pax_global_header 0000666 0000000 0000000 00000000064 15131150556 0014514 g ustar 00root root 0000000 0000000 52 comment=367ce80ae4f285835ceb3bba97746bea239984ad
QuantLib-1.41/ 0000775 0000000 0000000 00000000000 15131150556 0013160 5 ustar 00root root 0000000 0000000 QuantLib-1.41/.appveyor.yml 0000664 0000000 0000000 00000000322 15131150556 0015623 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-1.41/.ci/ 0000775 0000000 0000000 00000000000 15131150556 0013631 5 ustar 00root root 0000000 0000000 QuantLib-1.41/.ci/Unity.props 0000664 0000000 0000000 00000000255 15131150556 0016030 0 ustar 00root root 0000000 0000000 true
QuantLib-1.41/.ci/VS2017.props 0000664 0000000 0000000 00000001471 15131150556 0015563 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-1.41/.ci/VS2019.alt.props 0000664 0000000 0000000 00000001356 15131150556 0016346 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)truestdcpp17_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.41/.ci/VS2019.props 0000664 0000000 0000000 00000001074 15131150556 0015564 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)true
QuantLib-1.41/.ci/VS2022.alt.props 0000664 0000000 0000000 00000001356 15131150556 0016340 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)truestdcpp17_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.41/.ci/VS2022.props 0000664 0000000 0000000 00000001074 15131150556 0015556 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)/bigobj %(AdditionalOptions)true
QuantLib-1.41/.ci/userconfig2019.alt.hpp 0000664 0000000 0000000 00000010270 15131150556 0017601 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-1.41/.ci/userconfig2022.alt.hpp 0000664 0000000 0000000 00000010270 15131150556 0017573 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-1.41/.clang-format 0000664 0000000 0000000 00000002143 15131150556 0015533 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:
- key: cppcoreguidelines-special-member-functions.AllowSoleDefaultDtor
value: 1
- key: modernize-make-shared.MakeSmartPtrFunction
value: ext::make_shared
- key: modernize-make-shared.MakeSmartPtrFunctionHeader
value:
- key: modernize-use-default-member-init.UseAssignment
value: 1
...
QuantLib-1.41/.codecov.yml 0000664 0000000 0000000 00000001541 15131150556 0015404 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-1.41/.github/ 0000775 0000000 0000000 00000000000 15131150556 0014520 5 ustar 00root root 0000000 0000000 QuantLib-1.41/.github/boring-cyborg.yml 0000664 0000000 0000000 00000001145 15131150556 0020007 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-1.41/.github/dependabot.yml 0000664 0000000 0000000 00000000261 15131150556 0017347 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-1.41/.github/workflows/ 0000775 0000000 0000000 00000000000 15131150556 0016555 5 ustar 00root root 0000000 0000000 QuantLib-1.41/.github/workflows/cmake-latest-runners.yml 0000664 0000000 0000000 00000010446 15131150556 0023351 0 ustar 00root root 0000000 0000000 name: CMake build for the latest runners and C++ standards
on:
schedule:
# At 02:35 on Monday
- cron: '35 2 * * 1'
workflow_dispatch:
jobs:
cmake-build-and-test:
strategy:
fail-fast: false
matrix:
settings:
[
{ os: macos-latest, cc: clang, cxx: clang++ },
{ os: ubuntu-latest, cc: clang, cxx: clang++ },
{ os: ubuntu-latest, cc: gcc, cxx: g++ },
{ os: windows-latest, cc: cl, cxx: cl }
##### This is the full set of currently available runners and compilers. #####
# { os: macos-14, cc: clang, cxx: clang++ },
# { os: macos-15, cc: clang, cxx: clang++ },
#
# { os: ubuntu-22.04, cc: clang-13, cxx: clang++-13 },
# { os: ubuntu-22.04, cc: clang-14, cxx: clang++-14 },
# { os: ubuntu-22.04, cc: clang-15, cxx: clang++-15 },
#
# { os: ubuntu-22.04, cc: gcc-10, cxx: g++-10 },
# { os: ubuntu-22.04, cc: gcc-11, cxx: g++-11 },
# { os: ubuntu-22.04, cc: gcc-12, cxx: g++-12 },
#
# { os: ubuntu-24.04, cc: clang-16, cxx: clang++-16 },
# { os: ubuntu-24.04, cc: clang-17, cxx: clang++-17 },
# { os: ubuntu-24.04, cc: clang-18, cxx: clang++-18 },
#
# { os: ubuntu-24.04, cc: gcc-12, cxx: g++-12 },
# { os: ubuntu-24.04, cc: gcc-13, cxx: g++-13 },
# { os: ubuntu-24.04, cc: gcc-14, cxx: g++-14 },
#
# { os: windows-2022, cc: cl, cxx: cl },
# { os: windows-2025, cc: cl, cxx: cl }
]
cxx-standard: [ 17, 20, 23 ]
cmake-build-type: [ release ]
runs-on: ${{ matrix.settings.os }}
steps:
- uses: actions/checkout@v6
- name: Determine ccache variant
shell: bash
run: |
echo "CMAKE_CXX_COMPILER_LAUNCHER=${{ ( (runner.os == 'Windows') && 'sccache' ) || 'ccache' }}" >> $GITHUB_ENV
- name: Setup CCache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-latest-${{ inputs.os }}-${{ inputs.cxx }}-${{ inputs.cxx-standard }}
restore-keys: |
cmake-latest-${{ inputs.os }}-${{ inputs.cxx }}-${{ inputs.cxx-standard }}
cmake-latest-${{ inputs.os }}-${{ inputs.cxx }}
cmake-latest-${{ inputs.os }}
variant: ${{ env.CMAKE_CXX_COMPILER_LAUNCHER }}
- name: Setup Linux
if: runner.os == 'Linux'
shell: bash
run: |
sudo apt-get update
sudo apt-get install -y ccache ninja-build
eval "$(/home/linuxbrew/.linuxbrew/bin/brew shellenv)"
brew update
brew install boost
echo "/home/linuxbrew/.linuxbrew/bin:/home/linuxbrew/.linuxbrew/sbin" >> $GITHUB_PATH
- name: Setup macOS
if: runner.os == 'macOS'
shell: bash
run: |
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK=1 brew install ninja boost
echo "CXXFLAGS=-stdlib=libc++" >> $GITHUB_ENV
- name: Setup Windows
if: runner.os == 'Windows'
shell: pwsh
run: |
$BoostUri = "https://archives.boost.io/release/1.90.0/binaries/boost_1_90_0-msvc-14.3-64.exe"
Start-BitsTransfer -Source $BoostUri -Destination $env:RUNNER_TEMP\boost.exe
Start-Process -Wait -FilePath "$env:RUNNER_TEMP\boost.exe" "/SILENT","/SP-","/SUPPRESSMSGBOXES","/DIR=$env:RUNNER_TEMP\boost"
choco install -y ninja
Write "Boost_DIR=$env:RUNNER_TEMP\boost\lib64-msvc-14.3\cmake\Boost-1.90.0" >> $env:GITHUB_ENV
- name: Set up Visual Studio shell on Windows
if: runner.os == 'Windows'
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Configure CMake and build
env:
CC: ${{ matrix.settings.cc }}
CXX: ${{ matrix.settings.cxx }}
run: |
cmake --version
cmake -B build -G Ninja -DCMAKE_BUILD_TYPE=${{ matrix.cmake-build-type }} -DCMAKE_CXX_STANDARD=${{ matrix.cxx-standard }} -DQL_COMPILE_WARNING_AS_ERROR=ON -L
cmake --build build --verbose
- name: Run the test-suite
run: |
./build/test-suite/quantlib-test-suite -l message
QuantLib-1.41/.github/workflows/cmake.yml 0000664 0000000 0000000 00000017301 15131150556 0020362 0 ustar 00root root 0000000 0000000 name: CMake build
on:
push:
branches:
- '**'
pull_request:
jobs:
cmake-linux:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-build-${{ github.ref }}
restore-keys: |
cmake-linux-ci-build-${{ github.ref }}
cmake-linux-ci-build-refs/heads/master
cmake-linux-ci-build-
- name: Compile
run: |
mkdir build
cd build
cmake .. -GNinja -DBOOST_ROOT=/usr -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -L
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --install .
sudo ldconfig
- name: Test
run: |
quantlib-test-suite --log_level=message
- name: Run benchmark
run: |
quantlib-benchmark --size=1
cmake-linux-with-options:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-all-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-opts-${{ github.ref }}
restore-keys: |
cmake-linux-ci-opts-${{ github.ref }}
cmake-linux-ci-opts-refs/heads/master
cmake-linux-ci-opts-
- name: Compile
run: |
cmake --preset linux-ci-build-with-nonstandard-options -L
cd build/linux-ci-build-with-nonstandard-options
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --build . --target install
- name: Test
run: |
quantlib-test-suite --log_level=message
cmake-win:
runs-on: windows-2022
steps:
- uses: actions/checkout@v6
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-build-${{ 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: |
$Url = "https://archives.boost.io/release/1.90.0/source/boost_1_90_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_90_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 $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-dynamic-runtime:
runs-on: windows-2022
steps:
- uses: actions/checkout@v6
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-dyn-build-${{ 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: |
$Url = "https://archives.boost.io/release/1.90.0/source/boost_1_90_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_90_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 $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-with-options:
runs-on: windows-2022
steps:
- uses: actions/checkout@v6
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-opts-${{ 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: |
$Url = "https://archives.boost.io/release/1.90.0/source/boost_1_90_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_90_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 $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
cmake --preset windows-ci-build-with-nonstandard-options -L
cd build/windows-ci-build-with-nonstandard-options
type ql\config.hpp
cmake --build . --verbose
cmake --build . --target install
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-macos:
runs-on: macos-latest
steps:
- uses: actions/checkout@v6
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install boost ccache ninja
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-macos-ci-${{ 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-1.41/.github/workflows/codeql-analysis.yml 0000664 0000000 0000000 00000002716 15131150556 0022376 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@v6
# Initializes the CodeQL tools for scanning.
- name: Initialize CodeQL
uses: github/codeql-action/init@v4
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@v4
# 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@v4
QuantLib-1.41/.github/workflows/copyrights.yml 0000664 0000000 0000000 00000001166 15131150556 0021477 0 ustar 00root root 0000000 0000000 name: Update copyright list
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check-copyrights:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
./tools/check_copyrights.sh
- uses: peter-evans/create-pull-request@v8
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: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/coveralls.yml 0000664 0000000 0000000 00000002600 15131150556 0021270 0 ustar 00root root 0000000 0000000 name: Coverage report
on:
push:
branches:
- master
pull_request:
workflow_dispatch:
jobs:
coverage:
runs-on: ubuntu-22.04
steps:
- uses: actions/checkout@v6
- 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@v2
with:
github-token: ${{ secrets.GITHUB_TOKEN }}
file: ./coverage/lcov.info
QuantLib-1.41/.github/workflows/devenv-images.yml 0000664 0000000 0000000 00000003276 15131150556 0022042 0 ustar 00root root 0000000 0000000 name: Build quantlib-devenv Docker images
on:
workflow_dispatch:
inputs:
boostVersion:
description: 'Boost version'
required: true
env:
ROLLING: questing
jobs:
docker-images:
runs-on: ubuntu-latest
strategy:
matrix:
tag: [plucky, questing, resolute]
steps:
- uses: actions/checkout@v6
- name: Build CI images
working-directory: dockerfiles
run: |
docker build -f ci.Dockerfile \
--build-arg tag=${{ 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-1.41/.github/workflows/doxygen.yml 0000664 0000000 0000000 00000001260 15131150556 0020754 0 ustar 00root root 0000000 0000000 name: Check doc generation
on:
push:
branches:
- '**'
pull_request:
jobs:
docs:
runs-on: macos-latest
steps:
- uses: actions/checkout@v6
- 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@v6
- name: Check
run: |
./tools/check_all_header_docs.sh
QuantLib-1.41/.github/workflows/filelists.yml 0000664 0000000 0000000 00000000750 15131150556 0021300 0 ustar 00root root 0000000 0000000 name: Check CMake file list and VC++ projects
on:
push:
branches:
- '**'
pull_request:
jobs:
filelists:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- 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-1.41/.github/workflows/generated-headers.yml 0000664 0000000 0000000 00000001723 15131150556 0022652 0 ustar 00root root 0000000 0000000 name: Update generated headers
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
generate-headers:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- 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@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: update-generated-headers-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update generated headers'
title: 'Update generated headers'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/headers.yml 0000664 0000000 0000000 00000001264 15131150556 0020716 0 ustar 00root root 0000000 0000000 name: Compile single headers
on:
push:
branches:
- '**'
pull_request:
jobs:
headers:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- 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-1.41/.github/workflows/includes.yml 0000664 0000000 0000000 00000001454 15131150556 0021112 0 ustar 00root root 0000000 0000000 name: Fix inclusions of ql headers in double quotes
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check-includes:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- 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@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: fix-include-in-quotes-${{ 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: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/increase-version-number.yml 0000664 0000000 0000000 00000003620 15131150556 0024043 0 ustar 00root root 0000000 0000000 name: Increase version number
on:
workflow_dispatch:
jobs:
increase-version:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup git
run: |
git config user.name 'lballabio[bot]'
git config user.email '224797326+lballabio-bot@users.noreply.github.com'
- name: Calculate versions
env:
GH_TOKEN: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo ${LATEST_RELEASE} | awk -F '.' '{ print "LATEST_MINOR=" $2 }' | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "NEXT_MINOR=" $2 + 1 }' | tee -a $GITHUB_ENV
- name: Update version numbers
run: |
sed -i -e "s/^AC_INIT(\[QuantLib\].*$/AC_INIT([QuantLib], [1.${NEXT_MINOR}-dev],/g" configure.ac
sed -i -e "s/^#define QL_VERSION.*$/#define QL_VERSION \"1.${NEXT_MINOR}-dev\"/g" ql/version.hpp
sed -i -e "s/^#define QL_HEX_VERSION.*$/#define QL_HEX_VERSION 0x01${NEXT_MINOR}0000/g" ql/version.hpp
sed -i -e "s/^set(QUANTLIB_VERSION_MINOR .*$/set(QUANTLIB_VERSION_MINOR ${NEXT_MINOR})/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION .*$/set(PACKAGE_VERSION \"1.${NEXT_MINOR}-dev\"\)/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION_HEX.*$/set(PACKAGE_VERSION_HEX \"0x01${NEXT_MINOR}0000\"\)/g" CMakeLists.txt
git commit -a -m "Set version to 1.${NEXT_MINOR}-dev"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: set-to-rc-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.NEXT_MINOR }}-dev'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/license-url.yml 0000664 0000000 0000000 00000001364 15131150556 0021526 0 ustar 00root root 0000000 0000000 name: Update old license links
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
license-urls:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
shopt -s globstar
sed -i -e 's|http://quantlib\.org/license\.shtml|https://www.quantlib.org/license.shtml|g' **/*.[hc]pp **/*.ac **/*.docs **/*.cfg **/*.sh **/*.el
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: update-license-links-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update old license links'
title: 'Update old license links'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/linux-full-tests.yml 0000664 0000000 0000000 00000015614 15131150556 0022546 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 13.3 (Boost 1.89)"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
- name: "gcc 14.x"
shortname: gcc14
tag: plucky
cc: gcc
cxx: g++
- name: "gcc 15.x"
shortname: gcc15
tag: questing
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 (Boost 1.89)"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
- name: "Clang 19 (Boost 1.89)"
shortname: clang19
tag: oracular
cc: clang
cxx: clang++
- name: "Clang 20"
shortname: clang20
tag: questing
cc: clang
cxx: clang++
- name: "Clang 21"
shortname: clang21
tag: resolute
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@v6
- 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-1.41/.github/workflows/linux-nondefault.yml 0000664 0000000 0000000 00000013311 15131150556 0022573 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 13.3 (Boost 1.89)"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
- name: "gcc 14.x"
shortname: gcc14
tag: plucky
cc: gcc
cxx: g++
- name: "gcc 15.x"
shortname: gcc15
tag: questing
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 (Boost 1.89)"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
- name: "Clang 19 (Boost 1.89)"
shortname: clang19
tag: oracular
cc: clang
cxx: clang++
- name: "Clang 20"
shortname: clang20
tag: questing
cc: clang
cxx: clang++
- name: "Clang 21"
shortname: clang21
tag: resolute
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@v6
- 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-1.41/.github/workflows/linux.yml 0000664 0000000 0000000 00000013076 15131150556 0020446 0 ustar 00root root 0000000 0000000 name: Linux build
on:
push:
branches:
- '**'
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 13.3 (Boost 1.89)"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
tests: true
- name: "gcc 15.x"
shortname: gcc15
tag: questing
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 (Boost 1.89)"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
tests: true
- name: "Clang 21"
shortname: clang21
tag: resolute
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@v6
- 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-1.41/.github/workflows/macos-nondefault.yml 0000664 0000000 0000000 00000002534 15131150556 0022543 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-14, macos-15]
classes: [boost, std]
include:
- classes: std
configureflags: --enable-std-pointers --disable-std-any --disable-std-optional
steps:
- uses: actions/checkout@v6
- 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-1.41/.github/workflows/macos.yml 0000664 0000000 0000000 00000002325 15131150556 0020404 0 ustar 00root root 0000000 0000000 name: Mac OS build
on:
push:
branches:
- '**'
pull_request:
jobs:
build:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
os: [macos-14, macos-15]
steps:
- uses: actions/checkout@v6
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost ccache
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: macos-ci-build-${{ 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-1.41/.github/workflows/misspell.yml 0000664 0000000 0000000 00000001202 15131150556 0021123 0 ustar 00root root 0000000 0000000 name: Misspell fixer
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- uses: sobolevn/misspell-fixer-action@master
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: misspell-fixes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fixes by misspell-fixer'
title: 'Typos fixed by misspell-fixer'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/msvc-all-configs.yml 0000664 0000000 0000000 00000004030 15131150556 0022441 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: 90
vsversion: 2022
steps:
- uses: actions/checkout@v6
- 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: ${{ contains(matrix.configuration, 'Release') }}
run: |
.\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
- name: Run examples
if: ${{ contains(matrix.configuration, 'Release') }}
run: |
foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
{
& $file.FullName
if (!$?) { Exit $LASTEXITCODE }
}
QuantLib-1.41/.github/workflows/msvc-analysis.yml 0000664 0000000 0000000 00000003052 15131150556 0022071 0 ustar 00root root 0000000 0000000 name: Microsoft C++ Code Analysis
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
env:
# Path to the CMake build directory.
build: '${{ github.workspace }}/build'
jobs:
analyze:
name: Analyze
runs-on: windows-2022
steps:
- name: Checkout repository
uses: actions/checkout@v6
- name: Setup
run: |
$Url = "https://archives.boost.io/release/1.90.0/source/boost_1_90_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_90_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@v4
with:
sarif_file: ${{ steps.run-analysis.outputs.sarif }}
- name: Upload SARIF as an Artifact
uses: actions/upload-artifact@v6
with:
name: sarif-file
path: ${{ steps.run-analysis.outputs.sarif }}
QuantLib-1.41/.github/workflows/msvc-nondefault.yml 0000664 0000000 0000000 00000003604 15131150556 0022410 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: 90
vsversion: 2022
steps:
- uses: actions/checkout@v6
- 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=${{ matrix.toolset }}
- name: Test
run: |
.\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
- name: Run examples
run: |
foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
{
& $file.FullName
if (!$?) { Exit $LASTEXITCODE }
}
QuantLib-1.41/.github/workflows/msvc.yml 0000664 0000000 0000000 00000003332 15131150556 0020251 0 ustar 00root root 0000000 0000000 name: Windows build
on:
push:
branches:
- '**'
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: 90
vsversion: 2022
steps:
- uses: actions/checkout@v6
- 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
run: |
.\test-suite\bin\QuantLib-test-suite*.exe --log_level=message
- name: Run examples
run: |
foreach ($file in Get-ChildItem -Path .\Examples\*.exe -Recurse)
{
& $file.FullName
if (!$?) { Exit $LASTEXITCODE }
}
QuantLib-1.41/.github/workflows/namespaces.yml 0000664 0000000 0000000 00000002353 15131150556 0021422 0 ustar 00root root 0000000 0000000 name: Fix deprecated uses of ext namespace
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check-namespaces:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- 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@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: fix-ext-namespace-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fix deprecated uses of ext namespace'
title: 'Fix deprecated uses of ext namespace'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/prepare-release-candidate.yml 0000664 0000000 0000000 00000004022 15131150556 0024264 0 ustar 00root root 0000000 0000000 name: Prepare release candidate
on:
workflow_dispatch:
jobs:
update-for-rc:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup git
run: |
git config user.name 'lballabio[bot]'
git config user.email '224797326+lballabio-bot@users.noreply.github.com'
- name: Calculate versions
env:
GH_TOKEN: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo ${LATEST_RELEASE} | awk -F '.' '{ print "LATEST_MINOR=" $2 }' | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "NEXT_MINOR=" $2 + 1 }' | tee -a $GITHUB_ENV
- name: Update version numbers
run: |
sed -i -e "s/^AC_INIT(\[QuantLib\].*$/AC_INIT([QuantLib], [1.${NEXT_MINOR}-rc],/g" configure.ac
sed -i -e "s/^#define QL_VERSION.*$/#define QL_VERSION \"1.${NEXT_MINOR}-rc\"/g" ql/version.hpp
sed -i -e "s/^#define QL_HEX_VERSION.*$/#define QL_HEX_VERSION 0x01${NEXT_MINOR}00c0/g" ql/version.hpp
sed -i -e "s/^set(PACKAGE_VERSION .*$/set(PACKAGE_VERSION \"1.${NEXT_MINOR}-rc\"\)/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION_HEX.*$/set(PACKAGE_VERSION_HEX \"0x01${NEXT_MINOR}00c0\"\)/g" CMakeLists.txt
git commit -a -m "Set version to 1.${NEXT_MINOR}-rc"
- name: Update ChangeLog
run: |
git log --pretty=medium --date=rfc --stat --grep='Merge [^p]' --grep='[Mm]erged' --grep='[Pp]ull from' --invert-grep v1.${LATEST_MINOR}... > ChangeLog.txt
git commit -a -m "Update changelog"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: set-to-rc-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.NEXT_MINOR }}-rc'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/prepare-release.yml 0000664 0000000 0000000 00000004025 15131150556 0022355 0 ustar 00root root 0000000 0000000 name: Prepare release
on:
workflow_dispatch:
jobs:
update-for-release:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup git
run: |
git config user.name 'lballabio[bot]'
git config user.email '224797326+lballabio-bot@users.noreply.github.com'
- name: Calculate versions
env:
GH_TOKEN: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo ${LATEST_RELEASE} | awk -F '.' '{ print "LATEST_MINOR=" $2 }' | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "NEXT_MINOR=" $2 + 1 }' | tee -a $GITHUB_ENV
- name: Update version numbers
run: |
sed -i -e "s/^AC_INIT(\[QuantLib\].*$/AC_INIT([QuantLib], [1.${NEXT_MINOR}],/g" configure.ac
sed -i -e "s/^#define QL_VERSION.*$/#define QL_VERSION \"1.${NEXT_MINOR}\"/g" ql/version.hpp
sed -i -e "s/^#define QL_HEX_VERSION.*$/#define QL_HEX_VERSION 0x01${NEXT_MINOR}00f0/g" ql/version.hpp
sed -i -e "s/^set(PACKAGE_VERSION .*$/set(PACKAGE_VERSION \"1.${NEXT_MINOR}\"\)/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION_HEX.*$/set(PACKAGE_VERSION_HEX \"0x01${NEXT_MINOR}00f0\"\)/g" CMakeLists.txt
git commit -a -m "Set version to 1.${NEXT_MINOR}"
- name: Update ChangeLog
run: |
git log --pretty=medium --date=rfc --stat --grep='Merge [^p]' --grep='[Mm]erged' --grep='[Pp]ull from' --invert-grep v1.${LATEST_MINOR}... > ChangeLog.txt
git commit -a -m "Update changelog"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: update-version-for-release-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.NEXT_MINOR }} final'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/publish-release-candidate.yml 0000664 0000000 0000000 00000002171 15131150556 0024277 0 ustar 00root root 0000000 0000000 name: Publish release candidate
on:
push:
tags:
- 'v1.*-rc'
permissions:
contents: write
packages: write
jobs:
publish-rc:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev tofrodos
./autogen.sh
./configure
- name: Make tarballs
run: |
mkdir tarballs
make dist
mv QuantLib-*.tar.gz tarballs
cd tarballs && ../tools/tgz2zip *.tar.gz && ls -lh
- name: Extract version
run: |
echo ${{ github.ref_name }} | awk -F '[v-]' '{ print "VERSION_NUMBER=" $2 }' | tee -a $GITHUB_ENV
- name: Create prerelease
env:
GH_TOKEN: ${{ github.token }}
run: |
gh release create ${{ github.ref_name }} \
--title "${VERSION_NUMBER} release candidate" \
--prerelease \
--notes "This is a release candidate. Please try it out and report any issues here on GitHub." --generate-notes \
tarballs/*.tar.gz tarballs/*.zip
QuantLib-1.41/.github/workflows/publish-release.yml 0000664 0000000 0000000 00000006153 15131150556 0022371 0 ustar 00root root 0000000 0000000 name: Draft new release
on:
push:
tags:
- 'v1.[0-9]+'
permissions:
contents: write
packages: write
jobs:
draft-release:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
with:
fetch-depth: 0
fetch-tags: true
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev tofrodos
./autogen.sh
./configure
- name: Make tarballs
run: |
mkdir tarballs
make dist
mv QuantLib-*.tar.gz tarballs
cd tarballs && ../tools/tgz2zip *.tar.gz && ls -lh
- name: Extract version
run: |
echo ${{ github.ref_name }} | awk -F '[v-]' '{ print "VERSION_NUMBER=" $2 }' | tee -a $GITHUB_ENV
- name: Prepare release notes
run: |
echo "Downloads:" >> tarballs/notes.txt
echo "==========" >> tarballs/notes.txt
echo "" >> tarballs/notes.txt
echo "- [QuantLib-${VERSION_NUMBER}.tar.gz](https://github.com/lballabio/QuantLib/releases/download/v${VERSION_NUMBER}/QuantLib-${VERSION_NUMBER}.tar.gz)" >> tarballs/notes.txt
echo "- [QuantLib-${VERSION_NUMBER}.zip](https://github.com/lballabio/QuantLib/releases/download/v${VERSION_NUMBER}/QuantLib-${VERSION_NUMBER}.zip)" >> tarballs/notes.txt
echo "" >> tarballs/notes.txt
awk '/Full list of pull requests/{ exit } { print }' News.md >> tarballs/notes.txt
- name: Create draft release
env:
GH_TOKEN: ${{ github.token }}
run: |
gh release create ${{ github.ref_name }} \
--title "${VERSION_NUMBER}" \
--draft \
--notes-file tarballs/notes.txt \
--generate-notes \
tarballs/*.tar.gz tarballs/*.zip
reference-manual:
runs-on: macos-latest
steps:
- uses: actions/checkout@v6
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost doxygen graphviz
- name: Doxygen version
run: |
doxygen --version
- name: Generate docs
run: |
./autogen.sh
./configure --with-boost-include=$(brew --prefix)/include
make docs
- uses: actions/checkout@v6
with:
repository: quantlib/quantlib.github.io
path: site
- name: Update docs
working-directory: site
run: |
rm -rf reference
mv ../Docs/html reference
git add reference
cp ../LICENSE.TXT _includes/LICENSE.TXT
- uses: peter-evans/create-pull-request@v8
with:
path: site
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/quantlib.github.io
branch: reference-docs-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update reference docs for ${{ github.ref_name }}'
title: 'Update reference docs for ${{ github.ref_name }}'
author: lballabio[bot] <224797326+lballabio-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.
QuantLib-1.41/.github/workflows/sanitizer.yml 0000664 0000000 0000000 00000002646 15131150556 0021320 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@v6
- 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@v6
- 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-1.41/.github/workflows/stale.yml 0000664 0000000 0000000 00000002224 15131150556 0020410 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@v10
with:
repo-token: ${{ secrets.GITHUB_TOKEN }}
stale-issue-message: 'This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-issue-message: 'This issue was automatically closed because it has been stalled for two weeks with no further activity.'
stale-pr-message: 'This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-pr-message: 'This PR was automatically closed because it has been stalled for two weeks with no further activity.'
days-before-stale: 60
days-before-close: 14
stale-issue-label: 'stale'
stale-pr-label: 'stale'
exempt-issue-labels: 'help wanted,in progress'
exempt-pr-labels: 'help wanted,in progress'
exempt-all-milestones: true
QuantLib-1.41/.github/workflows/sync-qldefines.yml 0000664 0000000 0000000 00000001735 15131150556 0022232 0 ustar 00root root 0000000 0000000 name: Keep qldefines.hpp.cfg in sync with original header
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
sync-files:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- name: Check
run: |
cp ql/qldefines.hpp ql/qldefines.hpp.cfg
sed -i -e 's|^#if defined(HAVE_CONFIG_H).*$|#if defined(QL_HAVE_CONFIG_H) // Dynamically created by cmake|g' ql/qldefines.hpp.cfg
sed -i -e 's|^/\* install-hook \*/.*$|#cmakedefine QL_HAVE_CONFIG_H|g' ql/qldefines.hpp.cfg
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: sync-qldefine-${{ github.ref_name }}
delete-branch: true
commit-message: 'Sync qldefines.hpp.cfg with original header'
title: 'Sync qldefines.hpp.cfg with original header'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.41/.github/workflows/test-times.yml 0000664 0000000 0000000 00000002601 15131150556 0021375 0 ustar 00root root 0000000 0000000 name: Check test times
on:
push:
branches:
- '**'
pull_request:
jobs:
check-test-times:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v6
- 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@v6
with:
name: test-reports
path: ./*.xml
- name: Check test times
run: |
python ./tools/check_test_times.py
QuantLib-1.41/.github/workflows/tidy.yml 0000664 0000000 0000000 00000002146 15131150556 0020254 0 ustar 00root root 0000000 0000000 name: Apply clang-tidy fixes
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
check:
runs-on: ubuntu-24.04
steps:
- uses: actions/checkout@v6
- 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@v8
if: ${{ always() }}
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: clang-tidy-fixes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Automated fixes by clang-tidy'
title: 'Automated fixes by clang-tidy'
author: lballabio[bot] <224797326+lballabio-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-1.41/.gitignore 0000664 0000000 0000000 00000003661 15131150556 0015156 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/
install/
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-1.41/.lgtm.yml 0000664 0000000 0000000 00000000246 15131150556 0014726 0 ustar 00root root 0000000 0000000
path_classifiers:
docs:
- Docs
- Examples
test:
- test-suite
library:
- tools
queries:
- exclude: cpp/fixme-comment
QuantLib-1.41/.lsan.txt 0000664 0000000 0000000 00000000001 15131150556 0014723 0 ustar 00root root 0000000 0000000
QuantLib-1.41/.misspell-fixer.ignore 0000664 0000000 0000000 00000000022 15131150556 0017400 0 ustar 00root root 0000000 0000000 ^./ChangeLog.txt
QuantLib-1.41/.msvc-analysis.ruleset 0000664 0000000 0000000 00000001004 15131150556 0017427 0 ustar 00root root 0000000 0000000
QuantLib-1.41/CITATION.cff 0000664 0000000 0000000 00000000555 15131150556 0015057 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-1.41/CMakeLists.txt 0000664 0000000 0000000 00000025262 15131150556 0015727 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 41)
set(QUANTLIB_VERSION_PATCH 0)
set(QUANTLIB_VERSION ${QUANTLIB_VERSION_MAJOR}.${QUANTLIB_VERSION_MINOR}.${QUANTLIB_VERSION_PATCH})
# Project Info
set(PACKAGE_NAME "QuantLib")
set(PACKAGE_VERSION "1.41")
set(PACKAGE_VERSION_HEX "0x014100f0")
set(PACKAGE_STRING "${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-1.41/CMakePresets.json 0000664 0000000 0000000 00000017600 15131150556 0016405 0 ustar 00root root 0000000 0000000 {
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"hostOS": [
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"name": "linux-gcc-base",
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"rhs": "Darwin"
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},
{
"name": "ninja",
"hidden": true,
"generator": "Ninja"
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{
"name": "make",
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"generator": "Unix Makefiles"
},
{
"name": "_release",
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"cacheVariables": {
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}
},
{
"name": "_debug",
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"cacheVariables": {
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"name": "linux-clang-debug",
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"name": "linux-clang-release",
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},
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"name": "linux-gcc-debug",
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},
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"name": "linux-gcc-release",
"inherits": [
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},
{
"name": "linux-gcc-relwithdebinfo",
"inherits": [
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"make",
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},
{
"name": "linux-clang-ninja-debug",
"inherits": [
"ninja",
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},
{
"name": "linux-clang-ninja-release",
"inherits": [
"ninja",
"linux-clang-release"
]
},
{
"name": "linux-clang-ninja-relwithdebinfo",
"inherits": [
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},
{
"name": "linux-gcc-ninja-debug",
"inherits": [
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]
},
{
"name": "linux-gcc-ninja-release",
"inherits": [
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},
{
"name": "linux-gcc-ninja-relwithdebinfo",
"inherits": [
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]
},
{
"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": [
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"name": "windows-clang-debug",
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"name": "windows-clang-relwithdebinfo",
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{
"name": "windows-msvc-release",
"inherits": [
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{
"name": "windows-msvc-debug",
"inherits": [
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{
"name": "windows-msvc-relwithdebinfo",
"inherits": [
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]
},
{
"name": "linux-ci-build-with-clang-tidy",
"inherits": [
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],
"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"
}
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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"
}
},
{
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"QL_USE_INDEXED_COUPON": "ON",
"QL_USE_STD_SHARED_PTR": "ON",
"QL_USE_STD_ANY": "OFF",
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"CMAKE_CXX_COMPILER_LAUNCHER": "sccache"
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},
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"name": "apple-arm64-ninja-relwithdebinfo",
"description": "Apple M series preset RelWithDebInfo",
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}
]
}
QuantLib-1.41/CONTRIBUTING.md 0000664 0000000 0000000 00000003631 15131150556 0015414 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-1.41/ChangeLog.txt 0000664 0000000 0000000 00000271612 15131150556 0015561 0 ustar 00root root 0000000 0000000 commit dbea7afad72f59706fa08a4cbfa5880684d9b8d9
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Mon, 12 Jan 2026 09:21:31 +0000
Set version to 1.41
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit c90498ad13cbc660c3e80c8c65598ad2c897fef0
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Mon, 5 Jan 2026 19:24:10 +0000
Update changelog
ChangeLog.txt | 11008 ++++++++++----------------------------------------------
1 file changed, 1946 insertions(+), 9062 deletions(-)
commit 5225d64206cd4f2555b5cf3a03b20ca55405d934
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Mon, 5 Jan 2026 19:24:10 +0000
Set version to 1.41-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit d6d38347e51cd8f2a617b1591f87e550af29ff86
Merge: 7590f1b57 4ecf2c764
Author: Luigi Ballabio
Date: Mon, 5 Jan 2026 18:11:23 +0100
typo in multi-curve error message (#2419)
commit 4ecf2c764c21bfe4ed46d2da5727a6880641975f
Author: Peter Caspers
Date: Mon, 5 Jan 2026 17:04:10 +0100
typo
ql/termstructures/multicurve.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7590f1b57853e52770da7ba6da26f01ba1226ffb
Author: Luigi Ballabio
Date: Mon, 5 Jan 2026 09:26:49 +0100
Add clang 21 to CI builds
.github/workflows/devenv-images.yml | 2 +-
.github/workflows/linux-full-tests.yml | 7 ++++++-
.github/workflows/linux-nondefault.yml | 7 ++++++-
.github/workflows/linux.yml | 6 +++---
4 files changed, 16 insertions(+), 6 deletions(-)
commit e41f1b6b3402c4cd44f22b7b5050f80e56c7cabc
Author: Luigi Ballabio
Date: Mon, 5 Jan 2026 12:37:24 +0100
Update news for 1.41 and list of contributors
Contributors.txt | 3 +++
News.md | 47 +++++++++++++++++++++++------------------------
2 files changed, 26 insertions(+), 24 deletions(-)
commit defbf778b37146394da752513ad6b54070ed112d
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sat, 3 Jan 2026 13:57:18 +0000
Automated fixes by clang-tidy
ql/cashflows/overnightindexedcoupon.cpp | 4 ++--
ql/cashflows/overnightindexedcoupon.hpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit bc7db315bb7ed1c5669cb8069898c1804bc4c9ea
Author: Luigi Ballabio
Date: Sat, 3 Jan 2026 15:53:10 +0100
Revert #2410
ql/processes/gsrprocesscore.hpp | 2 +-
test-suite/gsr.cpp | 3 +++
2 files changed, 4 insertions(+), 1 deletion(-)
commit b43bcbfe75a4dc8518c91ab508e76a15162bbc37
Merge: 17a5a84fa be2041853
Author: Luigi Ballabio
Date: Tue, 30 Dec 2025 14:59:48 +0100
Some deferred observers get destroyed during updates II (#2412)
commit be2041853087c071bdff5151a320eddc1a7c18a4
Author: francis
Date: Tue, 30 Dec 2025 12:55:23 +0000
Avoid dereferencing null deferred observer.
Alternative approach for PR 2409.
ql/patterns/observable.cpp | 6 ++----
ql/patterns/observable.hpp | 19 +++++++++++--------
2 files changed, 13 insertions(+), 12 deletions(-)
commit 17a5a84fa618bbfb04beefcf0f5c3531fc756b58
Author: Luigi Ballabio
Date: Mon, 29 Dec 2025 23:37:47 +0100
Copy latest copyright list to website when tagging a release
.github/workflows/publish-release.yml | 1 +
1 file changed, 1 insertion(+)
commit 6ab7d21faa12632e466f5c209e11ba4f6abd59de
Merge: 2bd9e3dfd 86683188e
Author: Luigi Ballabio
Date: Mon, 29 Dec 2025 11:18:21 +0100
Fix GsrProcessCore crash when constructed with temporary arrays (#2410)
commit 2bd9e3dfd916e9fc7004e657e374f36fa279e713
Merge: 302e4d7d7 ad90c6f1b
Author: Luigi Ballabio
Date: Mon, 29 Dec 2025 10:50:04 +0100
Some deferred observers get destroyed during updates (#2409)
commit 302e4d7d70ad1de6d2380e9c8e1838d8018f2d48
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 28 Dec 2025 01:31:22 +0000
Automated fixes by clang-tidy
ql/cashflows/blackovernightindexedcouponpricer.cpp | 5 +++--
ql/cashflows/blackovernightindexedcouponpricer.hpp | 4 ++--
ql/cashflows/overnightindexedcoupon.cpp | 6 +++---
ql/cashflows/overnightindexedcoupon.hpp | 8 ++++----
ql/cashflows/overnightindexedcouponpricer.cpp | 9 +++++----
ql/cashflows/overnightindexedcouponpricer.hpp | 7 ++++---
ql/instruments/assetswap.cpp | 2 +-
ql/instruments/equitytotalreturnswap.cpp | 2 +-
8 files changed, 23 insertions(+), 20 deletions(-)
commit 86683188e66943a0a5d69754b853f2cce7f13e49
Author: Yashwant Bezawada
Date: Sat, 27 Dec 2025 03:11:29 -0600
Fix GsrProcessCore crash when constructed with temporary arrays
GsrProcessCore stored references to the input arrays instead of copies.
When temporary arrays were passed (common in SWIG bindings where Python
lists are converted to temporary Array objects), these references became
dangling after the constructor returned, causing segfaults during path
generation.
The fix changes the member variables from references to values so the
arrays are copied and remain valid for the lifetime of the object.
Added a test case that creates a GsrProcess with temporary arrays and
uses it in PathGenerator to verify path generation works correctly.
Fixes #2408
ql/processes/gsrprocesscore.hpp | 2 +-
test-suite/gsr.cpp | 53 +++++++++++++++++++++++++++++++++++++++++
2 files changed, 54 insertions(+), 1 deletion(-)
commit ad90c6f1b7c6023c040cc1cd7f548b440a646e58
Author: francis
Date: Wed, 24 Dec 2025 12:24:11 +0000
Avoid dereferencing null deferred observer.
Add a bool runningDeferredUpdates_ that is set to true when
deferredObservers_ are being processed in
ObservableSettings::enableUpdates(). We keep a set
invalidDeferredObservers_ that holds elements of deferredObservers_ that
are destroyed while ObservableSettings::enableUpdates() is running. We
can then skip calling update on them in
ObservableSettings::enableUpdates().
ql/patterns/observable.cpp | 8 ++++++++
ql/patterns/observable.hpp | 13 +++++++++++--
2 files changed, 19 insertions(+), 2 deletions(-)
commit c2b5cc811801593b5cc2cbbbb26d40b037d4202f
Author: francis
Date: Wed, 24 Dec 2025 10:50:45 +0000
Add test showing issue with deferred observer.
The test gives a read access violation. The problem is that some
elements in deferredObservers_ can be destroyed while
ObservableSettings::enableUpdates() is running. Later in the call
deferredObserver->update() is called on the already destructed element
and it gives a read access violation.
The example here uses the zero coupon inflation swap helper to
demonstrate the issue. The zciis_ member is one of the deferred
observers. When ObservableSettings::enableUpdates() is running
ZeroCouponInflationSwapHelper::initializeDates() is called because the
helper is notified and updateDates_ is true. zciis_ is re-assigned and
the original pointee is destroyed. But the original pointee that has
been destroyed is still in the deferredObservers_ set and update() gets
called on it leading to the read access violation.
test-suite/observable.cpp | 19 +++++++++++++++++++
1 file changed, 19 insertions(+)
commit ecefd253d0e2b648a8994f32f208af504ca36c94
Author: Luigi Ballabio
Date: Wed, 24 Dec 2025 09:46:47 +0100
Uniform naming
ql/cashflows/overnightindexedcoupon.cpp | 2 +-
ql/cashflows/overnightindexedcoupon.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 1daa40d013ff700292f421ec9473f419893b1379
Author: Luigi Ballabio
Date: Mon, 22 Dec 2025 09:53:40 +0100
Remove a few warnings and verbosity from new pricers
ql/cashflows/blackovernightindexedcouponpricer.cpp | 4 ++--
ql/cashflows/overnightindexedcouponpricer.cpp | 8 -------
ql/cashflows/overnightindexedcouponpricer.hpp | 25 +++++++++++-----------
3 files changed, 14 insertions(+), 23 deletions(-)
commit 9cbbbb2708019775a89f25871f429b78861f396e
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Thu, 18 Dec 2025 11:52:46 +0000
Update old license links
ql/cashflows/blackovernightindexedcouponpricer.cpp | 2 +-
ql/cashflows/blackovernightindexedcouponpricer.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit c15a6fecbd6bbe9fe8d509d6a20945a3815ebd2e
Merge: bf18303eb 5096ee8b9
Author: Luigi Ballabio
Date: Thu, 18 Dec 2025 12:52:35 +0100
QL-ORE ON coupons alignment (#2297)
commit 5096ee8b9216e733b62a658662775c2e70a90e27
Author: Luigi Ballabio
Date: Thu, 18 Dec 2025 11:02:52 +0100
Another test
test-suite/overnightindexedcoupon.cpp | 54 ++++++++++++++++++++++++++---------
1 file changed, 41 insertions(+), 13 deletions(-)
commit bf18303ebee20dab046c5b804b3188b0cf6d07f7
Author: Luigi Ballabio
Date: Thu, 18 Dec 2025 10:18:18 +0100
Add job to publish reference docs when tagging a release
.github/workflows/publish-release.yml | 41 +++++++++++++++++++++++++++++++++++
1 file changed, 41 insertions(+)
commit e10dd4e8fe0576b4fa87bd965b899ab72be7505a
Author: paolodelia99
Date: Wed, 17 Dec 2025 17:45:43 +0100
Fix test,and initialized method in BlackArithmeticONPricer
ql/cashflows/blackovernightindexedcouponpricer.cpp | 2 +-
test-suite/overnightindexedcoupon.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 7660c595758a980f2b8d08c9bbadce7c47f67908
Merge: 4f0732537 3c0a67935
Author: Luigi Ballabio
Date: Wed, 17 Dec 2025 11:27:38 +0100
add instrument weights to global bootstrap (#2398)
commit 9c719887b7426b377c92da996c6011674a73934f
Author: Luigi Ballabio
Date: Wed, 17 Dec 2025 11:09:13 +0100
Move check at construction time
With the check in setCouponPricer, the call
OvernightLeg(...)
.withCouponPricer(arithmeticPricer)
.withAveragingMethod(RateAveraging::Simple)
would fail.
ql/cashflows/overnightindexedcoupon.cpp | 15 +++++++++------
1 file changed, 9 insertions(+), 6 deletions(-)
commit fcf392a5e504f983226c73cd8be5e37d939a2398
Author: Luigi Ballabio
Date: Wed, 17 Dec 2025 11:05:49 +0100
Register properly with pricer
ql/cashflows/overnightindexedcoupon.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit b2e5ed12ab430c40b5cf0b9d4870fd16af5355db
Author: Luigi Ballabio
Date: Wed, 17 Dec 2025 11:03:03 +0100
Avoid worthless caps and floors in pricer tests
ql/cashflows/blackovernightindexedcouponpricer.cpp | 7 +--
test-suite/overnightindexedcoupon.cpp | 73 +++++++++++++++-------
2 files changed, 53 insertions(+), 27 deletions(-)
commit 6c3ccb316ec8c5f5655ed09fd3469393fe0d98e9
Author: Luigi Ballabio
Date: Wed, 17 Dec 2025 10:28:49 +0100
No need to set two different pricers depending on caps/floors
ql/cashflows/overnightindexedcoupon.cpp | 20 +++-----------------
ql/cashflows/overnightindexedcoupon.hpp | 7 ++-----
test-suite/overnightindexedcoupon.cpp | 4 ++--
3 files changed, 7 insertions(+), 24 deletions(-)
commit 3c0a67935723ced7dc08706b616a1ed3d9d02cae
Author: Peter Caspers
Date: Wed, 17 Dec 2025 09:53:52 +0100
fix maxDate and revert enabling extrapolation
ql/termstructures/globalbootstrap.hpp | 9 ++++++---
1 file changed, 6 insertions(+), 3 deletions(-)
commit fa60f238eb37cbac516099f1fb2e0199deb593a9
Author: paolodelia99
Date: Tue, 16 Dec 2025 19:48:59 +0100
fix infinite loop problem in initialize method in blackONPricer
ql/cashflows/blackovernightindexedcouponpricer.cpp | 6 ++++--
test-suite/overnightindexedcoupon.cpp | 7 ++++++-
2 files changed, 10 insertions(+), 3 deletions(-)
commit a1310598c7ba2e70e80b49c79aeb24e9eacf44e9
Author: Peter Caspers
Date: Tue, 16 Dec 2025 16:45:08 +0100
fix
ql/termstructures/globalbootstrap.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2900e2e9e5fefd639e55eef44596ad531ba0239a
Author: Peter Caspers
Date: Tue, 16 Dec 2025 16:18:23 +0100
omit sorting of helpers, enable extrapolation on underlying curve
ql/termstructures/globalbootstrap.cpp | 2 +-
ql/termstructures/globalbootstrap.hpp | 108 ++++++++++++++++------------------
2 files changed, 52 insertions(+), 58 deletions(-)
commit 4f073253701e2c600a87ff6a26434b5dea57a7b1
Merge: 5945c8951 c147bfc26
Author: Luigi Ballabio
Date: Tue, 16 Dec 2025 11:55:54 +0100
Add an accessor for pricing engine (#2400)
commit e99ae9daeaf561b53feef6bd680019c005ef0926
Author: Luigi Ballabio
Date: Tue, 16 Dec 2025 09:18:59 +0100
Renamed a few classes and methods for clarity
ql/cashflows/blackovernightindexedcouponpricer.cpp | 106 ++++++++++-----------
ql/cashflows/blackovernightindexedcouponpricer.hpp | 18 ++--
ql/cashflows/overnightindexedcoupon.cpp | 54 +++++------
ql/cashflows/overnightindexedcoupon.hpp | 32 +++----
ql/cashflows/overnightindexedcouponpricer.cpp | 22 ++---
ql/cashflows/overnightindexedcouponpricer.hpp | 14 +--
test-suite/overnightindexedcoupon.cpp | 41 ++++----
7 files changed, 144 insertions(+), 143 deletions(-)
commit 5945c8951762799c67f1c7b3496c25d947bb3ccc
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 15 Dec 2025 11:01:00 +0000
Bump actions/upload-artifact from 5 to 6
Bumps [actions/upload-artifact](https://github.com/actions/upload-artifact) from 5 to 6.
- [Release notes](https://github.com/actions/upload-artifact/releases)
- [Commits](https://github.com/actions/upload-artifact/compare/v5...v6)
---
updated-dependencies:
- dependency-name: actions/upload-artifact
dependency-version: '6'
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot]
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/test-times.yml | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit d5f33b8c412f4bb0803aa6a6adfefd0fcedb5078
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 15 Dec 2025 11:01:19 +0000
Bump peter-evans/create-pull-request from 7 to 8
Bumps [peter-evans/create-pull-request](https://github.com/peter-evans/create-pull-request) from 7 to 8.
- [Release notes](https://github.com/peter-evans/create-pull-request/releases)
- [Commits](https://github.com/peter-evans/create-pull-request/compare/v7...v8)
---
updated-dependencies:
- dependency-name: peter-evans/create-pull-request
dependency-version: '8'
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot]
.github/workflows/copyrights.yml | 2 +-
.github/workflows/generated-headers.yml | 2 +-
.github/workflows/includes.yml | 2 +-
.github/workflows/increase-version-number.yml | 2 +-
.github/workflows/license-url.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/namespaces.yml | 2 +-
.github/workflows/prepare-release-candidate.yml | 2 +-
.github/workflows/prepare-release.yml | 2 +-
.github/workflows/sync-qldefines.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
11 files changed, 11 insertions(+), 11 deletions(-)
commit 99c56ceb4b6cae3437709f92f083b58d9c32b8f1
Merge: 619a23ac1 1e9efef1c
Author: Luigi Ballabio
Date: Fri, 12 Dec 2025 14:33:27 +0100
Use quoteError in FittedBondDiscountCurve (#2401)
commit 619a23ac13e40a9528da4b8cea543b2a5f16290f
Merge: 99d3a393f 536011abf
Author: Luigi Ballabio
Date: Thu, 11 Dec 2025 15:04:19 +0100
Patches for AD compatibility (#2402)
commit 99d3a393f53df48d4f3ada206ed06379308a6859
Author: Luigi Ballabio
Date: Thu, 11 Dec 2025 15:03:06 +0100
Upgrade to Boost 1.90 in CI workflows
.github/workflows/cmake-latest-runners.yml | 4 ++--
.github/workflows/cmake.yml | 12 ++++++------
.github/workflows/msvc-all-configs.yml | 2 +-
.github/workflows/msvc-analysis.yml | 4 ++--
.github/workflows/msvc-nondefault.yml | 2 +-
.github/workflows/msvc.yml | 2 +-
6 files changed, 13 insertions(+), 13 deletions(-)
commit 1c155151f2bda9545973e14f2863d0217aadc310
Author: Peter Caspers
Date: Wed, 10 Dec 2025 17:09:11 +0100
fix capture
test-suite/piecewiseyieldcurve.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4f07b1f04a35d2d2ba7586db6c581ab5beaeff97
Author: Peter Caspers
Date: Wed, 10 Dec 2025 17:05:27 +0100
clearer code
test-suite/piecewiseyieldcurve.cpp | 26 ++++++++++++++++++--------
1 file changed, 18 insertions(+), 8 deletions(-)
commit ebb3c032b8ec99b46f3444889da82e75a8305769
Author: Peter Caspers
Date: Wed, 10 Dec 2025 16:46:24 +0100
add unit test
test-suite/piecewiseyieldcurve.cpp | 32 ++++++++++++++++++++++++++++++++
1 file changed, 32 insertions(+)
commit 536011abfda53e1aa6b7d2f7b53f466a65887a2a
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Wed, 10 Dec 2025 12:35:43 +0000
constexpr and implicit conversion fixes for using with non-double Real type
test-suite/piecewiseyieldcurve.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 3fdbb754932698803ce038ab108c6652aae89703
Author: Peter Caspers
Date: Tue, 9 Dec 2025 20:07:58 +0100
add instrument weights
ql/termstructures/globalbootstrap.hpp | 62 ++++++++++++++++++++++-------------
1 file changed, 40 insertions(+), 22 deletions(-)
commit 97ba81f0a08eb1ab9990276a9caaeacabcdaf8b2
Author: Peter Caspers
Date: Tue, 9 Dec 2025 19:29:13 +0100
Revert "introduce scale"
This reverts commit 889b98fb2bea518090b556b28ba58ade30cf115a.
ql/termstructures/bootstraphelper.hpp | 16 ++++++----------
ql/termstructures/globalbootstrap.hpp | 3 +--
ql/termstructures/iterativebootstrap.hpp | 2 +-
ql/termstructures/yield/ratehelpers.cpp | 6 +++---
4 files changed, 11 insertions(+), 16 deletions(-)
commit 322392bc085800f59c06b8db88e69f49bbd9ccb4
Author: Peter Caspers
Date: Tue, 9 Dec 2025 19:29:09 +0100
Revert "scale should be the factor to get to the order of 1"
This reverts commit 12ea554e2eb42cd0c665ac574f6fff9e3e37c94f.
ql/termstructures/yield/ratehelpers.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit bd7883ea0a26868c2999e1a33edcfb435faf07b7
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Tue, 9 Dec 2025 18:28:06 +0000
Fixes test macros to be compatible with other types
test-suite/piecewiseyieldcurve.cpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 1e9efef1cb181e271cccafb1553ca69ee0bc5f8d
Author: Eugene Toder
Date: Tue, 9 Dec 2025 12:02:07 -0500
Use quoteError in FittedBondDiscountCurve
ql/termstructures/yield/fittedbonddiscountcurve.cpp | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit c147bfc26db3b5ee15abb98a1b5785818dc570a6
Author: Eugene Toder
Date: Tue, 9 Dec 2025 09:48:30 -0500
Add an accessor for pricing engine
ql/instrument.hpp | 5 +++++
1 file changed, 5 insertions(+)
commit 7fa295f752a00eff4abcd7c55c1e2d055cb300fb
Merge: eef27a34a 5acde822e
Author: Luigi Ballabio
Date: Tue, 9 Dec 2025 12:20:13 +0100
relax check on helper maturities in GlobalBootstrap (#2395)
commit eef27a34a552f375e25b19f2632b7d3dbd433b69
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 7 Dec 2025 01:36:34 +0000
Automated fixes by clang-tidy
ql/instruments/asianoption.cpp | 4 ++--
ql/instruments/asianoption.hpp | 4 ++--
ql/patterns/lazyobject.hpp | 2 +-
ql/termstructures/globalbootstrap.cpp | 7 ++++---
ql/termstructures/multicurve.cpp | 6 +++---
ql/termstructures/multicurve.hpp | 4 ++--
6 files changed, 14 insertions(+), 13 deletions(-)
commit 289937841d07f30375133675985584db76e00208
Author: Luigi Ballabio
Date: Tue, 9 Dec 2025 09:09:13 +0100
Avoid a few conversion warnings
ql/termstructures/globalbootstrap.cpp | 2 +-
test-suite/piecewiseyieldcurve.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit a55e72511632308094bc45a9a21aeeac32facd8b
Author: paolodelia99
Date: Mon, 8 Dec 2025 17:35:37 +0100
return plain spread in case simple avg ONCopoun
ql/cashflows/overnightindexedcoupon.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 12ea554e2eb42cd0c665ac574f6fff9e3e37c94f
Author: Peter Caspers
Date: Sun, 7 Dec 2025 20:21:40 +0100
scale should be the factor to get to the order of 1
ql/termstructures/yield/ratehelpers.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 889b98fb2bea518090b556b28ba58ade30cf115a
Author: Peter Caspers
Date: Sun, 7 Dec 2025 19:21:52 +0100
introduce scale
ql/termstructures/bootstraphelper.hpp | 16 ++++++++++------
ql/termstructures/globalbootstrap.hpp | 3 ++-
ql/termstructures/iterativebootstrap.hpp | 2 +-
ql/termstructures/yield/ratehelpers.cpp | 6 +++---
4 files changed, 16 insertions(+), 11 deletions(-)
commit ca701f7ad702aae1e70f259160d686c2d2ffe63c
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Sat, 6 Dec 2025 14:32:24 +0000
Constexpr auto as it might be incompatible with Real
test-suite/piecewiseyieldcurve.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 6824d28e42241c2632c090d7a1d9a2ffe9ccd7aa
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Sat, 6 Dec 2025 14:29:36 +0000
Explicit return type on lambda to allow use with expression templates
ql/pricingengines/vanilla/cashdividendeuropeanengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 33a3be2c4ebbbcb91f3eeec0915f76e657bf5246
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Sat, 6 Dec 2025 10:22:21 +0000
Avoid constexpr Real, as that breaks AD types
ql/termstructures/globalbootstrap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5acde822eb05a13ff7a8d6c1137440ea78fd22ec
Author: Peter Caspers
Date: Sat, 6 Dec 2025 10:51:02 +0100
remove old check
ql/termstructures/globalbootstrap.hpp | 6 ------
1 file changed, 6 deletions(-)
commit decdd7f4cc3c461018395e892b292d476c694627
Author: Peter Caspers
Date: Sat, 6 Dec 2025 10:48:03 +0100
relax check
ql/termstructures/globalbootstrap.hpp | 11 ++++++++---
1 file changed, 8 insertions(+), 3 deletions(-)
commit 9c6bbcff7a7573169d0ba695e8353465b6849a24
Merge: 4c8af36f2 c988da992
Author: Luigi Ballabio
Date: Fri, 5 Dec 2025 09:01:40 +0100
Natural Cubic Spline Fitting method (#2378)
commit 4c8af36f20219ed96196420468ff4d36b140e538
Author: Luigi Ballabio
Date: Thu, 4 Dec 2025 16:04:00 +0100
Avoid warning about implicit copy constructor
ql/utilities/steppingiterator.hpp | 1 +
1 file changed, 1 insertion(+)
commit c988da992947c38670261a138b36f4dffe9b3e81
Author: Luigi Ballabio
Date: Thu, 4 Dec 2025 17:39:13 +0100
Avoid Codacy warning
ql/termstructures/yield/nonlinearfittingmethods.hpp | 1 +
1 file changed, 1 insertion(+)
commit 967ec6e95045dcc70969ca7dddbf2305206295db
Author: Luigi Ballabio
Date: Thu, 4 Dec 2025 16:22:12 +0100
No need to add a node at t=0 in the example code
Examples/FittedBondCurve/FittedBondCurve.cpp | 11 +----------
1 file changed, 1 insertion(+), 10 deletions(-)
commit 41f6b252be88db24e9389f28e92c666806deba6a
Author: Luigi Ballabio
Date: Thu, 4 Dec 2025 16:21:59 +0100
More simplification
.../yield/nonlinearfittingmethods.cpp | 22 +++++++---------------
.../yield/nonlinearfittingmethods.hpp | 1 -
2 files changed, 7 insertions(+), 16 deletions(-)
commit c6f23c27209f9c87fce7dbb906e7d18425d32aaf
Author: Krishn Parasar
Date: Thu, 4 Dec 2025 00:21:55 +0530
Updates based on comments
Examples/FittedBondCurve/FittedBondCurve.cpp | 5 +++--
.../yield/nonlinearfittingmethods.cpp | 23 +++++-----------------
.../yield/nonlinearfittingmethods.hpp | 9 ---------
3 files changed, 8 insertions(+), 29 deletions(-)
commit 7a04258b20f599e4b489ae599def7a9155358900
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 3 Dec 2025 17:06:52 +0000
Update copyright list in license
LICENSE.TXT | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 6350a42558383f46c52932a4f9ff12e77503fcad
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 3 Dec 2025 17:06:51 +0000
Update old license links
ql/termstructures/globalbootstrap.cpp | 2 +-
ql/termstructures/multicurve.cpp | 2 +-
ql/termstructures/multicurve.hpp | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 0b3940320262d2f3efe48dc0cc3f0a897bf9b5a8
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 3 Dec 2025 14:50:38 +0000
Update generated headers
ql/termstructures/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 44513c97d8f4ef293475cfda51d7dbcb82586b2a
Merge: 7ed57d00e 09edbae05
Author: Luigi Ballabio
Date: Wed, 3 Dec 2025 15:48:31 +0100
Add support for seasoned continuous Asian options (#2381)
commit 8721724e6bbae7a352f2eaa6256a116eb81abc4b
Author: Krishn Parasar
Date: Wed, 3 Dec 2025 19:39:01 +0530
Updates based on comments.
Examples/FittedBondCurve/FittedBondCurve.cpp | 3 +
.../yield/nonlinearfittingmethods.cpp | 71 +---------------------
2 files changed, 6 insertions(+), 68 deletions(-)
commit 09edbae052edffbde9393eb097c21ba0b27c3e63
Author: Luigi Ballabio
Date: Wed, 3 Dec 2025 14:35:20 +0100
Avoid deprecated constructor in example
Examples/AsianOption/AsianOption.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 43a9156b4ab8e1a31baca5f3b4e5d9ee95ef0b9f
Author: Luigi Ballabio
Date: Wed, 3 Dec 2025 14:20:19 +0100
Deprecate old engine constructor
.../asian/continuousarithmeticasianlevyengine.cpp | 15 ++++++++++++---
.../asian/continuousarithmeticasianlevyengine.hpp | 8 ++++++++
test-suite/asianoptions.cpp | 14 +++++++-------
3 files changed, 27 insertions(+), 10 deletions(-)
commit 7ed57d00e1011f5a036ead8a3dd627cc2d61f520
Merge: b3612efbd 313f6c36a
Author: Luigi Ballabio
Date: Wed, 3 Dec 2025 13:03:22 +0100
add multicurve bootstrap (#2344)
commit 313f6c36a4719770b18c9893e1894f571f30b68c
Author: Peter Caspers
Date: Mon, 1 Dec 2025 18:03:10 +0100
improve doc
ql/termstructures/multicurve.hpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit 04d3317642ea2d8486753114011ed1eb7839211c
Author: Peter Caspers
Date: Mon, 1 Dec 2025 17:56:55 +0100
udpate documentation
ql/termstructures/multicurve.hpp | 45 +++++++++++++++++++++++++++++++++-------
1 file changed, 38 insertions(+), 7 deletions(-)
commit b3612efbd2aab169f3298f203441f5f86777b019
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 30 Nov 2025 01:38:50 +0000
Automated fixes by clang-tidy
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 10 +++++-----
ql/experimental/termstructures/crosscurrencyratehelpers.hpp | 2 +-
test-suite/crosscurrencyratehelpers.cpp | 6 ++++--
3 files changed, 10 insertions(+), 8 deletions(-)
commit 20ab3cbbab1aedf50a15e0d37e9ccce32ba9c280
Author: Peter Caspers
Date: Sun, 30 Nov 2025 12:10:56 +0100
refactor and rename
ql/termstructures/multicurve.cpp | 35 ++++++++++-------------------------
ql/termstructures/multicurve.hpp | 26 ++++++++++++++------------
test-suite/piecewiseyieldcurve.cpp | 8 ++++----
3 files changed, 28 insertions(+), 41 deletions(-)
commit a91e6dcb0ee169d092e9c0e951413cda67f919f1
Author: Peter Caspers
Date: Sat, 29 Nov 2025 20:01:31 +0100
use rvalue ref
ql/termstructures/multicurve.cpp | 10 ++++------
ql/termstructures/multicurve.hpp | 4 ++--
test-suite/piecewiseyieldcurve.cpp | 8 ++++----
3 files changed, 10 insertions(+), 12 deletions(-)
commit e103123e29eb62fa78f0ad199b687fef034d3aee
Author: Peter Caspers
Date: Sat, 29 Nov 2025 19:42:16 +0100
formatting
ql/termstructures/multicurve.cpp | 9 ++++-----
ql/termstructures/multicurve.hpp | 4 ++--
2 files changed, 6 insertions(+), 7 deletions(-)
commit a806e4338ec5eb2a8e0d80efd4620893b014cf59
Author: Peter Caspers
Date: Sat, 29 Nov 2025 19:41:01 +0100
formatting
ql/termstructures/multicurve.cpp | 1 -
1 file changed, 1 deletion(-)
commit 7358039bd3ddd6f879218bb94eba8772cdcb57b6
Author: Peter Caspers
Date: Sat, 29 Nov 2025 19:40:18 +0100
fix
ql/termstructures/multicurve.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ce8a571b3c466a236cb246e22c7e13cead70dbf2
Author: Peter Caspers
Date: Sat, 29 Nov 2025 18:52:23 +0100
Revert "Simplify usage"
This reverts commit 03db67cd4486a24a81bd39ac91491e94af557df1.
ql/termstructures/multicurve.cpp | 42 ++++++++++++++++++-------
ql/termstructures/multicurve.hpp | 35 ++++++++++++++-------
ql/termstructures/yield/piecewiseyieldcurve.hpp | 32 ++++++-------------
ql/termstructures/yieldtermstructure.hpp | 2 --
test-suite/piecewiseyieldcurve.cpp | 23 +++++++-------
5 files changed, 75 insertions(+), 59 deletions(-)
commit 04019bd614733bd1c99d201bd9371899e81aa769
Author: Peter Caspers
Date: Sat, 29 Nov 2025 13:27:12 +0100
add non-pw curve
ql/termstructures/multicurve.cpp | 20 ++++++++++++++++++--
ql/termstructures/multicurve.hpp | 7 +++++--
test-suite/piecewiseyieldcurve.cpp | 19 +++----------------
3 files changed, 26 insertions(+), 20 deletions(-)
commit 9d2fe9986c5547d5b59a61378ec85a5c80ca59e7
Author: Peter Caspers
Date: Sat, 29 Nov 2025 11:45:12 +0100
remove QuantLib namespace qualification
ql/termstructures/globalbootstrap.hpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit 66b5513c4cad1bc958e00f9dffb9bfb11a1e4e44
Author: Peter Caspers
Date: Sat, 29 Nov 2025 11:41:29 +0100
add unit test for cycle of zero spreaded and pw curve
test-suite/piecewiseyieldcurve.cpp | 75 +++++++++++++++++++++++++++++++++++++-
1 file changed, 73 insertions(+), 2 deletions(-)
commit 03d53bbd92d1ba76ab710e25fc6d01f527486c64
Author: Kareem Fareed <88599145+KookiesNKareem@users.noreply.github.com>
Date: Fri, 28 Nov 2025 03:14:20 -0700
Refactor seasoned Asian options: move startDate to option, keep currentAverage in engine
Separates contract terms (option) from market data (engine) per ideal design.
ql/instruments/asianoption.cpp | 13 +------------
ql/instruments/asianoption.hpp | 10 ++++------
ql/pricingengines/asian/analytic_cont_geom_av_price.cpp | 2 +-
.../asian/continuousarithmeticasianlevyengine.cpp | 15 +++------------
test-suite/asianoptions.cpp | 8 +++-----
5 files changed, 12 insertions(+), 36 deletions(-)
commit 08ef0689336d2d43ae1d08447f7c9dcc0c62acdc
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Thu, 27 Nov 2025 14:01:40 +0000
Update generated headers
ql/quantlib.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2b6e7a6a80dab5f44967899b1488141c67c34098
Merge: 641992d73 7f9f90b2d
Author: Luigi Ballabio
Date: Thu, 27 Nov 2025 14:49:34 +0100
Minor change for consistency of BOOST_ALL_NO_LIB and ql auto_link. (#2385)
commit 641992d7387ec01db08551a48e2736d5d32eb59b
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Thu, 27 Nov 2025 07:51:04 +0000
Update copyright list in license
LICENSE.TXT | 2 ++
1 file changed, 2 insertions(+)
commit 86b141ead5041baf3f842ac5586c3b6d0ad2b522
Author: Krishn Parasar
Date: Thu, 27 Nov 2025 18:28:08 +0530
Updates based on comments
Refactored NaturalCubicFitting to use QuantLib’s CubicInterpolation for
natural spline second-derivative computation and removed custom tridiagonal solver.
.../yield/nonlinearfittingmethods.cpp | 195 +++++++++------------
.../yield/nonlinearfittingmethods.hpp | 15 +-
2 files changed, 93 insertions(+), 117 deletions(-)
commit 7f9f90b2d2f4173370bcfe665ce96b965b1f0c4c
Author: francis
Date: Thu, 27 Nov 2025 11:01:59 +0000
Minor change for consistency of BOOST_ALL_NO_LIB and ql auto_link.
ql/Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit cc56685e572b4ff6743fd5f2d239665e26860eea
Merge: 924d4ad0e 673ab76d0
Author: Luigi Ballabio
Date: Thu, 27 Nov 2025 08:50:53 +0100
Add CrossCurrencySwapRateHelper for cross-currency swap bootstrapping (#2367)
commit 282e7423506fd083036bca535af41ba293b6b0d9
Author: paolodelia99
Date: Wed, 26 Nov 2025 23:14:02 +0100
fix win compilation error using static_cast of lookbackDays
ql/cashflows/overnightindexedcoupon.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 6399fcabaca4578482e6214eae29b931e045b1f0
Author: paolodelia99
Date: Wed, 26 Nov 2025 23:00:00 +0100
Added adj in ONCoupoon ctor, fix bug when computing the effectiveIndexFixing
ql/cashflows/overnightindexedcoupon.cpp | 9 ++++++++-
ql/cashflows/overnightindexedcouponpricer.cpp | 12 ++++++------
2 files changed, 14 insertions(+), 7 deletions(-)
commit 673ab76d0c69cac2b635cf527ba0c28bbee30f4a
Author: Luigi Ballabio
Date: Wed, 26 Nov 2025 17:08:17 +0100
Refactor common functionality in cross-currency swaps
.../termstructures/crosscurrencyratehelpers.cpp | 347 ++++++++++-----------
.../termstructures/crosscurrencyratehelpers.hpp | 148 ++++-----
test-suite/crosscurrencyratehelpers.cpp | 210 +++++++------
3 files changed, 345 insertions(+), 360 deletions(-)
commit 924d4ad0e74abe1c879a3456c4d3627cfe23f574
Merge: 0766d68c1 ef7ed6a5f
Author: Luigi Ballabio
Date: Wed, 26 Nov 2025 10:41:18 +0100
Add Asian option example (#2380)
commit ef7ed6a5f187f9d02705ff3880d648fb3569d0ea
Author: Luigi Ballabio
Date: Wed, 26 Nov 2025 09:46:16 +0100
Add new project to VC++ solution file
QuantLib.sln | 19 +++++++++++++++++++
1 file changed, 19 insertions(+)
commit 7db5e392a6281899c5f783d74ea8656b471e2e8b
Author: Kareem Fareed <88599145+KookiesNKareem@users.noreply.github.com>
Date: Tue, 25 Nov 2025 22:45:44 -0700
added vcxprroj & vcxproj.filters
Examples/AsianOption/AsianOption.vcxproj | 562 +++++++++++++++++++++++
Examples/AsianOption/AsianOption.vcxproj.filters | 22 +
2 files changed, 584 insertions(+)
commit a9a3092c23aa7aee4a6bd5d0103d744ccf67c057
Author: Peter Caspers
Date: Tue, 25 Nov 2025 15:50:31 +0100
compile issue
ql/termstructures/yield/piecewiseyieldcurve.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 2d71ab59180f142bafdb1bceaa933ece981c7ea3
Author: Peter Caspers
Date: Tue, 25 Nov 2025 12:57:30 +0100
fix
ql/termstructures/yield/piecewiseyieldcurve.hpp | 12 ++++++++++--
1 file changed, 10 insertions(+), 2 deletions(-)
commit 0766d68c1f9e8e6247e4a116b8a1597029d8cdd3
Author: Luigi Ballabio
Date: Tue, 25 Nov 2025 10:34:18 +0100
Fix formatting in man page
man/quantlib-test-suite.1 | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5a0ebbe190c5ba9d12831db6fdd760d7c1c93859
Author: Kareem Fareed <88599145+KookiesNKareem@users.noreply.github.com>
Date: Mon, 24 Nov 2025 11:33:42 -0800
Address PR review feedback
- Fix comment: 'Bootstrap' -> 'Set up flat' curves
- Move Finite Differences to discrete arithmetic section
- Cleaned output and fixed inaccurate inequality
- Increase column width for proper alignment (20->24)
Examples/AsianOption/AsianOption.cpp | 43 +++++++++++++-----------------------
1 file changed, 15 insertions(+), 28 deletions(-)
commit 3522a8dffb142e55dbc3a13dafbca99af9d8712e
Merge: 3e41c3731 9dcb76300
Author: Luigi Ballabio
Date: Mon, 24 Nov 2025 17:00:45 +0100
Make sure the correct vector initialiser is used even in AD case (#2383)
commit 3e41c3731ecb29b51c22706435488236a72312a5
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 24 Nov 2025 11:32:02 +0000
Bump actions/checkout from 5 to 6
Bumps [actions/checkout](https://github.com/actions/checkout) from 5 to 6.
- [Release notes](https://github.com/actions/checkout/releases)
- [Changelog](https://github.com/actions/checkout/blob/main/CHANGELOG.md)
- [Commits](https://github.com/actions/checkout/compare/v5...v6)
---
updated-dependencies:
- dependency-name: actions/checkout
dependency-version: '6'
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot]
.github/workflows/cmake-latest-runners.yml | 2 +-
.github/workflows/cmake.yml | 12 ++++++------
.github/workflows/codeql-analysis.yml | 2 +-
.github/workflows/copyrights.yml | 2 +-
.github/workflows/coveralls.yml | 2 +-
.github/workflows/devenv-images.yml | 2 +-
.github/workflows/doxygen.yml | 4 ++--
.github/workflows/filelists.yml | 2 +-
.github/workflows/generated-headers.yml | 2 +-
.github/workflows/headers.yml | 2 +-
.github/workflows/includes.yml | 2 +-
.github/workflows/increase-version-number.yml | 2 +-
.github/workflows/license-url.yml | 2 +-
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 2 +-
.github/workflows/macos-nondefault.yml | 2 +-
.github/workflows/macos.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/msvc-all-configs.yml | 2 +-
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/msvc-nondefault.yml | 2 +-
.github/workflows/msvc.yml | 2 +-
.github/workflows/namespaces.yml | 2 +-
.github/workflows/prepare-release-candidate.yml | 2 +-
.github/workflows/prepare-release.yml | 2 +-
.github/workflows/publish-release-candidate.yml | 2 +-
.github/workflows/publish-release.yml | 2 +-
.github/workflows/sanitizer.yml | 4 ++--
.github/workflows/sync-qldefines.yml | 2 +-
.github/workflows/test-times.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
32 files changed, 39 insertions(+), 39 deletions(-)
commit 09959bef7ca4f7ccb8026b01e40f63f740bdb29e
Author: Kareem Fareed <88599145+KookiesNKareem@users.noreply.github.com>
Date: Sun, 23 Nov 2025 23:03:07 -0800
Add support for seasoned continuous Asian options
Implements the long-standing TODO for running average support in continuous
Asian options. Seasoned options are those where averaging has already started
and a current average value is known.
- Add new constructor to ContinuousAveragingAsianOption accepting currentAverage
and startDate for seasoned options
- Update ContinuousArithmeticAsianLevyEngine to handle seasoned options by
adjusting strike based on accumulated average
- Add proper validation requiring both currentAverage and startDate together
- Add error handling for geometric seasoned options (not yet implemented)
- Add comprehensive unit tests verifying correct pricing behavior
- Maintain full backward compatibility with existing code
All 1171 tests pass with no errors or warnings.
ql/instruments/asianoption.cpp | 25 ++++-
ql/instruments/asianoption.hpp | 28 ++++-
.../asian/analytic_cont_geom_av_price.cpp | 8 ++
.../asian/continuousarithmeticasianlevyengine.cpp | 23 +++-
test-suite/asianoptions.cpp | 119 +++++++++++++++++++++
5 files changed, 192 insertions(+), 11 deletions(-)
commit e8e8ed6b23ee6eb1231774b3b0712e3e3a21d79c
Author: Kareem Fareed <88599145+KookiesNKareem@users.noreply.github.com>
Date: Sun, 23 Nov 2025 22:24:16 -0800
Add Asian option example
This example demonstrates pricing of Asian options using various methods:
- Discrete geometric average (analytic and Monte Carlo)
- Discrete arithmetic average (Monte Carlo with/without control variate,
Turnbull-Wakeman approximation, finite differences)
- Continuous geometric average (analytic)
- Continuous arithmetic average (Levy engine)
Examples/AsianOption/AsianOption.cpp | 314 +++++++++++++++++++++++++++++++++++
Examples/AsianOption/CMakeLists.txt | 5 +
Examples/CMakeLists.txt | 1 +
Examples/Makefile.am | 4 +
4 files changed, 324 insertions(+)
commit ee298ee6565b80715a28e1fe627fe2df77f7fc19
Author: uzi101
Date: Sun, 23 Nov 2025 15:49:19 -0500
Finalize const-notional CCS helper and test suite per review feedback
.../termstructures/crosscurrencyratehelpers.cpp | 44 +++---
.../termstructures/crosscurrencyratehelpers.hpp | 7 +-
ql/termstructures/yield/all.hpp | 1 -
test-suite/crosscurrencyratehelpers.cpp | 166 ++++++++++++---------
4 files changed, 118 insertions(+), 100 deletions(-)
commit 330285ff8e038755065747fda052e1895fbbbc4f
Author: Peter Caspers
Date: Sun, 23 Nov 2025 20:01:10 +0100
handle case where base class enables shared from this
ql/termstructures/yield/piecewiseyieldcurve.hpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 03db67cd4486a24a81bd39ac91491e94af557df1
Author: Eugene Toder
Date: Tue, 28 Oct 2025 15:20:06 -0400
Simplify usage
ql/termstructures/multicurve.cpp | 20 ++++++--------------
ql/termstructures/multicurve.hpp | 19 +++++++------------
ql/termstructures/yield/piecewiseyieldcurve.hpp | 23 +++++++++++++++--------
test-suite/piecewiseyieldcurve.cpp | 4 ++--
4 files changed, 30 insertions(+), 36 deletions(-)
commit d8a49e3d14b513e62ca13742bada0724f5aaa431
Author: Krishn Parasar
Date: Sun, 23 Nov 2025 20:07:01 +0530
Natural Cubic Spline Fitting method
Examples/FittedBondCurve/FittedBondCurve.cpp | 61 ++++++-
.../yield/nonlinearfittingmethods.cpp | 187 +++++++++++++++++++++
.../yield/nonlinearfittingmethods.hpp | 40 +++++
3 files changed, 281 insertions(+), 7 deletions(-)
commit 262bce13bcd67fcd77e46bba64c5e49be469248a
Author: Peter Caspers
Date: Sun, 23 Nov 2025 13:14:44 +0100
make MultiCurveBootstrap internal to MultiCurve
ql/termstructures/globalbootstrap.cpp | 8 +++++++-
ql/termstructures/multicurve.cpp | 8 ++++++--
ql/termstructures/multicurve.hpp | 4 +++-
test-suite/piecewiseyieldcurve.cpp | 2 +-
4 files changed, 17 insertions(+), 5 deletions(-)
commit 9dcb763008752d894848b16dba640ccc3d648177
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Fri, 21 Nov 2025 12:34:28 +0000
Make sure the correct vector initialiser is used even in AD case
If Real is not double, the compiler has to choose between converting {1.0} to a `Real` for value initializer, or converting it to a `size_t` for the size initializer, and favours the latter.
test-suite/dividendoption.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit e46ecf9f013f3fbc9ea9bbaec07ed43b99df5818
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 18 Nov 2025 13:43:56 +0000
Update generated headers
ql/pricingengines/vanilla/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 825246da0d208dc0a7ed887aef2caebbf0c9c671
Merge: e3bf39e73 3d3c2f133
Author: Luigi Ballabio
Date: Tue, 18 Nov 2025 14:41:44 +0100
added semi-analytic European engine for a single asset with cash dividends (#2373)
commit ae36b13f2e5a9a7f4edfb6e4e6bf4ab55bc06926
Author: uzi101
Date: Fri, 14 Nov 2025 11:06:53 -0500
Update cross-currency swap rate helper and test suite
.../termstructures/crosscurrencyratehelpers.cpp | 168 ++++++++++++---------
.../termstructures/crosscurrencyratehelpers.hpp | 56 ++++---
test-suite/crosscurrencyratehelpers.cpp | 100 +++++++++++-
3 files changed, 224 insertions(+), 100 deletions(-)
commit e3bf39e73e79d5a15e1b23a314f126e35711298e
Merge: 18819d475 58036268f
Author: Luigi Ballabio
Date: Thu, 13 Nov 2025 11:37:06 +0100
Deprecate retrieval of lagged rates from inflation term structures (#2374)
commit 18819d47591901acd33ac78430cfce7d7363626a
Author: Luigi Ballabio
Date: Thu, 13 Nov 2025 09:42:50 +0100
Fix a few typos
Docs/pages/lattices.docs | 2 +-
Examples/DiscreteHedging/DiscreteHedging.cpp | 2 +-
Examples/FRA/FRA.cpp | 2 +-
ql/experimental/credit/basecorrelationlossmodel.hpp | 2 +-
ql/experimental/credit/defaultevent.hpp | 2 +-
ql/experimental/credit/randomdefaultlatentmodel.hpp | 2 +-
ql/experimental/credit/randomlosslatentmodel.hpp | 2 +-
ql/experimental/credit/recursivelossmodel.hpp | 2 +-
ql/experimental/credit/saddlepointlossmodel.hpp | 2 +-
ql/methods/finitedifferences/tridiagonaloperator.hpp | 2 +-
ql/models/marketmodels/models/capletcoterminalswaptioncalibration.cpp | 4 ++--
ql/models/shortrate/onefactormodels/markovfunctional.hpp | 2 +-
ql/pricingengines/forward/forwardengine.hpp | 2 +-
ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.hpp | 4 ++--
ql/termstructures/defaulttermstructure.hpp | 2 +-
ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp | 4 ++--
16 files changed, 19 insertions(+), 19 deletions(-)
commit 58036268f142968d014900bcf4e374f3082d643a
Author: Luigi Ballabio
Date: Wed, 12 Nov 2025 08:16:55 +0100
Deprecate retrieval of lagged rates from inflation term structures
No longer needed since the lag is managed by the coupons.
.../inflation/yoycapfloortermpricesurface.hpp | 3 +-
ql/indexes/inflationindex.cpp | 4 +--
.../inflation/inflationcapfloorengines.cpp | 2 +-
ql/termstructures/inflationtermstructure.cpp | 12 +++++++
ql/termstructures/inflationtermstructure.hpp | 37 ++++++++++++++--------
test-suite/inflation.cpp | 2 +-
6 files changed, 41 insertions(+), 19 deletions(-)
commit 3d3c2f133a0d32c9f0e494f2a39b124ef27ec043
Author: klaus spanderen
Date: Wed, 12 Nov 2025 21:54:25 +0100
fixed error message
ql/pricingengines/basket/choibasketengine.cpp | 2 ++
test-suite/dividendoption.cpp | 6 +++---
2 files changed, 5 insertions(+), 3 deletions(-)
commit 4049af9e4eae2a3c25460bec60ffda2b4bdc7f30
Author: klaus spanderen
Date: Wed, 12 Nov 2025 19:23:37 +0100
extend test cases
ql/pricingengines/basket/choibasketengine.cpp | 6 +-
.../vanilla/cashdividendeuropeanengine.cpp | 47 +++--
test-suite/dividendoption.cpp | 203 +++++++++++++++++++--
3 files changed, 228 insertions(+), 28 deletions(-)
commit a1fe2fe4e1bed4d8d174800d5a84d036f769cf12
Merge: 339376eeb e6ebc3426
Author: Luigi Ballabio
Date: Wed, 12 Nov 2025 13:47:57 +0100
Make it possible to use default setting for `includeSettlementDateFlows` in `CashFlows` methods (#2372)
commit e6ebc34265bc2bb42dc2c098824154430da437ec
Author: Luigi Ballabio
Date: Tue, 11 Nov 2025 17:59:45 +0100
Use default settings in Bond::isExpired
ql/instruments/bond.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 02b1a141388e39e05a404a9a5048d1590c8e038a
Author: Luigi Ballabio
Date: Tue, 11 Nov 2025 17:04:39 +0100
Remove unused parameter in internal function
ql/cashflows/cashflows.cpp | 7 +++----
1 file changed, 3 insertions(+), 4 deletions(-)
commit 4b7ea77e4cfda714a676d00fc7080829d977fd49
Author: Luigi Ballabio
Date: Tue, 11 Nov 2025 16:55:55 +0100
Make it possible to use default setting for includeSettlementDateFlows
ql/cashflows/cashflows.cpp | 84 +++++++++++++++++++++----------------------
ql/cashflows/cashflows.hpp | 90 +++++++++++++++++++++++-----------------------
2 files changed, 87 insertions(+), 87 deletions(-)
commit 339376eebbad41b032c2d8249c838ef5bd30e024
Merge: 0d1259428 d6e29d7b1
Author: Luigi Ballabio
Date: Tue, 11 Nov 2025 09:05:40 +0100
Simplify LogInterpolationImpl and MixedInterpolationImpl (#2363)
commit 0d12594286c3da9d610ffbc0c04fdb9a77678c8a
Author: Luigi Ballabio
Date: Mon, 10 Nov 2025 11:04:40 +0100
Update Boost download link in workflow
.github/workflows/cmake-latest-runners.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5c85938badaff1787800f4e13da28184d76d7f5a
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 9 Nov 2025 01:41:09 +0000
Automated fixes by clang-tidy
ql/termstructures/yield/piecewiseforwardspreadedtermstructure.hpp | 4 ++--
ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp | 4 ++--
ql/termstructures/yield/zerospreadedtermstructure.hpp | 4 ++--
3 files changed, 6 insertions(+), 6 deletions(-)
commit 7ccb3629ef1b423ab7c7eca2152bd3b272f4208d
Author: uzi101
Date: Sat, 8 Nov 2025 08:56:29 -0500
Refactor CrossCurrencySwapRateHelper into experimental helpers with unified collateral handling
ql/CMakeLists.txt | 2 -
.../termstructures/crosscurrencyratehelpers.cpp | 133 +++++++++
.../termstructures/crosscurrencyratehelpers.hpp | 54 +++-
.../yield/crosscurrencyswapratehelper.cpp | 166 -----------
.../yield/crosscurrencyswapratehelper.hpp | 73 -----
test-suite/CMakeLists.txt | 1 -
test-suite/crosscurrencyratehelpers.cpp | 116 +++++++-
test-suite/crosscurrencyswapratehelper.cpp | 306 ---------------------
8 files changed, 301 insertions(+), 550 deletions(-)
commit ef1f370cea722ed63ad6222abee63789689d31b5
Author: klaus spanderen
Date: Thu, 6 Nov 2025 22:59:43 +0100
reformat tabs
.../finitedifferences/stepconditions/fdmstepconditioncomposite.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 70fb37f74906f1ea5d04d469beb5ce82ffeed332
Author: klaus spanderen
Date: Thu, 6 Nov 2025 22:58:38 +0100
reformat tabs
.../vanilla/cashdividendeuropeanengine.cpp | 36 +--
.../vanilla/cashdividendeuropeanengine.hpp | 10 +-
.../vanilla/fdblackscholesvanillaengine.cpp | 10 +-
.../vanilla/fdblackscholesvanillaengine.hpp | 4 +-
test-suite/dividendoption.cpp | 308 ++++++++++-----------
5 files changed, 184 insertions(+), 184 deletions(-)
commit 97a7e04c3ae54b02b7978e631ee1c27f9efc90e9
Author: klaus spanderen
Date: Thu, 6 Nov 2025 22:51:49 +0100
fixed test cases
.../vanilla/cashdividendeuropeanengine.cpp | 173 +++++++++++++++++++++
.../vanilla/cashdividendeuropeanengine.hpp | 67 ++++++++
test-suite/americanoption.cpp | 4 +-
test-suite/dividendoption.cpp | 2 +-
4 files changed, 242 insertions(+), 4 deletions(-)
commit 6e20b12c99edaf4092920bd3bb771421852dad90
Author: klaus spanderen
Date: Thu, 6 Nov 2025 21:16:05 +0100
cash dividend engine, first version
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +
ql/CMakeLists.txt | 2 +
.../stepconditions/fdmstepconditioncomposite.cpp | 12 +-
.../utilities/escroweddividendadjustment.cpp | 3 +-
ql/pricingengines/vanilla/Makefile.am | 2 +
.../vanilla/fdblackscholesvanillaengine.cpp | 20 +-
.../vanilla/fdblackscholesvanillaengine.hpp | 7 +-
test-suite/dividendoption.cpp | 270 +++++++++++++++++++++
test-suite/fdheston.cpp | 1 -
10 files changed, 312 insertions(+), 13 deletions(-)
commit a56667380bef38d0f8fe766d8e4a1ff9c122b7b5
Author: uzi101
Date: Wed, 5 Nov 2025 18:06:21 -0500
Add CrossCurrencySwapRateHelper for cross-currency swap bootstrapping
ql/CMakeLists.txt | 2 +
ql/termstructures/yield/all.hpp | 1 +
.../yield/crosscurrencyswapratehelper.cpp | 166 +++++++++++
.../yield/crosscurrencyswapratehelper.hpp | 73 +++++
test-suite/CMakeLists.txt | 1 +
test-suite/crosscurrencyswapratehelper.cpp | 306 +++++++++++++++++++++
6 files changed, 549 insertions(+)
commit 33e452e496f8e6b5147e5b4a214e3934a48d6e18
Merge: c068ec3a2 7419a6885
Author: Luigi Ballabio
Date: Wed, 5 Nov 2025 14:29:24 +0100
Remove day counter argument from spreaded curves (#2365)
commit 7419a6885dded8f111a199c95ce1fab7b7d4ef90
Author: Luigi Ballabio
Date: Wed, 5 Nov 2025 12:11:09 +0100
Show deprecation in generated docs
ql/termstructures/yield/piecewiseforwardspreadedtermstructure.hpp | 3 +++
ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp | 3 +++
ql/termstructures/yield/zerospreadedtermstructure.hpp | 3 +++
3 files changed, 9 insertions(+)
commit c068ec3a276834f5a60358bdce8d29c22671204d
Merge: d823f4ecb e1b3051f5
Author: Luigi Ballabio
Date: Mon, 3 Nov 2025 16:24:03 +0100
Allow crossed ranges in holidayList and businessDayList (#2362)
commit 5cb1bffa0d3a1e4ddf40c530fdefd6281f32ffdc
Author: Eugene Toder
Date: Thu, 30 Oct 2025 15:31:15 -0400
Remove day counter argument from spreaded curves
Spreaded curves always use the same day counter as the original curve.
It's not possible to support a different day counter without some API
changes on the base YieldTermStructure. Currently these classes simply
ignore the passed day counter. Deprecate the current constructors and
add new ones that do not take a day counter.
ql/cashflows/cashflows.cpp | 71 +++++-----------------
.../finitedifferences/operators/fdmbatesop.cpp | 4 +-
.../piecewiseforwardspreadedtermstructure.hpp | 42 +++++++++----
.../yield/piecewisezerospreadedtermstructure.hpp | 49 +++++++++++----
.../yield/zerospreadedtermstructure.hpp | 24 +++++---
test-suite/capfloor.cpp | 8 +--
test-suite/piecewisezerospreadedtermstructure.cpp | 5 +-
7 files changed, 101 insertions(+), 102 deletions(-)
commit d6e29d7b12265bcd52e535d7743e1041ef154c15
Author: Eugene Toder
Date: Wed, 29 Oct 2025 22:18:28 -0400
Simplify LogInterpolationImpl and MixedInterpolationImpl
Remove Interpolators as class template parameters and move them to
constructors instead. They are not used after construction. This removes
duplication in the generated code.
Also, remove unneeded members from MixedInterpolationImpl and improve
the check on switch point.
ql/math/interpolation.hpp | 4 +-
ql/math/interpolations/loginterpolation.hpp | 41 ++++++++---------
ql/math/interpolations/mixedinterpolation.hpp | 64 +++++++++++++--------------
3 files changed, 51 insertions(+), 58 deletions(-)
commit 1e8c557b296526b7607d8916d31106b6f7dbaac6
Author: Peter Caspers
Date: Thu, 30 Oct 2025 09:02:47 +0100
allow to add observers to multicurve bootstrap
ql/termstructures/globalbootstrap.cpp | 10 +++++++++-
ql/termstructures/globalbootstrap.hpp | 2 ++
ql/termstructures/multicurve.cpp | 4 ++++
ql/termstructures/multicurve.hpp | 5 +++--
4 files changed, 18 insertions(+), 3 deletions(-)
commit e1b3051f571f37d986bd9ff347e571bbcdfa270d
Author: Eugene Toder
Date: Wed, 29 Oct 2025 22:09:27 -0400
Allow crossed ranges in holidayList and businessDayList
This should just return an empty vector instead of throwing an error.
ql/time/calendar.cpp | 6 ------
test-suite/calendars.cpp | 13 +++++++++----
2 files changed, 9 insertions(+), 10 deletions(-)
commit 42bdd82ef8385a1b8c303319e159f70df4d56b71
Author: Peter Caspers
Date: Wed, 29 Oct 2025 18:03:18 +0100
not needed any more
ql/termstructures/iterativebootstrap.hpp | 1 -
ql/termstructures/localbootstrap.hpp | 1 -
2 files changed, 2 deletions(-)
commit 139b5e3d7963f70f86cb46c43efb282ca9a149ba
Author: Eugene Toder
Date: Tue, 28 Oct 2025 15:53:03 -0400
Make safer
ql/termstructures/multicurve.cpp | 3 ++-
ql/termstructures/yield/piecewiseyieldcurve.hpp | 6 +++++-
2 files changed, 7 insertions(+), 2 deletions(-)
commit 0497ccdba90de03a4563817d6360f0649b263182
Author: Peter Caspers
Date: Wed, 29 Oct 2025 16:24:53 +0100
handle thread safe observer build
ql/termstructures/multicurve.cpp | 12 ++++++++----
ql/termstructures/multicurve.hpp | 9 ++++++---
2 files changed, 14 insertions(+), 7 deletions(-)
commit d353587bf8d101101368890dc0449172428dd836
Author: Peter Caspers
Date: Wed, 29 Oct 2025 12:09:28 +0100
back to original code, does the order matter?
ql/termstructures/multicurve.cpp | 4 ++--
ql/termstructures/multicurve.hpp | 6 +++---
2 files changed, 5 insertions(+), 5 deletions(-)
commit c3e3fee60b04cd281ac35ec3d1cf72831d2177b2
Author: Peter Caspers
Date: Wed, 29 Oct 2025 12:08:21 +0100
Revert "attempt to resolve compile and weak_ptr issues"
This reverts commit f6e7a59a57bc877403d657494aa457ac06b3ef70.
ql/termstructures/multicurve.cpp | 4 ++--
ql/termstructures/multicurve.hpp | 7 ++++---
2 files changed, 6 insertions(+), 5 deletions(-)
commit f6e7a59a57bc877403d657494aa457ac06b3ef70
Author: Peter Caspers
Date: Wed, 29 Oct 2025 11:29:57 +0100
attempt to resolve compile and weak_ptr issues
ql/termstructures/multicurve.cpp | 4 ++--
ql/termstructures/multicurve.hpp | 7 +++----
2 files changed, 5 insertions(+), 6 deletions(-)
commit a8095fd9069eda1afe64d25197c6a6e40eca770b
Author: Peter Caspers
Date: Wed, 29 Oct 2025 09:56:23 +0100
do we need this?
ql/termstructures/multicurve.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 21808cdf585172ff4ceb78f2fa4f1dc5748a7e3c
Author: Peter Caspers
Date: Wed, 29 Oct 2025 09:46:19 +0100
not needed
ql/termstructures/multicurve.hpp | 1 -
1 file changed, 1 deletion(-)
commit e3966ee973b627b45d44944874d88f748999ebfd
Author: Peter Caspers
Date: Wed, 29 Oct 2025 09:24:05 +0100
fix
ql/termstructures/multicurve.cpp | 4 ++--
ql/termstructures/multicurve.hpp | 1 +
2 files changed, 3 insertions(+), 2 deletions(-)
commit ea31f6d580ed1a62feb9b754b1e007c300300f31
Author: Peter Caspers
Date: Tue, 28 Oct 2025 19:45:45 +0100
simplify observability
ql/termstructures/multicurve.cpp | 31 +++++++------------------------
ql/termstructures/multicurve.hpp | 21 +++++----------------
2 files changed, 12 insertions(+), 40 deletions(-)
commit 4a2638ba567e0e011107ed71ec6a6d2d49bc238d
Author: Peter Caspers
Date: Tue, 28 Oct 2025 19:45:24 +0100
use dynamic cast
ql/termstructures/globalbootstrap.hpp | 2 +-
ql/termstructures/iterativebootstrap.hpp | 1 +
ql/termstructures/localbootstrap.hpp | 1 +
ql/termstructures/yield/piecewiseyieldcurve.hpp | 5 ++++-
ql/termstructures/yieldtermstructure.hpp | 2 +-
5 files changed, 8 insertions(+), 3 deletions(-)
commit d823f4ecbadebeeafc98b4b68e7372576341aa11
Merge: aa0fa6ff8 db1b59cc4
Author: Luigi Ballabio
Date: Tue, 28 Oct 2025 15:43:46 +0100
Implement ZeroCouponInflationSwap::fixedLegBPS() (#2360)
commit aa0fa6ff89fc8aba2a659d9052e7d4f9d88e07dc
Merge: b5f79d4a3 d734b6b9b
Author: Luigi Ballabio
Date: Tue, 28 Oct 2025 15:28:08 +0100
Small optimization for VV adjustment (#2356)
commit db1b59cc4ff8c125244998844aa7ae33cf0cc224
Author: Eugene Toder
Date: Sat, 25 Oct 2025 10:33:16 -0400
Implement ZeroCouponInflationSwap::fixedLegBPS()
ql/instruments/zerocouponinflationswap.cpp | 19 +++++++++++++++++++
ql/instruments/zerocouponinflationswap.hpp | 1 +
ql/instruments/zerocouponswap.cpp | 6 +++---
test-suite/inflation.cpp | 21 ++++++++++++++++++++-
4 files changed, 43 insertions(+), 4 deletions(-)
commit b5f79d4a320c6ee78bf6364c943bd9bfc7545da8
Merge: fd20c1cfe 04186b702
Author: Luigi Ballabio
Date: Mon, 27 Oct 2025 15:14:31 +0100
fixed misspelled Euribor curve (#2359)
commit fd20c1cfe47da2b4521dd548dfd8ccd9120e0852
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 27 Oct 2025 12:05:30 +0000
Bump actions/upload-artifact from 4 to 5
Bumps [actions/upload-artifact](https://github.com/actions/upload-artifact) from 4 to 5.
- [Release notes](https://github.com/actions/upload-artifact/releases)
- [Commits](https://github.com/actions/upload-artifact/compare/v4...v5)
---
updated-dependencies:
- dependency-name: actions/upload-artifact
dependency-version: '5'
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot]
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/test-times.yml | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 04186b70291f39f42cbe728f7be4713e1dcc909c
Author: Babar Khan <46613555+BabarZKhan@users.noreply.github.com>
Date: Mon, 27 Oct 2025 13:49:03 +0100
Fix misspelled Euribor curve
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d1574ee74ddb850a64d8a6385d15d91b50096c78
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 26 Oct 2025 01:32:00 +0000
Automated fixes by clang-tidy
ql/termstructures/inflation/inflationhelpers.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c698c94c474cb91c8af3080a93e614226a01754a
Author: Peter Caspers
Date: Sun, 26 Oct 2025 10:28:27 +0100
tbd, simplify interface, but undefined behavior possible
ql/termstructures/multicurve.cpp | 8 ++++++--
ql/termstructures/multicurve.hpp | 3 +--
ql/termstructures/yield/piecewiseyieldcurve.hpp | 3 ++-
ql/termstructures/yieldtermstructure.hpp | 5 +++++
test-suite/piecewiseyieldcurve.cpp | 4 ++--
5 files changed, 16 insertions(+), 7 deletions(-)
commit e25269befa0c9a0b706c3ae7dd595066300daf80
Author: Peter Caspers
Date: Sun, 26 Oct 2025 10:26:52 +0100
merge setupCostFunction() and guess() into one method
ql/termstructures/globalbootstrap.cpp | 3 +--
ql/termstructures/globalbootstrap.hpp | 22 +++++++++-------------
2 files changed, 10 insertions(+), 15 deletions(-)
commit c2e2f07a811af23d67bbd2fa0463e04156b74867
Author: Peter Caspers
Date: Sun, 26 Oct 2025 09:45:25 +0100
make class final
ql/termstructures/globalbootstrap.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 41f0b952750daf76a3265bb1b535cc0da0d74e2b
Author: Peter Caspers
Date: Sat, 25 Oct 2025 16:13:43 +0200
fix test setup
test-suite/piecewiseyieldcurve.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit b6f3538bb01d56701776c0e95503927c9931a509
Author: Peter Caspers
Date: Sat, 25 Oct 2025 13:25:28 +0200
should be explicit
ql/termstructures/globalbootstrap.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 56adfa9c264aa2b72ae9e078d5771a0995e98249
Author: Peter Caspers
Date: Sat, 25 Oct 2025 12:42:45 +0200
init members
ql/termstructures/globalbootstrap.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit aa3366889f789240ea1d5a6980c211f67a1c7723
Author: Peter Caspers
Date: Sat, 25 Oct 2025 12:20:13 +0200
add unit test
test-suite/piecewiseyieldcurve.cpp | 141 +++++++++++++++++++++++++++++++++++++
1 file changed, 141 insertions(+)
commit 0443b4ed1052bd2ec41df2561bf678e6e46f5990
Author: Peter Caspers
Date: Sat, 25 Oct 2025 12:20:03 +0200
add multicurve
QuantLib.vcxproj | 4 ++-
QuantLib.vcxproj.filters | 8 ++++-
ql/CMakeLists.txt | 2 ++
ql/termstructures/Makefile.am | 2 ++
ql/termstructures/multicurve.cpp | 71 ++++++++++++++++++++++++++++++++++++++++
ql/termstructures/multicurve.hpp | 69 ++++++++++++++++++++++++++++++++++++++
6 files changed, 154 insertions(+), 2 deletions(-)
commit 126d40fe220c7c1cd23abaab960d22d0f534fc1b
Author: Peter Caspers
Date: Sat, 25 Oct 2025 12:19:33 +0200
simplify
ql/termstructures/globalbootstrap.cpp | 146 ++++++++++++++-------------------
ql/termstructures/globalbootstrap.hpp | 147 ++++++++++++++--------------------
2 files changed, 122 insertions(+), 171 deletions(-)
commit 70d83d5b4cd64615019efb7e8ab7e42dd1ff00ef
Author: Peter Caspers
Date: Sat, 25 Oct 2025 12:19:16 +0200
add inspector
ql/termstructures/yield/piecewiseyieldcurve.hpp | 1 +
1 file changed, 1 insertion(+)
commit d734b6b9b58c12dd0250939f191c4e8d5dbc29b0
Author: paolodelia99
Date: Fri, 24 Oct 2025 23:56:15 +0200
Remove atm bs and atm market price, since they are the same
ql/experimental/barrieroption/vannavolgabarrierengine.cpp | 13 +------------
1 file changed, 1 insertion(+), 12 deletions(-)
commit ca8d518c857d8667da402f97aa8294844561f73f
Merge: a41624cfe 19c510204
Author: Luigi Ballabio
Date: Fri, 24 Oct 2025 16:56:57 +0200
fix: clean up extra semicolon in output loops (#2355)
commit 19c5102048bbb53b2f98931d9bbcbb6643fb02b7
Author: Luigi Ballabio
Date: Fri, 24 Oct 2025 15:16:09 +0200
Fix indentation to avoid CI warning
Examples/LatentModel/LatentModel.cpp | 10 ++++------
1 file changed, 4 insertions(+), 6 deletions(-)
commit a41624cfe9e8ba88b59817de158b629f9e6c7142
Merge: a67b0dba4 4ae8dfcfe
Author: Luigi Ballabio
Date: Fri, 24 Oct 2025 15:01:12 +0200
Vanna-Volga (#2354)
commit 5f6c9e0e55688e8545605a4124179e82cb5f76c0
Author: BabarZKhan <46613555+BabarZKhan@users.noreply.github.com>
Date: Fri, 24 Oct 2025 12:11:57 +0200
fix: clean up extra semicolon in output loops
I'm using QuantLib examples to deep-dive into QuantLib. While testing and understanding basic usage of a Latent variable model, I found some extra semicolons in nested loops. Yes, it is syntactically valid but serves no purpose.
Examples/LatentModel/LatentModel.cpp | 2 --
1 file changed, 2 deletions(-)
commit 4ae8dfcfefd70e6c141a2c87c1afaf7b3e48cba3
Author: kp9991
Date: Wed, 22 Oct 2025 19:58:09 +1100
Vanna-Volga
ql/pricingengines/bacheliercalculator.cpp | 21 ++++++++++++
ql/pricingengines/bacheliercalculator.hpp | 6 ++++
ql/pricingengines/blackcalculator.cpp | 32 +++++++++++++++++++
ql/pricingengines/blackcalculator.hpp | 6 ++++
test-suite/bacheliercalculator.cpp | 53 +++++++++++++++++++++++++++++++
test-suite/blackcalculator.cpp | 52 ++++++++++++++++++++++++++++++
6 files changed, 170 insertions(+)
commit a67b0dba4db6217ec5c48f324df382c7864f9198
Author: Luigi Ballabio
Date: Tue, 21 Oct 2025 12:49:56 +0200
Update default Ubuntu image for CI builds
.github/workflows/devenv-images.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit afd13138c17f64a8f6ded6b36dc1e0c1da919607
Merge: 81d4dd108 65074a39a
Author: Luigi Ballabio
Date: Mon, 20 Oct 2025 17:11:15 +0200
Add constructors with 2 dates for inflation swap helpers (#2351)
commit 81d4dd10881d81593d30b2ca35fecba11f010e8a
Merge: 10fa56041 948ff6fcc
Author: Luigi Ballabio
Date: Mon, 20 Oct 2025 12:26:29 +0200
Make PiecewiseSpreadYieldCurve::traits_type public (#2350)
commit 10fa56041dd734e4356f3c907e51347170e7adfe
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 19 Oct 2025 01:42:45 +0000
Automated fixes by clang-tidy
test-suite/ultimateforwardtermstructure.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 65074a39a82810a7ac7ef6a23957294077129992
Author: Eugene Toder
Date: Sat, 18 Oct 2025 19:18:59 -0400
Add constructors with 2 dates for inflation swap helpers
ql/termstructures/inflation/inflationhelpers.cpp | 77 +++++++++++++++++++-----
ql/termstructures/inflation/inflationhelpers.hpp | 40 +++++++++++-
2 files changed, 98 insertions(+), 19 deletions(-)
commit 948ff6fccc4c61b2f6d790e25f61e9639b0b66d3
Author: Eugene Toder
Date: Sat, 18 Oct 2025 17:19:19 -0400
Make PiecewiseSpreadYieldCurve::traits_type public
This matches PiecewiseYieldCurve and is useful in some generic code.
ql/termstructures/yield/piecewisespreadyieldcurve.hpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit b8a116f59706c57f683cc0298cdbcd96f5e9446f
Author: paolodelia99
Date: Fri, 17 Oct 2025 10:49:41 +0200
Small adjustments as suggested in the PR
ql/cashflows/blackovernightindexedcouponpricer.hpp | 2 --
ql/cashflows/couponpricer.cpp | 18 ++++++++++--------
ql/cashflows/overnightindexedcouponpricer.cpp | 1 +
3 files changed, 11 insertions(+), 10 deletions(-)
commit ae9d80438ac70e644eb97cbcff96e29cb928d057
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 15 Oct 2025 15:42:42 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 0f8041b4cb0e5da5ec2e5799640f9b00b6baf99c
Merge: 84b0e8ecc bccac7e14
Author: Luigi Ballabio
Date: Wed, 15 Oct 2025 17:42:32 +0200
Enable rounding in UFR interpolation (#2342)
commit bccac7e14ff917a9d4a8ee1d03bce3b4c337a94a
Author: Luigi Ballabio
Date: Wed, 15 Oct 2025 16:15:26 +0200
Expanded comment
ql/termstructures/yield/ultimateforwardtermstructure.hpp | 8 ++++----
test-suite/ultimateforwardtermstructure.cpp | 2 +-
2 files changed, 5 insertions(+), 5 deletions(-)
commit 84b0e8ecc99836c31a7350f9f68b0bf77be7d9ce
Merge: 10f1dfd7e 6f379f4e9
Author: Luigi Ballabio
Date: Tue, 14 Oct 2025 15:11:39 +0200
Remove features deprecated in version 1.36 (#2348)
commit 10f1dfd7e076e540b2c855b7dd1a16789edd5666
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 14 Oct 2025 08:47:55 +0000
Set version to 1.41-dev
CMakeLists.txt | 6 +++---
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 6 insertions(+), 6 deletions(-)
commit bcd4d3b7d8eb2502b486930d1b0db50468f6be45
Author: Luigi Ballabio
Date: Tue, 14 Oct 2025 09:39:51 +0200
Removed deprecated macos-13 runner from CI builds
.github/workflows/cmake-latest-runners.yml | 1 -
.github/workflows/macos-nondefault.yml | 2 +-
.github/workflows/macos.yml | 2 +-
3 files changed, 2 insertions(+), 3 deletions(-)
commit 976baa9f6b6626da2e796fa59d78c5608725a296
Author: Luigi Ballabio
Date: Tue, 14 Oct 2025 09:59:51 +0200
Add workflow to increase version number after release
.github/workflows/increase-version-number.yml | 40 +++++++++++++++++++++++++++
1 file changed, 40 insertions(+)
commit 463fbded733c90120dc2c24b2e1b22dd98dc18ca
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 13 Oct 2025 11:48:14 +0000
Bump github/codeql-action from 3 to 4
Bumps [github/codeql-action](https://github.com/github/codeql-action) from 3 to 4.
- [Release notes](https://github.com/github/codeql-action/releases)
- [Changelog](https://github.com/github/codeql-action/blob/main/CHANGELOG.md)
- [Commits](https://github.com/github/codeql-action/compare/v3...v4)
---
updated-dependencies:
- dependency-name: github/codeql-action
dependency-version: '4'
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot]
.github/workflows/codeql-analysis.yml | 6 +++---
.github/workflows/msvc-analysis.yml | 2 +-
2 files changed, 4 insertions(+), 4 deletions(-)
commit 6f379f4e9dea16419365f6c64dae8f9106f51f78
Author: Luigi Ballabio
Date: Mon, 8 Sep 2025 17:24:56 +0200
Remove features deprecated in version 1.36
QuantLib.vcxproj | 6 -
QuantLib.vcxproj.filters | 18 --
cmake/GenerateHeaders.cmake | 9 +-
ql/CMakeLists.txt | 6 -
ql/Makefile.am | 2 +
ql/cashflows/capflooredinflationcoupon.hpp | 23 --
ql/cashflows/conundrumpricer.cpp | 2 +-
ql/cashflows/yoyinflationcoupon.cpp | 25 --
ql/cashflows/yoyinflationcoupon.hpp | 25 --
ql/experimental/Makefile.am | 2 -
ql/experimental/averageois/Makefile.am | 30 +-
ql/experimental/averageois/all.hpp | 3 -
.../averageois/arithmeticaverageois.cpp | 150 ---------
.../averageois/arithmeticaverageois.hpp | 95 +-----
.../averageois/arithmeticoisratehelper.cpp | 113 -------
.../averageois/arithmeticoisratehelper.hpp | 69 +---
.../averageois/averageoiscouponpricer.hpp | 28 --
.../averageois/makearithmeticaverageois.cpp | 241 --------------
.../averageois/makearithmeticaverageois.hpp | 83 +----
.../perturbativebarrieroptionengine.cpp | 2 +-
ql/experimental/credit/gaussianlhplossmodel.hpp | 2 +-
ql/experimental/credit/pool.cpp | 2 +-
.../credit/randomdefaultlatentmodel.hpp | 2 +-
ql/experimental/credit/saddlepointlossmodel.hpp | 2 +-
.../finitedifferences/fdmvppstepcondition.hpp | 2 +-
.../inflation/yoycapfloortermpricesurface.cpp | 17 -
.../inflation/yoycapfloortermpricesurface.hpp | 63 ----
ql/experimental/inflation/yoyoptionlethelpers.cpp | 14 -
ql/experimental/inflation/yoyoptionlethelpers.hpp | 16 +-
.../gaussiannoncentralchisquaredpolynomial.cpp | 2 -
.../gaussiannoncentralchisquaredpolynomial.hpp | 2 +-
ql/experimental/math/multidimintegrator.hpp | 2 +-
ql/experimental/math/multidimquadrature.hpp | 2 +-
ql/experimental/math/tcopulapolicy.hpp | 2 +-
.../mcbasket/longstaffschwartzmultipathpricer.hpp | 2 +-
ql/experimental/models/normalclvmodel.hpp | 2 +-
ql/experimental/models/squarerootclvmodel.hpp | 2 +-
.../processes/extendedornsteinuhlenbeckprocess.hpp | 2 +-
ql/experimental/risk/Makefile.am | 28 +-
ql/experimental/risk/all.hpp | 2 -
ql/experimental/risk/creditriskplus.cpp | 240 --------------
ql/experimental/risk/creditriskplus.hpp | 74 +----
ql/experimental/risk/sensitivityanalysis.cpp | 350 ---------------------
ql/experimental/risk/sensitivityanalysis.hpp | 198 +-----------
.../generalizedornsteinuhlenbeckprocess.hpp | 2 +-
.../integralhestonvarianceoptionengine.cpp | 2 +-
ql/functional.hpp | 50 +--
ql/indexes/equityindex.cpp | 12 -
ql/indexes/equityindex.hpp | 10 -
ql/instruments/makeyoyinflationcapfloor.cpp | 7 -
ql/instruments/makeyoyinflationcapfloor.hpp | 10 +-
ql/instruments/yearonyearinflationswap.cpp | 16 -
ql/instruments/yearonyearinflationswap.hpp | 18 +-
ql/math/integrals/integral.hpp | 2 +-
ql/math/integrals/kronrodintegral.hpp | 2 +-
ql/math/integrals/twodimensionalintegral.hpp | 2 +-
ql/math/interpolations/chebyshevinterpolation.hpp | 2 +-
ql/math/linearleastsquaresregression.hpp | 2 +-
ql/math/matrixutilities/bicgstab.hpp | 2 +-
ql/math/matrixutilities/gmres.hpp | 3 +-
ql/math/matrixutilities/tapcorrelations.hpp | 2 +-
ql/math/ode/adaptiverungekutta.hpp | 2 +-
ql/math/optimization/levenbergmarquardt.cpp | 2 +-
ql/math/optimization/levenbergmarquardt.hpp | 6 -
ql/math/optimization/lmdif.hpp | 2 +-
.../randomnumbers/stochasticcollocationinvcdf.hpp | 2 +-
ql/math/richardsonextrapolation.hpp | 2 +-
.../meshers/concentrating1dmesher.hpp | 4 +-
.../operators/numericaldifferentiation.hpp | 2 +-
.../schemes/impliciteulerscheme.cpp | 2 +-
.../finitedifferences/schemes/trbdf2scheme.hpp | 2 +-
.../utilities/escroweddividendadjustment.hpp | 2 +-
.../utilities/fdminnervaluecalculator.hpp | 2 +-
.../utilities/fdmmesherintegral.hpp | 2 +-
.../utilities/fdmtimedepdirichletboundary.hpp | 2 +-
ql/methods/montecarlo/earlyexercisepathpricer.hpp | 2 +-
.../montecarlo/longstaffschwartzpathpricer.hpp | 2 +-
ql/methods/montecarlo/lsmbasissystem.hpp | 2 +-
.../basket/mcamericanbasketengine.hpp | 3 +-
ql/pricingengines/vanilla/analytichestonengine.cpp | 4 +-
ql/pricingengines/vanilla/analytichestonengine.hpp | 2 +-
.../vanilla/exponentialfittinghestonengine.cpp | 2 +-
ql/quantlib.hpp | 2 -
ql/termstructures/globalbootstrap.hpp | 2 +-
ql/termstructures/inflation/inflationhelpers.cpp | 13 -
ql/termstructures/inflation/inflationhelpers.hpp | 13 -
.../inflation/piecewisezeroinflationcurve.hpp | 2 +-
.../equityfx/andreasenhugevolatilityinterpl.hpp | 3 +-
.../equityfx/gridmodellocalvolsurface.cpp | 2 +-
ql/timeseries.hpp | 2 +-
ql/tuple.hpp | 34 +-
test-suite/CMakeLists.txt | 1 -
test-suite/Makefile.am | 1 -
test-suite/creditriskplus.cpp | 132 --------
test-suite/testsuite.vcxproj | 1 -
test-suite/testsuite.vcxproj.filters | 3 -
96 files changed, 81 insertions(+), 2287 deletions(-)
commit 3bdcb6e8211f110152b73b20386f9fb1cfc0019d
Author: Luigi Ballabio
Date: Tue, 14 Oct 2025 09:34:12 +0200
Fix link in draft release notes
.github/workflows/publish-release.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit d7f10e50521c00a3e597d725358650499f4650a2
Author: Peter Caspers
Date: Sun, 12 Oct 2025 12:10:32 +0200
make ctor explicit
ql/termstructures/globalbootstrap.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e4df62a83429eaa705b308a9b2ade6ce66e5fc2f
Author: Peter Caspers
Date: Sun, 12 Oct 2025 12:05:26 +0200
remove debug output
ql/termstructures/globalbootstrap.hpp | 2 --
1 file changed, 2 deletions(-)
commit 654f421be4f6cabffa1e7a0863f8b3502979468e
Author: Peter Caspers
Date: Sun, 12 Oct 2025 11:51:00 +0200
fix
ql/termstructures/globalbootstrap.hpp | 64 +++++++++++++++++------------------
1 file changed, 31 insertions(+), 33 deletions(-)
commit bd1eaf827ce2bdd17ce8bdee03a15ea1c00557e8
Author: Peter Caspers
Date: Sat, 11 Oct 2025 20:25:32 +0200
update msvc files
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
2 files changed, 4 insertions(+)
commit 60f917289189d7badeafa71a6bb5a29f3fbbcdc9
Author: Peter Caspers
Date: Sat, 11 Oct 2025 20:17:03 +0200
add multicurve bootstrap
ql/CMakeLists.txt | 1 +
ql/patterns/lazyobject.hpp | 6 ++
ql/termstructures/Makefile.am | 1 +
ql/termstructures/globalbootstrap.cpp | 128 ++++++++++++++++++++++++
ql/termstructures/globalbootstrap.hpp | 177 ++++++++++++++++++++++++++--------
5 files changed, 273 insertions(+), 40 deletions(-)
commit 12f9d137cf875b35b6ea2d6c452ed279c5bdc04b
Author: paolodelia99
Date: Fri, 10 Oct 2025 18:24:23 +0200
ovveride cap/floorletRate(Real, bool) and in direct childs
ql/cashflows/overnightindexedcouponpricer.hpp | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit 87f381bc07ff69f3c1ae7317bfa8b10e5620b6c5
Author: paolodelia99
Date: Fri, 10 Oct 2025 18:14:52 +0200
use ext::dynamic_pointer_cast
ql/cashflows/overnightindexedcoupon.cpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit 972bace443e4a75ad9c7477dfb3046f6d123da9e
Author: paolodelia99
Date: Fri, 10 Oct 2025 17:15:42 +0200
Fix compilation error, overload virtual functions
ql/cashflows/overnightindexedcouponpricer.hpp | 2 ++
1 file changed, 2 insertions(+)
commit 40fb3278ab2c92517df892f63f83694c2c477c1f
Author: paolodelia99
Date: Fri, 10 Oct 2025 17:11:00 +0200
Make onIndexedCouponPricer the base class for the blackONPricers, adj inheritance among those classes
ql/cashflows/blackovernightindexedcouponpricer.cpp | 12 ++---
ql/cashflows/blackovernightindexedcouponpricer.hpp | 10 ++--
ql/cashflows/couponpricer.cpp | 20 ++++---
ql/cashflows/overnightindexedcoupon.cpp | 23 +++++---
ql/cashflows/overnightindexedcoupon.hpp | 7 ++-
ql/cashflows/overnightindexedcouponpricer.cpp | 61 +++++++++++-----------
ql/cashflows/overnightindexedcouponpricer.hpp | 56 +++++++++-----------
7 files changed, 99 insertions(+), 90 deletions(-)
commit 04521a414bbf0fd12d115174d9ddde01c42750f9
Author: Marcin Rybacki
Date: Wed, 8 Oct 2025 12:27:29 +0200
Incorporated PR feedback.
.../yield/ultimateforwardtermstructure.hpp | 22 ++++++++++++----------
1 file changed, 12 insertions(+), 10 deletions(-)
commit 469e542cd16e8d45c8f3d646523d2eb8993aa8e8
Author: Marcin Rybacki
Date: Wed, 8 Oct 2025 11:42:02 +0200
Calculate equivalent rates only when compounding different than continuous.
.../yield/ultimateforwardtermstructure.hpp | 21 +++--
test-suite/ultimateforwardtermstructure.cpp | 95 +++++++++-------------
2 files changed, 54 insertions(+), 62 deletions(-)
commit d4326f5e41fe312367071db406e29fff7e8f701a
Author: Marcin Rybacki
Date: Tue, 7 Oct 2025 17:05:50 +0200
Use camel-case naming.
ql/termstructures/yield/ultimateforwardtermstructure.hpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit 50fed27595f5e4826ca8908ed4150b71dc8a4099
Author: Marcin Rybacki
Date: Tue, 7 Oct 2025 16:56:56 +0200
Adjusted indentation.
ql/termstructures/yield/ultimateforwardtermstructure.hpp | 10 ++++------
1 file changed, 4 insertions(+), 6 deletions(-)
commit 961c1db60ab185f29afe0c8e120c47ac8e33ad69
Author: Marcin Rybacki
Date: Tue, 7 Oct 2025 16:54:53 +0200
Updated docstring.
ql/termstructures/yield/ultimateforwardtermstructure.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3f6d9e60fec79aaccd9f07c7515e8f1908a2698f
Author: Marcin Rybacki
Date: Tue, 7 Oct 2025 16:52:35 +0200
Enabled rounding in UFR interpolation
.../yield/ultimateforwardtermstructure.hpp | 52 +++++++++++++++++-----
test-suite/ultimateforwardtermstructure.cpp | 41 +++++++++++++++++
2 files changed, 83 insertions(+), 10 deletions(-)
commit 9ad665a3f2d8557406021bb36079ddf2814d105b
Author: paolodelia99
Date: Sat, 4 Oct 2025 17:39:52 +0200
made some ctors explicit
ql/cashflows/blackovernightindexedcouponpricer.hpp | 4 ++--
ql/cashflows/overnightindexedcoupon.hpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit c84af72c7acb3d19d09d569af02e8a0c4b456057
Author: paolodelia99
Date: Sat, 4 Oct 2025 16:59:10 +0200
Adjustements to the ON coupon pricers class as suggested
ql/cashflows/blackovernightindexedcouponpricer.cpp | 151 +++++++++++----------
ql/cashflows/blackovernightindexedcouponpricer.hpp | 26 ++--
ql/cashflows/overnightindexedcoupon.cpp | 25 ++--
ql/cashflows/overnightindexedcoupon.hpp | 3 +
ql/cashflows/overnightindexedcouponpricer.cpp | 52 ++++---
ql/cashflows/overnightindexedcouponpricer.hpp | 83 +++++++----
test-suite/overnightindexedcoupon.cpp | 7 +
7 files changed, 215 insertions(+), 132 deletions(-)
commit 25c0cd5b507b50d4bd9f5904f863375b3fb1bb1e
Author: Luigi Ballabio
Date: Wed, 3 Sep 2025 10:16:42 +0200
Initialize flags properly
ql/cashflows/overnightindexedcoupon.hpp | 4 ++--
test-suite/overnightindexedcoupon.cpp | 3 +--
2 files changed, 3 insertions(+), 4 deletions(-)
commit db54efa4a881698b3b0706040e1e07f0f92d05ee
Author: paolodelia99
Date: Sun, 31 Aug 2025 12:27:51 +0200
More realistic tests when calculating ON leg npv
test-suite/overnightindexedcoupon.cpp | 26 +++++++++++---------------
1 file changed, 11 insertions(+), 15 deletions(-)
commit cf0670779074dd4b7b83edbe9593710edbfb04c3
Author: paolodelia99
Date: Fri, 29 Aug 2025 22:40:01 +0200
add a futher cap and floor rate to match the schedule size in the tests
test-suite/overnightindexedcoupon.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit a16c479b591606d0d6b58e16836f16740d50066a
Author: paolodelia99
Date: Fri, 22 Aug 2025 19:07:50 +0200
Fix at par Coupon error
test-suite/overnightindexedcoupon.cpp | 9 +++++++--
1 file changed, 7 insertions(+), 2 deletions(-)
commit c4deaad8bc6adfc423c989fb5a01bdbebd310ebb
Author: paolodelia99
Date: Fri, 22 Aug 2025 18:18:28 +0200
add test for capped-floored on coupons and leg
ql/cashflows/blackovernightindexedcouponpricer.hpp | 1 +
test-suite/overnightindexedcoupon.cpp | 96 ++++++++++++++++++++--
2 files changed, 89 insertions(+), 8 deletions(-)
commit fabeac9063cdbd2adda540c65002dca9130b9a30
Author: paolodelia99
Date: Fri, 22 Aug 2025 11:48:01 +0200
removed redundant attributes, add first test for black pricer and reformat code
ql/cashflows/blackovernightindexedcouponpricer.cpp | 846 +++++++++++----------
ql/cashflows/blackovernightindexedcouponpricer.hpp | 104 +--
ql/cashflows/overnightindexedcoupon.cpp | 5 +-
ql/cashflows/overnightindexedcoupon.hpp | 10 +-
ql/cashflows/overnightindexedcouponpricer.hpp | 20 +-
test-suite/overnightindexedcoupon.cpp | 67 ++
6 files changed, 568 insertions(+), 484 deletions(-)
commit 8081384bf8fffa41c6a98f06a11e90470c46cc23
Author: paolodelia99
Date: Tue, 19 Aug 2025 09:32:44 +0200
Removed pragma once and use ifdef
ql/cashflows/blackovernightindexedcouponpricer.hpp | 5 ++++-
1 file changed, 4 insertions(+), 1 deletion(-)
commit c8a9a430508aa3efab60a0874ea406b07676b140
Author: paolodelia99
Date: Tue, 19 Aug 2025 09:19:05 +0200
Fix typo in vcxproj file
QuantLib.vcxproj | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5092a673ab17fdfc832bc212dd10c6d898fb58ca
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 19 Aug 2025 07:18:14 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1dc90fded9b6b775b3c227ff495a2e31dcc021f2
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 18 Aug 2025 21:32:10 +0000
Update generated headers
ql/cashflows/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 121b3f38bce0ce7643f11350fa744b48e212764e
Author: paolodelia99
Date: Mon, 18 Aug 2025 23:29:53 +0200
Added blackovernigthindexedcouponpricer and updated pricesetter methods
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +
ql/CMakeLists.txt | 2 +
ql/cashflows/Makefile.am | 2 +
ql/cashflows/blackovernightindexedcouponpricer.cpp | 511 +++++++++++++++++++++
ql/cashflows/blackovernightindexedcouponpricer.hpp | 85 ++++
ql/cashflows/couponpricer.cpp | 33 ++
ql/cashflows/overnightindexedcoupon.cpp | 15 +-
ql/cashflows/overnightindexedcoupon.hpp | 13 +-
9 files changed, 663 insertions(+), 6 deletions(-)
commit 633167fc20e93cc18ddf1b85d93419f5eade21a5
Author: paolodelia99
Date: Sun, 10 Aug 2025 12:03:50 +0200
Fix tolerance in overnightleg test
test-suite/overnightindexedcoupon.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 85216a2c0dc1eda7aeede1c2ff9dd8dff722a72e
Author: paolodelia99
Date: Thu, 7 Aug 2025 18:05:43 +0200
Add test for the overnightLeg
ql/cashflows/overnightindexedcoupon.cpp | 18 +-
ql/cashflows/overnightindexedcoupon.hpp | 5 +-
ql/cashflows/overnightindexedcouponpricer.cpp | 3 +-
test-suite/overnightindexedcoupon.cpp | 349 ++++++++++++++++++++++++++
4 files changed, 367 insertions(+), 8 deletions(-)
commit 93e3a241cededb251d81574cc7163fead74f37ed
Author: paolodelia99
Date: Thu, 7 Aug 2025 12:18:03 +0200
First alignment ORE/QL ON coupon and ON coupon pricer
ql/cashflows/overnightindexedcoupon.cpp | 337 +++++++++++++++++++++++++-
ql/cashflows/overnightindexedcoupon.hpp | 110 ++++++++-
ql/cashflows/overnightindexedcouponpricer.cpp | 92 ++++++-
ql/cashflows/overnightindexedcouponpricer.hpp | 23 ++
4 files changed, 538 insertions(+), 24 deletions(-)
QuantLib-1.41/Contributors.txt 0000664 0000000 0000000 00000012651 15131150556 0016423 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,
Sergio Araujo,
Leonardo Arcari,
Sercan Atalik,
F. Eugene Aumson,
Ahmed Ayadi,
Arnaud Baguet,
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,
William Day,
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,
Kareem Fareed,
Paul Farrington,
Lorella Fatone,
Isuru Fernando,
Luca Ferraro,
Marco Bruno Ferreira Vasconcellos,
Davide Ferretti,
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,
Ryan Gibson,
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,
Babar Khan,
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,
Daniel Martinez Davies,
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,
Hiroto Ogawa,
Anubhav Pandey,
Sotirios Papathanasopoulos,
Krishn Parasar,
Mike Parker,
Giorgio Pazmandi,
Guillaume Pealat,
Gilbert Peffer,
Andrea Pellegatta,
Ignacio Peña,
Walter Penschke,
Francesco Perissin,
Robert Philipp,
Marcello Pietrobon,
Adrien Pinatton,
Gianni Piolanti,
Vladimir Polin,
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-1.41/Docs/ 0000775 0000000 0000000 00000000000 15131150556 0014050 5 ustar 00root root 0000000 0000000 QuantLib-1.41/Docs/Makefile.am 0000664 0000000 0000000 00000002063 15131150556 0016105 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
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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-1.41/Docs/pages/config.docs 0000664 0000000 0000000 00000013305 15131150556 0017270 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-1.41/Docs/pages/coreclasses.docs 0000664 0000000 0000000 00000001562 15131150556 0020333 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-1.41/Docs/pages/currencies.docs 0000664 0000000 0000000 00000001424 15131150556 0020164 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-1.41/Docs/pages/datetime.docs 0000664 0000000 0000000 00000004064 15131150556 0017621 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-1.41/Docs/pages/engines.docs 0000664 0000000 0000000 00000002663 15131150556 0017460 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-1.41/Docs/pages/examples.docs 0000664 0000000 0000000 00000012310 15131150556 0017634 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-1.41/Docs/pages/findiff.docs 0000664 0000000 0000000 00000001763 15131150556 0017435 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-1.41/Docs/pages/fixedincome.docs 0000664 0000000 0000000 00000007722 15131150556 0020323 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-1.41/Docs/pages/history.docs 0000664 0000000 0000000 00000001560 15131150556 0017524 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
The list of releases is available from GitHub at
.
*/
QuantLib-1.41/Docs/pages/index.docs 0000664 0000000 0000000 00000003253 15131150556 0017133 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-1.41/Docs/pages/instruments.docs 0000664 0000000 0000000 00000001423 15131150556 0020414 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-1.41/Docs/pages/lattices.docs 0000664 0000000 0000000 00000010652 15131150556 0017635 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$.
If we suppose that the variance is only dependent on time
\f$ 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-1.41/Docs/pages/license.docs 0000664 0000000 0000000 00000002047 15131150556 0017446 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-1.41/Docs/pages/math.docs 0000664 0000000 0000000 00000003447 15131150556 0016762 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-1.41/Docs/pages/mcarlo.docs 0000664 0000000 0000000 00000001632 15131150556 0017300 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-1.41/Docs/pages/patterns.docs 0000664 0000000 0000000 00000001412 15131150556 0017657 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-1.41/Docs/pages/processes.docs 0000664 0000000 0000000 00000002004 15131150556 0020023 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