cpp | 9 +++++----
3 files changed, 11 insertions(+), 9 deletions(-)
commit b5f0e062d304bb36327f17b8d1111b53cdce9407
Author: Luigi Ballabio
Date: Mon, 26 May 2025 10:52:11 +0200
Deprecate old constructor
ql/termstructures/inflation/inflationhelpers.cpp | 4 ++++
ql/termstructures/inflation/inflationhelpers.hpp | 4 ++++
test-suite/inflation.cpp | 11 ++++++++---
test-suite/inflationcpibond.cpp | 9 ++++-----
test-suite/inflationcpicapfloor.cpp | 13 +++++--------
test-suite/inflationcpiswap.cpp | 14 ++++++--------
6 files changed, 31 insertions(+), 24 deletions(-)
commit 40669aae8f9781a5923d257d5566dbe4a414107a
Author: Luigi Ballabio
Date: Mon, 26 May 2025 10:34:55 +0200
Add zero-coupon inflation helper that doesn't need a nominal curve
ql/termstructures/inflation/inflationhelpers.cpp | 19 +++
ql/termstructures/inflation/inflationhelpers.hpp | 10 ++
test-suite/inflation.cpp | 171 ++++++++++++++++++++++-
3 files changed, 199 insertions(+), 1 deletion(-)
commit 80707be73199a624a02d328e8908b8b01d7819a6
Merge: 6fb02fcbf0 3c78f36620
Author: Luigi Ballabio
Date: Thu, 22 May 2025 14:50:58 +0200
Add SABR guess from Le Floc'h and Kennedy (#2232)
commit 3c78f36620799d83b5cd4a03a7fd0396ceb4c2c5
Author: Luigi Ballabio
Date: Thu, 22 May 2025 11:22:59 +0200
Cubic roots are only available since Boost 1.78
ql/termstructures/volatility/sabr.cpp | 18 ++++++++++++++++++
ql/termstructures/volatility/sabr.hpp | 3 +++
test-suite/interpolations.cpp | 11 +++++++++++
3 files changed, 32 insertions(+)
commit adc2d7e5ed01b96687da4cb00f3a9d94f0717610
Author: Luigi Ballabio
Date: Thu, 22 May 2025 10:23:00 +0200
Add SABR guess from Le Floc'h and Kennedy
ql/termstructures/volatility/sabr.cpp | 119 ++++++++++++++++++++++++++++++++++
ql/termstructures/volatility/sabr.hpp | 24 +++++++
test-suite/interpolations.cpp | 62 ++++++++++++++++--
3 files changed, 201 insertions(+), 4 deletions(-)
commit 6fb02fcbf0a1fc665952b896059e49d3b0f32bca
Merge: 7bcba39577 e44c6fe788
Author: Luigi Ballabio
Date: Tue, 20 May 2025 13:58:59 +0200
Take fixing dates into account when calculating OIS-helper pillar (#2231)
commit e44c6fe78829925e58ef9925c23eecac36201d53
Author: Luigi Ballabio
Date: Tue, 20 May 2025 11:11:48 +0200
Check OIS helper for fixings after the pillar
ql/termstructures/yield/oisratehelper.cpp | 49 ++++++++++++++++++-------------
ql/termstructures/yield/oisratehelper.hpp | 6 ++--
test-suite/overnightindexedswap.cpp | 43 +++++++++++++++++++++++++++
3 files changed, 75 insertions(+), 23 deletions(-)
commit 7bcba3957739afe7099430e4a46e2f064abace11
Merge: 5b913f41e1 304eaaf250
Author: Luigi Ballabio
Date: Mon, 19 May 2025 11:33:07 +0200
Remove the remains of MultiCurveSensitivities (#2229)
commit 5b913f41e1b80878ea0434c591e46044e7ae98d7
Merge: edb8054e8f ea01446bf7
Author: Luigi Ballabio
Date: Mon, 19 May 2025 11:32:10 +0200
Add CustomIborIndex (#2228)
commit 304eaaf250584ad107e87b629628c3060f4dd89e
Author: Eugene Toder
Date: Sun, 18 May 2025 12:39:05 -0400
Remove the remains of MultiCurveSensitivities
This class was deleted back in version 1.32
ql/termstructures/yield/piecewiseyieldcurve.hpp | 3 ---
1 file changed, 3 deletions(-)
commit ea01446bf70b127e64d1c6dd5244f9927a6a6df7
Author: Eugene Toder
Date: Thu, 14 Nov 2024 17:26:32 -0500
Add CustomIborIndex
This is a LIBOR-like index that allows specifying custom calendars for
value and maturity dates calculations. This is useful, for example, when
using vendor calendars instead of the built-in ones.
Also, add missing EURLibor::clone().
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 +++++
ql/CMakeLists.txt | 2 ++
ql/indexes/ibor/Makefile.am | 2 ++
ql/indexes/ibor/all.hpp | 1 +
ql/indexes/ibor/custom.cpp | 50 +++++++++++++++++++++++++++++++++++
ql/indexes/ibor/custom.hpp | 63 ++++++++++++++++++++++++++++++++++++++++++++
ql/indexes/ibor/eurlibor.cpp | 4 +++
ql/indexes/ibor/eurlibor.hpp | 4 +++
ql/indexes/ibor/libor.cpp | 14 +++++-----
test-suite/indexes.cpp | 56 +++++++++++++++++++++++++++++++++++++++
11 files changed, 197 insertions(+), 7 deletions(-)
commit edb8054e8fcdbf252395b98afe28be4dd3594034
Merge: dfd453aafe 708180e30d
Author: Luigi Ballabio
Date: Fri, 16 May 2025 08:23:38 +0200
Avoid error when asking for the serial number of a null date with intraday support enabled. (#2227)
commit dfd453aafe0d158e156c214323b621678e439ea6
Merge: 10171b8b6a e73b9293f9
Author: Luigi Ballabio
Date: Fri, 16 May 2025 08:23:16 +0200
Expose overnight calendar in OISRateHelper (#2226)
commit 10171b8b6a21f106c1c89bcf2f4f0a300e18e018
Merge: 46a3903f7c b0ab8e345c
Author: Luigi Ballabio
Date: Fri, 16 May 2025 08:19:01 +0200
Make unexpected types in quote variant a compile-time error (#2225)
commit b0ab8e345c85068cfee5f618557393b364462e17
Author: Eugene Toder
Date: Wed, 14 May 2025 21:59:12 -0400
Make unexpected types in quote variant a compile-time error
Simplify usage of std::visit using a helper visitor type as shown in
https://en.cppreference.com/w/cpp/utility/variant/visit2
This also catches unknown types at compile-time instead of run-time even
on older compilers.
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
ql/CMakeLists.txt | 1 +
ql/quote.cpp | 13 ++++---------
ql/utilities/Makefile.am | 3 ++-
ql/utilities/all.hpp | 1 +
ql/utilities/variants.hpp | 19 +++++++++++++++++++
7 files changed, 31 insertions(+), 10 deletions(-)
commit 708180e30d33134932cfd7a855175caf9a271aca
Author: Luigi Ballabio
Date: Thu, 15 May 2025 16:03:44 +0200
Avoid error when asking for the serial number of a null date.
Only triggered by intraday support, which is why it didn't
surface earlier.
ql/time/date.cpp | 8 ++++----
test-suite/dates.cpp | 11 +++++++++++
2 files changed, 15 insertions(+), 4 deletions(-)
commit e73b9293f9a5df4f3b010bb0fe15bf494f61445d
Author: Eugene Toder
Date: Wed, 14 May 2025 22:11:19 -0400
Expose overnight calendar in OISRateHelper
ql/termstructures/yield/oisratehelper.cpp | 17 +++++++++++------
ql/termstructures/yield/oisratehelper.hpp | 7 +++++--
2 files changed, 16 insertions(+), 8 deletions(-)
commit 46a3903f7cc81f16630baac9ceca22c4ad031be2
Merge: f6961260d4 446846b234
Author: Luigi Ballabio
Date: Mon, 12 May 2025 16:39:04 +0200
Fix Calendar::advance() EOM with Unadjusted convention (#2221)
commit 446846b234829f17c68c943b5f889f01772ac73b
Author: Eugene Toder
Date: Sat, 10 May 2025 00:34:35 -0400
Fix Calendar::advance() EOM with Unadjusted convention
There's an issue with the new logic added in #1917: when convention is
Unadjusted but d is *not* the last calendar day, it falls through to the
previous logic, which may still adjust d1 to the last business day.
ql/time/calendar.cpp | 14 +++++++-------
test-suite/businessdayconventions.cpp | 2 ++
2 files changed, 9 insertions(+), 7 deletions(-)
commit f6961260d450aa1fcb28dd04b924eedce06901f6
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 11 May 2025 01:41:13 +0000
Automated fixes by clang-tidy
ql/termstructures/yield/oisratehelper.cpp | 6 +++---
ql/termstructures/yield/oisratehelper.hpp | 4 ++--
2 files changed, 5 insertions(+), 5 deletions(-)
commit ef50a297ca3df18a8913e1ba583e428469d44fbf
Merge: 2974df57d5 c5006d6280
Author: Luigi Ballabio
Date: Fri, 9 May 2025 21:58:20 +0200
Remove dangling unreachable break clauses (#2219)
commit 2974df57d5d209086e524384d9ed92005fe2d1b9
Merge: 0e5e4132a6 fe55789928
Author: Luigi Ballabio
Date: Fri, 9 May 2025 17:28:17 +0200
AD Initializer List Fix (#2218)
commit 0e5e4132a6851029f5672bb4c7cf7087a98475f4
Merge: ac1d143c57 0280709cc2
Author: Luigi Ballabio
Date: Fri, 9 May 2025 16:16:29 +0200
Use variant to remove some duplicated constructors (#2217)
commit e186caa9de8db7382f6d11a0f84aa0017cdfb256
Author: imraneamri
Date: Fri, 9 May 2025 14:31:55 +0100
Force evaluate Real expressions in bracketed initializer list to prevent type clash in lazy evaluation
.../finitedifferences/stepconditions/fdmsimplestoragecondition.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 0280709cc23fd4310886c2ff3e045bb42e0cc207
Author: Luigi Ballabio
Date: Fri, 9 May 2025 12:45:36 +0200
Rename utility function
ql/quote.cpp | 3 +--
ql/quote.hpp | 3 ++-
ql/termstructures/bootstraphelper.hpp | 2 +-
ql/termstructures/yield/oisratehelper.cpp | 4 ++--
ql/termstructures/yield/ratehelpers.cpp | 6 +++---
5 files changed, 9 insertions(+), 9 deletions(-)
commit 4731f0685617be2d8c470f72186bb0d7dfb4ab9e
Author: Luigi Ballabio
Date: Fri, 9 May 2025 12:33:40 +0200
Use variant to remove some duplicated constructors
ql/termstructures/bootstraphelper.hpp | 26 +--
.../credit/defaultprobabilityhelpers.cpp | 83 +--------
.../credit/defaultprobabilityhelpers.hpp | 59 +-----
ql/termstructures/yield/ratehelpers.cpp | 203 ++++-----------------
ql/termstructures/yield/ratehelpers.hpp | 134 ++------------
5 files changed, 70 insertions(+), 435 deletions(-)
commit 848777a604cfc24a255d63eaab85495ed5a0012d
Author: Luigi Ballabio
Date: Fri, 9 May 2025 09:18:42 +0200
Move helper function to public interface
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 1 +
ql/CMakeLists.txt | 1 +
ql/Makefile.am | 1 +
ql/quote.cpp | 42 +++++++++++++++++++++++++++++++
ql/quote.hpp | 3 +++
ql/termstructures/yield/oisratehelper.cpp | 22 ++--------------
7 files changed, 51 insertions(+), 20 deletions(-)
commit ac1d143c571a2a7bfda36e2dd66e7dceaf99c475
Merge: 5d972fb7bc a3d37b1c53
Author: Luigi Ballabio
Date: Fri, 9 May 2025 08:38:01 +0200
Added `Handle` for spread in `OISRateHelper` (#2195)
commit a3d37b1c53fb5b58664d9bb5e4077ef17a399c99
Author: paolodelia99
Date: Thu, 8 May 2025 18:32:48 +0200
Using spread in DateOISRateHelper to avoid breaking code
ql/termstructures/yield/oisratehelper.cpp | 6 +++---
ql/termstructures/yield/oisratehelper.hpp | 4 ++--
2 files changed, 5 insertions(+), 5 deletions(-)
commit 3a61f499ce32fb5a77d9f5c88e4b23654b9e9619
Author: Paolo D'Elia
Date: Thu, 8 May 2025 17:28:28 +0200
Handled overnight spread type problem in DatadOISRateHelper
ql/termstructures/yield/oisratehelper.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 472e1e83d441a1129e7f3743c0583afaa37b9682
Author: MiDDiz
Date: Tue, 6 May 2025 18:27:03 +0200
Removed unreachable break statements complying with CERT, MSC12-C. CWE - CWE-561 and MISRA C:2012, 2.1
ql/experimental/finitedifferences/fdmvppstepconditionfactory.cpp | 1 -
ql/experimental/processes/extendedblackscholesprocess.cpp | 3 ---
ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp | 3 ---
ql/instruments/overnightindexfuture.cpp | 2 --
ql/models/equity/hestonslvfdmmodel.cpp | 3 ---
.../barrier/analyticpartialtimebarrieroptionengine.cpp | 8 --------
6 files changed, 20 deletions(-)
commit 5d972fb7bc489c4553fc7527d7b7eeedd0ebb1b1
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 6 May 2025 07:23:00 +0000
Automated fixes by clang-tidy
Examples/BasketLosses/BasketLosses.cpp | 1 +
Examples/CDS/CDS.cpp | 2 ++
Examples/CVAIRS/CVAIRS.cpp | 2 ++
Examples/LatentModel/LatentModel.cpp | 5 +++++
Examples/MultidimIntegral/MultidimIntegral.cpp | 1 +
ql/cashflows/cashflows.cpp | 2 +-
ql/experimental/credit/basket.cpp | 2 ++
.../credit/defaultprobabilitylatentmodel.hpp | 1 +
ql/experimental/credit/gaussianlhplossmodel.hpp | 1 +
ql/experimental/credit/homogeneouspooldef.hpp | 1 +
ql/experimental/credit/inhomogeneouspooldef.hpp | 1 +
.../fdmvppstartlimitstepcondition.cpp | 4 ++--
ql/experimental/math/hybridsimulatedannealing.hpp | 2 +-
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
ql/experimental/math/latentmodel.hpp | 1 +
ql/experimental/math/multidimquadrature.hpp | 2 +-
ql/experimental/math/tcopulapolicy.cpp | 1 +
ql/math/array.hpp | 2 +-
ql/math/interpolations/cubicinterpolation.hpp | 9 ++++++---
ql/math/linearleastsquaresregression.hpp | 2 +-
ql/math/matrixutilities/pseudosqrt.cpp | 11 +++++++----
ql/math/matrixutilities/svd.cpp | 16 ++++++++--------
.../meshers/fdmsimpleprocess1dmesher.cpp | 19 +++++++++++++------
ql/methods/finitedifferences/pde.hpp | 5 +++--
.../stepconditions/fdmsimplestoragecondition.cpp | 9 ++++++---
ql/models/marketmodels/pathwiseaccountingengine.cpp | 1 +
.../marketmodels/pathwisegreeks/vegabumpcluster.cpp | 4 ++++
.../shortrate/onefactormodels/markovfunctional.cpp | 2 +-
ql/pricingengines/barrier/binomialbarrierengine.hpp | 2 +-
ql/pricingengines/cliquet/mcperformanceengine.hpp | 2 ++
ql/pricingengines/vanilla/qdplusamericanengine.cpp | 3 ++-
.../swaption/sabrswaptionvolatilitycube.hpp | 2 ++
ql/utilities/steppingiterator.hpp | 6 +-----
test-suite/amortizingbond.cpp | 4 ++--
test-suite/basketoption.cpp | 3 +++
test-suite/creditdefaultswap.cpp | 3 +++
test-suite/defaultprobabilitycurves.cpp | 2 ++
test-suite/fittedbonddiscountcurve.cpp | 1 +
test-suite/hestonmodel.cpp | 10 +++++++---
test-suite/hestonslvmodel.cpp | 2 +-
test-suite/himalayaoption.cpp | 1 +
test-suite/inflation.cpp | 2 +-
test-suite/interpolations.cpp | 2 +-
test-suite/libormarketmodelprocess.cpp | 2 +-
test-suite/lowdiscrepancysequences.cpp | 4 ++--
test-suite/marketmodel.cpp | 5 ++++-
test-suite/marketmodel_smmcaplethomocalibration.cpp | 1 +
test-suite/markovfunctional.cpp | 1 +
test-suite/nthtodefault.cpp | 2 ++
test-suite/piecewiseyieldcurve.cpp | 2 ++
50 files changed, 119 insertions(+), 54 deletions(-)
commit 8b4684f0aa2f361be8f68889f75b1d409ca7245e
Author: Luigi Ballabio
Date: Mon, 5 May 2025 17:48:33 +0200
Avoid broken fix from clang-tidy 19
ql/math/array.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e7f3086273c87eb90b586eee0a345c5d5b51a732
Author: Luigi Ballabio
Date: Fri, 4 Apr 2025 16:06:30 +0200
Disable some new checks
.clang-tidy | 5 +++++
1 file changed, 5 insertions(+)
commit 74c21c0ae99d888417acb9f611f4c19e0a2206d8
Author: Luigi Ballabio
Date: Fri, 4 Apr 2025 16:00:35 +0200
Open PR even when the build fails
.github/workflows/tidy.yml | 1 +
1 file changed, 1 insertion(+)
commit ffa19d70fd23bbf59e168b90b3a31e07d158a7fe
Author: Luigi Ballabio
Date: Fri, 4 Apr 2025 15:48:34 +0200
Use clang-tidy 19
.github/workflows/tidy.yml | 2 +-
CMakePresets.json | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 50b304a4aa11ef8ee3810d588413d5bd2d9c78bf
Merge: f81ab8f2d5 52c3477ecb
Author: Luigi Ballabio
Date: Mon, 5 May 2025 15:12:44 +0200
Support a=0 in HullWhite::convexityBias() (#2206)
commit f81ab8f2d5a6011029667ff15abdafbd6ff0fc8a
Author: Luigi Ballabio
Date: Fri, 2 May 2025 08:43:32 +0200
Add C++26 mode to CI build
.github/workflows/linux-full-tests.yml | 6 ++++++
.github/workflows/linux-nondefault.yml | 6 ++++++
.github/workflows/linux.yml | 6 ++++++
3 files changed, 18 insertions(+)
commit 807c205433720053f3cc08e758120e3216328a9f
Author: Luigi Ballabio
Date: Fri, 2 May 2025 10:23:21 +0200
Rename helper function to avoid ADL mishap
ql/errors.cpp | 24 ++++++++++++------------
1 file changed, 12 insertions(+), 12 deletions(-)
commit f1f20d6d8cfbd9cfe757ad231ab7b2ada6939dfe
Author: Luigi Ballabio
Date: Fri, 2 May 2025 08:51:35 +0200
Fix test program in configure check for C++17 features
acinclude.m4 | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 52c3477ecb25e8b066add4b82ebf8904024e8d9d
Author: Eugene Toder
Date: Thu, 24 Apr 2025 16:21:39 -0400
Support a=0 in HullWhite::convexityBias()
Also support T=t.
ql/models/shortrate/onefactormodels/hullwhite.cpp | 15 +++++----
test-suite/shortratemodels.cpp | 41 ++++++++++++-----------
2 files changed, 30 insertions(+), 26 deletions(-)
commit 438444191edb0af5d46abd357a8d14f5968b7f06
Author: paolodelia99
Date: Tue, 29 Apr 2025 19:25:58 +0200
Keep a normal spread in tests as an example
test-suite/overnightindexedswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 29147dea40ea524c75f70a4541ffd8402d8f679d
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 29 Apr 2025 12:36:53 +0000
Update copyright list in license
LICENSE.TXT | 348 ++++++++++++++++++++++++++++++------------------------------
1 file changed, 174 insertions(+), 174 deletions(-)
commit 14bc3e30a5c1a09467dc9a313f0ea763af34917f
Author: Luigi Ballabio
Date: Tue, 29 Apr 2025 14:28:56 +0200
Reformat copyright attribution in license
tools/collect_copyrights.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit f258b138ea1e1b85f1f8de3333fdd6a79b65c94e
Merge: 7bb76be98a 7caa667438
Author: Luigi Ballabio
Date: Tue, 29 Apr 2025 11:22:41 +0200
Added missing assignment in MXVCurrency constructor (#2210)
commit 7caa66743865e05d94670781f6b1b54761669cde
Author: paolodelia99
Date: Mon, 28 Apr 2025 19:10:14 +0200
Added missing assignment in MXVCurrency constructor
ql/currencies/america.cpp | 1 +
1 file changed, 1 insertion(+)
commit 7bb76be98a2173b3d41f8f9dcf6def56fd158e26
Merge: fcf92a31c2 432ba226cf
Author: Luigi Ballabio
Date: Mon, 28 Apr 2025 10:04:27 +0200
`analyticpartialtimebarrieroptionengine.cpp(108) : warning C4702: unreachable code` (#2208)
commit fcf92a31c27a82fccefa418c0e799b68036e27e1
Merge: 33456beaff 9623a8b73a
Author: Luigi Ballabio
Date: Mon, 28 Apr 2025 10:01:16 +0200
Set `option(QL_USE_STD_ANY 'Use std::any instead of boost::any' ON)` (#2207)
commit 432ba226cf5d94fb57561d0b7aa4136abaff642f
Author: RalfKonrad
Date: Sun, 27 Apr 2025 15:34:54 +0200
analyticpartialtimebarrieroptionengine.cpp(108) : warning C4702: unreachable code
ql/pricingengines/barrier/analyticpartialtimebarrieroptionengine.cpp | 2 --
1 file changed, 2 deletions(-)
commit 9623a8b73a68140505b5d47cf1a5feed40eb7b7a
Author: RalfKonrad
Date: Fri, 25 Apr 2025 15:30:46 +0200
option(QL_USE_STD_ANY 'Use std::any instead of boost::any' ON)
CMakeLists.txt | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3d4e7356be0c0aa2ad36b5d52ea928d7c0d99eaf
Author: paolodelia99
Date: Fri, 25 Apr 2025 10:31:37 +0200
Minor adjustements in oisswap tests
test-suite/overnightindexedswap.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 749457b3fbb58ea0005fe0b2413de749673d25ea
Author: paolodelia99
Date: Thu, 24 Apr 2025 19:10:12 +0200
Used std::variant to handle both Spread and Handle
ql/termstructures/yield/oisratehelper.cpp | 140 +++++++++++++++++-------------
ql/termstructures/yield/oisratehelper.hpp | 93 ++++++++++----------
2 files changed, 127 insertions(+), 106 deletions(-)
commit 33456beaff4f7ad83cfc22e671d39ba74c7ee496
Merge: 6092974fb9 72a79a84a9
Author: Luigi Ballabio
Date: Thu, 24 Apr 2025 09:37:03 +0200
Modernising Tag-Dispatch template with C++17 constexpr if for LinearRegression (#2198)
commit 6092974fb9d7096f36a42e8ec43ff264eac3d126
Merge: b001abdea5 fe6c8f7287
Author: Luigi Ballabio
Date: Thu, 24 Apr 2025 09:33:54 +0200
Add the SARON index (#2203)
commit b001abdea5ac30de235e9c6c9aabc2901bfb2b76
Merge: 36aaa13544 697c0b5dc5
Author: Luigi Ballabio
Date: Wed, 23 Apr 2025 21:50:31 +0200
Switch default to `std::any` and `std::optional` (#2205)
commit 36aaa1354419a88169f8ffea0af977d9c3640e20
Merge: fa12c988e1 e7ab1cb2d9
Author: Luigi Ballabio
Date: Wed, 23 Apr 2025 14:00:45 +0200
Remove features deprecated in version 1.34 (#2204)
commit fa12c988e192b7a38cfc8ad1173550858b0a612d
Author: Luigi Ballabio
Date: Thu, 15 Apr 2021 16:25:45 +0200
Set version to 1.39-dev.
CMakeLists.txt | 6 +++---
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 6 insertions(+), 6 deletions(-)
commit fe6c8f7287df96d9b3c3f687280cc19747fa4783
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 20 Apr 2025 16:44:22 +0000
Update copyright list in license
LICENSE.TXT | 2 ++
1 file changed, 2 insertions(+)
commit 26379e663f1a7b8f2bf00340f91f515c912cfbd6
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 20 Apr 2025 16:45:35 +0000
Update generated headers
ql/indexes/ibor/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 0904d0c6abe5b09db23d1caf1e8d5bfd5008a47e
Author: paolodelia99
Date: Sun, 20 Apr 2025 18:43:22 +0200
Added SARON Index
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
ql/CMakeLists.txt | 2 ++
ql/indexes/ibor/Makefile.am | 2 ++
ql/indexes/ibor/saron.cpp | 30 ++++++++++++++++++++++++++++++
ql/indexes/ibor/saron.hpp | 39 +++++++++++++++++++++++++++++++++++++++
6 files changed, 81 insertions(+)
commit 72a79a84a967c95853f7ad8f4c273303957ced20
Author: imraneamri
Date: Mon, 14 Apr 2025 12:25:47 +0100
Consolidated LinearFcts constructors
ql/math/linearleastsquaresregression.hpp | 39 +++++++++-----------------------
1 file changed, 11 insertions(+), 28 deletions(-)
commit a47fe16ec95c337260a38ce4bc2481c0da8e03e0
Author: paolodelia99
Date: Fri, 11 Apr 2025 17:20:46 +0200
Added Handle for spread in OISRateHelper
ql/termstructures/yield/oisratehelper.cpp | 32 ++++++++++++++++++++-----------
ql/termstructures/yield/oisratehelper.hpp | 10 +++++-----
test-suite/overnightindexedswap.cpp | 13 +++++++++----
3 files changed, 35 insertions(+), 20 deletions(-)
commit b18f74a54f6c78ce313581a197108b98b01fd3d2
Author: imraneamri
Date: Thu, 10 Apr 2025 15:23:18 +0100
is_arithmetic -> is_arithmetic_v and reverted last change
ql/math/linearleastsquaresregression.hpp | 2 +-
test-suite/linearleastsquaresregression.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit f582f48873b23c331843a1d7e45e9012b912dfa6
Author: imraneamri
Date: Thu, 10 Apr 2025 13:32:15 +0100
boost::circular_buffer -> std::vector
test-suite/linearleastsquaresregression.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e7ab1cb2d9ba721d8c7ed166e213e101f28d72ad
Author: Luigi Ballabio
Date: Wed, 9 Apr 2025 10:46:33 +0200
Deprecate unused inspectors
ql/termstructures/inflation/inflationtraits.hpp | 16 ++----------
.../inflation/interpolatedyoyinflationcurve.hpp | 9 -------
.../inflation/interpolatedzeroinflationcurve.hpp | 14 +----------
.../inflation/piecewiseyoyinflationcurve.hpp | 8 ------
.../inflation/piecewisezeroinflationcurve.hpp | 8 ------
ql/termstructures/inflationtermstructure.cpp | 23 ++++++++---------
ql/termstructures/inflationtermstructure.hpp | 29 ++++++++++++++++++----
7 files changed, 37 insertions(+), 70 deletions(-)
commit 697c0b5dc5b6a7022063e4fffaef6eb7934db569
Author: Luigi Ballabio
Date: Wed, 9 Apr 2025 11:21:14 +0200
Switch default to std::any and std::optional
.ci/userconfig2019.alt.hpp | 4 ++--
.ci/userconfig2022.alt.hpp | 4 ++--
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/macos-nondefault.yml | 2 +-
CMakeLists.txt | 2 +-
CMakePresets.json | 8 ++++++--
Docs/pages/config.docs | 10 +++++-----
configure.ac | 16 ++++++++--------
ql/any.hpp | 2 ++
ql/optional.hpp | 2 ++
ql/userconfig.hpp | 4 ++--
11 files changed, 32 insertions(+), 24 deletions(-)
commit 9fcf3bf36529aa96893d7794d096718a98f86d3a
Author: Luigi Ballabio
Date: Wed, 9 Apr 2025 10:12:34 +0200
Remove features deprecated in version 1.34
ql/instruments/bond.cpp | 12 -
ql/instruments/bond.hpp | 14 -
ql/instruments/swaption.hpp | 8 -
.../calibrationhelpers/swaptionhelper.hpp | 10 -
ql/pricingengines/bond/bondfunctions.cpp | 35 ---
ql/pricingengines/bond/bondfunctions.hpp | 54 ----
.../inflation/interpolatedyoyinflationcurve.hpp | 91 ------
.../inflation/interpolatedzeroinflationcurve.hpp | 83 ------
.../inflation/piecewiseyoyinflationcurve.hpp | 33 ---
.../inflation/piecewisezeroinflationcurve.hpp | 30 --
ql/termstructures/inflationtermstructure.cpp | 123 --------
ql/termstructures/inflationtermstructure.hpp | 123 --------
ql/termstructures/yield/bondhelpers.hpp | 44 ---
test-suite/inflation.cpp | 329 ---------------------
14 files changed, 989 deletions(-)
QuantLib-1.39/Contributors.txt 0000664 0000000 0000000 00000012360 15037373673 0016443 0 ustar 00root root 0000000 0000000 We gratefully acknowledge contributions from (in alphabetical order):
Nathan Abbott,
Samad Abdessadki,
Kakhkhor Abdijalilov,
Xavier Abulker,
Toyin Akin,
Marius Akre,
Mario Aleppo,
Ferdinando Ametrano,
Imrane Amri,
Jongbong An,
Tom Anderson,
Grzegorz Andruszkiewicz,
Ignacio Anguita,
Fanis Antoniou,
Driss Aouad,
Jose Aparicio,
Leonardo Arcari,
Sercan Atalik,
F. Eugene Aumson,
Ahmed Ayadi,
Lluis Pujol Bajador,
Gerardo Ballabio,
Luigi Ballabio,
Jonathan Barber,
Nabila Barkati,
Riccardo Barone,
Clément Barret,
Christopher Baus,
Thomas Becker,
Michaël Benguigui,
Adolfo Benin,
Hachemi Benyahia,
Luca Berardi,
Nicholas Bertocchi,
Sylvain Bertrand,
Manas Bhatt,
Marco Bianchetti,
David Binderman,
Theo Boafo,
Marcin Bogusz,
Francois Botha,
Delphine Bouthier,
Fakher Braham,
Nathaniel Brough,
Ole Bueker,
Joe Byers,
Xavier Caron,
Marine Casanova,
Peter Caspers,
Antoine Cellerier,
Yee Man Chan,
Aurelien Chanudet,
Yiping Chen,
Yanice Cherrak,
Gualtiero Chiaia,
Meryem Chibo,
Warren Chou,
Scott Condit,
Marco Craveiro,
Paolo D'Elia,
Stephen Dacek,
Jon Davidson,
Daniele De Francesco,
Frédéric Degraeve,
Piero Del Boca,
Mike DelMedico,
Barry Devlin,
Nicolas Di Césaré,
Lucas Dias,
Piter Dias,
Binrui Dong,
Jacques du Toit,
François du Vignaud,
Francis Duffy,
Cristina Duminuco,
Jan Ladislav Dussek,
Ralf Konrad Eckel,
Dirk Eddelbuettel,
Faycal El Karaa,
Joshua Engelman,
Bernd Engelmann,
Giorgio Facchinetti,
Matt Fair,
Paul Farrington,
Lorella Fatone,
Isuru Fernando,
Luca Ferraro,
Marco Bruno Ferreira Vasconcellos,
Neil Firth,
Stefano Fondi,
Chiara Fornarola,
Silvia Frasson,
Rémy Frèrebeau,
Andreas Gaida,
Matteo Gallivanoni,
Jose Garcia,
Lakshay Garg,
Fredrik Gerdin Börjesson,
Riccardo Ghetta,
Hoang Giap Vu,
Jack Gillett,
Paul Giltinan,
Roman Gitlin,
Nick Glass,
Marek Glowacki,
Dmitri Goloubentsev,
Richard Gomes,
Johannes Göttker-Schnetmann,
Henri Gough,
Richard Gould,
Eleanor Green,
Florent Grenier,
Matthias Groncki,
Sebastien Gurrieri,
Tawanda Gwena,
Cavit Hafizoglu,
Lew Wei Hao,
Joshua Hayes,
Michael Heckl,
Jake Heke,
Andres Hernandez,
Chris Higgs,
Laurent Hoffmann,
Xiangyu Hong,
Guillaume Horel,
Benoît Houzelle,
Frank Hövermann,
Daniel Hrabovcak,
Shen Hui,
Charles Chongseok Hyun,
Simon Ibbotson,
Alexey Indiryakov,
Norbert Irmer,
Mike Jake,
Nicola Jean,
Joseph Jeisman,
Yi Jiang,
Tomas Kalibera,
Rahul Kanchi,
Roland Kapl,
Andrey Karpov,
Michal Kaut,
Tomoya Kawanishi,
Gary Kennedy,
Chris Kenyon,
Oleksandr Khomenko,
Joel King,
Kevin Kirchhoff,
Matt Knox,
Matthew Kolbe,
Andrew Kolesnikov,
Nijaz Kovacevic,
Philip Kovacs,
Zak Kraehling,
Silakhdar Krikeb,
Pradeep Krishnamurthy,
Nathan Kruck,
Yan Kuang,
Werner Kuerzinger,
Oleg Kulkov,
Allen Kuo,
Christian Köhnenkamp,
Mickael Anas Laaouini,
Paul Laderoute,
Yasmine Lahlou,
Alix Lassauzet,
Fabien Le Floc'h,
Fabrice Lecuyer,
James Lee,
Jonghee Lee,
Ka Wai Lee,
Jacob Lee-Howes,
Samuel Lerouge,
Bernd Lewerenz,
Patrick Lewis,
Cheng Li,
Gang Liang,
Roland Lichters,
Kai Lin,
Hank Liu,
Robert Lopez,
André Louw,
Benson Luk,
Matthias Lungwitz,
Jasen Mackie,
Trent Maetzold,
Andrea Maffezzoli,
Joao Paulo Magalhaes,
Jose Magana,
Andrea Maggiulli,
John Maiden,
Katiuscia Manzoni,
Marco Marchioro,
Francesca Mariani,
Slava Mazur,
Paolo Mazzocchi,
Siddharth Mehrotra,
Magnus Mencke,
Enrico Michelotti,
Andre Miemiec,
Raso Mirko,
Radu Mondescu,
Bryte Morio,
Bart Mosley,
Tiziano Müller,
Joan Carlos Naftanaila,
Prince Nanda,
Dmitri Nesteruk,
Billy Ng,
Bojan Nikolic,
Jean Nkeng,
Robin Northcott,
Konstantin Novitsky,
Nikolai Nowaczyk,
Adrian O'Neill,
Andrea Odetti,
Cay Oest,
Anubhav Pandey,
Sotirios Papathanasopoulos,
Mike Parker,
Giorgio Pazmandi,
Guillaume Pealat,
Gilbert Peffer,
Andrea Pellegatta,
Walter Penschke,
Francesco Perissin,
Robert Philipp,
Marcello Pietrobon,
Adrien Pinatton,
Gianni Piolanti,
Sebastian Poloczek,
Berat Postalcioglu,
Nolan Potier,
Mario Pucci,
Ian Qsong,
Paul Rädle,
Alexandre Radicchi,
J. Erik Radmall,
Ilyas Rahbaoui,
Fabio Ramponi,
Hristo Raykov,
Maria Cristina Recchioni,
Simon Rees,
Dimitri Reiswich,
Sadruddin Rejeb,
Martin Ross,
Alessandro Roveda,
Ryan Russell,
Marcin Rybacki,
Mohamed Amine Sadaoui,
Amine Samani,
David Sansom,
Alpha Sanou Toure,
Tamas Sashalmi,
Sebastian Schlenkrich,
Peter Schmitteckert,
Ralph Schreyer,
Leander Schulten,
David Schwartz,
Benjamin Schwendinger,
Henning Segger,
Carlos Fidel Selva Ochoa,
Giacomo Sergio,
Simon Shakeshaft,
Michael Sharpe,
Kirill Shemyakin,
Eugene Shevkoplyas,
Mohammad Shojatalab,
Anastasiia Shumyk,
Piotr Siejda,
Matthias Siemering,
Adityakumar Sinha,
Gyan Sinha,
Enrico Sirola,
Leon Sit,
Wojciech Slusarski,
Andrew Smith,
Dale Smith,
Tim Smith,
Maxim Sokolov,
Prasad Somwanshi,
Niels Elken Sønderby,
Klaus Spanderen,
Andreas Spengler,
Roland Stamm,
Weston Steimel,
Philip Stephens,
Kai Striega,
Jonathan Sweemer,
Edouard Tallent,
Eisuke Tani,
Marco Tarenghi,
Ryan Taylor,
Yue Tian,
Eugene Toder,
Steven Van Haren,
Jayanth R. Varma,
Michael von den Driesch,
Joseph Wang,
Qingxiao Wang,
Tony Wang,
Charles Whitmore,
Tomass Wilson,
Stephen Wong,
Krzysztof Wos,
Bernd Johannes Wuebben,
Sun Xiuxin,
Frank Xue,
Jeff Yu,
Maddalena Zanzi,
Li Zhong,
Viktor Zhou,
Francesco Zirilli,
and Roy Zywina.
QuantLib includes code taken from Peter Jäckel's book "Monte Carlo
Methods in Finance".
QuantLib includes software developed by the University of Chicago,
as Operator of Argonne National Laboratory.
QuantLib-1.39/Docs/ 0000775 0000000 0000000 00000000000 15037373673 0014073 5 ustar 00root root 0000000 0000000 QuantLib-1.39/Docs/Makefile.am 0000664 0000000 0000000 00000002063 15037373673 0016130 0 ustar 00root root 0000000 0000000
EXTRA_DIST = \
quantlib.doxy \
quantlibextra.css \
quantlibfooter.html \
quantlibheader.html
DOXYGEN_CONFIG := quantlib.doxy
DOXYGEN_CUSTOM := quantlibextra.css quantlibheader.html quantlibfooter.html
DOXYGEN_INPUT := $(shell find ${top_srcdir} -name *.hpp) \
$(wildcard pages/*.docs)
BASEPATH = $(shell cd @abs_top_srcdir@ && pwd)
.PHONY: docs docs-clean
dist-hook:
mkdir -p $(distdir)/pages $(distdir)/images
cp -p $(srcdir)/pages/*.docs $(distdir)/pages
cp -p $(srcdir)/images/*.jpg \
$(srcdir)/images/*.ico \
$(distdir)/images
docs: .time-stamp
clean-local:
rm -Rf html
rm -f .time-stamp
.time-stamp: $(DOXYGEN_CONFIG) $(DOXYGEN_CUSTOM) $(DOXYGEN_INPUT) ../LICENSE.TXT
cp -p ${top_srcdir}/LICENSE.TXT ${top_srcdir}/Contributors.txt .
$(SED) -e "s|ql_basepath|${BASEPATH}/|" \
-e "s|ql_version|$(VERSION)|" \
${srcdir}/quantlib.doxy > .quantlib.doxy
$(DOXYGEN) .quantlib.doxy
rm -f .quantlib.doxy
rm -f html/*.md5
rm -f html/*.map
touch .time-stamp
QuantLib-1.39/Docs/images/ 0000775 0000000 0000000 00000000000 15037373673 0015340 5 ustar 00root root 0000000 0000000 QuantLib-1.39/Docs/images/QL-title.jpg 0000664 0000000 0000000 00000027771 15037373673 0017513 0 ustar 00root root 0000000 0000000 JFIF H H XICC_PROFILE HLino mntrRGB XYZ 1 acspMSFT IEC sRGB -HP cprt P 3desc lwtpt bkpt rXYZ gXYZ , bXYZ @ dmnd T pdmdd vued L view $lumi meas $tech 0 rTRC < gTRC < bTRC < text Copyright (c) 1998 Hewlett-Packard Company desc sRGB IEC61966-2.1 sRGB IEC61966-2.1 XYZ Q XYZ XYZ o 8 XYZ b XYZ $ desc IEC http://www.iec.ch IEC http://www.iec.ch desc .IEC 61966-2.1 Default RGB colour space - sRGB .IEC 61966-2.1 Default RGB colour space - sRGB desc ,Reference Viewing Condition in IEC61966-2.1 ,Reference Viewing Condition in IEC61966-2.1 view _. \ XYZ L V P W meas sig CRT curv
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/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \page group Contributors
\htmlinclude Contributors.txt
*/
QuantLib-1.39/Docs/pages/config.docs 0000664 0000000 0000000 00000013300 15037373673 0017306 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2004, 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \page config User configuration
A number of macros is provided for user configuration. Defining
or undefining such macros triggers variations in some library
functionality.
When using CMake, they can be set to `ON` or `OFF` as properties.
Under a Linux/Unix system, they are (un)set by `configure`;
run
\code
./configure --help
\endcode
for a list of corresponding command-line options.
Under a Windows system, they must be (un)defined by editing the
file `` and commenting or uncommenting the
relevant lines.
Such macros include:
\code
#define QL_ERROR_FUNCTIONS
\endcode
If defined, function information is added to the error messages
thrown by the library. Undefined by default.
\code
#define QL_ERROR_LINES
\endcode
If defined, file and line information is added to the error
messages thrown by the library. Undefined by default.
\code
#define QL_ENABLE_TRACING
\endcode
If defined, tracing messages might be emitted by the library
depending on run-time settings. Enabling this option can degrade
performance. Undefined by default.
\code
#define QL_EXTRA_SAFETY_CHECKS
\endcode
If defined, extra run-time checks are added to a few
functions. This can prevent their inlining and degrade
performance. Undefined by default.
\code
#define QL_USE_INDEXED_COUPON
\endcode
If defined, indexed coupons (see the documentation) are used in
floating legs. If undefined (the default), par coupons are used.
\code
#define QL_ENABLE_SESSIONS
\endcode
If defined, singletons will return different instances for
different threads; in particular, this means that the evaluation
date, the stored index fixings and any other settings will be
per-thread. Undefined by default.
\code
#define QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
\endcode
If defined, a thread-safe (but less performant) version of the
observer pattern is used. You should define it if you want to use
%QuantLib via the SWIG layer within the JVM or .NET ecosystem or
any other environment with an async garbage collector. Undefined
by default.
\code
#define QL_HIGH_RESOLUTION_DATE
\endcode
If defined, date objects willsupport an intraday datetime
resolution down to microseconds. Strictly monotone daycounters
(`Actual360`, `Actual365Fixed` and `ActualActual`) will take the
additional information into account and allow for accurate
intraday pricing. If undefined (the default) the smallest
resolution of date objects is a single day. Intraday
datetime resolution is experimental.
\code
#define QL_THROW_IN_CYCLES
\endcode
If defined, lazy objects will raise an exception when they detect
a notification cycle which would result in an infinite recursion
loop. If undefined (the default), they will break the recursion
without throwing. Enabling this option is recommended but might
cause existing code to throw.
\code
#define QL_FASTER_LAZY_OBJECTS
\endcode
If defined (the default), lazy objects will forward the first
notification received, and discard the others until recalculated;
the rationale is that observers were already notified, and don't
need further notifications until they recalculate, at which point
this object would be recalculated too. After recalculation, this
object would again forward the first notification received.
Although not always correct, this behavior is a lot faster and
thus is the current default.
\code
#define QL_USE_STD_ANY
\endcode
If defined (the default), `std::any` and related classes and
functions will be used instead of `boost::any`. If undefined, the
Boost facilities will be used.
\code
#define QL_USE_STD_OPTIONAL
\endcode
If defined (the default), `std::optional` and related classes and
functions will be used instead of `boost::optional`. If undefined,
the Boost facilities will be used.
\code
#define QL_USE_STD_SHARED_PTR
\endcode
If defined, `std::shared_ptr` and related classes and functions
will used instead of `boost::shared_ptr`. If undefined (the
default) the Boost facilities will be used. Note that
`std::shared_ptr` does not check access and can cause segmentation
faults.
\code
#define QL_NULL_AS_FUNCTIONS
\endcode
If defined, `Null` will be implemented as a template function.
This allows the code to work with user-defined `Real` types but
was reported to cause internal compiler errors with Visual C++
2022 in some cases. If undefined (the default) `Null` will be
implemented as a class template, as in previous releases.
\code
#define QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
\endcode
If defined, a parallel unit test runner will be used to execute
the C++ test suite. This will reduce the runtime on multi core
CPUs. Undefined by default.
*/
QuantLib-1.39/Docs/pages/coreclasses.docs 0000664 0000000 0000000 00000001555 15037373673 0020360 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2004 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup types Numeric types
A number of numeric types are defined in order to add clarity to
function and method declarations.
*/
QuantLib-1.39/Docs/pages/currencies.docs 0000664 0000000 0000000 00000001417 15037373673 0020211 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup currencies Currencies and FX rates
*/
QuantLib-1.39/Docs/pages/datetime.docs 0000664 0000000 0000000 00000004057 15037373673 0017646 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2004 Ferdinando Ametrano
Copyright (C) 2000-2004 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup datetime Date and time calculations
The concrete class QuantLib::Date implements the concept
of date. Its functionalities include:
- providing basic information such as weekday, day of the month,
day of the year, month, and year;
- comparing two dates to determine whether they are equal, or
which one is the earlier or later, or the difference between them
expressed in days;
- incrementing or decrementing a date of a given number of days,
or of a given period expressed in weeks, months, or years.
@{
*/
/*! \defgroup calendars Calendars
The class QuantLib::Calendar provides the interface for
determining whether a date is a business day or a holiday for a
given exchange or a given country, and for incrementing/decrementing
a date of a given number of business days. A number of calendars is
contained in the ql/time/calendars directory.
*/
/*! \defgroup daycounters Day counters
The class QuantLib::DayCounter provides more advanced
means of measuring the distance between two dates according to a
given market convention, both as number of days of fraction of
year. A number of such conventions is contained in the
ql/time/daycounters directory.
*/
/*! @} */
QuantLib-1.39/Docs/pages/engines.docs 0000664 0000000 0000000 00000002656 15037373673 0017505 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2004 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup engines Pricing engines
@{
*/
/*! \defgroup asianengines Asian option engines */
/*! \defgroup barrierengines Barrier option engines */
/*! \defgroup basketengines Basket option engines */
/*! \defgroup bondengines Basket option engines */
/*! \defgroup capfloorengines Cap/floor engines */
/*! \defgroup cliquetengines Cliquet option engines */
/*! \defgroup forwardengines Forward option engines */
/*! \defgroup inflationcapfloorengines Inflation cap/floor engines */
/*! \defgroup lookbackengines Lookback option engines */
/*! \defgroup quantoengines Quanto option engines */
/*! \defgroup swaptionengines Swaption engines */
/*! \defgroup vanillaengines Vanilla option engines */
/*! @} */
QuantLib-1.39/Docs/pages/examples.docs 0000664 0000000 0000000 00000012303 15037373673 0017661 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*!
\example BasketLosses.cpp
This example shows how to model losses across correlated assets.
\example BermudanSwaption.cpp
This example prices a bermudan swaption using different models
calibrated to market swaptions. The calibration examples include
Hull and White's using both an analytic formula as well as
numerically, and Black and Karasinski's model. Using these three
calibrations, Bermudan swaptions are priced for at-the-money,
out-of-the-money and in-the-money volatilities.
\example Bonds.cpp
This example shows how to set up a term structure and then price
some simple bonds. The last part is dedicated to peripherical
computations such as yield-to-price or price-to-yield.
\example CallableBonds.cpp
This example prices a number of callable bonds and compares the
results to known good data.
\example CDS.cpp
This example bootstraps a default-probability curve over a number
of CDS and reprices them.
\example ConvertibleBonds.cpp
For a given set of option parameters, this example computes the
value of a convertible bond with an embedded put option for two
different equity options types (with european and american
exercise features) using the Tsiveriotis-Fernandes method with
different implied tree algorithms. The tree types are
Jarrow-Rudd, Cox-Ross-Rubinstein, Additive equiprobabilities,
Trigeorgis, Tian and Leisen-Reimer.
\example CVAIRS.cpp
This example shows how to calculate credit value adjustment for an
interest rate swap.
\example DiscreteHedging.cpp
This example computes profit and loss of a discrete interval
hedging strategy and compares with the outcome with the results of
Derman and Kamal's Goldman Sachs Equity Derivatives Research Note
"When You Cannot Hedge Continuously: The Corrections to
Black-Scholes". It shows the use of the Monte Carlo framework.
\example EquityOption.cpp
For a given set of option parameters, this example computes the
value of three different equity options types (with european,
bermudan and american exercise features) using different valuation
algorithms. The calculation methods are Black-Scholes (for
european options only), Barone-Adesi/Whaley (american-only),
Bjerksund/Stensland (american), Integral (european), finite
differences, binomial trees, crude Monte Carlo (european-only) and
Sobol-sequence Monte Carlo (european-only).
\example FittedBondCurve.cpp
For a given set of coupons and terms to maturity, this example
computes the value of a bond by fitting the yields to a curve
using different methods. The fitting methods are exponential
splines, simple polynomials, Nelson-Siegel, and cubic B-splines.
It then shifts the evaluation date into the future to compute
implied forward par rates. It also computes yields after small
price shifts.
\example FRA.cpp
This example values a forward-rate agreement (FRA) at different
forward dates under two yield curve assumptions. It thereby
illustrates how set up a term structure, and to use it to price a
simple forward-rate agreement.
\example Gaussian1dModels.cpp
This example shows the use of Gaussian short rate model for
interest rate derivatives.
\example GlobalOptimizer.cpp
This example shows the use of several different optimizers:
firefly algorithm, hybrid simulated annealing, particle swarm
optimization, simulated annealing, and differential evolution.
\example LatentModel.cpp
This example shows the calculation of correlated defaults.
\example MarketModels.cpp
This example shows the use of interest-rate market models.
\example MulticurveBootstrapping.cpp
This example prices an interest rate swap over a term structure
and calculates its fair fixed rate and floating spread.
\example MultidimIntegral.cpp
This example shows multi-dimensional numerical integration.
\example Replication.cpp
This example uses the CompositeInstrument class to statically
replicate a down-and-out barrier options.
\example Repo.cpp
This example values a fixed-coupon bond repurchase (repo). The
repurchase agreement example is set up to use the repo rate to do
all discounting (including the underlying bond income). Forward
delivery price is also obtained using this repo rate. All this is
done by supplying the FixedCouponBondForward constructor with a
flat repo YieldTermStructure.
*/
QuantLib-1.39/Docs/pages/findiff.docs 0000664 0000000 0000000 00000001756 15037373673 0017462 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup findiff Finite-differences framework
This framework (corresponding to the ql/methods/finitedifferences directory)
contains basic building blocks for the numerical solution of partial
differential equations by means of finite-difference methods.
*/
QuantLib-1.39/Docs/pages/fixedincome.docs 0000664 0000000 0000000 00000007715 15037373673 0020350 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 Sadruddin Rejeb
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup shortrate Short-rate modelling framework
This framework (corresponding to the ql/models/shortrate directory)
implements some single-factor and two-factor short rate models. The models
implemented in this library are widely used by practitioners. For the
moment, the ShortRateModel class defines the short-rate dynamics
with stochastic equations of the type
\f[
dx_i = \mu(t,x_i) dt + \sigma(t,x_i) dW_t
\f]
where \f$ r = f(t,x) \f$. If the model is affine (i.e. derived from the
QuantLib::AffineModel class), analytical formulas
for discount bonds and discount bond options are given (useful for
calibration).
\section singlefactormodels Single-factor models
\par The Hull & White model
\f[
dr_t = (\theta(t) - \alpha(t) r_t)dt + \sigma(t) dW_t
\f]
When \f$ \alpha \f$ and \f$ \sigma \f$ are constants, this model
has analytical formulas for discount bonds and discount bond options.
\par The Black-Karasinski model
\f[
d\ln{r_t} = (\theta(t) - \alpha \ln{r_t})dt + \sigma dW_t
\f]
No analytical tractability here.
\par The extended Cox-Ingersoll-Ross model
\f[
dr_t = (\theta(t) - k r_t)dt + \sigma \sqrt{r_t} dW_t
\f]
There are analytical formulas for discount bonds (and soon for discount
bond options).
\section calibration Calibration
The class CalibrationHelper is a base class that facilitates the
instantiation of market instruments used for calibration. It has
a method marketValue() that gives the market price using a Black
formula, and a modelValue() method that gives the price according to
a model
Derived classed are
QuantLib::CapHelper and
QuantLib::SwaptionHelper.
For the calibration itself, you must choose an optimization method that
will find constant parameters such that the value:
\f[
V = \sqrt{\sum_{i=1}^{n} \frac{(T_i - M_i)^2}{M_i}},
\f]
where \f$ T_i \f$ is the price given by the model and \f$ M_i \f$ is the
market price, is minimized. A few optimization methods are available in
the ql/Optimization directory.
\section twofactormodels Two-factor models
\section pricers Pricers
\par Analytical pricers
If the model is affine, i.e. discount bond options formulas exist, caps are
easily priced since they are a portfolio of discount bond options. Such a
pricer is implemented in QuantLib::AnalyticalCapFloor.
In the case of single-factor affine models, swaptions can be priced using
the Jamshidian decomposition, implemented in
QuantLib::JamshidianSwaption.
\par Using Trees
Each model derived from the single-factor model class has the ability to
return a trinomial tree. For yield-curve consistent models, the fitting
parameter can be determined either analytically (when possible) or
numerically. When a tree is built, it is then pretty straightforward to
implement a pricer for any path-independent derivative. Just implement
a class derived from NumericalDerivative (see
QuantLib::NumericalSwaption for example) and roll it back until
the present time...
Just look at QuantLib::TreeCapFloor and
QuantLib::TreeSwaption for working pricers.
*/
QuantLib-1.39/Docs/pages/history.docs 0000664 0000000 0000000 00000675473 15037373673 0017573 0 ustar 00root root 0000000 0000000 /*
Copyright (C) 2000-2018 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \page history Version history
Release 1.39 - July 2025
PORTABILITY
- **Bug in recent Visual C++ versions**: a few recent version of the
Visual C++ 2022 compiler (from 17.14.2 to 17.14.8) had a known bug
that, unfortunately, affected QuantLib heavily and maed it basically
unusable. A fix was released in version 17.14.9; if you’re
compiling QuantLib on Windows, make sure you're using at least that
version (or, if you can't upgrade, use the Visual C++ 2019 toolset;
you can do that from VC++ 2022, as well).
- **Change of default:** as already announced, in this release we're
switching the default for `ext::any` and `ext::optional` from the
Boost implementation to the standard one. Using `boost::any` and
`boost::optional` is still possible for the time being but
deprecated.
DATES, CALENDARS AND DAY-COUNT CONVENTIONS
- Fixed a corner case of `Calendar::advance` when using EOM and the
unadjusted business-day convention; thanks to Eugene Toder.
- Fixed an error when asking for the serial number of a null date with
intraday support enabled; thanks to UnitedMarsupial
for the heads-up.
- Added the SHIR fixing calendar.
- Fixed the order of operations in the 30/360 USA day-count
convention; thanks to Eugene Toder.
INDEXES
- Added the SARON index; thanks to Paolo D'Elia.
- Added a `CustomIborIndex` class that allows to create an IBOR-like
index with custom calendars for value and maturity dates
calculations; thanks to Eugene Toder.
INSTRUMENTS AND PRICING ENGINES
- The `MakeOIS` class now knows the default number of settlement days
for a few currencies; thanks to Zak Kraehling.
INTEREST RATES
- The `FxSwapRateHelper` class can now be built specifying fixed dates
instead of a tenor; thanks to Eugene Toder.
- A number of helpers can now take quoted rates either as numbers or
`Handle` via the use of `std::variant`; this reduces the
number of overloaded constructors and in some cases allows the use
of keyword arguments when exported to Python. Thanks to Paolo
D'Elia and Eugene Toder.
- The `OISRateHelper` class can now specify a calendar for the
overnight leg; thanks to Eugene Toder.
- The `ZeroCouponInflationSwapHelper` class now doesn't need to be
passed a nominal curve, which wouldn't affect the results anyway.
VOLATILITY
- Optionlet stripperes can now use overnight indexes; thanks to Paolo
D'Elia.
- Added calculation of better guesses for SABR calibration as detailed
in the Le Floc'h and Kennedy paper.
DEPRECATED FEATURES
-------------------
- **Removed** features deprecated in version 1.34:
- the overloads of `Bond::yield`, `BondFunctions::atmRate`,
`BondFunctions::yield` and `BondFunctions::zSpread` taking a price
as a `Real` instead of a `Bond::Price` instance;
- the `Swaption::underlyingSwap` and
`SwaptionHelper::underlyingSwap` methods;
- the constructors of `InflationTermStructure`,
`ZeroInflationTermStructure`, `YoYInflationTermStructure`,
`InterpolatedZeroInflationCurve`, `InterpolatedYoYInflationCurve`,
`PiecewiseZeroInflationCurve` and `PiecewiseYoYInflationCurve`
taking an observation lag;
- the overload of `InflationTermStructure::setSeasonality` taking no arguments;
- the `InflationTermStructure::setBaseRate` method;
- the `fixedRateBond` method and `fixedRateBond_` data member of the
`FixedRateBondHelper` class, and the `cpiBond` method and
`cpiBond_` data member of the `CPIBondHelper` class.
- Deprecated the `observationLag` and `hasExplicitBaseDate` methods
and the `observationLag_` data member of the
`InflationTermStructure` class; inflation term structures always
have an explicit base date now.
- Deprecated the usage of `boost::any` and `boost::optional`; their
standard counterparts are used by default now.
- Deprecated the constructor of `ZeroCouponInflationSwapHelper` taking
a nominal curve; use the other constructor instead.
Thanks go also to Imrane Amri, Ralf Konrad Eckel, Joan Carlos
Naftanaila, Eugene Toder, Paolo D'Elia and Holger Rother for
miscellaneous smaller fixes, improvements or reports.
Release 1.38 - April 23rd, 2025
PORTABILITY
- **Future change of default:** as already announced, in the next
release we're going to switch the default for `ext::any` and
`ext::optional` from the Boost implementation to the standard one.
Using `boost::any` and `boost::optional` is still possible
for the time being but deprecated.
- **Possible future breaking change**: in the next release, the
`SimpleQuote` class might be made `final`. If you're inheriting
from it, drop us a line.
DATES AND CALENDARS
- The `Schedule` class now honors the passed business day convention
when end-of-month is enabled. Previously, enabling
end-of-month caused it to always use the Modified Following
convention.
- Added Chinese holidays for 2025; thanks to Cheng Li.
- Added Thailand holidays for 2025; thanks to Paolo D'Elia.
- Added Hong Kong holidays for 2025; thanks to Ka Wai Lee.
INDEXES
- Year-or-year inflation indexes can (and should) now be built without
an `interpolated` flag. As for zero inflation indexes,
the interpolation was moved into the coupons using the indexes.
- Fixed obsolete conventions for the (now discountinued) EUR LIBOR
index; thanks to Eugene Toder.
INSTRUMENTS AND PRICING ENGINES
- Added implementation of partial-time barrier put options; thanks to
Paolo D'Elia.
- The `OvernightIndexFuture` class would not receive notifications
when the convexity quote or the evaluation date changed; this is now
fixed. Thanks to Eugene Toder.
- The experimental `BlackCallableFixedRateBondEngine` wouldn't take
discount correctly into account when evaluation the embedded option;
this is now fixed. Thanks to GitHub user RobertS548 for the heads-up.
- Moved a few instruments and engines from the experimental folder to
the core library:
- `HolderExtensibleOption` and `AnalyticHolderExtensibleOptionEngine`;
- `WriterExtensibleOption` and `AnalyticWriterExtensibleOptionEngine`;
- `PartialTimeBarrierOption` and `AnalyticPartialTimeBarrierOptionEngine`;
- `TwoAssetBarrierOption` and `AnalyticTwoAssetBarrierEngine`;
- `TwoAssetCorrelationOption` and ``AnalyticTwoAssetCorrelationEngine`;
- `ContinuousArithmeticAsianLevyEngine`;
- `AnalyticPDFHestonEngine`.
TERM STRUCTURES
- The `DepositRateHelper` and `FraRateHelper` classes can now be built
specifying fixed dates instead of a tenor; thanks to Eugene Toder.
- The cross-currency basis-swap rate helpers can now be passed an
overnight index and a corresponding payment frequency; it is also
possible to pass a payment lag. Thanks to GitHub user kp9991-git.
- The additional penalty functions passed to the `GlobalBootstrap`
class can now take the curve nodes as arguments; thanks to Eugene
Toder. This makes it possible, for example, to penalize
gradients to make the curve smoother. It is also possible to
specify additional variables to be optimized, e.g., futures
convexity adjustments.
- Added a piecewise forward-spreaded term structure; thanks to
Paolo D'Elia.
DEPRECATED FEATURES
- **Removed** features deprecated in version 1.33:
- the constructors of `Currency` and `Currency::Data` taking a
format string, the `format` method of the `Currency` class and the
`formatString` data member of `Currency::Data`.
- Deprecated the constructors of year-on-year inflation indexes taking
an `interpolated` argument; use the other constructors instead.
- Deprecated the header files in `ql/experimental/exoticoptions` for
some classes moved to the core library (see above); use the
corresponding new headers in `ql/instruments` and
`ql/pricingengines` instead.
Thanks go also to Eugene Toder, Konstantin Novitsky, Tomas
Kalibera and GitHub user raneamri for miscellaneous smaller fixes,
improvements or reports.
Release 1.37 - January 21st, 2025
PORTABILITY
- **Future change of default:** as already announced, in the next
release we're going to switch the default for `ext::any` and
`ext::optional` from the Boost implementation to the standard one.
DATES AND CALENDARS
- Added closure for President Carter's funeral to the NYSE calendar;
thanks to Dirk Eddelbuettel.
- Added distinct Wellington and Auckland variants for New Zealand
calendar.
INDEXES
- Improved the performance of the `addFixing` and `addFixings` method
in the `Index` class; thanks to Peter Caspers.
- Added the KOFR index; thanks to Jongbong An.
INSTRUMENTS AND PRICING ENGINES
- Added Choi pricing engine for Asian options; thanks to Klaus
Spanderen.
- Passing a risk-free overnight index to an asset swap now implies
using OIS-like coupons.
- Added Bjerksund-Stensland, Operator-Splitting, Deng-Li-Zhou, Choi
and n-dim PDE engines for spread options; thanks to Klaus Spanderen.
- Deng-Li-Zhou, Choi and n-dim PDE engines for basket options; thanks
to Klaus Spanderen.
TERM STRUCTURES
- **Possibly breaking**: better upper and lower bounds for global
bootstrap; thanks to Eugene Toder. If you created your own
bootstrap traits, you'll need to add `minValueGlobal` and
`maxValueGlobal` methods for them to work with the
`GlobalBootstrap` class.
- Fitted bond curves can now be passed precomputed parameters without
the need for bond helpers.
- Use correct guess in SABR swaption vol cube.
- OIS rate helpers can now be passed a date-generation rule; thanks to
Sotirios Papathanasopoulos.
- Swap rate helpers can now be passed explicit start and end dates;
thanks to Eugene Toder.
- OIS rate helpers can now be passed explicit start and end dates,
making a distinct `DatedOISRateHelper` class unnecessary; thanks to
Eugene Toder.
CASH FLOWS
- Added new `MultipleResetsCoupon` and `MultipleResetsLeg` classes to
manage coupons with multiple resets. They fix and
replace `SubPeriodsCoupon` and `SubPeriodsLeg`.
DEPRECATED FEATURES
- **Removed** features deprecated in version 1.32:
- the `FixedRateBondForward` class;
- the `SampledCurve` and `SampledCurveSet` classes;
- the `StepConditionSet` and `BoundaryConditionSet` classes;
- the `ParallelEvolver` and `ParallelEvolverTraits` classes;
- the `FDVanillaEngine` and `FDMultiPeriodEngine` classes;
- the `BSMTermOperator`, `StandardFiniteDifferenceModel`,
`StandardSystemFiniteDifferenceModel` and `StandardStepCondition`
typedefs;
- the `QL_NULL_FUNCTION` macro;
- the overloads of `DigitalCmsLeg::withReplication` ,
`DigitalCmsSpreadLeg::withReplication` and
`DigitalIborLeg::withReplication` taking no arguments;
- the empty headers `analyticamericanmargrabeengine.hpp`,
`analyticcomplexchooserengine.hpp`,
`analyticcomplexchooserengine.hpp`,
`analyticcompoundoptionengine.hpp`,
`analyticeuropeanmargrabeengine.hpp`,
`analyticsimplechooserengine.hpp`, `complexchooseroption.hpp`,
`compoundoption.hpp`, `margrabeoption.hpp` and
`simplechooseroption.hpp` in the `ql/experimental/exoticoptions`
folder;
- the empty header `ql/experimental/termstructures/multicurvesensitivities.hpp`;
- the empty headers `pdeshortrate.hpp` and `shoutcondition.hpp` in
the `ql/methods/finitedifferences` folder;
- the empty header `ql/models/marketmodels/duffsdeviceinnerproduct.hpp`;
- the empty headers `fdconditions.hpp`, `fddividendengine.hpp` and
`fdstepconditionengine.hpp` in the `ql/pricingengines/vanilla`
folder.
- Deprecated the `SubPeriodsCoupon`, `SubPeriodsPricer`,
`AveragingRatePricer` and `CompoundingRatePricer` classes; renamed
to `MultipleResetsCoupon`, `MultipleResetsPricer`,
`AveragingMultipleResetsPricer` and
`CompoundingMultipleResetsPricer`, respectively.
- Deprecated the `SubPeriodsLeg` class; use `MultipleResetsLeg` instead.
- Deprecated the `MultipleResetsCoupon` constructor without a reset
schedule; use the other constructor.
- Deprecated the `calendar`, `price`, `addQuote`, `addQuotes`,
`clearQuotes`, `isValidQuoteDate` and `quotes` methods in the
`CommodityIndex` class; use `fixingCalendar`, `fixing`, `addFixing`,
`addFixings`, `clearFixings`, `isValidFixingDate` and `timeSeries`
instead.
- Deprecated the experimental `SpreadOption` and `KirkSpreadOptionEngine`
classes; use `BasketOption` and `KirkEngine` instead.
- Deprecated the `TransformedGrid` and `LogGrid` classes and the
`CenteredGrid`, `BoundedGrid` and `BoundedLogGrid` functions; use
the new FD framework instead.
- Deprecated the `PdeOperator` and `BSMOperator` classes; use the new
FD framework instead.
- Deprecated the `PdeSecondOrderParabolic`, `PdeConstantCoeff`,
`PdeBSM` and `GenericTimeSetter` classes; use the new FD framework
instead.
- Deprecated the `hasHistory`, `getHistory`, `clearHistory`,
`hasHistoricalFixing` and `setHistory` in the `IndexManager` class;
use `Index::hasHistoricalFixing`, `Index::timeSeries`,
`Index::clearFixings`, `Index::hasHistoricalFixing` and
`Index::addFixings` instead.
- Deprecated the `notifier` method in the `IndexManager` class;
register with the relevant index instead.
- Deprecated one of the `AssetSwap` constructors; use the other overload.
- Deprecated the `fcn` and `jacFcn` methods in the
`LevenbergMarquardt` class; they are for internal use only.
- Deprecated the `indexIsInterpolated` parameter in YoY inflation
curve constructors; use another overload. Fixings will be
interpolated by coupons instead, so curves and indexes will only be
asked for fixing at the start of a month.
- Deprecated the `indexIsInterpolated` method and the
`indexIsInterpolated_` data member in the
`YoYInflationTermStructure` class.
- Deprecated the `DatedOISRateHelper` class; use `OISRateHelper`
instead.
Thanks go also to Eugene Toder, Ben Watson
and the XAD team for miscellaneous
smaller fixes, improvements or reports.
Release 1.36 - October 14th, 2024
PORTABILITY
- **New minimum C++ standard:** starting from this release, a compiler
supporting C++17 is required. Passing `--enable-std-classes` to
`configure` now causes `std::any` and `std::optional` to be used.
- **End of support:** related to the above, and as announced since
release 1.32, this release drops support Visual C++ 2015, g++ up to
version 6.x, and clang up to version 4. Also, given the testing
environments available on GitHub actions, clang 5 and 6 are no
longer available to us for testing, and the same holds for g++ 7.
Therefore, it is suggested to upgrade to a newer version if
possible.
- **End of support:** this release also removes the configure switch
that allowed to use `boost::tuple`, `boost::function` and
`boost::bind` instead of their `std` counterparts; the `std` classes
were already the default since release 1.32. The corresponding
classes in the `ext` namespace are now deprecated.
- **Future change of default:** in a couple of releases, we're going
to switch the default for `ext::any` and `ext::optional` from the
Boost implementation to the standard one.
DATES AND CALENDARS
- Added `startOfMonth` and `isStartOfMonth` methods to both `Date` and
`Calendar`; thanks to Francois Botha.
- Added specialized Warsaw Stock Exchange (WSE) calendar to Poland;
thanks to Marcin Bogusz.
- Added a new one-off holiday to South Korean calendar; thanks to
Jongbong An.
CASH FLOWS
- Made` OvernightIndexedCouponPricer` public and renamed to
`CompoundingOvernightIndexedCouponPricer`, and moved
`ArithmeticAveragedOvernightIndexedCouponPricer` from experimental
to core library; thanks to Ralf Konrad Eckel.
INDEXES
- **Possibly breaking:** inherited the `Index` class from `Observer`
and added a virtual `pastFixing` method. If you inherited a class
from both `Index` and `Observer`, change your code to avoid
inheriting twice from `Observer`. Thanks to Ralf Konrad Eckel.
- Added currency information to `EquityIndex`; thanks to Ralf Konrad
Eckel.
INFLATION
- Inflation indexes are now better at deciding when to forecast;
also added a `needsForecast` method that makes the
information available.
- Added `CPI::laggedYoYRate`; also, `YoYInflationCoupon`,
`yoyInflationLeg`, `CappedFlooredYoYInflationCoupon`,
`YearOnYearInflationSwap`, `MakeYoYInflationCapFloor`,
`YearOnYearInflationSwapHelper`, `YoYOptionletHelper` and the
experimental `YoYCapFloorTermPriceSurface` and
`InterpolatedYoYCapFloorTermPriceSurface` can now take an explicit
`CPI::InterpolationType` parameter instead of relying on the index
being defined as interpolated or not. This is a first
step in removing interpolation from `YoYInflationIndex` and moving
it into the coupons where it belongs.
- Added method to YoY inflation index returning the date of the last
available fixing.
TERM STRUCTURES
- Allow passing a pricer to the constructor of the `OISRateHelper` and
`DatedOISRateHelper` classes; this makes it possible to
use arithmetic averaging of overnight rates.
- Allow custom constraint in non-linear fitting methods; thanks to Kai
Lin.
- Allow creating a swap helper with frequency "Once".
- The `GlobalBootstrap` constructor can now take an optional optimizer
and end criteria, allowing for better configuration; thanks to
Eugene Toder.
VOLATILITY
- Added exact Bachelier implied-vol formula from Jäckel's paper; thanks
to Peter Caspers.
DEPRECATED FEATURES
- **Removed** features deprecated in version 1.31:
- the `BlackVanillaOptionPricer` typedef;
- the constructors of `CPICoupon` taking a `spread` parameter, its
`spread` method, and its protected `spread_` data member;
- the `withSpreads` method of `CPILeg`;
- the protected `adjustedFixing` method and `spread_` data member of
`CPICouponPricer`;
- the `YYAUCPIr`, `YYEUHICPr`, `YYFRHICPr`, `YYUKRPIr`, `YYUSCPIr`
and `YYZACPIr` indexes and the experimental `YYGenericCPIr` class;
- the constructor of `YoYInflationIndex` taking a `ratio` parameter;
- a couple of constructors of `ForwardRateAgreement`;
- the empty files `ql/math/curve.hpp`, `ql/math/lexicographicalview.hpp`,
`ql/termstructures/yield/drifttermstructure.hpp`
and `ql/patterns/composite.hpp`;
- the `const_iterator` and `const_value_iterator` typedefs in the
`Garch11` class;
- the `const_time_iterator`, `const_value_iterator`,
`const_reverse_time_iterator` and `const_reverse_value_iterator`
typedefs and the `cbegin_values`, `cend_values`, `crbegin_values`,
`crend_values`, `cbegin_time`, `cend_time`, `crbegin_time` and
`crend_time` methods of the `TimeSeries` class;
- the `base`, `increment`, `decrement`, `advance` and `distance_to`
method of the `step_iterator` class.
- Deprecated `ext::function`, `ext::bind`, `ext::ref`, `ext::cref`,
`ext::placeholders`, `ext::tuple`, `ext::make_tuple`, `ext::get` and
`ext::tie`; use the corresponding `std::` classes and functions
instead.
- Deprecated the `ArithmeticAverageOIS`, `MakeArithmeticAverageOIS`
and `ArithmeticOISRateHelper` classes; use `OvernightIndexedSwap`,
`MakeOIS` and `OISRateHelper` instead.
- Deprecated the `YoYInflationCoupon`, `yoyInflationLeg`,
`CappedFlooredYoYInflationCoupon`, `YearOnYearInflationSwap`,
`MakeYoYInflationCapFloor`, `YearOnYearInflationSwapHelper`,
`YoYOptionletHelper`, `YoYCapFloorTermPriceSurface` and
`InterpolatedYoYCapFloorTermPriceSurface` constructors that don't
take an explicit CPI interpolation type.
- Deprecated the `getInfo` method of `LevenbergMarquardt`; inspect the
result of `minimize` instead.
- Deprecated the
`ql/experimental/averageois/averageoiscouponpricer.hpp` file;
include `ql/cashflows/overnightindexedcouponpricer.hpp` instead.
- Deprecated the somewhat out-of-scope and experimental
`CreditRiskPlus`, `SensitivityAnalysis`, `aggregateNPV`,
`parallelAnalysis` and `bucketAnalysis`.
Thanks go also to Jonathan Sweemer, Eugene Toder, Ralf Konrad
Eckel, Tony Wang and the XAD team for miscellaneous smaller fixes,
improvements or reports.
Release 1.35 - July 23rd, 2024
PORTABILITY
- **Future end of support:** as announced since release 1.32, this
release is the last to support Visual C++ 2015, g++ up to version
6.x, and clang up to version 4; support for those compilers will be
dropped in next release, 1.36, about three months from now. From
that point onwards, this will allows us to enable the use of C++17
in the code base. Also, given the testing environments available on
GitHub actions, clang 5 and 6 are no longer available to us for
testing, and the same holds for g++ 7. Therefore, it is suggested
to upgrade to a newer version if possible.
- **Future end of support:** at the same time as the above, we'll also
remove the configure switch that allows to use `boost::tuple`,
`boost::function` and `boost::bind` instead of their `std`
counterparts; the `std` classes are already the default since
release 1.32.
- The `config.hpp` generated by cmake now behaves like the one
generated by autotools and provides values for the defines so that
they can be used in `static_assert`. Thanks to Tom
Anderson for the heads-up.
CALENDARS
- Some fixes for the Chilean calendar; thanks to Eugene Toder.
- Better NFP/SIFMA rule for Good Friday in U.S. government bond
calendar; thanks to Eugene Toder.
- Updated Indian NSE holidays for 2024; thanks to Fredrik Gerdin
Börjesson.
- Some fixes for the Mexican calendar; thanks to Lucas Dias.
CASH FLOWS
- Added lookback days, lockout days and observation shift to
overnight-indexed coupons; thanks to Marcin Rybacki.
The same parameters were propagated to
overnight-indexed swaps and to the corresponding helpers.
- Added the `hasFixed` method to IBOR coupons that detects whether
they have fixed or still need to be forecast; thanks to Tom Anderson.
INSTRUMENTS
- Overnight index futures didn't manage a start date falling on a
holiday; this is now fixed. Thanks to GitHub user
`JustCallMeDavid` for the heads-up.
- Callable bonds didn't account for nominal when calculating OAS; this
is now fixed. Thanks to Hristo Raykov.
- For European swaption, sometimes the price is quoted as a forward
price to be paid at exercise time. Such a quoted price can now be
used for implied-volatility calculation. The forward price is also
returned by the Black and Bachelier swaption engines as an
additional result.
RANDOM NUMBERS
- Added the fast `ZigguratGaussianRng` generator; thanks to Ralf
Konrad Eckel.
TERM STRUCTURES
- Fix treatment of custom end date in `FuturesRateHelper`.
- Add possibility to reset guess in fitted bond curves.
Thanks to GitHub user `klin333` for the suggestion.
UTILITIES
- Overloaded `Handle` and `RelinkableHandle` constructors on lvalue
and rvalue references for performance; thanks to Jonathan Sweemer.
TOOLS
- Better benchmark utility; thanks to Jacques du Toit.
EXAMPLES
- Reworked bond example.
DEPRECATED FEATURES
- **Removed** features deprecated in version 1.30:
- the `DividendVanillaOption` and `DividendBarrierOption` classes;
- the constructor of `AnalyticDividendEuropeanEngine` taking only a
process and no dividends;
- the `SwaptionVolCube1`, `SwaptionVolCube1a`, `SwaptionVolCube1x`
and `SwaptionVolCube2` typedefs and the empty headers
`ql/experimental/volatility/swaptionvolcube1.hpp`,
`ql/experimental/volatility/swaptionvolcube1a.hpp` and
`ql/experimental/volatility/swaptionvolcube2.hpp`;
- the `setCommon` method of `CappedFlooredYoYInflationCoupon`.
- Deprecated the constructor of `DatedOISRateHelper` taking a forward
start; use the other overload instead.
- Deprecated the specialized `Bibor9M`, `Euribor2W`, `Euribor3W`,
`Euribor2M`, `Euribor4M`, `Euribor5M`, `Euribor7M`, `Euribor8M`,
`Euribor9M`, `Euribor10M`, `Euribor11M`, `Euribor365_SW`,
`Euribor365_2W`, `Euribor365_3W`, `Euribor365_1M`, `Euribor365_2M`,
`Euribor365_3M`, `Euribor365_4M`, `Euribor365_5M`, `Euribor365_6M`,
`Euribor365_7M`, `Euribor365_8M`, `Euribor365_9M`, `Euribor365_10M`,
`Euribor365_11M`, `Euribor365_1Y`, `EURLiborSW`, `EURLibor2W`,
`EURLibor2M`, `EURLibor4M`, `EURLibor5M`, `EURLibor7M`,
`EURLibor8M`, `EURLibor9M`, `EURLibor10M`, `EURLibor11M`; if needed,
use the corresponding generic class and pass the tenor (for
instance, `Euribor(4 * Months)`).
- Renamed `EuriborSW` to `Euribor1W` and deprecated the old name.
- Deprecated the constructor of `RelinkableHandle` taking a raw
pointer.
Thanks go also to Dmitri Goloubentsev, Eleanor Green, Tom
Anderson, Peter Caspers, Jonghee Lee, Ralf Konrad Eckel and the
XAD team for miscellaneous fixes, improvements or reports.
Release 1.34 - April 24th, 2024
PORTABILITY
- **Future end of support:** as announced in release 1.32, we're
targeting next release (1.35) as the last to support Visual C++
2015, g++ up to version 6.x, and clang up to version 4; support for
those compilers will be dropped in release 1.36, about six months
from now. From that point onwards, this will allows us to enable
the use of C++17 in the code base.
Also, given the testing environments available on GitHub actions,
clang 5 is already no longer available to us for testing, and in a
while the same will hold for clang 6 and g++ 7. Therefore, it is
suggested to upgrade to a newer version if possible.
- **Future end of support:** at the same time as the above, we'll also
remove the configure switch that allows to use `boost::tuple`,
`boost::function` and `boost::bind` instead of their `std`
counterparts; the `std` classes are already the default since
release 1.32.
- Generate and install pkg-config files in CMake builds; thanks to
GitHub user jez6.
DATES AND CALENDARS
- Prevent `Calendar::advance` from returning the business end of month
(instead of the calendar end) when `endOfMonth` is `true` and
`convention` is `Unadjusted`; thanks to GitHub user DeimosXing.
- Add good Friday holiday for SOFR fixing; thanks to GitHub user
PaulXiCao.
- Properly restrict São Paulo city holiday to years before 2022;
thanks to Marco Bruno Ferreira Vasconcellos.
- Update holidays for 2023 and 2024 in calendars for India, Thailand,
Singapore and South Africa; thanks to Fredrik Gerdin Börjesson.
CASH FLOWS
- Fixed a couple of cases in which notifications were not forwarded
properly; thanks to GitHub user djkrystul for the heads-up.
- Fixed past payment dates and added support for OIS in
`LinearTsrPricer`; thanks to Peter Caspers.
INSTRUMENTS
- Swaptions can now take an OIS as underlying; thanks to Guillaume
Horel and Peter Caspers. So far, only
`BlackSwaptionEngine` manages OIS explicitly; other engines might
work and return approximated values.
- More methods in `MakeOIS` and `MakeVanillaSwap`; thanks to Eugene Toder.
- More methods in the `BondFunctions` class now support either clean or
dirty prices; thanks to Francois Botha.
- The `basisPointValue` and `yieldValueBasisPoint` methods in
`BondFunctions` didn't always manage the settlement date correctly;
this is now fixed (thanks to GitHub user jez6).
- Add `Custom` to `Futures::Type` enumeration to allow passing custom
dates to futures; thanks to Eugene Toder.
TERM STRUCTURES
- Inflation curves can now be built passing an explicit base date
(corresponding to the last published fixing) instead of an
observation lag.
- Fixed calculation of year fraction under Actual/365 Canadian
convention in `FuturesRateHelper`; thanks to GitHub user PaulXiCao.
- Fixed settlement date calculation in cross-currency basis-swap rate
helpers in some cases; thanks to Marcin Rybacki
for the fix and to Aleksis Ali Raza for the heads-up.
MATH
- Handle non-equidistant grids and arbitrary dimensions in Laplace
interpolation; thanks to Peter Caspers.
DEPRECATED FEATURES
- **Removed** features deprecated in version 1.29:
- The `argument_type`, `first_argument_type`, `second_argument_type`
and `result_type` typedefs in several classes;
- The overloads of zero-rate inflation index constructors taking an
`interpolated` argument;
- The `interpolated` method and the protected `interpolated_` data
member in `InflationIndex`;
- The overload of `CashFlows::npvbps` taking the result by reference;
- The protected `rateCurve_` method in `InflationCouponPricer`;
- The `ThreadKey` typedef;
- The empty header `ql/experimental/credit/riskybond.hpp`.
- Deprecated the constructors of `InflationTermStructure`,
`ZeroInflationTermStructure`, `YoYInflationTermStructure`,
`InterpolatedZeroInflationCurve`, `InterpolatedYoYInflationCurve`,
`PiecewiseZeroInflationCurve` and `PiecewiseYoYInflationCurve`
taking an observation lag; use the overloads taking an explicit base
date instead.
- Deprecated the `Bond::yield`, `BondFunctions::atmRate`,
`BondFunctions::yield` and `BondFunctions::zSpread` overloads taking
a clean price as a number; use the overloads taking a `Bond::Price`
instead.
- Deprecated the `InflationTermStructure::setSeasonality` overload
taking no arguments; use the overload taking a pointer and pass an
empty one to remove seasonality.
- Deprecated the `InflationTermStructure::setBaseRate` method; set
`baseRate_` directly if needed.
- Deprecated the `Swaption::underlyingSwap` and
`SwaptionHelper::underlyingSwap` methods; use `underlying` instead.
- Deprecated the broken `FixedRateBondHelper::fixedRateBond` and
`CPIBondHelper::cpiBond` methods and the corresponding
`fixedRateBond_` and `cpiBond_` data members.
Thanks go also to Isuru Fernando, Viktor Zhou, Stephen Dacek, Yi
Jiang, Jonathan Sweemer, Eugene Toder, the XAD team and GitHub
user PaulXiCao and klin333 for miscellaneous fixes, improvements
or reports.
Release 1.33 - January 22nd, 2024
PORTABILITY
- **Future end of support:** as announced in release 1.32, we're
targeting the future release 1.35 as the last to support Visual C++
2015, g++ up to version 6.x, and clang up to version 4; support for
those compilers will be dropped in release 1.36, about nine months
from now. From that point onwards, this will allows us to enable
the use of C++17 in the code base.
- **Future end of support:** at the same time as the above, we'll also
remove the configure switch that allows to use `boost::tuple`,
`boost::function` and `boost::bind` instead of their `std`
counterparts; the `std` classes are already the default since
release 1.32.
- Added CMake presets for Apple; thanks to Christian Köhnenkamp.
DATES AND CALENDARS
- Added New Year's Eve as a holiday to the Chilean calendar; thanks to
GitHub user MoixaStrikes.
- Added Black Awareness Day as a holiday to the Brazilian calendar
starting from 2024; thanks to GitHub user PaulXiCao.
- Added Inauguration Day as a holiday to the Mexican calendar starting
from 2024; thanks to Fredrik Gerdin Börjesson.
- Added Chinese holidays for 2024; thanks to Cheng Li.
- Updated list of known ECB dates; thanks to GitHub user PaulXiCao.
- Added Thailandese and Taiwanese holidays up to 2024; thanks to
Fredrik Gerdin Börjesson.
- Added a one-time holiday to the South African calendar; thanks to
Francois Botha.
MODELS
- Added support for angled contour shift integrals to Heston model;
thanks to Klaus Spanderen.
INSTRUMENTS
- Allow different calendars and frequencies for different legs in
`MakeOIS` and `OISRateHelper`; thanks to Eugene Toder.
- Enabled negative payment lag in swap legs; thanks to GitHub user
Stoozy.
RANDOM NUMBERS
- Added Burley 2020 scrambled Sobol sequence generator; thanks to
Peter Caspers.
TESTS
- Use automated registration of unit tests; thanks to Siddharth
Mehrotra.
- Added a few fuzzing tests; thanks to Nathaniel Brough.
- Improved test coverage for a few classes; thanks to GitHub user
PaulXiCao.
DEPRECATED FEATURES
- **Removed** features deprecated in version 1.28:
- The overload of `CallableBond::impliedVolatility` taking an NPV as target.
- The constructor of `AmortizingFixedRateBond` taking a sinking frequency.
- The constructor of `AmortizingFixedRateBond` taking a vector of
`InterestRate` instances.
- The constructor of `FixedRateBond` taking start date, maturity
date etc. instead of a schedule.
- The constructor of `FixedRateBond` taking a vector of
`InterestRate` instances.
- The constructor of `FloatingRateBond` taking start date, maturity
date etc. instead of a schedule.
- The constructor of `CPICapFloor` taking a handle to an
interest-rate index.
- The `CPICapFloor::inflationIndex` method.
- The `infIndex` data member of the `CPICapFloor::arguments` class.
- A redundant constructor of `SabrSmileSection`.
- The empty headers
`ql/experimental/amortizingbonds/amortizingcmsratebond.hpp`,
`ql/experimental/amortizingbonds/amortizingfixedratebond.hpp` and
`ql/experimental/amortizingbonds/amortizingfloatingratebond.hpp`.
- Deprecated the constructor of `Currency` and `Currency::Data` taking
a format string, and the `Currency::format` method.
Thanks go also to Yi Jiang, Hoang Giap Vu, Jonathan Sweemer and
the XAD team for smaller fixes and improvements.
Release 1.32 - October 20th, 2023
PORTABILITY
- **Possibly breaking change:** the protected `evaluationDate_` data
member of the `SwaptionVolatilityDiscrete` class was renamed to
`cachedReferenceDate_`.
- **Future end of support:** we're targeting the future release 1.35
as the last to support Visual C++ 2015, g++ up to version 6.x, and
clang up to version 4; support for those compilers will be dropped
in release 1.36, about one year from now. From that point onwards,
this will allows us to enable the use of C++17 in the code base.
- **Future end of support:** at the same time as the above, we'll also
remove the configure switch that allows to use `boost::tuple`,
`boost::function` and `boost::bind` instead of their `std`
counterparts; starting from this release, the `std` classes are
already the default.
- Reorganized the CMake presets; thanks to the XAD team.
CASH FLOWS
- All cash flows are now lazy; thanks to Peter Caspers.
INSTRUMENTS
- Overnight-indexed swaps can now have different schedules and
nominals on the two legs; thanks to Tom Anderson.
- Margrabe options, compound options and chooser options were moved
from experimental to core.
- Introduced common base class `FixedVsFloatingSwap` for vanilla swap
and overnight-indexed swaps; this will be used in the future to help
a few existing swap engines support OIS.
- Added optional `redemptions` argument to amortizing bond
constructors. This allows them to be used for pools of loans where a
certain proportion of the underlying loans are subject to defaults
and losses. Thanks to Gyan Sinha.
- It is now possible to manually prune the notification tree for swaps
and bonds if one knows that the cashflows won't change pricer;
thanks to Peter Caspers.
MODELS
- Fixed the algorithm to add instruments to the calibration set of the
Markov model; thanks to Peter Caspers for the fix and
Giuseppe Trapani for the heads-up.
TERM STRUCTURES
- Time-to-date conversion in some swaption volatility classes could
return the wrong date before the first exercise date; this is now
fixed, thanks to Peter Caspers.
- It's now possible to specify the maximum number of iteration for the
solver inside a bootstrapped term structure; thanks to Jonathan
Sweemer for the change and Daniel Ángeles Ortiz
for the heads-up.
- Reduced the number of notifications for bootstrap helpers; thanks to
Peter Caspers.
RANDOM NUMBERS
- Added the xoshiro265** random-number generator; thanks to Ralf
Konrad. It is faster than the Mersenne Twister and
might be used as default in the future.
EXAMPLES
- The code of the examples has been modernized a bit; thanks to
Jonathan Sweemer.
PATTERNS
- Avoided a possible crash when using observables in a multi-threaded
setting; thanks to Peter Caspers.
DEPRECATED FEATURES
- **Removed** features deprecated in version 1.27:
- The `QL_NULL_INTEGER`, `QL_NULL_REAL`, `QL_NOEXCEPT`,
`QL_CONSTEXPR` and `QL_USE_STD_UNIQUE_PTR` macros.
- The `MultiCurveSensitivities` class.
- The `constant`, `identity`, `square`, `cube`, `fourth_power`,
`add`, `subtract`, `subtract_from`, `multiply_by`, `divide`,
`divide_by`, `less_than`, `greater_than`, `greater_or_equal_to`,
`not_zero`, `not_null`, `everywhere`, `nowhere`, `equal_within`,
`clipped_function`, `clip`, `composed_function`, `compose`,
`binary_compose3_function` and `compose3` functors.
- The `PdeShortRate`, `ShoutCondition`, `FDShoutCondition`,
`FDStepConditionEngine` and `FDEngineAdapter` classes from the old
finite-differences framework.
- The `dsd::inner_product` function.
- The `FDDividendEngineBase`, `FDDividendEngineMerton73`,
`FDDividendEngineShiftScale` and `FDDividendEngine` pricing
engines.
- The empty headers `ql/auto_ptr.hpp`, `ql/math/initializers.hpp`,
`ql/methods/finitedifferences/americancondition.hpp`,
`ql/methods/finitedifferences/onefactoroperator.hpp`,
`ql/pricingengines/vanilla/fddividendshoutengine.hpp`,
`ql/pricingengines/vanilla/fdshoutengine.hpp` and
`ql/utilities/disposable.hpp`.
- Deprecated the `StandardFiniteDifferenceModel`,
`StandardSystemFiniteDifferenceModel` and `StandardStepCondition`
typedefs; define your own typedefs if needed.
- Deprecated the `FDVanillaEngine`, `FDMultiPeriodEngine`,
`StepConditionSet`, `ParallelEvolverTraits`, `ParallelEvolver` and
`SampledCurve`classes and the `BSMTermOperator` and
`SampledCurveSet` typedefs; use the new finite-differences framework
instead.
- Deprecated the `QL_NULL_FUNCTION` macro; to check if a function is
empty, use it in a bool context instead.
- Deprecated the now empty headers
`ql/experimental/exoticoptions/margrabeoption.hpp`,
`ql/experimental/exoticoptions/analyticcomplexchooserengine.hpp`,
`ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp`,
`ql/experimental/exoticoptions/analyticcompoundoptionengine.hpp`,
`ql/experimental/exoticoptions/simplechooseroption.hpp`,
`ql/experimental/exoticoptions/compoundoption.hpp`,
`ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp`,
`ql/experimental/exoticoptions/analyticsimplechooserengine.hpp`,
`ql/experimental/exoticoptions/complexchooseroption.hpp`,
`ql/experimental/termstructures/multicurvesensitivities.hpp`,
`ql/methods/finitedifferences/shoutcondition.hpp`,
`ql/methods/finitedifferences/pdeshortrate.hpp`,
`ql/pricingengines/vanilla/fddividendengine.hpp`,
`ql/pricingengines/vanilla/fdstepconditionengine.hpp`,
`ql/pricingengines/vanilla/fdconditions.hpp` and
`ql/models/marketmodels/duffsdeviceinnerproduct.hpp`.
Thanks go also to Jonathan Sweemer, Ralf Konrad, Klaus Spanderen,
Peter Caspers, Tom Anderson, Fredrik Gerdin Börjesson, Guillaume
Horel and the XAD team for a number of smaller fixes and
improvements.
Release 1.31.1 - July 24th, 2023
QuantLib 1.31.1 is a bug-fix release for QuantLib 1.31.
It fixes a regression that could cause a segmentation fault when
bootstrapping an interest-rate curve using OIS rates.
Release 1.31 - July 18th, 2023
PORTABILITY
- **Future end of support:** as announced in the notes for the
previous release, after this release using `std::tuple`,
`std::function` and `std::bind` (instead of their `boost`
counterparts) will become the default. If you're using `ext::tuple`
etc. in your code (which is suggested), this should be a transparent
change. If not, you'll still be able to choose the `boost` versions
via a configure switch for a while; but we do suggest you start
using `ext::tuple` etc. in the meantime.
- The cmake build now creates (but doesn't install) a
`quantlib-config` script that can be used to retrieve flags for
compiling QuantLib-dependent projects; thanks to Christian
Köhnenkamp.
- A number of Boost classes and functions only used internally were
replaced by their standard-library equivalent; thanks to Jonathan
Sweemer.
PATTERNS
- **Optional change of behavior:** by default, the `LazyObject`
class forwards only one notification after recalculating and
silently ignores the others. In some edge cases, this could
lead to objects not being updated. It's now possible to enable
a different behavior where all notifications are forwarded; the
new behavior can be chosen at compile time via the configure
option `--disable-faster-lazy-objects` (or disabling
`QL_FASTER_LAZY_OBJECTS` in cmake or `userconfig.hpp`) or at run
time by calling
`LazyObject::Defaults::instance().alwaysForwardNotifications()`.
This might cause a slow down, so you're invited to try it out
and report on the mailing list. If there are no problems, the
new behavior might become the default in future releases. Also,
a new configure option `--enable-throwing-in-cycles`
(`QL_THROW_IN_CYCLES` in cmake or `userconfig.hpp`) is
optionally available; when both this option and the new behavior
are enabled, notifications cycles involving a lazy object will
throw an exception. It is suggested to try enabling the option
and removing such loops, if any. Thanks to Peter Caspers for
the change and to Ralf Konrad, Jonathan Sweemer and GitHub user
`djkrystul` for feedback.
DATE/TIME
- **Change of behavior:** when the end-of-month option is true, the
constructor of a schedule no longer adjust to the end of their month
the effective date and the termination date if they were passed
explicitly. Thanks to Hristo Raykov.
- Added separate US SOFR calendar to manage days that are business
days for the US government bond market but in which SOFR doesn't
fix; for instance, Good Friday 2023. Thanks to Tom
Anderson for reporting the issue.
- Fixed some rolling rules for South Korean calendar; thanks to Jonghee
Lee.
- Fixed incorrect 2023 holidays for Hong Kong calendar; thanks to
Fredrik Gerdin Börjesson.
- Added Hong Kong holidays for 2021-2024; thanks to Rémy Frèrebeau
and Binrui Dong.
- Added Singapore holidays for 2019-2023; thanks to Rémy Frèrebeau.
- Added Indian holidays for 2021-2025; thanks to Fredrik Gerdin
Börjesson.
- Added Taiwanese holidays for 2020-2023; thanks to GitHub user `jsmx`.
- Added a few election days for South African and South Korean
calendar; thanks to Fredrik Gerdin Börjesson.
- Updated Danish calendar; starting in 2024, General Prayer Day will
no longer be a holiday. Thanks to Fredrik Gerdin Börjesson.
- Fixed a few holidays in Finland and Singapore calendars; Thanks to
Fredrik Gerdin Börjesson.
- More day counters (Act/364, Act/365.25, Act/366) now take into
account intraday resolution when enabled; thanks to Klaus Spanderen.
CASH FLOWS
- The accrued amount for CPI coupons is now correctly based on the
index ratio at settlement date. An inspector for retrieving the
index ratio at a given date was also added.
- Enabled the use of normal volatilities in Hagan pricer for CMS
coupons; thanks to Andre Miemiec.
- Floating-rate coupons are now lazy; thanks to Peter Caspers.
INDEXES
- When passed a tenor of 7 or 14 business days, interest-rate indexes
would wrongly convert it to 1 or 2 weeks. This is now fixed.
Thanks to Eugene Toder for reporting the issue.
- Added DESTR and SWESTR indexes; thanks to Fredrik Gerdin Börjesson.
- Added CORRA index; thanks to GitHub user `AND2797`.
- When an YoY inflation index is calculated as a ratio, the underlying
inflation index is available through an inspector and its fixings
are used to calculate the fixing of the YoY index.
INSTRUMENTS
- Instruments now register automatically with the global evaluation
date and are notified when it changes. This makes sense in general
(if the evaluation date changes, you probably want to recalculate)
and can also help avoid some edge cases when lazy objects only
forward their first notification.
- Allowed passing a schedule without a regular tenor to callable
fixed-rate bonds; thanks to Hristo Raykov for the
fix and to GitHub user `OleBueker` for reporting the issue.
- Reorganized the constructors of FRA instruments; thanks to Jake Heke.
TERM STRUCTURES
- Ensures that upfront CDS helpers update correctly when the global
evaluation date changes; thanks to Andrea Pellegatta
for the fix and to GitHub user `bkhoor` for reporting the issue.
- Allow more maturities for SOFR quarterly contract in SOFR futures
rate helper; thanks to Jake Heke.
- Added constructor for date-dependent strikes to StrippedOptionlet;
thanks to Peter Caspers.
TEST SUITE
- Global settings (such as the evaluation date) are now restored and
index fixings are now cleaned automatically at the end of each test
case, making it unnecessary to clean them up manually. Thanks to
Eugene Toder.
- The parallel unit-test runner now passes the `--run_test=`
option down to the underlying Boost.Test implementation. Thanks to
Eugene Toder.
DEPRECATED FEATURES
- **Removed** features deprecated in version 1.26:
- The `CPICoupon` constructor taking a number of fixing days and its
`indexObservation`, `adjustedFixing` and `indexFixing(date)` methods.
- The `CPICashFlow` constructor taking a fixing date.
- The `withFixingDays` methods of `CPILeg`.
- The `ZeroInflationCashFlow` constructor taking a calendar and
business-day convention.
- The `LsmBasisSystem::PolynomType` typedef and the
`MakeMCAmericanEngine::withPolynomOrder` method.
- The `Observer::set_type` and `Observable::set_type` typedefs.
- The `Curve` class.
- The `LexicographicalView` class.
- The `Composite` class.
- The `DriftTermStructure` class.
- Deprecated the various `time_iterator` and `value_iterator` types in
`TimeSeries`, as well as methods returning them. The more general
`const_iterator` and `const_reverse_iterator` types can be used
instead.
- Deprecated the constructors of `CPICoupon` taking a spread, as well
as its `spread` method, its protected `spread_` data member, and the
`withSpreads` methods of `CPILeg`.
- Deprecated the `adjustedFixing` method and the protected `spread_`
data member of `CPICouponPricer`.
- Renamed `BlackVanillaOptionPricer` to `MarketQuotedOptionPricer` and
deprecated the old name.
- Deprecated a couple of constructors of `ForwardRateAgreement`.
- Deprecated the constructor of `YoYInflationIndex` taking a `ratio`.
Also, deprecated explicit classes for YoY ratio indexes
`YYGenericCPIr`, `YYAUCPIr`, `YYEUHICPr`, `YYFRHICPr`, `YYUKRPIr`,
`YYUSCPIr` and `YYZACPIr`.
- Deprecated the `base`, `increment`, `decrement`, `advance` and
`distance_to` methods of the `step_iterator` class.
Thanks go also to Jonathan Sweemer, Jose Garcia, Jake Heke, Eugene
Toder, Binrui Dong, the Xcelerit Dev Team, Ralf Konrad, Tom
Anderson and Fredrik Gerdin Börjesson for a number of smaller
fixes and improvements.
Release 1.30 - April 19th, 2023
PORTABILITY
- **Future end of support:** as announced in the notes for the
previous release, after this release and the next, using
`std::tuple`, `std::function` and `std::bind` (instead of their
`boost` counterparts) will become the default. If you're using
`ext::tuple` etc. in your code (which is suggested), this should be
a transparent change. If not, you'll still be able to choose the
`boost` versions via a configure switch for a while; but we do
suggest you start using `ext::tuple` etc. in the meantime.
- CMake builds now use a stricter warning level by default; thanks to
Ralf Konrad.
- Is it now possible to use `std::any` and `std::optional` (and the
related `std::any_cast` and `std::nullopt`) instead of their `boost`
counterparts by setting new compilation switches; thanks to Jonathan
Sweemer. Using the `std` classes requires C++17. We
expect the `boost` classes to remain the default for a while, but in
the meantime we encourage to start using `ext::any` and
`ext::optional` in preparation for a new default.
DATE/TIME
- Good Friday 2023 is now a business day for the US government bond
calendar; thanks to Anastasiia Shumyk.
- Added specialized Australian calendar for ASX; thanks to Trent
Maetzold.
- Fixed Turkish holidays between 2019 and 2023; thanks to Fredrik
Gerdin Börjesson.
- Added a few missing holidays to Danish calendar; thanks to Fredrik
Gerdin Börjesson.
- Added the Matariki holiday to the New Zealand calendar; thanks to
Jake Heke.
CASHFLOWS
- Added a new equity cash flow class to model equity legs in total
return swaps; thanks to Marcin Rybacki. Quanto
pricing is also supported.
- Added an overloaded constructor for CPI coupons that allows to
specify a base date instead of a base CPI value; thanks to Matthias
Groncki.
INSTRUMENTS
- Added a new total-return swap; thanks to Marcin Rybacki.
An equity-index class was also added to support
this instrument.
- The analytic engine for barrier options would return NaN for low
values of volatility; this is now fixed.
- The `VanillaOption` and `BarrierOption` classes can now be used to
model vanilla and barrier options with discrete dividends; the
future dividends (not being part of the terms and conditions of the
contract) should be passed to the pricing engine instead.
- Added analytical Greeks to Bjerksund-Stensland engine; thanks to
Klaus Spanderen.
INDEXES
- Added UKHICP inflation index; thanks to Fredrik Gerdin Börjesson.
TERM STRUCTURES
- Renamed `SwaptionVolCube1`, `SwaptionVolCube1x`, `SwaptionVolCube1a`
and `SwaptionVolCube2` to `SabrSwaptionVolatilityCube`,
`XabrSwaptionVolatilityCube`, `NoArbSabrSwaptionVolatilityCube` and
`InterpolatedSwaptionVolatilityCube`, respectively; thanks to
Ignacio Anguita. The old names are deprecated but
still available for a few releases.
- Ensure that inflation curves are re-bootstrapped correctly when
seasonality is added.
MODELS
- Moved the Heston SLV model from experimental to main; thanks to
Klaus Spanderen.
MATH
- Added a few overloads to Array and Matrix operators taking rvalue
references for increased speed; thanks to Jonathan Sweemer.
DEPRECATED FEATURES
- **Removed** features deprecated in version 1.24:
- the protected `spreadLegValue_` data member of `BlackIborCouponPricer`;
- the `WulinYongDoubleBarrierEngine` alias for `SuoWangDoubleBarrierEngine`;
- the `settlementDate`, `incomeDiscountCurve`, `spotIncome`,
`spotValue`, `impliedYield` and `forwardValue` methods of
`ForwardRateAgreement`, as well as its protected
`underlyingIncome_`, `underlyingSpotValue_`, `settlementDays_`,
`payoff_` and `incomeDiscountCurve_` data members;
- constructors for `InflationTermStructure`,
`ZeroInflationTermStructure`, `InterpolatedZeroInflationCurve`,
`PiecewiseZeroInflationCurve` taking an `indexIsInterpolated`
parameter;
- the `indexIsInterpolated` method of `InflationTermStructure` and
its protected `indexIsInterpolated_` data member;
- some overloaded constructors of `SofrFutureRateHelper`.
- Deprecated the `DividendVanillaOption` and `DividendBarrierOption`
classes; use `VanillaOption` and `BarrierOption` instead (see
above).
- Deprecated the constructor of `AnalyticDividendEuropeanEngine` that
takes no dividend information; use the other overload instead.
- Deprecated the names `SwaptionVolCube1`, `SwaptionVolCube1x`,
`SwaptionVolCube1a` and `SwaptionVolCube2` (see above).
- Deprecated the protected `setCommon` method of
`CappedFlooredYoYInflationCoupon`.
Thanks go also to Jonathan Sweemer, the Xcelerit Dev
Team, Fredrik Gerdin Börjesson, Klaus
Spanderen and Peter Caspers for a number
of smaller fixes and improvements, and to Matthias Groncki
and GitHub user `lukey8767` for raising issues.
Release 1.29 - January 17th, 2023
PORTABILITY
- End of support: as announced in the notes for the previous
release, this release no longer manages thread-local singletons via
a user-provided `sessionId` function, and therefore the latter is no
longer needed. Instead, the code now uses the built-in language
support for thread-local variables. Thanks go to Peter Caspers.
- **Future end of support:** as announced in the notes for the
previous release, after the next couple of releases, using
`std::tuple`, `std::function` and `std::bind` (instead of their
`boost` counterparts) will become the default. If you're using
`ext::tuple` etc. in your code (which is suggested), this should be
a transparent change. If not, you'll still be able to choose the
`boost` versions via a configure switch for a while; but we do
suggest you start using `ext::tuple` etc. in the meantime.
- Replaced internal usage of `boost::thread` with `std::thread`;
thanks to Jonathan Sweemer. This removed our last dependency on
Boost binaries and makes it possible to compile QuantLib using a
header-only Boost installation.
- On Windows, it is now possible to use the MSVC dynamic runtime when
using cmake by passing
`-DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL`
on the command line; thanks to Jonathan Sweemer. The
static runtime remains the default.
- It is now possible to build QuantLib with Intel's `icpx` compiler
using cmake; thanks to Jonathan Sweemer. Note that in order to get
all the unit tests passing, `-fp-model=precise` must be added to
`CMAKE_CXX_FLAGS`.
DATE/TIME
- Updated Chinese holidays for 2023; thanks to Cheng Li.
- Added in-lieu holiday for Christmas 2022 to South-African calendar;
thanks to Joshua Hayes.
- Added King Charles III coronation holiday to UK calendar; thanks to
Fredrik Gerdin Börjesson.
- Added holiday for National Day of Mourning to Australian calendar;
thanks to Fredrik Gerdin Börjesson.
INSTRUMENTS
- Added high performance/precision American engine based on
fixed-point iteration for the exercise boundary; thanks to Klaus
Spanderen.
- Bonds with draw-down (i.e., increasing notionals) are now allowed;
thanks to Oleg Kulkov.
- Added `withIndexedCoupons` and `withAtParCoupons` methods to
`MakeSwaption` for easier initialization; thanks to Ralf Konrad.
- It is now possible to use the same pricing engine for vanilla and
dividend vanilla options, or for barrier and dividend barrier
options.
INDEXES
- Creating a zero inflation index as "interpolated" is now deprecated;
thanks to Ralf Konrad. The index should only return
monthly fixings. Interpolation is now the responsibility of
inflation-based coupons.
TERM STRUCTURES
- The `ConstantCPIVolatility` constructor can now take a handle to a
volatility quote, instead of just an immutable number.
DEPRECATED FEATURES
- Removed features deprecated in version 1.24:
- the `createAtParCoupons`, `createIndexedCoupons` and
`usingAtParCoupons` methods of `IborCoupon`;
- the `RiskyBond` class and its subclasses `RiskyFixedBond` and
`RiskyFloatingBond`;
- the `CrossCurrencyBasisSwapRateHelper` typedef;
- the `termStructure_` data member of `BlackCalibrationHelper`;
- the static `baseCurrency` and `conversionType` data members of `Money`;
- the `nominalTermStructure` method and the `nominalTermStructure_`
data member of `InflationTermStructure`;
- the constructor of the `UnitedStates` calendar not taking an
explicit market.
- Deprecated the `argument_type`, `first_argument_type`,
`second_argument_type` and `result_type` typedefs in a number of
classes; use `auto` or `decltype` instead.
- Deprecated the constructors of `InflationIndex`,
`ZeroInflationIndex`, `FRHICP`, `ZACPI`, `UKRPI`, `EUHICP`,
`EUHICPXT`, `USCPI`, `AUCPI` and `GenericCPI` taking an
`interpolated` parameter; use another constructor.
- Deprecated the `interpolated` method and the `interpolated_` data
member of `InflationIndex`.
- Deprecated the `ThreadKey` typedef. It was used in the signature of
`sessionId`, which is no longer needed after the changes in the
`Singleton` implementation.
- Deprecated the `rateCurve_` data member of the
`InflationCouponPricer` base class. If you need it, provide it in
your derived class.
- Deprecated the `npvbps` function taking NPV and BPS as references.
Use the overload returning a pair of `Real`s.
Thanks go also to Matthias Groncki, Jonathan Sweemer
and Nijaz Kovacevic for a number of smaller fixes
and improvements, to the Xcelerit Dev Team for
improvements to the automated CI builds, and to Vincenzo Ferrazzanno
and GitHub users alienbrett, xuruilong100 and philippb90 for raising issues.
Release 1.28 - October 25th, 2022
PORTABILITY
- New language standard: as announced in the notes for the
previous release, this release started using some C++14 syntax.
This should be supported by most compilers released in the past
several years.
- End of support: as announced in the notes for the previous
release, this release is the last to manage thread-local singletons
via a user-provided `sessionId` function. Future releases will use
the built-in language support for thread-local variables.
- Future end of support: after the next two or three releases,
using `std::tuple`, `std::function` and `std::bind` (instead of
their `boost` counterparts) will become the default. If you're
using `ext::tuple` etc. in your code (which is suggested), this
should be a transparent change. If not, you'll still be able to
choose the `boost` versions via a configure switch for a while.
DATE/TIME
- Added Act/366 and Act/365.25 day counters; thanks to Ignacio Anguita.
- Added H.M. the Queen's funeral to the UK calendars; thanks to Tomass
Wilson.
INSTRUMENTS
- Amortizing bonds were moved out of the experimental folder. Also, a
couple of utility functions were provided to calculate amortization
schedules and notionals.
PRICING ENGINES
- Fixed results from `COSHestonEngine` in the case of an option with
short time to expiration and deep ITM or deep OTM strike prices;
thanks to Ignacio Anguita.
- The ISDA engine for CDS could calculate the fair upfront with the
wrong sign; this is now fixed, thanks to Gualtiero Chiaia.
TERM STRUCTURES
- The constructor for `OISRateHelper` now allows to specify the
`endOfMonth` parameter; thanks to Guillaume Horel.
FINITE DIFFERENCES
- Fixed computation of cds boundaries in `LocalVolRNDCalculator`;
thanks to GitHub user mdotlic.
EXPERIMENTAL FOLDER
The `ql/experimental` folder contains code whose interface is not
fully stable, but is released in order to get user
feedback. Experimental classes make no guarantees of backward
compatibility; their interfaces might change in future releases.
- Breaking change: the constructor of the
`CPICapFloorTermPriceSurface` class now also takes an explicit
interpolation type.
- Possibly breaking: the protected constructor for `CallableBond`
changes its arguments. If you inherited from this class, you'll
need to update your code. If you're using the existing derived bond
classes, the change will be transparent.
- Pricing engines for callable bonds worked incorrectly when the face
amount was not 100. This is now fixed.
- The `impliedVolatility` method for callable bonds was taking a
target NPV, not a price. This implementation is now deprecated, and
a new overload was added taking a price in base 100.
DEPRECATED FEATURES
- Removed features deprecated in version 1.23:
- the constructors of `ZeroCouponInflationSwap` and
`ZeroCouponInflationSwapHelper` missing an explicit CPI
interpolation type;
- the constructors of `ActualActual` and `Thirty360` missing an
explicit choice of convention, and the constructor of `Thirty360`
passing an `isLastPeriod` boolean flag.
- Deprecated the constructors of `FixedRateBond` taking an
`InterestRate` instance or not taking a `Schedule` instance.
- Deprecated the constructor of `FloatingRateBond` not taking a
`Schedule` instance.
- Deprecated the constructors of `AmortizingFixedRateBond` taking a
sinking frequency or a vector of `InterestRate` instances.
- Deprecated the constructor of `CPICapFloor` taking a `Handle` to an
inflation index, and its `inflationIndex` method returning a `Handle`.
New versions of both were added using `shared_ptr` instead.
- Deprecated one of the constructors of `SabrSmileSection`; a new
version was added also taking an optional reference date.
- Deprecated the old `impliedVolatility` method for callable bonds;
see above.
Thanks go also to Konstantin Novitsky, Peter Caspers, Klaus
Spanderen, Fredrik Gerdin Börjesson and Dirk Eddelbuettel for a
number of smaller fixes, and to Jonathan Sweemer for various
improvements to the automated CI builds.
Release 1.27.1 - August 30th, 2022
QuantLib 1.27.1 is a bug-fix release.
It restores the old implementation of `Null` which was replaced
in version 1.27 with a new one; the latter was reported to cause
an internal compiler error under Visual C++ 2022 for some client code.
The new version (which avoids some problems when replacing `Real`
with some AAD-enabled types) is still available; depending on how
you compile QuantLib, it can be enabled through the
`--enable-null-as-functions` configure flag, the cmake variable
`QL_NULL_AS_FUNCTIONS`, or the define with the same name in the
`ql/userconfig.hpp` header.
Release 1.27 - July 22nd, 2022
PORTABILITY
- Removed support: as announced in the notes for the previous
release, support for Visual Studio 2013 was dropped.
- End of support: as announced in the notes for the previous
release, this release will be the last to avoid C++14 syntax.
Allowing the newer (but still oldish) standard should still support
most compilers released in the past several years.
- Future end of support: this release and the next will be the
last to manage thread-local singletons via a user-provided
`sessionId` function. Future releases will use the built-in
language support for thread-local variables.
- The `Real` type is now used consistently throughout the codebase,
thanks to the Xcelerit dev team. This, along with
other changes, allows its default definition to `double` to be
replaced with one of the available third-party AAD types.
- The test suite is now built using the header-only version of
Boost.Test, thanks to Jonathan Sweemer. This might
simplify Boost installation for some users, since in the default
configuration QuantLib now only needs the Boost headers.
- Replaced some Boost facilities with the corresponding C++11
counterparts; thanks to Klaus Spanderen and
Jonathan Sweemer.
DATE/TIME
- Fixed the behavior of a couple of Australian holidays; thanks to
Pradeep Krishnamurthy and Fredrik Gerdin Börjesson.
INSTRUMENTS
- Added the Turnbull-Wakeman engine for discrete Asian options; thanks
to Fredrik Gerdin Börjesson for the main engine code
and to Jack Gillett for the Greeks.
- Added more validation to barrier options; thanks to Jonathan Sweemer.
MODELS
- Fixed the start date of the underlying swap in swaption calibration
helpers; thanks to Peter Caspers.
- Fixed parameter checks in SVI volatility smiles; thanks to Fredrik
Gerdin Börjesson.
PATTERNS
- Avoid possible iterator invalidation while notifying observers;
thanks to Klaus Spanderen.
DEPRECATED FEATURES
- Removed the `--enable-disposable` and `--enable-std-unique-ptr`
configure switches.
- Removed features deprecated in version 1.22:
- the unused `AmericanCondition` and `FDAmericanCondition` classes;
- the old-style FD shout and dividend shout engines;
- the unused `OneFactorOperator` class;
- the `io::to_integer` function;
- the `ArrayProxy` and `MatrixProxy` classes.
- Deprecated the `QL_NOEXCEPT` and `QL_CONSTEXPR` macros.
- Deprecated the `QL_NULL_INTEGER` and `QL_NULL_REAL` macros.
- Deprecated some unused parts of the old-style FD framework:
- the `PdeShortRate` class;
- the `ShoutCondition` and `FDShoutCondition` classes;
- the `FDDividendEngineBase`, `FDDividendEngineMerton73`,
`FDDividendEngineShiftScale` and `FDDividendEngine` classes;
- the `FDStepConditionEngine` and `FDEngineAdapter` classes.
- Deprecated a number of function objects in the
`ql/math/functional.hpp` header.
- Deprecated the unused `MultiCurveSensitivities` class.
- Deprecated the unused `inner_product` function.
Thanks go also to Ryan Russell for documentation fixes.
Release 1.26 - April 20th, 2022
PORTABILITY
- End of support: as announced in the notes for the previous
release, this release is the last to support Visual Studio 2013.
- End of support: this release is the last to support the
long-deprecated configure switches `--enable-disposable` and
`--enable-std-unique-ptr`. From the next release, `Disposable` will
always be disabled (and eventually removed) and `std::unique_ptr`
will always be used instead of `std::auto_ptr`. This has already
been the default in the last few releases.
- Future end of support: this release and the next will be the
last to avoid C++14 syntax. This should still support most
compilers released in the past several years (except for Visual
Studio 2013, which we're already dropping in this release).
- If tagged libraries are specified, as is the default on Windows,
CMake now gives the built libraries the same names as the Visual
Studio solution (for instance, `QuantLib-x64-mt-s` instead of
`QuantLib-mt-s-x64`) so that the pragma in `ql/auto_link.hpp` works.
- QuantLib can now also be built as a subproject in a larger CMake
build (thanks to Peter Caspers).
DATE/TIME
- When printed, `Period` instances now display transparently what
their units and length are, instead of doing more fancy formatting
(e.g., "16 months" is now displayed instead of "1 year 4 months").
Also, `Period` instances that compare as equal now return the same
period from their `normalize` method.
INDEXES
- Added Tona (Tokyo overnight average) index (thanks to Jonghee Lee).
- Added static `laggedFixing` method to `CPI` structure which provides
interpolation of inflation index fixings.
CASH FLOWS
- The `CPICoupon` and `CPICashFlow` classes now take into account the
correct dates and observation lag for interpolation.
INSTRUMENTS
- Added a `BondForward` class that generalizes the existing
`FixedRateBondForward` to any kind of bond (thanks to Marcin
Rybacki).
- Avoided unexpected jumps in callable bond OAS (thanks to Ralf Konrad).
- Fixed `TreeSwaptionEngine` mispricing when adjusting the instrument
schedule to a near exercise date (thanks to Ralf Konrad).
- the `ForwardRateAgreement` class now works correctly without an
explicit discount curve.
TERM STRUCTURES
- Dates explicitly passed to `InterpolatedZeroInflationCurve` are no
longer adjusted automatically to the beginning of their inflation period.
DEPRECATED FEATURES
- Removed the `MCDiscreteAveragingAsianEngine` class,
deprecated in version 1.21.
- Deprecated the `LsmBasisSystem::PolynomType` typedef, now renamed to
`PolynomialType`; `MakeMCAmericanEngine::withPolynomOrder` was also
deprecated and renamed to `withPolynomialOrder`.
- Deprecated the `ZeroInflationCashFlow` constructor taking an unused
calendar and business-day convention.
- Deprecated the `CPICoupon` constructor taking a number of fixing
days, as well as the `CPICoupon::indexObservation`,
`CPICoupon::adjustedFixing` and `CPICoupon::indexFixing` methods
and the `CPILeg::withFixingDays` method.
- Deprecated the `CPICashFlow` constructor taking a precalculated fixing date and a frequency.
- Deprecated the `Observer::set_type` and `Observable::set_type` typedefs.
- Deprecated the unused `Curve` class.
- Deprecated the unused `LexicographicalView` class.
- Deprecated the unused `Composite` class.
- Deprecated the unused `DriftTermStructure` class.
Thanks go also to Matthias Groncki, Jonathan Sweemer and Li Zhong
for smaller fixes, enhancements and bug reports.
Release 1.25 - January 18th, 2022
PORTABILITY
- End of support: this release and the next will be the last
two to support Visual Studio 2013.
- Added a few CMake presets for building the library (thanks to
Jonathan Sweemer).
- When built and installed through CMake, the library now installs
a `QuantLibConfig.cmake` file that allows other CMake projects
to find and use QuantLib (thanks to Jonathan Sweemer).
CASHFLOWS
- Fixed the accrual calculation in overnight-indexed coupons
(thanks to Mohammad Shojatalab).
- Fixed fixing-days usage in `SubPeriodsCoupon` class (thanks to
Marcin Rybacki).
- IBOR coupons fixed in the past no longer need a forecast curve
to return their amount.
INDEXES
- Important change: inflation indexes inherited from the
`ZeroInflationIndex` class no longer rely on their forecast
curve for interpolation. For coupons that already took care of
interpolation (as in the case of `CPICoupon` and
`ZeroInflationCashFlow`) this should not change the results. In
other cases, figures will change but should be more correct as
the interpolation is now performed according to market
conventions. Also, most inflation curves now assume that the
index is not implemented. Year-on-year inflation indexes and
curves are not affected.
INSTRUMENTS
- Breaking change: convertible bonds were moved out of the
`ql/experimental` folder. Also, being market values and not
part of the contract, dividends and credit spread were moved
from the bond to the `BinomialConvertibleEngine` class (thanks
to Lew Wei Hao).
- The `ForwardRateAgreement` no longer inherits from `Forward`.
This also made it possible to implement the `amount` method
returning the expected cash settlement (thanks to Lew Wei Hao).
The methods from `Forward` were kept available but deprecated so
code using them won't break. Client code might break if it
performed casts to `Forward`.
MODELS
- Fixed formula for discount bond option in CIR++ model (thanks to
Magnus Mencke).
TERM STRUCTURES
- It is now possible to use normal volatilities in SABR smile
sections, and thus in the `SabrSwaptionVolatilityCube` class (thanks to
Lew Wei Hao).
DATE/TIME
- Added Chinese holidays for 2022 (thanks to Cheng Li).
CURRENCIES
- Added a number of African, American, Asian and European
currencies from Quaternion's `QuantExt` project (thanks to Ole
Bueker).
EXPERIMENTAL FOLDER
The `ql/experimental` folder contains code whose interface is not
fully stable, but is released in order to get user
feedback. Experimental classes make no guarantees of backward
compatibility; their interfaces might change in future releases.
- Added experimental rate helpers for LIBOR-LIBOR and
Overnight-LIBOR basis swaps.
- Renamed `WulinYongDoubleBarrierEngine` to
`SuoWangDoubleBarrierEngine` (thanks to Adityakumar Sinha for the
fix and Ruilong Xu for the heads-up).
DEPRECATED FEATURES
- Deprecated the constructors of zero-coupon inflation term
structures taking an `indexIsInterpolated` boolean argument.
- Deprecated a number of methods in the `ForwardRateAgreement`
class that used to be inherited from `Forward`.
- Deprecated a couple of constructors in the
`SofrFutureRateHelper` class.
- Deprecated the `WulinYongDoubleBarrierEngine` alias for
`SuoWangDoubleBarrierEngine`.
- Deprecated the protected `spreadLegValue_` data member in the
`BlackIborCouponPricer` class.
Thanks go also to Tom Anderson, Francois Botha, Matthew Kolbe,
Benson Luk, Marcin Rybacki, Henning Segger, Klaus Spanderen, and
GitHub users jxcv0 and azsrz for smaller fixes, enhancements and
bug reports.
Release 1.24 - October 2021
PORTABILITY
- Overhauled the CMake build system (thanks to Philip Kovacs). Among
other things, it now allows to specify the available configuration
options from the `cmake` invocation and adds the required Boost
libraries accordingly.
INSTRUMENTS
- Avoid callable-bond mispricing when a call date is close but not equal
to a coupon date (thanks to Ralf Konrad for the fix and to GitHub user
aichao for the analysis).
See for details.
- A new `RiskyBondEngine` is available for bonds (thanks to Lew Wei
Hao). It prices bonds based on a risk-free discount cure and a
default-probability curve used to assess the probability of each
coupon payment. It makes accessible to all bonds the calculations
previously available in the experimental `RiskyBond` class.
CASHFLOWS
- The choice between par and indexed coupons was moved to
`IborCouponPricer` (thanks to Peter Caspers). This also made it
possible to override the choice locally when building a
`VanillaSwap` or a `SwapRateHelper`, so that coupons with both
behaviors can now be used at the same time.
TERM STRUCTURES
- Cross-currency basis swap rate helpers now support both
constant-notional and marked-to-market swaps (thanks to Marcin
Rybacki).
DATE/TIME
- Added Chilean calendar (thanks to Anubhav Pandey).
- Added new `ThirdWednesdayInclusive` date-generation rule that also
adjusts start and end dates (thanks to Lew Wei Hao).
PATTERNS
- Overhauled `Singleton` implementation (thanks to Peter Caspers).
Singletons are now initialized in a thread-safe way when sessions
are enabled, global singletons (that is, independent of sessions)
were made available, and static initialization was made safer.
TEST SUITE
- Sped up some of the longer-running tests (thanks to Mohammad Shojatalab).
DEPRECATED FEATURES
- Deprecated default constructor for the U.S. calendar; the desired
market should now be passed explicitly.
- Deprecated the `nominalTermStructure` method and the corresponding
data member in inflation term structures. Any object needing the
nominal term structure should have it passed explicitly.
- Deprecated the `termStructure_` data member in
`BlackCalibrationHelper`. It you're inheriting from
`BlackCalibrationHelper` and need it, declare it in your derived
class.
- Deprecated the `createAtParCoupons`, `createIndexedCoupons` and
`usingAtParCoupons` methods of `IborCoupon`, now moved to a new
`IborCoupon::Settings` singleton (thanks to Philip Kovacs).
- Deprecated the `conversionType` and `baseCurrency` static data
members of `Money`, now moved to a new `Money::Settings` singleton
(thanks to Philip Kovacs).
- Removed features deprecated in version 1.19: the `BMAIndex`
constructor taking a calendar, the `AmericanCondition` and
`ShoutCondition` constructors taking an option type and strike, the
`CurveDependentStepCondition` class and the
`StandardCurveDependentStepCondition` typedef, the
`BlackCalibrationHelper` constructor taking a yield term structure,
the various inflation term structure constructors taking a yield
term structure, the various yield term constructors taking a vector
of jumps but not specifying a reference date.
Thanks go also to Mickael Anas Laaouini, Jack Gillett, Bojan Nikolic
and Klaus Spanderen for smaller fixes, enhancements and bug reports.
Release 1.23 - July 14th, 2021
PORTABILITY
- On Mac OS, the `-std=c++11` flag is now added automatically when
needed. This applies to both `configure` and `cmake` (thanks to
Leander Schulten).
- We now assume that the compiler supports Boost::uBLAS and no longer
check for it in configure. (The check was originally introduced for
versions of gcc before 4.x, which don't support C++ anyway.)
Please let us know if this causes problems on some systems.
- The `Period`, `InterestRate` and `InterestRateIndex` classes are now
visualized more clearly in the Visual Studio debugger (thanks to
Francois Botha).
CASHFLOWS
- Year-on-year and CPI legs are now set a default coupon pricer. In
most cases, this removes the need for setting it explicitly.
- Add new `ZeroInflationCashFlow` class, used in zero-coupon inflation
swaps (thanks to Ralf Konrad).
CURRENCIES
- Added custom constructor that allows to create bespoke currencies
not already included in the library (thanks to Marcin Rybacki).
DATE/TIME
- Fixed implementation of U.S. 30/360 convention (the old one is still
available as 30/360 NASD).
- The 30/360 ISDA convention can now take the termination date as a
constructor argument and use it to adjust the calculation properly.
- Added the 30/360 ISMA convention; the Bond-Basis convention is now
an alias to the former.
- The 30/360 German convention was renamed to ISDA; "German" remains
as an alias.
- Added new Canadian holiday (National Day for Truth and
Reconciliation) established in 2021 (thanks to GitHub user `qiubill`
for the heads-up).
- Added new U.S. holiday (Juneteenth) established in 2021.
- Added new Platinum Jubilee U.K. holiday for 2022 (thanks to Ioannis
Rigopoulos for the heads-up.)
- Added missing Christmas Eve holiday to Norwegian calendar (thanks to
Prince Nanda).
INDEXES
- Added ESTR index (thanks to Magnus Mencke).
INSTRUMENTS
- Added zero-coupon swap (thanks to Marcin Rybacki).
- The `Type` enumeration defined in several swap classes was moved to
their base `Swap` class.
- Fixed sign of theta in experimental Kirk engine for spread options
(thanks to Xu Ruilong for the heads-up).
PROCESSES
- Improved discretization of Cox-Ingersoll-Ross process to avoid
occasional divergence (thanks to Magnus Mencke).
DEPRECATED FEATURES
- Deprecated default constructor for actual/actual and 30/360 day
counters; the desired convention should now be passed explicitly.
- Removed features deprecated in version 1.18: the
`CalibrationHelperBase` typedef (now `CalibrationHelper`), some
overloads of the `CalibratedModel::calibrate` and
`CalibratedModel::value` methods, the constructors of
`PiecewiseYieldCurve` and `PiecewiseDefaultCurve` taking an
`accuracy` parameter, the constructors of `BondHelper`,
`FixedRateBondHelper` and `CPIBondHelper` taking a boolean
`useCleanPrice` parameter, the `BondHelper::useCleanPrice()` method,
and the non-static `Calendar::holidayList` method.
Thanks go also to Francis Duffy, Kevin Kirchhoff, Magnus Mencke and
Klaus Spanderen for smaller fixes, enhancements and bug reports.
Release 1.22 - April 15th, 2021
PORTABILITY
- As previously announced, this release drops support for Visual
C++ 2012. VC++ 2013 or later is now required.
- The `Date` and `Array` classes are now visualized more clearly in
the Visual Studio debugger (thanks to Francois Botha).
LANGUAGE STANDARD
- QuantLib now uses the C++11 standard and no longer compiles in C++03
mode. As before, it can be compiled with later versions of the
standard. For details on the C++11 features used, see the pull
requests marked "C++11 modernization" at the above link; for
information on possible problems, see
.
CASHFLOWS
- Revised and tested the `SubPeriodCoupon` class (thanks to Marcin
Rybacki). The class was moved out of the `ql/experimental` folder
and its interface can now be considered stable.
- Add simple averaging to overnight-index coupons in addition to the
existing compound averaging (thanks to Marcin Rybacki).
- Fixed accrual calculation for inflation coupon when trading
ex-coupon (thanks to GitHub user `bachhani`).
CURRENCIES
- Added the Nigerian Naira (thanks to Bryte Morio).
DATE/TIME
- Fixed actual/actual (ISMA) day counter calculation for long/short
final periods (thanks to Francois Botha).
- Updated a couple of changed rules for New Zealand calendar (thanks
to Paul Giltinan).
INDEXES
- Added `hasHistoricalFixing` inspector to `Index` class to check if
the fixing for a given past date is available (thanks to Ralf
Konrad).
INSTRUMENTS
- Added new-style finite-difference engine for shout options (thanks
to Klaus Spanderen). In the case of dividend shout options, an
escrowed dividend model is used.
- Revised the `OvernightIndexFutures` class. The class was moved out
of the `ql/experimental` folder and its interface can now be
considered stable.
- Added an overloaded constructor for Asian options that takes all
past fixings and thus allows to reprice them correctly when the
evaluation date changes (thanks to Jack Gillett).
- Added support for seasoned geometric Asian options to the Heston
engine (thanks to Jack Gillett).
PATTERNS
- Faster implementation of the `Observable` class in the thread-safe
case (thanks to Klaus Spanderen).
TERM STRUCTURES
- Added experimental rate helper for constant-notional cross-currency
basis swaps (thanks to Marcin Rybacki).
- Added volatility type and displacements to year-on-year inflation
volatility surfaces (thanks to Peter Caspers).
DEPRECATED FEATURES
- Removed features deprecated in version 1.17: the `Callability::Type`
typedef (now `Bond::Price`), the `FdmOrnsteinUhlenbackOp` typedef
(now correctly spelled as `FdmOrnsteinUhlenbeckOp`, and a number of
old-style finite-difference engines (`FDAmericanEngine`,
`FDBermudanEngine`, `FDDividendAmericanEngine` and its variants,
`FDDividendEuropeanEngine` and its variants, and `FDEuropeanEngine`)
all replaced by the `FdBlackScholesVanillaEngine` class.
- Deprecated the old-style finite difference engines for shout
options; they are now replaced by the new `FDDividendShoutEngine`
class.
- Deprecated a few unused parts of the old-style finite-differences
framework: the `AmericanCondition` class, the `OneFactorOperator`
typedef, and the `FDAmericanCondition` class.
TEST SUITE
- Reduced the run time for the longest-running test cases.
Thanks go also to Francis Duffy and Cay Oest for smaller fixes,
enhancements and bug reports.
Release 1.21 - January 20th, 2021
PORTABILITY
- As previously announced, this is the last release to support
Visual C++ 2012. Starting from next release, VC++ 2013 or later
will be required in order to enable use of C++11 features.
INSTRUMENTS
- Improve date generation for CDS schedules under the post-big-bang
rules (thanks to Francis Duffy).
- Amortizing fixed-rate bonds can now use a generic `InterestRate`
object (thanks to Piter Dias).
- Added Monte Carlo pricer for discrete-average arithmetic Asian
options under the Heston model (thanks to Jack Gillett).
- Added analytic and Monte Carlo pricers for discrete-average
geometric Asian options under the Heston model (thanks to Jack
Gillett). Together, they can also be used as a control variate in
Monte Carlo models for arithmetic Asian options.
- Added analytic pricer for continuous-average geometric Asian
options under the Heston model (thanks to Jack Gillett).
- Added analytic pricer for forward options under the Heston model
(thanks to Jack Gillett).
- Added Monte Carlo pricers for forward options under the
Black-Scholes and the Heston models (thanks to Jack Gillett).
TERM STRUCTURES
- Added Dutch regulatory term structure, a.k.a. ultimate forward term
structure (thanks to Marcin Rybacki).
- Generalized exponential spline fitting to an arbitrary number of
parameters; it is now also possible to fix kappa (thanks to David
Sansom).
- Fixed averaging period for 1-month SOFR futures rate helper (thanks
to Eisuke Tani).
DATE/TIME
- Fixed a bug and added 2017 holidays in Thailand calendar (thanks to
GitHub user `phil-zxx` for the heads-up).
- Updated Chinese calendar for 2021 (thanks to Cheng Li).
- Updated Japanese calendar for 2021 (thanks to Eisuke Tani).
Thanks go also to Francois Botha, Peter Caspers, Ralf Konrad,
Matthias Siemering, Klaus Spanderen and Joseph Wang for smaller
fixes, enhancements and bug reports.
Release 1.20 - October 26th, 2020
PORTABILITY
- Support for Visual C++ 2012 is being deprecated. It will be dropped
after the next release in order to enable use of C++11 features.
- It is now possible to opt into using `std::tuple` instead of
`boost::tuple` when the compiler allows it. The default is still to
use the Boost implementation. The feature can be enabled by
uncommenting the `QL_USE_STD_TUPLE` macro in `ql/userconfig.hpp` on
Visual C++ or by passing the `--enable-std-tuple` switch to
`./configure` on other systems. The `--enable-std-tuple` switch is
also implied by `--enable-std-classes`. (Thanks to Joseph Wang.)
INSTRUMENTS
- Added mixing-factor parameter to Heston finite-differences barrier,
rebate and double-barrier engines (thanks to GitHub user
`jackgillett101`).
- Added a few additional results to Black swaption engine and to
analytic European option engine (thanks to Peter Caspers and Marcin
Rybacki).
- Improved calculation of spot date for vanilla swap around holidays
(thanks to Paul Giltinan).
- Added ex-coupon feature to amortizing bonds, callable bonds and
convertible bonds.
- Added optional first-coupon day counter to fixed-rate bonds (thanks
to Jacob Lee-Howes).
MATH
- Added convenience classes `LogCubic` and `LogMixedLinearCubic`
hiding a few default parameters (thanks to Andrea Maffezzoli).
MODELS
- Added control variate based on asymptotic expansion for the Heston
model (thanks to Klaus Spanderen).
DATE/TIME
- Added missing Hong Kong holiday (thanks to GitHub user `CarrieMY`).
- Added a couple of one-off closing days to the Romanian calendar.
- Added a one-off holiday to South Korean calendar (thanks to GitHub
user `fayce66`).
- Added a missing holiday to Turkish calendar (thanks to Berat
Postalcioglu).
DOCUMENTATION
- Added basic documentation to optimization methods (thanks to GitHub
user `martinbrose`).
DEPRECATED FEATURES
- Features deprecate in version 1.16 were removed: a constructor of
the `FdmOrnsteinUhlenbeckOp` class and a constructor of the
`SwaptionVolatilityMatrix` class.
Release 1.19 - July 20th, 2020
PORTABILITY
- Support for Visual C++ 2012 is being deprecated. It will be dropped
around the end of 2020 or the beginning of 2021 in order to enable
use of C++11 features.
- Avoided use in Makefiles of functions only available to GNU Make
(thanks to GitHub user `UnitedMarsupials` for the heads-up).
BUILD
- Automated builds on Travis and GitHub Actions were extended. We now
have a build for Mac OS X, as well as a few builds that run a number
of checks on the code (including clang-tidy) and automatically open
pull requests with fixes.
TERM STRUCTURES
- Added options for iterative bootstrap to widen the search domain or
to keep the best result upon failure (thanks to Francis Duffy).
- Added flat-extrapolation option to fitted bond curves (thanks to
Peter Caspers).
INSTRUMENTS
- Added finite-difference pricing engine for equity options under the
Cox-Ingersoll-Ross process (thanks to Lew Wei Hao).
- Added Heston engine based on exponentially-fitted Laguerre
quadrature rule (thanks to Klaus Spanderen).
- Added Monte Carlo pricing engines for lookback options (thanks to
Lew Wei Hao).
- Added Monte Carlo pricing engine for double-barrier options (thanks
to Lew Wei Hao).
- Added analytic pricing engine for equity options under the
Vasicek model (thanks to Lew Wei Hao).
- The `Bond::yield` method can now specify a guess and whether the
passed price is clean or dirty (thanks to Francois Botha).
MODELS
- Improved grid scaling for FDM Heston SLV calibration, and fixed
drift and diffusion for Heston SLV process (thanks to Klaus
Spanderen and Peter Caspers).
- Added mixing factor to Heston SLV process (thanks to Lew Wei Hao).
MATH
- Improved nodes/weights for the exponentially fitted Laguerre
quadrature rule and added sine and cosine quadratures (thanks to
Klaus Spanderen).
DATE/TIME
- Improved performance of the Calendar class (thanks to Leonardo Arcari).
- Updated holidays for Indian and Russian calendars (thanks to Alexey
Indiryakov).
- Added missing All Souls Day holiday to Mexican calendar (thanks to
GitHub user `phil-zxx` for the heads-up).
- Restored New Year's Eve holiday to Eurex calendar (thanks to Joshua
Engelman).
DEPRECATED FEATURES
- Features deprecate in version 1.15 were removed: constructors of
inflation swap helpers, inflation-based pricing engines and
inflation coupon pricers that didn't take a nominal term structure.
- The constructor of `BMAIndex` taking a calendar was deprecated.
- The constructors of several interest-rate term structures taking
jumps without a reference date were deprecated.
- The `CurveDependentStepCondition` class and related typedefs were
deprecated.
- The constructor of `BlackCalibrationHelper` taking an interest-rate
structure was deprecated.
- The constructors of several inflation curves taking a nominal curve
were deprecated. The nominal curve should now be passed to the used
coupon pricers.
Release 1.18 - March 23rd, 2020
PORTABILITY
- As announced in the past release, support of Visual C++ 2010 is
dropped. Also, we'll probably deprecate Visual C++ 2012 in the
next release in order to drop it around the end of 2020.
BUILD
- Cmake now installs headers with the correct folder hierarchy
(thanks to Cheng Li).
- The `--enable-unity-build` flag passed to configure now also
causes the test suite to be built as a single source file.
- The Visual Studio projects now allow enabling unity builds as
described at
TERM STRUCTURES
- A new `GlobalBootstrap` class can now be used with
`PiecewiseYieldCurve` and other bootstrapped curves (thanks to
Peter Caspers). It allows to produce curves close to
Bloomberg's.
- The experimental `SofrFutureRateHelper` class and its parent
`OvernightIndexFutureRateHelper` can now choose to use either
compounding or averaging, in order to accommodate different
conventions for 1M and 3M SOFR futures (thanks to GitHub user
`tani3010`).
- The `FraRateHelper` class has new constructors that take IMM
start / end offsets (thanks to Peter Caspers).
- It is now possible to pass explicit minimum and maximum values
to the `IterativeBootstrap` class. The accuracy parameter was
also moved to the same class; passing it to the curve
constructor is now deprecated.
INSTRUMENTS
- It is now possible to build fixed-rate bonds with an arbitrary
schedule, even without a regular tenor (thanks to Steven Van
Haren).
MODELS
- It is now possible to use normal volatilities to calibrate a
short-rate model over caps.
DATE/TIME
- The Austrian calendar was added (thanks to Benjamin
Schwendinger).
- The German calendar incorrectly listed December 31st as a
holiday; this is now fixed (thanks to Prasad Somwanshi).
- Chinese holidays were updated for 2020 and the coronavirus event
(thanks to Cheng Li).
- South Korea holidays were updated for 2016-2020 (thanks to
GitHub user `fayce66`).
- In the calendar class, `holidayList` is now an instance method;
the static version is deprecated. The `businessDayList` method
was also added. (Thanks to Piotr Siejda.)
- A bug in the 30/360 German day counter was fixed (thanks to Kobe
Young for the heads-up).
OPTIMIZERS
- The differential evolution optimizer was updated (thanks to
Peter Caspers).
CURRENCIES
- Added Kazakstani Tenge to currencies (thanks to Jonathan Barber).
DEPRECATED FEATURES
- Features deprecate in version 1.14 were removed: one of the
constructors of the `BSMOperator` class, the whole
`OperatorFactory` class, and the typedef `CalibrationHelper`
which was used to alias the `BlackCalibrationHelper` class.
- The `CalibrationHelperBase` class is now called
`CalibrationHelper`. The old name remains as a typedef but is
deprecated.
- The overload of `CalibratedModel::calibrate` and
`CalibratedModel::value` taking a vector of
`BlackCalibrationHelper`s are deprecated in favor of the ones
taking a vector of `CalibrationHelper`s.
- The static method `Calendar::holidayList` is deprecated in favor
of the instance method by the same name.
- The constructors of `PiecewiseDefaultCurve` and
`PiecewiseYieldCurve` taking an accuracy parameter are
deprecated in favor of passing the parameter to an instance of
the bootstrap class.
- The constructors of `BondHelper` and derived classes taking a
boolean flag to choose between clean and dirty price are
deprecated in favor of the ones taking a `Bond::Price::Type`
argument. The `useCleanPrice` method is also deprecated in
favor of `priceType`.
Release 1.17 - December 3rd, 2019
PORTABILITY
- As of this release, support of Visual C++ 2010 is deprecated; it
will be dropped in next release. Also, we'll probably deprecate
Visual C++ 2012 in one of the next few releases in order to drop
it around the end of 2020.
CONFIGURATION
- A new function `compiledBoostVersion()` is available, (thanks to
Andrew Smith). It returns the version of Boost used to compile
the library, as reported by the `BOOST_VERSION` macro. This can
help avoid linking the library with user code compiled with a
different Boost version (which can result in erratic behavior).
- It is now possible to specify at run time whether to use indexed
coupons (thanks to Ralf Konrad). The compile-time configuration
is still used as a default, but it is also possible to call
either of the static methods `IborCoupon::createAtParCoupons` or
`IborCoupon::createIndexedCoupons` to specify your preference.
For the time being, the methods above must necessarily be called
before creating any instance of `IborCoupon` or of its derived
classes.
BUILD
- As of this version, the names of the binaries produced by the
included Visual C++ solution no longer contain the toolset
version (e.g., v142).
INSTRUMENTS
- Added ex-coupon functionality to floating-rate bonds (thanks to
Steven Van Haren).
- The inner structure `Callability::Price` was moved to the class
`Bond` and can now be used to specify what kind of price was
passed to the `BondFunctions::yield` method (thanks to Francois
Botha).
- It is now possible to use a par-coupon approximation for FRAs
like the one used in Ibor coupons (thanks to Peter Caspers).
PRICING ENGINES
- Added escrowed dividend model to the new-style FD engine for
`DividendVanillaOption` (thanks to Klaus Spanderen).
- Black cap/floor engine now also returns caplet deltas (thanks to
Wojciech Slusarski).
TERM STRUCTURES
- OIS rate helpers can now choose whether to use as a pillar for
the bootstrap either their maturity date or the end date of the
last underlying fixing. This provides an alternative if the
bootstrap should fail. (Thanks to Drew Saunders for the
heads-up.)
- Instances of the `FittedBondDiscountCurve` class now behave as
simple evaluators (that is, they use the given parameters without
performing root-solving) when the `maxIterations` parameter is
set to 0. (Thanks to Nick Firoozye for the heads-up.)
DATE/TIME
- Added a few special closing days to the US government bond
calendar (thanks to Mike DelMedico).
- Fixed an incorrect 2019 holiday in Chinese calendar (thanks to
Cheng Li).
- Added missing holiday to Swedish calendar (thanks to GitHub
users `periculus` and `tonyzhipengzhou`).
DEPRECATED FEATURES
- The classes `FDEuropeanEngine`, `FDAmericanEngine`,
`FDBermudanEngine`, `FDDividendEuropeanEngine`,
`FDDividendEuropeanEngineShiftScale`,
`FDDividendAmericanEngine`, `FDDividendAmericanEngineShiftScale`
are now deprecated. They are superseded by
`FdBlackScholesVanillaEngine`.
Release 1.16 - August 5th, 2019
PORTABILITY
- Added support for Visual Studio 2019 (thanks to Paul Giltinan).
CONFIGURATION
- As announced in past release, the compile-time switch to force
non-negative rates was removed.
PRICING ENGINES
- Added constant elasticity of variance (CEV) pricing engines for
vanilla options. Analytic, FD and SABR engines are available
(thanks to Klaus Spanderen).
- Added quanto pricing functionality to a couple of FD engines for
DividendVanillaOption (thanks to Klaus Spanderen).
CASH FLOWS
- Digital coupons can now optionally return the value of the naked
option (thanks to Peter Caspers).
DATE/TIME
- Updated Taiwan holidays for 2019 (thanks to Hank Liu).
- Added two newly announced holidays to Chinese calendar (thanks to
Cheng Li).
- Updated Japan calendar (thanks to Eisuke Tani).
- Fixed New Year's day adjustment for Canadian calendar (thanks to Roy
Zywina).
- Added a couple of exceptions for UK bank holidays (thanks to GitHub
user Vililikku for the heads-up).
- Added French calendar (thanks to GitHub user NJeanray).
- Added public methods to expose a calendar's added and removed
holidays (thanks to Francois Botha).
- Allow the stub date of a schedule to equal the maturity.
DEPRECATED FEATURES
- Deprecated a constructor of the SwaptionVolatilityMatrix class that
didn't take a calendar.
- Removed typedefs GammaDistribution, ChiSquareDistribution,
NonCentralChiSquareDistribution and
InverseNonCentralChiSquareDistribution, deprecated in version 1.12.
Use CumulativeGammaDistribution, CumulativeChiSquareDistribution,
NonCentralCumulativeChiSquareDistribution and
InverseNonCentralCumulativeChiSquareDistribution instead.
- Removed Actual365NoLeap class, deprecated in version 1.11. It was
folded into Actual365Fixed.
TERM STRUCTURES
- Take payment days into account when calculating the nodes of a
bootstrapped curve based on overnight swaps.
Release 1.15 - February 19th, 2019
PORTABILITY
- This release drops support for Boost version 1.43 to 1.47; the
minimum required version is now Boost 1.48, released in 2011.
- Added a `.clang-format` file to the repository. The format is
not going to be enforced, but the style file is provided as a
convenience in case you want to format new code according to the
conventions of the library.
- `boost::function`, `boost::bind` and a few related classes and
functions were imported into the new namespace `QuantLib::ext`.
This allows them to be conditionally replaced with their `std::`
versions (see the "opt-in features" section below). The default
is still to use the Boost implementation. Client code using the
`boost` namespace explicitly doesn't need to be updated.
MODELS
- Added an experimental volatility basis model for caplet and
swaptions (thanks to Sebastian Schlenkrich).
PRICING ENGINES
- It is now possible to specify polynomial order and type when
creating a `MCAmericanBasketEngine` instance (thanks to Klaus
Spanderen).
TERM STRUCTURES
- Inflation curves used to store the nominal curve used during
their construction. This is still supported for backward
compatibility, but is deprecated. You should instead pass the
nominal curve explicitly to objects that need one (e.g.,
inflation helpers, engines, or cashflow pricers).
- Added experimental helpers to bootstrap an interest-rate curve
on SOFR futures (thanks to Roy Zywina).
INDEXES
- It is now possible to choose the fixing calendar for the BMA
index (thanks to Jan Ladislav Dussek).
CASH FLOWS
- Fixed broken observability in CMS-spread coupon pricer (thanks
to Peter Caspers).
DATE/TIME
- Fix implementation of Actual/Actual (ISMA) day counter in case a
schedule is provided (thanks to Philip Stephens).
- Fix implementation of `Calendar::businessDaysBetween` method
when the initial and final date are the same (thanks to Weston
Steimel).
- Added day of mourning for G.H.W. Bush to the list of United
States holidays (thanks to Joshua Engelman).
- Updated list of Chinese holidays for 2019 (thanks to Cheng Li).
- Added basic unit tests for the `TimeGrid` class (thanks to Kai
Striega).
MATH
- Prevent solver failure in Richardson extrapolation (thanks to
Klaus Spanderen).
EXAMPLES
- Added multi-curve bootstrapping example (thanks to Jose
Garcia). This examples supersedes the old swap-valuation
example, that was therefore removed.
NEW OPT-IN FEATURES
- It is now possible to use `std::function`, `std::bind` and their
related classes instead of `boost::function` and `boost::bind`.
The feature can be enabled by uncommenting the
`QL_USE_STD_FUNCTION` macro in `ql/userconfig.hpp` on Visual C++
or by passing the `--enable-std-function` to `./configure` on
other systems. This requires using at least the C++11 standard
during compilation.
- A new `./configure` switch, `--enable-std-classes`, was added as
a shortcut for `--enable-std-pointers` `--enable-std-unique-ptr`
`--enable-std-function`.
Release 1.14 - October 1st, 2018
PORTABILITY
- In April 2018, Microsoft ended its support for Microsoft Visual
C++ 2008. As previously announced, this release drops support
for it.
- Fixed generation of RPM from QuantLib.spec (thanks to Simon Rees).
- Avoided uses of some features removed in C++17 so that the
library can be compiled under the latest standard if needed.
- `boost::shared_ptr` and a few related classes and functions were
imported into the new namespace `QuantLib::ext`. This allows them
to be conditionally replaced with their `std::` versions (see the
"opt-in features" section below). The default is still to use
the boost implementation. Client code using the `boost` namespace
explicitly doesn't need to be updated.
- Fixed build and tests on FreeBSD-11 (thanks to Klaus Spanderen
and to Mikhail Teterin for the heads-up).
- Fixed tests with the `-ffast-math` compilation flag enabled
(thanks to Klaus Spanderen and to Jon Davies for the heads-up).
INSTRUMENTS AND PRICING ENGINES
- Add different settlement methods for swaptions (thanks to Peter
Caspers).
- Take into account distinct day-count conventions for different
curves in the analytic barrier-option engine (thanks to GitHub
user cosplay-raven).
- Extract the correct constant coefficients to use in
finite-difference vanilla-option engine when using a
time-dependent Black-Scholes process (thanks to GitHub user
Grant6899 for the analysis).
CASH FLOWS AND INTEREST RATES
- Added Bibor and THBFIX indices (thanks to Matthias Lungwitz).
MODELS
- Added a hook for using a custom smile model in the Markov functional
model (thanks to Peter Caspers).
- Added a base class CalibrationHelperBase to the hierarchy of
calibration helpers in order to allow for helpers not using the
Black model.
- Return underlying dynamics from Black-Karasinski model (thanks
to Fanis Antoniou).
FINITE DIFFERENCES
- Added higher-order spatial operators (thanks to Klaus Spanderen).
- Added TR-BDF2 finite-difference scheme (thanks to Klaus Spanderen).
TERM STRUCTURES
- Allow swap helpers to specify end-of-month convention (thanks to
Matthias Lungwitz).
DATE/TIME
- Prevented division by zero in Actual/365 Canadian day counter
(thanks to Ioannis Rigopoulos for the heads-up).
- Added Children's Day to the list of Romanian holidays (thanks to
Matthias Lungwitz).
- Added new calendar for Thailand (thanks to Matthias Lungwitz).
- Added 30/360 German day counter (thanks to Peter Caspers and
Alexey Indiryakov).
MATH
- Fixed bug in convex-monotone interpolation (thanks to Peter
Caspers for the fix and to Tom Anderson for finding the bug).
NEW OPT-IN FEATURES
- It is now possible to use `std::shared_ptr` and its related
classes instead of `boost::shared_ptr`. Note that, unlike its
boost counterpart, `std::shared_ptr` doesn't check for null
pointers before access; this can lead to crashes. The feature
can be enabled by uncommenting the `QL_USE_STD_SHARED_PTR` macro
in `ql/userconfig.hpp` on Visual C++ or by passing the
`--enable-std-pointers` to `./configure` on other systems. This
requires using at least the C++11 standard during compilation.
- It is now possible to use `std::unique_ptr` instead of
`std::auto_ptr`; this makes it possible to compile the library in
strict C++17 mode and to avoid deprecation warnings in C++11 and
C++14 mode. The feature can be enabled by uncommenting the
`QL_USE_STD_UNIQUE_PTR` macro in `ql/userconfig.hpp` on Visual C++
or by passing the `--enable-std-unique-ptr` to `./configure` on
other systems.
Thanks go also to Sam Danbury, Barry Devlin, Roland Kapl, and GitHub
user todatamining for smaller fixes, enhancements, and bug reports.
Release 1.13 - May 24th, 2018
PORTABILITY
- In April 2018, Microsoft ended its support for Microsoft Visual
C++ 2008. This release still includes a solution file for VC++
2008, but we won't support it further or take bug reports for
it. The next release will only contain project files for Visual
C++ 2010 and later.
- Fixed build on Solaris 12.5 in C++11 mode (thanks to Nick Glass).
INSTRUMENTS AND PRICING ENGINES
- Fix CDS calculation when the start date falls during the
week-end (thanks to Guillaume Horel).
- Allow construction of a `ForwardRateAgreement` instance even if
the interest-rate curve is not yet linked (thanks to Tom
Anderson).
CASH FLOWS AND INTEREST RATES
- Added Mosprime, Pribor, Robor and Wibor indices (thanks to
Matthias Lungwitz).
- Improved performance of Black pricer for LIBOR coupons (thanks
to Peter Caspers).
- Fixed experimental quanto coupon pricer (thanks to Peter
Caspers).
- Revised experimental CMS-spread coupon pricer (thanks to Peter
Caspers).
MODELS
- Improvements for the experimental generalized Hull-White model
(thanks to Roy Zywina).
- Fixed drift in GSR process (thanks to Peter Caspers for the fix
and to Seung Beom Bang for the heads up).
- Fixed an out-of-bound access in the
TwoFactorModel::ShortRateDynamics::process method (thanks to
Weston Steimel).
FINITE DIFFERENCES
- Improved Black-Scholes mesher for low volatilities and high
discrete dividends (thanks to Klaus Spanderen).
- Added method-of-lines scheme (thanks to Klaus Spanderen).
DATE/TIME
- Schedule::until can now be used with schedules built from
vectors of dates (thanks to GitHub user Grant6899).
- Added Good Friday to the list of Hungarian and Czech holidays
(thanks to Matthias Lungwitz).
- Updated the list of Turkish holidays after 2014 (thanks to
Matthias Lungwitz).
MATH
- Added convenience operators to initialize array and matrices
(thanks to Peter Caspers).
TEST SUITE
- Added test case for CIR++ model (thanks to Klaus Spanderen).
Thanks go also to Jose Aparicio, Roland Kapl and GitHub user
lab4quant for smaller fixes and enhancements.
Release 1.12.1 - April 16th, 2018
%QuantLib 1.12.1 is a bug-fix release for version 1.12.
It fixes an error that would occur during initialization of the
test suite when using the newly released Boost 1.67.0.
Thanks to Klaus Spanderen for the prompt fix.
The library code is unchanged from version 1.12.
Release 1.12 - February 1st, 2018
PORTABILITY
- As announced in the previous release, support for the Dev-C++
IDE was removed.
- In April 2018, Microsoft will end its support for Microsoft
Visual C++ 2008. Therefore, this is the last version of
QuantLib to support it with maintained project files.
- It is now possible to build a usable library with CMake on
Windows (thanks to Javier G. Sogo).
- Fix autotools build outside the source tree (thanks to Joshua
Ulrich).
INSTRUMENTS AND PRICING ENGINES
- Added OAS calculation to experimental callable bonds (thanks to
Bojan Nikolic).
- Avoided infinite loop for some sets of parameters in
experimental variance-gamma engine (thanks to Roy Zywina).
CASH FLOWS
- It is now possible to build a cash-flow leg from a schedule
created from a precalculated vector of dates (thanks to Peter
Caspers).
MODELS
- Affine models can now be used to bootstrap a default-probability
curve (thanks to Jose Aparicio).
- Added Andreasen-Huge volatility interpolation and local
volatility calibration (thanks to Klaus Spanderen).
- Added Rannacher smoothing steps for Heston stochastic local
volatility calibration (thanks to Klaus Spanderen).
TERM STRUCTURES
- Added L2 penalty to fitted parameters of fitted bond discount
curve (thanks to Robin Northcott).
- Added an optional trading calendar to the FX-swap rate helper
and and optional payment lag to the OIS rate helper (thanks to
Wojciech Slusarski).
- Fixed inconsistent treatment of strike in experimental CPI
cap/floor term price surface (thanks to Francis Duffy).
- Correctly handled the case of overlapping strike regions for
caps and floors in experimental CPI cap/floor term price surface
(thanks to Peter Caspers).
- Fixed calculation of seasonality correction for interpolated
inflation indexes (thanks to Francis Duffy).
- Implemented composite zero-yield curve as combination of two
existing curves via a given binary function (thanks to Francois
Botha).
- Fixed interpolation of shift in swaption volatility matrix
(thanks to Peter Caspers).
DATE/TIME
- Updated Chinese calendar for 2018 (thanks to Cheng Li).
- Added Botswana calendar (thanks to Francois Botha).
- Fixed a few problems with US calendars (thanks to Mike DelMedico
and to GitHub user ittegrat).
- User-added holidays now work correctly when intraday
calculations are enabled (thanks to Klaus Spanderen for the fix
and to GitHub user volchemist for the report).
MATH
- Fixed monotonicity of Fritsch-Butland and prevented NaNs in some
cases (thanks to GitHub user Grant6899 for the fix and to Tom
Anderson for the report).
DEPRECATED FEATURES
- The ChiSquareDistribution, NonCentralChiSquareDistribution,
InverseNonCentralChiSquareDistribution and GammaDistribution
were renamed to CumulativeChiSquareDistribution,
NonCentralCumulativeChiSquareDistribution,
InverseNonCentralCumulativeChiSquareDistribution and
CumulativeGammaDistribution, respectively (thanks to GitHub user
IGonza). The old names are still available as typedefs and will
be removed in a future release.
Thanks go also to Marco Craveiro, Dirk Eddelbuettel, Lakshay Garg,
Guillaume Horel, Alix Lassauzet, Patrick Lewis, and GitHub users
bmmay, bingoko and tournierjc for smaller fixes and enhancements.
Release 1.11 - October 2nd, 2017
PORTABILITY
- This is the last version of QuantLib to support the now obsolete
Dev-C++ IDE with a maintained project file. The project will be
removed in next release.
INSTRUMENTS AND PRICING ENGINES
- Added ISDA pricing engine for credit default swaps (thanks to
Guillaume Horel, Jose Aparicio and Peter Caspers).
- Added Andersen-Piterbarg engine for the Heston model (thanks to
Klaus Spanderen).
- Improved experimental vanna-volga engine for double-barrier
knock-in options (thanks to Giorgio Pazmandi).
- Added theta calculation to experimental Kirk spread-option
engine (thanks to Krzysztof Wos).
CASH FLOWS
- Added optional payment lag to fixed, floating and OIS legs
(thanks to Fabrice Lecuyer and Joseph Jeisman).
- Fixed yield calculation with 30/360 US day count convention and
settlement on the 31st of the month (thanks to Frank Xue).
MODELS
- Added adaptive successive over-relaxation method for implied
volatility calculation (thanks to Klaus Spanderen).
INDEXES
- Fixed day-count convention and spot lag for CAD LIBOR (thanks to
Oleg Kulkov).
TERM STRUCTURES
- Optionally optimize setting up OIS helpers (thanks to Peter
Caspers).
DATE/TIME
- Added Actual/365 Canadian day count convention (thanks to Andrea
Maggiulli).
MATH
- Added GMRES iterative solver for large linear systems (thanks to
Klaus Spanderen).
- Updated Hong Kong calendar up to 2020 (thanks to Nicholas
Bertocchi and Alix Lassauzet).
BUILD
- Added configure switch to enable unity build.
TEST SUITE
- Added --fast and --faster flags to the test-suite executable.
When passed, slower tests are discarded so that the test suite
runs in just a few minutes.
DEPRECATED FEATURES
- Remove the HestonExpansionEngine::numberOfEvaluations method
(deprecated in version 1.9).
- Remove the MixedLinearCubicInterpolation and MixedLinearCubic
constructors not specifying the behavior of the mixed
interpolation (deprecated in version 1.8).
- Remove deprecated overloads of the Swaption::impliedVolatility
and CapFloor::impliedVolatility methods (deprecated in version
1.9).
- Remove NoArbSabrModel::checkAbsorptionMatrix method (deprecated
in version 1.8.1).
Release 1.10.1 - August 31st, 2017
%QuantLib 1.10.1 is a bug-fix release for version 1.10.
- Prevented a name clash when using the newly-released Boost 1.65.0
with g++ 6.3.
- Added a few missing function declarations in the
SwaptionVolatilityStructure class (thanks to Peter Caspers).
Release 1.10 - May 16th, 2017
PORTABILITY
- Added support for the recently released Visual Studio 2017.
- Unified Visual Studio solution file. The provided QuantLib.sln
file works for all versions from 2010 to 2017.
- Added support for the recently released Boost 1.64.0 (thanks to
Klaus Spanderen).
- Converted non-ASCII characters in source files to UTF-8; this
should make them work with most editors (thanks to Krzysztof Woś
and Jose Aparicio).
- Fixed some compilation issues with older versions of the Sun CC
compiler and with the gcc 3.4 series. The offending code has
simply been disabled; when using those compilers, is also
suggested to downgrade Boost to an older version since more
recent ones can give problems. Boost 1.54.0 was reported to
work. It is likely that no further support will be given to
these compilers in future releases.
INSTRUMENTS AND PRICING ENGINES
- Added Heston pricing engine based on Fourier-Cosine series
expansion (thanks to Klaus Spanderen).
- Added cash annuity model in Black swaption engine (thanks to
Peter Caspers, Werner Kuerzinger and Paul Giltinan).
- Add an optional exogenous discount curve to analytic Black
European option engine (thanks to Paul Giltinan).
MODELS
- Added collocating local-volatility model (thanks to Klaus
Spanderen).
- Optionally disable Feller constraint in Cox-Ingersoll-Ross model
(thanks to Oleksandr Khomenko).
INTEREST RATES
- Allow using an arbitrary solver to calculate yield (thanks to
Daniel Hrabovcak).
- Update handling of July 4th for US LIBOR fixings (thanks to Oleg
Kulkov).
- Added CompoundingThenSimple convention (thanks to Martin Ross).
INFLATION
- Use the lagged reference period to interpolate inflation fixings
(thanks to Francois Botha).
VOLATILITY
- Reduce the memory footprint of OptionletStripper1 (thanks to
Matthias Lungwitz)
DATE/TIME
- Updated Chinese calendar for 2017 (thanks to Cheng Li).
- Added CDS2015 date-generation rule with the correct semiannual
frequency (thanks to Guillaume Horel).
- The Iceland calendar used to incorrectly adjust New Year's Day
to the next Monday when falling on a holiday. That's now fixed
(thanks to Stefan Gunnsteinsson for the heads-up).
- Fixed bug that prevented correct calculation of an ECB date on
the first day of a month (thanks to Nicholas Bertocchi).
- Fixed bug in Schedule that ignored end-of-month convention when
calculating reference dates for irregular coupons (thanks to
Ryan Taylor).
- Allow passing a schedule to Actual/Actual day counter for
correct calculation of reference dates (thanks to Ryan Taylor).
MATH
- Added harmonic spline interpolation (thanks to Nicholas Bertocchi).
EXAMPLES
- Added examples for global optimizers (thanks to Andres Hernandez).
DEPRECATED FEATURES
- Removed the SwaptionHelper constructors not taking an explicit
volatility type (deprecated in version 1.8).
- Removed the SwaptionVolatilityMatrix constructors not taking an
explicit volatility type (deprecated in version 1.8).
- Removed the BlackSwaptionEngine constructor overriding the
displacement from the given volatility structure (deprecated in
version 1.8).
- Removed the FlatSmileSection and InterpolatedSmileSection
constructors not taking an explicit volatility type (deprecated
in version 1.8).
- Removed the RiskyAssetSwapOption constructor taking a side
(deprecated in version 1.8).
POSSIBLY BREAKING CHANGES
- The constructors of a few Libor-like indexes were made
explicit. This means that code such as the following, which used
to compile, will now break. That's probably a good thing.
\code
Handle forecast_curve;
Euribor6M index = forecast_curve;
\endcode
Release 1.9.2 - February 27th, 2017
%QuantLib 1.9.2 is a bug-fix release for version 1.9.1.
- Prevented errors in yield-curve bootstrapping tests due to an
incorrect test setup (thanks to Peter Caspers for the heads-up).
Release 1.9.1 - January 5th, 2017
%QuantLib 1.9.1 is a bug-fix release for version 1.9.
- Prevented a linking error when multiple compilation units
included the global ql/quantlib.hpp header (thanks to Dirk
Eddelbuettel).
- Prevented a compilation error with gcc 4.4 on RedHat (thanks to
GitHub user aloupos for the heads-up).
- Prevented a compilation error with the parallel unit runner and
the recently released Boost 1.63.0.
Release 1.9 - November 8th, 2016
PORTABILITY
- Dropped support for Visual C++ 8 (2005). As of April 2016, the
compiler is no longer supported by Microsoft.
- Allow the parallel test runner to work with Boost 1.62 (thanks
to Klaus Spanderen for the fix and to Andrei Borodaenko for the
heads-up).
INTEREST RATES
- Allow negative jumps in interest-rate curves. Previously, trying
to pass one would result in an exception (thanks to Leanpub
reader Jeff for the heads-up).
- Added BBSW and Aonia indexes from Australia and BKBM and NZOCR
indexes from New Zealand (thanks to Fabrice Lecuyer).
VOLATILITY
- Added normal implied-volatility calculation to caps/floors
(thanks to Paolo Mazzocchi).
INSTRUMENTS
- Fix a scenario in which a `CompositeInstrument` instance would
stop receiving notifications (thanks to Peter Caspers for the
heads-up).
- Added a few safety checks to the CVA swap engine (thanks to
Andrea Maggiulli).
- Auto-deactivate Boyle-Lau optimization for barrier options when
not using a CRR tree (thanks to Riccardo Ghetta).
DATE/TIME
- Changed data type for `Date` serial numbers to `int_fast_32t` to
improve performance of date calculations (thanks to Peter
Caspers).
- Added ECB maintenance period dates for 2017 (thanks to Paolo
Mazzocchi).
- Fixed rule for the Japanese Mountain Day holiday (thanks to
Eisuke Tani).
- Fixed United States holidays before 1971 (thanks to Nick Glass
for the heads-up).
- Added a missing Chinese holiday (thanks to Cheng Li).
- Ensure correct formatting when outputting dates (thanks to Peter
Caspers).
NEW OPT-IN FEATURES
These features are disabled by default and can be enabled by
defining a macro or passing a flag to `./configure`. Feedback is
appreciated.
- Enable thread-safe singleton initialization (thanks to GitHub
user sdgit). The feature can be enabled by uncommenting the
`QL_ENABLE_SINGLETON_THREAD_SAFE_INIT` macro in
`ql/userconfig.hpp` on Visual C++ or by passing the
`--enable-thread-safe-singleton-init` to `./configure` on other
systems.
EXPERIMENTAL FOLDER
The `ql/experimental` folder contains code whose interface is not
fully stable, but is released in order to get user feedback.
Experimental classes make no guarantees of backward compatibility;
their interfaces might change in future releases.
Changes and new contributions for this release were:
- OIS with arithmetic average (thanks to Stefano Fondi). A
corresponding bootstrap helpers is also available.
- a function to calculate multi-curve sensitivities (thanks to
Michael von den Driesch).
Release 1.8.1 - September 23rd, 2016
%QuantLib 1.8.1 is a bug-fix release for version 1.8.
- A test failure with Visual C++ 14 (2015) was avoided. Up to
VC++14 update 2, the compiler would inline a call to std::min
and std::max incorrectly causing a calculation to fail (thanks
to Ivan Cherkasov for the heads-up).
- A test failure with the upcoming Boost 1.62 was avoided. A
QuantLib test was checking for the stored value of a hash whose
value changed in Boost 1.62.
- Miscellaneous fixes for the g1d swaption engine and instrument
(thanks to Peter Caspers).
- Whit Monday was no longer a holiday in Sweden since 2005 (thanks
to Stefano Fondi).
- A new holiday for election day 2016 was added to the South
African calendar (thanks to Jasen Mackie).
- A few missing CMakeLists were added to the distributed release
(thanks to izavyalov for the heads-up).
- An irregular last period in a schedule was not reported as such
(thanks to Schmidt for the heads-up).
Release 1.8 - May 18th, 2016
PORTABILITY
- The minimum required Boost version is now Boost 1.43 (May
2010). However, it is strongly suggested to use a recent
version, or at least Boost 1.48 (November 2011).
- Added initial CMake support (thanks to Dmitri Nesteruk). This
makes it possible to compile %QuantLib on CLion and other
CMake-based tools.
- The build now generates and installs pkg-config file on Linux
systems (thanks to GitHub user njwhite).
INTEREST RATES
- Fixed links to documentation for LIBOR indexes (thanks to Jose
Magana).
VOLATILITY
- Added the possibility to price swaptions and to calculate their
implied volatilities in a Black-like model with normal
volatilities as well as shifted lognormal (thanks to Peter
Caspers).
- Added the possibility to price caps in a Black-like model with
normal volatilities as well as shifted lognormal (thanks to
Michael von den Driesch).
- Caplet strike is correctly recomputed during stripping (thanks
to Michael von den Driesch).
INSTRUMENTS
- Added basic CVA IRS pricing engine (stand alone, no portfolio;
no WWR, no collateral). Thanks to Jose Aparicio.
MODELS
- Black-Scholes processes now return the closed-formula
expectation, standard deviation and variance over long periods
(thanks to Peter Caspers).
CURRENCIES
- Added Ukrainian hryvnia (thanks to GitHub user
maksym-studenets).
MONTE CARLO
- Use different random-number generators for calibration and
pricing in Longstaff-Schwartz engine (thanks to Peter Caspers).
DATE/TIME
- Added forecast dates for moving holidays to Saudi Arabia
calendar up to 2022 (thanks to Jayanth R. Varma).
- Added new Ukrainian holiday, Defender's Day (thanks to GitHub
user maksym-studenets).
- Added a few more holidays for South Korea (thanks to Faycal El
Karaa).
MATH
- Added mixed log interpolation (thanks to GitHub user sfondi).
- Avoid mixing different types while bit-shifting in fast Fourier
transform on 64-bit systems (thanks to Nikolai Nowaczyk).
DEPRECATED FEATURES
- Removed `DateParser::split` method (deprecated in version 1.6).
TEST SUITE
- The test suite is now run with a fixed evaluation date instead
of using today's date. This helps avoid transient errors due to
holidays. It is still possible to use today's date (or any other
date) by running it as:
\code
quantlib-test-suite -- --date=today
\endcode
or
\code
quantlib-test-suite -- --date=2016-02-08
\endcode
(Thanks to Peter Caspers.)
NEW OPT-IN FEATURES
- Added a parallel unit-test runner (thanks to Klaus
Spanderen). This was successfully used under Linux, but problems
were reported on Mac OS X and occasionally on Visual C++ 2010.
The feature requires Boost 1.59 or later and can be enabled by
uncommenting the `QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER` macro in
`ql/userconfig.hpp` on Visual C++ or by passing the
`--enable-parallel-unit-test-runner` to `./configure` on other
systems.
EXPERIMENTAL FOLDER
- Stochastic local-volatility Heston model, (thanks to Klaus
Spanderen and Johannes Göttker-Schnetmann). Both a Monte Carlo
and a finite-difference calibration and calculation are
provided.
- Laplace interpolation (thanks to Peter Caspers).
- Global optimizers: Hybrid Simulated Annealing, Particle Swarm
Optimization, Firefly Algorithm, and Differential Evolution
(thanks to Andres Hernandez).
- A SVD-based calculation of the Moore-Penrose inverse matrix
(thanks to Peter Caspers).
Release 1.7.1 - January 18th, 2016
%QuantLib 1.7.1 is a bug-fix release for version 1.7.
- an unneeded dependency on the Boost.Thread library had slipped into
version 1.7. It is now removed (thanks to GitHub user MattPD).
- Trying to build a schedule with a 4-weeks tenor would fail. This is
now fixed (thanks to GitHub user smallnamespace for the heads-up).
- A couple of errors in the list of past holidays for the Russian MOEX
calendar was fixed, and the list of holidays for 2016 was added
(thanks to Dmitri Nesteruk).
- Chinese holidays for 2016 were updated (thanks to Cheng Li).
- The correct curve is now used when calculating the at-the-money swap
rate while building swaptions (thanks to Peter Caspers).
Release 1.7 - November 23rd, 2015
INTEREST RATES
- Added rate helper to bootstrap on cross-currency swaps (thanks
to Maddalena Zanzi). The curve to be bootstrapped can be the one
for either of the two currencies.
- Added the possibility for bootstrap helpers to define their
pillar date in different ways (thanks to Paolo Mazzocchi). For
each helper, the date of the corresponding node can be defined
as the maturity date of the corresponding instrument, as the
latest date used on the term structure to price the instrument,
or as a custom date. Currently, the feature is enabled for FRAs
and swaps.
- Added the possibility to pass weight when fitting a bond
discount curve. Also, it is now possible to fit a spread over an
existing term structure (thanks to Andres Hernandez).
INFLATION
- Added Kerkhof seasonality model (thanks to Bernd Lewerenz).
- Retrieve inflation fixings from the first day of the month
(thanks to Gerardo Ballabio). This avoids the need to store them
for each day of the corresponding month.
VOLATILITY
- Improve consistency between caplet stripping and pricing (thanks
to Michael von den Driesch)
INSTRUMENTS
- Fixed usage of dividend yield in double-barrier formula (Thanks
to Dean Raf for the heads-up).
- Fixed perturbation formula for barrier options.
MODELS
- Refine update behavior of GSR model. Depending on the market
change, only the appropriate recalculations are performed
(thanks to Peter Caspers).
- Improve calibration of Heston model (thanks to Peter Caspers).
MONTE CARLO
- Added the possibility to return the estimated exercise
probability from a Longstaff-Schwartz engine (thanks to Giorgio
Pazmandi).
SETTINGS
- Added the possibility to temporarily disable notifications to
observers (thanks to Chris Higgs). When re-enabled, any pending
notifications are sent.
DATE/TIME
- Added Romanian and Israelian calendars (thanks to Riccardo
Barone).
- Added ECB reserve maintenance periods for 2016 (thanks to Paolo
Mazzocchi).
- Updated South Korean calendar until the end of 2032 (thanks to
Paolo Mazzocchi and Faycal El Karaa).
- Added new Mountain Day holiday for Japan (thanks to Aaron
Stephanic for the heads-up).
- Remove MLK day from list of US holidays before 1983 (thanks to
John Orford for the heads-up).
- Added Christmas Eve to BOVESPA holidays (thanks to Daniel Beren
for the heads-up).
MATH
- Added polynomial and abcd functions.
- Added Pascal triangle coefficients.
- Replaced home-grown implementation of incremental statistics
with Boost implementation (thanks to Peter Caspers).
- Added Goldstein line-search method (thanks to Cheng Li).
NEW OPT-IN FEATURES
- Added intraday component to dates (thanks to Klaus Spanderen).
Date specifications now include hours, minutes, seconds,
milliseconds and microseconds. Day counters are aware of the
added data and include them in results.
The feature can be enabled by uncommenting the
`QL_HIGH_RESOLUTION_DATE` macro in `ql/userconfig.hpp` on Visual
C++ or by passing the `--enable-intraday` flag to `./configure`
on other systems.
- Added thread-safe implementation of the Observer pattern (thanks
to Klaus Spanderen). This can be used to avoid crashes when
using %QuantLib from languages (such as C# or Java) that run a
garbage collector in a separate thread.
The feature requires Boost 1.58 or later and can be enabled by
uncommenting the `QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN` macro
in `ql/userconfig.hpp` on Visual C++ or by passing the
`--enable-thread-safe-observer-pattern` to `./configure` on
other systems.
Release 1.6.2 - September 2015
%QuantLib 1.6.2 is a compatibility release. It solves an ambiguous
name resolution in the test-suite code when Visual Studio and the
newly released Boost 1.59.0 are used together.
The library code did not change.
Release 1.6.1 - August 3rd, 2015
%QuantLib 1.6.1 is a compatibility release. It adds out-of-the-box
support for the newly released Visual Studio 2015, and avoids use
of deprecated Boost macros that will be removed in the upcoming
Boost 1.59.0 release.
Release 1.6 - June 23rd, 2015
PORTABILITY
- Enable successful compilation with Boost 1.58 and either gcc or clang.
- Enable multi-processor compilation on Visual C++ as a project switch
(thanks to Giorgio Pazmandi).
DATE/TIME
- Added Moscow Exchange calendar (thanks to Dmitri Nesteruk).
- Added 70th anniversary of anti-Japanese day to Chinese calendar
(thanks to Cheng Li).
- Fixed Chinese New Year date for 2010 (thanks to Cheng Li).
- Added nearest-trading-day business day convention (thanks to
Francois Botha).
- Prevented normalization of a 7-days period to a 1-week period, since
this doesn't apply to business days (thanks to Paolo Mazzocchi).
- Allowed schedules built with a vector of dates to be used for coupon
generation, given that the required information was provided (thanks
to Peter Caspers).
- Added support for Australian Security Exchange (ASX) dates (thanks
to Maddalena Zanzi).
- Added ECB dates for April and June 2016 (thanks to Paolo Mazzocchi).
INSTRUMENTS
- Extended digital American options to handle knock-off case (thanks
to Riccardo Ghetta).
- Extended barrier options to handle KIKO/KOKI barriers (thanks to
Riccardo Ghetta).
- Added Ikeda/Kunitomo engine, binomial engine and binary/digital
engine for double-barrier option (thanks to Riccardo Ghetta).
- Added Bachelier engine for caps/floors based on normal volatility
(thanks to Michael von den Driesch).
- Allowed non strike/type payoffs in finite-differences engine for
vanilla options (thanks to Joseph Wang).
- Fixed settlement days of BTP bonds.
- Fixed generation of schedule for OIS and vanilla swaps.
- Added support for ASX dates to futures rate helper (thanks to
Maddalena Zanzi).
MODELS
- Moved Markov functional model, GSR model, Gaussian 1D model and
related engines, processes and term structures from the experimental
folder to the code library (thanks to Peter Caspers).
CASH FLOWS
- Added CMS-spread coupons, including digital (thanks to Peter Caspers).
INDEXES
- Added CMS-spread index (thanks to Peter Caspers).
- Fixed day-count convention for Fed Funds rate.
TERM STRUCTURES
- Fixed bug where a valid previous curve state could be a bad guess
for the next and lead to a bootstrap failure.
- Allow negative adjustment for futures rate helpers (thanks to Paolo
Mazzocchi).
VOLATILITY
- Added support for normal and displaced lognormal volatility to
optionlet stripper (thanks to Michael von den Driesch).
- Allowed calibration of the alpha of the SABR model to the ATM point
while keeping beta, nu and rho fixed (thanks to Peter Caspers).
- Added Chambers-Nawalkha implied-volatility approximation (thanks to
Peter Caspers).
- Added displaced lognormal swaption volatilities (thanks to Peter
Caspers).
- Allowed the optionlet boostrap to continue if one caplet can no be
matched (thanks to Peter Caspers).
- Added flat-extrapolation option to swaption ATM volatility matrix
(thanks to Peter Caspers).
- Implied swaption volatility cube for Gaussian 1-D model (thanks to
Peter Caspers).
MATH
- Allowed user-defined Jacobian in optimization (thanks to Peter Caspers).
MISCELLANEA
- Added IDR, MYR, RUB and VND currencies (thanks to Lucy King).
DEPRECATED FEATURES
- Removed deprecated methods and constructors from the
BlackVarianceTermStructure, BlackVolTermStructure,
CapFloorTermVolatilityStructure, DateParser,
FittedBondDiscountCurve, GeneralLinearLeastSquares, Handle,
LocalVolTermStructure, OptionletVolatilityStructure, Settings,
SwaptionVolatilityStructure and VolatilityTermStructure classes.
EXPERIMENTAL FOLDER
- Finite-difference meshers based on multi-dimensional integrals
(thanks to Klaus Spanderen).
- SVI interpolation and a corresponding smile section (thanks to Peter
Caspers).
- ZABR volatility model (thanks to Peter Caspers).
Release 1.5 - February 10th, 2015
PORTABILITY
- Unified project files for Visual Studio 10 and above. Different
solutions are still provided for Visual Studio 10, 11 and 12.
DATE/TIME
- Added China Inter-Bank calendar (thanks to Cheng Li).
- Added half-month modified following convention (thanks to Paolo
Mazzocchi).
- Added a few more historical closings for NYSE.
- Updated the Hong Kong and China calendar for 2015.
- Updated list of ECB dates up to the first two dates for 2016 (thanks
to Paolo Mazzocchi).
INSTRUMENTS
- Improved Storage and Swing engine (thanks to Klaus Spanderen).
- Fixed behavior of the Bjerksund Stensland engine for very small
volatilities (thanks to Klaus Spanderen).
- Add Heston expansion engine for European options (thanks to Fabien
Le Floc'h).
- Caps, floors and swaptions can use a displacement in
implied-volatility calculation.
- Added partial-time fixed and floating strike lookback options
(thanks to Francois Botha).
- Added binary barrier options (thanks to Riccardo Ghetta).
- Added binomial engine for barrier options (thanks to Riccardo Ghetta).
- Added Vecer engine for continuous-averaging Asian options (thanks to
Bernd Lewerenz).
CASH FLOWS
- Added ex-coupon feature to fixed-rate bonds, CPI bonds and bond
helpers (thanks to Francois Botha).
- Fix calculation of sinking notionals when the coupon rate is very
near 0 (thanks to Cheng Li).
INDEXES
- Added Shanghai Inter-bank Offering Rate index (thanks to Cheng Li).
- Added Fed Fund index.
- Added South-African CPI (thanks to Francois Botha).
TERM STRUCTURES
- Improvement to CMS market calibration: enabled use of general coupon
pricers, added calibration to a term structure of betas (thanks to
Peter Caspers).
- InterpolatedZeroCurve can be passed rates with any compounding
convention and frequency (thanks to Alexandre Radicchi).
- Bond helpers can now use quotes for either clean or dirty prices
(thanks to Francois Botha).
- Added CPI bond helper (thanks to Francois Botha).
- Better handling in rate helpers of evaluation dates which are not
business dates.
- Spreaded curves allow extrapolation if their underlying curve does
(thanks to Peter Caspers).
- Fixed inflation-rate interpolation (thanks to Amine Ifri).
MATH
- Added generation of student-t distributed random numbers
(thanks to Jose Aparicio).
- Added Folin's integration methods (thanks to Klaus Spanderen).
- Added mixed backward-flat/linear interpolation (thanks to Peter
Caspers).
- Improved performance of matrix multiplication (thanks to Peter
Caspers).
- Fixed wrong primitive calculation in mixed interpolation (thanks to
Peter Caspers).
- Fixed corner case for finite-difference Newton solver leading to
infinite derivative (thanks to Peter Caspers).
- Added Maddock's cumulative normal distribution (thanks to Klaus
Spanderen).
- Added bivariate cumulative student t distribution (thanks to Michal
Kaut).
LATTICES
- Calculate option delta/gamma on binomial trees using Hull formulas
(thanks to Riccardo Ghetta).
MISCELLANEA
- A number of small performance improvements (thanks to Michael Sharpe).
EXAMPLES
- Added example for Gaussian 1-D models (thanks to Peter Caspers).
- Added examples for latent models and basket losses (thanks to Jose
Aparicio).
- Added example for multi-dimensional integral (thanks to Jose Aparicio).
DEPRECATED CLASSES
- Removed deprecated Domain and Surface classes.
EXPERIMENTAL FOLDER
- Extended credit risk plus model (thanks to Peter Caspers).
- No-arbitrage Sabr model with corresponding volatility-cube, smile
section and interpolation classes (thanks to Peter Caspers).
- A number of latent models for basket losses (thanks to Jose Aparicio).
- Complex chooser option (thanks to Nathan Kruck, Ahmed Ayadi and
Nolan Potier from the IMAFA program at Polytech'Nice Sophia).
- Holder-extensible option (thanks to Nathan Kruck, Ahmed Ayadi and
Nolan Potier from the IMAFA program at Polytech'Nice Sophia).
- Partial-time barrier option (thanks to Nathan Kruck, Ahmed Ayadi and
Nolan Potier from the IMAFA program at Polytech'Nice Sophia).
- Two-asset correlation option (thanks to Ilyas Rahbaoui and Driss
Aouad from the IMAFA program at Polytech'Nice Sophia).
Release 1.4.1 - November 17th, 2014
%QuantLib 1.4.1 is a compatibility release. It fixes a number of
compilation errors that surfaced when using %QuantLib 1.4 with
Clang 3.5 and Boost 1.57. Thanks to Tim Smith for the heads-up.
If you are not using Clang, you don't need to upgrade from
%QuantLib 1.4 to 1.4.1.
Release 1.4 - February 26th, 2014
PORTABILITY
- Boost 1.39 or later is now required.
We felt this could be enforced without causing grief to
virtually anyone, given that 1.39 was released back in May 2009.
We don't expect many people being stuck with an earlier version.
This allows one to use make_shared to create shared_ptr
instances, which has a number of advantages. Unfortunately, the
C++03 implementation (which is still used by a number of older
compiler that we're supporting) only allows a maximum of 9
constructor arguments, so we won't be able to use it everywhere.
- Support for Visual C++ 2003 (VC++7) was dropped.
The compiler is now more than 10 years old and no longer
supported by Microsoft. Keeping the support is not worth the
time and effort required. Anybody who is still stuck with this
compiler and needs the support can fork the repository and
maintain the changes.
- Specific support for Visual C++ 2013 (VC++12) is not yet
available; however, version checks in the code were relaxed so
that one can import and convert the VC++11 solution without
causing errors when auto-linking the generated libraries.
- Fixed Clang warnings.
- Use deprecated attribute of supported compilers.
This replaces the QL_DISABLE_DEPRECATED mechanism that
conditionally removes the features and causes the compiler
itself to emit warnings if the features are used. The user
can enable or disable the warnings by the means provided by
the compiler.
- Allow singletons to work under Visual C++ when CLR is enabled
(thanks to Simon Shakeshaft).
- Fixed compilation errors when using STLport (thanks to Marcello
Pietrobon for the heads-up).
CONFIGURATION
- Added switch to enable OpenMP-based parallelism (thanks to
Joseph Wang). Currently, this is only used in a few loops in
the finite-differences and tree frameworks.
DATE/TIME
- Added Diamond Jubilee bank holiday to UK calendar.
- Added Royal Wedding bank holiday to UK calendar (thanks to
Whit Armstrong for the heads-up).
- Added utilities to parse and format a date with the extended
format implemented in Boost.Date (thanks to Michael von den
Driesch). The previous parsing utility was deprecated.
- Added Actual/365 (No Leap) day counter (thanks to Nick Glass).
- Updated most moving holidays for 2014.
- Fixed a Schedule bug where a combination of backwards generation
and end-of-month convention would result in missing or
duplicated dates (thanks to Nicholas Manganaro for the heads-up).
INSTRUMENTS
- Fixed Delta and Gamma calculation in Ju quadratic engine (thanks
to Fabien Le Floc'h).
- Improved calculation in finite-differences Asian options when
the running average is much greater than the forward value
(thanks to Klaus Spanderen).
- Fixed Theta issue for some American FDM engines (thanks to Klaus
Spanderen).
- Fix annuity computation for CMS coupons (thanks to Peter Caspers).
- Enabled case r=0 in Barone-Adesi/Whaley approximation engine
(thanks to Klaus Spanderen).
- When building a swaption with MakeSwaption, use the fixed tenor
of the underlying swap index if none is given explicitly.
MODELS
- Allow for calibration of just a subset of a model's parameters.
Pre-built constraint are provided for calibration of an
Hull-White model while fixing the mean reversion, and for
calibration of a Markov functional model while fixing the first
component of the piecewise volatility. (Thanks to Peter Caspers.)
- Allow recalculation of exercise and end dates in swaption and
cap helpers when the evaluation date changes (thanks to Peter
Caspers).
- Allowed negative strikes in BlackFormula, as long as the strike
plus the displacement is still positive (thanks to Peter
Caspers).
- Added calculation of implied volatility from Bachelier price in
BlackFormula (thanks to Gary Kennedy).
- Added Broadie-Kaya exact simulation schema to Heston model
(thanks to Klaus Spanderen).
- Fixed upper/lower bound calculation for internal constraint in
calibrated model (thanks to Peter Caspers).
CASH FLOWS
- Added support for ex-coupon dates to cashflow calculations
(thanks to Nick Glass). Currently, ex-coupons dates can be
specified for fixed rate bonds.
- Fixed calculation of duration and convexity when using
Act/Act(ISMA) (thanks to Nick Glass).
INDEXES
- Fixed IborCoupon construction with null fixing days.
The coupon was used the passed fixing days instead of the ones
previously processed by the base class constructor (thanks to
Lisa Ann and Gerardo Ballabio for the heads-up).
- Add a clone() method to SwapIndex which allows to change the
tenor (thanks to Peter Caspers).
- Ignore inflation-index fixings stored at dates later than the
evaluation date.
- Added utility class for creating custom Region instances to be
passed to inflation indexes.
TERM STRUCTURES
- Prevent some errors when linking a null term structure to a Handle.
When settings a null term structure to a Handle used as an
underlying for another curve (say, a zero-spreaded curve), the
latter tries to reset the jumps in the base class and fails.
This error is now trapped. (Thanks to Christoph Breig for
the heads-up.)
- Fix interpolation of option dates in SwaptionVolatilityDiscrete
and derived classes when evaluation date changes (thanks to Shen
Hui).
- Piecewise-spreaded curve can now choose interpolation (thanks to
Mario Aleppo).
MATH
- Extended Sobol direction numbers up to 21200 dimensions with Joe
Kuo 6 searching rule (thanks to Cheng Li).
- Added class for two-dimensional integration (thanks to Klaus
Spanderen).
- Added Maddock inverse-cumulative normal distribution from Boost
(thanks to Klaus Spanderen).
- Added modified Bessel functions (thanks to Klaus Spanderen).
EXPERIMENTAL FOLDER
- Deprecated features were removed from experimental code.
- Added initial implementation of catastrophe bond (thanks to
Grzegorz Andruszkiewicz).
- Added Vanna/Volga pricing engine for FX barrier options.
Engines were provided for both single- and double-barrier FX
options. An analytic engine was also provided for double-barrier
equity options (thanks to Yue Tian).
- Added Hagan pricing engine for irregular swaptions (thanks to
Andre Miemiec).
- Added simulated-annealing optimizer (thanks to Peter Caspers).
- Added rebated exercise class (thanks to Peter Caspers).
- Added pricing engine for arbitrary European payoffs under the
Heston model (thanks to Klaus Spanderen).
- Added linear terminal swap rate model pricer for CMS coupons
(thanks to Peter Caspers).
- Reorganized functional Markov model. Added one-factor GSR
model, and float/float swap and swaption with a number of
corresponding engines. (Thanks to Peter Caspers.)
- The Levy engine for continuous-averaging Asian option now checks
that the averaging period doesn't start in the future. Also, it
allows the b=0 case that would raise an exception until now.
(Thanks to Klaus Spanderen.)
- Convertible bond now updates correctly when any of its
observables changes.
- Extended generalized Hull-White model (thanks to Cavit Hafizoglu).
The model now allows to choose the mapping function between short
rate and state variable, and includes the case of constant
parameters.
Release 1.3 - July 24th, 2013
PORTABILITY
- Enabled g++ compilation in C++11 mode.
- Added VC++11 projects (thanks to Edouard Tallent).
- Added x64 target to VC++10 and VC++11 projects (thanks to Johannes
Göttker-Schnetmann).
- Removed most level-4 warnings in VC++ (thanks to Michael Sharpe).
- Removed warnings in VC++ when compiling for the x64 platform (thanks
to Johannes Göttker-Schnetmann).
DATE/TIME
- Fixed holiday for Japanese calendar (thanks to Sebastien Gurrieri).
- Added Epiphany (introduced in 2011) to Polish calendar (thanks to
katastrofa).
- Updated South-Korean calendar for 2013 (thanks to Faycal El Karaa).
- Updated Chinese calendar for 2012 (thanks to Cheng Li).
- Updated calendar for 2013 for China, Hong Kong, India, Indonesia,
Singapore, Taiwan and Turkey.
- Fixed a few Mexican holidays.
- Prevented out-of-bound access to degenerate schedule.
INSTRUMENTS
- Finite-difference Bermudan swaption engines for the G2++ and the
Hull-White models (thanks to Klaus Spanderen).
- Added analytic Heston-Hull-White pricing engine for vanilla option
using the H1HW approximation (thanks to Klaus Spanderen).
- Managed underlying start delay in Jamshidian swaption engine (thanks
to Peter Caspers).
MODELS
- Added calibration to GARCH model (thanks to Slava Mazur).
- Fixed forward-looking bias in Garch11 calculation (thanks to Slava
Mazur).
CASH FLOWS
- Use correct default for evaluation date in a few CashFlows methods
(thanks to Peter Caspers).
- Yield-based NPV calculation now uses coupon reference dates; this
fixes small discrepancies when using day counters such as ISMA
act/act (thanks to Henri Gough and Nick Glass).
- Fixed start and end dates for convexity adjustment of in-arrears
floating-rate coupon (thanks to Peter Caspers).
INDEXES
- Added inspector for the joint calendar used by Libor indexes.
- Added method to clone a swap index with a different discount curve
(thanks to Peter Caspers).
TERM STRUCTURES
- Fixed degenerate case for ABCD volatility (thanks to Peter Caspers).
- Relaxed extrapolation check for default-probability curves. When
calculating default probabilities between two dates or times, allow
the first to precede the reference date. This effectively assumes
that the default probability before the reference is null, and helps
in cases where a coupon protection extends a couple of days before
the reference due to adjustments (for instance, when the protection
starts on a Saturday and the reference is rolled to the following
Monday).
- Pass correct ATM forward rate to smile section of InterpolatedSwaptionVolatilityCube
(thanks to Peter Caspers).
- Added exogenous discount to OptionletStripper1 (thanks to Peter
Caspers).
MATH
- Added Sobol brownian-bridge random sequence generator (thanks to
Klaus Spanderen).
- Added Richardson-extrapolation utility for numerical methods (thanks
to Klaus Spanderen).
- Added differential evolution optimizer (thanks to Ralph Schreyer and
Mateusz Kapturski).
- Added special case to close()/close_enough() when either value is 0;
previously, they would always return false which could be surprising
(thanks to Simon Shakeshaft for the fix).
- Fixed Gamma distribution tail (thanks to Ian Qsong).
- Ensure that the last function call inside a solver is passed the
root (thanks to Francis Duffy).
- Implemented Lagrange boundary condition for cubic interpolation
(thanks to Peter Caspers).
- Increased precision in tail of West's bivariate cumulative normal
(thanks to Fabien Le Floc'h).
- Improved calibration of SABR interpolation by allowing different
starting points (thanks to Peter Caspers).
- Moved FFT and autocovariance implementations from experimental
folder to core library.
FINITE DIFFERENCES
- Added time-dependent Dirichlet boundary condition (thanks to Peter
Caspers).
UTILITIES
- Implicit conversions of shared_ptr to bool are now explicit; they
have been removed in C++11 (thanks to Scott Condit).
EXPERIMENTAL FOLDER
The ql/experimental folder contains code which is still not fully
integrated with the library or even fully tested, but is released in
order to get user feedback. Experimental classes are considered
unstable; their interfaces might change in future releases.
New contributions for this release were:
- Two-asset barrier option and related engine (thanks to
IMAFA/Polytech'Nice students Qingxiao Wang and Nabila Barkati).
- ODE solver (thanks to Peter Caspers).
- Markov functional model (thanks to Peter Caspers).
Release 1.2.1 - September 10th, 2012
Bug-fix release.
Release 1.2 - March 6th, 2012
PORTABILITY
- Microsoft Visual C++ 2010 no longer needs to disable uBlas code.
- %QuantLib now ships with an updated specification file for
building RPMs (thanks to Matt Fair).
DATE/TIME
- When EOM was specified, a schedule's end date was moved to the
end of month even if the 'Unadjusted' convention was given.
This is now fixed.
- When a daily frequency was used, a schedule could end up
containing duplicated dates. This is now fixed (thanks to
Simone Medori for the bug report).
- Added method to return truncated schedule.
- Fixed Swedish Midsummer Eve's date (thanks to Gary Kennedy).
- Added South Korea holidays for 2011/2012 (thanks to Charles
Chongseok Hyun and Faycal El Karaa).
- Added holidays for 2011 to China, Hong Kong, India, Indonesia,
Saudi Arabia, and Taiwan calendars.
- Added ECB maintenance dates for 2012 and 2013.
- Greatly improved performance of business/252 day counter. The
previous implementation would count the business days between
two dates at each invocation. The new implementation caches
dynamically the count of business days for whole months and
years, so that after a while only the first and last few days
are counted.
INSTRUMENTS
- The AssetSwap instrument now supports non-par repayment.
- Added specialized class for Italian CCTEU (certificato di
credito del tesoro).
- Added CPI-linked swaps, bonds, and cap/floors.
CASH FLOWS
- Added CashFlows::npvbps() method to calculate NPV and BPS in a
single loop to improve performance.
INDEXES
- Better detection of forecast/past fixings for inflation indexes.
When an interpolated index is asked for a fixing at the
beginning of a month, the fixing for the following (which would
have zero weight in the interpolation) is no longer required.
Also, if a fixing is loaded in the index time series, it can be
used even its observation lag has not fully elapsed.
TERM STRUCTURES
- Vastly improved the performance of piecewise yield curve
bootstrap. Anchoring the evaluation date (see below) provides a
further improvement.
- Moved CPI-volatility interface from experimental folder to the
core library.
MATH
- Added Newton 1-D solver with finite difference derivatives.
- Improved interface for linear least-square regression (thanks to
Slava Mazur).
FINITE DIFFERENCES
- Added TR-BDF2 scheme (thanks to Fabien Le Floc'h).
- Moved stable parts of 2D finite-difference framework from the
experimental folder to the core library.
UTILITIES
- Added resetEvaluationDate() and anchorEvaluationDate() methods
to enable/disable change of evaluation date at midnight,
respectively. Anchoring the evaluation date also improves the
performance of some calculations.
PATTERNS
- Fixed possible problem in LazyObject notification logic. The
previous implementation would pass obsolete information to
observers that asked for data in their update() method (which is
not advised, but possible). This is no longer the case.
EXPERIMENTAL FOLDER
The ql/experimental folder contains code which is still not fully
integrated with the library or even fully tested, but is released
in order to get user feedback. Experimental classes are
considered unstable; their interfaces might change in future
releases.
New contributions for this release were:
- Spread option and related engine (thanks to IMAFA/Polytech'Nice
students Meryem Chibo and Samad Abdessadki).
- Writer-extensible option and related engine (thanks to
IMAFA/Polytech'Nice students Delphine Bouthier, Marine Casanova,
and Xavier Caron).
- Levy engine for continuous-averaging Asian options (thanks to
IMAFA/Polytech'Nice students Yasmine Lahlou and Amine Samani).
- Simple Virtual Power Plant and related finite-difference (FD)
engine (thanks to Klaus Spanderen).
- FD solver and vanilla spread engine for Kluge-Ornstein-Uhlenbeck
process (thanks to Klaus Spanderen).
- Added generic n-dimensional FD solver (thanks to Klaus Spanderen).
- Added FD pricing engine for a simple storage option based on an
exponential Ornstein Uhlenbeck process (thanks to Klaus
Spanderen).
- Added vanilla and swing option FD pricer for Kluge model (thanks
to Klaus Spanderen).
- Added FD pricing engine for a simple swing option based on the
Black-Scholes model (thanks to Klaus Spanderen).
Release 1.1 - May 23rd, 2011
PORTABILITY
- Added support for Microsoft Visual C++ 2010.
- Fixed m4 macro for %QuantLib detection. It now works also when asked
for versions such as 1.1 (as opposed to 1.1.0).
DATE/TIME
- Added Russian calendar.
- Revamped time-series iterators (thanks to Slava Mazur.) Iterators
on dates and values were added, as well as C++0X-style cbegin() and
cend() iterators.
INSTRUMENTS
- Added a few inspectors to zero-coupon inflation swaps.
- Added Kirk approximation for two-asset spread options.
- Added specialized BTP class (Italian government bonds) and related
RendistatoCalculator class to help instantiation of this type of
FixedRateBond.
- Added analytic pricing engine for the piecewise-constant
time-dependent Heston model.
- Added paymentCalendar to FixedRateBond, possibly different
than the one used for accrual-date calculation.
PROCESSES
- Added Quadratic Exponential discretization scheme for the Heston
process, including martingale correction.
INDEXES
- Added inspector for discounting curve to swap index (thanks to Peter
Caspers.)
- Added exogenous discounting to all swap indexes.
- Added SONIA index.
- Added HICPXT indexes.
TERM STRUCTURES
- Added time-based interface to inflation curves.
- Piecewise zero-spreaded term structure can now manage spread with
any compounding (thanks to Robert Philipp.)
- FittedBondDiscountCurve now works with any BondHelpers, not only
FixedRateBondHelpers.
- Added Svensson curve-fitting method (thanks to Alessandro Roveda.)
MATH
- Added Ziggurat random-number generator (thanks to Kakhkhor
Abdijalilov.)
- Added experimental copula-based random-number generators (thanks to
Hachemi Benyahia.)
- More performant implementation of inverse cumulative distribution
(thanks to Kakhkhor Abdijalilov.)
- More performant mt19937 implementation (thanks to Kakhkhor
Abdijalilov.)
- Added more copulas (thanks to Hachemi Benyahia.) The new formulas
are for Ali-Mikhail-Haq copula, Galambos copula, Husler-Reiss
copula, and Plackett copula.
- Added autocovariance calculation (thanks to Slava Mazur.)
MONTE CARLO
- Improved LSM basis system (thanks to Kakhkhor Abdijalilov.)
UTILITIES
- Reworked Null class template (thanks to Kakhkhor Abdijalilov.) The
new implementation avoids the need for a macro on 64-bit systems and
automatically covers all floating-point and integer types.
EXPERIMENTAL FOLDER
The ql/experimental folder contains code which is still not fully
integrated with the library or even fully tested, but is released in
order to get user feedback. Experimental classes are considered
unstable; their interfaces might change in future releases.
New contributions for this release were:
- 2D finite-difference Bates engine based on the partial integro
differential equation.
- 2D finite-difference engine for Black-Scholes processes (including
local volatility.)
- Black-Scholes process with support for vega stress test (thanks to
Michael Heckl.)
- Extended Ornstein-Uhlenbeck process.
- Margrabe option (thanks to IMAFA/Polytech'Nice students Marius Akre,
Michael Benguigui, and Yanice Cherrak.)
- Simple chooser option (thanks to IMAFA/Polytech'Nice students
Clement Barret, Fakher Braham, and Mohamed Amine Sadaoui.)
- Generalized Hull-White model (thanks to Cavit Hafizoglu.) The
generalized model can take piecewise-constant parameters instead of
constant ones. A matching generalized Ornstein-Uhlenbeck process was
also added.
- Variance-gamma implementation (thanks to Adrian O'Neill.)
Contributed classes include a variance-gamma process and model (with
data but no behavior at this time) and a couple of working engines
for European options.
- Hybrid products in the McBasket framework (thanks to Andrea Odetti.)
Path pricers now take a vector of YieldTermStructures that contains
the (possibly stochastic) yield curves.
- Delta calculator for FX options (thanks to Dimitri Reiswich.)
Release 1.0.1 - September 17th, 2010
Bug-fix release.
Release 1.0 - February 24th, 2010
PORTABILITY
- Fixes for x64 Visual Studio compilation (thanks to Craig Miller.)
- Enabled language extensions in Visual Studio projects.
- Prevented make errors with older shells (thanks to Walter Eaves.)
DATE/TIME
- Changes to end-of-month adjustment. In a schedule, the Unadjusted
convention now supersedes a non-null calendar and causes dates to
roll on the unadjusted end of month (possibly a holiday.)
- Added new date-generation rule for CDS (thanks to Jose Aparicio.)
- Fix for CDS fair-upfront calculation (thanks to Jose Aparicio.)
Previously, fair-upfront calculation required a non-null upfront
to begin with. This is no longer the case.
INSTRUMENTS
- Fixed discounting of dividends on convertible-bond grid (thanks to
Benoit Houzelle and Samuel Lerouge.)
CASH FLOWS
- A number of CashFlows methods now return a meaningful result even
if the passed leg is empty.
PROCESSES
- Changed default discretization for Heston process. The new
default (giving a better performance) is quadratic exponential
with Martingale correction.
TERM STRUCTURES
- Removed ambiguous parRate member functions from YieldTermStructure
interface.
EXAMPLES
- Added market-model example.
EXPERIMENTAL FOLDER
The ql/experimental folder contains code which is still not fully
integrated with the library or even fully tested, but is released in
order to get user feedback. Experimental classes are considered
unstable; their interfaces might change in future releases.
New contributions for this release were:
- Longstaff-Schwartz algorithm for basket products including coupon
payments (thanks to Andrea Odetti;)
- added sparse incomplete LU preconditioner for 2D finite-difference
models (thanks to Ralph Schreyer.)
Release 0.9.9 - November 2009
PORTABILITY
- Fixes for 64-bit compilation.
- Fixes for Sun Solaris compilation (thanks to Andreas Spengler.)
CASH FLOWS
- Added overnight-index coupon.
- Added inflation coupons.
- Parameterized CashFlows functions with explicit flag specifying
whether to include settlement-date cash flows.
- Added cash-flow related flags to Settings class. They determine
whether or not to include today's and/or settlement date's cash
flows. They can be overridden while calling CashFlows functions.
DATE/TIME
- Added EUWAX calendar.
- Updated 2009 holidays for China, Hong Kong, India, Indonesia,
Singapore, and Taiwan.
- Removed Easter Monday from Canadian holidays (thanks to Matt Knox.)
- Added weekend-only calendar.
INDEXES
- Added EONIA index.
- Added French HICP and Australian CPI inflation indexes.
INSTRUMENTS
- Added overnight-index swaps (including helper for yield-curve bootstrap.)
- Added inflation cap/floors (including interface for inflation cap/floor
volatility structures.)
- Added inspectors for previous and next coupon dates to Bond class.
- Added implied z-spread calculation for bonds (thanks to Nathan Abbott.)
- Added inspector to see whether a bond is still tradable (as opposed
to not expired.)
- Added constructor for fixed-rate bonds taking a generic InterestRate
instance (thanks to Piter Dias.)
- Added upfront to credit default swaps, including application to CDS
helpers (thanks to Jose Aparicio.)
- Added conventional CDS spread calculation (thanks to Jose Aparicio.)
- Enabled non-spot inflation swaps.
- Migrated asset swaps to pricing-engine framework.
- Migrated inflation swaps to pricing-engine framework.
- Migrated old average-strike Asian option pricer to pricing-engine
framework (thanks to IMAFA students Jean Nkeng, Adrien Pinatton,
and Alpha Sanou Toure.)
PRICING ENGINES
- Added builders for a few Monte Carlo engines.
- Most Monte Carlo engines can now specify either relative or absolute
target tolerance.
- Some Monte Carlo engines can now specify either an absolute number
of time steps or a number of time steps per year.
- Added choice of evolver scheme to finite-difference vanilla engines.
MATH
- Implemented Parabolic and Fritsch-Butland cubic interpolations.
- Added BFGS optimizer (thanks to Frederic Degraeve.)
- Added 1D and 2D kernel interpolation (thanks to Dimitri Reiswich.)
- Added Akima and overshooting-minimization spline algorithms (thanks
to Sylvain Bertrand.)
- Added FFT implementation (thanks to Slava Mazur.)
RANDOM NUMBERS
- Added Luescher's luxury random number generator (a proxy for Boost
implementation.)
TERM STRUCTURES
- Added hook to swap-rate helpers for external discounting term
structure (thanks to Roland Lichters.)
- Added seasonality to inflation term structures (thanks to Piero Del
Boca and Chris Kenyon.)
EXPERIMENTAL FOLDER
New contributions for this release were:
- risky bonds and asset-swap options (thanks to Roland Lichters;)
- spreaded hazard-rate curves (thanks to Roland Lichters;)
- compound options (thanks to Dimitri Reiswich;)
- refactored CDS options (thanks to Jose Aparicio;)
- finite-differences solver for the hybrid Heston Hull-White model,
including calibration (thanks to Klaus Spanderen;)
- finite-differences Asian-option engines (thanks to Ralph Schreyer;)
- machinery for default-event specification (thanks to Jose Aparicio;)
- recursive CDO engine (thanks to Jose Aparicio.)
Release 0.9.7 - November 18th, 2008
PORTABILITY
- Microsoft Visual C++ configurations have been renamed. The
default Debug and Release configurations now link to the DLL
version of the common runtime library. The names of other
configuration should now be more descriptive.
- Fixes for Solaris build.
BONDS
- Added bond example (thanks to Florent Grenier.)
- Added support for amortizing bonds (thanks to Simon Ibbotson.)
CASH FLOWS
- Added two more cashflow analysis functions (thanks to Toyin Akin.)
DATE/TIME
- Added bespoke calendar.
INDEXES
- Added GBP/USD/CHF/JPY swap-rate indexes.
- Fixed USD LIBOR calendar (settlement, not NYSE.)
MARKET MODELS
- Added first displaced-diffusion stochastic-volatility evolver.
PRICING ENGINES
- Monte Carlo average-price options now uses past fixings correctly.
QUOTES
- added LastFixingQuote, a Quote adapter for the last available
fixing of a given index.
EXPERIMENTAL FOLDER
New contributions for this release were:
- time-dependent binomial trees (thanks to John Maiden.)
- a new multidimensional FDM framework based on operator splitting
using Craig-Sneyd, Hundsdorfer or Douglas schemes (thanks to
Andreas Gaida, Ralph Schreyer, and Klaus Spanderen.)
- implementations of Black-variance curve and surface taking a set
of quotes as input (thanks to Frank Hövermann.)
- synthetic CDO engines (thanks to Roland Lichters.)
- variance options, together with a Heston-process engine (thanks
to Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni,
and Francesco Zirilli.)
- a commodity framework, including instruments such as energy
futures and energy swaps (thanks to J. Erik Radmall.)
- quanto-barrier options (thanks to Paul Farrington.)
- amortizing bonds (thanks to Simon Ibbotson.)
- a perturbative engine for barrier options (thanks to Lorella
Fatone, Maria Cristina Recchioni, and Francesco Zirilli.)
Release 0.9.6 - August 6th, 2008
Bug-fix release for %QuantLib 0.9.5. It fixes a bug that would
cause bootstrapped term structures to silently switch to linear
interpolation when log-linear was requested.
Release 0.9.5 - July 30th, 2008
CREDIT FRAMEWORK
New credit framework due to the joint efforts of StatPro Italia,
Roland Lichters, Chris Kenyon, and Jose Aparicio. The framework
currently include:
- Interface for default-probability term structure and adapters for
hazard-rate and default-density structures.
- Flat hazard-rate curve.
- Interpolated hazard-rate and default-density curves.
- Credit-default swaps (mid-point and integral engines.)
- Bootstrapped piecewise default-probability curve.
- CDS example.
PORTABILITY
- Added support for Microsoft Visual C++ 2008 (Boost 1.35 is required
for this compiler.)
- Fixes for Cygwin build.
EXPERIMENTAL FOLDER
The new ql/experimental folder contains code which is still not
fully integrated with the library, but is released in order to get
user feedback. Experimental classes are considered unstable;
their interfaces are likely to change in future releases. The
folder currently include:
- Generic MC basket option (thanks to Andrea Odetti.)
- CDS option (thanks to Roland Stamm.)
- Nth-to-default swap (thanks to Roland Lichters.)
- Extended Black-Scholes-Merton process (thanks to Frank Hövermann.)
- Quanto-adjusted coupons and averaged coupons (thanks to Toyin Akin.)
- Callable bonds (thanks to Allen Kuo.)
- New framework for volatility term structures.
- Sensitivity analysis functions.
CALENDARS
- Added 2008 holidays for China, India, Indonesia, Singapore, and Taiwan.
- Added one-off holiday (President Reagan's and Ford's funerals) to
NYSE calendar.
- Fixed South Korea calendar (thanks to Charles Chongseok Hyun.)
CURRENCIES
- Added Peruvian currency.
DATES
- Added date-generation rules for CDS schedules (i.e., rolling to the
20th of the month.)
INDEXES
- Added SEK LIBOR index.
INSTRUMENTS
- Ported Himalaya and Everest options to pricing-engine framework
(thanks to the IMAFA students at Polytech'Nice Sophia:
Jérôme Bessi, Sébastien Bonifaci, Benjamin
Degerbaix and Renaud Pentel.)
MATH
- Added matrix determinant.
- Added QR matrix decomposition.
- Added a number of copulas (thanks to Marek Glowacki.)
- Added constrained cubic spline.
- Implemented derivative and second derivative of log-interpolations.
- Added Gauss-Lobatto integration.
- Added student-t distribution (thanks to Roland Lichters.)
MODELS
- Added calibrated GJR-GARCH model (thanks to Yee Man Chan.)
- Added Feller constraint to Heston model.
PRICING ENGINES
- Refactored variance-swap engines (the underlying stochastic process
is now passed to the pricing engine.)
- Added GJR-GARCH pricing engines for vanilla options (thanks to Yee
Man Chan.)
PROCESSES
- Added Euler end-point discretization (thanks to Frank Hövermann.)
- Added GJR-GARCH process (thanks to Yee Man Chan.)
- Added Bates process.
TERM STRUCTURES
- Added turn-of-year effect to yield-curve bootstrapping (generalized
to multiple jumps at arbitrary dates.)
- Added local bootstrap of forward rates (thanks to Simon Ibbotson.)
- Disabled copies of interpolated curves (the existing behavior was
incorrect. A fix to re-enable copying will be included in a future
release.)
VOLATILITY
- Added constant cap/floor term volatility structure.
- Added stripped optionlet.
Release 0.9.0 - December 24th, 2007
PORTABILITY
- Fixes for MSYS and Cygwin build.
- Fixes for VC++ build with CLR support enabled.
- Dropped MetroWerks CodeWarrior support.
CALENDARS
- Fix for business-days calculation (thanks to Piter Dias.)
- Updated Hong Kong's holidays for 2008 and China's for 2007.
- Added new holiday to Canadian calendars (thanks to Matt Knox.)
- Fixed joint-calendar specification (thanks to Jay Walters.)
- Split Canadian calendar into settlement and TSX (thanks to Matt Knox.)
- Added Brazilian exchange calendar (thanks to Richard Gomes.)
- Fixes for the Brazilian calendars (thanks to Piter Dias.)
CASH FLOWS
- Added average-BMA coupon (thanks to Roland Lichters.)
- Fixed-rate coupons can now accept an InterestRate instance (thanks
to Piter Dias.)
- implemented cash-flow vector builders as helper classes to ease
skipping default parameters and single/multiple inputs.
DATES
- Extended date range up to year 2199.
- Fixed period comparison (thanks to Chris Kenyon.)
- Fixed short date formatting (thanks to Robert Lopez.)
- Enhanced period algebra.
INDEXES
- Added BMA index (thanks to Roland Lichters.)
- Added inflation indexes (thanks to Chris Kenyon.)
- Added historical interest-rate index analysis.
INSTRUMENTS
- Added BMA swaps (thanks to Roland Lichters.)
- Added year-on-year and zero-coupon inflation swaps (thanks to
Chris Kenyon.)
- Fixed stub-date management and backward date generation for
fixed-rate bonds (thanks to Toyin Akin.)
- Added clean/dirty bond-price calculation from Z-spread.
LATTICES
- Fixed Tsiveriotis-Fernandes tree initialization (thanks to John Maiden.)
MATH
- Added multi-dimensional cost function for least-square problems
(thanks to Guillaume Pealat.)
- Added histogram class (thanks to Gang Liang.)
- Added log-cubic interpolation.
- Fixed conjugate-gradient bug.
- Fixed nested Levenberg-Marquardt bug.
PRICING ENGINES
- Refactored option engines (the underlying stochastic process is now
passed to the pricing engine.)
- Refactored bond, cap/floor, swap, and swaption engines (the discount
curve is now passed to the pricing engine.)
- Added Heston/Hull-White analytic and Monte Carlo engines for
vanilla options.
- Fixed bug in blackFormulaCashItmProbability in case of non null
displacement.
PROCESSES
- Added hybrid Heston/Hull-White process.
- Fixed joint-process bug.
QUOTES
- Added forward-swap quote.
RANDOM NUMBERS
- Fixed ordering of primitive polynomials for Sobol/Levitan and
Sobol/Levitan/Lemieux methods.
- Added JoeKuoD5, JoeKuoD6 and JoeKuoD7 direction integers for
Sobol generator.
- Added Kuo, Kuo2 and Kuo3 direction integers for Sobol generator.
- Added class to generate low-discrepancy sequences using a lattice rule.
TERM STRUCTURES
- Added discount curve fitted on bond prices (thanks to Allen Kuo.)
- Added BMA-swap rate helper (thanks to Roland Lichters.)
- Made SwapRateHelper forward-start enabled.
- Added universal term-structure bootstrapper (thanks to Chris Kenyon.)
- Added abstract inflation term structures (thanks to Chris Kenyon.)
- Added piecewise inflation curves (thanks to Chris Kenyon.)
Release 0.8.1 - June 4th, 2007
PORTABILITY
- Version 0.8.1 adds support for Boost 1.34 on Linux systems. If
you are using version 0.8.0 on Windows systems, you do not need
this upgrade.
Release 0.8.0 - May 30th, 2007
PORTABILITY
- Version 0.8.0 is the last %QuantLib release to support the
Metrowerks CodeWarrior compiler (which was discountinued by
Metrowerks.) If you use such compiler and want support to
continue, you can volunteer for maintaining the necessary
patches: contact the %QuantLib developers for information.
SOURCE TREE
- Files and folders in the source tree have been reorganized
(hopefully for th ebetter.) If you only included
, all changes were taken care of for you. if
you included specific headers, you might want to check its
current location; in particular, all folder names are now
lowercase.
CALENDARS
- Added 2007 holidays for Indonesia, Saudi Arabia, and South Korea
calendars.
CASH FLOWS
- Added floater range-accrual coupons.
INDEXES
- Added EuriborSwapFixB family.
INSTRUMENTS
- Added capped/floored floating-rate bond. It can also be used for
reverse floaters.
- Added delta, gamma and theta to binomial option engines (thanks
to Steve Cook.)
- Refactored basket engines to allow for more payoffs.
LIBOR MARKET MODEL
- This release includes an experimental implementation of a Libor
market model developed with Mark Joshi. Improvements since
release 0.4.0 include normal forward-rate market model,
lognormal CMS market model, lognormal coterminal-swap market
model, and calibration to caplets and coterminal swaptions. The
interface of the model and its integration with the bulk of the
library are still in development.
MATH
- Adaptive Gauss-Kronrod integration added.
- Added Higham's nearest correlation matrix method (thanks to Neil
Firth)
- Refactored optimization framework.
PROCESSES
- Added new discretization schema to Heston process.
UTILITIES
- The Handle class was split into RelinkableHandle (behaving like
the old Handle class) and Handle (which is notified when its
copies are relinked, but cannot itself be relinked.) The former
can safely be returned from inspectors.
Release 0.4.0 - February 20th, 2007
PORTABILITY
- Starting with release 0.4.0, the Borland free compiler 5.5 and
Microsoft Visual C++ 6.0 are no longer supported. If you use
one of these compilers and want support to continue, you can
volunteer for maintaining the necessary patches: contact the
%QuantLib developers for information.
CALENDARS
- Added 2007 holidays for Hong Kong, India, Singapore, and Taiwan
exchanges.
LIBOR MARKET MODEL
- This release includes an experimental implementation of a Libor
market model developed with Mark Joshi. Improvements since
release 0.3.14 include the use of quasi-random number generators
and the calculation of Greeks and of upper bounds for
instruments with early-exercise features. The interface of the
model and its integration with the bulk of the library are still
in development.
INSTRUMENTS
- Added helper classes to make it easier to instantiate swaps,
caps/floors, and CMS instruments.
INTEREST RATES
- Added capped/floored floating-rate coupons (including convexity
adjustment.)
MATH
- Curve, domain and surface interfaces added.
PROCESSES
- Added reversion level to Ornstein-Uhlenbeck process (thanks to
Roland Lichters.)
VOLATILITY TERM STRUCTURES
- Added stripping of caplet-volatility term structure from cap
quotes.
- Improved SABR interpolation and calibration.
Release 0.3.14 - November 6th, 2006
PORTABILITY
- Version 0.3.14 is the last %QuantLib release to support the Borland
free compiler 5.5 and Microsoft Visual C++ 6.0. If you use one
of these compilers and want support to continue, you can volunteer
for maintaining the necessary patches: contact the %QuantLib
developers for information.
LIBOR MARKET MODEL
- This release includes an experimental implementation of a Libor
market model developed with Mark Joshi. The interface and its
integration with the bulk of the library are still in development.
CURRENCIES
- Added Romanian new lev.
DATES, CALENDARS, AND DAY COUNTERS
- Added all serial 3M IMM futures (thanks to Toyin Akin.)
- Reworked the Schedule class so that it follows market
conventions more closely.
- Added business/252 day-count convention (thanks to Piter Dias.)
INTEREST RATES
- Added base swap-rate class and a number of actual swap rates.
- Added constant-maturity swap coupons (including convexity
adjustment.)
INSTRUMENTS
- Added asset swaps.
- Added face amount to bonds (defaulting to 100.)
MATH
- Added hypersphere and lower-diagonal salvaging algorithms
(thanks to Yiping Chen.)
PRICING ENGINES
- Added Longstaff-Schwartz Monte-Carlo algorithm for
American/Bermudan equity options with deterministic interest
rates.
TERM STRUCTURE
- Added piecewise-spreaded yield curve (thanks to Roland Lichters.)
Release 0.3.13 - July 31st, 2006
CALENDARS
- Added NERC calendar (thanks to Joe Byers.)
INSTRUMENTS AND PRICING ENGINES
- Added continuous fixed and floating lookback options (thanks to
Warren Chou.)
- Added FRA and forward fixed-coupon bonds; examples provided
(thanks to Allen Kuo.)
- Added variance swaps (thanks to Warren Chou.)
- Added composite instrument; example provided.
- Added cash-settled swaption pricing in Black swaption engine;
test provided.
- Added discrete dividends and soft callability to convertible bonds.
INTEREST RATES
- Fixed business-day conventions for Euribor and LIBOR indices
(following below one month, month-end from one month onwards.)
MODELS
- Added more complex market parameterizations and performance
improvements for Libor market model (thanks to Klaus Spanderen.)
PROCESSES
- Renamed BlackScholedProcess to GeneralizedBlackScholedProcess;
specialized classes added for Black-Scholes, Merton, Black and
Garman-Kohlhagen processes.
- Added Hull-White and G2 processes for Monte Carlo simulation
(thanks to Banca Profilo.)
RANDOM NUMBERS
- Added possibility to skip directly to the n-th item in a Sobol
sequence (thanks to Richard Gould.)
MATH
- Added SABR interpolation for volatilities.
- Added general linear least-squares regression (thanks to Klaus
Spanderen.)
Release 0.3.12 - March 27th, 2006
CALENDARS
- Added Brazilian calendar (thanks to Piter Dias.)
- Added Argentinian, Icelandic, Indonesian, Mexican, and Ukrainian
calendars.
INSTRUMENTS AND PRICING ENGINES
- Added convertible bonds (thanks to Theo Boafo.)
- The cash flows returned by the Bond::cashflows method now
include the redemption.
- SimpleSwap can now be set an engine. If none is set, the old
cash-flow-based calculation is used.
- Generalized McVanillaEngine so that it can manage n-dimensional
processes; it now subsumes McHestonEngine.
- Added pricing of Bermudan options on binomial trees (thanks to
Enrico Michelotti.)
- Separated accrual and payment conventions for bonds.
- Modified basis-point sensitivity calculation so that it returns
the cash variation for a basis-point change in rate (it used to
return the figure to be multiplied by the variation in order to
obtain the same result.)
MODELS
- Added weights to short-rate model calibration (thanks to Enrico
Michelotti.)
- Added Libor market model (thanks to Klaus Spanderen.)
OPTIMIZATION
- Added Levenberg-Marquardt optimization method (thanks to Klaus
Spanderen.)
EXAMPLES
- Merged American and European option examples; added Bermudan
option.
- Added convertible-bond example (thanks to Theo Boafo.)
Release 0.3.11 - October 20th, 2005
GLOBAL FEATURES
- Added configuration option for adding current function
information to error messages.
- Added hook for multiple sessions to Singleton.
CALENDARS
- Added Bombay and Taipei calendars.
CURRENCIES
- Added new Turkish lira.
INDEXES
- More accurate LIBOR calendars (thanks to Daniele de Francesco.)
- Added DKKLibor, EURLibor, and NZDLibor indexes.
- Added TRLibor index (thanks to Sercan Atalik.)
PRICING ENGINES
- Added Bates stochastic-volatility model; tests provided (thanks
to Klaus Spanderen.)
- Added vega to analytic discrete-averaging Asian engine; test
provided (thanks to Gary Kennedy.)
- Added stochastic process for caplet Libor market model; tests
provided (thanks to Klaus Spanderen.)
TERM STRUCTURES
- Added fixed-coupon bond helper for curve bootstrapping (thanks
to Toyin Akin.)
MATH
- Added tabulated Gauss-Legendre quadratures (thanks to Gary
Kennedy.)
- Added more precise implementation of bivariate cumulative normal
distribution (thanks to Gary Kennedy.)
Release 0.3.10 - July 14th, 2005
GLOBAL FEATURES
- The suggested syntax for setting and registering with the global
evaluation date is now:
\code
Settings::instance().evaluationDate() = date;
registerWith(Settings::instance().evaluationDate());
\endcode
CALENDARS
- Istanbul calendar added (thanks to Serkan Atalik.)
LATTICE FRAMEWORK
- Faster implementation of binomial and trinomial trees.
MONTE CARLO FRAMEWORK
- Added generic multi-dimensional stochastic process.
- Added stochastic process array (thanks to Klaus Spanderen.)
- Multi-path generator now takes a generic stochastic process;
tests provided.
- New Path class implemented which stores asset values rather than
variations; this makes pricers independent on whether or not
log-variations were calculated. The new class is enabled when
QL_DISABLE_DEPRECATED is defined; the old class is used
otherwise.
INSTRUMENTS
- Multi-asset option now takes a generic stochastic process.
MODELS
- Added Heston stochastic-volatility model; tests provided (thanks
to Klaus Spanderen.) Provided code include:
- a corresponding stochastic process;
- analytic and Monte Carlo option-pricing engines;
- parameter calibration.
CASH FLOWS
- Cash-flow analyses such as NPV, IRR, convexity and duration added
(thanks to Charles Whitmore.)
MATH
- Added Gaussian orthogonal polynomials and Gaussian quadratures;
tests provided (thanks to Klaus Spanderen.)
- Convergence statistics added; tests provided (thanks to Gary
Kennedy.)
Release 0.3.9 - May 2nd, 2005
GLOBAL FEATURES
- QL_SQRT, QL_MIN etc. deprecated in favor of std::sqrt,
std::min...
- Added a tentative tracing facility to ease debugging.
- Formatters deprecated in favor of output manipulators. A number
of data types can now be sent directly to output streams.
- Stream-based implementation of QL_REQUIRE, QL_TRACE and similar
macros. Together with manipulators, this allows one to write
simpler error messages, as in:
\code
QL_FAIL("forward at date " << d << " is " << io::rate(f));
\endcode
INSTRUMENTS
- Improved Bond class
- yield-related calculation can be performed with either
compounded or continuous compounding;
- added theoretical price based on discount curve;
- fixed-rate coupon bonds can define different rates for each
coupon;
- added zero-coupon and floating-rate bonds (thanks to StatPro.)
- Option instruments now take a generic StochasticProcess;
however, most pricing engines still require a
BlackScholesProcess. They should be checked to see whether the
requirement can be relaxed. Following this change,
Merton76Process no longer inherits from
BlackScholesProcess. This avoids erroneous upcasts.
- Partial fix for Bermudan swaptions with exercise lag (thanks to
Luca Berardi for the report and discussion.)
- Fix for analytic cap/floor engine; caplets/floorlets whose
fixing is in the past are now calculated correctly (thanks to
Aurelien Chanudet.)
CALENDARS
- Added Bratislava and Prague calendars.
INDICES
- Fixed calendars for LIBOR fixings (thanks to Daniele De
Francesco.)
FINITE_DIFFERENCES FRAMEWORK
- Migrated finite-difference pricers to pricing-engine framework
(thanks to Joseph Wang.)
YIELD TERM STRUCTURES
- Added generic piecewise yield term structure. Client code can
choose what to interpolate (discounts, zero yields, forwards)
and how (linear, log-linear, flat) by instantiating types such
as:
\code
PiecewiseYieldCurve
PiecewiseYieldCurve
PiecewiseYieldCurve
\endcode
- Interpolated discount, zero-yield and forward-rate curves can
now be set any interpolation.
- FlatForward can now take rates with compounding other than
continuous.
- Fix for extrapolation in zero-spreaded and forward-spreaded
yield term structure (thanks to Adjriou Belak for the report.)
MATH
- Added backward- and forward-flat interpolations.
Release 0.3.8 - December 22nd, 2004
REQUIRED PACKAGES
- Boost version 1.31.0 or later is now required.
DOCUMENTATION
- Documentation now includes a FAQ page.
GLOBAL FEATURES
- Global evaluation date added through Settings class. Used for
index-fixing and exchange-rate lookup.
- added InterestRate class, which encapsulate the interest rate
compounding algebra. It manages day-counting convention,
compounding convention, conversion between different
conventions, and discount/compounding factor calculations. It
also has its own formatter.
INSTRUMENTS
- Bond and FixedCouponBond classes added (thanks to Jeff Yu)
providing price/yield conversions; tests provided.
DATE, CALENDARS, AND DAY COUNT CONVENTIONS
- Reworked Date interface. Added nextWeekday() and nthWeekday()
static methods to the class Date. Added nextIMM() for the
calculation of the next IMM date.
- Added WeekdayFormatter and FrequencyFormatter
- Added "1/1" day counter. The Actual365 is deprecated: as per
ISDA documentation "Actual/365" is the same as
"Actual/Actual". Use the ActualActual class instead, or the
Actual365Fixed class.
- Added dayCounterFromString(std::string) to QuantLibFunctions.
- Improved Beijing calendar (thanks to Zhou Wu.)
CURRENCIES AND FX RATES
- Added currency classes; CurrencyTag replaced in library code.
- Added money class providing arithmetic with or without
conversions; tests provided.
- Added exchange-rate class; tests provided.
- Added exchange-rate manager with smart rate lookup, i.e., able
to derive a missing exchange rate as a chain of provided rates;
tests provided.
MONTE CARLO FRAMEWORK
- Added Faure low-discrepancy sequence (thanks to Gianni Piolanti;)
tests provided.
- Added randomized (shifted) low discrepancy sequences that will
be used for randomized quasi Monte Carlo.
- Added SeedGenerator class, for random generation of seeds when
they are not given by the user.
- Added the implementation of Sobol sequences using the
coefficients of the free direction integers as provided by
Bratley and Fox, who credited unpublished work of Sobol's and
Levitan's.
- Added an implementation of Sobol sequences using the
coefficients of the free direction integers of Lemieux, Cieslak,
and Luttmer. Coefficients for d<=40 are the same as in
Bradley-Fox. For dimension 40Release 0.3.7 - July 23rd, 2004
IMPORTANT
%QuantLib now depends on the Boost library (www.boost.org).
You will need a working Boost installation in order to compile and
use %QuantLib. Instructions for installing Boost from sources are
available at .
Pre-packaged binaries might be available from other sources.
Google is your friend (or Debian, or Fink...)
DATE, CALENDARS, AND DAY COUNT CONVENTIONS
- Working on differentiating calendars depending on country or
exchange, instead of city.
- Added Italy (Settlement, Exchange),
United Kingdom (Settlement, Exchange, Metals),
United States (Settlement, Exchange, GovermentBond), Xetra.
- Milan, London, and NewYork calendars have been deprecated.
- Added (old-style) calendars: Beijing, Hong Kong, Riyadh, Seoul,
Singapore, Taiwan.
- RollingConvention has been renamed BusinessDayConvention, as for
ISDA definitions.
MATH
- Added rounding algorithms as per OMG enumeration/definition.
TEST SUITE
- Moved to Boost unit test framework. CppUnit is no longer needed.
- Added test for quanto and forward compound engines.
- Added test for roundings.
- Added test for discrete dividend European options.
- Added test for cliquet options.
MISCELLANEA
- enable/disableExtrapolation() methods were added to a few classes
such as TermStructure. They make it possible to persistently allow
extrapolation without the need of specifying it at every method
call.
- Added user-configurable flag to disable usage of deprecated
classes.
PORTABILITY
- Fink package available
- Visual C++ 7.x project files added
Release 0.3.6 - April 15th, 2004
Bug-fix release for %QuantLib 0.3.5. A bug was removed where calls
to impliedVolatility() would break the state of the option and of
all options sharing the same stochastic process.
Release 0.3.5 - March 31th, 2004
BOOST SUPPORT
- When available, %QuantLib 0.3.5 now uses parts of the Boost
library. The presence of Boost is detected automatically under
Unix/Linux systems; on Windows systems, it must be enabled by
uncommenting the relevant line in ql/userconfig.hpp.
- In the next %QuantLib release, the presence of the Boost library
will be mandatory.
MONTE CARLO FRAMEWORK
- Modified MultiPath interface to remove drifts. They are now in
the stochastic processes.
- Preliminary implementation of Longstaff-Schwartz least-squares
- Monte Carlo pricer for European basket options
- Brownian-bridge bugs fixed
- StochasticProcess base class and derived classes (diffusion,
jump-diffusion, etc.) have been created.
PRICING ENGINES FRAMEWORK
- Pricing engines now use Payoff and Exercise classes.
- American basket options.
- Binary barrier option replaced by vanilla option with digital payoff.
- Stulz engine for max and min basket calls and puts on two assets.
- American binary option added (a.k.a. one-touch, american digital,
americal barrier, etc.) with different payoffs (cash/asset at
hit/expiry, etc.)
- Added engine for Merton 1976 jump-diffusion process.
- Added Bjerksund and Stensland approximation for American option
(still unstable.)
- Added Barone-Adesi and Whaley approximation for American option.
- Improved Black formula engine with more greeks added.
- Discrete geometric asian option.
- Added Leisen-Reimer binomial tree.
SHORT RATE MODELS
- Model renamed to ShortRateModel. A typedef is provided for backward
compatibility--it will be removed in subsequent releases.
VOLATILITY FRAMEWORK
- bug fix for short time (0<=t<=Tmin) interpolation
OPTIMIZATION FRAMEWORK
- Method renamed to OptimizationMethod. A typedef is provided for
backward compatibility--it will be removed in subsequent releases.
PATTERNS
- Composite pattern
MATH
- Improved cubic spline interpolation. It now handles end conditions
such as first derivative value, second derivative value, not-a-knot.
Hyman filter for monotonically constrained interpolation has been
implemented. Primitive calculation has been enabled in
addition to derivative and second derivative.
- Primitive, first derivative, and second derivative functions are available
for linear interpolator.
- Singular value decomposition improved.
- Added bivariate cumulative normal distribution.
- Added binomial coefficient calculation, binomial distribution,
cumulative binomial distribution, and Peizer-Pratt inversion (method 2.)
- Added beta functions.
- Added Poisson distribution and cumulative distribution.
- Added incomplete gamma functions.
- Added factorial calculation.
- Added rank-reduced square root and improved pseudo-square root
of square symmetric matrices.
- Added Cholesky decomposition.
TEST SUITE
- Added test for cubic spline interpolation.
- Added test for singular value decomposition.
- Added test for two-asset baskets using the Stulz pricing engine.
- Added test for Monte Carlo American cash-at-hit options.
- Added test for jump-diffusion engine.
- Added test for American and European digital options.
MISCELLANEA
- Inner namespaces have been deprecated.
- Added frequency enumeration, including 'once'.
- MarketElement renamed to Quote.
- Handling strike=0.0 where possible.
- More Payoff classes have been introduced: gap, asset-or-nothing,
cash-or-nothing. Payoff is now extensively used.
- Exercise class is now polymorphic. More derived classes have been
introduced, and they are now extensively used.
- Introduced QL_FAIL macro.
- Added calendar for Copenhagen
- 14 April 2004 (election day) added to Johannesburg calendar as
a one-off holiday.
- Documentation generated with Doxygen 1.3.6.
- Win32 installer generated with NSIS 2.0.
Release 0.3.4 - November 21th, 2003
MONTE CARLO FRAMEWORK
- MC European in one step with strike-independent vol curve (hopefully)
- Path pricer for Binary options. It should cover both European and
American style options. Also known as: Digital, Binary, Cash-At-Hit,
Cash-At-Expiry.
- Path pricers for barrier options
PRICING ENGINES FRAMEWORK
- More options moved to the new pricing engine framework: binary, barrier
- Changed setupEngine() into setupArguments(args)
- Moved pricing-engine machinery up to Instrument class
FIXED INCOME
- New basis-point sensitivity functions
- Added Swap::startDate() and maturity()
- Cap/floor fixing days taken into account
SHORT RATE MODELS
- An additional constraint can now be passed to the calibration
VOLATILITY FRAMEWORK
- Visitable volatility term structures
OPTIMIZATION FRAMEWORK
- Added composite constraint
PATTERNS
- Visitor, Alexandrescu-style (saves some code duplication)
MATH
- Added more integration algorithms contributed by Roman Gitlin
- Relaxed constaints on interval boundaries for integration algorithms
- Interpolation traits
TEST SUITE
- Added implied cap/floor term volatility test
- Added test for binary options in PricingEngine Framework.
- Added tests for Barrier options in PricingEngine Framework. Some Monte
Carlo tests, but not comprehensive.
MISCELLANEA
- Conditionally allowed negative yields (disabled by default)
- Null calendar and simple day counter for reproducing theoretical
calculations
- Fixed for VC++.Net compilation
- Added spec file for RPMs
- Added global flag for early/late payments
- Enabled test suite for Borland
- Removed OnTheEdge VC++ configurations
- Added VC++ configurations for static and dynamic Multithread libraries
- Upgraded to use Doxygen 1.3.4
Release 0.3.3 - September 3rd, 2003
MONTE CARLO FRAMEWORK
- Re-templatized Monte Carlo model based on traits.
- New path generator based on DiffusionProcess, TimeGrid,
and externally initialized random number generator.
- Added Halton low discrepancy sequence.
- Added sequence generators: random sequence generator creates
a sequence generator out of a random number generator.
InvCumGaussianRsg creates a gaussian sequence generator out of a
uniform (random or low discrepancy) sequence generator.
- RNG as constructor input constructor( long seed) deprecated.
- Mersenne Twister random number generator added
- Old PathPricers, PathGenerators, etc are available with a trailing _old
- Added Jäckel's Brownian Bridge (not used yet.)
- Sobol Random Sequence Generator. Unit and Jäckel.
- Added randomized Halton sequences.
FINITE DIFFERENCE FRAMEWORK
- Old class Grid no longer exists, use CenteredGrid to obtain the
same result.
LATTICE FRAMEWORK
- Abstracted discretized option.
- Additive binomial trees. All binomial trees now use DiffusionProcess.
- Added Tian binomial tree.
PRICING ENGINES FRAMEWORK
- Partially implemented.
- Quanto forward compounded engines.
- Integral (european) pricing engine.
YIELD TERM STRUCTURE
- ZeroCurve: a term structure based on linear interpolation of
zero yields.
FIXED INCOME
- Up-front and in-arrear indexed coupon.
- Specific implementation of compound forward rate from zero yield.
- Added compound forward and zero coupon implementations.
- Added Futures rate helper with specified maturity date.
- Added bucketed bps calculation.
- Added swap constructor using specified maturity date as well as
added functionality in Scheduler.
- Added date-bucketed basis point sensitivity based on 1st derivative
of zero coupon rate.
OPTIMIZATION FRAMEWORK
- Solvers now take any function. ObjectiveFunction disappeared.
PATTERNS
- Abstracted lazy object.
- Abstracted the curiously recurring template pattern.
DATE AND CALENDARS
- Added joint calendars.
- Tokyo, Stockholm, Johannesburg calendar improved.
- "MonthEndReference" business day rolling convention. Similar to
"ModifiedFollowing", unless where original date is last business
day of month all resulting dates will also be last business day of
month.
- Added basic date generation starting from the end.
MATH
- Added Gauss-Kronrod integration algorithm.
- Added primitive polynomial modulo 2 up to dimension 18 (available up
to dimension 27.)
- Added BicubicSplineInterpolation.
- Numerical Recipes algorithm is back since there is a problem with
Nicolas' code: it is unable to fit a straight line, it waves around
the line.
- Prime number generation.
- Acklam's approximation for inverse cumulative normal distribution
function (replaced Moro's algorithm as default.)
- Added error function.
- Improved Cumulative Normal Distribution function using the
error function.
- Matrix pseudo square algorithm using salvaging algorithm(s).
- Added SequenceStatistics.
- Major Statistic reworking.
- Added DiscrepancyStatistic that inherits from SequenceStatistic and
extends it with the calculation of L2-discrepancy.
- HStatistics.
- Added first and second derivative ot cubic splines.
RISK MEASURES
- Introduced semiVariance and regret.
- Redefinition of average shorfall (normalization factor now is
cumulative(target) instead of 1.0)
MISCELLANEA
- QuEP 9 "generic disposable objects" implemented.
- Added test suite.
- Dataformatters extended to format long integers, Ordinal numerals,
power of two formatting.
- Exercise class adopted.
- Added user configuration section.
- Inhibited automatic conversion of Handle to RelinkableHandle.
- Diffusion process extended.
- Added strikeSensitivity to the Greeks.
- BS does handle t==0.0 and sigma==0.0.
- TimeGrid has been reworked.
- Added payoff file for Payoff classes. Added Cash-Or-Nothing and
Asset-Or-Nothing payoff classes.
- Upgraded to use Doxygen 1.3.
Release 0.3.1 - February 4th, 2003
FINITE DIFFERENCE FRAMEWORK
- partially implemented QuEP 2 (http://quantlib.org/quep.shtml)
VOLATILITY FRAMEWORK
- added Black and local volatility interface
PRICING ENGINES FRAMEWORK
- partially implemented QuEP 5 (http://quantlib.org/quep.shtml)
YIELD TERM STRUCTURE
- interface revisited
- added discrete time forward methods
- added DiscountCurve (loglinear interpolated) and CompoundForward term
structures
- ForwardSpreadedTermStructure moved under QuantLib::TermStructures
namespace
FIXED INCOME
- Modified coupons so that the payment date can be after the end of the
accrual period
MISCELLANEA
- added/verified holidays of many calendars
- added new calendars
- added new currencies
- more date formatters
- added Period(std::string&)
- it is now possible to advance a calandar using a Period
- added LogLinear Interpolation
- the allowExtrapolation boolean in interpolation classes has been removed
from constructors and added to the operator()
- Renamed Solver1D::lowBound and hiBound
- bug fixes
BUILD PROCESS
- More autoconfiscated time functions and types
- Migrated to latest autotools
- added patches for Darwin and Solaris
Release 0.3.0 - May 6th, 2002
MONTE CARLO FRAMEWORK
- Path and MultiPath are time-aware
- McPricer: extended interface, improved convergency algorithm
FINITE DIFFERENCE FRAMEWORK
- added mixed (implicit/explicit) scheme, from which Crank-Nicolson,
ImplicitEuler, and ExplicitEuler are now derived
- Finite Difference exercise conditions are now in the
FiniteDifferences folder/namespace
- Finite Difference pricers now start with 'Fd' letters
- BSMNumericalOption became BsmFdOption
LATTICE FRAMEWORK
- introduced first version of the framework
- CRR and JR binomial trees
VOLATILITY FRAMEWORK
- early works on reorganization of vol structures
YIELD TERM STRUCTURE
- new TermStructure class based on affine model
- yield curves can be spreaded in term of zeros
(ZeroSpreadedTermStructure) and forwards
(ForwardSpreadedTermStructure)
- Added dates() and times() to PiecewiseFlatForward
- discount factor accuracy in the yield curve bootstrapping is an
input
- added single factor short-rate models (Hull-White, Black-Karasinski)
- added two factor short-rate models framework
- cap/floor and swaption calibration helpers
- added bermudan swaption pricing example (including BK and HW
calibrations)
FIXED INCOME
- cap/floor and swaption tree pricer
- cap/floor analytical pricer
- vanilla swaption Jamshidian pricer
- Added accruedAmount() to coupons
- Made cash flow vector builders into functions
OPTIMIZATION FRAMEWORK
- added conjugate gradient, simplex
PATTERNS
- implemented QuEP 8 and 10
MISCELLANEA
- added allowExtrapolation parameter to interpolaton classes
- added 2D bilinear interpolation
- better spline interpolation algorithm
- Added non-central chi-square distribution function.
- Improved Inverse Cumulative Normal Distribution using Moro's
algorithm
- Introduced class representing stochastic processes
- added isExpired() to Instrument interface
- added functions folder and namespace for %QuantLibXL and any other
function-like interface to %QuantLib
- Handle is now castable to an Handle of a compatible type
- added downsideVariance to the Statistics class
- kustosis() and skewness() now handles the case of stddev == 0 and/or
variance == 0
- added Correlation Matrix to MultiVariateAccumulator
- enforced MS VC compilation settings
- added "-debug" to the QL_VERSION version string ifdef QL_DEBUG
- "make check" runs the example programs under Borland C++
- fixed compilation with "g++ -pedantic"
- Spread as market element
- new calendars introduced
- new Xibor Indexes introduced
- Added optional day count to libor indexes
- Shortened file names within 31 char limit to support HFS
Release 0.2.1 - December 3rd, 2001
MONTE CARLO FRAMEWORK
- Path and MultiPath are now classes on their own
- PathPricer now handles both Path and MultiPath
- MonteCarloModel now handles both single factor and
multi factors simulations.
- McPricer now handles both single factor and
multi factors pricing. New pricing interface
- antithetic variance-reduction technique made possible in Monte Carlo
for both single factor and multi factors
- Control Variate specific class removed: control variation
technique is now handled by the general MC model
- average price and average strike asian option refactored
- Sample as a (value,weight) struct
- random number generators moved under RandomNumbers folder and
namespace
FINITE DIFFERENCE FRAMEWORK
- BackwardEuler and ForwardEuler renamed ImplicitEuler and
ExplicitEuler,
respectively
- refactoring of TridiagonalOperator and derived classes
YIELD TERM STRUCTURE AND FIXED INCOME
- Added some useful methods to term structure classes
- Allowed passing a quote to RateHelpers as double
- added FuturesRateHelpers (no convexity adjustment yet)
- PiecewiseFlatForward now observer of rates passed as MarketElements
- Unified Date and Time interface in TermStructure
- Added BPS to generic swap legs
- added term_structure+swap example
- Fixing days introduced for floating-coupon bond
PATTERNS
- Added factory pattern
- Calendar and DayCounter now use the Strategy pattern
VARIOUS
- used do-while-false idiom in QL_REQUIRE-like macros
- now using size_t where appropriate
- dividendYield is now a Spread instead of a Rate (that is: cost of
carry is allowed)
- RelinkableHandle initialized with an optional Handle
- Worked around VC++ problems in History constructor
- added QL_VERSION and QL_HEX_VERSION
- generic bug fixes
- removed classes deprecated in 0.2.0
INSTALLATION FACILITIES
- improved and smoother Win32 binary installer
DOCUMENTATION
- general re-hauling
- improved and extended Monte Carlo documentation
- improved and extended examples
- Upgraded to Doxygen 1.2.11.1
- Added man pages for installed executables
- added docs in Windows Help format
- added info on "Win32 OnTheEdgeRelease" and "Win32 OnTheEdgeDebug"
MS VC++ configurations
- additional information on how to create a MS VC++ project based on
%QuantLib
Release 0.2.0 - September 18th, 2001
- Library:
- source code moved under ql, better GNU standards
- gcc build dir can now be separated from source tree
- gcc 3.0.1 port
- clean compilation (no warnings)
- bootstrap script on cygwin
- Fixed automatic choice of seed for random number generators
- Actual/actual classes
- extended platform support (see table in documentation)
- antithetic variance-reduction technique made possible in Monte
Carlo
- added dividend-Rho greek
- First implementation of segment integral (to be redesigned)
- Knuth random generator
- Cash flows, scheduler, and swap (both generic and simple) added
- added ICGaussian random generator
- generic bug fixes
- Installation facilities:
- improved and smoother Win32 binary installer
- better distribution
- debian packages available
- Documentation:
- general re-hauling
- added examples of using %QuantLib and of projects based on QL
Release 0.1.9 - May 31st, 2001
- Library:
- Style guidelines introduced (see http://quantlib.org/style.shtml)
and partially enforced
- full support for Microsoft Visual Studio
- full support for Linux/gcc
- momentarily broken support for Metrowerks CodeWarrior
- autoconfiscation (with specialized config.*.hpp files for platforms
without automake/autoconf support)
- Include files moved under Include/ql folder and referenced as
"ql/header.hpp"
- Implemented expression templates techniques for array algebra
optimization
- Added custom iterators
- Improved term structure
- Added Asian, Bermudan, Shout, Cliquet, Himalaya, and Barrier
options (all with greeks calculation, control variated where
possible)
- Added Helsinki and Wellington calendars
- Improved Normal distribution related functions: cumulative, inverse
cumulative, etc.
- Added uniform and Gaussian random number generators
- Added Statistics class (mean, variance, skewness, downside variance,
etc.)
- Added RiskMeasures class: VAR, average shortfall, expected shortfall,
etc.
- Added RiskStatistics class combining Statistics and RiskMeasures
- Added sample accumulator for multivariate analysis
- Added Monte Carlo tools
- Added matrix-related functions (square root, symmetric Schur
decomposition)
- Added interpolation framework (linear and cubic spline interpolation
implemented).
- Installation facilities:
- Added Win32 GUI installer for binaries
- Documentation:
- support for Doxygen 1.2.7
- Added man documentation
Release 0.1.1 - November 21st, 2000
Initial release.
*/
QuantLib-1.39/Docs/pages/index.docs 0000664 0000000 0000000 00000003246 15037373673 0017160 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \mainpage Introduction
%QuantLib (https://www.quantlib.org/) is a C++ library for
financial quantitative analysts and developers.
%QuantLib is Non-Copylefted Free Software released under the modified BSD
License. It is also OSI Certified Open Source Software. OSI Certified is a
certification mark of the Open Source Initiative.
%QuantLib is free software and you are allowed to use, copy, modify,
merge, publish, distribute, and/or sell copies of it under the conditions
stated in the \ref license.
%QuantLib and its documentation are distributed in the hope that they
will be useful, but WITHOUT ANY WARRANTY; without even the implied
warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
\ref license for more details.
\section disclaimer Disclaimer
At this time, this documentation is widely incomplete and must be
regarded as a work in progress. Contributions are welcome.
*/
QuantLib-1.39/Docs/pages/install.docs 0000664 0000000 0000000 00000001541 15037373673 0017513 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2005, 2007, 2009 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \page install Installation
Detailed instructions are available at
.
*/
QuantLib-1.39/Docs/pages/instruments.docs 0000664 0000000 0000000 00000001416 15037373673 0020441 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2004 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup instruments Financial instruments
*/
QuantLib-1.39/Docs/pages/lattices.docs 0000664 0000000 0000000 00000010645 15037373673 0017662 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2002, 2003 Sadruddin Rejeb
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup lattices Lattice methods
The framework (corresponding to the ql/methods/lattices directory)
contains basic building blocks for pricing instruments using lattice
methods (trees). A lattice, i.e. an instance of the abstract class
QuantLib::Lattice, relies on one or several trees (each one
approximating a diffusion process) to price an instance of the
DiscretizedAsset class. Trees are instances of classes derived from
QuantLib::Tree, classes which define the branching between
nodes and transition probabilities.
\section binomial Binomial trees
The binomial method is the simplest numerical method that can be used to
price path-independent derivatives. It is usually the preferred lattice
method under the Black-Scholes-Merton model. As an example, let's see
the framework implemented in the bsmlattice.hpp file. It is a method
based on a binomial tree, with constant short-rate (discounting).
There are several approaches to build the underlying binomial tree, like
Jarrow-Rudd or Cox-Ross-Rubinstein.
\section trinomial Trinomial trees
When the underlying stochastic process has a mean-reverting pattern, it is
usually better to use a trinomial tree instead of a binomial tree. An
example is implemented in the QuantLib::TrinomialTree class,
which is constructed using a diffusion process and a time-grid. The goal is
to build a recombining trinomial tree that will discretize, at a finite set
of times, the possible evolutions of a random variable \f$ y \f$ satisfying
\f[
dy_t = \mu(t, y_t) dt + \sigma(t, y_t) dW_t.
\f]
At each node, there is a probability \f$ p_u, p_m \f$ and \f$ p_d \f$ to go
through respectively the upper, the middle and the lower branch.
These probabilities must satisfy
\f[
p_{u}y_{i+1,k+1}+p_{m}y_{i+1,k}+p_{d}y_{i+1,k-1}=E_{i,j}
\f]
and
\f[
p_u y_{i+1,k+1}^2 + p_m y_{i+1,k}^2 + p_d y_{i+1,k-1}^2 =
V^2_{i,j}+E_{i,j}^2,
\f]
where k (the index of the node at the end of the middle branch)
is the index of the node which is the nearest to the expected future
value, \f$ E_{i,j}=\mathbf{E}\left( y(t_{i+1})|y(t_{i})=y_{i,j}\right) \f$
and \f$ V_{i,j}^{2}=\mathbf{Var}\{y(t_{i+1})|y(t_{i})=y_{i,j}\} \f$.
If we suppose that the variance is only dependant on time
\f$ V_{i,j}=V_{i} \f$ and set \f$ y_{i+1} \f$ to \f$ V_{i}\sqrt{3} \f$,
we find that
\f[
p_{u} = \frac{1}{6}+\frac{(E_{i,j}-y_{i+1,k})^{2}}{6V_{i}^{2}} +
\frac{E_{i,j}-y_{i+1,k}}{2\sqrt{3}V_{i}},
\f]
\f[
p_{m} = \frac{2}{3}-\frac{(E_{i,j}-y_{i+1,k})^{2}}{3V_{i}^{2}},
\f]
\f[
p_{d} = \frac{1}{6}+\frac{(E_{i,j}-y_{i+1,k})^{2}}{6V_{i}^{2}} -
\frac{E_{i,j}-y_{i+1,k}}{2\sqrt{3}V_{i}}.
\f]
\section bidimensional Bidimensional lattices
To come...
\section discretizedasset The QuantLib::DiscretizedAsset class
This class is a representation of the price of a derivative at a specific
time. It is roughly an array of values, each value being associated to a
state of the underlying stochastic variables. For the moment, it is only
used when working with trees, but it should be quite easy to make a use
of it in finite-differences methods. The two main points, when deriving
classes from QuantLib::DiscretizedAsset, are:
-# Define the initialisation procedure (e.g. terminal payoff for european
stock options).
-# Define the method adjusting values, when necessary, at each time steps
(e.g. apply the step condition for american or bermudan options).
Some examples are found in QuantLib::DiscretizedSwap and
QuantLib::DiscretizedSwaption.
*/
QuantLib-1.39/Docs/pages/license.docs 0000664 0000000 0000000 00000002047 15037373673 0017471 0 ustar 00root root 0000000 0000000
/*! \page license QuantLib License
\verbinclude LICENSE.TXT
\section licensecomments Comments on Copyright and License
%QuantLib is Non-Copylefted Free Software [1] released under the modified BSD
License [2] (also know as XFree86-style license).
%QuantLib is Open Source [3] because of its license: it is OSI Certified Open
Source Software [4]. OSI Certified is a certification mark of the Open Source
Initiative [5].
The modified BSD License is GPL compatible as confirmed by the Free Software
Foundation [6].
This license has been adopted to allow free use of %QuantLib and its source, to
make %QuantLib flourish as a free-software/open-source project. It allows
proprietary extensions to be commercialized.
[1] http://www.gnu.org/philosophy/categories.html#Non-CopyleftedFreeSoftware
[2] http://www.opensource.org/licenses/bsd-license.html
[3] http://www.opensource.org/docs/definition.html
[4] http://www.opensource.org/docs/certification_mark.html
[5] http://www.opensource.org
[6] http://www.gnu.org/philosophy/bsd.html
*/
QuantLib-1.39/Docs/pages/math.docs 0000664 0000000 0000000 00000003442 15037373673 0017000 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup math Math tools
@{
*/
/*! \defgroup interpolations 1-D Interpolations and corresponding traits */
/*! \defgroup solvers One-dimensional solvers
The abstract class QuantLib::Solver1D provides the interface for
one-dimensional solvers which can find the zeroes of a given function.
A number of such solvers is contained in the ql/Solvers1D
directory.
The implementation of the algorithms was inspired by
"Numerical Recipes in C", 2nd edition,
Press, Teukolsky, Vetterling, Flannery - Chapter 9
Some work is needed to resolve the ambiguity of the root finding accuracy
definition: for some algorithms it is the x-accuracy, for others it is
f(x)-accuracy.
*/
/*! \defgroup optimizers Optimizers
The optimization framework (corresponding to the ql/Optimization
directory) implements some multi-dimensional minimizing
methods. The function to be minimized is to be derived from the
QuantLib::CostFunction base class (if the gradient is not
analytically implemented, it will be computed numerically).
*/
/*! @} */
QuantLib-1.39/Docs/pages/mcarlo.docs 0000664 0000000 0000000 00000001625 15037373673 0017325 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup mcarlo Monte Carlo framework
This framework (corresponding to the ql/methods/montecarlo directory)
contains basic building blocks for Monte Carlo simulations.
*/
QuantLib-1.39/Docs/pages/patterns.docs 0000664 0000000 0000000 00000001405 15037373673 0017704 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2004 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup patterns Design patterns
*/
QuantLib-1.39/Docs/pages/processes.docs 0000664 0000000 0000000 00000001777 15037373673 0020066 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2006 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup processes Stochastic processes
The classes QuantLib::StochasticProcess and
QuantLib::StochasticProcess1D provide the interface for a
generic stochastic process. A number of specific processes is
contained in the ql/processes directory.
*/
QuantLib-1.39/Docs/pages/resources.docs 0000664 0000000 0000000 00000002723 15037373673 0020062 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \page resources Additional resources
The main %QuantLib resource is the %QuantLib web site
(https://www.quantlib.org).
Additional resources available from the above site include:
- available documentation (https://www.quantlib.org/docs.shtml);
- the %QuantLib mailing lists and forums
(https://www.quantlib.org/mailinglists.shtml);
- the %QuantLib programming style guidelines
(https://www.quantlib.org/style.shtml);
- links to pages for reporting issues
(https://github.com/lballabio/QuantLib/issues)
and submitting changes
(https://github.com/lballabio/QuantLib/pulls);
- a page (https://www.quantlib.org/extensions.shtml) about how to use %QuantLib
in other languages/platforms.
*/
QuantLib-1.39/Docs/pages/termstructures.docs 0000664 0000000 0000000 00000002654 15037373673 0021166 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup termstructuressss Term structures
@{
*/
/*! \defgroup yieldtermstructures Interest-rate term structures
The abstract class QuantLib::YieldTermStructure provides the common
interface to concrete yield-rate term structure models. Among
others, methods are declared which return instantaneous forward
rate, discount factor, and zero rate at a given date. Adapter
classes are provided which already implement part of the required
methods, thus allowing the programmer to define only the
non-redundant part.
*/
/*! \defgroup defaultprobabilitytermstructures Default-probability term structures */
/*! \defgroup inflationtermstructures Inflation term structures */
/*! @} */
QuantLib-1.39/Docs/pages/usage.docs 0000664 0000000 0000000 00000004434 15037373673 0017155 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2002, 2003 Ferdinando Ametrano
Copyright (C) 2001, 2002, 2003 Sadruddin Rejeb
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \page usage Usage
To use %QuantLib classes in your own code just add
\code
#include
\endcode
at the beginning of your source/header files. Depending on
the number of your files in your project, this could cause a
large increase in compilation time. If this were not acceptable,
collective headers are also available for smaller parts of
the library; in particular, each subdirectory of the ql
directory contains a file all.hpp which makes available
all classes and function in the respective subdirectory.
Under the Examples folder you can find examples of %QuantLib usage,
including input files for automake and makefiles for the Borland
free compiler and Microsoft Visual C++. For the latter, project
files are also available.
\section microsoftvisual Microsoft Visual C++
A few suggestions for Visual C++ users wanting to use %QuantLib into their
own application:
-# you won't have to explicitly link your application to the QuantLib
library. This is done automatically by compiler directives embedded
in the sources.
-# Your project must be compiled with the same options that were used in
compiling the %QuantLib library you're linking with, namely,
- Property Pages -> C/C++ -> Code Generation -> Runtime Library:
select the appropriate run-time library.
- Property Pages -> C/C++ -> Code Generation -> Basic Runtime Checks:
select "Both (/RTC1, equiv. to /RTCsu)".
*/
QuantLib-1.39/Docs/pages/where.docs 0000664 0000000 0000000 00000002362 15037373673 0017161 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \page where Where to get QuantLib
\section download QuantLib releases
Source code, documentation, modules, etc. of current and previous
%QuantLib releases can be downloaded from
https://www.quantlib.org/download.shtml
\section cvs Current snapshot
Instructions for Git access are available at
https://www.quantlib.org/git.shtml
Access to the Git repository is intended mainly for
developers and is not recommended to end users which should
download the latest stable release instead.
*/
QuantLib-1.39/Docs/quantlib.doxy 0000664 0000000 0000000 00000031731 15037373673 0016624 0 ustar 00root root 0000000 0000000 # Doxyfile 1.14.0
#---------------------------------------------------------------------------
# Project related configuration options
#---------------------------------------------------------------------------
DOXYFILE_ENCODING = UTF-8
PROJECT_NAME = QuantLib
PROJECT_NUMBER = ql_version
PROJECT_BRIEF = "A free/open-source library for quantitative finance"
PROJECT_LOGO =
PROJECT_ICON =
OUTPUT_DIRECTORY =
CREATE_SUBDIRS = NO
CREATE_SUBDIRS_LEVEL = 8
ALLOW_UNICODE_NAMES = NO
OUTPUT_LANGUAGE = English
BRIEF_MEMBER_DESC = YES
REPEAT_BRIEF = YES
ABBREVIATE_BRIEF =
ALWAYS_DETAILED_SEC = NO
INLINE_INHERITED_MEMB = NO
FULL_PATH_NAMES = YES
STRIP_FROM_PATH = ql_basepath
STRIP_FROM_INC_PATH = ql_basepath
SHORT_NAMES = NO
JAVADOC_AUTOBRIEF = NO
JAVADOC_BANNER = NO
QT_AUTOBRIEF = NO
MULTILINE_CPP_IS_BRIEF = NO
PYTHON_DOCSTRING = YES
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SEPARATE_MEMBER_PAGES = NO
TAB_SIZE = 4
ALIASES = "warning=\xrefitem caveats \"Warning\" \"Caveats\"" \
"test=\xrefitem test \"Tests\" \"Test Suite\"" \
"bug=\xrefitem bug \"Bug\" \"Known Bugs\"" \
"deprecated=\xrefitem deprecated \"Deprecated\" \"Deprecated Features\""
OPTIMIZE_OUTPUT_FOR_C = NO
OPTIMIZE_OUTPUT_JAVA = NO
OPTIMIZE_FOR_FORTRAN = NO
OPTIMIZE_OUTPUT_VHDL = NO
OPTIMIZE_OUTPUT_SLICE = NO
EXTENSION_MAPPING =
MARKDOWN_SUPPORT = YES
TOC_INCLUDE_HEADINGS = 0
MARKDOWN_ID_STYLE = DOXYGEN
AUTOLINK_SUPPORT = YES
AUTOLINK_IGNORE_WORDS =
BUILTIN_STL_SUPPORT = YES
CPP_CLI_SUPPORT = NO
SIP_SUPPORT = NO
IDL_PROPERTY_SUPPORT = YES
DISTRIBUTE_GROUP_DOC = NO
GROUP_NESTED_COMPOUNDS = NO
SUBGROUPING = YES
INLINE_GROUPED_CLASSES = NO
INLINE_SIMPLE_STRUCTS = NO
TYPEDEF_HIDES_STRUCT = NO
LOOKUP_CACHE_SIZE = 0
NUM_PROC_THREADS = 1
TIMESTAMP = NO
#---------------------------------------------------------------------------
# Build related configuration options
#---------------------------------------------------------------------------
EXTRACT_ALL = NO
EXTRACT_PRIVATE = NO
EXTRACT_PRIV_VIRTUAL = NO
EXTRACT_PACKAGE = NO
EXTRACT_STATIC = NO
EXTRACT_LOCAL_CLASSES = NO
EXTRACT_LOCAL_METHODS = NO
EXTRACT_ANON_NSPACES = NO
RESOLVE_UNNAMED_PARAMS = YES
HIDE_UNDOC_MEMBERS = NO
HIDE_UNDOC_CLASSES = YES
HIDE_UNDOC_NAMESPACES = YES
HIDE_FRIEND_COMPOUNDS = NO
HIDE_IN_BODY_DOCS = YES
INTERNAL_DOCS = NO
CASE_SENSE_NAMES = NO
HIDE_SCOPE_NAMES = YES
HIDE_COMPOUND_REFERENCE= NO
SHOW_HEADERFILE = YES
SHOW_INCLUDE_FILES = YES
SHOW_GROUPED_MEMB_INC = NO
FORCE_LOCAL_INCLUDES = NO
INLINE_INFO = NO
SORT_MEMBER_DOCS = NO
SORT_BRIEF_DOCS = NO
SORT_MEMBERS_CTORS_1ST = YES
SORT_GROUP_NAMES = YES
SORT_BY_SCOPE_NAME = YES
STRICT_PROTO_MATCHING = NO
GENERATE_TODOLIST = NO
GENERATE_TESTLIST = YES
GENERATE_BUGLIST = YES
GENERATE_DEPRECATEDLIST= YES
ENABLED_SECTIONS =
MAX_INITIALIZER_LINES = 30
SHOW_USED_FILES = NO
SHOW_FILES = NO
SHOW_NAMESPACES = NO
FILE_VERSION_FILTER =
LAYOUT_FILE =
CITE_BIB_FILES =
EXTERNAL_TOOL_PATH =
#---------------------------------------------------------------------------
# Configuration options related to warning and progress messages
#---------------------------------------------------------------------------
QUIET = YES
WARNINGS = YES
WARN_IF_UNDOCUMENTED = NO
WARN_IF_DOC_ERROR = YES
WARN_IF_INCOMPLETE_DOC = NO
WARN_NO_PARAMDOC = NO
WARN_IF_UNDOC_ENUM_VAL = NO
WARN_LAYOUT_FILE = YES
WARN_AS_ERROR = YES
WARN_FORMAT = "$file:$line: $text"
WARN_LINE_FORMAT = "at line $line of file $file"
WARN_LOGFILE =
#---------------------------------------------------------------------------
# Configuration options related to the input files
#---------------------------------------------------------------------------
INPUT = ql_basepath/Docs//pages \
ql_basepath/ql
INPUT_ENCODING = UTF-8
INPUT_FILE_ENCODING =
FILE_PATTERNS = *.docs \
*.hpp \
*.h
RECURSIVE = YES
EXCLUDE = ql_basepath//ql/config.hpp \
ql_basepath//ql/config.msvc.hpp
EXCLUDE_SYMLINKS = NO
EXCLUDE_PATTERNS = */all.hpp
EXCLUDE_SYMBOLS =
EXAMPLE_PATH = ql_basepath/Examples \
.
EXAMPLE_PATTERNS = *.cpp
EXAMPLE_RECURSIVE = YES
IMAGE_PATH =
INPUT_FILTER =
FILTER_PATTERNS =
FILTER_SOURCE_FILES = NO
FILTER_SOURCE_PATTERNS =
USE_MDFILE_AS_MAINPAGE =
IMPLICIT_DIR_DOCS = YES
FORTRAN_COMMENT_AFTER = 72
#---------------------------------------------------------------------------
# Configuration options related to source browsing
#---------------------------------------------------------------------------
SOURCE_BROWSER = NO
INLINE_SOURCES = NO
STRIP_CODE_COMMENTS = YES
REFERENCED_BY_RELATION = NO
REFERENCES_RELATION = NO
REFERENCES_LINK_SOURCE = NO
SOURCE_TOOLTIPS = NO
USE_HTAGS = NO
VERBATIM_HEADERS = NO
#---------------------------------------------------------------------------
# Configuration options related to the alphabetical class index
#---------------------------------------------------------------------------
ALPHABETICAL_INDEX = YES
IGNORE_PREFIX =
#---------------------------------------------------------------------------
# Configuration options related to the HTML output
#---------------------------------------------------------------------------
GENERATE_HTML = YES
HTML_OUTPUT = html
HTML_FILE_EXTENSION = .html
HTML_HEADER = ql_basepath/Docs/quantlibheader.html
HTML_FOOTER = ql_basepath/Docs/quantlibfooter.html
HTML_STYLESHEET =
HTML_EXTRA_STYLESHEET = ql_basepath/Docs/quantlibextra.css
HTML_EXTRA_FILES = ql_basepath/Docs/images/favicon.ico
HTML_COLORSTYLE = AUTO_LIGHT
HTML_COLORSTYLE_HUE = 220
HTML_COLORSTYLE_SAT = 100
HTML_COLORSTYLE_GAMMA = 80
HTML_DYNAMIC_MENUS = YES
HTML_DYNAMIC_SECTIONS = YES
HTML_CODE_FOLDING = YES
HTML_COPY_CLIPBOARD = YES
HTML_PROJECT_COOKIE =
HTML_INDEX_NUM_ENTRIES = 100
GENERATE_DOCSET = NO
DOCSET_FEEDNAME = "Doxygen generated docs"
DOCSET_FEEDURL =
DOCSET_BUNDLE_ID = org.doxygen.Project
DOCSET_PUBLISHER_ID = org.doxygen.Publisher
DOCSET_PUBLISHER_NAME = Publisher
GENERATE_HTMLHELP = NO
CHM_FILE =
HHC_LOCATION = hhc.exe
GENERATE_CHI = NO
CHM_INDEX_ENCODING =
BINARY_TOC = NO
TOC_EXPAND = NO
SITEMAP_URL =
GENERATE_QHP = NO
QCH_FILE =
QHP_NAMESPACE = org.doxygen.Project
QHP_VIRTUAL_FOLDER = doc
QHP_CUST_FILTER_NAME =
QHP_CUST_FILTER_ATTRS =
QHP_SECT_FILTER_ATTRS =
QHG_LOCATION =
GENERATE_ECLIPSEHELP = NO
ECLIPSE_DOC_ID = org.doxygen.Project
DISABLE_INDEX = NO
GENERATE_TREEVIEW = NO
PAGE_OUTLINE_PANEL = YES
FULL_SIDEBAR = NO
ENUM_VALUES_PER_LINE = 4
SHOW_ENUM_VALUES = NO
TREEVIEW_WIDTH = 250
EXT_LINKS_IN_WINDOW = NO
OBFUSCATE_EMAILS = YES
HTML_FORMULA_FORMAT = png
FORMULA_FONTSIZE = 12
FORMULA_MACROFILE =
USE_MATHJAX = YES
MATHJAX_VERSION = MathJax_2
MATHJAX_FORMAT = HTML-CSS
MATHJAX_RELPATH = https://cdnjs.cloudflare.com/ajax/libs/mathjax/2.7.5/
MATHJAX_EXTENSIONS =
MATHJAX_CODEFILE =
SEARCHENGINE = YES
SERVER_BASED_SEARCH = NO
EXTERNAL_SEARCH = NO
SEARCHENGINE_URL =
SEARCHDATA_FILE = searchdata.xml
EXTERNAL_SEARCH_ID =
EXTRA_SEARCH_MAPPINGS =
#---------------------------------------------------------------------------
# Configuration options related to the LaTeX output
#---------------------------------------------------------------------------
GENERATE_LATEX = NO
LATEX_OUTPUT = latex
LATEX_CMD_NAME = latex
MAKEINDEX_CMD_NAME = makeindex
LATEX_MAKEINDEX_CMD = makeindex
COMPACT_LATEX = NO
PAPER_TYPE = a4
EXTRA_PACKAGES =
LATEX_HEADER =
LATEX_FOOTER =
LATEX_EXTRA_STYLESHEET =
LATEX_EXTRA_FILES =
PDF_HYPERLINKS = YES
USE_PDFLATEX = YES
LATEX_BATCHMODE = NO
LATEX_HIDE_INDICES = NO
LATEX_BIB_STYLE = plain
LATEX_EMOJI_DIRECTORY =
#---------------------------------------------------------------------------
# Configuration options related to the RTF output
#---------------------------------------------------------------------------
GENERATE_RTF = NO
RTF_OUTPUT = rtf
COMPACT_RTF = NO
RTF_HYPERLINKS = NO
RTF_STYLESHEET_FILE =
RTF_EXTENSIONS_FILE =
RTF_EXTRA_FILES =
#---------------------------------------------------------------------------
# Configuration options related to the man page output
#---------------------------------------------------------------------------
GENERATE_MAN = NO
MAN_OUTPUT = man
MAN_EXTENSION = .3
MAN_SUBDIR =
MAN_LINKS = YES
#---------------------------------------------------------------------------
# Configuration options related to the XML output
#---------------------------------------------------------------------------
GENERATE_XML = NO
XML_OUTPUT = xml
XML_PROGRAMLISTING = NO
XML_NS_MEMB_FILE_SCOPE = NO
#---------------------------------------------------------------------------
# Configuration options related to the DOCBOOK output
#---------------------------------------------------------------------------
GENERATE_DOCBOOK = NO
DOCBOOK_OUTPUT = docbook
#---------------------------------------------------------------------------
# Configuration options for the AutoGen Definitions output
#---------------------------------------------------------------------------
GENERATE_AUTOGEN_DEF = NO
#---------------------------------------------------------------------------
# Configuration options related to Sqlite3 output
#---------------------------------------------------------------------------
GENERATE_SQLITE3 = NO
SQLITE3_OUTPUT = sqlite3
SQLITE3_RECREATE_DB = YES
#---------------------------------------------------------------------------
# Configuration options related to the Perl module output
#---------------------------------------------------------------------------
GENERATE_PERLMOD = NO
PERLMOD_LATEX = NO
PERLMOD_PRETTY = YES
PERLMOD_MAKEVAR_PREFIX =
#---------------------------------------------------------------------------
# Configuration options related to the preprocessor
#---------------------------------------------------------------------------
ENABLE_PREPROCESSING = YES
MACRO_EXPANSION = YES
EXPAND_ONLY_PREDEF = NO
SEARCH_INCLUDES = YES
INCLUDE_PATH =
INCLUDE_FILE_PATTERNS =
PREDEFINED = __DOXYGEN__
EXPAND_AS_DEFINED =
SKIP_FUNCTION_MACROS = YES
#---------------------------------------------------------------------------
# Configuration options related to external references
#---------------------------------------------------------------------------
TAGFILES =
GENERATE_TAGFILE =
ALLEXTERNALS = NO
EXTERNAL_GROUPS = YES
EXTERNAL_PAGES = YES
#---------------------------------------------------------------------------
# Configuration options related to diagram generator tools
#---------------------------------------------------------------------------
HIDE_UNDOC_RELATIONS = NO
HAVE_DOT = YES
DOT_NUM_THREADS = 0
DOT_COMMON_ATTR = "fontname=Helvetica,fontsize=10"
DOT_EDGE_ATTR = "labelfontname=Helvetica,labelfontsize=10"
DOT_NODE_ATTR = "shape=box,height=0.2,width=0.4"
DOT_FONTPATH =
CLASS_GRAPH = YES
COLLABORATION_GRAPH = NO
GROUP_GRAPHS = NO
UML_LOOK = NO
UML_LIMIT_NUM_FIELDS = 10
UML_MAX_EDGE_LABELS = 10
DOT_UML_DETAILS = NO
DOT_WRAP_THRESHOLD = 17
TEMPLATE_RELATIONS = NO
INCLUDE_GRAPH = NO
INCLUDED_BY_GRAPH = NO
CALL_GRAPH = NO
CALLER_GRAPH = NO
GRAPHICAL_HIERARCHY = YES
DIRECTORY_GRAPH = NO
DIR_GRAPH_MAX_DEPTH = 1
DOT_IMAGE_FORMAT = png
INTERACTIVE_SVG = NO
DOT_PATH =
DOTFILE_DIRS =
DIA_PATH =
DIAFILE_DIRS =
PLANTUML_JAR_PATH =
PLANTUML_CFG_FILE =
PLANTUML_INCLUDE_PATH =
PLANTUMLFILE_DIRS =
DOT_GRAPH_MAX_NODES = 150
MAX_DOT_GRAPH_DEPTH = 2
DOT_MULTI_TARGETS = NO
GENERATE_LEGEND = YES
DOT_CLEANUP = YES
MSCGEN_TOOL =
MSCFILE_DIRS =
QuantLib-1.39/Docs/quantlibextra.css 0000664 0000000 0000000 00000001471 15037373673 0017473 0 ustar 00root root 0000000 0000000 #projectname, #projectname a, #projectname a:visited
{
font-family: "Lato", sans-serif;
font-weight: 700;
font-style: italic;
color: black;
}
#projectname
{
padding: 1em;
}
#projectnumber
{
font-family: "Lato", sans-serif;
font-weight: 400;
font-style: italic;
font-size: 60%;
margin-top: 1em;
margin-bottom: 0;
}
body, table, div, p, dl {
font: 300 16px/22px Lato,sans-serif;
}
p.reference, p.definition {
font: 300 16px/22px Lato,sans-serif;
}
.title {
font-family: "Lato", sans-serif;
font-style: italic;
}
table.directory {
font: 400 16px "Lato",sans-serif;
}
h1 {
font-style: italic;
}
.sm-dox a,.sm-dox a:focus,.sm-dox a:hover,.sm-dox a:active {
font-family: "Lato", sans-serif;
font-weight: 400;
font-style: italic;
}
QuantLib-1.39/Docs/quantlibfooter.html 0000664 0000000 0000000 00000001126 15037373673 0020017 0 ustar 00root root 0000000 0000000