pax_global_header 0000666 0000000 0000000 00000000064 15073116133 0014512 g ustar 00root root 0000000 0000000 52 comment=06edddbdb85f006c43a449b5fc846a00c67477f3
QuantLib-1.40/ 0000775 0000000 0000000 00000000000 15073116133 0013155 5 ustar 00root root 0000000 0000000 QuantLib-1.40/.appveyor.yml 0000664 0000000 0000000 00000000322 15073116133 0015620 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-1.40/.ci/ 0000775 0000000 0000000 00000000000 15073116133 0013626 5 ustar 00root root 0000000 0000000 QuantLib-1.40/.ci/Unity.props 0000664 0000000 0000000 00000000255 15073116133 0016025 0 ustar 00root root 0000000 0000000
true
QuantLib-1.40/.ci/VS2017.props 0000664 0000000 0000000 00000001471 15073116133 0015560 0 ustar 00root root 0000000 0000000
false
C:\Libraries\boost_1_69_0;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
Disabled
C:\Libraries\boost_1_69_0\lib64-msvc-14.1;%(AdditionalLibraryDirectories)
QuantLib-1.40/.ci/VS2019.alt.props 0000664 0000000 0000000 00000001356 15073116133 0016343 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
stdcpp17
_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.40/.ci/VS2019.props 0000664 0000000 0000000 00000001074 15073116133 0015561 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
QuantLib-1.40/.ci/VS2022.alt.props 0000664 0000000 0000000 00000001356 15073116133 0016335 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
stdcpp17
_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.40/.ci/VS2022.props 0000664 0000000 0000000 00000001074 15073116133 0015553 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
QuantLib-1.40/.ci/userconfig2019.alt.hpp 0000664 0000000 0000000 00000010270 15073116133 0017576 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-1.40/.ci/userconfig2022.alt.hpp 0000664 0000000 0000000 00000010270 15073116133 0017570 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-1.40/.clang-format 0000664 0000000 0000000 00000002143 15073116133 0015530 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-1.40/.codecov.yml 0000664 0000000 0000000 00000001541 15073116133 0015401 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-1.40/.github/ 0000775 0000000 0000000 00000000000 15073116133 0014515 5 ustar 00root root 0000000 0000000 QuantLib-1.40/.github/boring-cyborg.yml 0000664 0000000 0000000 00000001145 15073116133 0020004 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-1.40/.github/dependabot.yml 0000664 0000000 0000000 00000000261 15073116133 0017344 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-1.40/.github/workflows/ 0000775 0000000 0000000 00000000000 15073116133 0016552 5 ustar 00root root 0000000 0000000 QuantLib-1.40/.github/workflows/cmake-latest-runners.yml 0000664 0000000 0000000 00000010574 15073116133 0023350 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-13, cc: clang, cxx: clang++ },
# { 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: ${{ matrix.settings.os }}
steps:
- uses: actions/checkout@v5
- name: Determine ccache variant
shell: bash
run: |
echo "CMAKE_CXX_COMPILER_LAUNCHER=${{ ( (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://downloads.sourceforge.net/project/boost/boost-binaries/1.89.0/boost_1_89_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-1.89.0" >> $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=${{ matrix.cxx-standard }} -DQL_COMPILE_WARNING_AS_ERROR=ON -L
cmake --build build --verbose
- name: Run the test-suite
run: |
./build/test-suite/quantlib-test-suite -l message
QuantLib-1.40/.github/workflows/cmake.yml 0000664 0000000 0000000 00000017301 15073116133 0020357 0 ustar 00root root 0000000 0000000 name: CMake build
on:
push:
branches:
- '**'
pull_request:
jobs:
cmake-linux:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v5
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-build-${{ github.ref }}
restore-keys: |
cmake-linux-ci-build-${{ github.ref }}
cmake-linux-ci-build-refs/heads/master
cmake-linux-ci-build-
- name: Compile
run: |
mkdir build
cd build
cmake .. -GNinja -DBOOST_ROOT=/usr -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -L
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --install .
sudo ldconfig
- name: Test
run: |
quantlib-test-suite --log_level=message
- name: Run benchmark
run: |
quantlib-benchmark --size=1
cmake-linux-with-options:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v5
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-all-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-opts-${{ github.ref }}
restore-keys: |
cmake-linux-ci-opts-${{ github.ref }}
cmake-linux-ci-opts-refs/heads/master
cmake-linux-ci-opts-
- name: Compile
run: |
cmake --preset linux-ci-build-with-nonstandard-options -L
cd build/linux-ci-build-with-nonstandard-options
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --build . --target install
- name: Test
run: |
quantlib-test-suite --log_level=message
cmake-win:
runs-on: windows-2022
steps:
- uses: actions/checkout@v5
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-build-${{ 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: |
$Url = "https://archives.boost.io/release/1.89.0/source/boost_1_89_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_89_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 $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-dynamic-runtime:
runs-on: windows-2022
steps:
- uses: actions/checkout@v5
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-dyn-build-${{ 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: |
$Url = "https://archives.boost.io/release/1.89.0/source/boost_1_89_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_89_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 $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-with-options:
runs-on: windows-2022
steps:
- uses: actions/checkout@v5
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-opts-${{ 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: |
$Url = "https://archives.boost.io/release/1.89.0/source/boost_1_89_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_89_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 $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
cmake --preset windows-ci-build-with-nonstandard-options -L
cd build/windows-ci-build-with-nonstandard-options
type ql\config.hpp
cmake --build . --verbose
cmake --build . --target install
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-macos:
runs-on: macos-latest
steps:
- uses: actions/checkout@v5
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install boost ccache ninja
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-macos-ci-${{ 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-1.40/.github/workflows/codeql-analysis.yml 0000664 0000000 0000000 00000002716 15073116133 0022373 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@v5
# Initializes the CodeQL tools for scanning.
- name: Initialize CodeQL
uses: github/codeql-action/init@v3
with:
languages: cpp
# Set up build environment
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev
# Autobuild attempts to build any compiled languages (C/C++, C#, or Java).
# If this step fails, then you should remove it and run the build manually (see below)
- name: Autobuild
uses: github/codeql-action/autobuild@v3
# ℹ️ Command-line programs to run using the OS shell.
# 📚 https://git.io/JvXDl
# ✏️ If the Autobuild fails above, remove it and uncomment the following three lines
# and modify them (or add more) to build your code if your project
# uses a compiled language
#- run: |
# make bootstrap
# make release
- name: Perform CodeQL Analysis
uses: github/codeql-action/analyze@v3
QuantLib-1.40/.github/workflows/copyrights.yml 0000664 0000000 0000000 00000001166 15073116133 0021474 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@v5
- name: Check
run: |
./tools/check_copyrights.sh
- uses: peter-evans/create-pull-request@v7
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: update-copyright-list-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update copyright list in license'
title: 'Update copyright list in license'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.40/.github/workflows/coveralls.yml 0000664 0000000 0000000 00000002600 15073116133 0021265 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@v5
- 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: ${{ secrets.GITHUB_TOKEN }}
file: ./coverage/lcov.info
QuantLib-1.40/.github/workflows/devenv-images.yml 0000664 0000000 0000000 00000003262 15073116133 0022032 0 ustar 00root root 0000000 0000000 name: Build quantlib-devenv Docker images
on:
workflow_dispatch:
inputs:
boostVersion:
description: 'Boost version'
required: true
env:
ROLLING: plucky
jobs:
docker-images:
runs-on: ubuntu-latest
strategy:
matrix:
tag: [plucky, questing]
steps:
- uses: actions/checkout@v5
- name: Build CI images
working-directory: dockerfiles
run: |
docker build -f ci.Dockerfile \
--build-arg tag=${{ 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-1.40/.github/workflows/doxygen.yml 0000664 0000000 0000000 00000001260 15073116133 0020751 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@v5
- 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@v5
- name: Check
run: |
./tools/check_all_header_docs.sh
QuantLib-1.40/.github/workflows/filelists.yml 0000664 0000000 0000000 00000000750 15073116133 0021275 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@v5
- 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-1.40/.github/workflows/generated-headers.yml 0000664 0000000 0000000 00000001723 15073116133 0022647 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@v5
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev
- name: Configure
run: |
./autogen.sh
./configure
- name: Update headers
run: |
find ql -name *.am | xargs touch
make dist
rm QuantLib-*.tar.gz
- uses: peter-evans/create-pull-request@v7
with:
token: ${{ secrets.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-1.40/.github/workflows/headers.yml 0000664 0000000 0000000 00000001264 15073116133 0020713 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@v5
- 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-1.40/.github/workflows/includes.yml 0000664 0000000 0000000 00000001454 15073116133 0021107 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@v5
- name: Check
run: |
shopt -s globstar
sed -i -E -e 's|#include *"(ql/.*\.hpp)"|#include <\1>|g' **/*.[hc]pp
- uses: peter-evans/create-pull-request@v7
with:
token: ${{ secrets.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-1.40/.github/workflows/license-url.yml 0000664 0000000 0000000 00000001364 15073116133 0021523 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@v5
- 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@v7
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-1.40/.github/workflows/linux-full-tests.yml 0000664 0000000 0000000 00000015405 15073116133 0022541 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: plucky
cc: clang
cxx: clang++
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Intraday calculations enabled"
shortname: intraday
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-intraday
- name: "Throwing in cycles enabled"
shortname: cycles
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-throwing-in-cycles --disable-faster-lazy-objects
- name: "Indexed coupons enabled"
shortname: indexed
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-indexed-coupons
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-classes
- name: "Thread-safe observer enabled"
shortname: threadsafe
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-thread-safe-observer-pattern
- name: "Sessions enabled"
shortname: sessions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-sessions
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
- name: "Parallel unit-test runner"
shortname: paralleltests
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-parallel-unit-test-runner
- name: "Null as function template"
shortname: nullfunctions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-null-as-functions
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v5
- 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-1.40/.github/workflows/linux-nondefault.yml 0000664 0000000 0000000 00000013102 15073116133 0022566 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: plucky
cc: clang
cxx: clang++
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-pointers --disable-std-any --disable-std-optional
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v5
- 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-1.40/.github/workflows/linux.yml 0000664 0000000 0000000 00000013074 15073116133 0020441 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 20"
shortname: clang20
tag: plucky
cc: clang
cxx: clang++
tests: true
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Intraday calculations enabled"
shortname: intraday
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-intraday
tests: true
- name: "Throwing in cycles enabled"
shortname: cycles
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-throwing-in-cycles --disable-faster-lazy-objects
tests: true
- name: "Indexed coupons enabled"
shortname: indexed
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-indexed-coupons
tests: true
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-classes
tests: true
- name: "Thread-safe observer enabled"
shortname: threadsafe
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-thread-safe-observer-pattern
tests: true
- name: "Sessions enabled"
shortname: sessions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-sessions
tests: true
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
tests: true
- name: "Parallel unit-test runner"
shortname: paralleltests
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-parallel-unit-test-runner
tests: true
- name: "Null as function template"
shortname: nullfunctions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-null-as-functions
tests: true
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v5
- 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-1.40/.github/workflows/macos-nondefault.yml 0000664 0000000 0000000 00000002546 15073116133 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-13, macos-14, macos-15]
classes: [boost, std]
include:
- classes: std
configureflags: --enable-std-pointers --disable-std-any --disable-std-optional
steps:
- uses: actions/checkout@v5
- 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-1.40/.github/workflows/macos.yml 0000664 0000000 0000000 00000002337 15073116133 0020404 0 ustar 00root root 0000000 0000000 name: Mac OS build
on:
push:
branches:
- '**'
pull_request:
jobs:
build:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
os: [macos-13, macos-14, macos-15]
steps:
- uses: actions/checkout@v5
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost ccache
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: macos-ci-build-${{ 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-1.40/.github/workflows/misspell.yml 0000664 0000000 0000000 00000001202 15073116133 0021120 0 ustar 00root root 0000000 0000000 name: Misspell fixer
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v5
- uses: sobolevn/misspell-fixer-action@master
- uses: peter-evans/create-pull-request@v7
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-1.40/.github/workflows/msvc-all-configs.yml 0000664 0000000 0000000 00000004030 15073116133 0022436 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: 89
vsversion: 2022
steps:
- uses: actions/checkout@v5
- 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 $LASTEXITCODE }
}
QuantLib-1.40/.github/workflows/msvc-analysis.yml 0000664 0000000 0000000 00000003052 15073116133 0022066 0 ustar 00root root 0000000 0000000 name: Microsoft C++ Code Analysis
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
env:
# Path to the CMake build directory.
build: '${{ github.workspace }}/build'
jobs:
analyze:
name: Analyze
runs-on: windows-2022
steps:
- name: Checkout repository
uses: actions/checkout@v5
- name: Setup
run: |
$Url = "https://archives.boost.io/release/1.89.0/source/boost_1_89_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_89_0" -NewName "boost"
- name: Configure CMake
env:
BOOST_ROOT: C:\local\boost
run: cmake -B ${{ env.build }} -DQL_USE_STD_CLASSES=ON
- name: Run MSVC Code Analysis
uses: microsoft/msvc-code-analysis-action@v0.1.1
# Provide a unique ID to access the sarif output path
id: run-analysis
env:
CAExcludePath: C:\local\boost
with:
cmakeBuildDirectory: ${{ env.build }}
buildConfiguration: Release
ruleset: '${{ github.workspace }}/.msvc-analysis.ruleset'
- name: Upload SARIF to GitHub
uses: github/codeql-action/upload-sarif@v3
with:
sarif_file: ${{ steps.run-analysis.outputs.sarif }}
- name: Upload SARIF as an Artifact
uses: actions/upload-artifact@v4
with:
name: sarif-file
path: ${{ steps.run-analysis.outputs.sarif }}
QuantLib-1.40/.github/workflows/msvc-nondefault.yml 0000664 0000000 0000000 00000003604 15073116133 0022405 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: 89
vsversion: 2022
steps:
- uses: actions/checkout@v5
- 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-1.40/.github/workflows/msvc.yml 0000664 0000000 0000000 00000003332 15073116133 0020246 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: 89
vsversion: 2022
steps:
- uses: actions/checkout@v5
- 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-1.40/.github/workflows/namespaces.yml 0000664 0000000 0000000 00000002353 15073116133 0021417 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@v5
- name: Check
run: |
shopt -s globstar
sed -i -e 's/ext::function\b/std::function/g' **/*.[hc]pp
sed -i -e 's/ext::bind\b/std::bind/g' **/*.[hc]pp
sed -i -e 's/ext::ref\b/std::ref/g' **/*.[hc]pp
sed -i -e 's/ext::cref\b/std::cref/g' **/*.[hc]pp
sed -i -e 's/ext::placeholders\b/std::placeholders/g' **/*.[hc]pp
sed -i -e 's/ext::tuple\b/std::tuple/g' **/*.[hc]pp
sed -i -e 's/ext::make_tuple\b/std::make_tuple/g' **/*.[hc]pp
sed -i -e 's/ext::get\b/std::get/g' **/*.[hc]pp
sed -i -e 's/ext::tie\b/std::tie/g' **/*.[hc]pp
- uses: peter-evans/create-pull-request@v7
with:
token: ${{ secrets.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-1.40/.github/workflows/prepare-release-candidate.yml 0000664 0000000 0000000 00000004022 15073116133 0024261 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@v5
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@v7
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-1.40/.github/workflows/prepare-release.yml 0000664 0000000 0000000 00000004025 15073116133 0022352 0 ustar 00root root 0000000 0000000 name: Prepare release
on:
workflow_dispatch:
jobs:
update-for-release:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v5
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@v7
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-1.40/.github/workflows/publish-release-candidate.yml 0000664 0000000 0000000 00000002171 15073116133 0024274 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@v5
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-1.40/.github/workflows/publish-release.yml 0000664 0000000 0000000 00000003336 15073116133 0022366 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@v5
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 $GITHUB_ENV
- name: Prepare release notes
run: |
echo "Downloads:" >> tarballs/notes.txt
echo "==========" >> tarballs/notes.txt
echo "" >> tarballs/notes.txt
echo "- [QuantLib-1.${VERSION_NUMBER}.tar.gz](https://github.com/lballabio/QuantLib/releases/download/v1.${VERSION_NUMBER}/QuantLib-1.${VERSION_NUMBER}.tar.gz)" >> tarballs/notes.txt
echo "- [QuantLib-1.${VERSION_NUMBER}.zip](https://github.com/lballabio/QuantLib/releases/download/v1.${VERSION_NUMBER}/QuantLib-1.${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
QuantLib-1.40/.github/workflows/sanitizer.yml 0000664 0000000 0000000 00000002646 15073116133 0021315 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@v5
- 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@v5
- 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-1.40/.github/workflows/stale.yml 0000664 0000000 0000000 00000002224 15073116133 0020405 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: ${{ secrets.GITHUB_TOKEN }}
stale-issue-message: 'This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-issue-message: 'This issue was automatically closed because it has been stalled for two weeks with no further activity.'
stale-pr-message: 'This PR was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'
close-pr-message: 'This PR was automatically closed because it has been stalled for two weeks with no further activity.'
days-before-stale: 60
days-before-close: 14
stale-issue-label: 'stale'
stale-pr-label: 'stale'
exempt-issue-labels: 'help wanted,in progress'
exempt-pr-labels: 'help wanted,in progress'
exempt-all-milestones: true
QuantLib-1.40/.github/workflows/sync-qldefines.yml 0000664 0000000 0000000 00000001735 15073116133 0022227 0 ustar 00root root 0000000 0000000 name: Keep qldefines.hpp.cfg in sync with original header
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
sync-files:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v5
- name: Check
run: |
cp ql/qldefines.hpp ql/qldefines.hpp.cfg
sed -i -e 's|^#if defined(HAVE_CONFIG_H).*$|#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@v7
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-1.40/.github/workflows/test-times.yml 0000664 0000000 0000000 00000002601 15073116133 0021372 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@v5
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: linux-ci-test-times-${{ github.ref }}
restore-keys: |
linux-ci-test-times-${{ github.ref }}
linux-ci-test-times-refs/heads/master
linux-ci-test-times-
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev autoconf automake libtool ccache
- name: Build
run: |
./autogen.sh
./configure --disable-static CC="ccache gcc" CXX="ccache g++" CXXFLAGS="-O2 -g0"
make -j 4
- name: Run faster tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,faster.xml:HRF,message -- --faster
- name: Run fast tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,fast.xml:HRF,message -- --fast
- name: Run all tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,all.xml:HRF,message
- name: Save test times
uses: actions/upload-artifact@v4
with:
name: test-reports
path: ./*.xml
- name: Check test times
run: |
python ./tools/check_test_times.py
QuantLib-1.40/.github/workflows/tidy.yml 0000664 0000000 0000000 00000002146 15073116133 0020251 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@v5
- name: Setup
run: |
sudo apt-get update
sudo apt-get install -y clang-tidy-19 libboost-dev
- name: Check
run: |
cmake --preset linux-ci-build-with-clang-tidy
cd build/linux-ci-build-with-clang-tidy
cmake --build . -j1
- uses: peter-evans/create-pull-request@v7
if: ${{ always() }}
with:
token: ${{ secrets.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-1.40/.gitignore 0000664 0000000 0000000 00000003661 15073116133 0015153 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-1.40/.lgtm.yml 0000664 0000000 0000000 00000000246 15073116133 0014723 0 ustar 00root root 0000000 0000000
path_classifiers:
docs:
- Docs
- Examples
test:
- test-suite
library:
- tools
queries:
- exclude: cpp/fixme-comment
QuantLib-1.40/.lsan.txt 0000664 0000000 0000000 00000000001 15073116133 0014720 0 ustar 00root root 0000000 0000000
QuantLib-1.40/.misspell-fixer.ignore 0000664 0000000 0000000 00000000022 15073116133 0017375 0 ustar 00root root 0000000 0000000 ^./ChangeLog.txt
QuantLib-1.40/.msvc-analysis.ruleset 0000664 0000000 0000000 00000001004 15073116133 0017424 0 ustar 00root root 0000000 0000000
QuantLib-1.40/CITATION.cff 0000664 0000000 0000000 00000000555 15073116133 0015054 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-1.40/CMakeLists.txt 0000664 0000000 0000000 00000025262 15073116133 0015724 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 40)
set(QUANTLIB_VERSION_PATCH 0)
set(QUANTLIB_VERSION ${QUANTLIB_VERSION_MAJOR}.${QUANTLIB_VERSION_MINOR}.${QUANTLIB_VERSION_PATCH})
# Project Info
set(PACKAGE_NAME "QuantLib")
set(PACKAGE_VERSION "1.40")
set(PACKAGE_VERSION_HEX "0x014000f0")
set(PACKAGE_STRING "${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-1.40/CMakePresets.json 0000664 0000000 0000000 00000017600 15073116133 0016402 0 ustar 00root root 0000000 0000000 {
"version": 3,
"configurePresets": [
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"name": "windows-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"architecture": {
"value": "x64",
"strategy": "external"
},
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Windows"
}
},
{
"name": "windows-msvc-base",
"hidden": true,
"inherits": "windows-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "cl.exe"
},
"vendor": {
"microsoft.com/VisualStudioSettings/CMake/1.0": {
"intelliSenseMode": "windows-msvc-x64"
}
}
},
{
"name": "windows-clang-base",
"hidden": true,
"inherits": "windows-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "clang-cl.exe"
},
"vendor": {
"microsoft.com/VisualStudioSettings/CMake/1.0": {
"intelliSenseMode": "windows-clang-x64"
}
}
},
{
"name": "linux-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Linux"
},
"vendor": {
"microsoft.com/VisualStudioRemoteSettings/CMake/1.0": {
"sourceDir": "$env{HOME}/.vs/$ms{projectDirName}"
},
"microsoft.com/VisualStudioSettings/CMake/1.0": {
"intelliSenseMode": "linux-gcc-x64",
"hostOS": [
"Linux"
]
}
}
},
{
"name": "linux-gcc-base",
"hidden": true,
"inherits": "linux-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "g++"
}
},
{
"name": "linux-clang-base",
"hidden": true,
"inherits": "linux-base",
"cacheVariables": {
"CMAKE_CXX_COMPILER": "clang++"
}
},
{
"name": "apple-arm64-base",
"hidden": true,
"binaryDir": "${sourceDir}/build/${presetName}",
"architecture": {
"value": "arm64",
"strategy": "external"
},
"condition": {
"type": "equals",
"lhs": "${hostSystemName}",
"rhs": "Darwin"
}
},
{
"name": "ninja",
"hidden": true,
"generator": "Ninja"
},
{
"name": "make",
"hidden": true,
"generator": "Unix Makefiles"
},
{
"name": "_release",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Release"
}
},
{
"name": "_debug",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "Debug"
}
},
{
"name": "_relwithdebinfo",
"hidden": true,
"cacheVariables": {
"CMAKE_BUILD_TYPE": "RelWithDebInfo"
}
},
{
"name": "linux-clang-debug",
"inherits": [
"linux-clang-base",
"make",
"_debug"
]
},
{
"name": "linux-clang-release",
"inherits": [
"linux-clang-base",
"make",
"_release"
]
},
{
"name": "linux-clang-relwithdebinfo",
"inherits": [
"linux-clang-base",
"make",
"_relwithdebinfo"
]
},
{
"name": "linux-gcc-debug",
"inherits": [
"linux-gcc-base",
"make",
"_debug"
]
},
{
"name": "linux-gcc-release",
"inherits": [
"linux-gcc-base",
"make",
"_release"
]
},
{
"name": "linux-gcc-relwithdebinfo",
"inherits": [
"linux-gcc-base",
"make",
"_relwithdebinfo"
]
},
{
"name": "linux-clang-ninja-debug",
"inherits": [
"ninja",
"linux-clang-debug"
]
},
{
"name": "linux-clang-ninja-release",
"inherits": [
"ninja",
"linux-clang-release"
]
},
{
"name": "linux-clang-ninja-relwithdebinfo",
"inherits": [
"ninja",
"linux-clang-relwithdebinfo"
]
},
{
"name": "linux-gcc-ninja-debug",
"inherits": [
"ninja",
"linux-gcc-debug"
]
},
{
"name": "linux-gcc-ninja-release",
"inherits": [
"ninja",
"linux-gcc-release"
]
},
{
"name": "linux-gcc-ninja-relwithdebinfo",
"inherits": [
"ninja",
"linux-gcc-relwithdebinfo"
]
},
{
"name": "linux-gcc-debug-with-clang-tidy",
"inherits": [
"linux-gcc-debug"
],
"cacheVariables": {
"QL_CLANG_TIDY_OPTIONS": "-warnings-as-errors=*",
"QL_USE_CLANG_TIDY": "ON"
}
},
{
"name": "windows-clang-release",
"inherits": [
"windows-clang-base",
"ninja",
"_release"
]
},
{
"name": "windows-clang-debug",
"inherits": [
"windows-clang-base",
"ninja",
"_debug"
]
},
{
"name": "windows-clang-relwithdebinfo",
"inherits": [
"windows-clang-base",
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"_relwithdebinfo"
]
},
{
"name": "windows-msvc-release",
"inherits": [
"windows-msvc-base",
"ninja",
"_release"
]
},
{
"name": "windows-msvc-debug",
"inherits": [
"windows-msvc-base",
"ninja",
"_debug"
]
},
{
"name": "windows-msvc-relwithdebinfo",
"inherits": [
"windows-msvc-base",
"ninja",
"_relwithdebinfo"
]
},
{
"name": "linux-ci-build-with-clang-tidy",
"inherits": [
"linux-gcc-debug"
],
"cacheVariables": {
"BOOST_ROOT": "/usr",
"CMAKE_UNITY_BUILD": "ON",
"QL_CLANG_TIDY": "clang-tidy-19",
"QL_CLANG_TIDY_OPTIONS": "-quiet;-fix",
"QL_USE_CLANG_TIDY": "ON",
"QL_USE_STD_CLASSES": "ON"
}
},
{
"name": "linux-ci-build-with-nonstandard-options",
"inherits": [
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],
"cacheVariables": {
"BOOST_ROOT": "/usr",
"BUILD_SHARED_LIBS": false,
"CMAKE_CXX_COMPILER_LAUNCHER": "ccache",
"QL_ENABLE_SESSIONS": "ON",
"QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN": "ON",
"QL_HIGH_RESOLUTION_DATE": "ON",
"QL_FASTER_LAZY_OBJECTS": "OFF",
"QL_THROW_IN_CYCLES": "ON",
"QL_NULL_AS_FUNCTIONS": "ON",
"QL_USE_INDEXED_COUPON": "ON",
"QL_USE_STD_SHARED_PTR": "ON",
"QL_USE_STD_ANY": "OFF",
"QL_USE_STD_OPTIONAL": "OFF",
"QL_COMPILE_WARNING_AS_ERROR": "ON"
}
},
{
"name": "windows-ci-build-with-nonstandard-options",
"inherits": [
"windows-msvc-release"
],
"cacheVariables": {
"CMAKE_UNITY_BUILD": "ON",
"QL_ENABLE_SESSIONS": "ON",
"QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN": "ON",
"QL_HIGH_RESOLUTION_DATE": "ON",
"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",
"CMAKE_CXX_COMPILER_LAUNCHER": "sccache"
}
},
{
"name": "apple-arm64-ninja-debug",
"description": "Apple M series preset Debug",
"inherits": [
"apple-arm64-base",
"ninja",
"_debug"
]
},
{
"name": "apple-arm64-ninja-release",
"description": "Apple M series preset Release",
"inherits": [
"apple-arm64-base",
"ninja",
"_release"
]
},
{
"name": "apple-arm64-ninja-relwithdebinfo",
"description": "Apple M series preset RelWithDebInfo",
"inherits": [
"apple-arm64-base",
"ninja",
"_relwithdebinfo"
]
}
]
}
QuantLib-1.40/CONTRIBUTING.md 0000664 0000000 0000000 00000003631 15073116133 0015411 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-1.40/ChangeLog.txt 0000664 0000000 0000000 00002165143 15073116133 0015561 0 ustar 00root root 0000000 0000000 commit 6baa6c2b4434c3bb456e51392dc5b07f742a0554
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Fri, 10 Oct 2025 15:13:51 +0000
Set version to 1.40
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit eea869603efb2b83a3c38b80553da151f24f1ace
Author: Luigi Ballabio
Date: Fri, 3 Oct 2025 16:31:55 +0200
Fix job name
.github/workflows/prepare-release.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1823b828774fbf078f461d0d13796d6213ead130
Author: Luigi Ballabio
Date: Fri, 3 Oct 2025 15:09:32 +0200
Add initial workflows for release
.github/workflows/prepare-release.yml | 43 +++++++++++++++++++++++++++++
.github/workflows/publish-release.yml | 52 +++++++++++++++++++++++++++++++++++
2 files changed, 95 insertions(+)
commit 0e7d8fbb1ce1e3efe892d89f0b12acf95101d584
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Thu, 2 Oct 2025 10:58:02 +0000
Update changelog
ChangeLog.txt | 10017 +++++++++++++++++++++++++++++++++++++++++++++++++++-----
1 file changed, 9249 insertions(+), 768 deletions(-)
commit 42dcd1b669981b5172283856ce446fdf9638c891
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Thu, 2 Oct 2025 10:58:02 +0000
Set version to 1.40-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit fa4e409dae17befe71921b3d183255894192e466
Author: Luigi Ballabio
Date: Thu, 2 Oct 2025 11:50:28 +0200
Update news and contributors
Contributors.txt | 9 +++
News.md | 167 ++++++++++++++-----------------------------------------
2 files changed, 50 insertions(+), 126 deletions(-)
commit a9fac61b892dbaab5b42f7cdaf8b8e311622384a
Author: Luigi Ballabio
Date: Wed, 1 Oct 2025 15:55:25 +0200
Fix test message
test-suite/indexes.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ff6a7af465ec7bb0edc89630d781a22937bdacd0
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Mon, 29 Sep 2025 08:24:42 +0000
Automated fixes by clang-tidy
ql/instruments/perpetualfutures.cpp | 3 ++-
ql/pricingengines/futures/discountingperpetualfuturesengine.cpp | 6 +++---
ql/pricingengines/futures/discountingperpetualfuturesengine.hpp | 4 ++--
3 files changed, 7 insertions(+), 6 deletions(-)
commit d113fbfcdcabe7654abc773abee25b26811f03f4
Merge: 7deb4a1e8 13a7b3b53
Author: Luigi Ballabio
Date: Mon, 29 Sep 2025 11:07:09 +0200
Fix potential dangling reference in MultiCubicSpline (#2265)
commit 7deb4a1e8e6dd2ded7d1c82e84e80867f318d4e4
Author: Luigi Ballabio
Date: Mon, 29 Sep 2025 08:36:50 +0200
Prevent false positives from clang-tidy
ql/experimental/credit/defaultprobabilitylatentmodel.hpp | 2 ++
1 file changed, 2 insertions(+)
commit 13a7b3b5312edd295c7b4de986268fc968b56efb
Author: Luigi Ballabio
Date: Mon, 29 Sep 2025 09:22:16 +0200
Correct size for default vector
ql/math/interpolations/multicubicspline.hpp | 19 +++++++------------
1 file changed, 7 insertions(+), 12 deletions(-)
commit 7873176976e51034d8cde02dd8a7f477ba603426
Merge: ef5c0e910 de1f2614d
Author: Luigi Ballabio
Date: Mon, 29 Sep 2025 09:07:31 +0200
Add date adjustment rules for 30/365 (#2337)
commit de1f2614d13a28185cf248e591feca14743247d5
Author: Ryan Gibson
Date: Sun, 28 Sep 2025 21:26:50 -0400
Add date adjustment tests for Thirty365
test-suite/daycounters.cpp | 48 +++++++++++++++++++++++++++++++---------------
1 file changed, 33 insertions(+), 15 deletions(-)
commit ef5c0e9106bf7a0249b5b2cabf297fb95cd41d31
Merge: e6fa0a4cf 9b799b79a
Author: Luigi Ballabio
Date: Sun, 28 Sep 2025 23:31:05 +0200
Explicit return type for lambdas to work with expression templates (#2338)
commit 41b5e10f6a70aa0f21636888e4acace51f4fe0a2
Author: Ryan Gibson
Date: Fri, 26 Sep 2025 12:01:18 -0400
Add date adjustment rules for 30/365
ql/time/daycounters/thirty365.cpp | 5 +++++
1 file changed, 5 insertions(+)
commit e6fa0a4cfacdbbea4b48e8aa627d450187f3861a
Merge: bb2c2abec 4b5b53cd1
Author: Luigi Ballabio
Date: Fri, 26 Sep 2025 16:03:50 +0200
Improvement to Latent model execution time (#2336)
commit bb2c2abecc35d040a1551feab4af0e793ca3ab47
Author: Vladimir Polin
Date: Thu, 25 Sep 2025 10:14:14 -0700
Removed trailing spaces in quantlibbenchmark.cpp, no functionality affected
test-suite/quantlibbenchmark.cpp | 164 +++++++++++++++++++--------------------
1 file changed, 82 insertions(+), 82 deletions(-)
commit 856785f13b7fa3c43adbcaa87f7ceb7cc50bbcf4
Merge: 0bc442057 fb05b3a3d
Author: Luigi Ballabio
Date: Fri, 26 Sep 2025 15:41:39 +0200
Simplify and generalize inflationPeriod (#2334)
commit 0bc4420578f891b050c192010164e44573fa27c6
Author: Luigi Ballabio
Date: Fri, 26 Sep 2025 08:17:29 +0200
Remove unused variable
ql/pricingengines/basket/mceuropeanbasketengine.hpp | 6 ------
1 file changed, 6 deletions(-)
commit 4b5b53cd14b80036f03dc32bfa5f76675c7d6d12
Author: Vladimir Polin
Date: Thu, 25 Sep 2025 12:30:14 -0700
Improvement to Latent model execution time and the most heavy testGauss test/benchmark.
Before the improvement
NthToDefaultTests/testGauss : 48.7896s
After the improvement
NthToDefaultTests/testGauss : 27.3736s
Tail spaces removed.
.../credit/defaultprobabilitylatentmodel.hpp | 94 ++++++++++++----------
1 file changed, 51 insertions(+), 43 deletions(-)
commit fb05b3a3dd930ca43774e13adc52a268a0140b62
Author: Eugene Toder
Date: Thu, 25 Sep 2025 10:54:49 -0400
Simplify and generalize inflationPeriod
ql/termstructures/inflationtermstructure.cpp | 34 +++++-----------------------
1 file changed, 6 insertions(+), 28 deletions(-)
commit ec1db2a0bcddf10512ac942957afed7601b71c1d
Merge: 8a6f07870 ea918d553
Author: Luigi Ballabio
Date: Thu, 25 Sep 2025 15:23:29 +0200
Speedup Sobol Sequence Generator by transposing directionIntegers_ matrix (#2333)
commit ea918d553ecba46a5922eb0e1dd02661c9bbe357
Author: Daniel Martinez Davies <70523811+danielmartinezdavies@users.noreply.github.com>
Date: Tue, 23 Sep 2025 21:02:20 +0200
Transpose SobolRsg directionIntegers_ matrix
ql/math/randomnumbers/sobolrsg.cpp | 74 +++++++++++++++++++-------------------
1 file changed, 37 insertions(+), 37 deletions(-)
commit 8a6f078701e5d4af6a3f443efbe855180a1a20a5
Author: Luigi Ballabio
Date: Tue, 23 Sep 2025 09:07:00 +0200
Don't use vector if no linear algebra is used
.../futures/discountingperpetualfuturesengine.cpp | 14 +++++------
.../futures/discountingperpetualfuturesengine.hpp | 28 ++++++++++++----------
test-suite/perpetualfutures.cpp | 2 +-
3 files changed, 23 insertions(+), 21 deletions(-)
commit 0ea39f6eb380ed1ba831c583333afd4076b8a856
Author: Luigi Ballabio
Date: Fri, 19 Sep 2025 18:36:04 +0200
Don't run CI when pushing a tag
Not needed in our workflow: most likely, it would be a duplicate
of the build on the corresponding branch.
.github/workflows/cmake.yml | 6 +++++-
.github/workflows/doxygen.yml | 6 +++++-
.github/workflows/filelists.yml | 6 +++++-
.github/workflows/headers.yml | 6 +++++-
.github/workflows/linux.yml | 6 +++++-
.github/workflows/macos.yml | 6 +++++-
.github/workflows/msvc.yml | 6 +++++-
.github/workflows/test-times.yml | 6 +++++-
8 files changed, 40 insertions(+), 8 deletions(-)
commit 5412fc6354cba57f737612c5fde23f5b09c29d86
Author: Luigi Ballabio
Date: Fri, 19 Sep 2025 17:51:35 +0200
Add workflow to publish release candidates
.github/workflows/publish-release-candidate.yml | 42 +++++++++++++++++++++++++
1 file changed, 42 insertions(+)
commit dbfb252daa810d33d2f1b4b96f8e3892fc9652a6
Author: Luigi Ballabio
Date: Fri, 19 Sep 2025 16:12:54 +0200
Stop tool when an error occurs
tools/tgz2zip | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit 33ac067bfafcac8832a08d53faddb7a025c47d51
Merge: add169c41 700a26d3e
Author: Luigi Ballabio
Date: Thu, 18 Sep 2025 18:20:21 +0200
Add Singapore public holidays for 2025 (#2330)
commit 700a26d3e5dc7c1a8fedb9246f932a33c7ea5c97
Author: Sergio Araujo
Date: Thu, 18 Sep 2025 15:02:48 +0100
Added public holidays for singapore 2025
ql/time/calendars/singapore.cpp | 14 ++++++++++++++
1 file changed, 14 insertions(+)
commit 9b799b79ac8b5f70fc892e4b32747b5a51f69a65
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Thu, 18 Sep 2025 08:50:46 +0100
Explicit return type for lambdas to work with expression templates
ql/pricingengines/futures/discountingperpetualfuturesengine.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit add169c41c7492d00caf2127483f8d811c8775bc
Author: Luigi Ballabio
Date: Wed, 17 Sep 2025 23:01:41 +0200
Don't run workflows on automated PRs that don't change code
.github/workflows/copyrights.yml | 3 +--
.github/workflows/license-url.yml | 3 +--
2 files changed, 2 insertions(+), 4 deletions(-)
commit 87a64b409c3f50d8f14bc50f1894c3cd0df561f6
Merge: c6d49d20d e0e6467a6
Author: Luigi Ballabio
Date: Thu, 18 Sep 2025 08:53:07 +0200
Fixing naming and styles in pull request #2315 (perpetual futures) (#2329)
commit e0e6467a6c4097a3da680a33f09387949ee6df36
Author: drxyzw
Date: Thu, 18 Sep 2025 08:39:06 +0800
Fixing styles
.../futures/discountingperpetualfuturesengine.hpp | 2 +-
test-suite/perpetualfutures.cpp | 26 +++++++++++-----------
2 files changed, 14 insertions(+), 14 deletions(-)
commit c6d49d20d81c39066a8d8a4f86ee489652f6ecb4
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 17 Sep 2025 20:01:41 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit 73e34ee8f707826ad2086cae7ed879ba35470fa0
Merge: 1ddb76676 5549d0373
Author: Luigi Ballabio
Date: Wed, 17 Sep 2025 22:01:30 +0200
Perpetual futures (#2315)
commit 1ddb76676625e047554a8d587f7dc99f0c2a344a
Author: Luigi Ballabio
Date: Wed, 17 Sep 2025 15:35:12 +0200
Add macos-15 image to CI builds
.github/workflows/macos-nondefault.yml | 2 +-
.github/workflows/macos.yml | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 89d273e3d17f7cbceb3a05160518ada8902e3bf1
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 17 Sep 2025 14:22:35 +0000
Update generated headers
ql/pricingengines/all.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit db2f481564d0554d750d10c853a2f9382fce7c42
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 17 Sep 2025 14:07:55 +0000
Update old license links
ql/pricingengines/bacheliercalculator.cpp | 2 +-
ql/pricingengines/bacheliercalculator.hpp | 2 +-
test-suite/bacheliercalculator.cpp | 2 +-
test-suite/blackcalculator.cpp | 2 +-
4 files changed, 4 insertions(+), 4 deletions(-)
commit e7402d17cdbfe2d5e55517d474c3212c8ead6269
Merge: 434c5934b 17f1a1bed
Author: Luigi Ballabio
Date: Wed, 17 Sep 2025 16:07:41 +0200
BachelierCalculator (#2316)
commit 434c5934b1de1d4b178784635f1615cbcf7b87ea
Author: Luigi Ballabio
Date: Wed, 17 Sep 2025 08:02:19 +0200
Add workflow to keep qldefines.hpp.cfg up to date
.github/workflows/sync-qldefines.yml | 24 ++++++++++++++++++++++++
ql/qldefines.hpp | 3 ++-
ql/qldefines.hpp.cfg | 2 +-
3 files changed, 27 insertions(+), 2 deletions(-)
commit 17f1a1bed716abb5bed26f12bb8c004a9818687a
Author: kp9991
Date: Wed, 17 Sep 2025 12:14:38 +1000
Fixing zero vol for Black
ql/pricingengines/blackcalculator.cpp | 126 +++++++++++++++++++++++++++++++++-
ql/pricingengines/blackcalculator.hpp | 4 --
test-suite/blackcalculator.cpp | 111 ++++++++++++++++++++++++++++++
3 files changed, 236 insertions(+), 5 deletions(-)
commit f865e5b7a4caebe8adc93b5f88cf667fd9a75da5
Author: kp9991
Date: Wed, 17 Sep 2025 11:26:43 +1000
Handling zero vol in bachelier, adding a zero vol unit test
ql/pricingengines/bacheliercalculator.cpp | 2 +-
ql/pricingengines/bacheliercalculator.hpp | 26 ++++---
test-suite/bacheliercalculator.cpp | 116 ++++++++++++++++++++++++++++++
3 files changed, 134 insertions(+), 10 deletions(-)
commit b2e69dd730aef7c808dcf7f5bbe0c0ada8a63ecc
Author: drxyzw
Date: Wed, 17 Sep 2025 09:24:56 +0800
Fixing typos and adding a comment
ql/instruments/perpetualfutures.hpp | 1 +
ql/pricingengines/futures/discountingperpetualfuturesengine.cpp | 2 +-
test-suite/perpetualfutures.cpp | 2 +-
3 files changed, 3 insertions(+), 2 deletions(-)
commit cc621e1528f59015f4a70c749331ed4cd2f6c6b5
Author: drxyzw
Date: Wed, 17 Sep 2025 09:00:56 +0800
Addressing feedback in pull request including name change of funding types
(cherry picked from commit 2472c6c2d737ae05553e0b8a7d35f0f788c37add)
ql/instruments/perpetualfutures.cpp | 22 +++++++-------
ql/instruments/perpetualfutures.hpp | 10 +++----
.../futures/discountingperpetualfuturesengine.cpp | 28 ++++++++++--------
.../futures/discountingperpetualfuturesengine.hpp | 21 ++++++-------
test-suite/perpetualfutures.cpp | 34 +++++++++++-----------
5 files changed, 61 insertions(+), 54 deletions(-)
commit 5c3f18d35d4ab83f0ad649c3fffc5f980cfe0e99
Author: drxyzw
Date: Wed, 17 Sep 2025 01:16:24 +0800
Addressing feedback in pull request
(cherry picked from commit e4f6d0f5a5879f69bc12b1396353d033d6c92ca8)
ql/instruments/perpetualfutures.cpp | 1 -
ql/pricingengines/futures/discountingperpetualfuturesengine.cpp | 5 ++---
2 files changed, 2 insertions(+), 4 deletions(-)
commit 7b91c4c6d7c2d710048f8a7a2b784e8894b3be3d
Author: Luigi Ballabio
Date: Tue, 16 Sep 2025 15:50:45 +0200
Add workflow for preparing a release candidate
- update version to 1.XX-rc
- update changelog
The workflow opens an automated PR; it doesn't commit to master.
.github/workflows/prepare-release-candidate.yml | 43 +++++++++++++++++++++++++
1 file changed, 43 insertions(+)
commit 88696a35ee6e725755331106220fa32a62b2bc32
Author: Luigi Ballabio
Date: Tue, 16 Sep 2025 09:45:14 +0200
Realign
ql/pricingengines/blackcalculator.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 7432e4695bd205c27e81da98522d66fcc126471c
Merge: fca1dd02c 95f817157
Author: Luigi Ballabio
Date: Tue, 16 Sep 2025 09:31:29 +0200
Replace ImpliedVolatilityHelper with lambda (#2318)
commit 5782d1213b1d198fd5bd7ed453159879a319fa8b
Author: Luigi Ballabio
Date: Tue, 16 Sep 2025 09:14:59 +0200
Add new files to all compilations
configure.ac | 1 +
ql/CMakeLists.txt | 5 ++++
ql/instruments/Makefile.am | 2 ++
ql/pricingengines/Makefile.am | 3 ++-
ql/pricingengines/futures/Makefile.am | 45 +++++++++++++++++++++++++++++++++++
ql/pricingengines/futures/all.hpp | 4 ++++
test-suite/CMakeLists.txt | 1 +
test-suite/Makefile.am | 1 +
8 files changed, 61 insertions(+), 1 deletion(-)
commit df6eacc54db0c2f029869b70b64fa672fa1abcda
Author: kp9991
Date: Tue, 16 Sep 2025 07:38:29 +1000
Removing specific boost config
QuantLib.props | 3 ---
1 file changed, 3 deletions(-)
commit 80f490792ee7d85a280370974f26324fe422bf06
Author: kp9991
Date: Tue, 16 Sep 2025 07:37:54 +1000
Removing specific boost config
QuantLib.props | 2 +-
QuantLib.vcxproj | 1 -
2 files changed, 1 insertion(+), 2 deletions(-)
commit 0041ed85989a7e7cf8619ec38c32b17aed35cd10
Author: kp9991
Date: Tue, 16 Sep 2025 07:36:03 +1000
Keeping virtual in blackcalculator as before, removing from bacherliercalculator
ql/pricingengines/bacheliercalculator.hpp | 30 +++++++++++++++---------------
ql/pricingengines/blackcalculator.hpp | 18 +++++++++---------
2 files changed, 24 insertions(+), 24 deletions(-)
commit 8d9948db01ff045dad5388b9881a3fd3e4af3d60
Author: kp9991
Date: Tue, 16 Sep 2025 07:07:56 +1000
Making more functions virtual
ql/pricingengines/bacheliercalculator.hpp | 18 +++++++++---------
ql/pricingengines/blackcalculator.hpp | 18 +++++++++---------
2 files changed, 18 insertions(+), 18 deletions(-)
commit 0e1669bd01a51b836bdca6d303c1978c9f7136f3
Author: kp9991
Date: Tue, 16 Sep 2025 06:54:45 +1000
Removing diffusioncalculator from Makefile
ql/pricingengines/Makefile.am | 2 --
ql/pricingengines/blackcalculator.cpp | 6 +++---
ql/pricingengines/blackcalculator.hpp | 3 +--
3 files changed, 4 insertions(+), 7 deletions(-)
commit 48d2b36a38815e99cc1d16363d587268a7595fbc
Author: kp9991
Date: Tue, 16 Sep 2025 06:50:29 +1000
Removing diffusion calculator
QuantLib.props | 3 +
QuantLib.vcxproj | 3 +-
QuantLib.vcxproj.filters | 6 --
ql/CMakeLists.txt | 2 -
ql/pricingengines/all.hpp | 1 -
ql/pricingengines/bacheliercalculator.cpp | 108 ++++++++++-------------
ql/pricingengines/bacheliercalculator.hpp | 73 ++++++++++------
ql/pricingengines/blackcalculator.cpp | 6 +-
ql/pricingengines/blackcalculator.hpp | 61 ++++++++-----
ql/pricingengines/diffusioncalculator.cpp | 44 ----------
ql/pricingengines/diffusioncalculator.hpp | 138 ------------------------------
test-suite/bacheliercalculator.cpp | 1 -
test-suite/blackcalculator.cpp | 1 -
13 files changed, 138 insertions(+), 309 deletions(-)
commit 95f817157d32cb1bf88cb9855c54c6608cbec95c
Author: Luigi Ballabio
Date: Mon, 15 Sep 2025 11:51:32 +0200
Replace ImpliedVolatilityHelper with lambda
ql/models/calibrationhelper.cpp | 18 ++----------------
ql/models/calibrationhelper.hpp | 1 -
2 files changed, 2 insertions(+), 17 deletions(-)
commit eb0b08bb5f875f3e3b043014349adac3c38cea9f
Author: kp9991
Date: Mon, 15 Sep 2025 05:55:33 +1000
Reverting QuantLib.props changes from the project file
QuantLib.vcxproj | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c1bf57d4c3546f8fe49b2817d3f8b89ef6d076bb
Author: kp9991
Date: Mon, 15 Sep 2025 05:51:20 +1000
Removing boost from quantlib.props
QuantLib.props | 3 ---
1 file changed, 3 deletions(-)
commit 0d3da849ce7da52c96e0d67e98bea7adc271b21f
Author: kp9991
Date: Mon, 15 Sep 2025 05:47:05 +1000
Removing boost from quantlib.props
QuantLib.props | 3 ---
QuantLib.vcxproj | 1 -
2 files changed, 4 deletions(-)
commit 6ae8ba7537d13f0380336d998433b3417b07387d
Author: kp9991
Date: Mon, 15 Sep 2025 05:39:41 +1000
retrigger checks
commit 0c1be5ba6aa4bc87032df3b15b1980c737d8414b
Author: kp9991
Date: Sun, 14 Sep 2025 08:42:10 +1000
Reverting boost inclusion specific to my setup
QuantLib.props | 16 ----------------
QuantLib.vcxproj | 1 -
2 files changed, 17 deletions(-)
commit c5e612b0552bcbe64ca53c08cd2f0598f01e5030
Author: kp9991
Date: Sun, 14 Sep 2025 07:07:24 +1000
Fixing automatic build errors
test-suite/bacheliercalculator.cpp | 3 +--
test-suite/blackcalculator.cpp | 4 +---
test-suite/testsuite.vcxproj.filters | 6 ------
3 files changed, 2 insertions(+), 11 deletions(-)
commit 4f0b91f52ea365e92dfb4a3f839d3d6c09144d19
Author: kp9991
Date: Sun, 14 Sep 2025 06:19:06 +1000
Unit tests
ql/pricingengines/bacheliercalculator.cpp | 2 -
test-suite/Makefile.am | 2 +
test-suite/bacheliercalculator.cpp | 196 ++++++++++++++++--------------
test-suite/blackcalculator.cpp | 172 ++++++++++++++------------
4 files changed, 199 insertions(+), 173 deletions(-)
commit a030e02058892b8c03d646755f64d5b5c81f56d9
Author: drxyzw
Date: Sun, 14 Sep 2025 00:15:56 +0800
Adding explicit keywork to optional single-argument constructor
(cherry picked from commit 0eec7986e4280668fb0f2b1ddd5e8e64ea85c55d)
ql/instruments/perpetualfutures.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8587849fd997d9535fb2e6438168624a5467f753
Author: drxyzw
Date: Sat, 13 Sep 2025 22:08:39 +0800
Adding references to perpetual futures' specification
(cherry picked from commit a9a41e9da916f6e6b11f26208f21181ce9d7561f)
ql/instruments/perpetualfutures.hpp | 1 +
test-suite/perpetualfutures.cpp | 8 ++++++++
2 files changed, 9 insertions(+)
commit 563aa9bbf01d61dc9bde892adb739d5b755ed132
Author: drxyzw
Date: Sat, 13 Sep 2025 19:28:25 +0800
Naming convention of variables
(cherry picked from commit 4e13dcdc6c6fa1eb9b1898ff7fc691c8be72db10)
.../futures/discountingperpetualfuturesengine.cpp | 86 +++++++++++-----------
test-suite/perpetualfutures.cpp | 22 +++---
2 files changed, 54 insertions(+), 54 deletions(-)
commit 2815d456b436278c3ef7d357deaa9b8da3ac1721
Author: drxyzw
Date: Sat, 13 Sep 2025 19:10:32 +0800
Adding reference to prevent memory leak in perpetual futures pricer
(cherry picked from commit 82b36b931f70ac029e80386a82524c4991a084b2)
ql/pricingengines/futures/discountingperpetualfuturesengine.cpp | 4 ++--
ql/pricingengines/futures/discountingperpetualfuturesengine.hpp | 2 +-
test-suite/perpetualfutures.cpp | 2 +-
3 files changed, 4 insertions(+), 4 deletions(-)
commit 716dace56f693ea756042c4158067192269c0830
Author: drxyzw
Date: Sat, 13 Sep 2025 13:53:57 +0800
Removing reference of discounting perpetual fortures engine for SWIG
(cherry picked from commit de2acc42c62d4817b78384b3ed9dc2122e2864f8)
.../futures/discountingperpetualfuturesengine.cpp | 22 ++++++++++----------
.../futures/discountingperpetualfuturesengine.hpp | 24 +++++++++++-----------
test-suite/perpetualfutures.cpp | 3 +--
3 files changed, 24 insertions(+), 25 deletions(-)
commit 6070dee2bc7c46bf7bda11264fae357323650d20
Author: drxyzw
Date: Tue, 9 Sep 2025 05:50:09 +0800
Added all.hpp to new directories
(cherry picked from commit 953f0201f49b6c12d0a4f3e3c310a571845ae175)
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
ql/instruments/all.hpp | 1 +
ql/instruments/perpetualfutures.cpp | 1 -
ql/instruments/perpetualfutures.hpp | 10 ++++++----
ql/pricingengines/all.hpp | 1 +
ql/pricingengines/futures/all.hpp | 1 +
7 files changed, 13 insertions(+), 5 deletions(-)
commit d83766967355a7a849bcf481860935bb915d48f2
Author: drxyzw
Date: Mon, 8 Sep 2025 04:21:32 +0800
Test of continuous-time perpetual futures
(cherry picked from commit f4bf5601395e9ddd44d546359f82568878600e55)
.../futures/discountingperpetualfuturesengine.cpp | 2 +-
test-suite/perpetualfutures.cpp | 75 +++++++++++++---------
2 files changed, 47 insertions(+), 30 deletions(-)
commit 797c2a2a3264c5b4c0575e072a9a0683922e1050
Author: drxyzw
Date: Mon, 8 Sep 2025 03:48:17 +0800
Better match for discrete perpetual futures
(cherry picked from commit 19eb7b6972d5339d4538ad0c7201a5368d82dde7)
ql/instruments/perpetualfutures.hpp | 4 +
.../futures/discountingperpetualfuturesengine.cpp | 87 ++++++++++++++--------
test-suite/perpetualfutures.cpp | 69 ++++++++++++++---
3 files changed, 119 insertions(+), 41 deletions(-)
commit 5559ecc76520681ff84021dcf4cbba97456bdbdb
Author: drxyzw
Date: Sun, 7 Sep 2025 23:47:35 +0800
Test for AHJ alternative funding type of perpetual futures
(cherry picked from commit 79b6620cf870b74f91c328fd988ea9c5d4312152)
ql/instruments/perpetualfutures.cpp | 2 ++
ql/pricingengines/futures/discountingperpetualfuturesengine.cpp | 4 ++--
test-suite/perpetualfutures.cpp | 9 ++++++---
3 files changed, 10 insertions(+), 5 deletions(-)
commit c9f120cb8ca294a849b8f6e0977440a55503046e
Author: drxyzw
Date: Sun, 7 Sep 2025 23:36:04 +0800
Test for linear payoff of perpetual futures
(cherry picked from commit db6a48f3b48d5b83d73a5e6fe66cb05a45bc01b1)
ql/instruments/perpetualfutures.cpp | 41 ++++-
ql/instruments/perpetualfutures.hpp | 31 +++-
.../futures/discountingperpetualfuturesengine.cpp | 165 ++++++++++++++++++---
.../futures/discountingperpetualfuturesengine.hpp | 7 +-
ql/time/period.cpp | 6 +
test-suite/perpetualfutures.cpp | 103 +++++++++++++
test-suite/testsuite.vcxproj | 1 +
test-suite/testsuite.vcxproj.filters | 5 +-
8 files changed, 324 insertions(+), 35 deletions(-)
commit e6d29d70bd5a96b111fe56074cefa4bef79df5f9
Author: drxyzw
Date: Sat, 6 Sep 2025 18:35:33 +0800
Pricing engine for perpetual futures
(cherry picked from commit 6cf22ddc3d2fd19bdc0cfce1a5f8c8dda2f4494c)
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 9 ++
ql/instruments/perpetualfutures.cpp | 2 +-
ql/instruments/perpetualfutures.hpp | 2 +-
.../futures/discountingperpetualfuturesengine.cpp | 114 +++++++++++++++++++++
.../futures/discountingperpetualfuturesengine.hpp | 68 ++++++++++++
6 files changed, 195 insertions(+), 2 deletions(-)
commit 6d3c22cd8ed2e20116f692a15c491969882bcace
Author: drxyzw
Date: Fri, 5 Sep 2025 06:54:54 +0800
A trade object class for perpetual futures
(cherry picked from commit d8decf2d5b01ad725a242cdaff6852e2249b9531)
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 8 ++++-
ql/instruments/perpetualfutures.cpp | 60 +++++++++++++++++++++++++++++++++
ql/instruments/perpetualfutures.hpp | 67 +++++++++++++++++++++++++++++++++++++
4 files changed, 136 insertions(+), 1 deletion(-)
commit bc4f16a605e43d846923a1f82adcec722ae49d02
Author: kp9991
Date: Sat, 13 Sep 2025 16:12:51 +1000
Adding unit tests
ql/pricingengines/bacheliercalculator.cpp | 4 +-
test-suite/CMakeLists.txt | 2 +
test-suite/bacheliercalculator.cpp | 408 ++++++++++++++++++++++++++++++
test-suite/blackcalculator.cpp | 316 +++++++++++++++++++++++
test-suite/testsuite.vcxproj | 4 +-
test-suite/testsuite.vcxproj.filters | 14 +-
6 files changed, 745 insertions(+), 3 deletions(-)
commit c03f553d93347fb26e97800c6a5931cd6552ed93
Author: kp9991
Date: Fri, 12 Sep 2025 14:46:07 +1000
Adding headers to Makefile.hpp
ql/CMakeLists.txt | 2 ++
1 file changed, 2 insertions(+)
commit 898881b7dcbca0dc65c634bc76d53a25303e7313
Author: kp9991
Date: Fri, 12 Sep 2025 14:38:05 +1000
Adding files to Makefile.am
ql/pricingengines/Makefile.am | 4 ++++
1 file changed, 4 insertions(+)
commit b6da6b7c989843f7dce9d307f76c75075bd7ecc5
Author: kp9991
Date: Fri, 12 Sep 2025 14:29:48 +1000
Update make files
ql/CMakeLists.txt | 2 ++
1 file changed, 2 insertions(+)
commit 0ca21b9544036b90cc4e669f1b0fdfb2b439ba3f
Author: kp9991
Date: Fri, 12 Sep 2025 14:13:28 +1000
Making DiffusionCalculator constructor protected
ql/pricingengines/diffusioncalculator.hpp | 28 ++++++++++++++++------------
1 file changed, 16 insertions(+), 12 deletions(-)
commit 960e0ac13518c17a8c631386a081e6ab51ebfd08
Author: kp9991
Date: Fri, 12 Sep 2025 10:19:55 +1000
Removing redundant line
ql/pricingengines/bacheliercalculator.cpp | 3 ---
1 file changed, 3 deletions(-)
commit 3cd4ca96554b7fd908e61e1eaba065bec8fd46a2
Author: kp9991
Date: Wed, 10 Sep 2025 17:58:01 +1000
Aligning the style of how the Bachelier greeks are computed to the Black Scholes impl
QuantLib.vcxproj | 3 -
QuantLib.vcxproj.filters | 3 -
ql/pricingengines/all.hpp | 1 +
ql/pricingengines/bacheliercalculator.cpp | 292 ++++++++++++++++--------------
ql/pricingengines/bacheliercalculator.hpp | 7 +-
5 files changed, 162 insertions(+), 144 deletions(-)
commit fca1dd02c3d0dd273672874ebfc5f0ea3ed47a55
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 8 Sep 2025 20:57:09 +0000
Bump actions/stale from 9 to 10
Bumps [actions/stale](https://github.com/actions/stale) from 9 to 10.
- [Release notes](https://github.com/actions/stale/releases)
- [Changelog](https://github.com/actions/stale/blob/main/CHANGELOG.md)
- [Commits](https://github.com/actions/stale/compare/v9...v10)
---
updated-dependencies:
- dependency-name: actions/stale
dependency-version: '10'
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot]
.github/workflows/stale.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 0f5fd620ba2f2cb5b7bc0f5cc3917d00395993a0
Author: Luigi Ballabio
Date: Mon, 8 Sep 2025 21:39:44 +0200
Avoid failing jobs when dependabot pushes
.github/workflows/copyrights.yml | 6 +++---
.github/workflows/generated-headers.yml | 6 +++---
.github/workflows/includes.yml | 6 +++---
.github/workflows/license-url.yml | 6 +++---
.github/workflows/misspell.yml | 4 ++--
.github/workflows/namespaces.yml | 6 +++---
6 files changed, 17 insertions(+), 17 deletions(-)
commit b72cd5f25b4413893a0b3972110d7cef1d2f5be2
Author: kp9991
Date: Fri, 5 Sep 2025 14:26:05 +1000
bacheliercalculator and blackcalculator split up
QuantLib.props | 5 +-
QuantLib.vcxproj | 10 +-
QuantLib.vcxproj.filters | 17 +-
ql/pricingengines/all.hpp | 1 +
ql/pricingengines/bacheliercalculator.cpp | 349 ++++++++++++++++++++++++++++++
ql/pricingengines/bacheliercalculator.hpp | 129 +++++++++++
ql/pricingengines/blackcalculator.cpp | 6 +-
ql/pricingengines/blackcalculator.hpp | 58 ++---
ql/pricingengines/diffusioncalculator.cpp | 44 ++++
ql/pricingengines/diffusioncalculator.hpp | 134 ++++++++++++
10 files changed, 710 insertions(+), 43 deletions(-)
commit 06033fe4f324a0ec9c83f959e930df1b873804f2
Merge: 3c22d1b6b 26ec43f7e
Author: Luigi Ballabio
Date: Mon, 1 Sep 2025 17:40:46 +0200
Move BlackDeltaCalculator and DeltaVolQuote from experimental to core (#2309)
commit 26ec43f7e8c20500ba18b145ca94e81138dc91b4
Author: Luigi Ballabio
Date: Mon, 1 Sep 2025 15:48:51 +0200
Move BlackDeltaCalculator and DeltaVolQuote from experimental to core
QuantLib.vcxproj | 6 +-
QuantLib.vcxproj.filters | 18 +-
cmake/GenerateHeaders.cmake | 5 +
ql/CMakeLists.txt | 6 +-
ql/experimental/Makefile.am | 1 -
.../barrieroption/vannavolgabarrierengine.cpp | 2 +-
.../barrieroption/vannavolgabarrierengine.hpp | 2 +-
.../vannavolgadoublebarrierengine.hpp | 4 +-
ql/experimental/fx/Makefile.am | 28 +--
ql/experimental/fx/all.hpp | 2 -
ql/experimental/fx/blackdeltacalculator.hpp | 181 +----------------
ql/experimental/fx/deltavolquote.hpp | 65 +------
ql/pricingengines/Makefile.am | 2 +
ql/pricingengines/all.hpp | 1 +
.../fx => pricingengines}/blackdeltacalculator.cpp | 2 +-
ql/pricingengines/blackdeltacalculator.hpp | 215 +++++++++++++++++++++
ql/quotes/Makefile.am | 2 +
ql/quotes/all.hpp | 1 +
ql/{experimental/fx => quotes}/deltavolquote.cpp | 2 +-
ql/quotes/deltavolquote.hpp | 83 ++++++++
test-suite/blackdeltacalculator.cpp | 4 +-
21 files changed, 348 insertions(+), 284 deletions(-)
commit 3c22d1b6bc4b02ba1d41f81b59afc4d7e505dc74
Author: Luigi Ballabio
Date: Mon, 1 Sep 2025 13:13:14 +0200
Add gcc 15 to CI runs
.github/workflows/linux-full-tests.yml | 11 ++++++++---
.github/workflows/linux-nondefault.yml | 11 ++++++++---
.github/workflows/linux.yml | 10 +++++-----
3 files changed, 21 insertions(+), 11 deletions(-)
commit 62622f096efcc62f780fea07e5e2f358bfff12af
Author: Luigi Ballabio
Date: Mon, 1 Sep 2025 09:59:13 +0200
Move default Ubuntu devenv image to plucky, add questing, remove older distros
.github/workflows/devenv-images.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit a13ab378b06d692fcc9cb6d903ad40c5717b3f6e
Merge: 46284d85c 617aa21ee
Author: Luigi Ballabio
Date: Mon, 1 Sep 2025 09:54:09 +0200
Better docs string BlackDeltaCalculator (#2301)
commit 617aa21ee67bc53995fa2cbb0812ba2473f7c6f0
Author: Luigi Ballabio
Date: Mon, 1 Sep 2025 08:57:03 +0200
Helper classes no longer need to be friends
ql/experimental/fx/blackdeltacalculator.hpp | 3 ---
1 file changed, 3 deletions(-)
commit c8bf5f2127fc72c7306695e3956e79d077a6cd5f
Author: paolodelia99
Date: Sun, 31 Aug 2025 14:59:17 +0200
Add deprecated method and classes, refactor the code as suggested
ql/experimental/fx/blackdeltacalculator.cpp | 85 +++++++++++++++--------------
ql/experimental/fx/blackdeltacalculator.hpp | 19 +++++--
2 files changed, 59 insertions(+), 45 deletions(-)
commit 46284d85ca45fbf518d10766fafce3c4bed9a60e
Author: Luigi Ballabio
Date: Sat, 30 Aug 2025 22:59:33 +0200
Remove obsolete script
tools/check_all_inclusions.sh | 10 ------
tools/check_inclusions.py | 76 -------------------------------------------
2 files changed, 86 deletions(-)
commit 3a0d866ac8c47374cde4ad82226f58e468391b0b
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Fri, 29 Aug 2025 12:19:00 +0000
Update old license links
Docs/pages/authors.docs | 2 +-
Docs/pages/config.docs | 2 +-
Docs/pages/coreclasses.docs | 2 +-
Docs/pages/currencies.docs | 2 +-
Docs/pages/datetime.docs | 2 +-
Docs/pages/engines.docs | 2 +-
Docs/pages/examples.docs | 2 +-
Docs/pages/findiff.docs | 2 +-
Docs/pages/fixedincome.docs | 2 +-
Docs/pages/history.docs | 2 +-
Docs/pages/index.docs | 2 +-
Docs/pages/instruments.docs | 2 +-
Docs/pages/lattices.docs | 2 +-
Docs/pages/math.docs | 2 +-
Docs/pages/mcarlo.docs | 2 +-
Docs/pages/patterns.docs | 2 +-
Docs/pages/processes.docs | 2 +-
Docs/pages/resources.docs | 2 +-
Docs/pages/termstructures.docs | 2 +-
Examples/BasketLosses/BasketLosses.cpp | 2 +-
Examples/BermudanSwaption/BermudanSwaption.cpp | 2 +-
Examples/Bonds/Bonds.cpp | 2 +-
Examples/CDS/CDS.cpp | 2 +-
Examples/CVAIRS/CVAIRS.cpp | 2 +-
Examples/CallableBonds/CallableBonds.cpp | 2 +-
Examples/ConvertibleBonds/ConvertibleBonds.cpp | 2 +-
Examples/DiscreteHedging/DiscreteHedging.cpp | 2 +-
Examples/EquityOption/EquityOption.cpp | 2 +-
Examples/FRA/FRA.cpp | 2 +-
Examples/FittedBondCurve/FittedBondCurve.cpp | 2 +-
Examples/Gaussian1dModels/Gaussian1dModels.cpp | 2 +-
Examples/GlobalOptimizer/GlobalOptimizer.cpp | 2 +-
Examples/LatentModel/LatentModel.cpp | 2 +-
Examples/MarketModels/MarketModels.cpp | 2 +-
Examples/MulticurveBootstrapping/MulticurveBootstrapping.cpp | 2 +-
Examples/MultidimIntegral/MultidimIntegral.cpp | 2 +-
Examples/Replication/Replication.cpp | 2 +-
Examples/Repo/Repo.cpp | 2 +-
configure.ac | 2 +-
fuzz-test-suite/amortizedbondsfuzzer.cpp | 2 +-
fuzz-test-suite/fuzzamericanoption.cpp | 2 +-
ql/any.hpp | 2 +-
ql/auto_link.hpp | 2 +-
ql/cashflow.cpp | 2 +-
ql/cashflow.hpp | 2 +-
ql/cashflows/averagebmacoupon.cpp | 2 +-
ql/cashflows/averagebmacoupon.hpp | 2 +-
ql/cashflows/capflooredcoupon.cpp | 2 +-
ql/cashflows/capflooredcoupon.hpp | 2 +-
ql/cashflows/capflooredinflationcoupon.cpp | 2 +-
ql/cashflows/capflooredinflationcoupon.hpp | 2 +-
ql/cashflows/cashflows.cpp | 2 +-
ql/cashflows/cashflows.hpp | 2 +-
ql/cashflows/cashflowvectors.cpp | 2 +-
ql/cashflows/cashflowvectors.hpp | 2 +-
ql/cashflows/cmscoupon.cpp | 2 +-
ql/cashflows/cmscoupon.hpp | 2 +-
ql/cashflows/conundrumpricer.cpp | 2 +-
ql/cashflows/conundrumpricer.hpp | 2 +-
ql/cashflows/coupon.cpp | 2 +-
ql/cashflows/coupon.hpp | 2 +-
ql/cashflows/couponpricer.cpp | 2 +-
ql/cashflows/couponpricer.hpp | 2 +-
ql/cashflows/cpicoupon.cpp | 2 +-
ql/cashflows/cpicoupon.hpp | 2 +-
ql/cashflows/cpicouponpricer.cpp | 2 +-
ql/cashflows/cpicouponpricer.hpp | 2 +-
ql/cashflows/digitalcmscoupon.cpp | 2 +-
ql/cashflows/digitalcmscoupon.hpp | 2 +-
ql/cashflows/digitalcoupon.cpp | 2 +-
ql/cashflows/digitalcoupon.hpp | 2 +-
ql/cashflows/digitaliborcoupon.cpp | 2 +-
ql/cashflows/digitaliborcoupon.hpp | 2 +-
ql/cashflows/dividend.cpp | 2 +-
ql/cashflows/dividend.hpp | 2 +-
ql/cashflows/duration.cpp | 2 +-
ql/cashflows/duration.hpp | 2 +-
ql/cashflows/equitycashflow.cpp | 2 +-
ql/cashflows/equitycashflow.hpp | 2 +-
ql/cashflows/fixedratecoupon.cpp | 2 +-
ql/cashflows/fixedratecoupon.hpp | 2 +-
ql/cashflows/floatingratecoupon.cpp | 2 +-
ql/cashflows/floatingratecoupon.hpp | 2 +-
ql/cashflows/iborcoupon.cpp | 2 +-
ql/cashflows/iborcoupon.hpp | 2 +-
ql/cashflows/indexedcashflow.cpp | 2 +-
ql/cashflows/indexedcashflow.hpp | 2 +-
ql/cashflows/inflationcoupon.cpp | 2 +-
ql/cashflows/inflationcoupon.hpp | 2 +-
ql/cashflows/inflationcouponpricer.cpp | 2 +-
ql/cashflows/inflationcouponpricer.hpp | 2 +-
ql/cashflows/lineartsrpricer.cpp | 2 +-
ql/cashflows/lineartsrpricer.hpp | 2 +-
ql/cashflows/multipleresetscoupon.cpp | 2 +-
ql/cashflows/multipleresetscoupon.hpp | 2 +-
ql/cashflows/overnightindexedcoupon.cpp | 2 +-
ql/cashflows/overnightindexedcoupon.hpp | 2 +-
ql/cashflows/overnightindexedcouponpricer.cpp | 2 +-
ql/cashflows/overnightindexedcouponpricer.hpp | 2 +-
ql/cashflows/rangeaccrual.cpp | 2 +-
ql/cashflows/rangeaccrual.hpp | 2 +-
ql/cashflows/rateaveraging.hpp | 2 +-
ql/cashflows/replication.cpp | 2 +-
ql/cashflows/replication.hpp | 2 +-
ql/cashflows/simplecashflow.cpp | 2 +-
ql/cashflows/simplecashflow.hpp | 2 +-
ql/cashflows/subperiodcoupon.hpp | 2 +-
ql/cashflows/timebasket.cpp | 2 +-
ql/cashflows/timebasket.hpp | 2 +-
ql/cashflows/yoyinflationcoupon.cpp | 2 +-
ql/cashflows/yoyinflationcoupon.hpp | 2 +-
ql/cashflows/zeroinflationcashflow.cpp | 2 +-
ql/cashflows/zeroinflationcashflow.hpp | 2 +-
ql/compounding.hpp | 2 +-
ql/config.ansi.hpp | 2 +-
ql/config.hpp.cfg | 2 +-
ql/config.mingw.hpp | 2 +-
ql/config.msvc.hpp | 2 +-
ql/config.sun.hpp | 2 +-
ql/currencies/africa.cpp | 2 +-
ql/currencies/africa.hpp | 2 +-
ql/currencies/america.cpp | 2 +-
ql/currencies/america.hpp | 2 +-
ql/currencies/asia.cpp | 2 +-
ql/currencies/asia.hpp | 2 +-
ql/currencies/crypto.cpp | 2 +-
ql/currencies/crypto.hpp | 2 +-
ql/currencies/europe.cpp | 2 +-
ql/currencies/europe.hpp | 2 +-
ql/currencies/exchangeratemanager.cpp | 2 +-
ql/currencies/exchangeratemanager.hpp | 2 +-
ql/currencies/oceania.cpp | 2 +-
ql/currencies/oceania.hpp | 2 +-
ql/currency.cpp | 2 +-
ql/currency.hpp | 2 +-
ql/default.hpp | 2 +-
ql/discretizedasset.cpp | 2 +-
ql/discretizedasset.hpp | 2 +-
ql/errors.cpp | 2 +-
ql/errors.hpp | 2 +-
ql/event.cpp | 2 +-
ql/event.hpp | 2 +-
ql/exchangerate.cpp | 2 +-
ql/exchangerate.hpp | 2 +-
ql/exercise.cpp | 2 +-
ql/exercise.hpp | 2 +-
ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp | 2 +-
ql/experimental/asian/analytic_cont_geom_av_price_heston.hpp | 2 +-
ql/experimental/asian/analytic_discr_geom_av_price_heston.cpp | 2 +-
ql/experimental/asian/analytic_discr_geom_av_price_heston.hpp | 2 +-
ql/experimental/averageois/arithmeticaverageois.cpp | 2 +-
ql/experimental/averageois/arithmeticaverageois.hpp | 2 +-
ql/experimental/averageois/arithmeticoisratehelper.cpp | 2 +-
ql/experimental/averageois/arithmeticoisratehelper.hpp | 2 +-
ql/experimental/averageois/averageoiscouponpricer.hpp | 2 +-
ql/experimental/averageois/makearithmeticaverageois.cpp | 2 +-
ql/experimental/averageois/makearithmeticaverageois.hpp | 2 +-
ql/experimental/barrieroption/binomialdoublebarrierengine.hpp | 2 +-
ql/experimental/barrieroption/discretizeddoublebarrieroption.cpp | 2 +-
ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp | 2 +-
ql/experimental/barrieroption/mcdoublebarrierengine.cpp | 2 +-
ql/experimental/barrieroption/mcdoublebarrierengine.hpp | 2 +-
ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp | 2 +-
ql/experimental/barrieroption/perturbativebarrieroptionengine.hpp | 2 +-
ql/experimental/barrieroption/quantodoublebarrieroption.cpp | 2 +-
ql/experimental/barrieroption/quantodoublebarrieroption.hpp | 2 +-
ql/experimental/barrieroption/suowangdoublebarrierengine.cpp | 2 +-
ql/experimental/barrieroption/suowangdoublebarrierengine.hpp | 2 +-
ql/experimental/barrieroption/vannavolgabarrierengine.cpp | 2 +-
ql/experimental/barrieroption/vannavolgabarrierengine.hpp | 2 +-
ql/experimental/barrieroption/vannavolgadoublebarrierengine.hpp | 2 +-
ql/experimental/barrieroption/vannavolgainterpolation.hpp | 2 +-
ql/experimental/basismodels/swaptioncfs.cpp | 2 +-
ql/experimental/basismodels/swaptioncfs.hpp | 2 +-
ql/experimental/basismodels/tenoroptionletvts.cpp | 2 +-
ql/experimental/basismodels/tenoroptionletvts.hpp | 2 +-
ql/experimental/basismodels/tenorswaptionvts.cpp | 2 +-
ql/experimental/basismodels/tenorswaptionvts.hpp | 2 +-
ql/experimental/callablebonds/blackcallablebondengine.cpp | 2 +-
ql/experimental/callablebonds/blackcallablebondengine.hpp | 2 +-
ql/experimental/callablebonds/callablebond.cpp | 2 +-
ql/experimental/callablebonds/callablebond.hpp | 2 +-
ql/experimental/callablebonds/callablebondconstantvol.cpp | 2 +-
ql/experimental/callablebonds/callablebondconstantvol.hpp | 2 +-
ql/experimental/callablebonds/callablebondvolstructure.cpp | 2 +-
ql/experimental/callablebonds/callablebondvolstructure.hpp | 2 +-
ql/experimental/callablebonds/discretizedcallablefixedratebond.cpp | 2 +-
ql/experimental/callablebonds/discretizedcallablefixedratebond.hpp | 2 +-
ql/experimental/callablebonds/treecallablebondengine.cpp | 2 +-
ql/experimental/callablebonds/treecallablebondengine.hpp | 2 +-
ql/experimental/catbonds/catbond.cpp | 2 +-
ql/experimental/catbonds/catbond.hpp | 2 +-
ql/experimental/catbonds/catrisk.cpp | 2 +-
ql/experimental/catbonds/catrisk.hpp | 2 +-
ql/experimental/catbonds/montecarlocatbondengine.cpp | 2 +-
ql/experimental/catbonds/montecarlocatbondengine.hpp | 2 +-
ql/experimental/catbonds/riskynotional.cpp | 2 +-
ql/experimental/catbonds/riskynotional.hpp | 2 +-
ql/experimental/commodities/commodity.cpp | 2 +-
ql/experimental/commodities/commodity.hpp | 2 +-
ql/experimental/commodities/commoditycashflow.cpp | 2 +-
ql/experimental/commodities/commoditycashflow.hpp | 2 +-
ql/experimental/commodities/commoditycurve.cpp | 2 +-
ql/experimental/commodities/commoditycurve.hpp | 2 +-
ql/experimental/commodities/commodityindex.cpp | 2 +-
ql/experimental/commodities/commodityindex.hpp | 2 +-
ql/experimental/commodities/commoditypricinghelpers.cpp | 2 +-
ql/experimental/commodities/commoditypricinghelpers.hpp | 2 +-
ql/experimental/commodities/commoditysettings.cpp | 2 +-
ql/experimental/commodities/commoditysettings.hpp | 2 +-
ql/experimental/commodities/commoditytype.cpp | 2 +-
ql/experimental/commodities/commoditytype.hpp | 2 +-
ql/experimental/commodities/commodityunitcost.cpp | 2 +-
ql/experimental/commodities/commodityunitcost.hpp | 2 +-
ql/experimental/commodities/dateinterval.cpp | 2 +-
ql/experimental/commodities/dateinterval.hpp | 2 +-
ql/experimental/commodities/energybasisswap.cpp | 2 +-
ql/experimental/commodities/energybasisswap.hpp | 2 +-
ql/experimental/commodities/energycommodity.cpp | 2 +-
ql/experimental/commodities/energycommodity.hpp | 2 +-
ql/experimental/commodities/energyfuture.cpp | 2 +-
ql/experimental/commodities/energyfuture.hpp | 2 +-
ql/experimental/commodities/energyswap.cpp | 2 +-
ql/experimental/commodities/energyswap.hpp | 2 +-
ql/experimental/commodities/energyvanillaswap.cpp | 2 +-
ql/experimental/commodities/energyvanillaswap.hpp | 2 +-
ql/experimental/commodities/exchangecontract.hpp | 2 +-
ql/experimental/commodities/paymentterm.cpp | 2 +-
ql/experimental/commodities/paymentterm.hpp | 2 +-
ql/experimental/commodities/petroleumunitsofmeasure.hpp | 2 +-
ql/experimental/commodities/pricingperiod.hpp | 2 +-
ql/experimental/commodities/quantity.cpp | 2 +-
ql/experimental/commodities/quantity.hpp | 2 +-
ql/experimental/commodities/unitofmeasure.cpp | 2 +-
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ql/experimental/commodities/unitofmeasureconversion.cpp | 2 +-
ql/experimental/commodities/unitofmeasureconversion.hpp | 2 +-
ql/experimental/commodities/unitofmeasureconversionmanager.cpp | 2 +-
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ql/experimental/coupons/cmsspreadcoupon.cpp | 2 +-
ql/experimental/coupons/cmsspreadcoupon.hpp | 2 +-
ql/experimental/coupons/digitalcmsspreadcoupon.cpp | 2 +-
ql/experimental/coupons/digitalcmsspreadcoupon.hpp | 2 +-
ql/experimental/coupons/lognormalcmsspreadpricer.cpp | 2 +-
ql/experimental/coupons/lognormalcmsspreadpricer.hpp | 2 +-
ql/experimental/coupons/proxyibor.cpp | 2 +-
ql/experimental/coupons/proxyibor.hpp | 2 +-
ql/experimental/coupons/quantocouponpricer.cpp | 2 +-
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ql/experimental/coupons/strippedcapflooredcoupon.cpp | 2 +-
ql/experimental/coupons/strippedcapflooredcoupon.hpp | 2 +-
ql/experimental/coupons/swapspreadindex.cpp | 2 +-
ql/experimental/coupons/swapspreadindex.hpp | 2 +-
ql/experimental/credit/basecorrelationlossmodel.hpp | 2 +-
ql/experimental/credit/basecorrelationstructure.cpp | 2 +-
ql/experimental/credit/basecorrelationstructure.hpp | 2 +-
ql/experimental/credit/basket.cpp | 2 +-
ql/experimental/credit/basket.hpp | 2 +-
ql/experimental/credit/binomiallossmodel.hpp | 2 +-
ql/experimental/credit/blackcdsoptionengine.cpp | 2 +-
ql/experimental/credit/blackcdsoptionengine.hpp | 2 +-
ql/experimental/credit/cdo.cpp | 2 +-
ql/experimental/credit/cdo.hpp | 2 +-
ql/experimental/credit/cdsoption.cpp | 2 +-
ql/experimental/credit/cdsoption.hpp | 2 +-
ql/experimental/credit/constantlosslatentmodel.hpp | 2 +-
ql/experimental/credit/correlationstructure.cpp | 2 +-
ql/experimental/credit/correlationstructure.hpp | 2 +-
ql/experimental/credit/defaultevent.cpp | 2 +-
ql/experimental/credit/defaultevent.hpp | 2 +-
ql/experimental/credit/defaultlossmodel.hpp | 2 +-
ql/experimental/credit/defaultprobabilitykey.cpp | 2 +-
ql/experimental/credit/defaultprobabilitykey.hpp | 2 +-
ql/experimental/credit/defaultprobabilitylatentmodel.hpp | 2 +-
ql/experimental/credit/defaulttype.cpp | 2 +-
ql/experimental/credit/defaulttype.hpp | 2 +-
ql/experimental/credit/distribution.cpp | 2 +-
ql/experimental/credit/distribution.hpp | 2 +-
ql/experimental/credit/factorspreadedhazardratecurve.hpp | 2 +-
ql/experimental/credit/gaussianlhplossmodel.cpp | 2 +-
ql/experimental/credit/gaussianlhplossmodel.hpp | 2 +-
ql/experimental/credit/homogeneouspooldef.hpp | 2 +-
ql/experimental/credit/inhomogeneouspooldef.hpp | 2 +-
ql/experimental/credit/integralcdoengine.cpp | 2 +-
ql/experimental/credit/integralcdoengine.hpp | 2 +-
ql/experimental/credit/integralntdengine.cpp | 2 +-
ql/experimental/credit/integralntdengine.hpp | 2 +-
ql/experimental/credit/interpolatedaffinehazardratecurve.hpp | 2 +-
ql/experimental/credit/issuer.cpp | 2 +-
ql/experimental/credit/issuer.hpp | 2 +-
ql/experimental/credit/loss.hpp | 2 +-
ql/experimental/credit/lossdistribution.cpp | 2 +-
ql/experimental/credit/lossdistribution.hpp | 2 +-
ql/experimental/credit/midpointcdoengine.cpp | 2 +-
ql/experimental/credit/midpointcdoengine.hpp | 2 +-
ql/experimental/credit/nthtodefault.cpp | 2 +-
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ql/experimental/credit/onefactoraffinesurvival.hpp | 2 +-
ql/experimental/credit/onefactorcopula.cpp | 2 +-
ql/experimental/credit/onefactorcopula.hpp | 2 +-
ql/experimental/credit/onefactorgaussiancopula.cpp | 2 +-
ql/experimental/credit/onefactorgaussiancopula.hpp | 2 +-
ql/experimental/credit/onefactorstudentcopula.cpp | 2 +-
ql/experimental/credit/onefactorstudentcopula.hpp | 2 +-
ql/experimental/credit/pool.cpp | 2 +-
ql/experimental/credit/pool.hpp | 2 +-
ql/experimental/credit/randomdefaultlatentmodel.hpp | 2 +-
ql/experimental/credit/randomdefaultmodel.cpp | 2 +-
ql/experimental/credit/randomdefaultmodel.hpp | 2 +-
ql/experimental/credit/randomlosslatentmodel.hpp | 2 +-
ql/experimental/credit/recoveryratemodel.cpp | 2 +-
ql/experimental/credit/recoveryratemodel.hpp | 2 +-
ql/experimental/credit/recoveryratequote.cpp | 2 +-
ql/experimental/credit/recoveryratequote.hpp | 2 +-
ql/experimental/credit/recursivelossmodel.hpp | 2 +-
ql/experimental/credit/riskyassetswap.cpp | 2 +-
ql/experimental/credit/riskyassetswap.hpp | 2 +-
ql/experimental/credit/riskyassetswapoption.cpp | 2 +-
ql/experimental/credit/riskyassetswapoption.hpp | 2 +-
ql/experimental/credit/saddlepointlossmodel.hpp | 2 +-
ql/experimental/credit/spotlosslatentmodel.hpp | 2 +-
ql/experimental/credit/spreadedhazardratecurve.hpp | 2 +-
ql/experimental/credit/syntheticcdo.cpp | 2 +-
ql/experimental/credit/syntheticcdo.hpp | 2 +-
ql/experimental/exoticoptions/analyticholderextensibleoptionengine.hpp | 2 +-
.../exoticoptions/analyticpartialtimebarrieroptionengine.hpp | 2 +-
ql/experimental/exoticoptions/analyticpdfhestonengine.hpp | 2 +-
ql/experimental/exoticoptions/analytictwoassetbarrierengine.hpp | 2 +-
ql/experimental/exoticoptions/analytictwoassetcorrelationengine.hpp | 2 +-
ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp | 2 +-
ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp | 2 +-
ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.cpp | 2 +-
ql/experimental/exoticoptions/continuousarithmeticasianvecerengine.hpp | 2 +-
ql/experimental/exoticoptions/everestoption.cpp | 2 +-
ql/experimental/exoticoptions/everestoption.hpp | 2 +-
ql/experimental/exoticoptions/himalayaoption.cpp | 2 +-
ql/experimental/exoticoptions/himalayaoption.hpp | 2 +-
ql/experimental/exoticoptions/holderextensibleoption.hpp | 2 +-
ql/experimental/exoticoptions/kirkspreadoptionengine.cpp | 2 +-
ql/experimental/exoticoptions/kirkspreadoptionengine.hpp | 2 +-
ql/experimental/exoticoptions/mceverestengine.cpp | 2 +-
ql/experimental/exoticoptions/mceverestengine.hpp | 2 +-
ql/experimental/exoticoptions/mchimalayaengine.cpp | 2 +-
ql/experimental/exoticoptions/mchimalayaengine.hpp | 2 +-
ql/experimental/exoticoptions/mcpagodaengine.cpp | 2 +-
ql/experimental/exoticoptions/mcpagodaengine.hpp | 2 +-
ql/experimental/exoticoptions/pagodaoption.cpp | 2 +-
ql/experimental/exoticoptions/pagodaoption.hpp | 2 +-
ql/experimental/exoticoptions/partialtimebarrieroption.hpp | 2 +-
ql/experimental/exoticoptions/spreadoption.hpp | 2 +-
ql/experimental/exoticoptions/twoassetbarrieroption.hpp | 2 +-
ql/experimental/exoticoptions/twoassetcorrelationoption.hpp | 2 +-
ql/experimental/exoticoptions/writerextensibleoption.hpp | 2 +-
ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.cpp | 2 +-
ql/experimental/finitedifferences/dynprogvppintrinsicvalueengine.hpp | 2 +-
ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp | 2 +-
ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp | 2 +-
ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp | 2 +-
ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp | 2 +-
ql/experimental/finitedifferences/fdmdupire1dop.cpp | 2 +-
ql/experimental/finitedifferences/fdmdupire1dop.hpp | 2 +-
ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp | 2 +-
ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp | 2 +-
ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp | 2 +-
ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp | 2 +-
ql/experimental/finitedifferences/fdmextoujumpop.cpp | 2 +-
ql/experimental/finitedifferences/fdmextoujumpop.hpp | 2 +-
ql/experimental/finitedifferences/fdmextoujumpsolver.cpp | 2 +-
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ql/experimental/finitedifferences/fdmklugeextouop.cpp | 2 +-
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ql/experimental/finitedifferences/fdmklugeextousolver.hpp | 2 +-
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ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp | 2 +-
ql/experimental/finitedifferences/fdmvppstartlimitstepcondition.cpp | 2 +-
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ql/experimental/finitedifferences/fdmvppstepcondition.cpp | 2 +-
ql/experimental/finitedifferences/fdmvppstepcondition.hpp | 2 +-
ql/experimental/finitedifferences/fdmvppstepconditionfactory.cpp | 2 +-
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ql/experimental/finitedifferences/fdmzabrop.cpp | 2 +-
ql/experimental/finitedifferences/fdmzabrop.hpp | 2 +-
ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.cpp | 2 +-
ql/experimental/finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp | 2 +-
ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp | 2 +-
ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp | 2 +-
ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp | 2 +-
ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp | 2 +-
ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp | 2 +-
ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp | 2 +-
ql/experimental/finitedifferences/glued1dmesher.cpp | 2 +-
ql/experimental/finitedifferences/glued1dmesher.hpp | 2 +-
ql/experimental/finitedifferences/vanillavppoption.cpp | 2 +-
ql/experimental/finitedifferences/vanillavppoption.hpp | 2 +-
ql/experimental/forward/analytichestonforwardeuropeanengine.cpp | 2 +-
ql/experimental/forward/analytichestonforwardeuropeanengine.hpp | 2 +-
ql/experimental/fx/blackdeltacalculator.cpp | 2 +-
ql/experimental/fx/blackdeltacalculator.hpp | 2 +-
ql/experimental/fx/deltavolquote.cpp | 2 +-
ql/experimental/fx/deltavolquote.hpp | 2 +-
ql/experimental/inflation/cpicapfloorengines.cpp | 2 +-
ql/experimental/inflation/cpicapfloorengines.hpp | 2 +-
ql/experimental/inflation/cpicapfloortermpricesurface.cpp | 2 +-
ql/experimental/inflation/cpicapfloortermpricesurface.hpp | 2 +-
ql/experimental/inflation/genericindexes.hpp | 2 +-
ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp | 2 +-
.../inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp | 2 +-
ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp | 2 +-
ql/experimental/inflation/polynomial2Dspline.hpp | 2 +-
ql/experimental/inflation/yoycapfloortermpricesurface.cpp | 2 +-
ql/experimental/inflation/yoycapfloortermpricesurface.hpp | 2 +-
ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp | 2 +-
ql/experimental/inflation/yoyoptionlethelpers.cpp | 2 +-
ql/experimental/inflation/yoyoptionlethelpers.hpp | 2 +-
ql/experimental/inflation/yoyoptionletstripper.hpp | 2 +-
ql/experimental/lattices/extendedbinomialtree.cpp | 2 +-
ql/experimental/lattices/extendedbinomialtree.hpp | 2 +-
ql/experimental/math/claytoncopularng.hpp | 2 +-
ql/experimental/math/convolvedstudentt.cpp | 2 +-
ql/experimental/math/convolvedstudentt.hpp | 2 +-
ql/experimental/math/farliegumbelmorgensterncopularng.hpp | 2 +-
ql/experimental/math/fireflyalgorithm.cpp | 2 +-
ql/experimental/math/fireflyalgorithm.hpp | 2 +-
ql/experimental/math/frankcopularng.hpp | 2 +-
ql/experimental/math/gaussiancopulapolicy.cpp | 2 +-
ql/experimental/math/gaussiancopulapolicy.hpp | 2 +-
ql/experimental/math/gaussiannoncentralchisquaredpolynomial.cpp | 2 +-
ql/experimental/math/gaussiannoncentralchisquaredpolynomial.hpp | 2 +-
ql/experimental/math/hybridsimulatedannealing.hpp | 2 +-
ql/experimental/math/hybridsimulatedannealingfunctors.hpp | 2 +-
ql/experimental/math/isotropicrandomwalk.hpp | 2 +-
ql/experimental/math/laplaceinterpolation.cpp | 2 +-
ql/experimental/math/laplaceinterpolation.hpp | 2 +-
ql/experimental/math/latentmodel.hpp | 2 +-
ql/experimental/math/levyflightdistribution.hpp | 2 +-
ql/experimental/math/moorepenroseinverse.hpp | 2 +-
ql/experimental/math/multidimintegrator.cpp | 2 +-
ql/experimental/math/multidimintegrator.hpp | 2 +-
ql/experimental/math/multidimquadrature.cpp | 2 +-
ql/experimental/math/multidimquadrature.hpp | 2 +-
ql/experimental/math/particleswarmoptimization.cpp | 2 +-
ql/experimental/math/particleswarmoptimization.hpp | 2 +-
ql/experimental/math/piecewisefunction.hpp | 2 +-
ql/experimental/math/piecewiseintegral.cpp | 2 +-
ql/experimental/math/piecewiseintegral.hpp | 2 +-
ql/experimental/math/polarstudenttrng.hpp | 2 +-
ql/experimental/math/tcopulapolicy.cpp | 2 +-
ql/experimental/math/tcopulapolicy.hpp | 2 +-
ql/experimental/math/zigguratrng.cpp | 2 +-
ql/experimental/math/zigguratrng.hpp | 2 +-
ql/experimental/mcbasket/adaptedpathpayoff.cpp | 2 +-
ql/experimental/mcbasket/adaptedpathpayoff.hpp | 2 +-
ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp | 2 +-
ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp | 2 +-
ql/experimental/mcbasket/mcamericanpathengine.hpp | 2 +-
ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp | 2 +-
ql/experimental/mcbasket/mcpathbasketengine.cpp | 2 +-
ql/experimental/mcbasket/mcpathbasketengine.hpp | 2 +-
ql/experimental/mcbasket/pathmultiassetoption.cpp | 2 +-
ql/experimental/mcbasket/pathmultiassetoption.hpp | 2 +-
ql/experimental/mcbasket/pathpayoff.hpp | 2 +-
ql/experimental/models/normalclvmodel.cpp | 2 +-
ql/experimental/models/normalclvmodel.hpp | 2 +-
ql/experimental/models/squarerootclvmodel.cpp | 2 +-
ql/experimental/models/squarerootclvmodel.hpp | 2 +-
ql/experimental/processes/extendedblackscholesprocess.cpp | 2 +-
ql/experimental/processes/extendedblackscholesprocess.hpp | 2 +-
ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp | 2 +-
ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp | 2 +-
ql/experimental/processes/extouwithjumpsprocess.cpp | 2 +-
ql/experimental/processes/extouwithjumpsprocess.hpp | 2 +-
ql/experimental/processes/gemanroncoroniprocess.cpp | 2 +-
ql/experimental/processes/gemanroncoroniprocess.hpp | 2 +-
ql/experimental/processes/klugeextouprocess.cpp | 2 +-
ql/experimental/processes/klugeextouprocess.hpp | 2 +-
ql/experimental/processes/vegastressedblackscholesprocess.cpp | 2 +-
ql/experimental/processes/vegastressedblackscholesprocess.hpp | 2 +-
ql/experimental/risk/creditriskplus.cpp | 2 +-
ql/experimental/risk/creditriskplus.hpp | 2 +-
ql/experimental/risk/sensitivityanalysis.cpp | 2 +-
ql/experimental/risk/sensitivityanalysis.hpp | 2 +-
ql/experimental/shortrate/generalizedhullwhite.cpp | 2 +-
ql/experimental/shortrate/generalizedhullwhite.hpp | 2 +-
ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp | 2 +-
ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp | 2 +-
ql/experimental/swaptions/haganirregularswaptionengine.cpp | 2 +-
ql/experimental/swaptions/haganirregularswaptionengine.hpp | 2 +-
ql/experimental/swaptions/irregularswap.cpp | 2 +-
ql/experimental/swaptions/irregularswap.hpp | 2 +-
ql/experimental/swaptions/irregularswaption.cpp | 2 +-
ql/experimental/swaptions/irregularswaption.hpp | 2 +-
ql/experimental/termstructures/basisswapratehelpers.cpp | 2 +-
ql/experimental/termstructures/basisswapratehelpers.hpp | 2 +-
ql/experimental/termstructures/crosscurrencyratehelpers.cpp | 2 +-
ql/experimental/termstructures/crosscurrencyratehelpers.hpp | 2 +-
ql/experimental/variancegamma/analyticvariancegammaengine.cpp | 2 +-
ql/experimental/variancegamma/analyticvariancegammaengine.hpp | 2 +-
ql/experimental/variancegamma/fftengine.cpp | 2 +-
ql/experimental/variancegamma/fftengine.hpp | 2 +-
ql/experimental/variancegamma/fftvanillaengine.cpp | 2 +-
ql/experimental/variancegamma/fftvanillaengine.hpp | 2 +-
ql/experimental/variancegamma/fftvariancegammaengine.cpp | 2 +-
ql/experimental/variancegamma/fftvariancegammaengine.hpp | 2 +-
ql/experimental/variancegamma/variancegammamodel.cpp | 2 +-
ql/experimental/variancegamma/variancegammamodel.hpp | 2 +-
ql/experimental/variancegamma/variancegammaprocess.cpp | 2 +-
ql/experimental/variancegamma/variancegammaprocess.hpp | 2 +-
ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp | 2 +-
ql/experimental/varianceoption/integralhestonvarianceoptionengine.hpp | 2 +-
ql/experimental/varianceoption/varianceoption.cpp | 2 +-
ql/experimental/varianceoption/varianceoption.hpp | 2 +-
ql/experimental/volatility/abcdatmvolcurve.cpp | 2 +-
ql/experimental/volatility/abcdatmvolcurve.hpp | 2 +-
ql/experimental/volatility/blackatmvolcurve.cpp | 2 +-
ql/experimental/volatility/blackatmvolcurve.hpp | 2 +-
ql/experimental/volatility/blackvolsurface.cpp | 2 +-
ql/experimental/volatility/blackvolsurface.hpp | 2 +-
ql/experimental/volatility/equityfxvolsurface.cpp | 2 +-
ql/experimental/volatility/equityfxvolsurface.hpp | 2 +-
ql/experimental/volatility/extendedblackvariancecurve.cpp | 2 +-
ql/experimental/volatility/extendedblackvariancecurve.hpp | 2 +-
ql/experimental/volatility/extendedblackvariancesurface.cpp | 2 +-
ql/experimental/volatility/extendedblackvariancesurface.hpp | 2 +-
ql/experimental/volatility/interestratevolsurface.cpp | 2 +-
ql/experimental/volatility/interestratevolsurface.hpp | 2 +-
ql/experimental/volatility/noarbsabr.cpp | 2 +-
ql/experimental/volatility/noarbsabr.hpp | 2 +-
ql/experimental/volatility/noarbsabrabsprobs.cpp | 2 +-
ql/experimental/volatility/noarbsabrinterpolatedsmilesection.cpp | 2 +-
ql/experimental/volatility/noarbsabrinterpolatedsmilesection.hpp | 2 +-
ql/experimental/volatility/noarbsabrinterpolation.hpp | 2 +-
ql/experimental/volatility/noarbsabrsmilesection.cpp | 2 +-
ql/experimental/volatility/noarbsabrsmilesection.hpp | 2 +-
ql/experimental/volatility/noarbsabrswaptionvolatilitycube.hpp | 2 +-
ql/experimental/volatility/sabrvolsurface.cpp | 2 +-
ql/experimental/volatility/sabrvolsurface.hpp | 2 +-
ql/experimental/volatility/sabrvoltermstructure.hpp | 2 +-
ql/experimental/volatility/sviinterpolatedsmilesection.cpp | 2 +-
ql/experimental/volatility/sviinterpolatedsmilesection.hpp | 2 +-
ql/experimental/volatility/sviinterpolation.hpp | 2 +-
ql/experimental/volatility/svismilesection.cpp | 2 +-
ql/experimental/volatility/svismilesection.hpp | 2 +-
ql/experimental/volatility/volcube.cpp | 2 +-
ql/experimental/volatility/volcube.hpp | 2 +-
ql/experimental/volatility/zabr.cpp | 2 +-
ql/experimental/volatility/zabr.hpp | 2 +-
ql/experimental/volatility/zabrinterpolatedsmilesection.hpp | 2 +-
ql/experimental/volatility/zabrinterpolation.hpp | 2 +-
ql/experimental/volatility/zabrsmilesection.hpp | 2 +-
ql/functional.hpp | 2 +-
ql/grid.hpp | 2 +-
ql/handle.hpp | 2 +-
ql/index.cpp | 2 +-
ql/index.hpp | 2 +-
ql/indexes/bmaindex.cpp | 2 +-
ql/indexes/bmaindex.hpp | 2 +-
ql/indexes/equityindex.cpp | 2 +-
ql/indexes/equityindex.hpp | 2 +-
ql/indexes/ibor/aonia.hpp | 2 +-
ql/indexes/ibor/audlibor.hpp | 2 +-
ql/indexes/ibor/bbsw.hpp | 2 +-
ql/indexes/ibor/bibor.cpp | 2 +-
ql/indexes/ibor/bibor.hpp | 2 +-
ql/indexes/ibor/bkbm.hpp | 2 +-
ql/indexes/ibor/cadlibor.hpp | 2 +-
ql/indexes/ibor/cdi.cpp | 2 +-
ql/indexes/ibor/cdi.hpp | 2 +-
ql/indexes/ibor/cdor.hpp | 2 +-
ql/indexes/ibor/chflibor.hpp | 2 +-
ql/indexes/ibor/corra.cpp | 2 +-
ql/indexes/ibor/corra.hpp | 2 +-
ql/indexes/ibor/destr.hpp | 2 +-
ql/indexes/ibor/dkklibor.hpp | 2 +-
ql/indexes/ibor/eonia.cpp | 2 +-
ql/indexes/ibor/eonia.hpp | 2 +-
ql/indexes/ibor/estr.cpp | 2 +-
ql/indexes/ibor/estr.hpp | 2 +-
ql/indexes/ibor/euribor.cpp | 2 +-
ql/indexes/ibor/euribor.hpp | 2 +-
ql/indexes/ibor/eurlibor.cpp | 2 +-
ql/indexes/ibor/eurlibor.hpp | 2 +-
ql/indexes/ibor/fedfunds.cpp | 2 +-
ql/indexes/ibor/fedfunds.hpp | 2 +-
ql/indexes/ibor/gbplibor.hpp | 2 +-
ql/indexes/ibor/jibar.hpp | 2 +-
ql/indexes/ibor/jpylibor.hpp | 2 +-
ql/indexes/ibor/kofr.cpp | 2 +-
ql/indexes/ibor/kofr.hpp | 2 +-
ql/indexes/ibor/libor.cpp | 2 +-
ql/indexes/ibor/libor.hpp | 2 +-
ql/indexes/ibor/mosprime.hpp | 2 +-
ql/indexes/ibor/nzdlibor.hpp | 2 +-
ql/indexes/ibor/nzocr.hpp | 2 +-
ql/indexes/ibor/pribor.hpp | 2 +-
ql/indexes/ibor/robor.hpp | 2 +-
ql/indexes/ibor/saron.cpp | 2 +-
ql/indexes/ibor/saron.hpp | 2 +-
ql/indexes/ibor/seklibor.hpp | 2 +-
ql/indexes/ibor/shibor.cpp | 2 +-
ql/indexes/ibor/shibor.hpp | 2 +-
ql/indexes/ibor/sofr.cpp | 2 +-
ql/indexes/ibor/sofr.hpp | 2 +-
ql/indexes/ibor/sonia.cpp | 2 +-
ql/indexes/ibor/sonia.hpp | 2 +-
ql/indexes/ibor/swestr.hpp | 2 +-
ql/indexes/ibor/thbfix.hpp | 2 +-
ql/indexes/ibor/tibor.hpp | 2 +-
ql/indexes/ibor/tona.hpp | 2 +-
ql/indexes/ibor/tonar.hpp | 2 +-
ql/indexes/ibor/trlibor.hpp | 2 +-
ql/indexes/ibor/usdlibor.hpp | 2 +-
ql/indexes/ibor/wibor.hpp | 2 +-
ql/indexes/ibor/zibor.hpp | 2 +-
ql/indexes/iborindex.cpp | 2 +-
ql/indexes/iborindex.hpp | 2 +-
ql/indexes/indexmanager.cpp | 2 +-
ql/indexes/indexmanager.hpp | 2 +-
ql/indexes/inflation/aucpi.hpp | 2 +-
ql/indexes/inflation/euhicp.hpp | 2 +-
ql/indexes/inflation/frhicp.hpp | 2 +-
ql/indexes/inflation/ukhicp.hpp | 2 +-
ql/indexes/inflation/ukrpi.hpp | 2 +-
ql/indexes/inflation/uscpi.hpp | 2 +-
ql/indexes/inflation/zacpi.hpp | 2 +-
ql/indexes/inflationindex.cpp | 2 +-
ql/indexes/inflationindex.hpp | 2 +-
ql/indexes/interestrateindex.cpp | 2 +-
ql/indexes/interestrateindex.hpp | 2 +-
ql/indexes/region.cpp | 2 +-
ql/indexes/region.hpp | 2 +-
ql/indexes/swap/chfliborswap.cpp | 2 +-
ql/indexes/swap/chfliborswap.hpp | 2 +-
ql/indexes/swap/euriborswap.cpp | 2 +-
ql/indexes/swap/euriborswap.hpp | 2 +-
ql/indexes/swap/eurliborswap.cpp | 2 +-
ql/indexes/swap/eurliborswap.hpp | 2 +-
ql/indexes/swap/gbpliborswap.cpp | 2 +-
ql/indexes/swap/gbpliborswap.hpp | 2 +-
ql/indexes/swap/jpyliborswap.cpp | 2 +-
ql/indexes/swap/jpyliborswap.hpp | 2 +-
ql/indexes/swap/usdliborswap.cpp | 2 +-
ql/indexes/swap/usdliborswap.hpp | 2 +-
ql/indexes/swapindex.cpp | 2 +-
ql/indexes/swapindex.hpp | 2 +-
ql/instrument.cpp | 2 +-
ql/instrument.hpp | 2 +-
ql/instruments/asianoption.cpp | 2 +-
ql/instruments/asianoption.hpp | 2 +-
ql/instruments/assetswap.cpp | 2 +-
ql/instruments/assetswap.hpp | 2 +-
ql/instruments/averagetype.cpp | 2 +-
ql/instruments/averagetype.hpp | 2 +-
ql/instruments/barrieroption.cpp | 2 +-
ql/instruments/barrieroption.hpp | 2 +-
ql/instruments/barriertype.cpp | 2 +-
ql/instruments/barriertype.hpp | 2 +-
ql/instruments/basketoption.cpp | 2 +-
ql/instruments/basketoption.hpp | 2 +-
ql/instruments/bmaswap.cpp | 2 +-
ql/instruments/bmaswap.hpp | 2 +-
ql/instruments/bond.cpp | 2 +-
ql/instruments/bond.hpp | 2 +-
ql/instruments/bondforward.cpp | 2 +-
ql/instruments/bondforward.hpp | 2 +-
ql/instruments/bonds/amortizingcmsratebond.cpp | 2 +-
ql/instruments/bonds/amortizingcmsratebond.hpp | 2 +-
ql/instruments/bonds/amortizingfixedratebond.cpp | 2 +-
ql/instruments/bonds/amortizingfixedratebond.hpp | 2 +-
ql/instruments/bonds/amortizingfloatingratebond.cpp | 2 +-
ql/instruments/bonds/amortizingfloatingratebond.hpp | 2 +-
ql/instruments/bonds/btp.cpp | 2 +-
ql/instruments/bonds/btp.hpp | 2 +-
ql/instruments/bonds/cmsratebond.cpp | 2 +-
ql/instruments/bonds/cmsratebond.hpp | 2 +-
ql/instruments/bonds/convertiblebonds.cpp | 2 +-
ql/instruments/bonds/convertiblebonds.hpp | 2 +-
ql/instruments/bonds/cpibond.cpp | 2 +-
ql/instruments/bonds/cpibond.hpp | 2 +-
ql/instruments/bonds/fixedratebond.cpp | 2 +-
ql/instruments/bonds/fixedratebond.hpp | 2 +-
ql/instruments/bonds/floatingratebond.cpp | 2 +-
ql/instruments/bonds/floatingratebond.hpp | 2 +-
ql/instruments/bonds/zerocouponbond.cpp | 2 +-
ql/instruments/bonds/zerocouponbond.hpp | 2 +-
ql/instruments/callabilityschedule.hpp | 2 +-
ql/instruments/capfloor.cpp | 2 +-
ql/instruments/capfloor.hpp | 2 +-
ql/instruments/claim.cpp | 2 +-
ql/instruments/claim.hpp | 2 +-
ql/instruments/cliquetoption.cpp | 2 +-
ql/instruments/cliquetoption.hpp | 2 +-
ql/instruments/complexchooseroption.cpp | 2 +-
ql/instruments/complexchooseroption.hpp | 2 +-
ql/instruments/compositeinstrument.cpp | 2 +-
ql/instruments/compositeinstrument.hpp | 2 +-
ql/instruments/compoundoption.cpp | 2 +-
ql/instruments/compoundoption.hpp | 2 +-
ql/instruments/cpicapfloor.cpp | 2 +-
ql/instruments/cpicapfloor.hpp | 2 +-
ql/instruments/cpiswap.cpp | 2 +-
ql/instruments/cpiswap.hpp | 2 +-
ql/instruments/creditdefaultswap.cpp | 2 +-
ql/instruments/creditdefaultswap.hpp | 2 +-
ql/instruments/dividendschedule.hpp | 2 +-
ql/instruments/doublebarrieroption.cpp | 2 +-
ql/instruments/doublebarrieroption.hpp | 2 +-
ql/instruments/doublebarriertype.cpp | 2 +-
ql/instruments/doublebarriertype.hpp | 2 +-
ql/instruments/equitytotalreturnswap.cpp | 2 +-
ql/instruments/equitytotalreturnswap.hpp | 2 +-
ql/instruments/europeanoption.cpp | 2 +-
ql/instruments/europeanoption.hpp | 2 +-
ql/instruments/fixedratebondforward.hpp | 2 +-
ql/instruments/fixedvsfloatingswap.cpp | 2 +-
ql/instruments/fixedvsfloatingswap.hpp | 2 +-
ql/instruments/floatfloatswap.cpp | 2 +-
ql/instruments/floatfloatswap.hpp | 2 +-
ql/instruments/floatfloatswaption.cpp | 2 +-
ql/instruments/floatfloatswaption.hpp | 2 +-
ql/instruments/forward.cpp | 2 +-
ql/instruments/forward.hpp | 2 +-
ql/instruments/forwardrateagreement.cpp | 2 +-
ql/instruments/forwardrateagreement.hpp | 2 +-
ql/instruments/forwardvanillaoption.cpp | 2 +-
ql/instruments/forwardvanillaoption.hpp | 2 +-
ql/instruments/futures.cpp | 2 +-
ql/instruments/futures.hpp | 2 +-
ql/instruments/holderextensibleoption.cpp | 2 +-
ql/instruments/holderextensibleoption.hpp | 2 +-
ql/instruments/impliedvolatility.cpp | 2 +-
ql/instruments/impliedvolatility.hpp | 2 +-
ql/instruments/inflationcapfloor.cpp | 2 +-
ql/instruments/inflationcapfloor.hpp | 2 +-
ql/instruments/lookbackoption.cpp | 2 +-
ql/instruments/lookbackoption.hpp | 2 +-
ql/instruments/makecapfloor.cpp | 2 +-
ql/instruments/makecapfloor.hpp | 2 +-
ql/instruments/makecds.cpp | 2 +-
ql/instruments/makecds.hpp | 2 +-
ql/instruments/makecms.cpp | 2 +-
ql/instruments/makecms.hpp | 2 +-
ql/instruments/makeois.cpp | 2 +-
ql/instruments/makeois.hpp | 2 +-
ql/instruments/makeswaption.cpp | 2 +-
ql/instruments/makeswaption.hpp | 2 +-
ql/instruments/makevanillaswap.cpp | 2 +-
ql/instruments/makevanillaswap.hpp | 2 +-
ql/instruments/makeyoyinflationcapfloor.cpp | 2 +-
ql/instruments/makeyoyinflationcapfloor.hpp | 2 +-
ql/instruments/margrabeoption.cpp | 2 +-
ql/instruments/margrabeoption.hpp | 2 +-
ql/instruments/multiassetoption.cpp | 2 +-
ql/instruments/multiassetoption.hpp | 2 +-
ql/instruments/nonstandardswap.cpp | 2 +-
ql/instruments/nonstandardswap.hpp | 2 +-
ql/instruments/nonstandardswaption.cpp | 2 +-
ql/instruments/nonstandardswaption.hpp | 2 +-
ql/instruments/oneassetoption.cpp | 2 +-
ql/instruments/oneassetoption.hpp | 2 +-
ql/instruments/overnightindexedswap.cpp | 2 +-
ql/instruments/overnightindexedswap.hpp | 2 +-
ql/instruments/overnightindexfuture.cpp | 2 +-
ql/instruments/overnightindexfuture.hpp | 2 +-
ql/instruments/partialtimebarrieroption.cpp | 2 +-
ql/instruments/partialtimebarrieroption.hpp | 2 +-
ql/instruments/payoffs.cpp | 2 +-
ql/instruments/payoffs.hpp | 2 +-
ql/instruments/quantobarrieroption.cpp | 2 +-
ql/instruments/quantobarrieroption.hpp | 2 +-
ql/instruments/quantoforwardvanillaoption.cpp | 2 +-
ql/instruments/quantoforwardvanillaoption.hpp | 2 +-
ql/instruments/quantovanillaoption.cpp | 2 +-
ql/instruments/quantovanillaoption.hpp | 2 +-
ql/instruments/simplechooseroption.cpp | 2 +-
ql/instruments/simplechooseroption.hpp | 2 +-
ql/instruments/simplifynotificationgraph.cpp | 2 +-
ql/instruments/simplifynotificationgraph.hpp | 2 +-
ql/instruments/softbarrieroption.cpp | 2 +-
ql/instruments/softbarrieroption.hpp | 2 +-
ql/instruments/stickyratchet.cpp | 2 +-
ql/instruments/stickyratchet.hpp | 2 +-
ql/instruments/stock.cpp | 2 +-
ql/instruments/stock.hpp | 2 +-
ql/instruments/swap.cpp | 2 +-
ql/instruments/swap.hpp | 2 +-
ql/instruments/swaption.cpp | 2 +-
ql/instruments/swaption.hpp | 2 +-
ql/instruments/twoassetbarrieroption.cpp | 2 +-
ql/instruments/twoassetbarrieroption.hpp | 2 +-
ql/instruments/twoassetcorrelationoption.cpp | 2 +-
ql/instruments/twoassetcorrelationoption.hpp | 2 +-
ql/instruments/vanillaoption.cpp | 2 +-
ql/instruments/vanillaoption.hpp | 2 +-
ql/instruments/vanillastorageoption.hpp | 2 +-
ql/instruments/vanillaswap.cpp | 2 +-
ql/instruments/vanillaswap.hpp | 2 +-
ql/instruments/vanillaswingoption.cpp | 2 +-
ql/instruments/vanillaswingoption.hpp | 2 +-
ql/instruments/varianceswap.cpp | 2 +-
ql/instruments/varianceswap.hpp | 2 +-
ql/instruments/writerextensibleoption.cpp | 2 +-
ql/instruments/writerextensibleoption.hpp | 2 +-
ql/instruments/yearonyearinflationswap.cpp | 2 +-
ql/instruments/yearonyearinflationswap.hpp | 2 +-
ql/instruments/zerocouponinflationswap.cpp | 2 +-
ql/instruments/zerocouponinflationswap.hpp | 2 +-
ql/instruments/zerocouponswap.cpp | 2 +-
ql/instruments/zerocouponswap.hpp | 2 +-
ql/interestrate.cpp | 2 +-
ql/interestrate.hpp | 2 +-
ql/legacy/libormarketmodels/lfmcovarparam.cpp | 2 +-
ql/legacy/libormarketmodels/lfmcovarparam.hpp | 2 +-
ql/legacy/libormarketmodels/lfmcovarproxy.cpp | 2 +-
ql/legacy/libormarketmodels/lfmcovarproxy.hpp | 2 +-
ql/legacy/libormarketmodels/lfmhullwhiteparam.cpp | 2 +-
ql/legacy/libormarketmodels/lfmhullwhiteparam.hpp | 2 +-
ql/legacy/libormarketmodels/lfmprocess.cpp | 2 +-
ql/legacy/libormarketmodels/lfmprocess.hpp | 2 +-
ql/legacy/libormarketmodels/lfmswaptionengine.cpp | 2 +-
ql/legacy/libormarketmodels/lfmswaptionengine.hpp | 2 +-
ql/legacy/libormarketmodels/liborforwardmodel.cpp | 2 +-
ql/legacy/libormarketmodels/liborforwardmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmconstwrappercorrmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmconstwrappervolmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmcorrmodel.cpp | 2 +-
ql/legacy/libormarketmodels/lmcorrmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmexpcorrmodel.cpp | 2 +-
ql/legacy/libormarketmodels/lmexpcorrmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmextlinexpvolmodel.cpp | 2 +-
ql/legacy/libormarketmodels/lmextlinexpvolmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmfixedvolmodel.cpp | 2 +-
ql/legacy/libormarketmodels/lmfixedvolmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmlinexpcorrmodel.cpp | 2 +-
ql/legacy/libormarketmodels/lmlinexpcorrmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmlinexpvolmodel.cpp | 2 +-
ql/legacy/libormarketmodels/lmlinexpvolmodel.hpp | 2 +-
ql/legacy/libormarketmodels/lmvolmodel.cpp | 2 +-
ql/legacy/libormarketmodels/lmvolmodel.hpp | 2 +-
ql/math/abcdmathfunction.cpp | 2 +-
ql/math/abcdmathfunction.hpp | 2 +-
ql/math/array.hpp | 2 +-
ql/math/autocovariance.hpp | 2 +-
ql/math/bernsteinpolynomial.cpp | 2 +-
ql/math/bernsteinpolynomial.hpp | 2 +-
ql/math/beta.cpp | 2 +-
ql/math/beta.hpp | 2 +-
ql/math/bspline.cpp | 2 +-
ql/math/bspline.hpp | 2 +-
ql/math/comparison.hpp | 2 +-
ql/math/copulas/alimikhailhaqcopula.cpp | 2 +-
ql/math/copulas/alimikhailhaqcopula.hpp | 2 +-
ql/math/copulas/claytoncopula.cpp | 2 +-
ql/math/copulas/claytoncopula.hpp | 2 +-
ql/math/copulas/farliegumbelmorgensterncopula.cpp | 2 +-
ql/math/copulas/farliegumbelmorgensterncopula.hpp | 2 +-
ql/math/copulas/frankcopula.cpp | 2 +-
ql/math/copulas/frankcopula.hpp | 2 +-
ql/math/copulas/galamboscopula.cpp | 2 +-
ql/math/copulas/galamboscopula.hpp | 2 +-
ql/math/copulas/gaussiancopula.cpp | 2 +-
ql/math/copulas/gaussiancopula.hpp | 2 +-
ql/math/copulas/gumbelcopula.cpp | 2 +-
ql/math/copulas/gumbelcopula.hpp | 2 +-
ql/math/copulas/huslerreisscopula.cpp | 2 +-
ql/math/copulas/huslerreisscopula.hpp | 2 +-
ql/math/copulas/independentcopula.cpp | 2 +-
ql/math/copulas/independentcopula.hpp | 2 +-
ql/math/copulas/marshallolkincopula.cpp | 2 +-
ql/math/copulas/marshallolkincopula.hpp | 2 +-
ql/math/copulas/maxcopula.cpp | 2 +-
ql/math/copulas/maxcopula.hpp | 2 +-
ql/math/copulas/mincopula.cpp | 2 +-
ql/math/copulas/mincopula.hpp | 2 +-
ql/math/copulas/plackettcopula.cpp | 2 +-
ql/math/copulas/plackettcopula.hpp | 2 +-
ql/math/distributions/binomialdistribution.hpp | 2 +-
ql/math/distributions/bivariatenormaldistribution.cpp | 2 +-
ql/math/distributions/bivariatenormaldistribution.hpp | 2 +-
ql/math/distributions/bivariatestudenttdistribution.cpp | 2 +-
ql/math/distributions/bivariatestudenttdistribution.hpp | 2 +-
ql/math/distributions/chisquaredistribution.cpp | 2 +-
ql/math/distributions/chisquaredistribution.hpp | 2 +-
ql/math/distributions/gammadistribution.cpp | 2 +-
ql/math/distributions/gammadistribution.hpp | 2 +-
ql/math/distributions/normaldistribution.cpp | 2 +-
ql/math/distributions/normaldistribution.hpp | 2 +-
ql/math/distributions/poissondistribution.hpp | 2 +-
ql/math/distributions/studenttdistribution.cpp | 2 +-
ql/math/distributions/studenttdistribution.hpp | 2 +-
ql/math/errorfunction.hpp | 2 +-
ql/math/expm1.cpp | 2 +-
ql/math/expm1.hpp | 2 +-
ql/math/factorial.cpp | 2 +-
ql/math/factorial.hpp | 2 +-
ql/math/fastfouriertransform.hpp | 2 +-
ql/math/functional.hpp | 2 +-
ql/math/generallinearleastsquares.hpp | 2 +-
ql/math/incompletegamma.cpp | 2 +-
ql/math/incompletegamma.hpp | 2 +-
ql/math/integrals/discreteintegrals.cpp | 2 +-
ql/math/integrals/discreteintegrals.hpp | 2 +-
ql/math/integrals/exponentialintegrals.cpp | 2 +-
ql/math/integrals/exponentialintegrals.hpp | 2 +-
ql/math/integrals/expsinhintegral.hpp | 2 +-
ql/math/integrals/filonintegral.cpp | 2 +-
ql/math/integrals/filonintegral.hpp | 2 +-
ql/math/integrals/gaussianorthogonalpolynomial.cpp | 2 +-
ql/math/integrals/gaussianorthogonalpolynomial.hpp | 2 +-
ql/math/integrals/gaussianquadratures.cpp | 2 +-
ql/math/integrals/gaussianquadratures.hpp | 2 +-
ql/math/integrals/gausslaguerrecosinepolynomial.hpp | 2 +-
ql/math/integrals/gausslobattointegral.cpp | 2 +-
ql/math/integrals/gausslobattointegral.hpp | 2 +-
ql/math/integrals/integral.cpp | 2 +-
ql/math/integrals/integral.hpp | 2 +-
ql/math/integrals/kronrodintegral.cpp | 2 +-
ql/math/integrals/kronrodintegral.hpp | 2 +-
ql/math/integrals/momentbasedgaussianpolynomial.hpp | 2 +-
ql/math/integrals/segmentintegral.cpp | 2 +-
ql/math/integrals/segmentintegral.hpp | 2 +-
ql/math/integrals/simpsonintegral.hpp | 2 +-
ql/math/integrals/tanhsinhintegral.hpp | 2 +-
ql/math/integrals/trapezoidintegral.hpp | 2 +-
ql/math/integrals/twodimensionalintegral.hpp | 2 +-
ql/math/interpolation.hpp | 2 +-
ql/math/interpolations/abcdinterpolation.hpp | 2 +-
ql/math/interpolations/backwardflatinterpolation.hpp | 2 +-
ql/math/interpolations/backwardflatlinearinterpolation.hpp | 2 +-
ql/math/interpolations/bicubicsplineinterpolation.hpp | 2 +-
ql/math/interpolations/bilinearinterpolation.hpp | 2 +-
ql/math/interpolations/chebyshevinterpolation.cpp | 2 +-
ql/math/interpolations/chebyshevinterpolation.hpp | 2 +-
ql/math/interpolations/convexmonotoneinterpolation.hpp | 2 +-
ql/math/interpolations/cubicinterpolation.hpp | 2 +-
ql/math/interpolations/extrapolation.hpp | 2 +-
ql/math/interpolations/flatextrapolation2d.hpp | 2 +-
ql/math/interpolations/forwardflatinterpolation.hpp | 2 +-
ql/math/interpolations/interpolation2d.hpp | 2 +-
ql/math/interpolations/kernelinterpolation.hpp | 2 +-
ql/math/interpolations/kernelinterpolation2d.hpp | 2 +-
ql/math/interpolations/lagrangeinterpolation.hpp | 2 +-
ql/math/interpolations/linearinterpolation.hpp | 2 +-
ql/math/interpolations/loginterpolation.hpp | 2 +-
ql/math/interpolations/mixedinterpolation.hpp | 2 +-
ql/math/interpolations/multicubicspline.hpp | 2 +-
ql/math/interpolations/sabrinterpolation.hpp | 2 +-
ql/math/interpolations/xabrinterpolation.hpp | 2 +-
ql/math/kernelfunctions.hpp | 2 +-
ql/math/linearleastsquaresregression.hpp | 2 +-
ql/math/matrix.cpp | 2 +-
ql/math/matrix.hpp | 2 +-
ql/math/matrixutilities/basisincompleteordered.cpp | 2 +-
ql/math/matrixutilities/basisincompleteordered.hpp | 2 +-
ql/math/matrixutilities/bicgstab.cpp | 2 +-
ql/math/matrixutilities/bicgstab.hpp | 2 +-
ql/math/matrixutilities/choleskydecomposition.cpp | 2 +-
ql/math/matrixutilities/choleskydecomposition.hpp | 2 +-
ql/math/matrixutilities/expm.cpp | 2 +-
ql/math/matrixutilities/expm.hpp | 2 +-
ql/math/matrixutilities/factorreduction.cpp | 2 +-
ql/math/matrixutilities/factorreduction.hpp | 2 +-
ql/math/matrixutilities/getcovariance.cpp | 2 +-
ql/math/matrixutilities/getcovariance.hpp | 2 +-
ql/math/matrixutilities/gmres.cpp | 2 +-
ql/math/matrixutilities/gmres.hpp | 2 +-
ql/math/matrixutilities/householder.cpp | 2 +-
ql/math/matrixutilities/householder.hpp | 2 +-
ql/math/matrixutilities/pseudosqrt.cpp | 2 +-
ql/math/matrixutilities/pseudosqrt.hpp | 2 +-
ql/math/matrixutilities/qrdecomposition.cpp | 2 +-
ql/math/matrixutilities/qrdecomposition.hpp | 2 +-
ql/math/matrixutilities/sparseilupreconditioner.cpp | 2 +-
ql/math/matrixutilities/sparseilupreconditioner.hpp | 2 +-
ql/math/matrixutilities/sparsematrix.hpp | 2 +-
ql/math/matrixutilities/svd.cpp | 2 +-
ql/math/matrixutilities/svd.hpp | 2 +-
ql/math/matrixutilities/symmetricschurdecomposition.cpp | 2 +-
ql/math/matrixutilities/symmetricschurdecomposition.hpp | 2 +-
ql/math/matrixutilities/tapcorrelations.cpp | 2 +-
ql/math/matrixutilities/tapcorrelations.hpp | 2 +-
ql/math/matrixutilities/tqreigendecomposition.cpp | 2 +-
ql/math/matrixutilities/tqreigendecomposition.hpp | 2 +-
ql/math/modifiedbessel.cpp | 2 +-
ql/math/modifiedbessel.hpp | 2 +-
ql/math/ode/adaptiverungekutta.hpp | 2 +-
ql/math/optimization/armijo.cpp | 2 +-
ql/math/optimization/armijo.hpp | 2 +-
ql/math/optimization/bfgs.cpp | 2 +-
ql/math/optimization/bfgs.hpp | 2 +-
ql/math/optimization/conjugategradient.cpp | 2 +-
ql/math/optimization/conjugategradient.hpp | 2 +-
ql/math/optimization/constraint.cpp | 2 +-
ql/math/optimization/constraint.hpp | 2 +-
ql/math/optimization/costfunction.hpp | 2 +-
ql/math/optimization/differentialevolution.cpp | 2 +-
ql/math/optimization/differentialevolution.hpp | 2 +-
ql/math/optimization/endcriteria.cpp | 2 +-
ql/math/optimization/endcriteria.hpp | 2 +-
ql/math/optimization/goldstein.cpp | 2 +-
ql/math/optimization/goldstein.hpp | 2 +-
ql/math/optimization/leastsquare.cpp | 2 +-
ql/math/optimization/leastsquare.hpp | 2 +-
ql/math/optimization/levenbergmarquardt.cpp | 2 +-
ql/math/optimization/levenbergmarquardt.hpp | 2 +-
ql/math/optimization/linesearch.cpp | 2 +-
ql/math/optimization/linesearch.hpp | 2 +-
ql/math/optimization/linesearchbasedmethod.cpp | 2 +-
ql/math/optimization/linesearchbasedmethod.hpp | 2 +-
ql/math/optimization/lmdif.hpp | 2 +-
ql/math/optimization/method.hpp | 2 +-
ql/math/optimization/problem.hpp | 2 +-
ql/math/optimization/projectedconstraint.hpp | 2 +-
ql/math/optimization/projectedcostfunction.cpp | 2 +-
ql/math/optimization/projectedcostfunction.hpp | 2 +-
ql/math/optimization/projection.cpp | 2 +-
ql/math/optimization/projection.hpp | 2 +-
ql/math/optimization/simplex.cpp | 2 +-
ql/math/optimization/simplex.hpp | 2 +-
ql/math/optimization/simulatedannealing.hpp | 2 +-
ql/math/optimization/spherecylinder.cpp | 2 +-
ql/math/optimization/spherecylinder.hpp | 2 +-
ql/math/optimization/steepestdescent.cpp | 2 +-
ql/math/optimization/steepestdescent.hpp | 2 +-
ql/math/pascaltriangle.cpp | 2 +-
ql/math/pascaltriangle.hpp | 2 +-
ql/math/polynomialmathfunction.cpp | 2 +-
ql/math/polynomialmathfunction.hpp | 2 +-
ql/math/primenumbers.cpp | 2 +-
ql/math/primenumbers.hpp | 2 +-
ql/math/quadratic.cpp | 2 +-
ql/math/quadratic.hpp | 2 +-
ql/math/randomnumbers/boxmullergaussianrng.hpp | 2 +-
ql/math/randomnumbers/burley2020sobolrsg.cpp | 2 +-
ql/math/randomnumbers/burley2020sobolrsg.hpp | 2 +-
ql/math/randomnumbers/centrallimitgaussianrng.hpp | 2 +-
ql/math/randomnumbers/faurersg.cpp | 2 +-
ql/math/randomnumbers/faurersg.hpp | 2 +-
ql/math/randomnumbers/haltonrsg.cpp | 2 +-
ql/math/randomnumbers/haltonrsg.hpp | 2 +-
ql/math/randomnumbers/inversecumulativerng.hpp | 2 +-
ql/math/randomnumbers/inversecumulativersg.hpp | 2 +-
ql/math/randomnumbers/knuthuniformrng.cpp | 2 +-
ql/math/randomnumbers/knuthuniformrng.hpp | 2 +-
ql/math/randomnumbers/latticersg.cpp | 2 +-
ql/math/randomnumbers/latticersg.hpp | 2 +-
ql/math/randomnumbers/latticerules.cpp | 2 +-
ql/math/randomnumbers/latticerules.hpp | 2 +-
ql/math/randomnumbers/lecuyeruniformrng.cpp | 2 +-
ql/math/randomnumbers/lecuyeruniformrng.hpp | 2 +-
ql/math/randomnumbers/mt19937uniformrng.cpp | 2 +-
ql/math/randomnumbers/mt19937uniformrng.hpp | 2 +-
ql/math/randomnumbers/randomizedlds.hpp | 2 +-
ql/math/randomnumbers/randomsequencegenerator.hpp | 2 +-
ql/math/randomnumbers/ranluxuniformrng.hpp | 2 +-
ql/math/randomnumbers/rngtraits.hpp | 2 +-
ql/math/randomnumbers/seedgenerator.cpp | 2 +-
ql/math/randomnumbers/seedgenerator.hpp | 2 +-
ql/math/randomnumbers/sobolbrownianbridgersg.cpp | 2 +-
ql/math/randomnumbers/sobolbrownianbridgersg.hpp | 2 +-
ql/math/randomnumbers/sobolrsg.cpp | 2 +-
ql/math/randomnumbers/sobolrsg.hpp | 2 +-
ql/math/randomnumbers/stochasticcollocationinvcdf.cpp | 2 +-
ql/math/randomnumbers/stochasticcollocationinvcdf.hpp | 2 +-
ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +-
ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp | 2 +-
ql/math/randomnumbers/zigguratgaussianrng.hpp | 2 +-
ql/math/richardsonextrapolation.cpp | 2 +-
ql/math/richardsonextrapolation.hpp | 2 +-
ql/math/rounding.cpp | 2 +-
ql/math/rounding.hpp | 2 +-
ql/math/sampledcurve.hpp | 2 +-
ql/math/solver1d.hpp | 2 +-
ql/math/solvers1d/bisection.hpp | 2 +-
ql/math/solvers1d/brent.hpp | 2 +-
ql/math/solvers1d/falseposition.hpp | 2 +-
ql/math/solvers1d/finitedifferencenewtonsafe.hpp | 2 +-
ql/math/solvers1d/halley.hpp | 2 +-
ql/math/solvers1d/newton.hpp | 2 +-
ql/math/solvers1d/newtonsafe.hpp | 2 +-
ql/math/solvers1d/ridder.hpp | 2 +-
ql/math/solvers1d/secant.hpp | 2 +-
ql/math/statistics/convergencestatistics.hpp | 2 +-
ql/math/statistics/discrepancystatistics.cpp | 2 +-
ql/math/statistics/discrepancystatistics.hpp | 2 +-
ql/math/statistics/gaussianstatistics.hpp | 2 +-
ql/math/statistics/generalstatistics.cpp | 2 +-
ql/math/statistics/generalstatistics.hpp | 2 +-
ql/math/statistics/histogram.cpp | 2 +-
ql/math/statistics/histogram.hpp | 2 +-
ql/math/statistics/incrementalstatistics.cpp | 2 +-
ql/math/statistics/incrementalstatistics.hpp | 2 +-
ql/math/statistics/riskstatistics.hpp | 2 +-
ql/math/statistics/sequencestatistics.hpp | 2 +-
ql/math/statistics/statistics.hpp | 2 +-
ql/math/transformedgrid.hpp | 2 +-
ql/mathconstants.hpp | 2 +-
ql/methods/finitedifferences/boundarycondition.cpp | 2 +-
ql/methods/finitedifferences/boundarycondition.hpp | 2 +-
ql/methods/finitedifferences/bsmoperator.cpp | 2 +-
ql/methods/finitedifferences/bsmoperator.hpp | 2 +-
ql/methods/finitedifferences/bsmtermoperator.hpp | 2 +-
ql/methods/finitedifferences/cranknicolson.hpp | 2 +-
ql/methods/finitedifferences/dminus.hpp | 2 +-
ql/methods/finitedifferences/dplus.hpp | 2 +-
ql/methods/finitedifferences/dplusdminus.hpp | 2 +-
ql/methods/finitedifferences/dzero.hpp | 2 +-
ql/methods/finitedifferences/expliciteuler.hpp | 2 +-
ql/methods/finitedifferences/fdtypedefs.hpp | 2 +-
ql/methods/finitedifferences/finitedifferencemodel.hpp | 2 +-
ql/methods/finitedifferences/impliciteuler.hpp | 2 +-
ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp | 2 +-
ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/exponentialjump1dmesher.cpp | 2 +-
ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/fdm1dmesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp | 2 +-
ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp | 2 +-
.../finitedifferences/meshers/fdmblackscholesmultistrikemesher.cpp | 2 +-
.../finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/fdmcev1dmesher.cpp | 2 +-
ql/methods/finitedifferences/meshers/fdmcev1dmesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.cpp | 2 +-
ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/fdmmesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp | 2 +-
ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp | 2 +-
ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.cpp | 2 +-
ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/predefined1dmesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/uniform1dmesher.hpp | 2 +-
ql/methods/finitedifferences/meshers/uniformgridmesher.cpp | 2 +-
ql/methods/finitedifferences/meshers/uniformgridmesher.hpp | 2 +-
ql/methods/finitedifferences/mixedscheme.hpp | 2 +-
ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmbatesop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmbatesop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmblackscholesfwdop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmblackscholesfwdop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmblackscholesop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmblackscholesop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmcevop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmcevop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmcirop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmcirop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmg2op.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmg2op.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmhestonfwdop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmhestonfwdop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmhestonop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmhestonop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmhullwhiteop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmhullwhiteop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmlinearop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmlinearoplayout.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmlocalvolfwdop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmlocalvolfwdop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmornsteinuhlenbeckop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmsabrop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmsabrop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmsquarerootfwdop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmsquarerootfwdop.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmwienerop.cpp | 2 +-
ql/methods/finitedifferences/operators/fdmwienerop.hpp | 2 +-
ql/methods/finitedifferences/operators/firstderivativeop.cpp | 2 +-
ql/methods/finitedifferences/operators/firstderivativeop.hpp | 2 +-
ql/methods/finitedifferences/operators/modtriplebandlinearop.hpp | 2 +-
ql/methods/finitedifferences/operators/ninepointlinearop.cpp | 2 +-
ql/methods/finitedifferences/operators/ninepointlinearop.hpp | 2 +-
ql/methods/finitedifferences/operators/nthorderderivativeop.cpp | 2 +-
ql/methods/finitedifferences/operators/nthorderderivativeop.hpp | 2 +-
ql/methods/finitedifferences/operators/numericaldifferentiation.cpp | 2 +-
ql/methods/finitedifferences/operators/numericaldifferentiation.hpp | 2 +-
ql/methods/finitedifferences/operators/secondderivativeop.cpp | 2 +-
ql/methods/finitedifferences/operators/secondderivativeop.hpp | 2 +-
ql/methods/finitedifferences/operators/secondordermixedderivativeop.cpp | 2 +-
ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp | 2 +-
ql/methods/finitedifferences/operators/triplebandlinearop.cpp | 2 +-
ql/methods/finitedifferences/operators/triplebandlinearop.hpp | 2 +-
ql/methods/finitedifferences/operatortraits.hpp | 2 +-
ql/methods/finitedifferences/parallelevolver.hpp | 2 +-
ql/methods/finitedifferences/pde.hpp | 2 +-
ql/methods/finitedifferences/pdebsm.hpp | 2 +-
ql/methods/finitedifferences/schemes/boundaryconditionschemehelper.hpp | 2 +-
ql/methods/finitedifferences/schemes/craigsneydscheme.cpp | 2 +-
ql/methods/finitedifferences/schemes/craigsneydscheme.hpp | 2 +-
ql/methods/finitedifferences/schemes/cranknicolsonscheme.cpp | 2 +-
ql/methods/finitedifferences/schemes/cranknicolsonscheme.hpp | 2 +-
ql/methods/finitedifferences/schemes/douglasscheme.cpp | 2 +-
ql/methods/finitedifferences/schemes/douglasscheme.hpp | 2 +-
ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp | 2 +-
ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp | 2 +-
ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp | 2 +-
ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp | 2 +-
ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp | 2 +-
ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp | 2 +-
ql/methods/finitedifferences/schemes/methodoflinesscheme.cpp | 2 +-
ql/methods/finitedifferences/schemes/methodoflinesscheme.hpp | 2 +-
ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp | 2 +-
ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp | 2 +-
ql/methods/finitedifferences/schemes/trbdf2scheme.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdm1dimsolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdm1dimsolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdm3dimsolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmbatessolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmbatessolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmcirsolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmcirsolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmg2solver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmg2solver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmhestonsolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmhullwhitesolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmhullwhitesolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmndimsolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp | 2 +-
ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp | 2 +-
ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp | 2 +-
ql/methods/finitedifferences/stepcondition.hpp | 2 +-
.../finitedifferences/stepconditions/fdmamericanstepcondition.cpp | 2 +-
.../finitedifferences/stepconditions/fdmamericanstepcondition.hpp | 2 +-
.../finitedifferences/stepconditions/fdmarithmeticaveragecondition.cpp | 2 +-
.../finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp | 2 +-
.../finitedifferences/stepconditions/fdmbermudanstepcondition.cpp | 2 +-
.../finitedifferences/stepconditions/fdmbermudanstepcondition.hpp | 2 +-
.../finitedifferences/stepconditions/fdmsimplestoragecondition.cpp | 2 +-
.../finitedifferences/stepconditions/fdmsimplestoragecondition.hpp | 2 +-
ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.cpp | 2 +-
ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp | 2 +-
ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.cpp | 2 +-
ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp | 2 +-
.../finitedifferences/stepconditions/fdmstepconditioncomposite.cpp | 2 +-
.../finitedifferences/stepconditions/fdmstepconditioncomposite.hpp | 2 +-
ql/methods/finitedifferences/trbdf2.hpp | 2 +-
ql/methods/finitedifferences/tridiagonaloperator.cpp | 2 +-
ql/methods/finitedifferences/tridiagonaloperator.hpp | 2 +-
ql/methods/finitedifferences/utilities/bsmrndcalculator.cpp | 2 +-
ql/methods/finitedifferences/utilities/bsmrndcalculator.hpp | 2 +-
ql/methods/finitedifferences/utilities/cevrndcalculator.cpp | 2 +-
ql/methods/finitedifferences/utilities/cevrndcalculator.hpp | 2 +-
ql/methods/finitedifferences/utilities/escroweddividendadjustment.cpp | 2 +-
ql/methods/finitedifferences/utilities/escroweddividendadjustment.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmaffinemodelswapinnervalue.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmaffinemodeltermstructure.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmboundaryconditionset.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmdiscountdirichletboundary.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmdiscountdirichletboundary.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmdividendhandler.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp | 2 +-
.../finitedifferences/utilities/fdmescrowedloginnervaluecalculator.cpp | 2 +-
.../finitedifferences/utilities/fdmescrowedloginnervaluecalculator.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmhestongreensfct.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmhestongreensfct.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmindicesonboundary.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmindicesonboundary.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmmesherintegral.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmmesherintegral.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmquantohelper.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmquantohelper.hpp | 2 +-
.../finitedifferences/utilities/fdmshoutloginnervaluecalculator.cpp | 2 +-
.../finitedifferences/utilities/fdmshoutloginnervaluecalculator.hpp | 2 +-
ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.cpp | 2 +-
ql/methods/finitedifferences/utilities/fdmtimedepdirichletboundary.hpp | 2 +-
ql/methods/finitedifferences/utilities/gbsmrndcalculator.cpp | 2 +-
ql/methods/finitedifferences/utilities/gbsmrndcalculator.hpp | 2 +-
ql/methods/finitedifferences/utilities/hestonrndcalculator.cpp | 2 +-
ql/methods/finitedifferences/utilities/hestonrndcalculator.hpp | 2 +-
ql/methods/finitedifferences/utilities/localvolrndcalculator.cpp | 2 +-
ql/methods/finitedifferences/utilities/localvolrndcalculator.hpp | 2 +-
ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.cpp | 2 +-
ql/methods/finitedifferences/utilities/riskneutraldensitycalculator.hpp | 2 +-
.../finitedifferences/utilities/squarerootprocessrndcalculator.cpp | 2 +-
.../finitedifferences/utilities/squarerootprocessrndcalculator.hpp | 2 +-
ql/methods/finitedifferences/zerocondition.hpp | 2 +-
ql/methods/lattices/binomialtree.cpp | 2 +-
ql/methods/lattices/binomialtree.hpp | 2 +-
ql/methods/lattices/bsmlattice.hpp | 2 +-
ql/methods/lattices/lattice.hpp | 2 +-
ql/methods/lattices/lattice1d.hpp | 2 +-
ql/methods/lattices/lattice2d.hpp | 2 +-
ql/methods/lattices/tflattice.hpp | 2 +-
ql/methods/lattices/tree.hpp | 2 +-
ql/methods/lattices/trinomialtree.cpp | 2 +-
ql/methods/lattices/trinomialtree.hpp | 2 +-
ql/methods/montecarlo/brownianbridge.cpp | 2 +-
ql/methods/montecarlo/brownianbridge.hpp | 2 +-
ql/methods/montecarlo/earlyexercisepathpricer.hpp | 2 +-
ql/methods/montecarlo/exercisestrategy.hpp | 2 +-
ql/methods/montecarlo/genericlsregression.cpp | 2 +-
ql/methods/montecarlo/genericlsregression.hpp | 2 +-
ql/methods/montecarlo/longstaffschwartzpathpricer.hpp | 2 +-
ql/methods/montecarlo/lsmbasissystem.cpp | 2 +-
ql/methods/montecarlo/lsmbasissystem.hpp | 2 +-
ql/methods/montecarlo/mctraits.hpp | 2 +-
ql/methods/montecarlo/montecarlomodel.hpp | 2 +-
ql/methods/montecarlo/multipath.hpp | 2 +-
ql/methods/montecarlo/multipathgenerator.hpp | 2 +-
ql/methods/montecarlo/nodedata.hpp | 2 +-
ql/methods/montecarlo/parametricexercise.cpp | 2 +-
ql/methods/montecarlo/parametricexercise.hpp | 2 +-
ql/methods/montecarlo/path.hpp | 2 +-
ql/methods/montecarlo/pathgenerator.hpp | 2 +-
ql/methods/montecarlo/pathpricer.hpp | 2 +-
ql/methods/montecarlo/sample.hpp | 2 +-
ql/models/calibrationhelper.cpp | 2 +-
ql/models/calibrationhelper.hpp | 2 +-
ql/models/equity/batesmodel.cpp | 2 +-
ql/models/equity/batesmodel.hpp | 2 +-
ql/models/equity/gjrgarchmodel.cpp | 2 +-
ql/models/equity/gjrgarchmodel.hpp | 2 +-
ql/models/equity/hestonmodel.cpp | 2 +-
ql/models/equity/hestonmodel.hpp | 2 +-
ql/models/equity/hestonmodelhelper.cpp | 2 +-
ql/models/equity/hestonmodelhelper.hpp | 2 +-
ql/models/equity/hestonslvfdmmodel.cpp | 2 +-
ql/models/equity/hestonslvfdmmodel.hpp | 2 +-
ql/models/equity/hestonslvmcmodel.cpp | 2 +-
ql/models/equity/hestonslvmcmodel.hpp | 2 +-
ql/models/equity/piecewisetimedependenthestonmodel.cpp | 2 +-
ql/models/equity/piecewisetimedependenthestonmodel.hpp | 2 +-
ql/models/marketmodels/accountingengine.cpp | 2 +-
ql/models/marketmodels/accountingengine.hpp | 2 +-
ql/models/marketmodels/browniangenerator.hpp | 2 +-
ql/models/marketmodels/browniangenerators/mtbrowniangenerator.cpp | 2 +-
ql/models/marketmodels/browniangenerators/mtbrowniangenerator.hpp | 2 +-
ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp | 2 +-
ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp | 2 +-
ql/models/marketmodels/callability/bermudanswaptionexercisevalue.cpp | 2 +-
ql/models/marketmodels/callability/bermudanswaptionexercisevalue.hpp | 2 +-
ql/models/marketmodels/callability/collectnodedata.cpp | 2 +-
ql/models/marketmodels/callability/collectnodedata.hpp | 2 +-
ql/models/marketmodels/callability/exercisevalue.hpp | 2 +-
ql/models/marketmodels/callability/lsstrategy.cpp | 2 +-
ql/models/marketmodels/callability/lsstrategy.hpp | 2 +-
ql/models/marketmodels/callability/marketmodelbasissystem.hpp | 2 +-
ql/models/marketmodels/callability/marketmodelparametricexercise.hpp | 2 +-
ql/models/marketmodels/callability/nodedataprovider.hpp | 2 +-
ql/models/marketmodels/callability/nothingexercisevalue.cpp | 2 +-
ql/models/marketmodels/callability/nothingexercisevalue.hpp | 2 +-
ql/models/marketmodels/callability/parametricexerciseadapter.cpp | 2 +-
ql/models/marketmodels/callability/parametricexerciseadapter.hpp | 2 +-
ql/models/marketmodels/callability/swapbasissystem.cpp | 2 +-
ql/models/marketmodels/callability/swapbasissystem.hpp | 2 +-
ql/models/marketmodels/callability/swapforwardbasissystem.cpp | 2 +-
ql/models/marketmodels/callability/swapforwardbasissystem.hpp | 2 +-
ql/models/marketmodels/callability/swapratetrigger.cpp | 2 +-
ql/models/marketmodels/callability/swapratetrigger.hpp | 2 +-
ql/models/marketmodels/callability/triggeredswapexercise.cpp | 2 +-
ql/models/marketmodels/callability/triggeredswapexercise.hpp | 2 +-
ql/models/marketmodels/callability/upperboundengine.cpp | 2 +-
ql/models/marketmodels/callability/upperboundengine.hpp | 2 +-
ql/models/marketmodels/constrainedevolver.hpp | 2 +-
ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.cpp | 2 +-
ql/models/marketmodels/correlations/cotswapfromfwdcorrelation.hpp | 2 +-
ql/models/marketmodels/correlations/expcorrelations.cpp | 2 +-
ql/models/marketmodels/correlations/expcorrelations.hpp | 2 +-
.../marketmodels/correlations/timehomogeneousforwardcorrelation.cpp | 2 +-
.../marketmodels/correlations/timehomogeneousforwardcorrelation.hpp | 2 +-
ql/models/marketmodels/curvestate.cpp | 2 +-
ql/models/marketmodels/curvestate.hpp | 2 +-
ql/models/marketmodels/curvestates/cmswapcurvestate.cpp | 2 +-
ql/models/marketmodels/curvestates/cmswapcurvestate.hpp | 2 +-
ql/models/marketmodels/curvestates/coterminalswapcurvestate.cpp | 2 +-
ql/models/marketmodels/curvestates/coterminalswapcurvestate.hpp | 2 +-
ql/models/marketmodels/curvestates/lmmcurvestate.cpp | 2 +-
ql/models/marketmodels/curvestates/lmmcurvestate.hpp | 2 +-
ql/models/marketmodels/discounter.cpp | 2 +-
ql/models/marketmodels/discounter.hpp | 2 +-
ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.cpp | 2 +-
ql/models/marketmodels/driftcomputation/cmsmmdriftcalculator.hpp | 2 +-
ql/models/marketmodels/driftcomputation/lmmdriftcalculator.cpp | 2 +-
ql/models/marketmodels/driftcomputation/lmmdriftcalculator.hpp | 2 +-
ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.cpp | 2 +-
ql/models/marketmodels/driftcomputation/lmmnormaldriftcalculator.hpp | 2 +-
ql/models/marketmodels/driftcomputation/smmdriftcalculator.cpp | 2 +-
ql/models/marketmodels/driftcomputation/smmdriftcalculator.hpp | 2 +-
ql/models/marketmodels/evolutiondescription.cpp | 2 +-
ql/models/marketmodels/evolutiondescription.hpp | 2 +-
ql/models/marketmodels/evolver.hpp | 2 +-
ql/models/marketmodels/evolvers/lognormalcmswapratepc.cpp | 2 +-
ql/models/marketmodels/evolvers/lognormalcmswapratepc.hpp | 2 +-
ql/models/marketmodels/evolvers/lognormalcotswapratepc.cpp | 2 +-
ql/models/marketmodels/evolvers/lognormalcotswapratepc.hpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateeuler.cpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateeuler.hpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.cpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateipc.cpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdrateipc.hpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdratepc.cpp | 2 +-
ql/models/marketmodels/evolvers/lognormalfwdratepc.hpp | 2 +-
ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp | 2 +-
ql/models/marketmodels/evolvers/normalfwdratepc.cpp | 2 +-
ql/models/marketmodels/evolvers/normalfwdratepc.hpp | 2 +-
ql/models/marketmodels/evolvers/svddfwdratepc.cpp | 2 +-
ql/models/marketmodels/evolvers/svddfwdratepc.hpp | 2 +-
ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.cpp | 2 +-
ql/models/marketmodels/evolvers/volprocesses/squarerootandersen.hpp | 2 +-
ql/models/marketmodels/forwardforwardmappings.cpp | 2 +-
ql/models/marketmodels/forwardforwardmappings.hpp | 2 +-
ql/models/marketmodels/historicalforwardratesanalysis.hpp | 2 +-
ql/models/marketmodels/historicalratesanalysis.cpp | 2 +-
ql/models/marketmodels/historicalratesanalysis.hpp | 2 +-
ql/models/marketmodels/marketmodel.cpp | 2 +-
ql/models/marketmodels/marketmodel.hpp | 2 +-
ql/models/marketmodels/marketmodeldifferences.cpp | 2 +-
ql/models/marketmodels/marketmodeldifferences.hpp | 2 +-
ql/models/marketmodels/models/abcdvol.cpp | 2 +-
ql/models/marketmodels/models/abcdvol.hpp | 2 +-
ql/models/marketmodels/models/alphafinder.cpp | 2 +-
ql/models/marketmodels/models/alphafinder.hpp | 2 +-
ql/models/marketmodels/models/alphaform.hpp | 2 +-
ql/models/marketmodels/models/alphaformconcrete.cpp | 2 +-
ql/models/marketmodels/models/alphaformconcrete.hpp | 2 +-
ql/models/marketmodels/models/capletcoterminalalphacalibration.cpp | 2 +-
ql/models/marketmodels/models/capletcoterminalalphacalibration.hpp | 2 +-
ql/models/marketmodels/models/capletcoterminalmaxhomogeneity.cpp | 2 +-
ql/models/marketmodels/models/capletcoterminalmaxhomogeneity.hpp | 2 +-
ql/models/marketmodels/models/capletcoterminalperiodic.cpp | 2 +-
ql/models/marketmodels/models/capletcoterminalperiodic.hpp | 2 +-
ql/models/marketmodels/models/capletcoterminalswaptioncalibration.cpp | 2 +-
ql/models/marketmodels/models/capletcoterminalswaptioncalibration.hpp | 2 +-
ql/models/marketmodels/models/cotswaptofwdadapter.cpp | 2 +-
ql/models/marketmodels/models/cotswaptofwdadapter.hpp | 2 +-
ql/models/marketmodels/models/ctsmmcapletcalibration.cpp | 2 +-
ql/models/marketmodels/models/ctsmmcapletcalibration.hpp | 2 +-
ql/models/marketmodels/models/flatvol.cpp | 2 +-
ql/models/marketmodels/models/flatvol.hpp | 2 +-
ql/models/marketmodels/models/fwdperiodadapter.cpp | 2 +-
ql/models/marketmodels/models/fwdperiodadapter.hpp | 2 +-
ql/models/marketmodels/models/fwdtocotswapadapter.cpp | 2 +-
ql/models/marketmodels/models/fwdtocotswapadapter.hpp | 2 +-
ql/models/marketmodels/models/piecewiseconstantabcdvariance.cpp | 2 +-
ql/models/marketmodels/models/piecewiseconstantabcdvariance.hpp | 2 +-
ql/models/marketmodels/models/piecewiseconstantvariance.cpp | 2 +-
ql/models/marketmodels/models/piecewiseconstantvariance.hpp | 2 +-
ql/models/marketmodels/models/pseudorootfacade.cpp | 2 +-
ql/models/marketmodels/models/pseudorootfacade.hpp | 2 +-
ql/models/marketmodels/models/volatilityinterpolationspecifier.hpp | 2 +-
ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.cpp | 2 +-
ql/models/marketmodels/models/volatilityinterpolationspecifierabcd.hpp | 2 +-
ql/models/marketmodels/multiproduct.hpp | 2 +-
ql/models/marketmodels/pathwiseaccountingengine.cpp | 2 +-
ql/models/marketmodels/pathwiseaccountingengine.hpp | 2 +-
ql/models/marketmodels/pathwisediscounter.cpp | 2 +-
ql/models/marketmodels/pathwisediscounter.hpp | 2 +-
ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.cpp | 2 +-
ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp | 2 +-
ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.cpp | 2 +-
ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.hpp | 2 +-
ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.cpp | 2 +-
ql/models/marketmodels/pathwisegreeks/swaptionpseudojacobian.hpp | 2 +-
ql/models/marketmodels/pathwisegreeks/vegabumpcluster.cpp | 2 +-
ql/models/marketmodels/pathwisegreeks/vegabumpcluster.hpp | 2 +-
ql/models/marketmodels/pathwisemultiproduct.hpp | 2 +-
ql/models/marketmodels/piecewiseconstantcorrelation.hpp | 2 +-
ql/models/marketmodels/products/compositeproduct.cpp | 2 +-
ql/models/marketmodels/products/compositeproduct.hpp | 2 +-
ql/models/marketmodels/products/multiproductcomposite.cpp | 2 +-
ql/models/marketmodels/products/multiproductcomposite.hpp | 2 +-
ql/models/marketmodels/products/multiproductmultistep.cpp | 2 +-
ql/models/marketmodels/products/multiproductmultistep.hpp | 2 +-
ql/models/marketmodels/products/multiproductonestep.cpp | 2 +-
ql/models/marketmodels/products/multiproductonestep.hpp | 2 +-
ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.cpp | 2 +-
ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.hpp | 2 +-
ql/models/marketmodels/products/multistep/cashrebate.cpp | 2 +-
ql/models/marketmodels/products/multistep/cashrebate.hpp | 2 +-
ql/models/marketmodels/products/multistep/exerciseadapter.cpp | 2 +-
ql/models/marketmodels/products/multistep/exerciseadapter.hpp | 2 +-
ql/models/marketmodels/products/multistep/multistepcoinitialswaps.cpp | 2 +-
ql/models/marketmodels/products/multistep/multistepcoinitialswaps.hpp | 2 +-
ql/models/marketmodels/products/multistep/multistepcoterminalswaps.cpp | 2 +-
ql/models/marketmodels/products/multistep/multistepcoterminalswaps.hpp | 2 +-
.../marketmodels/products/multistep/multistepcoterminalswaptions.cpp | 2 +-
.../marketmodels/products/multistep/multistepcoterminalswaptions.hpp | 2 +-
ql/models/marketmodels/products/multistep/multistepforwards.cpp | 2 +-
ql/models/marketmodels/products/multistep/multistepforwards.hpp | 2 +-
ql/models/marketmodels/products/multistep/multistepinversefloater.cpp | 2 +-
ql/models/marketmodels/products/multistep/multistepinversefloater.hpp | 2 +-
ql/models/marketmodels/products/multistep/multistepnothing.cpp | 2 +-
ql/models/marketmodels/products/multistep/multistepnothing.hpp | 2 +-
ql/models/marketmodels/products/multistep/multistepoptionlets.cpp | 2 +-
ql/models/marketmodels/products/multistep/multistepoptionlets.hpp | 2 +-
ql/models/marketmodels/products/multistep/multisteppathwisewrapper.cpp | 2 +-
ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp | 2 +-
.../marketmodels/products/multistep/multistepperiodcapletswaptions.cpp | 2 +-
.../marketmodels/products/multistep/multistepperiodcapletswaptions.hpp | 2 +-
ql/models/marketmodels/products/multistep/multistepratchet.cpp | 2 +-
ql/models/marketmodels/products/multistep/multistepratchet.hpp | 2 +-
ql/models/marketmodels/products/multistep/multistepswap.cpp | 2 +-
ql/models/marketmodels/products/multistep/multistepswap.hpp | 2 +-
ql/models/marketmodels/products/multistep/multistepswaption.cpp | 2 +-
ql/models/marketmodels/products/multistep/multistepswaption.hpp | 2 +-
ql/models/marketmodels/products/multistep/multisteptarn.cpp | 2 +-
ql/models/marketmodels/products/multistep/multisteptarn.hpp | 2 +-
ql/models/marketmodels/products/onestep/onestepcoinitialswaps.cpp | 2 +-
ql/models/marketmodels/products/onestep/onestepcoinitialswaps.hpp | 2 +-
ql/models/marketmodels/products/onestep/onestepcoterminalswaps.cpp | 2 +-
ql/models/marketmodels/products/onestep/onestepcoterminalswaps.hpp | 2 +-
ql/models/marketmodels/products/onestep/onestepforwards.cpp | 2 +-
ql/models/marketmodels/products/onestep/onestepforwards.hpp | 2 +-
ql/models/marketmodels/products/onestep/onestepoptionlets.cpp | 2 +-
ql/models/marketmodels/products/onestep/onestepoptionlets.hpp | 2 +-
.../marketmodels/products/pathwise/pathwiseproductcallspecified.cpp | 2 +-
.../marketmodels/products/pathwise/pathwiseproductcallspecified.hpp | 2 +-
ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.cpp | 2 +-
ql/models/marketmodels/products/pathwise/pathwiseproductcaplet.hpp | 2 +-
ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.cpp | 2 +-
ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp | 2 +-
.../marketmodels/products/pathwise/pathwiseproductinversefloater.cpp | 2 +-
.../marketmodels/products/pathwise/pathwiseproductinversefloater.hpp | 2 +-
ql/models/marketmodels/products/pathwise/pathwiseproductswap.cpp | 2 +-
ql/models/marketmodels/products/pathwise/pathwiseproductswap.hpp | 2 +-
ql/models/marketmodels/products/pathwise/pathwiseproductswaption.cpp | 2 +-
ql/models/marketmodels/products/pathwise/pathwiseproductswaption.hpp | 2 +-
ql/models/marketmodels/products/singleproductcomposite.cpp | 2 +-
ql/models/marketmodels/products/singleproductcomposite.hpp | 2 +-
ql/models/marketmodels/proxygreekengine.cpp | 2 +-
ql/models/marketmodels/proxygreekengine.hpp | 2 +-
ql/models/marketmodels/swapforwardmappings.cpp | 2 +-
ql/models/marketmodels/swapforwardmappings.hpp | 2 +-
ql/models/marketmodels/utilities.cpp | 2 +-
ql/models/marketmodels/utilities.hpp | 2 +-
ql/models/model.cpp | 2 +-
ql/models/model.hpp | 2 +-
ql/models/parameter.hpp | 2 +-
ql/models/shortrate/calibrationhelpers/caphelper.cpp | 2 +-
ql/models/shortrate/calibrationhelpers/caphelper.hpp | 2 +-
ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp | 2 +-
ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp | 2 +-
ql/models/shortrate/onefactormodel.cpp | 2 +-
ql/models/shortrate/onefactormodel.hpp | 2 +-
ql/models/shortrate/onefactormodels/blackkarasinski.cpp | 2 +-
ql/models/shortrate/onefactormodels/blackkarasinski.hpp | 2 +-
ql/models/shortrate/onefactormodels/coxingersollross.cpp | 2 +-
ql/models/shortrate/onefactormodels/coxingersollross.hpp | 2 +-
ql/models/shortrate/onefactormodels/extendedcoxingersollross.cpp | 2 +-
ql/models/shortrate/onefactormodels/extendedcoxingersollross.hpp | 2 +-
ql/models/shortrate/onefactormodels/gaussian1dmodel.cpp | 2 +-
ql/models/shortrate/onefactormodels/gaussian1dmodel.hpp | 2 +-
ql/models/shortrate/onefactormodels/gsr.cpp | 2 +-
ql/models/shortrate/onefactormodels/gsr.hpp | 2 +-
ql/models/shortrate/onefactormodels/hullwhite.cpp | 2 +-
ql/models/shortrate/onefactormodels/hullwhite.hpp | 2 +-
ql/models/shortrate/onefactormodels/markovfunctional.cpp | 2 +-
ql/models/shortrate/onefactormodels/markovfunctional.hpp | 2 +-
ql/models/shortrate/onefactormodels/vasicek.cpp | 2 +-
ql/models/shortrate/onefactormodels/vasicek.hpp | 2 +-
ql/models/shortrate/twofactormodel.cpp | 2 +-
ql/models/shortrate/twofactormodel.hpp | 2 +-
ql/models/shortrate/twofactormodels/g2.cpp | 2 +-
ql/models/shortrate/twofactormodels/g2.hpp | 2 +-
ql/models/volatility/constantestimator.cpp | 2 +-
ql/models/volatility/constantestimator.hpp | 2 +-
ql/models/volatility/garch.cpp | 2 +-
ql/models/volatility/garch.hpp | 2 +-
ql/models/volatility/garmanklass.hpp | 2 +-
ql/models/volatility/simplelocalestimator.hpp | 2 +-
ql/money.cpp | 2 +-
ql/money.hpp | 2 +-
ql/numericalmethod.hpp | 2 +-
ql/option.hpp | 2 +-
ql/optional.hpp | 2 +-
ql/patterns/curiouslyrecurring.hpp | 2 +-
ql/patterns/lazyobject.hpp | 2 +-
ql/patterns/observable.cpp | 2 +-
ql/patterns/observable.hpp | 2 +-
ql/patterns/singleton.hpp | 2 +-
ql/patterns/visitor.hpp | 2 +-
ql/payoff.hpp | 2 +-
ql/position.cpp | 2 +-
ql/position.hpp | 2 +-
ql/prices.cpp | 2 +-
ql/prices.hpp | 2 +-
ql/pricingengine.hpp | 2 +-
ql/pricingengines/americanpayoffatexpiry.cpp | 2 +-
ql/pricingengines/americanpayoffatexpiry.hpp | 2 +-
ql/pricingengines/americanpayoffathit.cpp | 2 +-
ql/pricingengines/americanpayoffathit.hpp | 2 +-
ql/pricingengines/asian/analytic_cont_geom_av_price.cpp | 2 +-
ql/pricingengines/asian/analytic_cont_geom_av_price.hpp | 2 +-
ql/pricingengines/asian/analytic_discr_geom_av_price.cpp | 2 +-
ql/pricingengines/asian/analytic_discr_geom_av_price.hpp | 2 +-
ql/pricingengines/asian/analytic_discr_geom_av_strike.cpp | 2 +-
ql/pricingengines/asian/analytic_discr_geom_av_strike.hpp | 2 +-
ql/pricingengines/asian/choiasianengine.cpp | 2 +-
ql/pricingengines/asian/choiasianengine.hpp | 2 +-
ql/pricingengines/asian/continuousarithmeticasianlevyengine.cpp | 2 +-
ql/pricingengines/asian/continuousarithmeticasianlevyengine.hpp | 2 +-
ql/pricingengines/asian/fdblackscholesasianengine.cpp | 2 +-
ql/pricingengines/asian/fdblackscholesasianengine.hpp | 2 +-
ql/pricingengines/asian/mc_discr_arith_av_price.cpp | 2 +-
ql/pricingengines/asian/mc_discr_arith_av_price.hpp | 2 +-
ql/pricingengines/asian/mc_discr_arith_av_price_heston.cpp | 2 +-
ql/pricingengines/asian/mc_discr_arith_av_price_heston.hpp | 2 +-
ql/pricingengines/asian/mc_discr_arith_av_strike.cpp | 2 +-
ql/pricingengines/asian/mc_discr_arith_av_strike.hpp | 2 +-
ql/pricingengines/asian/mc_discr_geom_av_price.cpp | 2 +-
ql/pricingengines/asian/mc_discr_geom_av_price.hpp | 2 +-
ql/pricingengines/asian/mc_discr_geom_av_price_heston.cpp | 2 +-
ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp | 2 +-
ql/pricingengines/asian/mcdiscreteasianenginebase.hpp | 2 +-
ql/pricingengines/asian/turnbullwakemanasianengine.cpp | 2 +-
ql/pricingengines/asian/turnbullwakemanasianengine.hpp | 2 +-
ql/pricingengines/barrier/analyticbarrierengine.cpp | 2 +-
ql/pricingengines/barrier/analyticbarrierengine.hpp | 2 +-
ql/pricingengines/barrier/analyticbinarybarrierengine.cpp | 2 +-
ql/pricingengines/barrier/analyticbinarybarrierengine.hpp | 2 +-
ql/pricingengines/barrier/analyticdoublebarrierbinaryengine.cpp | 2 +-
ql/pricingengines/barrier/analyticdoublebarrierbinaryengine.hpp | 2 +-
ql/pricingengines/barrier/analyticdoublebarrierengine.cpp | 2 +-
ql/pricingengines/barrier/analyticdoublebarrierengine.hpp | 2 +-
ql/pricingengines/barrier/analyticpartialtimebarrieroptionengine.cpp | 2 +-
ql/pricingengines/barrier/analyticpartialtimebarrieroptionengine.hpp | 2 +-
ql/pricingengines/barrier/analyticsoftbarrierengine.cpp | 2 +-
ql/pricingengines/barrier/analyticsoftbarrierengine.hpp | 2 +-
ql/pricingengines/barrier/analytictwoassetbarrierengine.cpp | 2 +-
ql/pricingengines/barrier/analytictwoassetbarrierengine.hpp | 2 +-
ql/pricingengines/barrier/binomialbarrierengine.hpp | 2 +-
ql/pricingengines/barrier/discretizedbarrieroption.cpp | 2 +-
ql/pricingengines/barrier/discretizedbarrieroption.hpp | 2 +-
ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp | 2 +-
ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp | 2 +-
ql/pricingengines/barrier/fdblackscholesrebateengine.cpp | 2 +-
ql/pricingengines/barrier/fdblackscholesrebateengine.hpp | 2 +-
ql/pricingengines/barrier/fdhestonbarrierengine.cpp | 2 +-
ql/pricingengines/barrier/fdhestonbarrierengine.hpp | 2 +-
ql/pricingengines/barrier/fdhestondoublebarrierengine.cpp | 2 +-
ql/pricingengines/barrier/fdhestondoublebarrierengine.hpp | 2 +-
ql/pricingengines/barrier/fdhestonrebateengine.cpp | 2 +-
ql/pricingengines/barrier/fdhestonrebateengine.hpp | 2 +-
ql/pricingengines/barrier/mcbarrierengine.cpp | 2 +-
ql/pricingengines/barrier/mcbarrierengine.hpp | 2 +-
ql/pricingengines/basket/bjerksundstenslandspreadengine.cpp | 2 +-
ql/pricingengines/basket/bjerksundstenslandspreadengine.hpp | 2 +-
ql/pricingengines/basket/choibasketengine.cpp | 2 +-
ql/pricingengines/basket/choibasketengine.hpp | 2 +-
ql/pricingengines/basket/denglizhoubasketengine.cpp | 2 +-
ql/pricingengines/basket/denglizhoubasketengine.hpp | 2 +-
ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp | 2 +-
ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp | 2 +-
ql/pricingengines/basket/fdndimblackscholesvanillaengine.cpp | 2 +-
ql/pricingengines/basket/fdndimblackscholesvanillaengine.hpp | 2 +-
ql/pricingengines/basket/kirkengine.cpp | 2 +-
ql/pricingengines/basket/kirkengine.hpp | 2 +-
ql/pricingengines/basket/mcamericanbasketengine.cpp | 2 +-
ql/pricingengines/basket/mcamericanbasketengine.hpp | 2 +-
ql/pricingengines/basket/mceuropeanbasketengine.cpp | 2 +-
ql/pricingengines/basket/mceuropeanbasketengine.hpp | 2 +-
ql/pricingengines/basket/operatorsplittingspreadengine.cpp | 2 +-
ql/pricingengines/basket/operatorsplittingspreadengine.hpp | 2 +-
ql/pricingengines/basket/singlefactorbsmbasketengine.cpp | 2 +-
ql/pricingengines/basket/singlefactorbsmbasketengine.hpp | 2 +-
ql/pricingengines/basket/spreadblackscholesvanillaengine.cpp | 2 +-
ql/pricingengines/basket/spreadblackscholesvanillaengine.hpp | 2 +-
ql/pricingengines/basket/stulzengine.cpp | 2 +-
ql/pricingengines/basket/stulzengine.hpp | 2 +-
ql/pricingengines/basket/vectorbsmprocessextractor.cpp | 2 +-
ql/pricingengines/basket/vectorbsmprocessextractor.hpp | 2 +-
ql/pricingengines/blackcalculator.cpp | 2 +-
ql/pricingengines/blackcalculator.hpp | 2 +-
ql/pricingengines/blackformula.cpp | 2 +-
ql/pricingengines/blackformula.hpp | 2 +-
ql/pricingengines/blackscholescalculator.cpp | 2 +-
ql/pricingengines/blackscholescalculator.hpp | 2 +-
ql/pricingengines/bond/binomialconvertibleengine.hpp | 2 +-
ql/pricingengines/bond/bondfunctions.cpp | 2 +-
ql/pricingengines/bond/bondfunctions.hpp | 2 +-
ql/pricingengines/bond/discountingbondengine.cpp | 2 +-
ql/pricingengines/bond/discountingbondengine.hpp | 2 +-
ql/pricingengines/bond/discretizedconvertible.cpp | 2 +-
ql/pricingengines/bond/discretizedconvertible.hpp | 2 +-
ql/pricingengines/bond/riskybondengine.cpp | 2 +-
ql/pricingengines/bond/riskybondengine.hpp | 2 +-
ql/pricingengines/capfloor/analyticcapfloorengine.cpp | 2 +-
ql/pricingengines/capfloor/analyticcapfloorengine.hpp | 2 +-
ql/pricingengines/capfloor/bacheliercapfloorengine.cpp | 2 +-
ql/pricingengines/capfloor/bacheliercapfloorengine.hpp | 2 +-
ql/pricingengines/capfloor/blackcapfloorengine.cpp | 2 +-
ql/pricingengines/capfloor/blackcapfloorengine.hpp | 2 +-
ql/pricingengines/capfloor/discretizedcapfloor.cpp | 2 +-
ql/pricingengines/capfloor/discretizedcapfloor.hpp | 2 +-
ql/pricingengines/capfloor/gaussian1dcapfloorengine.cpp | 2 +-
ql/pricingengines/capfloor/gaussian1dcapfloorengine.hpp | 2 +-
ql/pricingengines/capfloor/mchullwhiteengine.cpp | 2 +-
ql/pricingengines/capfloor/mchullwhiteengine.hpp | 2 +-
ql/pricingengines/capfloor/treecapfloorengine.cpp | 2 +-
ql/pricingengines/capfloor/treecapfloorengine.hpp | 2 +-
ql/pricingengines/cliquet/analyticcliquetengine.cpp | 2 +-
ql/pricingengines/cliquet/analyticcliquetengine.hpp | 2 +-
ql/pricingengines/cliquet/analyticperformanceengine.cpp | 2 +-
ql/pricingengines/cliquet/analyticperformanceengine.hpp | 2 +-
ql/pricingengines/cliquet/mcperformanceengine.cpp | 2 +-
ql/pricingengines/cliquet/mcperformanceengine.hpp | 2 +-
ql/pricingengines/credit/integralcdsengine.cpp | 2 +-
ql/pricingengines/credit/integralcdsengine.hpp | 2 +-
ql/pricingengines/credit/isdacdsengine.cpp | 2 +-
ql/pricingengines/credit/isdacdsengine.hpp | 2 +-
ql/pricingengines/credit/midpointcdsengine.cpp | 2 +-
ql/pricingengines/credit/midpointcdsengine.hpp | 2 +-
ql/pricingengines/exotic/analyticamericanmargrabeengine.cpp | 2 +-
ql/pricingengines/exotic/analyticamericanmargrabeengine.hpp | 2 +-
ql/pricingengines/exotic/analyticcomplexchooserengine.cpp | 2 +-
ql/pricingengines/exotic/analyticcomplexchooserengine.hpp | 2 +-
ql/pricingengines/exotic/analyticcompoundoptionengine.cpp | 2 +-
ql/pricingengines/exotic/analyticcompoundoptionengine.hpp | 2 +-
ql/pricingengines/exotic/analyticeuropeanmargrabeengine.cpp | 2 +-
ql/pricingengines/exotic/analyticeuropeanmargrabeengine.hpp | 2 +-
ql/pricingengines/exotic/analyticholderextensibleoptionengine.cpp | 2 +-
ql/pricingengines/exotic/analyticholderextensibleoptionengine.hpp | 2 +-
ql/pricingengines/exotic/analyticsimplechooserengine.cpp | 2 +-
ql/pricingengines/exotic/analyticsimplechooserengine.hpp | 2 +-
ql/pricingengines/exotic/analytictwoassetcorrelationengine.cpp | 2 +-
ql/pricingengines/exotic/analytictwoassetcorrelationengine.hpp | 2 +-
ql/pricingengines/exotic/analyticwriterextensibleoptionengine.cpp | 2 +-
ql/pricingengines/exotic/analyticwriterextensibleoptionengine.hpp | 2 +-
ql/pricingengines/forward/forwardengine.hpp | 2 +-
ql/pricingengines/forward/forwardperformanceengine.hpp | 2 +-
ql/pricingengines/forward/mcforwardeuropeanbsengine.cpp | 2 +-
ql/pricingengines/forward/mcforwardeuropeanbsengine.hpp | 2 +-
ql/pricingengines/forward/mcforwardeuropeanhestonengine.cpp | 2 +-
ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp | 2 +-
ql/pricingengines/forward/mcforwardvanillaengine.hpp | 2 +-
ql/pricingengines/forward/mcvarianceswapengine.hpp | 2 +-
ql/pricingengines/forward/replicatingvarianceswapengine.hpp | 2 +-
ql/pricingengines/genericmodelengine.hpp | 2 +-
ql/pricingengines/greeks.cpp | 2 +-
ql/pricingengines/greeks.hpp | 2 +-
ql/pricingengines/inflation/inflationcapfloorengines.cpp | 2 +-
ql/pricingengines/inflation/inflationcapfloorengines.hpp | 2 +-
ql/pricingengines/latticeshortratemodelengine.hpp | 2 +-
ql/pricingengines/lookback/analyticcontinuousfixedlookback.cpp | 2 +-
ql/pricingengines/lookback/analyticcontinuousfixedlookback.hpp | 2 +-
ql/pricingengines/lookback/analyticcontinuousfloatinglookback.cpp | 2 +-
ql/pricingengines/lookback/analyticcontinuousfloatinglookback.hpp | 2 +-
ql/pricingengines/lookback/analyticcontinuouspartialfixedlookback.cpp | 2 +-
ql/pricingengines/lookback/analyticcontinuouspartialfixedlookback.hpp | 2 +-
.../lookback/analyticcontinuouspartialfloatinglookback.cpp | 2 +-
.../lookback/analyticcontinuouspartialfloatinglookback.hpp | 2 +-
ql/pricingengines/lookback/mclookbackengine.cpp | 2 +-
ql/pricingengines/lookback/mclookbackengine.hpp | 2 +-
ql/pricingengines/mclongstaffschwartzengine.hpp | 2 +-
ql/pricingengines/mcsimulation.hpp | 2 +-
ql/pricingengines/quanto/quantoengine.hpp | 2 +-
ql/pricingengines/swap/cvaswapengine.cpp | 2 +-
ql/pricingengines/swap/cvaswapengine.hpp | 2 +-
ql/pricingengines/swap/discountingswapengine.cpp | 2 +-
ql/pricingengines/swap/discountingswapengine.hpp | 2 +-
ql/pricingengines/swap/discretizedswap.cpp | 2 +-
ql/pricingengines/swap/discretizedswap.hpp | 2 +-
ql/pricingengines/swap/treeswapengine.cpp | 2 +-
ql/pricingengines/swap/treeswapengine.hpp | 2 +-
ql/pricingengines/swaption/basketgeneratingengine.cpp | 2 +-
ql/pricingengines/swaption/basketgeneratingengine.hpp | 2 +-
ql/pricingengines/swaption/blackswaptionengine.cpp | 2 +-
ql/pricingengines/swaption/blackswaptionengine.hpp | 2 +-
ql/pricingengines/swaption/discretizedswaption.cpp | 2 +-
ql/pricingengines/swaption/discretizedswaption.hpp | 2 +-
ql/pricingengines/swaption/fdg2swaptionengine.cpp | 2 +-
ql/pricingengines/swaption/fdg2swaptionengine.hpp | 2 +-
ql/pricingengines/swaption/fdhullwhiteswaptionengine.cpp | 2 +-
ql/pricingengines/swaption/fdhullwhiteswaptionengine.hpp | 2 +-
ql/pricingengines/swaption/g2swaptionengine.hpp | 2 +-
ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.cpp | 2 +-
ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.hpp | 2 +-
ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.cpp | 2 +-
ql/pricingengines/swaption/gaussian1djamshidianswaptionengine.hpp | 2 +-
ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.cpp | 2 +-
ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.hpp | 2 +-
ql/pricingengines/swaption/gaussian1dswaptionengine.cpp | 2 +-
ql/pricingengines/swaption/gaussian1dswaptionengine.hpp | 2 +-
ql/pricingengines/swaption/jamshidianswaptionengine.cpp | 2 +-
ql/pricingengines/swaption/jamshidianswaptionengine.hpp | 2 +-
ql/pricingengines/swaption/treeswaptionengine.cpp | 2 +-
ql/pricingengines/swaption/treeswaptionengine.hpp | 2 +-
ql/pricingengines/vanilla/analyticbsmhullwhiteengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticbsmhullwhiteengine.hpp | 2 +-
ql/pricingengines/vanilla/analyticcevengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticcevengine.hpp | 2 +-
ql/pricingengines/vanilla/analyticdigitalamericanengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticdigitalamericanengine.hpp | 2 +-
ql/pricingengines/vanilla/analyticdividendeuropeanengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticdividendeuropeanengine.hpp | 2 +-
ql/pricingengines/vanilla/analyticeuropeanengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticeuropeanengine.hpp | 2 +-
ql/pricingengines/vanilla/analyticeuropeanvasicekengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticeuropeanvasicekengine.hpp | 2 +-
ql/pricingengines/vanilla/analyticgjrgarchengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticgjrgarchengine.hpp | 2 +-
ql/pricingengines/vanilla/analytich1hwengine.cpp | 2 +-
ql/pricingengines/vanilla/analytich1hwengine.hpp | 2 +-
ql/pricingengines/vanilla/analytichestonengine.cpp | 2 +-
ql/pricingengines/vanilla/analytichestonengine.hpp | 2 +-
ql/pricingengines/vanilla/analytichestonhullwhiteengine.cpp | 2 +-
ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp | 2 +-
ql/pricingengines/vanilla/analyticpdfhestonengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticpdfhestonengine.hpp | 2 +-
ql/pricingengines/vanilla/analyticptdhestonengine.cpp | 2 +-
ql/pricingengines/vanilla/analyticptdhestonengine.hpp | 2 +-
ql/pricingengines/vanilla/baroneadesiwhaleyengine.cpp | 2 +-
ql/pricingengines/vanilla/baroneadesiwhaleyengine.hpp | 2 +-
ql/pricingengines/vanilla/batesengine.cpp | 2 +-
ql/pricingengines/vanilla/batesengine.hpp | 2 +-
ql/pricingengines/vanilla/binomialengine.hpp | 2 +-
ql/pricingengines/vanilla/bjerksundstenslandengine.cpp | 2 +-
ql/pricingengines/vanilla/bjerksundstenslandengine.hpp | 2 +-
ql/pricingengines/vanilla/coshestonengine.cpp | 2 +-
ql/pricingengines/vanilla/coshestonengine.hpp | 2 +-
ql/pricingengines/vanilla/discretizedvanillaoption.cpp | 2 +-
ql/pricingengines/vanilla/discretizedvanillaoption.hpp | 2 +-
ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 2 +-
ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp | 2 +-
ql/pricingengines/vanilla/fdbatesvanillaengine.cpp | 2 +-
ql/pricingengines/vanilla/fdbatesvanillaengine.hpp | 2 +-
ql/pricingengines/vanilla/fdblackscholesshoutengine.cpp | 2 +-
ql/pricingengines/vanilla/fdblackscholesshoutengine.hpp | 2 +-
ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp | 2 +-
ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp | 2 +-
ql/pricingengines/vanilla/fdcevvanillaengine.cpp | 2 +-
ql/pricingengines/vanilla/fdcevvanillaengine.hpp | 2 +-
ql/pricingengines/vanilla/fdcirvanillaengine.cpp | 2 +-
ql/pricingengines/vanilla/fdcirvanillaengine.hpp | 2 +-
ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp | 2 +-
ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp | 2 +-
ql/pricingengines/vanilla/fdhestonvanillaengine.cpp | 2 +-
ql/pricingengines/vanilla/fdhestonvanillaengine.hpp | 2 +-
ql/pricingengines/vanilla/fdmultiperiodengine.hpp | 2 +-
ql/pricingengines/vanilla/fdsabrvanillaengine.cpp | 2 +-
ql/pricingengines/vanilla/fdsabrvanillaengine.hpp | 2 +-
ql/pricingengines/vanilla/fdsimplebsswingengine.cpp | 2 +-
ql/pricingengines/vanilla/fdsimplebsswingengine.hpp | 2 +-
ql/pricingengines/vanilla/fdvanillaengine.hpp | 2 +-
ql/pricingengines/vanilla/hestonexpansionengine.cpp | 2 +-
ql/pricingengines/vanilla/hestonexpansionengine.hpp | 2 +-
ql/pricingengines/vanilla/integralengine.cpp | 2 +-
ql/pricingengines/vanilla/integralengine.hpp | 2 +-
ql/pricingengines/vanilla/jumpdiffusionengine.cpp | 2 +-
ql/pricingengines/vanilla/jumpdiffusionengine.hpp | 2 +-
ql/pricingengines/vanilla/juquadraticengine.cpp | 2 +-
ql/pricingengines/vanilla/juquadraticengine.hpp | 2 +-
ql/pricingengines/vanilla/mcamericanengine.cpp | 2 +-
ql/pricingengines/vanilla/mcamericanengine.hpp | 2 +-
ql/pricingengines/vanilla/mcdigitalengine.cpp | 2 +-
ql/pricingengines/vanilla/mcdigitalengine.hpp | 2 +-
ql/pricingengines/vanilla/mceuropeanengine.hpp | 2 +-
ql/pricingengines/vanilla/mceuropeangjrgarchengine.hpp | 2 +-
ql/pricingengines/vanilla/mceuropeanhestonengine.hpp | 2 +-
ql/pricingengines/vanilla/mchestonhullwhiteengine.cpp | 2 +-
ql/pricingengines/vanilla/mchestonhullwhiteengine.hpp | 2 +-
ql/pricingengines/vanilla/mcvanillaengine.hpp | 2 +-
ql/pricingengines/vanilla/qdfpamericanengine.cpp | 2 +-
ql/pricingengines/vanilla/qdfpamericanengine.hpp | 2 +-
ql/pricingengines/vanilla/qdplusamericanengine.cpp | 2 +-
ql/pricingengines/vanilla/qdplusamericanengine.hpp | 2 +-
ql/processes/batesprocess.cpp | 2 +-
ql/processes/batesprocess.hpp | 2 +-
ql/processes/blackscholesprocess.cpp | 2 +-
ql/processes/blackscholesprocess.hpp | 2 +-
ql/processes/coxingersollrossprocess.cpp | 2 +-
ql/processes/coxingersollrossprocess.hpp | 2 +-
ql/processes/endeulerdiscretization.cpp | 2 +-
ql/processes/endeulerdiscretization.hpp | 2 +-
ql/processes/eulerdiscretization.cpp | 2 +-
ql/processes/eulerdiscretization.hpp | 2 +-
ql/processes/forwardmeasureprocess.cpp | 2 +-
ql/processes/forwardmeasureprocess.hpp | 2 +-
ql/processes/g2process.cpp | 2 +-
ql/processes/g2process.hpp | 2 +-
ql/processes/geometricbrownianprocess.cpp | 2 +-
ql/processes/geometricbrownianprocess.hpp | 2 +-
ql/processes/gjrgarchprocess.cpp | 2 +-
ql/processes/gjrgarchprocess.hpp | 2 +-
ql/processes/gsrprocess.cpp | 2 +-
ql/processes/gsrprocess.hpp | 2 +-
ql/processes/gsrprocesscore.cpp | 2 +-
ql/processes/gsrprocesscore.hpp | 2 +-
ql/processes/hestonprocess.cpp | 2 +-
ql/processes/hestonprocess.hpp | 2 +-
ql/processes/hestonslvprocess.cpp | 2 +-
ql/processes/hestonslvprocess.hpp | 2 +-
ql/processes/hullwhiteprocess.cpp | 2 +-
ql/processes/hullwhiteprocess.hpp | 2 +-
ql/processes/hybridhestonhullwhiteprocess.cpp | 2 +-
ql/processes/hybridhestonhullwhiteprocess.hpp | 2 +-
ql/processes/jointstochasticprocess.cpp | 2 +-
ql/processes/jointstochasticprocess.hpp | 2 +-
ql/processes/merton76process.cpp | 2 +-
ql/processes/merton76process.hpp | 2 +-
ql/processes/mfstateprocess.cpp | 2 +-
ql/processes/mfstateprocess.hpp | 2 +-
ql/processes/ornsteinuhlenbeckprocess.cpp | 2 +-
ql/processes/ornsteinuhlenbeckprocess.hpp | 2 +-
ql/processes/squarerootprocess.cpp | 2 +-
ql/processes/squarerootprocess.hpp | 2 +-
ql/processes/stochasticprocessarray.cpp | 2 +-
ql/processes/stochasticprocessarray.hpp | 2 +-
ql/qldefines.hpp | 2 +-
ql/qldefines.hpp.cfg | 2 +-
ql/quote.cpp | 2 +-
ql/quote.hpp | 2 +-
ql/quotes/compositequote.hpp | 2 +-
ql/quotes/derivedquote.hpp | 2 +-
ql/quotes/eurodollarfuturesquote.cpp | 2 +-
ql/quotes/eurodollarfuturesquote.hpp | 2 +-
ql/quotes/forwardswapquote.cpp | 2 +-
ql/quotes/forwardswapquote.hpp | 2 +-
ql/quotes/forwardvaluequote.cpp | 2 +-
ql/quotes/forwardvaluequote.hpp | 2 +-
ql/quotes/futuresconvadjustmentquote.cpp | 2 +-
ql/quotes/futuresconvadjustmentquote.hpp | 2 +-
ql/quotes/impliedstddevquote.cpp | 2 +-
ql/quotes/impliedstddevquote.hpp | 2 +-
ql/quotes/lastfixingquote.cpp | 2 +-
ql/quotes/lastfixingquote.hpp | 2 +-
ql/quotes/simplequote.hpp | 2 +-
ql/rebatedexercise.cpp | 2 +-
ql/rebatedexercise.hpp | 2 +-
ql/settings.cpp | 2 +-
ql/settings.hpp | 2 +-
ql/shared_ptr.hpp | 2 +-
ql/stochasticprocess.cpp | 2 +-
ql/stochasticprocess.hpp | 2 +-
ql/termstructure.cpp | 2 +-
ql/termstructure.hpp | 2 +-
ql/termstructures/bootstraperror.hpp | 2 +-
ql/termstructures/bootstraphelper.hpp | 2 +-
ql/termstructures/credit/defaultdensitystructure.cpp | 2 +-
ql/termstructures/credit/defaultdensitystructure.hpp | 2 +-
ql/termstructures/credit/defaultprobabilityhelpers.cpp | 2 +-
ql/termstructures/credit/defaultprobabilityhelpers.hpp | 2 +-
ql/termstructures/credit/flathazardrate.cpp | 2 +-
ql/termstructures/credit/flathazardrate.hpp | 2 +-
ql/termstructures/credit/hazardratestructure.cpp | 2 +-
ql/termstructures/credit/hazardratestructure.hpp | 2 +-
ql/termstructures/credit/interpolateddefaultdensitycurve.hpp | 2 +-
ql/termstructures/credit/interpolatedhazardratecurve.hpp | 2 +-
ql/termstructures/credit/interpolatedsurvivalprobabilitycurve.hpp | 2 +-
ql/termstructures/credit/piecewisedefaultcurve.hpp | 2 +-
ql/termstructures/credit/probabilitytraits.hpp | 2 +-
ql/termstructures/credit/survivalprobabilitystructure.cpp | 2 +-
ql/termstructures/credit/survivalprobabilitystructure.hpp | 2 +-
ql/termstructures/defaulttermstructure.cpp | 2 +-
ql/termstructures/defaulttermstructure.hpp | 2 +-
ql/termstructures/globalbootstrap.hpp | 2 +-
ql/termstructures/inflation/inflationhelpers.cpp | 2 +-
ql/termstructures/inflation/inflationhelpers.hpp | 2 +-
ql/termstructures/inflation/inflationtraits.hpp | 2 +-
ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp | 2 +-
ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp | 2 +-
ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp | 2 +-
ql/termstructures/inflation/piecewisezeroinflationcurve.hpp | 2 +-
ql/termstructures/inflation/seasonality.cpp | 2 +-
ql/termstructures/inflation/seasonality.hpp | 2 +-
ql/termstructures/inflationtermstructure.cpp | 2 +-
ql/termstructures/inflationtermstructure.hpp | 2 +-
ql/termstructures/interpolatedcurve.hpp | 2 +-
ql/termstructures/iterativebootstrap.hpp | 2 +-
ql/termstructures/localbootstrap.hpp | 2 +-
ql/termstructures/volatility/abcd.cpp | 2 +-
ql/termstructures/volatility/abcd.hpp | 2 +-
ql/termstructures/volatility/abcdcalibration.cpp | 2 +-
ql/termstructures/volatility/abcdcalibration.hpp | 2 +-
ql/termstructures/volatility/atmadjustedsmilesection.cpp | 2 +-
ql/termstructures/volatility/atmadjustedsmilesection.hpp | 2 +-
ql/termstructures/volatility/atmsmilesection.cpp | 2 +-
ql/termstructures/volatility/atmsmilesection.hpp | 2 +-
.../volatility/capfloor/capfloortermvolatilitystructure.cpp | 2 +-
.../volatility/capfloor/capfloortermvolatilitystructure.hpp | 2 +-
ql/termstructures/volatility/capfloor/capfloortermvolcurve.cpp | 2 +-
ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp | 2 +-
ql/termstructures/volatility/capfloor/capfloortermvolsurface.cpp | 2 +-
ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp | 2 +-
ql/termstructures/volatility/capfloor/constantcapfloortermvol.cpp | 2 +-
ql/termstructures/volatility/capfloor/constantcapfloortermvol.hpp | 2 +-
ql/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.cpp | 2 +-
ql/termstructures/volatility/equityfx/andreasenhugelocalvoladapter.hpp | 2 +-
.../volatility/equityfx/andreasenhugevolatilityadapter.cpp | 2 +-
.../volatility/equityfx/andreasenhugevolatilityadapter.hpp | 2 +-
.../volatility/equityfx/andreasenhugevolatilityinterpl.cpp | 2 +-
.../volatility/equityfx/andreasenhugevolatilityinterpl.hpp | 2 +-
ql/termstructures/volatility/equityfx/blackconstantvol.hpp | 2 +-
ql/termstructures/volatility/equityfx/blackvariancecurve.cpp | 2 +-
ql/termstructures/volatility/equityfx/blackvariancecurve.hpp | 2 +-
ql/termstructures/volatility/equityfx/blackvariancesurface.cpp | 2 +-
ql/termstructures/volatility/equityfx/blackvariancesurface.hpp | 2 +-
ql/termstructures/volatility/equityfx/blackvoltermstructure.cpp | 2 +-
ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp | 2 +-
ql/termstructures/volatility/equityfx/fixedlocalvolsurface.cpp | 2 +-
ql/termstructures/volatility/equityfx/fixedlocalvolsurface.hpp | 2 +-
ql/termstructures/volatility/equityfx/gridmodellocalvolsurface.cpp | 2 +-
ql/termstructures/volatility/equityfx/gridmodellocalvolsurface.hpp | 2 +-
ql/termstructures/volatility/equityfx/hestonblackvolsurface.cpp | 2 +-
ql/termstructures/volatility/equityfx/hestonblackvolsurface.hpp | 2 +-
ql/termstructures/volatility/equityfx/impliedvoltermstructure.hpp | 2 +-
ql/termstructures/volatility/equityfx/localconstantvol.hpp | 2 +-
ql/termstructures/volatility/equityfx/localvolcurve.hpp | 2 +-
ql/termstructures/volatility/equityfx/localvolsurface.cpp | 2 +-
ql/termstructures/volatility/equityfx/localvolsurface.hpp | 2 +-
ql/termstructures/volatility/equityfx/localvoltermstructure.cpp | 2 +-
ql/termstructures/volatility/equityfx/localvoltermstructure.hpp | 2 +-
ql/termstructures/volatility/equityfx/noexceptlocalvolsurface.hpp | 2 +-
ql/termstructures/volatility/flatsmilesection.cpp | 2 +-
ql/termstructures/volatility/flatsmilesection.hpp | 2 +-
ql/termstructures/volatility/gaussian1dsmilesection.cpp | 2 +-
ql/termstructures/volatility/gaussian1dsmilesection.hpp | 2 +-
ql/termstructures/volatility/inflation/constantcpivolatility.cpp | 2 +-
ql/termstructures/volatility/inflation/constantcpivolatility.hpp | 2 +-
ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp | 2 +-
ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp | 2 +-
.../volatility/inflation/yoyinflationoptionletvolatilitystructure.cpp | 2 +-
.../volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp | 2 +-
ql/termstructures/volatility/interpolatedsmilesection.hpp | 2 +-
ql/termstructures/volatility/kahalesmilesection.cpp | 2 +-
ql/termstructures/volatility/kahalesmilesection.hpp | 2 +-
ql/termstructures/volatility/optionlet/capletvariancecurve.hpp | 2 +-
ql/termstructures/volatility/optionlet/constantoptionletvol.cpp | 2 +-
ql/termstructures/volatility/optionlet/constantoptionletvol.hpp | 2 +-
ql/termstructures/volatility/optionlet/optionletstripper.cpp | 2 +-
ql/termstructures/volatility/optionlet/optionletstripper.hpp | 2 +-
ql/termstructures/volatility/optionlet/optionletstripper1.cpp | 2 +-
ql/termstructures/volatility/optionlet/optionletstripper1.hpp | 2 +-
ql/termstructures/volatility/optionlet/optionletstripper2.cpp | 2 +-
ql/termstructures/volatility/optionlet/optionletstripper2.hpp | 2 +-
ql/termstructures/volatility/optionlet/optionletvolatilitystructure.cpp | 2 +-
ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp | 2 +-
ql/termstructures/volatility/optionlet/spreadedoptionletvol.cpp | 2 +-
ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp | 2 +-
ql/termstructures/volatility/optionlet/strippedoptionlet.cpp | 2 +-
ql/termstructures/volatility/optionlet/strippedoptionlet.hpp | 2 +-
ql/termstructures/volatility/optionlet/strippedoptionletadapter.cpp | 2 +-
ql/termstructures/volatility/optionlet/strippedoptionletadapter.hpp | 2 +-
ql/termstructures/volatility/optionlet/strippedoptionletbase.hpp | 2 +-
ql/termstructures/volatility/sabr.cpp | 2 +-
ql/termstructures/volatility/sabr.hpp | 2 +-
ql/termstructures/volatility/sabrinterpolatedsmilesection.cpp | 2 +-
ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp | 2 +-
ql/termstructures/volatility/sabrsmilesection.cpp | 2 +-
ql/termstructures/volatility/sabrsmilesection.hpp | 2 +-
ql/termstructures/volatility/smilesection.cpp | 2 +-
ql/termstructures/volatility/smilesection.hpp | 2 +-
ql/termstructures/volatility/smilesectionutils.cpp | 2 +-
ql/termstructures/volatility/smilesectionutils.hpp | 2 +-
ql/termstructures/volatility/spreadedsmilesection.cpp | 2 +-
ql/termstructures/volatility/spreadedsmilesection.hpp | 2 +-
ql/termstructures/volatility/swaption/cmsmarket.cpp | 2 +-
ql/termstructures/volatility/swaption/cmsmarket.hpp | 2 +-
ql/termstructures/volatility/swaption/cmsmarketcalibration.cpp | 2 +-
ql/termstructures/volatility/swaption/cmsmarketcalibration.hpp | 2 +-
ql/termstructures/volatility/swaption/gaussian1dswaptionvolatility.cpp | 2 +-
ql/termstructures/volatility/swaption/gaussian1dswaptionvolatility.hpp | 2 +-
.../volatility/swaption/interpolatedswaptionvolatilitycube.cpp | 2 +-
.../volatility/swaption/interpolatedswaptionvolatilitycube.hpp | 2 +-
ql/termstructures/volatility/swaption/sabrswaptionvolatilitycube.hpp | 2 +-
ql/termstructures/volatility/swaption/spreadedswaptionvol.cpp | 2 +-
ql/termstructures/volatility/swaption/spreadedswaptionvol.hpp | 2 +-
ql/termstructures/volatility/swaption/swaptionconstantvol.cpp | 2 +-
ql/termstructures/volatility/swaption/swaptionconstantvol.hpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvolcube.cpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvolcube.hpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvoldiscrete.cpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvolmatrix.cpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvolmatrix.hpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvolstructure.cpp | 2 +-
ql/termstructures/volatility/swaption/swaptionvolstructure.hpp | 2 +-
ql/termstructures/volatility/volatilitytype.hpp | 2 +-
ql/termstructures/voltermstructure.cpp | 2 +-
ql/termstructures/voltermstructure.hpp | 2 +-
ql/termstructures/yield/bondhelpers.cpp | 2 +-
ql/termstructures/yield/bondhelpers.hpp | 2 +-
ql/termstructures/yield/bootstraptraits.hpp | 2 +-
ql/termstructures/yield/compositezeroyieldstructure.hpp | 2 +-
ql/termstructures/yield/discountcurve.hpp | 2 +-
ql/termstructures/yield/fittedbonddiscountcurve.cpp | 2 +-
ql/termstructures/yield/fittedbonddiscountcurve.hpp | 2 +-
ql/termstructures/yield/flatforward.cpp | 2 +-
ql/termstructures/yield/flatforward.hpp | 2 +-
ql/termstructures/yield/forwardcurve.hpp | 2 +-
ql/termstructures/yield/forwardspreadedtermstructure.hpp | 2 +-
ql/termstructures/yield/forwardstructure.cpp | 2 +-
ql/termstructures/yield/forwardstructure.hpp | 2 +-
ql/termstructures/yield/impliedtermstructure.hpp | 2 +-
ql/termstructures/yield/interpolatedsimplezerocurve.hpp | 2 +-
ql/termstructures/yield/nonlinearfittingmethods.cpp | 2 +-
ql/termstructures/yield/nonlinearfittingmethods.hpp | 2 +-
ql/termstructures/yield/oisratehelper.cpp | 2 +-
ql/termstructures/yield/oisratehelper.hpp | 2 +-
ql/termstructures/yield/overnightindexfutureratehelper.cpp | 2 +-
ql/termstructures/yield/overnightindexfutureratehelper.hpp | 2 +-
ql/termstructures/yield/piecewiseforwardspreadedtermstructure.hpp | 2 +-
ql/termstructures/yield/piecewiseyieldcurve.hpp | 2 +-
ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp | 2 +-
ql/termstructures/yield/quantotermstructure.hpp | 2 +-
ql/termstructures/yield/ratehelpers.cpp | 2 +-
ql/termstructures/yield/ratehelpers.hpp | 2 +-
ql/termstructures/yield/ultimateforwardtermstructure.hpp | 2 +-
ql/termstructures/yield/zerocurve.hpp | 2 +-
ql/termstructures/yield/zerospreadedtermstructure.hpp | 2 +-
ql/termstructures/yield/zeroyieldstructure.cpp | 2 +-
ql/termstructures/yield/zeroyieldstructure.hpp | 2 +-
ql/termstructures/yieldtermstructure.cpp | 2 +-
ql/termstructures/yieldtermstructure.hpp | 2 +-
ql/time/asx.cpp | 2 +-
ql/time/asx.hpp | 2 +-
ql/time/businessdayconvention.cpp | 2 +-
ql/time/businessdayconvention.hpp | 2 +-
ql/time/calendar.cpp | 2 +-
ql/time/calendar.hpp | 2 +-
ql/time/calendars/argentina.cpp | 2 +-
ql/time/calendars/argentina.hpp | 2 +-
ql/time/calendars/australia.cpp | 2 +-
ql/time/calendars/australia.hpp | 2 +-
ql/time/calendars/austria.cpp | 2 +-
ql/time/calendars/austria.hpp | 2 +-
ql/time/calendars/bespokecalendar.cpp | 2 +-
ql/time/calendars/bespokecalendar.hpp | 2 +-
ql/time/calendars/botswana.cpp | 2 +-
ql/time/calendars/botswana.hpp | 2 +-
ql/time/calendars/brazil.cpp | 2 +-
ql/time/calendars/brazil.hpp | 2 +-
ql/time/calendars/canada.cpp | 2 +-
ql/time/calendars/canada.hpp | 2 +-
ql/time/calendars/chile.cpp | 2 +-
ql/time/calendars/chile.hpp | 2 +-
ql/time/calendars/china.cpp | 2 +-
ql/time/calendars/china.hpp | 2 +-
ql/time/calendars/czechrepublic.cpp | 2 +-
ql/time/calendars/czechrepublic.hpp | 2 +-
ql/time/calendars/denmark.cpp | 2 +-
ql/time/calendars/denmark.hpp | 2 +-
ql/time/calendars/finland.cpp | 2 +-
ql/time/calendars/finland.hpp | 2 +-
ql/time/calendars/france.cpp | 2 +-
ql/time/calendars/france.hpp | 2 +-
ql/time/calendars/germany.cpp | 2 +-
ql/time/calendars/germany.hpp | 2 +-
ql/time/calendars/hongkong.cpp | 2 +-
ql/time/calendars/hongkong.hpp | 2 +-
ql/time/calendars/hungary.cpp | 2 +-
ql/time/calendars/hungary.hpp | 2 +-
ql/time/calendars/iceland.cpp | 2 +-
ql/time/calendars/iceland.hpp | 2 +-
ql/time/calendars/india.cpp | 2 +-
ql/time/calendars/india.hpp | 2 +-
ql/time/calendars/indonesia.cpp | 2 +-
ql/time/calendars/indonesia.hpp | 2 +-
ql/time/calendars/israel.cpp | 2 +-
ql/time/calendars/israel.hpp | 2 +-
ql/time/calendars/italy.cpp | 2 +-
ql/time/calendars/italy.hpp | 2 +-
ql/time/calendars/japan.cpp | 2 +-
ql/time/calendars/japan.hpp | 2 +-
ql/time/calendars/jointcalendar.cpp | 2 +-
ql/time/calendars/jointcalendar.hpp | 2 +-
ql/time/calendars/mexico.cpp | 2 +-
ql/time/calendars/mexico.hpp | 2 +-
ql/time/calendars/newzealand.cpp | 2 +-
ql/time/calendars/newzealand.hpp | 2 +-
ql/time/calendars/norway.cpp | 2 +-
ql/time/calendars/norway.hpp | 2 +-
ql/time/calendars/nullcalendar.hpp | 2 +-
ql/time/calendars/poland.cpp | 2 +-
ql/time/calendars/poland.hpp | 2 +-
ql/time/calendars/romania.cpp | 2 +-
ql/time/calendars/romania.hpp | 2 +-
ql/time/calendars/russia.cpp | 2 +-
ql/time/calendars/russia.hpp | 2 +-
ql/time/calendars/saudiarabia.cpp | 2 +-
ql/time/calendars/saudiarabia.hpp | 2 +-
ql/time/calendars/singapore.cpp | 2 +-
ql/time/calendars/singapore.hpp | 2 +-
ql/time/calendars/slovakia.cpp | 2 +-
ql/time/calendars/slovakia.hpp | 2 +-
ql/time/calendars/southafrica.cpp | 2 +-
ql/time/calendars/southafrica.hpp | 2 +-
ql/time/calendars/southkorea.cpp | 2 +-
ql/time/calendars/southkorea.hpp | 2 +-
ql/time/calendars/sweden.cpp | 2 +-
ql/time/calendars/sweden.hpp | 2 +-
ql/time/calendars/switzerland.cpp | 2 +-
ql/time/calendars/switzerland.hpp | 2 +-
ql/time/calendars/taiwan.cpp | 2 +-
ql/time/calendars/taiwan.hpp | 2 +-
ql/time/calendars/target.cpp | 2 +-
ql/time/calendars/target.hpp | 2 +-
ql/time/calendars/thailand.cpp | 2 +-
ql/time/calendars/thailand.hpp | 2 +-
ql/time/calendars/turkey.cpp | 2 +-
ql/time/calendars/turkey.hpp | 2 +-
ql/time/calendars/ukraine.cpp | 2 +-
ql/time/calendars/ukraine.hpp | 2 +-
ql/time/calendars/unitedkingdom.cpp | 2 +-
ql/time/calendars/unitedkingdom.hpp | 2 +-
ql/time/calendars/unitedstates.cpp | 2 +-
ql/time/calendars/unitedstates.hpp | 2 +-
ql/time/calendars/weekendsonly.cpp | 2 +-
ql/time/calendars/weekendsonly.hpp | 2 +-
ql/time/date.cpp | 2 +-
ql/time/date.hpp | 2 +-
ql/time/dategenerationrule.cpp | 2 +-
ql/time/dategenerationrule.hpp | 2 +-
ql/time/daycounter.hpp | 2 +-
ql/time/daycounters/actual360.hpp | 2 +-
ql/time/daycounters/actual364.hpp | 2 +-
ql/time/daycounters/actual36525.hpp | 2 +-
ql/time/daycounters/actual365fixed.cpp | 2 +-
ql/time/daycounters/actual365fixed.hpp | 2 +-
ql/time/daycounters/actual366.hpp | 2 +-
ql/time/daycounters/actualactual.cpp | 2 +-
ql/time/daycounters/actualactual.hpp | 2 +-
ql/time/daycounters/business252.cpp | 2 +-
ql/time/daycounters/business252.hpp | 2 +-
ql/time/daycounters/one.hpp | 2 +-
ql/time/daycounters/simpledaycounter.cpp | 2 +-
ql/time/daycounters/simpledaycounter.hpp | 2 +-
ql/time/daycounters/thirty360.cpp | 2 +-
ql/time/daycounters/thirty360.hpp | 2 +-
ql/time/daycounters/thirty365.cpp | 2 +-
ql/time/daycounters/thirty365.hpp | 2 +-
ql/time/daycounters/yearfractiontodate.cpp | 2 +-
ql/time/daycounters/yearfractiontodate.hpp | 2 +-
ql/time/ecb.cpp | 2 +-
ql/time/ecb.hpp | 2 +-
ql/time/frequency.cpp | 2 +-
ql/time/frequency.hpp | 2 +-
ql/time/imm.cpp | 2 +-
ql/time/imm.hpp | 2 +-
ql/time/period.cpp | 2 +-
ql/time/period.hpp | 2 +-
ql/time/schedule.cpp | 2 +-
ql/time/schedule.hpp | 2 +-
ql/time/timeunit.cpp | 2 +-
ql/time/timeunit.hpp | 2 +-
ql/time/weekday.cpp | 2 +-
ql/time/weekday.hpp | 2 +-
ql/timegrid.cpp | 2 +-
ql/timegrid.hpp | 2 +-
ql/timeseries.hpp | 2 +-
ql/tuple.hpp | 2 +-
ql/types.hpp | 2 +-
ql/userconfig.hpp | 2 +-
ql/utilities/clone.hpp | 2 +-
ql/utilities/dataformatters.cpp | 2 +-
ql/utilities/dataformatters.hpp | 2 +-
ql/utilities/dataparsers.cpp | 2 +-
ql/utilities/dataparsers.hpp | 2 +-
ql/utilities/null.hpp | 2 +-
ql/utilities/null_deleter.hpp | 2 +-
ql/utilities/observablevalue.hpp | 2 +-
ql/utilities/steppingiterator.hpp | 2 +-
ql/utilities/tracing.cpp | 2 +-
ql/utilities/tracing.hpp | 2 +-
ql/utilities/vectors.hpp | 2 +-
ql/version.cpp | 2 +-
ql/version.hpp | 2 +-
ql/volatilitymodel.hpp | 2 +-
quantlib.el | 2 +-
test-suite/americanoption.cpp | 2 +-
test-suite/amortizingbond.cpp | 2 +-
test-suite/andreasenhugevolatilityinterpl.cpp | 2 +-
test-suite/array.cpp | 2 +-
test-suite/asianoptions.cpp | 2 +-
test-suite/assetswap.cpp | 2 +-
test-suite/autocovariances.cpp | 2 +-
test-suite/barrieroption.cpp | 2 +-
test-suite/basismodels.cpp | 2 +-
test-suite/basisswapratehelpers.cpp | 2 +-
test-suite/basketoption.cpp | 2 +-
test-suite/batesmodel.cpp | 2 +-
test-suite/bermudanswaption.cpp | 2 +-
test-suite/binaryoption.cpp | 2 +-
test-suite/blackdeltacalculator.cpp | 2 +-
test-suite/blackformula.cpp | 2 +-
test-suite/bondforward.cpp | 2 +-
test-suite/bonds.cpp | 2 +-
test-suite/brownianbridge.cpp | 2 +-
test-suite/businessdayconventions.cpp | 2 +-
test-suite/calendars.cpp | 2 +-
test-suite/callablebonds.cpp | 2 +-
test-suite/capfloor.cpp | 2 +-
test-suite/capflooredcoupon.cpp | 2 +-
test-suite/cashflows.cpp | 2 +-
test-suite/catbonds.cpp | 2 +-
test-suite/cdo.cpp | 2 +-
test-suite/cdsoption.cpp | 2 +-
test-suite/chooseroption.cpp | 2 +-
test-suite/cliquetoption.cpp | 2 +-
test-suite/cms.cpp | 2 +-
test-suite/cms_normal.cpp | 2 +-
test-suite/cmsspread.cpp | 2 +-
test-suite/commodityunitofmeasure.cpp | 2 +-
test-suite/compiledboostversion.cpp | 2 +-
test-suite/compoundoption.cpp | 2 +-
test-suite/convertiblebonds.cpp | 2 +-
test-suite/covariance.cpp | 2 +-
test-suite/creditdefaultswap.cpp | 2 +-
test-suite/creditriskplus.cpp | 2 +-
test-suite/crosscurrencyratehelpers.cpp | 2 +-
test-suite/currency.cpp | 2 +-
test-suite/curvestates.cpp | 2 +-
test-suite/dates.cpp | 2 +-
test-suite/daycounters.cpp | 2 +-
test-suite/defaultprobabilitycurves.cpp | 2 +-
test-suite/digitalcoupon.cpp | 2 +-
test-suite/digitaloption.cpp | 2 +-
test-suite/distributions.cpp | 2 +-
test-suite/dividendoption.cpp | 2 +-
test-suite/doublebarrieroption.cpp | 2 +-
test-suite/doublebinaryoption.cpp | 2 +-
test-suite/equitycashflow.cpp | 2 +-
test-suite/equityindex.cpp | 2 +-
test-suite/equitytotalreturnswap.cpp | 2 +-
test-suite/europeanoption.cpp | 2 +-
test-suite/everestoption.cpp | 2 +-
test-suite/exchangerate.cpp | 2 +-
test-suite/extendedtrees.cpp | 2 +-
test-suite/extensibleoptions.cpp | 2 +-
test-suite/fastfouriertransform.cpp | 2 +-
test-suite/fdcev.cpp | 2 +-
test-suite/fdcir.cpp | 2 +-
test-suite/fdheston.cpp | 2 +-
test-suite/fdmlinearop.cpp | 2 +-
test-suite/fdsabr.cpp | 2 +-
test-suite/fittedbonddiscountcurve.cpp | 2 +-
test-suite/forwardoption.cpp | 2 +-
test-suite/forwardrateagreement.cpp | 2 +-
test-suite/functions.cpp | 2 +-
test-suite/garch.cpp | 2 +-
test-suite/gaussianquadratures.cpp | 2 +-
test-suite/gjrgarchmodel.cpp | 2 +-
test-suite/gsr.cpp | 2 +-
test-suite/hestonmodel.cpp | 2 +-
test-suite/hestonslvmodel.cpp | 2 +-
test-suite/himalayaoption.cpp | 2 +-
test-suite/hybridhestonhullwhiteprocess.cpp | 2 +-
test-suite/indexes.cpp | 2 +-
test-suite/inflation.cpp | 2 +-
test-suite/inflationcapfloor.cpp | 2 +-
test-suite/inflationcapflooredcoupon.cpp | 2 +-
test-suite/inflationcpibond.cpp | 2 +-
test-suite/inflationcpicapfloor.cpp | 2 +-
test-suite/inflationcpiswap.cpp | 2 +-
test-suite/inflationvolatility.cpp | 2 +-
test-suite/instruments.cpp | 2 +-
test-suite/integrals.cpp | 2 +-
test-suite/interestrates.cpp | 2 +-
test-suite/interpolations.cpp | 2 +-
test-suite/jumpdiffusion.cpp | 2 +-
test-suite/lazyobject.cpp | 2 +-
test-suite/libormarketmodel.cpp | 2 +-
test-suite/libormarketmodelprocess.cpp | 2 +-
test-suite/linearleastsquaresregression.cpp | 2 +-
test-suite/lookbackoptions.cpp | 2 +-
test-suite/lowdiscrepancysequences.cpp | 2 +-
test-suite/margrabeoption.cpp | 2 +-
test-suite/marketmodel.cpp | 2 +-
test-suite/marketmodel_cms.cpp | 2 +-
test-suite/marketmodel_smm.cpp | 2 +-
test-suite/marketmodel_smmcapletalphacalibration.cpp | 2 +-
test-suite/marketmodel_smmcapletcalibration.cpp | 2 +-
test-suite/marketmodel_smmcaplethomocalibration.cpp | 2 +-
test-suite/markovfunctional.cpp | 2 +-
test-suite/matrices.cpp | 2 +-
test-suite/mclongstaffschwartzengine.cpp | 2 +-
test-suite/mersennetwister.cpp | 2 +-
test-suite/money.cpp | 2 +-
test-suite/multipleresetscoupons.cpp | 2 +-
test-suite/noarbsabr.cpp | 2 +-
test-suite/normalclvmodel.cpp | 2 +-
test-suite/nthorderderivativeop.cpp | 2 +-
test-suite/nthtodefault.cpp | 2 +-
test-suite/numericaldifferentiation.cpp | 2 +-
test-suite/observable.cpp | 2 +-
test-suite/ode.cpp | 2 +-
test-suite/operators.cpp | 2 +-
test-suite/optimizers.cpp | 2 +-
test-suite/optionletstripper.cpp | 2 +-
test-suite/overnightindexedcoupon.cpp | 2 +-
test-suite/overnightindexedswap.cpp | 2 +-
test-suite/pagodaoption.cpp | 2 +-
test-suite/paralleltestrunner.hpp | 2 +-
test-suite/partialtimebarrieroption.cpp | 2 +-
test-suite/pathgenerator.cpp | 2 +-
test-suite/period.cpp | 2 +-
test-suite/piecewiseyieldcurve.cpp | 2 +-
test-suite/piecewisezerospreadedtermstructure.cpp | 2 +-
test-suite/preconditions.cpp | 2 +-
test-suite/preconditions.hpp | 2 +-
test-suite/prices.cpp | 2 +-
test-suite/quantlibbenchmark.cpp | 2 +-
test-suite/quantlibglobalfixture.cpp | 2 +-
test-suite/quantlibglobalfixture.hpp | 2 +-
test-suite/quantlibtestsuite.cpp | 2 +-
test-suite/quantooption.cpp | 2 +-
test-suite/quotes.cpp | 2 +-
test-suite/rangeaccrual.cpp | 2 +-
test-suite/riskneutraldensitycalculator.cpp | 2 +-
test-suite/riskstats.cpp | 2 +-
test-suite/rngtraits.cpp | 2 +-
test-suite/rounding.cpp | 2 +-
test-suite/schedule.cpp | 2 +-
test-suite/settings.cpp | 2 +-
test-suite/shortratemodels.cpp | 2 +-
test-suite/sofrfutures.cpp | 2 +-
test-suite/softbarrieroption.cpp | 2 +-
test-suite/solvers.cpp | 2 +-
test-suite/spreadoption.cpp | 2 +-
test-suite/squarerootclvmodel.cpp | 2 +-
test-suite/stats.cpp | 2 +-
test-suite/svivolatility.cpp | 2 +-
test-suite/swap.cpp | 2 +-
test-suite/swapforwardmappings.cpp | 2 +-
test-suite/swaption.cpp | 2 +-
test-suite/swaptionvolatilitycube.cpp | 2 +-
test-suite/swaptionvolatilitymatrix.cpp | 2 +-
test-suite/swaptionvolstructuresutilities.hpp | 2 +-
test-suite/swingoption.cpp | 2 +-
test-suite/termstructures.cpp | 2 +-
test-suite/timegrid.cpp | 2 +-
test-suite/timeseries.cpp | 2 +-
test-suite/toplevelfixture.hpp | 2 +-
test-suite/tqreigendecomposition.cpp | 2 +-
test-suite/tracing.cpp | 2 +-
test-suite/transformedgrid.cpp | 2 +-
test-suite/twoassetbarrieroption.cpp | 2 +-
test-suite/twoassetcorrelationoption.cpp | 2 +-
test-suite/ultimateforwardtermstructure.cpp | 2 +-
test-suite/utilities.cpp | 2 +-
test-suite/utilities.hpp | 2 +-
test-suite/variancegamma.cpp | 2 +-
test-suite/varianceoption.cpp | 2 +-
test-suite/varianceswaps.cpp | 2 +-
test-suite/volatilitymodels.cpp | 2 +-
test-suite/vpp.cpp | 2 +-
test-suite/xoshiro256starstar.cpp | 2 +-
test-suite/zabr.cpp | 2 +-
test-suite/zerocouponswap.cpp | 2 +-
test-suite/zigguratgaussian.cpp | 2 +-
tools/check_all_licenses.sh | 2 +-
2468 files changed, 2468 insertions(+), 2468 deletions(-)
commit 5c3a4f8cfbd6ea365c9fcd1c81feee7ef6d8af18
Author: Luigi Ballabio
Date: Fri, 29 Aug 2025 11:48:09 +0200
Add action to update license links to https
.github/workflows/license-url.yml | 23 +++++++++++++++++++++++
1 file changed, 23 insertions(+)
commit 9030dee3c3d8f25afd0b2081a64a768efab370ec
Merge: 21bc96d9a e7c67f3e3
Author: Luigi Ballabio
Date: Thu, 28 Aug 2025 14:44:45 +0200
Issue Fix: Safety checks in Schedule startDate and endDate against segfault (#2304)
commit e7c67f3e3d8033e1062a31a741ce959d2573228f
Author: davidizzle
Date: Thu, 28 Aug 2025 12:23:34 +0200
Centralize safety checks on Schedule existing startDate() and endDate()
ql/instruments/bonds/amortizingfloatingratebond.cpp | 6 ------
ql/time/schedule.hpp | 7 ++++++-
2 files changed, 6 insertions(+), 7 deletions(-)
commit 5d4adc59ece6e95d0e7303c116465e354dbca596
Author: davidizzle
Date: Thu, 28 Aug 2025 11:39:38 +0200
Safety checks in AmortizingFloatingRateBond constructor against segfault
ql/instruments/bonds/amortizingfloatingratebond.cpp | 6 ++++++
1 file changed, 6 insertions(+)
commit 21bc96d9ad78eb029b1467a73cf76f92764efe7f
Merge: a5be471f3 3c1e0e556
Author: Luigi Ballabio
Date: Wed, 27 Aug 2025 21:35:15 +0200
Fix consistent test macro usage for AAD compatibility (#2303)
commit 3c1e0e55660145a3956a697ce36be92ab2e2225f
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Wed, 27 Aug 2025 09:42:06 +0000
Fix make_pair for type compatiblity with non-double types
test-suite/piecewiseyieldcurve.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 38824962ba1849024e9cb0f330d9004491f7539d
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Wed, 27 Aug 2025 09:39:40 +0000
Use QL_CHECK_CLOSE overload to keep AAD compatibility
test-suite/piecewiseyieldcurve.cpp | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit a5be471f32c146b66843ccd6d5b93ee7ff9c2990
Author: Luigi Ballabio
Date: Wed, 27 Aug 2025 10:03:50 +0200
Remove a few obsolete pages from reference.
Docs/pages/history.docs | 5060 +----------------------------------------------
Docs/pages/install.docs | 23 -
Docs/pages/usage.docs | 52 -
Docs/pages/where.docs | 35 -
4 files changed, 2 insertions(+), 5168 deletions(-)
commit d91194471c17cabdf957c0c3769c1628b8855230
Author: Paolo D'Elia
Date: Wed, 27 Aug 2025 09:52:28 +0200
Small refactor of docstrings
ql/experimental/fx/blackdeltacalculator.hpp | 10 ++++++++--
1 file changed, 8 insertions(+), 2 deletions(-)
commit 6b18159799b5b291889bb1381612779c3f2e4d67
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 25 Aug 2025 21:43:54 +0000
Bump actions/checkout from 4 to 5
Bumps [actions/checkout](https://github.com/actions/checkout) from 4 to 5.
- [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/v4...v5)
---
updated-dependencies:
- dependency-name: actions/checkout
dependency-version: '5'
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/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/sanitizer.yml | 4 ++--
.github/workflows/test-times.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
25 files changed, 32 insertions(+), 32 deletions(-)
commit a5554052b95e8a55b5def33f0948fa64318cad34
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 26 Aug 2025 05:25:52 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit 916fe9b4588ef92fd9ea938143dcd4275284e102
Merge: 3da0b9bfa f39c5aff0
Author: Luigi Ballabio
Date: Tue, 26 Aug 2025 07:25:41 +0200
Add BRL-CDI index (#2295)
commit 5acbe8c93f6d0ef77af87a1b77f7d76180b6d534
Author: paolodelia99
Date: Mon, 25 Aug 2025 19:24:30 +0200
fix type in doc string
ql/experimental/fx/blackdeltacalculator.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit bdcd24c85cec9a03cd3e34628eb7e7d6fb6038ba
Author: paolodelia99
Date: Mon, 25 Aug 2025 18:28:48 +0200
Add better doc strings
ql/experimental/fx/blackdeltacalculator.hpp | 91 ++++++++++++++++++++++++-----
1 file changed, 76 insertions(+), 15 deletions(-)
commit f39c5aff0d050ad7287b568f693407b3f4ca9004
Author: Sotirios Papathanasopoulos <136467220+sophistis42@users.noreply.github.com>
Date: Mon, 25 Aug 2025 17:11:32 +0200
added corrections
test-suite/indexes.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 01a8052e86c42518122589a5a89c5d991d0cd098
Author: Sotirios Papathanasopoulos <136467220+sophistis42@users.noreply.github.com>
Date: Mon, 25 Aug 2025 14:50:15 +0200
include missing header file
test-suite/indexes.cpp | 1 +
1 file changed, 1 insertion(+)
commit 21ebe42e5a3754fa1b97848b29c5ff34f1c39bb0
Author: Sotirios Papathanasopoulos <136467220+sophistis42@users.noreply.github.com>
Date: Mon, 25 Aug 2025 14:43:41 +0200
fix obscure compiler error
test-suite/indexes.cpp | 6 ++----
1 file changed, 2 insertions(+), 4 deletions(-)
commit 289893df01355370ce5ee25510dcaafe094ed954
Author: Sotirios Papathanasopoulos <136467220+sophistis42@users.noreply.github.com>
Date: Mon, 25 Aug 2025 14:35:16 +0200
add unit test
test-suite/indexes.cpp | 24 ++++++++++++++++++++++++
1 file changed, 24 insertions(+)
commit 3da0b9bfad646ef0903a423257fce6080d44702c
Merge: 7a6a9a221 3e7607eac
Author: Luigi Ballabio
Date: Mon, 25 Aug 2025 13:03:32 +0200
Fix typo in uniform1dmesher (#2298)
commit b484eaa5fc481b4c80c4068789ae8080a1ac2c85
Author: Sotirios Papathanasopoulos <136467220+sophistis42@users.noreply.github.com>
Date: Mon, 25 Aug 2025 11:57:27 +0200
fix
ql/indexes/ibor/cdi.cpp | 2 +-
ql/indexes/ibor/cdi.hpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit a6bef4a72b18b2a35a222d480624b312ade209a0
Author: Sotirios Papathanasopoulos <136467220+sophistis42@users.noreply.github.com>
Date: Mon, 25 Aug 2025 11:49:45 +0200
rename to Cdi
QuantLib.vcxproj | 4 ++--
QuantLib.vcxproj.filters | 6 +++---
ql/CMakeLists.txt | 4 ++--
ql/indexes/ibor/Makefile.am | 4 ++--
ql/indexes/ibor/all.hpp | 2 +-
ql/indexes/ibor/{brlcdi.cpp => cdi.cpp} | 2 +-
ql/indexes/ibor/{brlcdi.hpp => cdi.hpp} | 7 +++----
7 files changed, 14 insertions(+), 15 deletions(-)
commit 3e7607eac61281443d6665232b1dac37df09f910
Author: Arnaud Baguet
Date: Sun, 24 Aug 2025 19:51:05 -0400
typo uniform1dmesher
ql/methods/finitedifferences/meshers/uniform1dmesher.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4b27791e036a7e109d37dbaae7081d132569378e
Author: Sotirios Papathanasopoulos <136467220+sophistis42@users.noreply.github.com>
Date: Wed, 20 Aug 2025 15:26:51 +0200
append Makefile.am
ql/indexes/ibor/Makefile.am | 2 ++
1 file changed, 2 insertions(+)
commit 2bc2d75d61b10066b29834f98e327f54ba7cb04a
Author: Sotirios Papathanasopoulos <136467220+sophistis42@users.noreply.github.com>
Date: Wed, 20 Aug 2025 15:11:31 +0200
updated cmakelists
ql/CMakeLists.txt | 2 ++
1 file changed, 2 insertions(+)
commit eba5d2773ab59a2c10d265767fe44c3fb5ad04bd
Author: Sotirios Papathanasopoulos <136467220+sophistis42@users.noreply.github.com>
Date: Wed, 20 Aug 2025 15:02:54 +0200
brl_cdi index
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
ql/indexes/ibor/all.hpp | 1 +
ql/indexes/ibor/brlcdi.cpp | 35 +++++++++++++++++++++++++++++++++++
ql/indexes/ibor/brlcdi.hpp | 40 ++++++++++++++++++++++++++++++++++++++++
5 files changed, 84 insertions(+)
commit 7a6a9a221f871bd1aef443a94fe4cb1ac6f44af2
Author: Luigi Ballabio
Date: Fri, 15 Aug 2025 00:08:59 +0200
Use Boost 1.89 in CI builds
.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 bc86b36070b10ae23e88d32f3d5cb32c33e1febb
Merge: de46d9fb1 e604f19d1
Author: Luigi Ballabio
Date: Mon, 11 Aug 2025 16:12:56 +0200
Add InterpolatedSpreadDiscountCurve and PiecewiseSpreadYieldCurve (#2292)
commit de46d9fb1829d21a411bd3efbd64a8e0c9b1a03d
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 10 Aug 2025 01:36:21 +0000
Automated fixes by clang-tidy
ql/instruments/bonds/cpibond.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 9b9376df687e605c9694b4a2c65944b09c70677d
Author: Luigi Ballabio
Date: Sun, 10 Aug 2025 23:34:35 +0200
Pin test date
test-suite/softbarrieroption.cpp | 26 +++++++++++++-------------
1 file changed, 13 insertions(+), 13 deletions(-)
commit e604f19d1af99572b96439f0b23eef7406193e78
Author: Eugene Toder
Date: Sun, 18 May 2025 16:50:47 -0400
Add InterpolatedSpreadDiscountCurve and PiecewiseSpreadYieldCurve
These classes allow bootstrapping a curve as a spread to another curve.
This is useful, for example, to build related curves when one of them
has fewer liquid benchmark instruments. Building as a spread allows the
curve with fewer benchmarks to inherit the shape from the curve with
more benchmarks.
QuantLib.vcxproj | 3 +
QuantLib.vcxproj.filters | 9 +
ql/CMakeLists.txt | 3 +
ql/termstructures/globalbootstrap.hpp | 4 +-
ql/termstructures/yield/Makefile.am | 3 +
ql/termstructures/yield/all.hpp | 3 +
.../yield/piecewisespreadyieldcurve.hpp | 37 ++++
ql/termstructures/yield/piecewiseyieldcurve.hpp | 70 +++----
ql/termstructures/yield/spreadbootstraptraits.hpp | 47 +++++
ql/termstructures/yield/spreaddiscountcurve.hpp | 229 +++++++++++++++++++++
test-suite/piecewiseyieldcurve.cpp | 120 +++++++++++
11 files changed, 484 insertions(+), 44 deletions(-)
commit da67e1a57f56a2dda869321cc567dfe82a4e080a
Merge: e2c40014f 4cbe468ff
Author: Luigi Ballabio
Date: Fri, 8 Aug 2025 22:46:30 +0200
Add `cmake_runners-latest-matrix.yml` workflow (#2249)
commit 4cbe468ffd69c0f3f8cb122fa078d0ba5e76735d
Author: Luigi Ballabio
Date: Fri, 8 Aug 2025 21:46:25 +0200
Rename and disable on push and pull request events
.../{cmake_runners-latest-matrix.yml => cmake-latest-runners.yml} | 6 ++----
1 file changed, 2 insertions(+), 4 deletions(-)
commit 2904a5015464de258af2fc33b81cf23da0220cf7
Author: Luigi Ballabio
Date: Fri, 8 Aug 2025 17:23:08 +0200
Inlined setup action in workflow
.github/actions/setup/action.yml | 90 -----------------------
.github/dependabot.yml | 6 --
.github/workflows/cmake_runners-latest-matrix.yml | 60 +++++++++++++--
3 files changed, 53 insertions(+), 103 deletions(-)
commit e2c40014f492ce4ed7c85038e570a51b53204d7a
Merge: a90afe423 75842f2e8
Author: Luigi Ballabio
Date: Fri, 8 Aug 2025 09:10:49 +0200
Refactor inflation helpers (#2293)
commit 75842f2e8fadf4c6a5b62180ec09f714f1f04bce
Author: Eugene Toder
Date: Thu, 7 Aug 2025 15:38:57 -0400
Refactor inflation helpers
Use RelativeDateBootstrapHelper and a relinkable handle like in the
SwapRateHelper. Also, register with indexes to get notifications on
fixings.
ql/termstructures/inflation/inflationhelpers.cpp | 128 +++++++++++------------
ql/termstructures/inflation/inflationhelpers.hpp | 24 +++--
test-suite/inflation.cpp | 10 ++
3 files changed, 87 insertions(+), 75 deletions(-)
commit a90afe423f3b070a960a84677647f10fcde654dc
Merge: 7e734edab 73969f898
Author: Luigi Ballabio
Date: Wed, 6 Aug 2025 08:37:42 +0200
Deprecate `growthOnly` parameter in CPI bond and helper (#2287)
commit 7e734edab93eaf3f20b5570d60775b8a8695f17c
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 5 Aug 2025 14:36:04 +0000
Update generated headers
ql/instruments/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 2e08477d44cea68abb647a899c4f59f6f8936ebc
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 5 Aug 2025 14:19:59 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit c708f63dc415a9d808de62fc13f926e170689d8a
Author: Luigi Ballabio
Date: Tue, 5 Aug 2025 15:54:35 +0200
Use a machine account to open automated PRs
.github/workflows/copyrights.yml | 5 +++--
.github/workflows/generated-headers.yml | 5 +++--
.github/workflows/includes.yml | 5 +++--
.github/workflows/misspell.yml | 5 +++--
.github/workflows/namespaces.yml | 5 +++--
.github/workflows/tidy.yml | 5 +++--
6 files changed, 18 insertions(+), 12 deletions(-)
commit a84cc0393b18cf522f8f8147c9db7a697a45f3e6
Merge: 20f2ef12b 4f3e69a47
Author: Luigi Ballabio
Date: Tue, 5 Aug 2025 12:23:27 +0200
Allow creating PiecewiseZeroInflationCurve before baseDate is known (#2279)
commit 20f2ef12b659a35e97fe6bb19dca72388d207627
Merge: 105660730 98c17d73e
Author: Luigi Ballabio
Date: Tue, 5 Aug 2025 11:44:30 +0200
Soft barrier implementation (#2271)
commit 105660730001f2d152760d1c8627c1554cb8f801
Author: Luigi Ballabio
Date: Mon, 4 Aug 2025 16:21:08 +0200
Update Coveralls action version
.github/workflows/coveralls.yml | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 4f3e69a47f21ecca8f9821761303d50814343db0
Author: Eugene Toder
Date: Wed, 30 Jul 2025 13:12:53 -0400
Allow creating PiecewiseZeroInflationCurve before baseDate is known
QuantLib's yield curves can be created before fetching market data,
which allows creating complex object graphs ahead of time and setting
market data (quotes and fixings) at a later stage. We use this feature
extensively in our code.
The new API for PiecewiseZeroInflationCurve does not offer the same
flexibility, since it requires baseDate to be set at the curve creation
time. BaseDate comes from inflation fixings, which means that the
fixings have to be fetched before the curve can be created.
Add another constructor for PiecewiseZeroInflationCurve, which takes a
function that returns the baseDate. This function will be called during
the curve's bootstrap, and the result will be cached. This allows one to
construct PiecewiseZeroInflationCurve first and fetch the fixings at a
later stage.
.../inflation/piecewisezeroinflationcurve.hpp | 33 +++++++++
ql/termstructures/inflationtermstructure.hpp | 9 +--
test-suite/inflation.cpp | 81 ++++++++++++++++++++++
3 files changed, 116 insertions(+), 7 deletions(-)
commit 73969f8987a0547583af672c3e43e5b70d4d61b5
Author: Luigi Ballabio
Date: Mon, 4 Aug 2025 15:08:29 +0200
Deprecate growthOnly parameter in CPI bond and helper
ql/instruments/bonds/cpibond.cpp | 27 +++++++++++++++++++++++++-
ql/instruments/bonds/cpibond.hpp | 21 ++++++++++++++++++++
ql/termstructures/yield/bondhelpers.cpp | 34 +++++++++++++++++++++++++++------
ql/termstructures/yield/bondhelpers.hpp | 23 ++++++++++++++++++++++
test-suite/inflationcpibond.cpp | 3 +--
test-suite/inflationcpiswap.cpp | 16 +++++++---------
6 files changed, 106 insertions(+), 18 deletions(-)
commit 5aa353277ec953ae7685949b05d94a1c956e7109
Author: Luigi Ballabio
Date: Mon, 4 Aug 2025 14:54:33 +0200
Change bond parameters in test
test-suite/inflationcpibond.cpp | 10 +++++-----
test-suite/inflationcpiswap.cpp | 6 ++----
2 files changed, 7 insertions(+), 9 deletions(-)
commit e0d7c1c6e0837fdf5b1033766c1eba64f60a6958
Author: Luigi Ballabio
Date: Mon, 4 Aug 2025 13:07:08 +0200
Update test message
test-suite/CMakeLists.txt | 2 +-
test-suite/softbarrieroption.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit cb6dadbaa062aabc60768a4dc1f7f2051c125781
Author: Luigi Ballabio
Date: Mon, 4 Aug 2025 11:15:23 +0200
Add new files to VC++ projects
QuantLib.vcxproj | 4 ++++
QuantLib.vcxproj.filters | 12 ++++++++++++
test-suite/Makefile.am | 1 +
test-suite/testsuite.vcxproj | 1 +
test-suite/testsuite.vcxproj.filters | 3 +++
5 files changed, 21 insertions(+)
commit ff0f9b896140a3c3735eee7dc9063cf31c5fcbeb
Author: Luigi Ballabio
Date: Mon, 4 Aug 2025 10:55:46 +0200
Remove duplicated entry in Makefile.am
ql/pricingengines/barrier/Makefile.am | 1 -
1 file changed, 1 deletion(-)
commit 38cca0694bf0cd78c0b1a623241206f8aa69f733
Merge: 537c6a3d6 3a31f7a50
Author: Luigi Ballabio
Date: Mon, 4 Aug 2025 08:46:42 +0200
Use double for constexpr to maintain AAD compatibility (#2282)
commit 537c6a3d682be1af9b0b1ca3caa4d0704e42fc3e
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 3 Aug 2025 01:33:00 +0000
Automated fixes by clang-tidy
ql/cashflows/rangeaccrual.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3a31f7a503b8458822a82232ecd7ca1478b99f81
Author: Auto Differentiation Dev Team <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Sat, 2 Aug 2025 08:40:48 +0100
Use double for constexpr to maintain AAD compatibility
ql/math/rounding.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit dce5df34d9d04fe41c4aa09ba88bb23f77c05ace
Author: wday0507
Date: Fri, 1 Aug 2025 19:36:43 +0100
r and q logic tweak
ql/pricingengines/barrier/analyticsoftbarrierengine.cpp | 13 ++++++++-----
ql/pricingengines/barrier/analyticsoftbarrierengine.hpp | 2 +-
2 files changed, 9 insertions(+), 6 deletions(-)
commit ad333f7144491c3191c900c05d855ab104cbb53c
Merge: 8c4f8f219 fc505bb15
Author: Luigi Ballabio
Date: Thu, 31 Jul 2025 15:34:09 +0200
Don't use `shared_ptr` (#2280)
commit fc505bb15b180693572f84b85b7bb75e6cb2180f
Author: Luigi Ballabio
Date: Thu, 31 Jul 2025 12:43:30 +0200
Don't use shared_ptr
ql/cashflows/rangeaccrual.cpp | 27 +++++++++++++--------------
ql/cashflows/rangeaccrual.hpp | 40 +++++++++++++++++++++++++++++++++++-----
test-suite/rangeaccrual.cpp | 12 ++++++------
3 files changed, 54 insertions(+), 25 deletions(-)
commit 403e734ed4e980c5bc99251b972850ed5a01b8ee
Author: wday0507
Date: Thu, 31 Jul 2025 07:54:03 +0100
removed text from cmakelists file
test-suite/CMakeLists.txt | 11 +----------
1 file changed, 1 insertion(+), 10 deletions(-)
commit bbf5933f301fcdeea638d70df5832f17a815fd09
Author: wday0507
Date: Mon, 28 Jul 2025 18:38:18 +0100
changes as per feedback
.gitignore | 1 +
ql/CMakeLists.txt | 2 -
ql/instruments/Makefile.am | 2 -
ql/instruments/all.hpp | 1 -
ql/instruments/softbarrieroption.cpp | 20 +--
ql/instruments/softbarrieroption.hpp | 15 +-
ql/instruments/softbarriertype.cpp | 42 ------
ql/instruments/softbarriertype.hpp | 49 -------
.../barrier/analyticsoftbarrierengine.cpp | 154 +++++++++++++--------
.../barrier/analyticsoftbarrierengine.hpp | 5 +-
test-suite/CMakeLists.txt | 9 ++
test-suite/softbarrieroption.cpp | 144 +++++++++----------
12 files changed, 187 insertions(+), 257 deletions(-)
commit 8c4f8f219447aa00bc8286fe0d5e69b396aee5fc
Merge: b9bfd5ec4 277fcf482
Author: Luigi Ballabio
Date: Wed, 30 Jul 2025 10:01:45 +0200
Renamed Tona to Tonar (#2277)
commit 277fcf482c0c4b78ce7f4d7839a5f664cbd81347
Author: Luigi Ballabio
Date: Tue, 29 Jul 2025 16:01:11 +0200
Renamed Tona to Tonar
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
cmake/GenerateHeaders.cmake | 1 +
ql/CMakeLists.txt | 1 +
ql/indexes/ibor/Makefile.am | 3 ++-
ql/indexes/ibor/all.hpp | 2 +-
ql/indexes/ibor/tona.hpp | 27 +++----------------
ql/indexes/ibor/tonar.hpp | 54 +++++++++++++++++++++++++++++++++++++
test-suite/overnightindexedswap.cpp | 4 +--
9 files changed, 68 insertions(+), 28 deletions(-)
commit b9bfd5ec4b5887becd7e7b536295b210e81d883d
Merge: b8b211331 8774abd01
Author: Luigi Ballabio
Date: Tue, 29 Jul 2025 10:27:20 +0200
Support pillar dates > latestRelevantDate in IterativeBootstrap (#2262)
commit b8b2113316fca8082c15a07fcd5d3581ed173895
Merge: 98e4c3a8f 2e334cb81
Author: Luigi Ballabio
Date: Tue, 29 Jul 2025 09:40:22 +0200
Replacing std::pow() with test-specific LUT implementation for rounding tests in quantlib benchmarking. (#2270)
commit 2e334cb81336a4a789f64d4b19d911d8125610fb
Author: Luigi Ballabio
Date: Tue, 29 Jul 2025 08:58:42 +0200
Single Doxygen block as usual
ql/math/rounding.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit a89c92db188584e3aa24703829f131b8048d555e
Author: Vladimir Polin
Date: Mon, 28 Jul 2025 09:24:53 -0700
supported rounding range added to doxygen, comments refactored
ql/math/rounding.cpp | 8 ++++----
ql/math/rounding.hpp | 6 +++++-
2 files changed, 9 insertions(+), 5 deletions(-)
commit 98e4c3a8ff619bac30d2d543b478c8555c48e882
Merge: 5cebf11ae cc8f6e078
Author: Luigi Ballabio
Date: Mon, 28 Jul 2025 18:15:33 +0200
Refactor LocalBootstrap's PenaltyFunction (#2272)
commit 8774abd01ef0a18c36fe9dd8076617c1dc4033eb
Author: Eugene Toder
Date: Thu, 10 Jul 2025 15:41:54 -0400
Support pillar dates > latestRelevantDate in IterativeBootstrap
Also, don't copy data into previousData when not doing convergence loop
and when we don't have valid data to copy.
ql/termstructures/iterativebootstrap.hpp | 28 +++++++++++++++-------------
1 file changed, 15 insertions(+), 13 deletions(-)
commit cc8f6e078adb846507a4236f1034b79b3e783337
Author: Luigi Ballabio
Date: Mon, 28 Jul 2025 17:08:56 +0200
Mark deprecation in Doxygen comment, add version
ql/termstructures/localbootstrap.hpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit 14837e589d6a222dceb130aec7c07b06add069d8
Author: Eugene Toder
Date: Mon, 28 Jul 2025 10:51:22 -0400
Put back PenaltyFunction and deprecate it
ql/termstructures/localbootstrap.hpp | 79 ++++++++++++++++++++++++++++++++++++
1 file changed, 79 insertions(+)
commit 5cebf11aeab7459c957061a882fff3db8e55d55d
Merge: 7b1594f78 ba8a7352b
Author: Luigi Ballabio
Date: Mon, 28 Jul 2025 12:46:16 +0200
Auto-enable extrapolation for ForwardSpreadedTermStructure (#2273)
commit 7b1594f7827a5e78e02a225653956672475e9016
Merge: 7cb490eb2 3e31667b0
Author: Luigi Ballabio
Date: Mon, 28 Jul 2025 10:48:21 +0200
Expose swap on inflation swap bootstrap helpers (#2275)
commit 7cb490eb20e04030045bb5c9f5e48317fcc70b80
Merge: ce589631e 2e0b3ca66
Author: Luigi Ballabio
Date: Mon, 28 Jul 2025 10:47:05 +0200
Cleanup includes in interpolated curves (#2274)
commit 88a7ee69dd3c6867633c36ebcdd19308a557c8e2
Author: Ignacio Peña <5396413+ipenas-cl@users.noreply.github.com>
Date: Sat, 26 Jul 2025 16:49:22 +0000
Fix dangling reference in MultiCubicSpline default parameter
Replace temporary std::vector(20, false) with static local
variable to eliminate dangling reference when constructor called
without third argument. Maintains reference semantics and API
compatibility while ensuring thread-safe initialization.
Fixes #2183
ql/math/interpolations/multicubicspline.hpp | 18 +++++++++++++-----
1 file changed, 13 insertions(+), 5 deletions(-)
commit 3e31667b01d0b068bc65832162a2ca4f3b61c3d1
Author: Eugene Toder
Date: Fri, 25 Jul 2025 16:16:17 -0400
Expose swap on inflation swap bootstrap helpers
ql/termstructures/inflation/inflationhelpers.hpp | 12 ++++++++++--
1 file changed, 10 insertions(+), 2 deletions(-)
commit 2e0b3ca66bdbafb219666f2dbcf8a860e4a8d188
Author: Eugene Toder
Date: Sun, 18 May 2025 16:50:47 -0400
Cleanup includes in interpolated curves
Include ql/math/comparison.hpp in interpolatedcurve.hpp, where it is
actually used, instead of in the files that include
interpolatedcurve.hpp.
ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp | 1 -
ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp | 1 -
ql/termstructures/interpolatedcurve.hpp | 1 +
ql/termstructures/yield/discountcurve.hpp | 1 -
ql/termstructures/yield/forwardcurve.hpp | 1 -
ql/termstructures/yield/interpolatedsimplezerocurve.hpp | 2 --
ql/termstructures/yield/zerocurve.hpp | 1 -
7 files changed, 1 insertion(+), 7 deletions(-)
commit ba8a7352bd8a8fc5f08edeadabed96daca285235
Author: Eugene Toder
Date: Fri, 25 Jul 2025 11:13:44 -0400
Auto-enable extrapolation for ForwardSpreadedTermStructure
Based on the original curve for consistency with ZeroSpreadedTermStructure.
ql/termstructures/yield/forwardspreadedtermstructure.hpp | 3 +++
1 file changed, 3 insertions(+)
commit 60004b13b690bc38a91fe5de8820c6b99080ff3b
Author: Eugene Toder
Date: Fri, 25 Jul 2025 11:08:48 -0400
Refactor LocalBootstrap's PenaltyFunction
So that it does not pollute global namespace and does not need to be a
friend of PiecewiseYieldCurve.
ql/termstructures/localbootstrap.hpp | 94 ++++---------------------
ql/termstructures/yield/piecewiseyieldcurve.hpp | 2 -
test-suite/piecewiseyieldcurve.cpp | 1 +
3 files changed, 14 insertions(+), 83 deletions(-)
commit ce589631e8687fc3d57eae7139823e371c771f70
Merge: 0e8f1c915 934b9c2c7
Author: Luigi Ballabio
Date: Fri, 25 Jul 2025 15:52:07 +0200
Remove BootstrapError class (#2263)
commit 0e8f1c9155b53f758e9838644360326b2329e2a7
Merge: e33ca6c23 b9c8b6c93
Author: Luigi Ballabio
Date: Fri, 25 Jul 2025 14:21:01 +0200
Allow specifying float BusinessDayConvention in SwapRateHelper (#2269)
commit da00b8669fe327e106ec6073d7174488f2f5d5c2
Author: Luigi Ballabio
Date: Fri, 25 Jul 2025 12:27:24 +0200
Restore and deprecate BootstrapError
This reverts commit 49ecdca9a14e9268c5d1fed26b5359405a00b107.
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 ++
ql/CMakeLists.txt | 1 +
ql/termstructures/Makefile.am | 1 +
ql/termstructures/all.hpp | 1 +
ql/termstructures/bootstraperror.hpp | 79 ++++++++++++++++++++++++++++++++++++
6 files changed, 86 insertions(+)
commit e33ca6c2322809e13d260d59cdf297057814709a
Merge: b7e142b96 ded9529b3
Author: Luigi Ballabio
Date: Fri, 25 Jul 2025 11:50:44 +0200
Allow specifying BusinessDayConvention in OISRateHelper (#2264)
commit dce60798ccfd8cd4e89c0940c66c44c82306eff0
Author: wday0507
Date: Fri, 25 Jul 2025 08:55:34 +0100
Remove extra text from CMakeLists.txt
test-suite/CMakeLists.txt | 3 ---
1 file changed, 3 deletions(-)
commit b1b44983baf62119dbb552231d47f1593bbcf111
Author: wday0507
Date: Fri, 25 Jul 2025 08:53:23 +0100
Remove extra text from CMakeLists.txt
test-suite/CMakeLists.txt | 5 +----
1 file changed, 1 insertion(+), 4 deletions(-)
commit c9bede70cb766c7f3e018d57d5137271c7923605
Author: wday0507
Date: Fri, 25 Jul 2025 08:46:53 +0100
Remove installed files accidentally committed
install/include/ql/CMakeLists.txt | 2477 -
install/include/ql/Makefile.am | 182 -
install/include/ql/any.hpp | 49 -
install/include/ql/auto_link.hpp | 64 -
install/include/ql/cashflow.cpp | 71 -
install/include/ql/cashflow.hpp | 90 -
install/include/ql/cashflows/Makefile.am | 111 -
install/include/ql/cashflows/all.hpp | 38 -
install/include/ql/cashflows/averagebmacoupon.cpp | 254 -
install/include/ql/cashflows/averagebmacoupon.hpp | 108 -
install/include/ql/cashflows/capflooredcoupon.cpp | 145 -
install/include/ql/cashflows/capflooredcoupon.hpp | 169 -
.../ql/cashflows/capflooredinflationcoupon.cpp | 152 -
.../ql/cashflows/capflooredinflationcoupon.hpp | 166 -
install/include/ql/cashflows/cashflows.cpp | 1258 -
install/include/ql/cashflows/cashflows.hpp | 454 -
install/include/ql/cashflows/cashflowvectors.cpp | 55 -
install/include/ql/cashflows/cashflowvectors.hpp | 274 -
install/include/ql/cashflows/cmscoupon.cpp | 164 -
install/include/ql/cashflows/cmscoupon.hpp | 113 -
install/include/ql/cashflows/conundrumpricer.cpp | 987 -
install/include/ql/cashflows/conundrumpricer.hpp | 331 -
install/include/ql/cashflows/coupon.cpp | 88 -
install/include/ql/cashflows/coupon.hpp | 122 -
install/include/ql/cashflows/couponpricer.cpp | 480 -
install/include/ql/cashflows/couponpricer.hpp | 241 -
install/include/ql/cashflows/cpicoupon.cpp | 354 -
install/include/ql/cashflows/cpicoupon.hpp | 294 -
install/include/ql/cashflows/cpicouponpricer.cpp | 144 -
install/include/ql/cashflows/cpicouponpricer.hpp | 97 -
install/include/ql/cashflows/digitalcmscoupon.cpp | 205 -
install/include/ql/cashflows/digitalcmscoupon.hpp | 112 -
install/include/ql/cashflows/digitalcoupon.cpp | 333 -
install/include/ql/cashflows/digitalcoupon.hpp | 191 -
install/include/ql/cashflows/digitaliborcoupon.cpp | 205 -
install/include/ql/cashflows/digitaliborcoupon.hpp | 112 -
install/include/ql/cashflows/dividend.cpp | 54 -
install/include/ql/cashflows/dividend.hpp | 108 -
install/include/ql/cashflows/duration.cpp | 42 -
install/include/ql/cashflows/duration.hpp | 45 -
install/include/ql/cashflows/equitycashflow.cpp | 135 -
install/include/ql/cashflows/equitycashflow.hpp | 107 -
install/include/ql/cashflows/fixedratecoupon.cpp | 277 -
install/include/ql/cashflows/fixedratecoupon.hpp | 140 -
.../include/ql/cashflows/floatingratecoupon.cpp | 105 -
.../include/ql/cashflows/floatingratecoupon.hpp | 155 -
install/include/ql/cashflows/iborcoupon.cpp | 289 -
install/include/ql/cashflows/iborcoupon.hpp | 186 -
install/include/ql/cashflows/indexedcashflow.cpp | 53 -
install/include/ql/cashflows/indexedcashflow.hpp | 98 -
install/include/ql/cashflows/inflationcoupon.cpp | 104 -
install/include/ql/cashflows/inflationcoupon.hpp | 132 -
.../include/ql/cashflows/inflationcouponpricer.cpp | 213 -
.../include/ql/cashflows/inflationcouponpricer.hpp | 209 -
install/include/ql/cashflows/lineartsrpricer.cpp | 437 -
install/include/ql/cashflows/lineartsrpricer.hpp | 252 -
.../include/ql/cashflows/multipleresetscoupon.cpp | 502 -
.../include/ql/cashflows/multipleresetscoupon.hpp | 265 -
.../ql/cashflows/overnightindexedcoupon.cpp | 340 -
.../ql/cashflows/overnightindexedcoupon.hpp | 159 -
.../ql/cashflows/overnightindexedcouponpricer.cpp | 280 -
.../ql/cashflows/overnightindexedcouponpricer.hpp | 91 -
install/include/ql/cashflows/rangeaccrual.cpp | 698 -
install/include/ql/cashflows/rangeaccrual.hpp | 234 -
install/include/ql/cashflows/rateaveraging.hpp | 52 -
install/include/ql/cashflows/replication.cpp | 43 -
install/include/ql/cashflows/replication.hpp | 57 -
install/include/ql/cashflows/simplecashflow.cpp | 34 -
install/include/ql/cashflows/simplecashflow.hpp | 116 -
install/include/ql/cashflows/subperiodcoupon.hpp | 29 -
install/include/ql/cashflows/timebasket.cpp | 77 -
install/include/ql/cashflows/timebasket.hpp | 98 -
.../include/ql/cashflows/yoyinflationcoupon.cpp | 260 -
.../include/ql/cashflows/yoyinflationcoupon.hpp | 164 -
.../include/ql/cashflows/zeroinflationcashflow.cpp | 57 -
.../include/ql/cashflows/zeroinflationcashflow.hpp | 82 -
install/include/ql/compounding.hpp | 57 -
install/include/ql/config.ansi.hpp | 27 -
install/include/ql/config.hpp.cfg | 46 -
install/include/ql/config.mingw.hpp | 27 -
install/include/ql/config.msvc.hpp | 69 -
install/include/ql/config.sun.hpp | 44 -
install/include/ql/currencies/Makefile.am | 57 -
install/include/ql/currencies/africa.cpp | 110 -
install/include/ql/currencies/africa.hpp | 187 -
install/include/ql/currencies/all.hpp | 11 -
install/include/ql/currencies/america.cpp | 165 -
install/include/ql/currencies/america.hpp | 223 -
install/include/ql/currencies/asia.cpp | 259 -
install/include/ql/currencies/asia.hpp | 340 -
install/include/ql/currencies/crypto.cpp | 94 -
install/include/ql/currencies/crypto.hpp | 123 -
install/include/ql/currencies/europe.cpp | 391 -
install/include/ql/currencies/europe.hpp | 536 -
.../include/ql/currencies/exchangeratemanager.cpp | 203 -
.../include/ql/currencies/exchangeratemanager.hpp | 102 -
install/include/ql/currencies/oceania.cpp | 47 -
install/include/ql/currencies/oceania.hpp | 67 -
install/include/ql/currency.cpp | 65 -
install/include/ql/currency.hpp | 191 -
install/include/ql/default.hpp | 38 -
install/include/ql/discretizedasset.cpp | 54 -
install/include/ql/discretizedasset.hpp | 248 -
install/include/ql/errors.cpp | 102 -
install/include/ql/errors.hpp | 142 -
install/include/ql/event.cpp | 49 -
install/include/ql/event.hpp | 83 -
install/include/ql/exchangerate.cpp | 79 -
install/include/ql/exchangerate.hpp | 108 -
install/include/ql/exercise.cpp | 65 -
install/include/ql/exercise.hpp | 104 -
install/include/ql/experimental/Makefile.am | 53 -
install/include/ql/experimental/all.hpp | 29 -
install/include/ql/experimental/asian/Makefile.am | 47 -
install/include/ql/experimental/asian/all.hpp | 6 -
.../asian/analytic_cont_geom_av_price_heston.cpp | 287 -
.../asian/analytic_cont_geom_av_price_heston.hpp | 133 -
.../asian/analytic_discr_geom_av_price_heston.cpp | 312 -
.../asian/analytic_discr_geom_av_price_heston.hpp | 142 -
.../include/ql/experimental/averageois/Makefile.am | 50 -
install/include/ql/experimental/averageois/all.hpp | 7 -
.../averageois/arithmeticaverageois.cpp | 150 -
.../averageois/arithmeticaverageois.hpp | 117 -
.../averageois/arithmeticoisratehelper.cpp | 113 -
.../averageois/arithmeticoisratehelper.hpp | 91 -
.../averageois/averageoiscouponpricer.hpp | 28 -
.../averageois/makearithmeticaverageois.cpp | 241 -
.../averageois/makearithmeticaverageois.hpp | 105 -
.../ql/experimental/barrieroption/Makefile.am | 58 -
.../include/ql/experimental/barrieroption/all.hpp | 13 -
.../barrieroption/binomialdoublebarrierengine.hpp | 171 -
.../discretizeddoublebarrieroption.cpp | 232 -
.../discretizeddoublebarrieroption.hpp | 95 -
.../barrieroption/mcdoublebarrierengine.cpp | 98 -
.../barrieroption/mcdoublebarrierengine.hpp | 295 -
.../perturbativebarrieroptionengine.cpp | 1550 -
.../perturbativebarrieroptionengine.hpp | 57 -
.../barrieroption/quantodoublebarrieroption.cpp | 70 -
.../barrieroption/quantodoublebarrieroption.hpp | 64 -
.../barrieroption/suowangdoublebarrierengine.cpp | 171 -
.../barrieroption/suowangdoublebarrierengine.hpp | 67 -
.../barrieroption/vannavolgabarrierengine.cpp | 363 -
.../barrieroption/vannavolgabarrierengine.hpp | 68 -
.../vannavolgadoublebarrierengine.hpp | 422 -
.../barrieroption/vannavolgainterpolation.hpp | 155 -
.../ql/experimental/basismodels/Makefile.am | 49 -
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.../ql/experimental/basismodels/swaptioncfs.cpp | 134 -
.../ql/experimental/basismodels/swaptioncfs.hpp | 94 -
.../experimental/basismodels/tenoroptionletvts.cpp | 110 -
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.../experimental/basismodels/tenorswaptionvts.hpp | 129 -
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.../callablebonds/blackcallablebondengine.cpp | 177 -
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.../ql/experimental/callablebonds/callablebond.cpp | 536 -
.../ql/experimental/callablebonds/callablebond.hpp | 236 -
.../callablebonds/callablebondconstantvol.cpp | 82 -
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.../callablebonds/callablebondvolstructure.cpp | 79 -
.../callablebonds/callablebondvolstructure.hpp | 256 -
.../discretizedcallablefixedratebond.cpp | 191 -
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.../callablebonds/treecallablebondengine.cpp | 90 -
.../callablebonds/treecallablebondengine.hpp | 82 -
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install/include/ql/experimental/catbonds/all.hpp | 8 -
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.../include/ql/experimental/catbonds/catrisk.cpp | 135 -
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.../catbonds/montecarlocatbondengine.cpp | 136 -
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.../experimental/commodities/commoditycashflow.cpp | 63 -
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.../ql/experimental/commodities/commoditycurve.hpp | 228 -
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.../ql/experimental/commodities/commodityindex.hpp | 218 -
.../commodities/commoditypricinghelpers.cpp | 65 -
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.../experimental/commodities/commoditysettings.cpp | 38 -
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.../experimental/commodities/energybasisswap.cpp | 310 -
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.../ql/experimental/commodities/energyfuture.cpp | 119 -
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.../experimental/commodities/energyvanillaswap.cpp | 270 -
.../experimental/commodities/energyvanillaswap.hpp | 75 -
.../experimental/commodities/exchangecontract.hpp | 79 -
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.../commodities/petroleumunitsofmeasure.hpp | 102 -
.../ql/experimental/commodities/pricingperiod.hpp | 54 -
.../ql/experimental/commodities/quantity.cpp | 208 -
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.../commodities/unitofmeasureconversion.cpp | 125 -
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.../include/ql/experimental/coupons/Makefile.am | 57 -
install/include/ql/experimental/coupons/all.hpp | 11 -
.../ql/experimental/coupons/cmsspreadcoupon.cpp | 145 -
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install/include/ql/time/date.cpp | 1006 -
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2481 files changed, 439464 deletions(-)
commit bfbe6cc7c1eb0263137768443b7a6347bb9d95d5
Author: wday0507
Date: Fri, 25 Jul 2025 08:35:28 +0100
Final changes to soft barrier option instrument / pricing
ql/instruments/softbarrieroption.cpp | 5 +-
ql/instruments/softbarrieroption.hpp | 13 +-
ql/instruments/softbarriertype.hpp | 2 +-
.../barrier/analyticsoftbarrierengine.cpp | 87 ++------
.../barrier/analyticsoftbarrierengine.hpp | 11 +-
test-suite/CMakeLists.txt | 7 +
test-suite/softbarrieroption.cpp | 220 ++++++++++++---------
7 files changed, 160 insertions(+), 185 deletions(-)
commit d7613fa02dc01449d5ef8eeca0f29a6f6ecc629a
Author: wday0507
Date: Mon, 21 Jul 2025 17:20:08 +0100
Ongoing edits to soft barrier pricing logic
install/include/ql/CMakeLists.txt | 2477 +
install/include/ql/Makefile.am | 182 +
install/include/ql/any.hpp | 49 +
install/include/ql/auto_link.hpp | 64 +
install/include/ql/cashflow.cpp | 71 +
install/include/ql/cashflow.hpp | 90 +
install/include/ql/cashflows/Makefile.am | 111 +
install/include/ql/cashflows/all.hpp | 38 +
install/include/ql/cashflows/averagebmacoupon.cpp | 254 +
install/include/ql/cashflows/averagebmacoupon.hpp | 108 +
install/include/ql/cashflows/capflooredcoupon.cpp | 145 +
install/include/ql/cashflows/capflooredcoupon.hpp | 169 +
.../ql/cashflows/capflooredinflationcoupon.cpp | 152 +
.../ql/cashflows/capflooredinflationcoupon.hpp | 166 +
install/include/ql/cashflows/cashflows.cpp | 1258 +
install/include/ql/cashflows/cashflows.hpp | 454 +
install/include/ql/cashflows/cashflowvectors.cpp | 55 +
install/include/ql/cashflows/cashflowvectors.hpp | 274 +
install/include/ql/cashflows/cmscoupon.cpp | 164 +
install/include/ql/cashflows/cmscoupon.hpp | 113 +
install/include/ql/cashflows/conundrumpricer.cpp | 987 +
install/include/ql/cashflows/conundrumpricer.hpp | 331 +
install/include/ql/cashflows/coupon.cpp | 88 +
install/include/ql/cashflows/coupon.hpp | 122 +
install/include/ql/cashflows/couponpricer.cpp | 480 +
install/include/ql/cashflows/couponpricer.hpp | 241 +
install/include/ql/cashflows/cpicoupon.cpp | 354 +
install/include/ql/cashflows/cpicoupon.hpp | 294 +
install/include/ql/cashflows/cpicouponpricer.cpp | 144 +
install/include/ql/cashflows/cpicouponpricer.hpp | 97 +
install/include/ql/cashflows/digitalcmscoupon.cpp | 205 +
install/include/ql/cashflows/digitalcmscoupon.hpp | 112 +
install/include/ql/cashflows/digitalcoupon.cpp | 333 +
install/include/ql/cashflows/digitalcoupon.hpp | 191 +
install/include/ql/cashflows/digitaliborcoupon.cpp | 205 +
install/include/ql/cashflows/digitaliborcoupon.hpp | 112 +
install/include/ql/cashflows/dividend.cpp | 54 +
install/include/ql/cashflows/dividend.hpp | 108 +
install/include/ql/cashflows/duration.cpp | 42 +
install/include/ql/cashflows/duration.hpp | 45 +
install/include/ql/cashflows/equitycashflow.cpp | 135 +
install/include/ql/cashflows/equitycashflow.hpp | 107 +
install/include/ql/cashflows/fixedratecoupon.cpp | 277 +
install/include/ql/cashflows/fixedratecoupon.hpp | 140 +
.../include/ql/cashflows/floatingratecoupon.cpp | 105 +
.../include/ql/cashflows/floatingratecoupon.hpp | 155 +
install/include/ql/cashflows/iborcoupon.cpp | 289 +
install/include/ql/cashflows/iborcoupon.hpp | 186 +
install/include/ql/cashflows/indexedcashflow.cpp | 53 +
install/include/ql/cashflows/indexedcashflow.hpp | 98 +
install/include/ql/cashflows/inflationcoupon.cpp | 104 +
install/include/ql/cashflows/inflationcoupon.hpp | 132 +
.../include/ql/cashflows/inflationcouponpricer.cpp | 213 +
.../include/ql/cashflows/inflationcouponpricer.hpp | 209 +
install/include/ql/cashflows/lineartsrpricer.cpp | 437 +
install/include/ql/cashflows/lineartsrpricer.hpp | 252 +
.../include/ql/cashflows/multipleresetscoupon.cpp | 502 +
.../include/ql/cashflows/multipleresetscoupon.hpp | 265 +
.../ql/cashflows/overnightindexedcoupon.cpp | 340 +
.../ql/cashflows/overnightindexedcoupon.hpp | 159 +
.../ql/cashflows/overnightindexedcouponpricer.cpp | 280 +
.../ql/cashflows/overnightindexedcouponpricer.hpp | 91 +
install/include/ql/cashflows/rangeaccrual.cpp | 698 +
install/include/ql/cashflows/rangeaccrual.hpp | 234 +
install/include/ql/cashflows/rateaveraging.hpp | 52 +
install/include/ql/cashflows/replication.cpp | 43 +
install/include/ql/cashflows/replication.hpp | 57 +
install/include/ql/cashflows/simplecashflow.cpp | 34 +
install/include/ql/cashflows/simplecashflow.hpp | 116 +
install/include/ql/cashflows/subperiodcoupon.hpp | 29 +
install/include/ql/cashflows/timebasket.cpp | 77 +
install/include/ql/cashflows/timebasket.hpp | 98 +
.../include/ql/cashflows/yoyinflationcoupon.cpp | 260 +
.../include/ql/cashflows/yoyinflationcoupon.hpp | 164 +
.../include/ql/cashflows/zeroinflationcashflow.cpp | 57 +
.../include/ql/cashflows/zeroinflationcashflow.hpp | 82 +
install/include/ql/compounding.hpp | 57 +
install/include/ql/config.ansi.hpp | 27 +
install/include/ql/config.hpp.cfg | 46 +
install/include/ql/config.mingw.hpp | 27 +
install/include/ql/config.msvc.hpp | 69 +
install/include/ql/config.sun.hpp | 44 +
install/include/ql/currencies/Makefile.am | 57 +
install/include/ql/currencies/africa.cpp | 110 +
install/include/ql/currencies/africa.hpp | 187 +
install/include/ql/currencies/all.hpp | 11 +
install/include/ql/currencies/america.cpp | 165 +
install/include/ql/currencies/america.hpp | 223 +
install/include/ql/currencies/asia.cpp | 259 +
install/include/ql/currencies/asia.hpp | 340 +
install/include/ql/currencies/crypto.cpp | 94 +
install/include/ql/currencies/crypto.hpp | 123 +
install/include/ql/currencies/europe.cpp | 391 +
install/include/ql/currencies/europe.hpp | 536 +
.../include/ql/currencies/exchangeratemanager.cpp | 203 +
.../include/ql/currencies/exchangeratemanager.hpp | 102 +
install/include/ql/currencies/oceania.cpp | 47 +
install/include/ql/currencies/oceania.hpp | 67 +
install/include/ql/currency.cpp | 65 +
install/include/ql/currency.hpp | 191 +
install/include/ql/default.hpp | 38 +
install/include/ql/discretizedasset.cpp | 54 +
install/include/ql/discretizedasset.hpp | 248 +
install/include/ql/errors.cpp | 102 +
install/include/ql/errors.hpp | 142 +
install/include/ql/event.cpp | 49 +
install/include/ql/event.hpp | 83 +
install/include/ql/exchangerate.cpp | 79 +
install/include/ql/exchangerate.hpp | 108 +
install/include/ql/exercise.cpp | 65 +
install/include/ql/exercise.hpp | 104 +
install/include/ql/experimental/Makefile.am | 53 +
install/include/ql/experimental/all.hpp | 29 +
install/include/ql/experimental/asian/Makefile.am | 47 +
install/include/ql/experimental/asian/all.hpp | 6 +
.../asian/analytic_cont_geom_av_price_heston.cpp | 287 +
.../asian/analytic_cont_geom_av_price_heston.hpp | 133 +
.../asian/analytic_discr_geom_av_price_heston.cpp | 312 +
.../asian/analytic_discr_geom_av_price_heston.hpp | 142 +
.../include/ql/experimental/averageois/Makefile.am | 50 +
install/include/ql/experimental/averageois/all.hpp | 7 +
.../averageois/arithmeticaverageois.cpp | 150 +
.../averageois/arithmeticaverageois.hpp | 117 +
.../averageois/arithmeticoisratehelper.cpp | 113 +
.../averageois/arithmeticoisratehelper.hpp | 91 +
.../averageois/averageoiscouponpricer.hpp | 28 +
.../averageois/makearithmeticaverageois.cpp | 241 +
.../averageois/makearithmeticaverageois.hpp | 105 +
.../ql/experimental/barrieroption/Makefile.am | 58 +
.../include/ql/experimental/barrieroption/all.hpp | 13 +
.../barrieroption/binomialdoublebarrierengine.hpp | 171 +
.../discretizeddoublebarrieroption.cpp | 232 +
.../discretizeddoublebarrieroption.hpp | 95 +
.../barrieroption/mcdoublebarrierengine.cpp | 98 +
.../barrieroption/mcdoublebarrierengine.hpp | 295 +
.../perturbativebarrieroptionengine.cpp | 1550 +
.../perturbativebarrieroptionengine.hpp | 57 +
.../barrieroption/quantodoublebarrieroption.cpp | 70 +
.../barrieroption/quantodoublebarrieroption.hpp | 64 +
.../barrieroption/suowangdoublebarrierengine.cpp | 171 +
.../barrieroption/suowangdoublebarrierengine.hpp | 67 +
.../barrieroption/vannavolgabarrierengine.cpp | 363 +
.../barrieroption/vannavolgabarrierengine.hpp | 68 +
.../vannavolgadoublebarrierengine.hpp | 422 +
.../barrieroption/vannavolgainterpolation.hpp | 155 +
.../ql/experimental/basismodels/Makefile.am | 49 +
.../include/ql/experimental/basismodels/all.hpp | 7 +
.../ql/experimental/basismodels/swaptioncfs.cpp | 134 +
.../ql/experimental/basismodels/swaptioncfs.hpp | 94 +
.../experimental/basismodels/tenoroptionletvts.cpp | 110 +
.../experimental/basismodels/tenoroptionletvts.hpp | 137 +
.../experimental/basismodels/tenorswaptionvts.cpp | 138 +
.../experimental/basismodels/tenorswaptionvts.hpp | 129 +
.../ql/experimental/callablebonds/Makefile.am | 55 +
.../include/ql/experimental/callablebonds/all.hpp | 10 +
.../callablebonds/blackcallablebondengine.cpp | 177 +
.../callablebonds/blackcallablebondengine.hpp | 93 +
.../ql/experimental/callablebonds/callablebond.cpp | 536 +
.../ql/experimental/callablebonds/callablebond.hpp | 236 +
.../callablebonds/callablebondconstantvol.cpp | 82 +
.../callablebonds/callablebondconstantvol.hpp | 98 +
.../callablebonds/callablebondvolstructure.cpp | 79 +
.../callablebonds/callablebondvolstructure.hpp | 256 +
.../discretizedcallablefixedratebond.cpp | 191 +
.../discretizedcallablefixedratebond.hpp | 57 +
.../callablebonds/treecallablebondengine.cpp | 90 +
.../callablebonds/treecallablebondengine.hpp | 82 +
.../include/ql/experimental/catbonds/Makefile.am | 51 +
install/include/ql/experimental/catbonds/all.hpp | 8 +
.../include/ql/experimental/catbonds/catbond.cpp | 168 +
.../include/ql/experimental/catbonds/catbond.hpp | 137 +
.../include/ql/experimental/catbonds/catrisk.cpp | 135 +
.../include/ql/experimental/catbonds/catrisk.hpp | 133 +
.../catbonds/montecarlocatbondengine.cpp | 136 +
.../catbonds/montecarlocatbondengine.hpp | 66 +
.../ql/experimental/catbonds/riskynotional.cpp | 59 +
.../ql/experimental/catbonds/riskynotional.hpp | 123 +
.../ql/experimental/commodities/Makefile.am | 84 +
.../include/ql/experimental/commodities/all.hpp | 26 +
.../ql/experimental/commodities/commodity.cpp | 98 +
.../ql/experimental/commodities/commodity.hpp | 80 +
.../experimental/commodities/commoditycashflow.cpp | 63 +
.../experimental/commodities/commoditycashflow.hpp | 96 +
.../ql/experimental/commodities/commoditycurve.cpp | 107 +
.../ql/experimental/commodities/commoditycurve.hpp | 228 +
.../ql/experimental/commodities/commodityindex.cpp | 61 +
.../ql/experimental/commodities/commodityindex.hpp | 218 +
.../commodities/commoditypricinghelpers.cpp | 65 +
.../commodities/commoditypricinghelpers.hpp | 118 +
.../experimental/commodities/commoditysettings.cpp | 38 +
.../experimental/commodities/commoditysettings.hpp | 51 +
.../ql/experimental/commodities/commoditytype.cpp | 48 +
.../ql/experimental/commodities/commoditytype.hpp | 118 +
.../experimental/commodities/commodityunitcost.cpp | 33 +
.../experimental/commodities/commodityunitcost.hpp | 52 +
.../ql/experimental/commodities/dateinterval.cpp | 30 +
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.../volatility/spreadedsmilesection.hpp | 98 +
.../termstructures/volatility/swaption/Makefile.am | 64 +
.../ql/termstructures/volatility/swaption/all.hpp | 15 +
.../volatility/swaption/cmsmarket.cpp | 264 +
.../volatility/swaption/cmsmarket.hpp | 117 +
.../volatility/swaption/cmsmarketcalibration.cpp | 576 +
.../volatility/swaption/cmsmarketcalibration.hpp | 98 +
.../swaption/gaussian1dswaptionvolatility.cpp | 72 +
.../swaption/gaussian1dswaptionvolatility.hpp | 91 +
.../interpolatedswaptionvolatilitycube.cpp | 115 +
.../interpolatedswaptionvolatilitycube.hpp | 80 +
.../swaption/sabrswaptionvolatilitycube.hpp | 1182 +
.../volatility/swaption/spreadedswaptionvol.cpp | 67 +
.../volatility/swaption/spreadedswaptionvol.hpp | 126 +
.../volatility/swaption/swaptionconstantvol.cpp | 111 +
.../volatility/swaption/swaptionconstantvol.hpp | 132 +
.../volatility/swaption/swaptionvolcube.cpp | 146 +
.../volatility/swaption/swaptionvolcube.hpp | 138 +
.../volatility/swaption/swaptionvoldiscrete.cpp | 197 +
.../volatility/swaption/swaptionvoldiscrete.hpp | 126 +
.../volatility/swaption/swaptionvolmatrix.cpp | 329 +
.../volatility/swaption/swaptionvolmatrix.hpp | 210 +
.../volatility/swaption/swaptionvolstructure.cpp | 90 +
.../volatility/swaption/swaptionvolstructure.hpp | 491 +
.../termstructures/volatility/volatilitytype.hpp | 49 +
.../include/ql/termstructures/voltermstructure.cpp | 48 +
.../include/ql/termstructures/voltermstructure.hpp | 92 +
.../include/ql/termstructures/yield/Makefile.am | 75 +
install/include/ql/termstructures/yield/all.hpp | 27 +
.../ql/termstructures/yield/bondhelpers.cpp | 158 +
.../ql/termstructures/yield/bondhelpers.hpp | 143 +
.../ql/termstructures/yield/bootstraptraits.hpp | 410 +
.../yield/compositezeroyieldstructure.hpp | 143 +
.../ql/termstructures/yield/discountcurve.hpp | 265 +
.../yield/fittedbonddiscountcurve.cpp | 339 +
.../yield/fittedbonddiscountcurve.hpp | 374 +
.../ql/termstructures/yield/flatforward.cpp | 67 +
.../ql/termstructures/yield/flatforward.hpp | 114 +
.../ql/termstructures/yield/forwardcurve.hpp | 268 +
.../yield/forwardspreadedtermstructure.hpp | 131 +
.../ql/termstructures/yield/forwardstructure.cpp | 58 +
.../ql/termstructures/yield/forwardstructure.hpp | 113 +
.../termstructures/yield/impliedtermstructure.hpp | 107 +
.../yield/interpolatedsimplezerocurve.hpp | 196 +
.../yield/nonlinearfittingmethods.cpp | 359 +
.../yield/nonlinearfittingmethods.hpp | 263 +
.../ql/termstructures/yield/oisratehelper.cpp | 279 +
.../ql/termstructures/yield/oisratehelper.hpp | 195 +
.../yield/overnightindexfutureratehelper.cpp | 126 +
.../yield/overnightindexfutureratehelper.hpp | 85 +
.../piecewiseforwardspreadedtermstructure.hpp | 207 +
.../termstructures/yield/piecewiseyieldcurve.hpp | 254 +
.../yield/piecewisezerospreadedtermstructure.hpp | 195 +
.../termstructures/yield/quantotermstructure.hpp | 137 +
.../ql/termstructures/yield/ratehelpers.cpp | 829 +
.../ql/termstructures/yield/ratehelpers.hpp | 434 +
.../yield/ultimateforwardtermstructure.hpp | 176 +
.../include/ql/termstructures/yield/zerocurve.hpp | 282 +
.../yield/zerospreadedtermstructure.hpp | 150 +
.../ql/termstructures/yield/zeroyieldstructure.cpp | 45 +
.../ql/termstructures/yield/zeroyieldstructure.hpp | 100 +
.../ql/termstructures/yieldtermstructure.cpp | 197 +
.../ql/termstructures/yieldtermstructure.hpp | 208 +
install/include/ql/time/Makefile.am | 74 +
install/include/ql/time/all.hpp | 19 +
install/include/ql/time/asx.cpp | 164 +
install/include/ql/time/asx.hpp | 100 +
install/include/ql/time/businessdayconvention.cpp | 51 +
install/include/ql/time/businessdayconvention.hpp | 78 +
install/include/ql/time/calendar.cpp | 304 +
install/include/ql/time/calendar.hpp | 289 +
install/include/ql/time/calendars/Makefile.am | 132 +
install/include/ql/time/calendars/all.hpp | 49 +
install/include/ql/time/calendars/argentina.cpp | 68 +
install/include/ql/time/calendars/argentina.hpp | 71 +
install/include/ql/time/calendars/australia.cpp | 110 +
install/include/ql/time/calendars/australia.hpp | 73 +
install/include/ql/time/calendars/austria.cpp | 119 +
install/include/ql/time/calendars/austria.hpp | 95 +
.../include/ql/time/calendars/bespokecalendar.cpp | 56 +
.../include/ql/time/calendars/bespokecalendar.hpp | 67 +
install/include/ql/time/calendars/botswana.cpp | 72 +
install/include/ql/time/calendars/botswana.hpp | 74 +
install/include/ql/time/calendars/brazil.cpp | 130 +
install/include/ql/time/calendars/brazil.hpp | 102 +
install/include/ql/time/calendars/canada.cpp | 119 +
install/include/ql/time/calendars/canada.hpp | 95 +
install/include/ql/time/calendars/chile.cpp | 121 +
install/include/ql/time/calendars/chile.hpp | 76 +
install/include/ql/time/calendars/china.cpp | 377 +
install/include/ql/time/calendars/china.hpp | 88 +
.../include/ql/time/calendars/czechrepublic.cpp | 72 +
.../include/ql/time/calendars/czechrepublic.hpp | 68 +
install/include/ql/time/calendars/denmark.cpp | 69 +
install/include/ql/time/calendars/denmark.hpp | 70 +
install/include/ql/time/calendars/finland.cpp | 64 +
install/include/ql/time/calendars/finland.hpp | 65 +
install/include/ql/time/calendars/france.cpp | 109 +
install/include/ql/time/calendars/france.hpp | 89 +
install/include/ql/time/calendars/germany.cpp | 199 +
install/include/ql/time/calendars/germany.hpp | 154 +
install/include/ql/time/calendars/hongkong.cpp | 419 +
install/include/ql/time/calendars/hongkong.hpp | 79 +
install/include/ql/time/calendars/hungary.cpp | 64 +
install/include/ql/time/calendars/hungary.hpp | 65 +
install/include/ql/time/calendars/iceland.cpp | 66 +
install/include/ql/time/calendars/iceland.hpp | 69 +
install/include/ql/time/calendars/india.cpp | 492 +
install/include/ql/time/calendars/india.hpp | 86 +
install/include/ql/time/calendars/indonesia.cpp | 283 +
install/include/ql/time/calendars/indonesia.hpp | 80 +
install/include/ql/time/calendars/israel.cpp | 494 +
install/include/ql/time/calendars/israel.hpp | 76 +
install/include/ql/time/calendars/italy.cpp | 111 +
install/include/ql/time/calendars/italy.hpp | 93 +
install/include/ql/time/calendars/japan.cpp | 154 +
install/include/ql/time/calendars/japan.hpp | 77 +
.../include/ql/time/calendars/jointcalendar.cpp | 154 +
.../include/ql/time/calendars/jointcalendar.hpp | 92 +
install/include/ql/time/calendars/mexico.cpp | 70 +
install/include/ql/time/calendars/mexico.hpp | 73 +
install/include/ql/time/calendars/newzealand.cpp | 126 +
install/include/ql/time/calendars/newzealand.hpp | 91 +
install/include/ql/time/calendars/norway.cpp | 64 +
install/include/ql/time/calendars/norway.hpp | 65 +
install/include/ql/time/calendars/nullcalendar.hpp | 55 +
install/include/ql/time/calendars/poland.cpp | 90 +
install/include/ql/time/calendars/poland.hpp | 75 +
install/include/ql/time/calendars/romania.cpp | 95 +
install/include/ql/time/calendars/romania.hpp | 81 +
install/include/ql/time/calendars/russia.cpp | 262 +
install/include/ql/time/calendars/russia.hpp | 81 +
install/include/ql/time/calendars/saudiarabia.cpp | 165 +
install/include/ql/time/calendars/saudiarabia.hpp | 67 +
install/include/ql/time/calendars/singapore.cpp | 224 +
install/include/ql/time/calendars/singapore.hpp | 76 +
install/include/ql/time/calendars/slovakia.cpp | 75 +
install/include/ql/time/calendars/slovakia.hpp | 72 +
install/include/ql/time/calendars/southafrica.cpp | 91 +
install/include/ql/time/calendars/southafrica.hpp | 72 +
install/include/ql/time/calendars/southkorea.cpp | 298 +
install/include/ql/time/calendars/southkorea.hpp | 100 +
install/include/ql/time/calendars/sweden.cpp | 69 +
install/include/ql/time/calendars/sweden.hpp | 67 +
install/include/ql/time/calendars/switzerland.cpp | 62 +
install/include/ql/time/calendars/switzerland.hpp | 64 +
install/include/ql/time/calendars/taiwan.cpp | 466 +
install/include/ql/time/calendars/taiwan.hpp | 73 +
install/include/ql/time/calendars/target.cpp | 57 +
install/include/ql/time/calendars/target.hpp | 64 +
install/include/ql/time/calendars/thailand.cpp | 311 +
install/include/ql/time/calendars/thailand.hpp | 83 +
install/include/ql/time/calendars/turkey.cpp | 263 +
install/include/ql/time/calendars/turkey.hpp | 69 +
install/include/ql/time/calendars/ukraine.cpp | 65 +
install/include/ql/time/calendars/ukraine.hpp | 69 +
.../include/ql/time/calendars/unitedkingdom.cpp | 164 +
.../include/ql/time/calendars/unitedkingdom.hpp | 120 +
install/include/ql/time/calendars/unitedstates.cpp | 404 +
install/include/ql/time/calendars/unitedstates.hpp | 212 +
install/include/ql/time/calendars/weekendsonly.cpp | 35 +
install/include/ql/time/calendars/weekendsonly.hpp | 52 +
install/include/ql/time/date.cpp | 1006 +
install/include/ql/time/date.hpp | 477 +
install/include/ql/time/dategenerationrule.cpp | 54 +
install/include/ql/time/dategenerationrule.hpp | 78 +
install/include/ql/time/daycounter.hpp | 150 +
install/include/ql/time/daycounters/Makefile.am | 62 +
install/include/ql/time/daycounters/actual360.hpp | 67 +
install/include/ql/time/daycounters/actual364.hpp | 50 +
.../include/ql/time/daycounters/actual36525.hpp | 66 +
.../include/ql/time/daycounters/actual365fixed.cpp | 101 +
.../include/ql/time/daycounters/actual365fixed.hpp | 84 +
install/include/ql/time/daycounters/actual366.hpp | 66 +
.../include/ql/time/daycounters/actualactual.cpp | 343 +
.../include/ql/time/daycounters/actualactual.hpp | 98 +
install/include/ql/time/daycounters/all.hpp | 16 +
.../include/ql/time/daycounters/business252.cpp | 144 +
.../include/ql/time/daycounters/business252.hpp | 56 +
install/include/ql/time/daycounters/one.hpp | 55 +
.../ql/time/daycounters/simpledaycounter.cpp | 54 +
.../ql/time/daycounters/simpledaycounter.hpp | 63 +
install/include/ql/time/daycounters/thirty360.cpp | 143 +
install/include/ql/time/daycounters/thirty360.hpp | 140 +
install/include/ql/time/daycounters/thirty365.cpp | 36 +
install/include/ql/time/daycounters/thirty365.hpp | 50 +
.../ql/time/daycounters/yearfractiontodate.cpp | 64 +
.../ql/time/daycounters/yearfractiontodate.hpp | 36 +
install/include/ql/time/ecb.cpp | 315 +
install/include/ql/time/ecb.hpp | 101 +
install/include/ql/time/frequency.cpp | 62 +
install/include/ql/time/frequency.hpp | 58 +
install/include/ql/time/imm.cpp | 209 +
install/include/ql/time/imm.hpp | 103 +
install/include/ql/time/period.cpp | 452 +
install/include/ql/time/period.hpp | 184 +
install/include/ql/time/schedule.cpp | 652 +
install/include/ql/time/schedule.hpp | 245 +
install/include/ql/time/timeunit.cpp | 53 +
install/include/ql/time/timeunit.hpp | 54 +
install/include/ql/time/weekday.cpp | 122 +
install/include/ql/time/weekday.hpp | 101 +
install/include/ql/timegrid.cpp | 98 +
install/include/ql/timegrid.hpp | 187 +
install/include/ql/timeseries.hpp | 264 +
install/include/ql/tuple.hpp | 57 +
install/include/ql/types.hpp | 87 +
install/include/ql/userconfig.hpp | 164 +
install/include/ql/utilities/Makefile.am | 56 +
install/include/ql/utilities/all.hpp | 14 +
install/include/ql/utilities/clone.hpp | 130 +
install/include/ql/utilities/dataformatters.cpp | 58 +
install/include/ql/utilities/dataformatters.hpp | 189 +
install/include/ql/utilities/dataparsers.cpp | 116 +
install/include/ql/utilities/dataparsers.hpp | 57 +
install/include/ql/utilities/null.hpp | 80 +
install/include/ql/utilities/null_deleter.hpp | 35 +
install/include/ql/utilities/observablevalue.hpp | 123 +
install/include/ql/utilities/steppingiterator.hpp | 178 +
install/include/ql/utilities/tracing.cpp | 27 +
install/include/ql/utilities/tracing.hpp | 277 +
install/include/ql/utilities/variants.hpp | 19 +
install/include/ql/utilities/vectors.hpp | 48 +
install/include/ql/version.cpp | 43 +
install/include/ql/version.hpp | 52 +
install/include/ql/volatilitymodel.hpp | 52 +
ql/CMakeLists.txt | 6 +
ql/instruments/Makefile.am | 4 +
ql/instruments/all.hpp | 3 +-
ql/instruments/softbarrieroption.cpp | 104 +
ql/instruments/softbarriertype.cpp | 42 +
ql/instruments/softbarriertype.hpp | 49 +
ql/pricingengines/barrier/Makefile.am | 3 +
ql/pricingengines/barrier/all.hpp | 1 +
.../barrier/analyticsoftbarrierengine.cpp | 267 +-
.../barrier/analyticsoftbarrierengine.hpp | 10 +-
test-suite/softbarrieroption.cpp | 8 +-
2492 files changed, 439841 insertions(+), 120 deletions(-)
commit 7d3792bf4439901c14fec804159e014072116df2
Author: wday0507
Date: Fri, 18 Jul 2025 16:55:20 +0100
adding in test cases and edits to pricing engine cpp
.../barrier/analyticsoftbarrierengine.cpp | 5 +-
test-suite/softbarrieroption.cpp | 172 +++++++++++++++++++++
2 files changed, 175 insertions(+), 2 deletions(-)
commit eed9946cceb70b8a99aa638d06ac7d4b7f3b5b1b
Author: wday0507
Date: Fri, 18 Jul 2025 16:51:21 +0100
adding in soft barrier pricing engine cpp
.../barrier/analyticsoftbarrierengine.cpp | 273 +++++++++++++++++++++
.../barrier/analyticsoftbarrierengine.hpp | 2 -
2 files changed, 273 insertions(+), 2 deletions(-)
commit 0852338dbd78941b82141ad1fd2ab3b3fc250518
Author: wday0507
Date: Fri, 18 Jul 2025 16:48:40 +0100
adding in soft barrier pricing engine hpp
.../barrier/analyticsoftbarrierengine.hpp | 80 ++++++++++++++++++++++
1 file changed, 80 insertions(+)
commit 97ebd575ecd09bb2e58e6e151f46bf1ab837c2bd
Author: wday0507
Date: Fri, 18 Jul 2025 16:36:42 +0100
Implement SoftBarrierOption and SoftBarrierType classes
ql/instruments/softbarrieroption.cpp | 0
ql/instruments/softbarrieroption.hpp | 80 ++++++++++++++++++++++++++++++++++++
ql/instruments/softbarriertype.cpp | 0
ql/instruments/softbarriertype.hpp | 0
4 files changed, 80 insertions(+)
commit 69eb532b4cc6f9f3d685380b000d6469f6eaf362
Author: Vladimir Polin
Date: Thu, 24 Jul 2025 19:13:23 -0700
The comment corrected
ql/math/rounding.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d56338a93fec6269f140e6d5b202d977d0c84c41
Author: Vladimir Polin
Date: Thu, 24 Jul 2025 18:57:58 -0700
code review feedback incorporated, gcc version improved a bit.
ql/math/rounding.cpp | 10 ++++++----
1 file changed, 6 insertions(+), 4 deletions(-)
commit b7e142b9605e347d6448dd8f293fa1ec63343005
Author: Luigi Ballabio
Date: Thu, 24 Jul 2025 11:58:52 +0200
Re-enable tests for VC++ 2022 builds
This reverts commit d0ec3e34ba76e13cedf0e4e51b39b6219d089dc4.
.github/workflows/cmake.yml | 3 ---
.github/workflows/msvc-all-configs.yml | 4 ++--
.github/workflows/msvc-nondefault.yml | 2 --
.github/workflows/msvc.yml | 2 --
4 files changed, 2 insertions(+), 9 deletions(-)
commit db5f6d289e2411bb4e116822738af921a3a2da9b
Merge: e63b02841 291905891
Author: Luigi Ballabio
Date: Wed, 23 Jul 2025 18:33:37 +0200
Remove features deprecated in version 1.35 (#2268)
commit b9c8b6c93746e798ef8444f22c3bc0f7262c8296
Author: Eugene Toder
Date: Wed, 23 Jul 2025 11:03:27 -0400
Allow specifying float BusinessDayConvention in SwapRateHelper
ql/termstructures/yield/ratehelpers.cpp | 18 +++++++++++++-----
ql/termstructures/yield/ratehelpers.hpp | 7 +++++--
2 files changed, 18 insertions(+), 7 deletions(-)
commit e63b02841c9b0e3f27cdf529194302e8708d95c8
Merge: 72df06287 0bb38af4c
Author: Luigi Ballabio
Date: Wed, 23 Jul 2025 14:33:40 +0200
Make Null constexpr (#2260)
commit 72df062871f9e94ae10b34024034234108d21d43
Author: Luigi Ballabio
Date: Thu, 15 Apr 2021 16:25:45 +0200
Set version to 1.40-dev.
CMakeLists.txt | 6 +++---
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 6 insertions(+), 6 deletions(-)
commit 5deb55e78da3eca6883023a0ba116255b1195763
Author: Vladimir Polin
Date: Tue, 22 Jul 2025 09:44:43 -0700
pow() optimization for quantlib benchmarking
ql/math/rounding.cpp | 11 ++++++++++-
1 file changed, 10 insertions(+), 1 deletion(-)
commit 068b6b87d1eeaa77d302d8f766bb33be2a9a15af
Author: RalfKonrad
Date: Wed, 16 Jul 2025 11:03:18 +0200
The windows cl compiler bug should be fixed, let's test it
.github/workflows/cmake_runners-latest-matrix.yml | 3 ---
1 file changed, 3 deletions(-)
commit 76d0ced4a4204568397bc8faf5302f2fbed45620
Author: Ignacio Peña
Date: Tue, 15 Jul 2025 12:21:26 -0400
Fix potential dangling reference in MultiCubicSpline
The ae_ member was declared as a reference but initialized with a
temporary default parameter. This could cause undefined behavior
when the constructor is called without the third argument.
Changed to value member to ensure proper object lifetime.
ql/math/interpolations/multicubicspline.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ded9529b3df4ef1bc35e93dbb8ad9ede09c6aac3
Author: Eugene Toder
Date: Mon, 14 Jul 2025 21:31:43 -0400
Allow specifying BusinessDayConvention in OISRateHelper
ql/termstructures/yield/oisratehelper.cpp | 14 ++++++++++----
ql/termstructures/yield/oisratehelper.hpp | 7 +++++--
2 files changed, 15 insertions(+), 6 deletions(-)
commit 49ecdca9a14e9268c5d1fed26b5359405a00b107
Author: Eugene Toder
Date: Thu, 10 Jul 2025 16:11:02 -0400
Remove BootstrapError class
These days we can simply use a lambda and don't need to expose our
implementation detail, add it as a friend, allocate a vector of errors
etc.
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 -
ql/CMakeLists.txt | 1 -
.../inflation/piecewiseyoyoptionletvolatility.hpp | 1 -
ql/termstructures/Makefile.am | 1 -
ql/termstructures/all.hpp | 1 -
ql/termstructures/bootstraperror.hpp | 73 ----------------------
ql/termstructures/credit/piecewisedefaultcurve.hpp | 1 -
ql/termstructures/globalbootstrap.hpp | 1 -
.../inflation/piecewiseyoyinflationcurve.hpp | 1 -
.../inflation/piecewisezeroinflationcurve.hpp | 1 -
ql/termstructures/iterativebootstrap.hpp | 38 ++++++-----
ql/termstructures/yield/piecewiseyieldcurve.hpp | 1 -
13 files changed, 18 insertions(+), 106 deletions(-)
commit 0bb38af4cf9f3fecfb2d09ae2eb54b3059a23f3a
Author: Eugene Toder
Date: Mon, 23 Jun 2025 15:09:38 -0400
Make Null constexpr
This allows using it as a constant expression and guarantees constant
folding.
ql/instruments/makeois.cpp | 1 -
ql/instruments/makeois.hpp | 2 +-
ql/instruments/makevanillaswap.cpp | 5 +----
ql/instruments/makevanillaswap.hpp | 2 +-
ql/utilities/null.hpp | 6 +++---
5 files changed, 6 insertions(+), 10 deletions(-)
commit 29190589185c6cd0345c9026db29fe7705333d0d
Author: Luigi Ballabio
Date: Tue, 1 Jul 2025 18:05:19 +0200
Remove features deprecated in version 1.35
QuantLib.vcxproj | 2 -
QuantLib.vcxproj.filters | 6 -
cmake/GenerateHeaders.cmake | 1 -
ql/CMakeLists.txt | 2 -
ql/cashflows/cashflows.hpp | 20 ---
ql/handle.hpp | 12 --
ql/indexes/ibor/bibor.hpp | 9 --
ql/indexes/ibor/euribor.hpp | 232 ------------------------------
ql/indexes/ibor/eurlibor.hpp | 90 ------------
ql/instruments/Makefile.am | 4 +-
ql/instruments/dividendbarrieroption.hpp | 29 ----
ql/instruments/dividendvanillaoption.hpp | 28 ----
ql/termstructures/yield/oisratehelper.cpp | 20 ---
ql/termstructures/yield/oisratehelper.hpp | 22 ---
14 files changed, 1 insertion(+), 476 deletions(-)
commit 9b6605d0b0ef15913c8c4f6031c54efc7d4d454c
Author: RalfKonrad
Date: Tue, 1 Jul 2025 13:35:44 +0200
Run the test-suite in an extra step
.github/workflows/cmake_runners-latest-matrix.yml | 7 +++++++
1 file changed, 7 insertions(+)
commit fff9aefd85e5e305eec6e8f622fc8c6f461d9240
Author: RalfKonrad
Date: Tue, 1 Jul 2025 13:28:59 +0200
Remove the deprecated windows-2019 runner
.github/workflows/cmake_runners-latest-matrix.yml | 1 -
1 file changed, 1 deletion(-)
commit 622c073c918da8b712798106b8d97af3ccdb028b
Author: RalfKonrad
Date: Mon, 23 Jun 2025 11:39:03 +0200
Fix macOs to macOS
.github/actions/setup/action.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 870a0573539ba2af3ae93335d994905bf6c676a8
Author: RalfKonrad
Date: Sun, 22 Jun 2025 19:31:24 +0200
Add comment
.github/workflows/cmake_runners-latest-matrix.yml | 1 +
1 file changed, 1 insertion(+)
commit 013964ee16d4b032216b1998372f2cefc0864515
Author: RalfKonrad
Date: Sun, 22 Jun 2025 19:13:39 +0200
Run the workflow also on 'pull_request'
.github/workflows/cmake_runners-latest-matrix.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 13e9deeb02598156f50c6fc245313184505ba88a
Author: RalfKonrad
Date: Sun, 22 Jun 2025 19:12:28 +0200
Fix warning on Windows and c++ std 20 and 23
ql/experimental/exoticoptions/spreadoption.hpp | 7 +++++++
1 file changed, 7 insertions(+)
commit f2cf8b1073354b0e3bed731c3c7cf86620c8e052
Author: RalfKonrad
Date: Sun, 22 Jun 2025 18:42:56 +0200
Fix a few namings
.github/workflows/cmake_runners-latest-matrix.yml | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit a2ed5238a9b7414e0d7882dd276bd6d73a8aaa64
Author: RalfKonrad
Date: Sun, 22 Jun 2025 18:36:14 +0200
Add cmake_runners-latest-matrix.yml workflow
.github/actions/setup/action.yml | 90 +++++++++++++++++++++++
.github/dependabot.yml | 6 ++
.github/workflows/cmake_runners-latest-matrix.yml | 70 ++++++++++++++++++
3 files changed, 166 insertions(+)
QuantLib-1.40/Contributors.txt 0000664 0000000 0000000 00000012576 15073116133 0016426 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,
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,
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,
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-1.40/Docs/ 0000775 0000000 0000000 00000000000 15073116133 0014045 5 ustar 00root root 0000000 0000000 QuantLib-1.40/Docs/Makefile.am 0000664 0000000 0000000 00000002063 15073116133 0016102 0 ustar 00root root 0000000 0000000
EXTRA_DIST = \
quantlib.doxy \
quantlibextra.css \
quantlibfooter.html \
quantlibheader.html
DOXYGEN_CONFIG := quantlib.doxy
DOXYGEN_CUSTOM := quantlibextra.css quantlibheader.html quantlibfooter.html
DOXYGEN_INPUT := $(shell find ${top_srcdir} -name *.hpp) \
$(wildcard pages/*.docs)
BASEPATH = $(shell cd @abs_top_srcdir@ && pwd)
.PHONY: docs docs-clean
dist-hook:
mkdir -p $(distdir)/pages $(distdir)/images
cp -p $(srcdir)/pages/*.docs $(distdir)/pages
cp -p $(srcdir)/images/*.jpg \
$(srcdir)/images/*.ico \
$(distdir)/images
docs: .time-stamp
clean-local:
rm -Rf html
rm -f .time-stamp
.time-stamp: $(DOXYGEN_CONFIG) $(DOXYGEN_CUSTOM) $(DOXYGEN_INPUT) ../LICENSE.TXT
cp -p ${top_srcdir}/LICENSE.TXT ${top_srcdir}/Contributors.txt .
$(SED) -e "s|ql_basepath|${BASEPATH}/|" \
-e "s|ql_version|$(VERSION)|" \
${srcdir}/quantlib.doxy > .quantlib.doxy
$(DOXYGEN) .quantlib.doxy
rm -f .quantlib.doxy
rm -f html/*.md5
rm -f html/*.map
touch .time-stamp
QuantLib-1.40/Docs/images/ 0000775 0000000 0000000 00000000000 15073116133 0015312 5 ustar 00root root 0000000 0000000 QuantLib-1.40/Docs/images/QL-title.jpg 0000664 0000000 0000000 00000027771 15073116133 0017465 0 ustar 00root root 0000000 0000000 JFIF H H XICC_PROFILE HLino mntrRGB XYZ 1 acspMSFT IEC sRGB -HP cprt P 3desc lwtpt bkpt rXYZ gXYZ , bXYZ @ dmnd T pdmdd vued L view $lumi meas $tech 0 rTRC < gTRC < bTRC < text Copyright (c) 1998 Hewlett-Packard Company desc sRGB IEC61966-2.1 sRGB IEC61966-2.1 XYZ Q XYZ XYZ o 8 XYZ b XYZ $ desc IEC http://www.iec.ch IEC http://www.iec.ch desc .IEC 61966-2.1 Default RGB colour space - sRGB .IEC 61966-2.1 Default RGB colour space - sRGB desc ,Reference Viewing Condition in IEC61966-2.1 ,Reference Viewing Condition in IEC61966-2.1 view _. \ XYZ L V P W meas sig CRT curv
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/*
Copyright (C) 2003 Ferdinando Ametrano
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \page group Contributors
\htmlinclude Contributors.txt
*/
QuantLib-1.40/Docs/pages/config.docs 0000664 0000000 0000000 00000013305 15073116133 0017265 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-1.40/Docs/pages/coreclasses.docs 0000664 0000000 0000000 00000001562 15073116133 0020330 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-1.40/Docs/pages/currencies.docs 0000664 0000000 0000000 00000001424 15073116133 0020161 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-1.40/Docs/pages/datetime.docs 0000664 0000000 0000000 00000004064 15073116133 0017616 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-1.40/Docs/pages/engines.docs 0000664 0000000 0000000 00000002663 15073116133 0017455 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-1.40/Docs/pages/examples.docs 0000664 0000000 0000000 00000012310 15073116133 0017631 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-1.40/Docs/pages/findiff.docs 0000664 0000000 0000000 00000001763 15073116133 0017432 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.
*/
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/*
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-1.40/Docs/pages/history.docs 0000664 0000000 0000000 00000001560 15073116133 0017521 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-1.40/Docs/pages/index.docs 0000664 0000000 0000000 00000003253 15073116133 0017130 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-1.40/Docs/pages/instruments.docs 0000664 0000000 0000000 00000001423 15073116133 0020411 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-1.40/Docs/pages/lattices.docs 0000664 0000000 0000000 00000010652 15073116133 0017632 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2002, 2003 Sadruddin Rejeb
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup lattices Lattice methods
The framework (corresponding to the ql/methods/lattices directory)
contains basic building blocks for pricing instruments using lattice
methods (trees). A lattice, i.e. an instance of the abstract class
QuantLib::Lattice, relies on one or several trees (each one
approximating a diffusion process) to price an instance of the
DiscretizedAsset class. Trees are instances of classes derived from
QuantLib::Tree, classes which define the branching between
nodes and transition probabilities.
\section binomial Binomial trees
The binomial method is the simplest numerical method that can be used to
price path-independent derivatives. It is usually the preferred lattice
method under the Black-Scholes-Merton model. As an example, let's see
the framework implemented in the bsmlattice.hpp file. It is a method
based on a binomial tree, with constant short-rate (discounting).
There are several approaches to build the underlying binomial tree, like
Jarrow-Rudd or Cox-Ross-Rubinstein.
\section trinomial Trinomial trees
When the underlying stochastic process has a mean-reverting pattern, it is
usually better to use a trinomial tree instead of a binomial tree. An
example is implemented in the QuantLib::TrinomialTree class,
which is constructed using a diffusion process and a time-grid. The goal is
to build a recombining trinomial tree that will discretize, at a finite set
of times, the possible evolutions of a random variable \f$ y \f$ satisfying
\f[
dy_t = \mu(t, y_t) dt + \sigma(t, y_t) dW_t.
\f]
At each node, there is a probability \f$ p_u, p_m \f$ and \f$ p_d \f$ to go
through respectively the upper, the middle and the lower branch.
These probabilities must satisfy
\f[
p_{u}y_{i+1,k+1}+p_{m}y_{i+1,k}+p_{d}y_{i+1,k-1}=E_{i,j}
\f]
and
\f[
p_u y_{i+1,k+1}^2 + p_m y_{i+1,k}^2 + p_d y_{i+1,k-1}^2 =
V^2_{i,j}+E_{i,j}^2,
\f]
where k (the index of the node at the end of the middle branch)
is the index of the node which is the nearest to the expected future
value, \f$ E_{i,j}=\mathbf{E}\left( y(t_{i+1})|y(t_{i})=y_{i,j}\right) \f$
and \f$ V_{i,j}^{2}=\mathbf{Var}\{y(t_{i+1})|y(t_{i})=y_{i,j}\} \f$.
If we suppose that the variance is only dependant on time
\f$ V_{i,j}=V_{i} \f$ and set \f$ y_{i+1} \f$ to \f$ V_{i}\sqrt{3} \f$,
we find that
\f[
p_{u} = \frac{1}{6}+\frac{(E_{i,j}-y_{i+1,k})^{2}}{6V_{i}^{2}} +
\frac{E_{i,j}-y_{i+1,k}}{2\sqrt{3}V_{i}},
\f]
\f[
p_{m} = \frac{2}{3}-\frac{(E_{i,j}-y_{i+1,k})^{2}}{3V_{i}^{2}},
\f]
\f[
p_{d} = \frac{1}{6}+\frac{(E_{i,j}-y_{i+1,k})^{2}}{6V_{i}^{2}} -
\frac{E_{i,j}-y_{i+1,k}}{2\sqrt{3}V_{i}}.
\f]
\section bidimensional Bidimensional lattices
To come...
\section discretizedasset The QuantLib::DiscretizedAsset class
This class is a representation of the price of a derivative at a specific
time. It is roughly an array of values, each value being associated to a
state of the underlying stochastic variables. For the moment, it is only
used when working with trees, but it should be quite easy to make a use
of it in finite-differences methods. The two main points, when deriving
classes from QuantLib::DiscretizedAsset, are:
-# Define the initialisation procedure (e.g. terminal payoff for european
stock options).
-# Define the method adjusting values, when necessary, at each time steps
(e.g. apply the step condition for american or bermudan options).
Some examples are found in QuantLib::DiscretizedSwap and
QuantLib::DiscretizedSwaption.
*/
QuantLib-1.40/Docs/pages/license.docs 0000664 0000000 0000000 00000002047 15073116133 0017443 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-1.40/Docs/pages/math.docs 0000664 0000000 0000000 00000003447 15073116133 0016757 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).
*/
/*! @} */
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/*
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-1.40/Docs/pages/patterns.docs 0000664 0000000 0000000 00000001412 15073116133 0017654 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-1.40/Docs/pages/processes.docs 0000664 0000000 0000000 00000002004 15073116133 0020020 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2006 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup processes Stochastic processes
The classes QuantLib::StochasticProcess and
QuantLib::StochasticProcess1D provide the interface for a
generic stochastic process. A number of specific processes is
contained in the ql/processes directory.
*/
QuantLib-1.40/Docs/pages/resources.docs 0000664 0000000 0000000 00000002730 15073116133 0020032 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \page resources Additional resources
The main %QuantLib resource is the %QuantLib web site
(https://www.quantlib.org).
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- available documentation (https://www.quantlib.org/docs.shtml);
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and submitting changes
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*/
QuantLib-1.40/Docs/pages/termstructures.docs 0000664 0000000 0000000 00000002661 15073116133 0021136 0 ustar 00root root 0000000 0000000
/*
Copyright (C) 2000-2003 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \defgroup termstructuressss Term structures
@{
*/
/*! \defgroup yieldtermstructures Interest-rate term structures
The abstract class QuantLib::YieldTermStructure provides the common
interface to concrete yield-rate term structure models. Among
others, methods are declared which return instantaneous forward
rate, discount factor, and zero rate at a given date. Adapter
classes are provided which already implement part of the required
methods, thus allowing the programmer to define only the
non-redundant part.
*/
/*! \defgroup defaultprobabilitytermstructures Default-probability term structures */
/*! \defgroup inflationtermstructures Inflation term structures */
/*! @} */
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