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QuantLib-1.43/ 0000775 0000000 0000000 00000000000 15225121364 0013161 5 ustar 00root root 0000000 0000000 QuantLib-1.43/.appveyor.yml 0000664 0000000 0000000 00000000322 15225121364 0015624 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-1.43/.ci/ 0000775 0000000 0000000 00000000000 15225121364 0013632 5 ustar 00root root 0000000 0000000 QuantLib-1.43/.ci/Unity.props 0000664 0000000 0000000 00000000255 15225121364 0016031 0 ustar 00root root 0000000 0000000
true
QuantLib-1.43/.ci/VS2017.props 0000664 0000000 0000000 00000001471 15225121364 0015564 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-1.43/.ci/VS2019.alt.props 0000664 0000000 0000000 00000001356 15225121364 0016347 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
stdcpp17
_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.43/.ci/VS2019.props 0000664 0000000 0000000 00000001074 15225121364 0015565 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
QuantLib-1.43/.ci/VS2022.alt.props 0000664 0000000 0000000 00000001356 15225121364 0016341 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
stdcpp17
_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.43/.ci/VS2022.props 0000664 0000000 0000000 00000001074 15225121364 0015557 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
QuantLib-1.43/.ci/VS2026.alt.props 0000664 0000000 0000000 00000001356 15225121364 0016345 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
stdcpp17
_SILENCE_ALL_CXX17_DEPRECATION_WARNINGS;%(PreprocessorDefinitions)
QuantLib-1.43/.ci/VS2026.props 0000664 0000000 0000000 00000001074 15225121364 0015563 0 ustar 00root root 0000000 0000000
C:\local\boost;%(AdditionalIncludeDirectories)
/bigobj %(AdditionalOptions)
true
QuantLib-1.43/.ci/userconfig2019.alt.hpp 0000664 0000000 0000000 00000010270 15225121364 0017602 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-1.43/.ci/userconfig2022.alt.hpp 0000664 0000000 0000000 00000010266 15225121364 0017601 0 ustar 00root root 0000000 0000000 /* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2004, 2011 Ferdinando Ametrano
Copyright (C) 2004, 2005 StatPro Italia srl
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
. The license is also available online at
.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
#ifndef quantlib_config_hpp
#define quantlib_config_hpp
/***************************************************************
User configuration section:
modify the following definitions to suit your preferences.
Do not modify this file if you are using a Linux/Unix system:
it will not be read by the compiler. The definitions below
will be provided by running ./configure instead.
****************************************************************/
/* Define this if error messages should include current function
information. */
#ifndef QL_ERROR_FUNCTIONS
# define QL_ERROR_FUNCTIONS
#endif
/* Define this if error messages should include file and line information. */
#ifndef QL_ERROR_LINES
# define QL_ERROR_LINES
#endif
/* Define this if tracing messages should be allowed (whether they are
actually emitted will depend on run-time settings.) */
#ifndef QL_ENABLE_TRACING
# define QL_ENABLE_TRACING
#endif
/* Define this if extra safety checks should be performed. This can degrade
performance. */
#ifndef QL_EXTRA_SAFETY_CHECKS
# define QL_EXTRA_SAFETY_CHECKS
#endif
/* Define this to use indexed coupons instead of par coupons in floating
legs as the default in 'bool IborCoupon::Settings::usingAtParCoupons();'. */
#ifndef QL_USE_INDEXED_COUPON
# define QL_USE_INDEXED_COUPON
#endif
/* Define this to have singletons return different instances for
different threads; in particular, this means that the evaluation
date, the stored index fixings and any other settings will be
per-thread.
*/
#ifndef QL_ENABLE_SESSIONS
# define QL_ENABLE_SESSIONS
#endif
/* Define this to enable the thread-safe observer pattern. You should
enable it if you want to use QuantLib via the SWIG layer within
the JVM or .NET eco system or any environment with an
async garbage collector */
#ifndef QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
# define QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
#endif
/* Define this to enable a date resolution down to microseconds and
allow for accurate intraday pricing. */
#ifndef QL_HIGH_RESOLUTION_DATE
# define QL_HIGH_RESOLUTION_DATE
#endif
/* Define this if you want to throw an exception when a notification
loop is detected. Enabling this option is recommended but might
cause existing code to throw. */
#ifndef QL_THROW_IN_CYCLES
# define QL_THROW_IN_CYCLES
#endif
/* Undefine this if you want lazy objects to forward all notifications
instead of just the first. Disabling this option is safer in some
cases but can be a lot slower. */
#ifndef QL_FASTER_LAZY_OBJECTS
//# define QL_FASTER_LAZY_OBJECTS
#endif
/* Define this to use std::any instead of boost::any. */
#ifndef QL_USE_STD_ANY
//# define QL_USE_STD_ANY
#endif
/* Define this to use std::optional instead of boost::optional. */
#ifndef QL_USE_STD_OPTIONAL
# define QL_USE_STD_OPTIONAL
#endif
/* Define this to use standard smart pointers instead of Boost ones.
Note that std::shared_ptr does not check access and can
cause segmentation faults. */
#ifndef QL_USE_STD_SHARED_PTR
# define QL_USE_STD_SHARED_PTR
#endif
/* Define this to enable the implementation of Null as template functions. */
#ifndef QL_NULL_AS_FUNCTIONS
# define QL_NULL_AS_FUNCTIONS
#endif
/* Define this to enable the parallel unit test runner */
#ifndef QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
//# define QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER
#endif
#endif
QuantLib-1.43/.ci/userconfig2026.alt.hpp 0000664 0000000 0000000 00000010266 15225121364 0017605 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-1.43/.clang-format 0000664 0000000 0000000 00000002143 15225121364 0015534 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-concat-nested-namespaces,
-modernize-macro-to-enum,
-modernize-return-braced-init-list,
-modernize-use-trailing-return-type,
-modernize-use-using,
-modernize-use-nodiscard,
performance-*,
-performance-avoid-endl,
-performance-enum-size,
readability-*,
-readability-avoid-nested-conditional-operator,
-readability-braces-around-statements,
-readability-const-return-type,
-readability-convert-member-functions-to-static,
-readability-else-after-return,
-readability-enum-initial-value,
-readability-function-cognitive-complexity,
-readability-identifier-length,
-readability-inconsistent-declaration-parameter-name,
-readability-isolate-declaration,
-readability-magic-numbers,
-readability-make-member-function-const,
-readability-math-missing-parentheses,
-readability-named-parameter,
-readability-redundant-casting,
-readability-redundant-declaration,
-readability-simplify-boolean-expr,
-readability-suspicious-call-argument,
-readability-use-anyofallof,
-readability-use-std-min-max,
HeaderFilterRegex: '.*'
FormatStyle: none
CheckOptions:
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value: 1
- key: modernize-make-shared.MakeSmartPtrFunction
value: ext::make_shared
- key: modernize-make-shared.MakeSmartPtrFunctionHeader
value:
- key: modernize-use-default-member-init.UseAssignment
value: 1
...
QuantLib-1.43/.codecov.yml 0000664 0000000 0000000 00000001541 15225121364 0015405 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-1.43/.github/ 0000775 0000000 0000000 00000000000 15225121364 0014521 5 ustar 00root root 0000000 0000000 QuantLib-1.43/.github/boring-cyborg.yml 0000664 0000000 0000000 00000001145 15225121364 0020010 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-1.43/.github/dependabot.yml 0000664 0000000 0000000 00000000261 15225121364 0017350 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-1.43/.github/workflows/ 0000775 0000000 0000000 00000000000 15225121364 0016556 5 ustar 00root root 0000000 0000000 QuantLib-1.43/.github/workflows/cmake-latest-runners.yml 0000664 0000000 0000000 00000010467 15225121364 0023355 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:
workflow_call:
jobs:
cmake-build-and-test:
strategy:
fail-fast: false
matrix:
settings:
[
{ os: macos-latest, cc: clang, cxx: clang++ },
{ os: ubuntu-latest, cc: clang, cxx: clang++ },
{ os: ubuntu-latest, cc: gcc, cxx: g++ },
{ os: windows-latest, cc: cl, cxx: cl }
##### This is the full set of currently available runners and compilers. #####
# { os: macos-14, cc: clang, cxx: clang++ },
# { os: macos-15, cc: clang, cxx: clang++ },
#
# { os: ubuntu-22.04, cc: clang-13, cxx: clang++-13 },
# { os: ubuntu-22.04, cc: clang-14, cxx: clang++-14 },
# { os: ubuntu-22.04, cc: clang-15, cxx: clang++-15 },
#
# { os: ubuntu-22.04, cc: gcc-10, cxx: g++-10 },
# { os: ubuntu-22.04, cc: gcc-11, cxx: g++-11 },
# { os: ubuntu-22.04, cc: gcc-12, cxx: g++-12 },
#
# { os: ubuntu-24.04, cc: clang-16, cxx: clang++-16 },
# { os: ubuntu-24.04, cc: clang-17, cxx: clang++-17 },
# { os: ubuntu-24.04, cc: clang-18, cxx: clang++-18 },
#
# { os: ubuntu-24.04, cc: gcc-12, cxx: g++-12 },
# { os: ubuntu-24.04, cc: gcc-13, cxx: g++-13 },
# { os: ubuntu-24.04, cc: gcc-14, cxx: g++-14 },
#
# { os: windows-2022, cc: cl, cxx: cl },
# { os: windows-2025, cc: cl, cxx: cl }
]
cxx-standard: [ 17, 20, 23 ]
cmake-build-type: [ release ]
runs-on: ${{ matrix.settings.os }}
steps:
- uses: actions/checkout@v7
- name: Determine ccache variant
shell: bash
run: |
echo "CMAKE_CXX_COMPILER_LAUNCHER=${{ ( (runner.os == 'Windows') && 'sccache' ) || 'ccache' }}" >> $GITHUB_ENV
- name: Setup CCache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-latest-${{ inputs.os }}-${{ inputs.cxx }}-${{ inputs.cxx-standard }}
restore-keys: |
cmake-latest-${{ inputs.os }}-${{ inputs.cxx }}-${{ inputs.cxx-standard }}
cmake-latest-${{ inputs.os }}-${{ inputs.cxx }}
cmake-latest-${{ inputs.os }}
variant: ${{ env.CMAKE_CXX_COMPILER_LAUNCHER }}
- name: Setup Linux
if: runner.os == 'Linux'
shell: bash
run: |
sudo apt-get update
sudo apt-get install -y ccache ninja-build
eval "$(/home/linuxbrew/.linuxbrew/bin/brew shellenv)"
brew update
brew install boost
echo "/home/linuxbrew/.linuxbrew/bin:/home/linuxbrew/.linuxbrew/sbin" >> $GITHUB_PATH
- name: Setup macOS
if: runner.os == 'macOS'
shell: bash
run: |
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK=1 brew install ninja boost
echo "CXXFLAGS=-stdlib=libc++" >> $GITHUB_ENV
- name: Setup Windows
if: runner.os == 'Windows'
shell: pwsh
run: |
$BoostUri = "https://archives.boost.io/release/1.91.0/binaries/boost_1_91_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-1.91.0" >> $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=${{ matrix.cxx-standard }} -DQL_COMPILE_WARNING_AS_ERROR=ON -L
cmake --build build --verbose
- name: Run the test-suite
run: |
./build/test-suite/quantlib-test-suite -l message
QuantLib-1.43/.github/workflows/cmake.yml 0000664 0000000 0000000 00000017301 15225121364 0020363 0 ustar 00root root 0000000 0000000 name: CMake build
on:
push:
branches:
- '**'
pull_request:
jobs:
cmake-linux:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v7
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-build-${{ github.ref }}
restore-keys: |
cmake-linux-ci-build-${{ github.ref }}
cmake-linux-ci-build-refs/heads/master
cmake-linux-ci-build-
- name: Compile
run: |
mkdir build
cd build
cmake .. -GNinja -DBOOST_ROOT=/usr -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=ccache -L
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --install .
sudo ldconfig
- name: Test
run: |
quantlib-test-suite --log_level=message
- name: Run benchmark
run: |
quantlib-benchmark --size=1
cmake-linux-with-options:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v7
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-all-dev ccache ninja-build
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-linux-ci-opts-${{ github.ref }}
restore-keys: |
cmake-linux-ci-opts-${{ github.ref }}
cmake-linux-ci-opts-refs/heads/master
cmake-linux-ci-opts-
- name: Compile
run: |
cmake --preset linux-ci-build-with-nonstandard-options -L
cd build/linux-ci-build-with-nonstandard-options
cat ql/config.hpp
cmake --build . --verbose
sudo cmake --build . --target install
- name: Test
run: |
quantlib-test-suite --log_level=message
cmake-win:
runs-on: windows-2022
steps:
- uses: actions/checkout@v7
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-build-${{ 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: |
$Url = "https://archives.boost.io/release/1.91.0/source/boost_1_91_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_91_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 $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-dynamic-runtime:
runs-on: windows-2022
steps:
- uses: actions/checkout@v7
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-dyn-build-${{ 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: |
$Url = "https://archives.boost.io/release/1.91.0/source/boost_1_91_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_91_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 $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
mkdir build
cd build
cmake .. -GNinja -DCMAKE_MSVC_RUNTIME_LIBRARY=MultiThreadedDLL -DCMAKE_BUILD_TYPE=Release -DQL_COMPILE_WARNING_AS_ERROR=ON -DCMAKE_CXX_COMPILER_LAUNCHER=sccache -L
type ql\config.hpp
cmake --build . --verbose
cmake --install .
dir ql\*.lib
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-win-with-options:
runs-on: windows-2022
steps:
- uses: actions/checkout@v7
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-windows-ci-opts-${{ github.ref }}
restore-keys: |
cmake-windows-ci-opts-${{ github.ref }}
cmake-windows-ci-opts-refs/heads/master
cmake-windows-ci-opts-
variant: sccache
- name: Setup
run: |
$Url = "https://archives.boost.io/release/1.90.0/source/boost_1_90_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_90_0" -NewName "boost"
$Url = "https://github.com/ninja-build/ninja/releases/download/v1.11.1/ninja-win.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\ninja-win.zip")
Expand-Archive -Path "$RUNNER_TEMP\ninja-win.zip" -DestinationPath C:\local\ninja
Add-Content $env:GITHUB_PATH "C:\local\ninja"
- name: Setup MSVC++ environment
uses: ilammy/msvc-dev-cmd@v1
with:
arch: x64
- name: Compile
env:
BOOST_ROOT: C:\local\boost
shell: cmd
run: |
cmake --preset windows-ci-build-with-nonstandard-options -L
cd build/windows-ci-build-with-nonstandard-options
type ql\config.hpp
cmake --build . --verbose
cmake --build . --target install
- name: Test
run: |
& "C:\Program Files (x86)\QuantLib\bin\quantlib-test-suite" --log_level=message
cmake-macos:
runs-on: macos-latest
steps:
- uses: actions/checkout@v7
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install boost ccache ninja
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: cmake-macos-ci-${{ 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-1.43/.github/workflows/codeql-analysis.yml 0000664 0000000 0000000 00000002716 15225121364 0022377 0 ustar 00root root 0000000 0000000 # For most projects, this workflow file will not need changing; you simply need
# to commit it to your repository.
#
# You may wish to alter this file to override the set of languages analyzed,
# or to provide custom queries or build logic.
name: "CodeQL"
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
jobs:
analyze:
name: CodeQL analysis
runs-on: ubuntu-latest
steps:
- name: Checkout repository
uses: actions/checkout@v7
# Initializes the CodeQL tools for scanning.
- name: Initialize CodeQL
uses: github/codeql-action/init@v4
with:
languages: cpp
# Set up build environment
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev
# Autobuild attempts to build any compiled languages (C/C++, C#, or Java).
# If this step fails, then you should remove it and run the build manually (see below)
- name: Autobuild
uses: github/codeql-action/autobuild@v4
# ℹ️ Command-line programs to run using the OS shell.
# 📚 https://git.io/JvXDl
# ✏️ If the Autobuild fails above, remove it and uncomment the following three lines
# and modify them (or add more) to build your code if your project
# uses a compiled language
#- run: |
# make bootstrap
# make release
- name: Perform CodeQL Analysis
uses: github/codeql-action/analyze@v4
QuantLib-1.43/.github/workflows/copyrights.yml 0000664 0000000 0000000 00000001166 15225121364 0021500 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@v7
- name: Check
run: |
./tools/check_copyrights.sh
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: update-copyright-list-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update copyright list in license'
title: 'Update copyright list in license'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/coveralls.yml 0000664 0000000 0000000 00000002600 15225121364 0021271 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@v7
- 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: ${{ secrets.GITHUB_TOKEN }}
file: ./coverage/lcov.info
QuantLib-1.43/.github/workflows/devenv-images.yml 0000664 0000000 0000000 00000003276 15225121364 0022043 0 ustar 00root root 0000000 0000000 name: Build quantlib-devenv Docker images
on:
workflow_dispatch:
inputs:
boostVersion:
description: 'Boost version'
required: true
env:
ROLLING: questing
jobs:
docker-images:
runs-on: ubuntu-latest
strategy:
matrix:
tag: [plucky, questing, resolute]
steps:
- uses: actions/checkout@v7
- name: Build CI images
working-directory: dockerfiles
run: |
docker build -f ci.Dockerfile \
--build-arg tag=${{ 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@v4
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-1.43/.github/workflows/doxygen.yml 0000664 0000000 0000000 00000001260 15225121364 0020755 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@v7
- 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@v7
- name: Check
run: |
./tools/check_all_header_docs.sh
QuantLib-1.43/.github/workflows/filelists.yml 0000664 0000000 0000000 00000000750 15225121364 0021301 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@v7
- 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-1.43/.github/workflows/generated-headers.yml 0000664 0000000 0000000 00000001723 15225121364 0022653 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@v7
- name: Setup
run: |
sudo rm /etc/apt/sources.list.d/microsoft-prod.list
sudo apt update
sudo apt install -y libboost-dev
- name: Configure
run: |
./autogen.sh
./configure
- name: Update headers
run: |
find ql -name *.am | xargs touch
make dist
rm QuantLib-*.tar.gz
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: update-generated-headers-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update generated headers'
title: 'Update generated headers'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/headers.yml 0000664 0000000 0000000 00000001264 15225121364 0020717 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@v7
- 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-1.43/.github/workflows/includes.yml 0000664 0000000 0000000 00000001454 15225121364 0021113 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@v7
- name: Check
run: |
shopt -s globstar
sed -i -E -e 's|#include *"(ql/.*\.hpp)"|#include <\1>|g' **/*.[hc]pp
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: fix-include-in-quotes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fix inclusions of ql headers in double quotes'
title: 'Fix inclusions of ql headers in double quotes'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/increase-version-number.yml 0000664 0000000 0000000 00000003645 15225121364 0024053 0 ustar 00root root 0000000 0000000 name: Increase version number
on:
release:
types: [published]
jobs:
increase-version:
runs-on: ubuntu-latest
if: ${{ github.event.release.prerelease == false }}
steps:
- uses: actions/checkout@v7
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: ${{ github.token }}
run: |
export LATEST_RELEASE=${{ github.ref_name }}
echo ${LATEST_RELEASE} | awk -F '.' '{ print "LATEST_MINOR=" $2 }' | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "NEXT_MINOR=" $2 + 1 }' | tee -a $GITHUB_ENV
- name: Update version numbers
run: |
sed -i -e "s/^AC_INIT(\[QuantLib\].*$/AC_INIT([QuantLib], [1.${NEXT_MINOR}-dev],/g" configure.ac
sed -i -e "s/^#define QL_VERSION.*$/#define QL_VERSION \"1.${NEXT_MINOR}-dev\"/g" ql/version.hpp
sed -i -e "s/^#define QL_HEX_VERSION.*$/#define QL_HEX_VERSION 0x01${NEXT_MINOR}0000/g" ql/version.hpp
sed -i -e "s/^set(QUANTLIB_VERSION_MINOR .*$/set(QUANTLIB_VERSION_MINOR ${NEXT_MINOR})/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION .*$/set(PACKAGE_VERSION \"1.${NEXT_MINOR}-dev\"\)/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION_HEX.*$/set(PACKAGE_VERSION_HEX \"0x01${NEXT_MINOR}0000\"\)/g" CMakeLists.txt
git commit -a -m "Set version to 1.${NEXT_MINOR}-dev"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: increase-version
delete-branch: true
base: master
title: 'Set version to 1.${{ env.NEXT_MINOR }}-dev'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/license-url.yml 0000664 0000000 0000000 00000001364 15225121364 0021527 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@v7
- name: Check
run: |
shopt -s globstar
sed -i -e 's|http://quantlib\.org/license\.shtml|https://www.quantlib.org/license.shtml|g' **/*.[hc]pp **/*.ac **/*.docs **/*.cfg **/*.sh **/*.el
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.GITHUB_TOKEN }}
branch: update-license-links-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update old license links'
title: 'Update old license links'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/linux-full-tests.yml 0000664 0000000 0000000 00000015635 15225121364 0022552 0 ustar 00root root 0000000 0000000 name: Linux build with full test matrix
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
workflow_call:
jobs:
build:
runs-on: ubuntu-latest
strategy:
fail-fast: false
matrix:
include:
- name: "gcc 8.3 (Boost 1.72)"
shortname: gcc8
tag: cosmic
cc: gcc
cxx: g++
- name: "gcc 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 10.3 (Boost 1.79)"
shortname: gcc10
tag: hirsute
cc: gcc
cxx: g++
- name: "gcc 11.4 (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 12.3 (Boost 1.86)"
shortname: gcc12
tag: lunar
cc: gcc
cxx: g++
- name: "gcc 13.3 (Boost 1.89)"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
- name: "gcc 14.x"
shortname: gcc14
tag: plucky
cc: gcc
cxx: g++
- name: "gcc 15.x"
shortname: gcc15
tag: questing
cc: gcc
cxx: g++
- name: "Clang 7 (Boost 1.72)"
shortname: clang7
tag: cosmic
cc: clang
cxx: clang++
- name: "Clang 8 (Boost 1.72)"
shortname: clang8
tag: disco
cc: clang
cxx: clang++
- name: "Clang 9 (Boost 1.74)"
shortname: clang9
tag: eoan
cc: clang
cxx: clang++
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 11 (Boost 1.78)"
shortname: clang11
tag: groovy
cc: clang
cxx: clang++
- name: "Clang 12 (Boost 1.79)"
shortname: clang12
tag: hirsute
cc: clang
cxx: clang++
- name: "Clang 13 (Boost 1.79)"
shortname: clang13
tag: impish
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 15 (Boost 1.86)"
shortname: clang15
tag: lunar
cc: clang
cxx: clang++
- name: "Clang 16 (Boost 1.86)"
shortname: clang16
tag: mantic
cc: clang
cxx: clang++
- name: "Clang 17 (Boost 1.84)"
shortname: clang17
tag: clang-17
cc: clang
cxx: clang++
- name: "Clang 18 (Boost 1.89)"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
- name: "Clang 19 (Boost 1.89)"
shortname: clang19
tag: oracular
cc: clang
cxx: clang++
- name: "Clang 20"
shortname: clang20
tag: questing
cc: clang
cxx: clang++
- name: "Clang 21"
shortname: clang21
tag: resolute
cc: clang
cxx: clang++
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Intraday calculations enabled"
shortname: intraday
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-intraday
- name: "Throwing in cycles enabled"
shortname: cycles
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-throwing-in-cycles --disable-faster-lazy-objects
- name: "Indexed coupons enabled"
shortname: indexed
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-indexed-coupons
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-classes
- name: "Thread-safe observer enabled"
shortname: threadsafe
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-thread-safe-observer-pattern
- name: "Sessions enabled"
shortname: sessions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-sessions
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
- name: "Parallel unit-test runner"
shortname: paralleltests
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-parallel-unit-test-runner
- name: "Null as function template"
shortname: nullfunctions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-null-as-functions
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v7
- 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-1.43/.github/workflows/linux-nondefault.yml 0000664 0000000 0000000 00000013333 15225121364 0022600 0 ustar 00root root 0000000 0000000 name: Linux build with non-default configuration
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
workflow_call:
jobs:
build:
runs-on: ubuntu-latest
strategy:
fail-fast: false
matrix:
include:
- name: "gcc 8.3 (Boost 1.72)"
shortname: gcc8
tag: cosmic
cc: gcc
cxx: g++
- name: "gcc 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 10.3 (Boost 1.79)"
shortname: gcc10
tag: hirsute
cc: gcc
cxx: g++
- name: "gcc 11.4 (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 12.3 (Boost 1.86)"
shortname: gcc12
tag: lunar
cc: gcc
cxx: g++
- name: "gcc 13.3 (Boost 1.89)"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
- name: "gcc 14.x"
shortname: gcc14
tag: plucky
cc: gcc
cxx: g++
- name: "gcc 15.x"
shortname: gcc15
tag: questing
cc: gcc
cxx: g++
- name: "Clang 7 (Boost 1.72)"
shortname: clang7
tag: cosmic
cc: clang
cxx: clang++
- name: "Clang 8 (Boost 1.72)"
shortname: clang8
tag: disco
cc: clang
cxx: clang++
- name: "Clang 9 (Boost 1.74)"
shortname: clang9
tag: eoan
cc: clang
cxx: clang++
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 11 (Boost 1.78)"
shortname: clang11
tag: groovy
cc: clang
cxx: clang++
- name: "Clang 12 (Boost 1.79)"
shortname: clang12
tag: hirsute
cc: clang
cxx: clang++
- name: "Clang 13 (Boost 1.79)"
shortname: clang13
tag: impish
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 15 (Boost 1.86)"
shortname: clang15
tag: lunar
cc: clang
cxx: clang++
- name: "Clang 16 (Boost 1.86)"
shortname: clang16
tag: mantic
cc: clang
cxx: clang++
- name: "Clang 18 (Boost 1.89)"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
- name: "Clang 19 (Boost 1.89)"
shortname: clang19
tag: oracular
cc: clang
cxx: clang++
- name: "Clang 20"
shortname: clang20
tag: questing
cc: clang
cxx: clang++
- name: "Clang 21"
shortname: clang21
tag: resolute
cc: clang
cxx: clang++
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: oracular
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@v7
- 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-1.43/.github/workflows/linux.yml 0000664 0000000 0000000 00000013076 15225121364 0020447 0 ustar 00root root 0000000 0000000 name: Linux build
on:
push:
branches:
- '**'
pull_request:
jobs:
build:
runs-on: ubuntu-latest
strategy:
fail-fast: false
matrix:
include:
- name: "gcc 9.3 (Boost 1.78)"
shortname: gcc9
tag: focal
cc: gcc
cxx: g++
- name: "gcc 11.4 (Boost 1.82)"
shortname: gcc11
tag: jammy
cc: gcc
cxx: g++
- name: "gcc 13.3 (Boost 1.89)"
shortname: gcc13
tag: noble
cc: gcc
cxx: g++
tests: true
- name: "gcc 15.x"
shortname: gcc15
tag: questing
cc: gcc
cxx: g++
tests: true
- name: "Clang 10 (Boost 1.78)"
shortname: clang10
tag: focal
cc: clang
cxx: clang++
- name: "Clang 14 (Boost 1.82)"
shortname: clang14
tag: jammy
cc: clang
cxx: clang++
- name: "Clang 18 (Boost 1.89)"
shortname: clang18
tag: noble
cc: clang
cxx: clang++
tests: true
- name: "Clang 21"
shortname: clang21
tag: resolute
cc: clang
cxx: clang++
tests: true
- name: "C++17 mode"
shortname: c++17
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++17"
- name: "C++20 mode"
shortname: c++20
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++20"
- name: "C++23 mode"
shortname: c++23
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++23"
- name: "C++26 mode"
shortname: c++26
tag: rolling
cc: gcc
cxx: g++
cxxflags: "-std=c++26"
- name: "Unity build enabled"
shortname: unity
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-unity-build
- name: "Intraday calculations enabled"
shortname: intraday
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-intraday
tests: true
- name: "Throwing in cycles enabled"
shortname: cycles
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-throwing-in-cycles --disable-faster-lazy-objects
tests: true
- name: "Indexed coupons enabled"
shortname: indexed
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-indexed-coupons
tests: true
- name: "Standard Library classes enabled"
shortname: stdclasses
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-std-classes
tests: true
- name: "Thread-safe observer enabled"
shortname: threadsafe
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-thread-safe-observer-pattern
tests: true
- name: "Sessions enabled"
shortname: sessions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-sessions
tests: true
- name: "OpenMP enabled"
shortname: openmp
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-openmp
tests: true
- name: "Parallel unit-test runner"
shortname: paralleltests
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-parallel-unit-test-runner
tests: true
- name: "Null as function template"
shortname: nullfunctions
tag: rolling
cc: gcc
cxx: g++
configureflags: --enable-null-as-functions
tests: true
container: ghcr.io/lballabio/quantlib-devenv:${{ matrix.tag }}
steps:
- uses: actions/checkout@v7
- 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-1.43/.github/workflows/macos-nondefault.yml 0000664 0000000 0000000 00000002526 15225121364 0022545 0 ustar 00root root 0000000 0000000 name: Mac OS build with non-default configuration
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
workflow_call:
jobs:
build:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
os: [macos-14, macos-15]
classes: [boost, std]
include:
- classes: std
configureflags: --enable-std-pointers --disable-std-any
steps:
- uses: actions/checkout@v7
- 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-1.43/.github/workflows/macos.yml 0000664 0000000 0000000 00000002325 15225121364 0020405 0 ustar 00root root 0000000 0000000 name: Mac OS build
on:
push:
branches:
- '**'
pull_request:
jobs:
build:
runs-on: ${{ matrix.os }}
strategy:
fail-fast: false
matrix:
os: [macos-14, macos-15]
steps:
- uses: actions/checkout@v7
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost ccache
- name: Cache
uses: hendrikmuhs/ccache-action@v1.2
with:
key: macos-ci-build-${{ 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-1.43/.github/workflows/misspell.yml 0000664 0000000 0000000 00000001202 15225121364 0021124 0 ustar 00root root 0000000 0000000 name: Misspell fixer
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v7
- uses: sobolevn/misspell-fixer-action@master
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: misspell-fixes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fixes by misspell-fixer'
title: 'Typos fixed by misspell-fixer'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/msvc-all-configs.yml 0000664 0000000 0000000 00000004405 15225121364 0022450 0 ustar 00root root 0000000 0000000 name: Windows build with all configurations
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
workflow_call:
jobs:
msbuild:
strategy:
fail-fast: false
matrix:
toolset: [v142, v143, v145]
platform: [x64, Win32]
configuration: ['Release', 'Debug', 'Release (static runtime)', 'Debug (static runtime)']
unity: [unity, singles]
include:
- toolset: v142
boost_version: 77
vsversion: 2019
image: windows-2022
- toolset: v143
boost_version: 90
vsversion: 2022
image: windows-2022
- toolset: v145
boost_version: 90
vsversion: 2026
image: windows-2025-vs2026
runs-on: ${{ matrix.image }}
steps:
- uses: actions/checkout@v7
- name: Setup MSVC++ environment
uses: microsoft/setup-msbuild@v3
with:
msbuild-architecture: 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 $LASTEXITCODE }
}
QuantLib-1.43/.github/workflows/msvc-analysis.yml 0000664 0000000 0000000 00000003052 15225121364 0022072 0 ustar 00root root 0000000 0000000 name: Microsoft C++ Code Analysis
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
env:
# Path to the CMake build directory.
build: '${{ github.workspace }}/build'
jobs:
analyze:
name: Analyze
runs-on: windows-2022
steps:
- name: Checkout repository
uses: actions/checkout@v7
- name: Setup
run: |
$Url = "https://archives.boost.io/release/1.91.0/source/boost_1_91_0.zip"
(New-Object System.Net.WebClient).DownloadFile($Url, "$RUNNER_TEMP\boost.zip")
Expand-Archive -Path "$RUNNER_TEMP\boost.zip" -DestinationPath C:\local
Rename-Item -Path "C:\local\boost_1_91_0" -NewName "boost"
- name: Configure CMake
env:
BOOST_ROOT: C:\local\boost
run: cmake -B ${{ env.build }} -DQL_USE_STD_CLASSES=ON
- name: Run MSVC Code Analysis
uses: microsoft/msvc-code-analysis-action@v0.1.1
# Provide a unique ID to access the sarif output path
id: run-analysis
env:
CAExcludePath: C:\local\boost
with:
cmakeBuildDirectory: ${{ env.build }}
buildConfiguration: Release
ruleset: '${{ github.workspace }}/.msvc-analysis.ruleset'
- name: Upload SARIF to GitHub
uses: github/codeql-action/upload-sarif@v4
with:
sarif_file: ${{ steps.run-analysis.outputs.sarif }}
- name: Upload SARIF as an Artifact
uses: actions/upload-artifact@v7
with:
name: sarif-file
path: ${{ steps.run-analysis.outputs.sarif }}
QuantLib-1.43/.github/workflows/msvc-nondefault.yml 0000664 0000000 0000000 00000004161 15225121364 0022410 0 ustar 00root root 0000000 0000000 name: Windows build with non-default configuration
on:
schedule:
- cron: '0 0 * * 0'
workflow_dispatch:
workflow_call:
jobs:
msbuild:
strategy:
fail-fast: false
matrix:
toolset: [v142, v143, v145]
platform: [x64, Win32]
unity: [unity, singles]
include:
- toolset: v142
boost_version: 77
vsversion: 2019
image: windows-2022
- toolset: v143
boost_version: 91
vsversion: 2022
image: windows-2022
- toolset: v145
boost_version: 91
vsversion: 2026
image: windows-2025-vs2026
runs-on: ${{ matrix.image }}
steps:
- uses: actions/checkout@v7
- name: Setup MSVC++ environment
uses: microsoft/setup-msbuild@v3
with:
msbuild-architecture: 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-1.43/.github/workflows/msvc.yml 0000664 0000000 0000000 00000003666 15225121364 0020264 0 ustar 00root root 0000000 0000000 name: Windows build
on:
push:
branches:
- '**'
pull_request:
jobs:
msbuild:
strategy:
fail-fast: false
matrix:
toolset: [v142, v143, v145]
unity: [unity, singles]
include:
- toolset: v142
boost_version: 77
vsversion: 2019
image: windows-2022
- toolset: v143
boost_version: 90
vsversion: 2022
image: windows-2022
- toolset: v145
boost_version: 90
vsversion: 2026
image: windows-2025-vs2026
runs-on: ${{ matrix.image }}
steps:
- uses: actions/checkout@v7
- name: Setup MSVC++ environment
uses: microsoft/setup-msbuild@v3
with:
msbuild-architecture: 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-1.43/.github/workflows/namespaces.yml 0000664 0000000 0000000 00000002353 15225121364 0021423 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@v7
- name: Check
run: |
shopt -s globstar
sed -i -e 's/ext::function\b/std::function/g' **/*.[hc]pp
sed -i -e 's/ext::bind\b/std::bind/g' **/*.[hc]pp
sed -i -e 's/ext::ref\b/std::ref/g' **/*.[hc]pp
sed -i -e 's/ext::cref\b/std::cref/g' **/*.[hc]pp
sed -i -e 's/ext::placeholders\b/std::placeholders/g' **/*.[hc]pp
sed -i -e 's/ext::tuple\b/std::tuple/g' **/*.[hc]pp
sed -i -e 's/ext::make_tuple\b/std::make_tuple/g' **/*.[hc]pp
sed -i -e 's/ext::get\b/std::get/g' **/*.[hc]pp
sed -i -e 's/ext::tie\b/std::tie/g' **/*.[hc]pp
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: fix-ext-namespace-${{ github.ref_name }}
delete-branch: true
commit-message: 'Fix deprecated uses of ext namespace'
title: 'Fix deprecated uses of ext namespace'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/prepare-patch-release.yml 0000664 0000000 0000000 00000004271 15225121364 0023456 0 ustar 00root root 0000000 0000000 name: Prepare patch release
on:
workflow_dispatch:
jobs:
update-for-release:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v7
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: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo LATEST_TAG=v${LATEST_RELEASE} | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "LAST_MINOR=" $2 }' | tee -a $GITHUB_ENV
echo ${LATEST_RELEASE} | awk -F '.' '{ print "NEXT_PATCH=" $3 + 1 }' | tee -a $GITHUB_ENV
- name: Update version numbers
run: |
sed -i -e "s/^AC_INIT(\[QuantLib\].*$/AC_INIT([QuantLib], [1.${LAST_MINOR}.${NEXT_PATCH}],/g" configure.ac
sed -i -e "s/^#define QL_VERSION.*$/#define QL_VERSION \"1.${LAST_MINOR}.${NEXT_PATCH}\"/g" ql/version.hpp
sed -i -e "s/^#define QL_HEX_VERSION.*$/#define QL_HEX_VERSION 0x01${LAST_MINOR}0${NEXT_PATCH}f0/g" ql/version.hpp
sed -i -e "s/^set(PACKAGE_VERSION .*$/set(PACKAGE_VERSION \"1.${LAST_MINOR}.${NEXT_PATCH}\"\)/g" CMakeLists.txt
sed -i -e "s/^set(PACKAGE_VERSION_HEX.*$/set(PACKAGE_VERSION_HEX \"0x01${LAST_MINOR}0${NEXT_PATCH}f0\"\)/g" CMakeLists.txt
git commit -a -m "Set version to 1.${LAST_MINOR}.${NEXT_PATCH}"
- name: Update ChangeLog
run: |
git log --pretty=medium --date=rfc --stat --grep='Merge [^p]' --grep='[Mm]erged' --grep='[Pp]ull from' --invert-grep ${LATEST_TAG}.. > ChangeLog.txt
git commit -a -m "Update changelog"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: update-version-for-release-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.LAST_MINOR }}.${{ env.NEXT_PATCH }} final'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/prepare-release-candidate.yml 0000664 0000000 0000000 00000003754 15225121364 0024300 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@v7
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: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo LATEST_TAG=v${LATEST_RELEASE} | 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 ${LATEST_TAG}.. > ChangeLog.txt
git commit -a -m "Update changelog"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: set-to-rc-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.NEXT_MINOR }}-rc'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/prepare-release.yml 0000664 0000000 0000000 00000003757 15225121364 0022371 0 ustar 00root root 0000000 0000000 name: Prepare release
on:
workflow_dispatch:
jobs:
update-for-release:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v7
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: ${{ github.token }}
run: |
export LATEST_RELEASE=`gh release list --json name,isLatest --jq '.[] | select(.isLatest)|.name'`
echo LATEST_TAG=v${LATEST_RELEASE} | 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 ${LATEST_TAG}.. > ChangeLog.txt
git commit -a -m "Update changelog"
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: update-version-for-release-${{ github.ref_name }}
delete-branch: true
title: 'Set version to 1.${{ env.NEXT_MINOR }} final'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/prerelease-checks.yml 0000664 0000000 0000000 00000000741 15225121364 0022670 0 ustar 00root root 0000000 0000000 name: Pre-release checks
on:
workflow_dispatch:
jobs:
full-linux-tests:
uses: ./.github/workflows/linux-full-tests.yml
full-msvc-tests:
uses: ./.github/workflows/msvc-all-configs.yml
linux-alt-config:
uses: ./.github/workflows/linux-nondefault.yml
msvc-alt-config:
uses: ./.github/workflows/msvc-nondefault.yml
macos-alt-config:
uses: ./.github/workflows/macos-nondefault.yml
cmake-latest:
uses: ./.github/workflows/cmake-latest-runners.yml
QuantLib-1.43/.github/workflows/publish-release-candidate.yml 0000664 0000000 0000000 00000002171 15225121364 0024300 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@v7
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-1.43/.github/workflows/publish-release.yml 0000664 0000000 0000000 00000006510 15225121364 0022367 0 ustar 00root root 0000000 0000000 name: Draft new release
on:
push:
tags:
- 'v1.[0-9]+'
- 'v1.[0-9]+.[0-9]+'
permissions:
contents: write
packages: write
jobs:
draft-release:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v7
with:
fetch-depth: 0
fetch-tags: true
- name: Setup
run: |
sudo apt update
sudo apt install -y libboost-dev tofrodos
./autogen.sh
./configure
- name: Make tarballs
run: |
mkdir tarballs
make dist
mv QuantLib-*.tar.gz tarballs
cd tarballs && ../tools/tgz2zip *.tar.gz && ls -lh
- name: Extract version
run: |
echo ${{ github.ref_name }} | awk -F '[v-]' '{ print "VERSION_NUMBER=" $2 }' | tee -a $GITHUB_ENV
- name: Prepare release notes
run: |
echo "Downloads:" >> tarballs/notes.txt
echo "==========" >> tarballs/notes.txt
echo "" >> tarballs/notes.txt
echo "- [QuantLib-${VERSION_NUMBER}.tar.gz](https://github.com/lballabio/QuantLib/releases/download/v${VERSION_NUMBER}/QuantLib-${VERSION_NUMBER}.tar.gz)" >> tarballs/notes.txt
echo "- [QuantLib-${VERSION_NUMBER}.zip](https://github.com/lballabio/QuantLib/releases/download/v${VERSION_NUMBER}/QuantLib-${VERSION_NUMBER}.zip)" >> tarballs/notes.txt
echo "" >> tarballs/notes.txt
awk '/Full list of pull requests/{ exit } { print }' News.md >> tarballs/notes.txt
- name: Remove prerelease
continue-on-error: true
env:
GH_TOKEN: ${{ github.token }}
run: |
gh release delete ${{ github.ref_name }}-rc --cleanup-tag --yes
- name: Create draft release
env:
GH_TOKEN: ${{ github.token }}
run: |
gh release create ${{ github.ref_name }} \
--title "${VERSION_NUMBER}" \
--draft \
--notes-file tarballs/notes.txt \
--generate-notes \
tarballs/*.tar.gz tarballs/*.zip
reference-manual:
runs-on: macos-latest
steps:
- uses: actions/checkout@v7
- name: Setup
env:
HOMEBREW_NO_INSTALLED_DEPENDENTS_CHECK: 1
run: |
brew install automake autoconf libtool boost doxygen graphviz
- name: Doxygen version
run: |
doxygen --version
- name: Generate docs
run: |
./autogen.sh
./configure --with-boost-include=$(brew --prefix)/include
make docs
- uses: actions/checkout@v7
with:
repository: quantlib/quantlib.github.io
path: site
- name: Update docs
working-directory: site
run: |
rm -rf reference
mv ../Docs/html reference
git add reference
cp ../LICENSE.TXT _includes/LICENSE.TXT
- uses: peter-evans/create-pull-request@v8
with:
path: site
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/quantlib.github.io
branch: reference-docs-${{ github.ref_name }}
delete-branch: true
commit-message: 'Update reference docs for ${{ github.ref_name }}'
title: 'Update reference docs for ${{ github.ref_name }}'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
body: |
This is an automated PR generated by the [create-pull-request](https://github.com/peter-evans/create-pull-request) GitHub action.
QuantLib-1.43/.github/workflows/sanitizer.yml 0000664 0000000 0000000 00000002646 15225121364 0021321 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@v7
- 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@v7
- 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-1.43/.github/workflows/stale.yml 0000664 0000000 0000000 00000002224 15225121364 0020411 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-1.43/.github/workflows/sync-org-repo.yml 0000664 0000000 0000000 00000001451 15225121364 0022006 0 ustar 00root root 0000000 0000000 name: Sync quantlib organization repository
on:
release:
types: [published]
permissions:
contents: write
jobs:
sync-org-repo:
runs-on: ubuntu-latest
if: ${{ github.event.release.prerelease == false }}
steps:
- uses: actions/checkout@v7
with:
repository: quantlib/QuantLib
token: ${{ secrets.ORG_PUSH_PAT }}
ref: master
path: quantlib
- name: Setup second remote
run: |
cd quantlib
git remote add src https://github.com/lballabio/QuantLib.git
git fetch src
- name: Push new commits
env:
GITHUB_TOKEN: ${{ secrets.ORG_PUSH_PAT }}
run: |
cd quantlib
git push origin ${{ github.ref_name }}
git merge --ff-only ${{ github.ref_name }}
git push origin master
QuantLib-1.43/.github/workflows/sync-qldefines.yml 0000664 0000000 0000000 00000001735 15225121364 0022233 0 ustar 00root root 0000000 0000000 name: Keep qldefines.hpp.cfg in sync with original header
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
sync-files:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v7
- name: Check
run: |
cp ql/qldefines.hpp ql/qldefines.hpp.cfg
sed -i -e 's|^#if defined(HAVE_CONFIG_H).*$|#if defined(QL_HAVE_CONFIG_H) // Dynamically created by cmake|g' ql/qldefines.hpp.cfg
sed -i -e 's|^/\* install-hook \*/.*$|#cmakedefine QL_HAVE_CONFIG_H|g' ql/qldefines.hpp.cfg
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: sync-qldefine-${{ github.ref_name }}
delete-branch: true
commit-message: 'Sync qldefines.hpp.cfg with original header'
title: 'Sync qldefines.hpp.cfg with original header'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/test-macros.yml 0000664 0000000 0000000 00000001732 15225121364 0021545 0 ustar 00root root 0000000 0000000 name: Replace Boost macros that might not work with AAD types
on:
push:
branches-ignore:
- 'dependabot/**'
jobs:
check-namespaces:
runs-on: ubuntu-latest
steps:
- uses: actions/checkout@v7
- name: Check
run: |
sed -i -e 's/BOOST_CHECK_SMALL\b/QL_CHECK_SMALL/g' test-suite/*.cpp
sed -i -e 's/BOOST_CHECK_CLOSE\b/QL_CHECK_CLOSE/g' test-suite/*.cpp
sed -i -e 's/BOOST_CHECK_CLOSE_FRACTION\b/QL_CHECK_CLOSE_FRACTION/g' test-suite/*.cpp
- uses: peter-evans/create-pull-request@v8
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: fix-boost-test-macros-${{ github.ref_name }}
delete-branch: true
commit-message: 'Replace Boost macros that might not work with AAD types'
title: 'Replace Boost macros that might not work with AAD types'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
QuantLib-1.43/.github/workflows/test-times.yml 0000664 0000000 0000000 00000002155 15225121364 0021402 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@v7
- 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 all tests
run: |
./test-suite/quantlib-test-suite --logger=JUNIT,warning,all.xml:HRF,message
- name: Save test times
uses: actions/upload-artifact@v7
with:
name: test-reports
path: ./*.xml
- name: Check test times
run: |
python ./tools/check_test_times.py
QuantLib-1.43/.github/workflows/tidy.yml 0000664 0000000 0000000 00000002146 15225121364 0020255 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@v7
- name: Setup
run: |
sudo apt-get update
sudo apt-get install -y clang-tidy-19 libboost-dev
- name: Check
run: |
cmake --preset linux-ci-build-with-clang-tidy
cd build/linux-ci-build-with-clang-tidy
cmake --build . -j1
- uses: peter-evans/create-pull-request@v8
if: ${{ always() }}
with:
token: ${{ secrets.MACHINE_ACCOUNT_PAT }}
push-to-fork: ${{ vars.MACHINE_ACCOUNT }}/QuantLib
branch: clang-tidy-fixes-${{ github.ref_name }}
delete-branch: true
commit-message: 'Automated fixes by clang-tidy'
title: 'Automated fixes by clang-tidy'
author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
body: |
This is an automated PR generated by the [create-pull-request](https://github.com/peter-evans/create-pull-request) GitHub action.
Please review the changes before merging.
QuantLib-1.43/.gitignore 0000664 0000000 0000000 00000003661 15225121364 0015157 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-1.43/.lgtm.yml 0000664 0000000 0000000 00000000246 15225121364 0014727 0 ustar 00root root 0000000 0000000
path_classifiers:
docs:
- Docs
- Examples
test:
- test-suite
library:
- tools
queries:
- exclude: cpp/fixme-comment
QuantLib-1.43/.lsan.txt 0000664 0000000 0000000 00000000001 15225121364 0014724 0 ustar 00root root 0000000 0000000
QuantLib-1.43/.misspell-fixer.ignore 0000664 0000000 0000000 00000000022 15225121364 0017401 0 ustar 00root root 0000000 0000000 ^./ChangeLog.txt
QuantLib-1.43/.msvc-analysis.ruleset 0000664 0000000 0000000 00000001004 15225121364 0017430 0 ustar 00root root 0000000 0000000
QuantLib-1.43/CITATION.cff 0000664 0000000 0000000 00000000555 15225121364 0015060 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-1.43/CMakeLists.txt 0000664 0000000 0000000 00000025262 15225121364 0015730 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 43)
set(QUANTLIB_VERSION_PATCH 0)
set(QUANTLIB_VERSION ${QUANTLIB_VERSION_MAJOR}.${QUANTLIB_VERSION_MINOR}.${QUANTLIB_VERSION_PATCH})
# Project Info
set(PACKAGE_NAME "QuantLib")
set(PACKAGE_VERSION "1.43")
set(PACKAGE_VERSION_HEX "0x014300f0")
set(PACKAGE_STRING "${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)
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if (QL_ENABLE_DEFAULT_WARNING_LEVEL)
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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")
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endif()
if (QL_USE_CLANG_TIDY)
if (NOT DEFINED QL_CLANG_TIDY)
set(QL_CLANG_TIDY clang-tidy)
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set(QL_CLANG_TIDY_OPTIONS)
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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)
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set(CMAKE_DEBUG_POSTFIX ${DEBUG_POSTFIX})
set(CMAKE_RELEASE_POSTFIX ${RELEASE_POSTFIX})
set(CMAKE_RELWITHDEBINFO_POSTFIX ${RELEASE_POSTFIX})
set(CMAKE_MINSIZEREL_POSTFIX ${RELEASE_POSTFIX})
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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} ${name_without_dir})
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# Add subdirectories
add_subdirectory(ql)
if (QL_BUILD_EXAMPLES)
add_subdirectory(Examples)
endif()
if (QL_BUILD_TEST_SUITE)
add_subdirectory(test-suite)
endif()
if ('${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)
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"vendor": {
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}
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"intelliSenseMode": "linux-gcc-x64",
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"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-1.43/CONTRIBUTING.md 0000664 0000000 0000000 00000003631 15225121364 0015415 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-1.43/ChangeLog.txt 0000664 0000000 0000000 00000407547 15225121364 0015572 0 ustar 00root root 0000000 0000000 commit e7bd700dfd6416b4bb6749f018f3c2dc4ed19474
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Mon, 13 Jul 2026 07:09:26 +0000
Set version to 1.43
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 4567efac4393f56eb52bd4ca5e63a6b1829e0a81
Merge: 489847af9 2073a7089
Author: Luigi Ballabio
Date: Mon, 6 Jul 2026 08:58:03 +0200
Make L-BFGS-B compatible with expression-template Real types (#2647)
commit 2073a7089aa1364a6f72d9c94c39fc3327d17db3
Author: auto-differentiation-dev <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Sat, 4 Jul 2026 20:49:49 +0100
Make L-BFGS-B compatible with expression-template Real types
Wrap mixed-type ternary and std::max operands in Real(...);
no-op for the default Real = double.
ql/math/optimization/lbfgsb.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 489847af9fd4a36236fd877795c60b326bb4676b
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 1 Jul 2026 15:55:00 +0000
Update changelog
ChangeLog.txt | 3397 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++-
1 file changed, 3370 insertions(+), 27 deletions(-)
commit 91c4ef46024b640427e3e43dbd8b4a5669664cf0
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 1 Jul 2026 15:55:00 +0000
Set version to 1.43-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit 0e5b4e0f531cc8d3749bdcb2f202b8d615a97697
Author: Luigi Ballabio
Date: Wed, 1 Jul 2026 12:18:15 +0200
Fix link to PR
News.md | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7c776524bc22fe777e1857a0d7d6a1d2b61e0b67
Author: Luigi Ballabio
Date: Wed, 1 Jul 2026 12:15:32 +0200
Update news
News.md | 15 +++++++++++----
1 file changed, 11 insertions(+), 4 deletions(-)
commit 0ee883bbe7716b34d1a913b6e5d2538fe7658a91
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 1 Jul 2026 08:55:23 +0000
Automated fixes by clang-tidy
ql/math/optimization/lbfgsb.cpp | 1 -
1 file changed, 1 deletion(-)
commit d4aedd08b38784374f977d4f054ce4e791b3a0df
Author: Luigi Ballabio
Date: Wed, 1 Jul 2026 11:07:44 +0200
Update list of contributors
Contributors.txt | 10 ++++++++++
1 file changed, 10 insertions(+)
commit 92e247a1443f8ecf56b65b53b63a88779370695f
Author: Luigi Ballabio
Date: Wed, 1 Jul 2026 11:07:30 +0200
Edit a few test messages
test-suite/constnotionalcrosscurrencybasisswap.cpp | 4 ++--
test-suite/constnotionalcrosscurrencyfixedvsfloatingswap.cpp | 2 +-
test-suite/constnotionalcrosscurrencyswap.cpp | 6 +++---
3 files changed, 6 insertions(+), 6 deletions(-)
commit 37afeaa399bf29f9003259a2e2d4880fea989347
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 28 Jun 2026 02:25:34 +0000
Automated fixes by clang-tidy
ql/math/optimization/lbfgsb.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit d99d5dff9b96051b803ac365bfd7e8dcfdf15be2
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 24 Jun 2026 09:47:30 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit 3b921d4170834f6b96d8e93081fbc67a4db6a0f0
Merge: 9863b578a 777a46dd1
Author: Luigi Ballabio
Date: Wed, 24 Jun 2026 11:40:48 +0200
Add L-BFGS-B Limited-Memory Bound-Constrained Optimizer (#2635)
commit 777a46dd1c1213e82bee6595c39df3f900e05b78
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Tue, 23 Jun 2026 15:32:19 -0500
Adding context for algorithmic tradeoffs + fTol corrections.
ql/math/optimization/lbfgsb.hpp | 16 +++++++++++-----
1 file changed, 11 insertions(+), 5 deletions(-)
commit baf7fdb789dcd70dba77d5ac926133432461757d
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Tue, 23 Jun 2026 15:28:42 -0500
Updating tests to use proper fTol instead of factr.
test-suite/optimizers.cpp | 20 ++++++++++----------
1 file changed, 10 insertions(+), 10 deletions(-)
commit 9cd5964f96a6acb9eac040d3a810b66de9e51de8
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Tue, 23 Jun 2026 15:28:08 -0500
Update LBFGSB to use fTol instead of factr, similar to other optimization methods.
ql/math/optimization/lbfgsb.cpp | 7 ++++---
1 file changed, 4 insertions(+), 3 deletions(-)
commit 9863b578af0caa4cecabf697196533e84a8308b6
Merge: 7f697de95 42486f796
Author: Luigi Ballabio
Date: Tue, 23 Jun 2026 11:03:29 +0200
introduce CashFlow::isCoupon() to replace dynamic casts (#2638)
commit 7f697de95e4f32ffb46929ff2e9d4405ed94d5cd
Merge: 37ef07e19 de0f71df4
Author: Luigi Ballabio
Date: Tue, 23 Jun 2026 10:59:53 +0200
Pricing Bonds with face values other than $100 (#2637)
commit a14bcdceb9cbe51e51acbe431a6c807ab74d26aa
Author: Colin Alberts
Date: Mon, 22 Jun 2026 12:46:29 -0500
Adding l-bfgs-b files to other compilation files (cicd checks failed).
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
2 files changed, 8 insertions(+)
commit 42486f796fff424093c781771901ee69424dbf80
Author: Peter Caspers
Date: Mon, 22 Jun 2026 18:47:36 +0200
replace dnyamic casts to Coupon
Examples/BermudanSwaption/BermudanSwaption.cpp | 2 +-
ql/cashflows/cashflows.cpp | 30 +++++++++++-----------
ql/cashflows/conundrumpricer.cpp | 4 +--
ql/cashflows/lineartsrpricer.cpp | 2 +-
ql/experimental/basismodels/swaptioncfs.cpp | 14 +++++-----
ql/experimental/callablebonds/callablebond.cpp | 2 +-
ql/experimental/credit/integralcdoengine.cpp | 6 ++---
ql/experimental/credit/midpointcdoengine.cpp | 6 ++---
ql/instruments/assetswap.cpp | 2 +-
ql/instruments/bond.cpp | 2 +-
ql/instruments/creditdefaultswap.cpp | 2 +-
.../utilities/fdmaffinemodelswapinnervalue.hpp | 2 +-
ql/pricingengines/bond/riskybondengine.cpp | 2 +-
test-suite/bermudanswaption.cpp | 10 ++++----
test-suite/cashflows.cpp | 18 ++++++-------
test-suite/creditdefaultswap.cpp | 14 +++++-----
16 files changed, 59 insertions(+), 59 deletions(-)
commit ed3b0ae805823064f085c5b5a8ebefb401b29091
Author: Peter Caspers
Date: Mon, 22 Jun 2026 18:47:29 +0200
fix
ql/cashflow.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4fb260b134c88a6d54cc6c30ea6059e85b556cca
Author: Peter Caspers
Date: Mon, 22 Jun 2026 18:41:01 +0200
Revert "introduce CashFlow::isCoupon() to replace dynamic casts"
This reverts commit 057720f26b838e4b4bad7fd48d3adf83dce73185.
ql/cashflows/cashflows.cpp | 75 +++++++++++++---------
ql/cashflows/conundrumpricer.cpp | 8 +--
ql/cashflows/lineartsrpricer.cpp | 3 +-
ql/experimental/basismodels/swaptioncfs.cpp | 28 ++++----
ql/experimental/callablebonds/callablebond.cpp | 3 +-
ql/experimental/credit/integralcdoengine.cpp | 17 ++---
ql/experimental/credit/midpointcdoengine.cpp | 12 ++--
ql/instruments/assetswap.cpp | 7 +-
ql/instruments/bond.cpp | 4 +-
ql/instruments/creditdefaultswap.cpp | 4 +-
.../utilities/fdmaffinemodelswapinnervalue.hpp | 3 +-
ql/pricingengines/bond/riskybondengine.cpp | 4 +-
12 files changed, 83 insertions(+), 85 deletions(-)
commit 1f3c4c5f1a10615edfa88b891b89d9e68bdd0dad
Author: Peter Caspers
Date: Mon, 22 Jun 2026 18:40:33 +0200
Revert "fix scope"
This reverts commit cbbb119b5456b766b753d15abf24faa5043d8d06.
ql/experimental/credit/midpointcdoengine.cpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit f6767709c528f549c24f48e53d30c990368f49ef
Author: Peter Caspers
Date: Mon, 22 Jun 2026 18:40:33 +0200
Revert "typo"
This reverts commit 8dab2eb701b691eec97fe6fce031801daadbddef.
ql/experimental/credit/midpointcdoengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 63caf8389c8709e428f55f5a8c6ac48365ba2bbd
Author: Peter Caspers
Date: Mon, 22 Jun 2026 18:40:32 +0200
Revert "typos"
This reverts commit d27af59b3addfe6e6c60317934f63f89eb3a3ee2.
ql/instruments/creditdefaultswap.cpp | 2 +-
ql/pricingengines/bond/riskybondengine.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit ac020c660b1498434da2d02a5c726c82eaa1042b
Author: Peter Caspers
Date: Mon, 22 Jun 2026 18:40:29 +0200
Revert "do not require a coupon"
This reverts commit 0563fa85551b900dc6afd924fd2b41e33ffeb83e.
ql/experimental/callablebonds/callablebond.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 3a7d6cf0747fbf83ee341074a1a745d2c5f53c86
Author: Peter Caspers
Date: Mon, 22 Jun 2026 18:39:56 +0200
drop in replacement for dynamic cast to Coupon
ql/cashflow.hpp | 9 ++++++---
ql/cashflows/coupon.cpp | 3 +++
ql/cashflows/coupon.hpp | 4 +++-
3 files changed, 12 insertions(+), 4 deletions(-)
commit 37ef07e19eb9df4d742aeb508eac586ab1c89e82
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 22 Jun 2026 11:22:30 +0000
Bump actions/checkout from 6 to 7
Bumps [actions/checkout](https://github.com/actions/checkout) from 6 to 7.
- [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/v6...v7)
---
updated-dependencies:
- dependency-name: actions/checkout
dependency-version: '7'
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot]
.github/workflows/cmake-latest-runners.yml | 2 +-
.github/workflows/cmake.yml | 12 ++++++------
.github/workflows/codeql-analysis.yml | 2 +-
.github/workflows/copyrights.yml | 2 +-
.github/workflows/coveralls.yml | 2 +-
.github/workflows/devenv-images.yml | 2 +-
.github/workflows/doxygen.yml | 4 ++--
.github/workflows/filelists.yml | 2 +-
.github/workflows/generated-headers.yml | 2 +-
.github/workflows/headers.yml | 2 +-
.github/workflows/includes.yml | 2 +-
.github/workflows/increase-version-number.yml | 2 +-
.github/workflows/license-url.yml | 2 +-
.github/workflows/linux-full-tests.yml | 2 +-
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/linux.yml | 2 +-
.github/workflows/macos-nondefault.yml | 2 +-
.github/workflows/macos.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/msvc-all-configs.yml | 2 +-
.github/workflows/msvc-analysis.yml | 2 +-
.github/workflows/msvc-nondefault.yml | 2 +-
.github/workflows/msvc.yml | 2 +-
.github/workflows/namespaces.yml | 2 +-
.github/workflows/prepare-patch-release.yml | 2 +-
.github/workflows/prepare-release-candidate.yml | 2 +-
.github/workflows/prepare-release.yml | 2 +-
.github/workflows/publish-release-candidate.yml | 2 +-
.github/workflows/publish-release.yml | 6 +++---
.github/workflows/sanitizer.yml | 4 ++--
.github/workflows/sync-org-repo.yml | 2 +-
.github/workflows/sync-qldefines.yml | 2 +-
.github/workflows/test-macros.yml | 2 +-
.github/workflows/test-times.yml | 2 +-
.github/workflows/tidy.yml | 2 +-
35 files changed, 44 insertions(+), 44 deletions(-)
commit de0f71df438d3d56d8509d4cd6bfe3d8a80ef91f
Author: Hetal Sharma
Date: Mon, 22 Jun 2026 15:10:21 +0530
Pricing Bonds with face values other than
ql/instruments/bond.hpp | 6 ++++++
ql/pricingengines/bond/bondfunctions.hpp | 5 +++++
2 files changed, 11 insertions(+)
commit 0563fa85551b900dc6afd924fd2b41e33ffeb83e
Author: Peter Caspers
Date: Mon, 22 Jun 2026 08:47:12 +0200
do not require a coupon
ql/experimental/callablebonds/callablebond.cpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit d27af59b3addfe6e6c60317934f63f89eb3a3ee2
Author: Peter Caspers
Date: Sun, 21 Jun 2026 22:04:01 +0200
typos
ql/instruments/creditdefaultswap.cpp | 2 +-
ql/pricingengines/bond/riskybondengine.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 8dab2eb701b691eec97fe6fce031801daadbddef
Author: Peter Caspers
Date: Sun, 21 Jun 2026 21:55:18 +0200
typo
ql/experimental/credit/midpointcdoengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit cbbb119b5456b766b753d15abf24faa5043d8d06
Author: Peter Caspers
Date: Sun, 21 Jun 2026 21:52:33 +0200
fix scope
ql/experimental/credit/midpointcdoengine.cpp | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit 057720f26b838e4b4bad7fd48d3adf83dce73185
Author: Peter Caspers
Date: Sun, 21 Jun 2026 19:38:21 +0200
introduce CashFlow::isCoupon() to replace dynamic casts
ql/cashflow.hpp | 2 +
ql/cashflows/cashflows.cpp | 75 +++++++++-------------
ql/cashflows/conundrumpricer.cpp | 8 +--
ql/cashflows/coupon.hpp | 1 +
ql/cashflows/lineartsrpricer.cpp | 3 +-
ql/experimental/basismodels/swaptioncfs.cpp | 28 ++++----
ql/experimental/callablebonds/callablebond.cpp | 3 +-
ql/experimental/credit/integralcdoengine.cpp | 17 +++--
ql/experimental/credit/midpointcdoengine.cpp | 12 ++--
ql/instruments/assetswap.cpp | 7 +-
ql/instruments/bond.cpp | 4 +-
ql/instruments/creditdefaultswap.cpp | 4 +-
.../utilities/fdmaffinemodelswapinnervalue.hpp | 3 +-
ql/pricingengines/bond/riskybondengine.cpp | 4 +-
14 files changed, 88 insertions(+), 83 deletions(-)
commit 1616e3ce16138686874b50724546aaf9bfddc5b8
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sun, 21 Jun 2026 10:07:50 -0500
Shortening explanations.
test-suite/optimizers.cpp | 65 +++++++++++++++++++++++------------------------
1 file changed, 32 insertions(+), 33 deletions(-)
commit 5c9f2b130f5cd0b57fc962d9c77c011265bcff54
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sun, 21 Jun 2026 08:33:59 -0500
Formatting cleanup.
ql/math/optimization/lbfgsb.cpp | 88 ++++++++++++++++++++++++++++++++++-------
1 file changed, 74 insertions(+), 14 deletions(-)
commit 6976545c85a2efccfbc80deabcbaba1d56a3b55e
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sun, 21 Jun 2026 08:29:39 -0500
Fixing Problem type.
ql/math/optimization/lbfgsb.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 044461cd372bdd99d8405e6d00b36cc12d1e04cc
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 19:16:30 -0500
Removing testing classes from header.
ql/math/optimization/lbfgsb.hpp | 16 +---------------
1 file changed, 1 insertion(+), 15 deletions(-)
commit f44cccdb30f58e585d2260fbacd89a932d664570
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 19:13:42 -0500
Removing comparison test against desnse BFGS to reduce bloat.
ql/math/optimization/lbfgsb.cpp | 22 ----------------------
1 file changed, 22 deletions(-)
commit 1c51bb006571bda4b36f279d8a67a697d08ce2ca
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 19:11:48 -0500
Adding compact hessian for unit testing.
ql/math/optimization/lbfgsb.cpp | 22 ++++++++++++++++++++++
ql/math/optimization/lbfgsb.hpp | 19 +++++++++++++++++--
2 files changed, 39 insertions(+), 2 deletions(-)
commit 29383fbfcf0c279388593017a69a0499f3aaf077
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 16:10:53 -0500
Active bound, limited memory tests.
test-suite/optimizers.cpp | 204 +++++++++++++++++++++++++++++++++++++++++++++-
1 file changed, 203 insertions(+), 1 deletion(-)
commit 69e06b8e4003c88e7d46a4a6e782f9393b930138
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:36:51 -0500
min, max template deduction concerns.
ql/math/optimization/lbfgsb.cpp | 8 +++-----
1 file changed, 3 insertions(+), 5 deletions(-)
commit 9bf8a9d2fbdece2f1ba6fc020a901216f4353a53
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:32:49 -0500
Formatting.
ql/math/optimization/lbfgsb.cpp | 54 ++++++-------
ql/math/optimization/lbfgsb.hpp | 3 +-
test-suite/optimizers.cpp | 172 +++++++++++++++++++++++++++++++++++++++-
3 files changed, 198 insertions(+), 31 deletions(-)
commit 8761ad715772cf0912c72b7f8ca70bfe0f61a269
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:29:36 -0500
Reducing docustrings.
ql/math/optimization/lbfgsb.hpp | 50 ++++++++++-------------------------------
1 file changed, 12 insertions(+), 38 deletions(-)
commit 792352d40d505b9a55e1b2580eef738d6c6c2414
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:28:51 -0500
Update hilo conditions.
ql/math/optimization/lbfgsb.cpp | 14 +++++++-------
1 file changed, 7 insertions(+), 7 deletions(-)
commit 3dcc50ff3c8a387e51193577d1e2a9c1cedd99ae
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:27:59 -0500
Adding l-BFGS header.
ql/math/optimization/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit a852a21bb27249ef4bc2aef41774d633848a3386
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:27:32 -0500
Adding L-BFGSB files.
ql/CMakeLists.txt | 2 ++
1 file changed, 2 insertions(+)
commit 85728054da0751b5ae1cdd58152f890005790ec8
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:26:48 -0500
Adding LBFGSB header.
ql/math/optimization/Makefile.am | 2 ++
1 file changed, 2 insertions(+)
commit 4ed229914d9bfd6849ce569f0728221a105d3f5a
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:24:13 -0500
Initial lbfgs implementation.
ql/math/optimization/lbfgsb.cpp | 591 ++++++++++++++++++++++++++++++++++++++++
1 file changed, 591 insertions(+)
commit 4542aebaa92c941ac0361ea7c1cb972de5b28c3e
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:20:39 -0500
Initial L-BFGS header.
ql/math/optimization/lbfgsb.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 859a3065c2659501b4ce79b35a376c7e947dbef9
Author: Colin <34983726+colalb1@users.noreply.github.com>
Date: Sat, 20 Jun 2026 15:19:49 -0500
Initial L-BFGS header.
ql/math/optimization/lbfgsb.hpp | 102 ++++++++++++++++++++++++++++++++++++++++
1 file changed, 102 insertions(+)
commit 3961a8a509522bd99ae1bdb0ecca5dde5576dbd1
Merge: 53c6db6c1 af6caa28a
Author: Luigi Ballabio
Date: Thu, 18 Jun 2026 12:51:24 +0200
Make a few inspectors public in `GeneralizedHullWhite` (#2634)
commit af6caa28a6b5dcf15142cf0412dc77578c2eef46
Author: Luigi Ballabio
Date: Thu, 18 Jun 2026 09:58:43 +0200
Make a few inspectors public in GeneralizedHullWhite
ql/experimental/shortrate/generalizedhullwhite.cpp | 8 --------
ql/experimental/shortrate/generalizedhullwhite.hpp | 11 ++++++-----
2 files changed, 6 insertions(+), 13 deletions(-)
commit 53c6db6c1e51bd361fec3a8799b199ab3738ac1e
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 16 Jun 2026 12:59:12 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit bc4b3a651e1c0e05640fc4c8a5b18d23a6ea97d3
Merge: e842bbe36 5d7d29d33
Author: Luigi Ballabio
Date: Tue, 16 Jun 2026 14:29:25 +0200
Add Shir overnight index for ILS (#2628)
commit e842bbe369598596ffe015511f2b9f3b408675b7
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 16 Jun 2026 08:35:09 +0000
Replace Boost macros that might not work with AAD types
test-suite/overnightindexedcoupon.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5d7d29d33afcd3c64e7ce38f0869a36152fed849
Author: Pratzz1202
Date: Mon, 15 Jun 2026 23:42:08 +0530
Add Shir overnight index for ILS
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
ql/CMakeLists.txt | 2 ++
ql/indexes/ibor/Makefile.am | 2 ++
ql/indexes/ibor/all.hpp | 1 +
ql/indexes/ibor/shir.cpp | 30 ++++++++++++++++++++++++++++++
ql/indexes/ibor/shir.hpp | 45 +++++++++++++++++++++++++++++++++++++++++++++
test-suite/indexes.cpp | 20 ++++++++++++++++++--
8 files changed, 106 insertions(+), 2 deletions(-)
commit 3b1e28ec8a34db2772dacbdf8a724c387493ad49
Merge: 9eac92aff d61d3f9fe
Author: Luigi Ballabio
Date: Tue, 16 Jun 2026 10:08:36 +0200
Use make_shared in volatility-related code (#2619)
commit 9eac92aff5acde9fcee28293d3c9bc2f543004c5
Merge: c06232d06 e413dadb8
Author: Luigi Ballabio
Date: Tue, 16 Jun 2026 10:07:05 +0200
Add optional rounding precision to OvernightIndexedCoupon and OvernightLeg (#2624)
commit e413dadb8e87a663df446e2a36876299f2497120
Author: Disha Dugad
Date: Mon, 15 Jun 2026 23:38:11 +0530
Fix initializer order for rounding precision
ql/cashflows/overnightindexedcoupon.cpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit d61d3f9fee6c22d9fac0c6d0c98c6c1d0e52277e
Author: JewonJeon
Date: Mon, 15 Jun 2026 21:33:47 +0900
add auto when rhs and lhs types are identical
ql/experimental/variancegamma/fftengine.cpp | 3 +--
ql/termstructures/volatility/optionlet/optionletstripper1.cpp | 4 ++--
ql/termstructures/volatility/optionlet/optionletstripper2.cpp | 4 ++--
ql/termstructures/volatility/optionlet/strippedoptionletadapter.cpp | 2 +-
ql/termstructures/volatility/sabrinterpolatedsmilesection.cpp | 2 +-
ql/termstructures/volatility/zabr.cpp | 2 +-
6 files changed, 8 insertions(+), 9 deletions(-)
commit c06232d06b6efa7dac581db27f93ab5f86c39eda
Merge: ccd42d4ad 664084b6e
Author: Luigi Ballabio
Date: Mon, 15 Jun 2026 12:30:15 +0200
Reorder Israel calendar enumeration for backward compatibility (#2627)
commit ccd42d4ad84c126e7ae3640466f74d26ed2ffd4d
Merge: 433576448 97372b005
Author: Luigi Ballabio
Date: Mon, 15 Jun 2026 12:29:23 +0200
Added virtual inheritance and fixed consequent performance issue for DefaultLossModel class. (#2625)
commit 43357644881d4c22c28cbc72d38fa4e1420567d1
Merge: 694762953 abfe572ca
Author: Luigi Ballabio
Date: Mon, 15 Jun 2026 11:06:40 +0200
Fix issue #1817: allow coupon pricers in SwapRateHelper (#2626)
commit 664084b6e851aa8d16846f930fcb43e69c84807d
Author: Luigi Ballabio
Date: Mon, 15 Jun 2026 09:11:20 +0200
Reorder Israel calendar enumeration for backward compatibility
ql/time/calendars/israel.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit abfe572ca97980cfcb64da19b893309c82145ada
Author: prathmesh-sananse
Date: Mon, 15 Jun 2026 04:02:50 +0530
Allow passing coupon pricer to SwapRateHelper
ql/termstructures/yield/ratehelpers.cpp | 21 ++++++---
ql/termstructures/yield/ratehelpers.hpp | 11 +++--
test-suite/piecewiseyieldcurve.cpp | 78 ++++++++++++++++++++++++++++++++-
3 files changed, 100 insertions(+), 10 deletions(-)
commit 1bde19dcf900f1ebf37dcd1762e3be8fff0f7732
Author: Disha Dugad
Date: Sat, 13 Jun 2026 14:44:51 +0530
Remove invalid OvernightLeg rounding test
test-suite/overnightindexedcoupon.cpp | 12 ------------
1 file changed, 12 deletions(-)
commit 4d2b64b30d7e510c5cfba69a5c21b6e9c94c152a
Author: Disha Dugad
Date: Fri, 12 Jun 2026 22:59:03 +0530
Add optional rounding precision to overnight indexed coupons
ql/cashflows/overnightindexedcoupon.cpp | 21 ++++++++++--
ql/cashflows/overnightindexedcoupon.hpp | 9 +++--
test-suite/overnightindexedcoupon.cpp | 60 +++++++++++++++++++++++++++++++++
3 files changed, 86 insertions(+), 4 deletions(-)
commit 69476295385ba4e4791279db821247c89fe485a4
Merge: 954894429 16de99c1f
Author: Luigi Ballabio
Date: Thu, 11 Jun 2026 17:03:20 +0200
Fix AAD build of GaussianCopulaSpreadEngine (#2623)
commit 97372b005a2fc48b46720059afafb5472e778d0f
Author: Marco <27030240+MrC-D3@users.noreply.github.com>
Date: Thu, 11 Jun 2026 15:36:59 +0200
Added virtual inheritance and fixed consequent performance issue when setting the same Basket on DefaultLossModel.
ql/experimental/credit/defaultlossmodel.hpp | 5 ++++-
1 file changed, 4 insertions(+), 1 deletion(-)
commit 16de99c1f9a4c9f46f9c1287306ae9404ed271c2
Author: auto-differentiation-dev <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Thu, 11 Jun 2026 09:23:27 +0100
Use Real-compatible bounds in std::clamp for AAD in GaussianCopulaSpreadEngine
ql/pricingengines/basket/gaussiancopulaspreadengine.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 95489442901a52425ed96463e33c2a626051fe21
Merge: 020372396 f115c2985
Author: Luigi Ballabio
Date: Wed, 10 Jun 2026 11:21:48 +0200
Add `GaussianCopulaSpreadEngine` for spread option pricing (#2621)
commit f115c29852e4b2b2718d953065b60f7b82c92518
Author: Yassine Idyiahia
Date: Tue, 26 May 2026 21:34:13 +0100
Add `GaussianCopulaSpreadEngine` for spread option pricing
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +
ql/CMakeLists.txt | 2 +
ql/pricingengines/basket/Makefile.am | 2 +
ql/pricingengines/basket/all.hpp | 1 +
.../basket/gaussiancopulaspreadengine.cpp | 129 +++++++++++++
.../basket/gaussiancopulaspreadengine.hpp | 59 ++++++
test-suite/basketoption.cpp | 201 ++++++++++++++++++++-
8 files changed, 397 insertions(+), 5 deletions(-)
commit 0203723960ed822a878e52b029376d973ca1eec7
Merge: 9f650475a 571cd478f
Author: Luigi Ballabio
Date: Tue, 9 Jun 2026 10:29:21 +0200
Avoid constexpr Real in TrinomialTree so AAD builds compile (#2620)
commit 9f650475ae5c319cc1e9be2176e3058ae8b8a2a0
Merge: e4c146c3d 398bf2cf4
Author: Luigi Ballabio
Date: Tue, 9 Jun 2026 10:24:03 +0200
Israel Calendar update - New TASE and TELBOR (#2613)
commit e4c146c3d4c9d890b0ca2f4b752da3a93a0d349e
Author: Luigi Ballabio
Date: Mon, 8 Jun 2026 14:46:52 +0200
Avoid unnecessary inclusions
test-suite/constnotionalcrosscurrencybasisswap.cpp | 2 +-
test-suite/constnotionalcrosscurrencyfixedvsfloatingswap.cpp | 4 +++-
test-suite/constnotionalcrosscurrencyswap.cpp | 4 +++-
3 files changed, 7 insertions(+), 3 deletions(-)
commit f9855e42b84e08ab91b4f323331cf395813219e6
Merge: 3e784717f 2affee9df
Author: Luigi Ballabio
Date: Mon, 8 Jun 2026 17:37:33 +0200
Remove redundant calls to interpolation.update() (#2618)
commit 398bf2cf43b82b37d1043153078248f109773252
Author: Luigi Ballabio
Date: Mon, 8 Jun 2026 17:33:46 +0200
Add test for Telbor calendar
test-suite/calendars.cpp | 26 ++++++++++++++++++++++++++
1 file changed, 26 insertions(+)
commit 3e784717f7721e468fbeb0479ec9f35f6309dfeb
Author: Luigi Ballabio
Date: Mon, 8 Jun 2026 14:43:51 +0200
Update documentation
ql/indexes/inflationindex.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 67726f4add55a37c626b3d4f597611a14f537506
Author: Luigi Ballabio
Date: Mon, 8 Jun 2026 13:20:58 +0200
Deprecate generic Israel::Settlement
ql/time/calendars/israel.cpp | 2 ++
ql/time/calendars/israel.hpp | 11 ++++++-----
2 files changed, 8 insertions(+), 5 deletions(-)
commit c4e8f3e119800c4a401f9c383752c03379011ae3
Author: Luigi Ballabio
Date: Mon, 8 Jun 2026 13:15:17 +0200
Let TASE isWeekend() return the current Sat/Sun
ql/time/calendars/israel.cpp | 2 +-
test-suite/calendars.cpp | 21 ++++++++++++++++++---
2 files changed, 19 insertions(+), 4 deletions(-)
commit d9298539f7e53134508a1da8ff84491af74e034a
Author: Luigi Ballabio
Date: Mon, 8 Jun 2026 12:36:00 +0200
Update calendar docs
ql/time/calendars/israel.cpp | 4 ++--
ql/time/calendars/israel.hpp | 52 ++++++++++++++++++++++++++++++++++++++------
2 files changed, 47 insertions(+), 9 deletions(-)
commit 571cd478fbadd34f5261706332d020b284e50078
Author: auto-differentiation-dev <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Mon, 8 Jun 2026 10:34:09 +0100
Use double instead of constexpr Real in TrinomialTree for AAD builds
ql/methods/lattices/trinomialtree.cpp | 2 +-
test-suite/trinomialtree.cpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit d8f820f5b273571cada079587ed66761b9873d17
Author: JewonJeon
Date: Sun, 7 Jun 2026 12:06:23 +0900
Use make_shared in volatility-related code
.../callablebonds/callablebondconstantvol.cpp | 10 +---
ql/experimental/variancegamma/fftengine.cpp | 4 +-
ql/experimental/variancegamma/fftvanillaengine.cpp | 2 +-
.../variancegamma/fftvariancegammaengine.cpp | 2 +-
.../variancegamma/variancegammaprocess.cpp | 2 +-
ql/termstructures/volatility/abcdcalibration.cpp | 7 +--
.../equityfx/andreasenhugevolatilityinterpl.hpp | 2 +-
.../volatility/equityfx/blackconstantvol.hpp | 4 +-
.../volatility/equityfx/localconstantvol.hpp | 4 +-
.../volatility/equityfx/localvolsurface.cpp | 3 +-
.../volatility/interpolatedsmilesection.hpp | 12 ++--
.../volatility/optionlet/constantoptionletvol.cpp | 11 ++--
.../volatility/optionlet/optionletstripper1.cpp | 9 ++-
.../volatility/optionlet/optionletstripper2.cpp | 22 +++----
.../volatility/optionlet/spreadedoptionletvol.cpp | 6 +-
.../optionlet/strippedoptionletadapter.cpp | 10 ++--
.../volatility/sabrinterpolatedsmilesection.cpp | 18 +++---
.../interpolatedswaptionvolatilitycube.cpp | 12 +---
.../volatility/swaption/spreadedswaptionvol.cpp | 6 +-
.../volatility/swaption/swaptionconstantvol.cpp | 15 +++--
.../volatility/swaption/swaptionvolmatrix.cpp | 20 +++----
ql/termstructures/volatility/zabr.cpp | 67 ++++++++++++----------
.../volatility/zabrinterpolatedsmilesection.hpp | 7 +--
ql/termstructures/volatility/zabrsmilesection.hpp | 8 +--
24 files changed, 121 insertions(+), 142 deletions(-)
commit 2affee9df57f170e4af677bbc2255198a31f3a11
Author: Eugene Toder
Date: Fri, 5 Jun 2026 14:01:02 -0400
Remove redundant calls to interpolation.update()
.../volatility/interpolatedsmilesection.hpp | 21 ++++++++-------------
1 file changed, 8 insertions(+), 13 deletions(-)
commit a924b400a138894c69a8df97c6b80dcdfdc9cd69
Author: Sébastien Bouvard <71438320+sebastienbou@users.noreply.github.com>
Date: Fri, 5 Jun 2026 10:02:20 +0100
Fix week end logic + comment
ql/time/calendars/israel.cpp | 5 ++++-
ql/time/calendars/israel.hpp | 4 ++--
2 files changed, 6 insertions(+), 3 deletions(-)
commit 5111c3a1442a29b73ab8ec1fdce3e55d14cddf02
Author: Luigi Ballabio
Date: Fri, 5 Jun 2026 09:28:01 +0200
Update copyright attributions
Contributors.txt | 2 +-
LICENSE.TXT | 2 +-
ql/termstructures/volatility/equityfx/piecewiseblackvariancesurface.cpp | 2 +-
ql/termstructures/volatility/equityfx/piecewiseblackvariancesurface.hpp | 2 +-
test-suite/piecewiseblackvariancesurface.cpp | 2 +-
5 files changed, 5 insertions(+), 5 deletions(-)
commit 3408d5ae32ed62d6e3d3f13e52a1df6d9aabe46a
Merge: 01e4d4df7 cd9a15124
Author: Luigi Ballabio
Date: Fri, 5 Jun 2026 09:17:58 +0200
Use Real-compatible types so AAD builds compile (FX forward engine, variance surface test) (#2616)
commit 01e4d4df7c472f72eb6b1a72bc96206ff8aea3c6
Merge: 0b9aca861 80b0f1f3f
Author: Luigi Ballabio
Date: Fri, 5 Jun 2026 09:17:23 +0200
Fix trinomial tree excessive branching with gated dx floor (#364) (#2615)
commit e61454700b03dae25440fe4d68826bcb411a2c5e
Author: Sébastien Bouvard <71438320+sebastienbou@users.noreply.github.com>
Date: Fri, 5 Jun 2026 08:04:06 +0100
Switch date check within isBusinessDay
ql/time/calendars/israel.cpp | 49 +++++---------------------------------------
ql/time/calendars/israel.hpp | 2 +-
2 files changed, 6 insertions(+), 45 deletions(-)
commit 0b9aca8619f59c772e39064e2870af2aa4bca8c1
Merge: e71bc3db8 4469508ca
Author: Luigi Ballabio
Date: Thu, 4 Jun 2026 18:56:36 +0200
Add warning to `RelativeDateBootstrapHelper` documentation (#2614)
commit cd9a1512481b5ab0f0af24fa138e701683c9cd9b
Author: auto-differentiation-dev <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Thu, 4 Jun 2026 10:25:47 +0100
Use Real-compatible types for AAD in FX forward engine and variance surface test
ql/pricingengines/forward/discountingfxforwardengine.cpp | 4 ++--
test-suite/piecewiseblackvariancesurface.cpp | 4 ++--
2 files changed, 4 insertions(+), 4 deletions(-)
commit e71bc3db890dd8feefe3a3dffc81887023137ea9
Merge: ff1b15f6f b3468ef4b
Author: Luigi Ballabio
Date: Thu, 4 Jun 2026 10:07:55 +0200
Derive MakeVanillaSwap spot date on the index fixing calendar (#2611)
commit 80b0f1f3fa02e19bffd06ee8767b4fc1f8abf6e9
Author: pandashark
Date: Thu, 4 Jun 2026 00:21:58 -0500
Register trinomialtree.cpp in autotools and MSBuild file lists
The CMakeLists.txt registration was sufficient for the local CMake
build but the upstream filelists check requires the new test source
in Makefile.am, testsuite.vcxproj, and testsuite.vcxproj.filters.
test-suite/Makefile.am | 1 +
test-suite/testsuite.vcxproj | 1 +
test-suite/testsuite.vcxproj.filters | 3 +++
3 files changed, 5 insertions(+)
commit ff1b15f6f8ef9ffaeab94a21687623bb8e4aa472
Merge: 55d2c60f5 a01bad90c
Author: Luigi Ballabio
Date: Wed, 3 Jun 2026 14:32:35 +0200
Discount FX forward NPV to reference date (#2606)
commit 4469508ca517e97933b2f6dacc4cc5eb83f3a605
Author: MrC-D3 <27030240+MrC-D3@users.noreply.github.com>
Date: Mon, 1 Jun 2026 11:31:24 +0000
Warning in RelativeDateBootstrapHelper.
ql/termstructures/bootstraphelper.hpp | 12 +++++++++++-
1 file changed, 11 insertions(+), 1 deletion(-)
commit 67b09d01141bfc415741a167e4ad703bd7797fc7
Author: Sébastien Bouvard <71438320+sebastienbou@users.noreply.github.com>
Date: Tue, 2 Jun 2026 21:17:32 +0100
Add TelAvivNationalImpl and TelborImpl classes
ql/time/calendars/israel.hpp | 2 ++
1 file changed, 2 insertions(+)
commit a479b2c715fdcbe695f246733f2893ce66289106
Merge: 5f0be3016 7ca043cdd
Author: Sébastien Bouvard <71438320+sebastienbou@users.noreply.github.com>
Date: Tue, 2 Jun 2026 17:40:37 +0100
Merge pull request #1 from sebastienbou/sebastienboufix-ILS-Calendar
Update israel.hpp
commit 5f0be30168d8acf06c009306aa53b22d1e2bddd0
Author: Sébastien Bouvard <71438320+sebastienbou@users.noreply.github.com>
Date: Tue, 2 Jun 2026 17:40:05 +0100
Update israel.cpp
Add New TASE calendar and TELBOR
ql/time/calendars/israel.cpp | 107 +++++++++++++++++++++++++++++++++++++++++++
1 file changed, 107 insertions(+)
commit 7ca043cdd69dd210084de8c71ddecd6e20a50d78
Author: Sébastien Bouvard <71438320+sebastienbou@users.noreply.github.com>
Date: Tue, 2 Jun 2026 17:36:10 +0100
Update israel.hpp
https://www.tase.co.il/en/content/about/tradingdays_change
The TASE calendar switched to Monday-Friday working day on the 5th January 2026.
In addition, adding the telbor calendar that is different that TASE or SHIR
ql/time/calendars/israel.hpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit b3468ef4be73e5e0601fcf50c6105cf4e411b76e
Author: Lawson Darrow
Date: Mon, 1 Jun 2026 22:14:19 -0400
Derive MakeVanillaSwap spot date on the index fixing calendar
Contributors.txt | 1 +
ql/instruments/makevanillaswap.cpp | 16 +++++++---
test-suite/swap.cpp | 62 ++++++++++++++++++++++++++++++++++++++
3 files changed, 74 insertions(+), 5 deletions(-)
commit 55d2c60f58748d60a45a0f869b5ee5f79ba1e31c
Merge: 6e2d54f66 4a3f2c52e
Author: Luigi Ballabio
Date: Mon, 1 Jun 2026 09:48:38 +0200
Use make_shared in cap/floor volatilities and null calendar (#2610)
commit 6e2d54f66e88d447c5dda10ef1b0d77a3b21ccaa
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 31 May 2026 02:10:53 +0000
Automated fixes by clang-tidy
.../constnotionalcrosscurrencybasisswap.cpp | 17 ++++++++-------
.../constnotionalcrosscurrencybasisswap.hpp | 6 +++---
...nstnotionalcrosscurrencyfixedvsfloatingswap.cpp | 25 +++++++++++-----------
...nstnotionalcrosscurrencyfixedvsfloatingswap.hpp | 14 ++++++------
ql/instruments/constnotionalcrosscurrencyswap.cpp | 4 ++--
ql/instruments/constnotionalcrosscurrencyswap.hpp | 4 ++--
...ountingconstnotionalcrosscurrencyswapengine.cpp | 7 +++---
...ountingconstnotionalcrosscurrencyswapengine.hpp | 4 ++--
test-suite/constnotionalcrosscurrencyswap.cpp | 3 ++-
test-suite/fastfouriertransform.cpp | 4 ++--
test-suite/piecewiseblackvariancesurface.cpp | 16 +++++++-------
11 files changed, 54 insertions(+), 50 deletions(-)
commit 4a3f2c52e31d750f8fa31d0dfe02ec15b046d431
Author: JewonJeon
Date: Sat, 30 May 2026 14:00:26 +0900
Use make_shared in cap/floor volatilities and null calendar
ql/termstructures/volatility/capfloor/capfloortermvolcurve.cpp | 6 ++----
ql/termstructures/volatility/capfloor/capfloortermvolsurface.cpp | 8 ++++----
ql/termstructures/volatility/capfloor/constantcapfloortermvol.cpp | 4 ++--
ql/time/calendars/nullcalendar.hpp | 2 +-
4 files changed, 9 insertions(+), 11 deletions(-)
commit ba2df29d81e2e719c27e249839694b14fbbb0a8d
Merge: 6c6e76e49 cc6fa4b16
Author: Luigi Ballabio
Date: Fri, 29 May 2026 13:33:33 +0200
Added asymmetric payment frequency support for cross-currency basis swap rate helpers (#2528)
commit 6c6e76e49f60355c740a350bfb4651c05664b7d4
Merge: 4a05ede07 a6e957050
Author: Luigi Ballabio
Date: Fri, 29 May 2026 10:30:44 +0200
Fix out-of-bounds read in mixed interpolation switch point (#2605)
commit cc6fa4b169f3c861500173bad3deb5104550dcb6
Author: Justin Li
Date: Thu, 28 May 2026 16:08:58 -0400
Document payment-frequency parameters in cross-currency helpers
Add \param documentation for the cross-currency basis-swap rate helpers
describing the index-tenor default and the quote-to-base fallback, and
rename the quoteCcyPaymentFrequency constructor parameter to
quoteCurrencyPaymentFrequency to match the sibling baseCurrencyIndex and
quoteCurrencyIndex parameters. Add a test pinning the quote-to-base
fallback behavior.
.../termstructures/crosscurrencyratehelpers.cpp | 15 ++++---
.../termstructures/crosscurrencyratehelpers.hpp | 32 ++++++++++++--
test-suite/crosscurrencyratehelpers.cpp | 51 ++++++++++++++++++++++
3 files changed, 89 insertions(+), 9 deletions(-)
commit 1e83cb5731c8f1e7c9ed60a07c51a0a7bbdcf39d
Author: Justin Li
Date: Thu, 28 May 2026 15:44:13 -0400
Treat NoFrequency as unset in cross-currency basis swap helpers
A NoFrequency passed to the payment-frequency parameters now normalizes
to nullopt, preserving the pre-optional behavior (derive the schedule
from the index tenor) instead of building a zero-length Period(NoFrequency)
schedule, which Schedule silently maps to the Zero date-generation rule.
.../termstructures/crosscurrencyratehelpers.cpp | 17 ++++++-
test-suite/crosscurrencyratehelpers.cpp | 54 ++++++++++++++++++++++
2 files changed, 69 insertions(+), 2 deletions(-)
commit 4a05ede07c4841e00f5f403db2f79b90dc58c2e2
Merge: 4d6697188 8a2a845d5
Author: Luigi Ballabio
Date: Thu, 28 May 2026 10:41:18 +0200
Replace Boost macros that might not work with AAD types (#2609)
commit 8a2a845d50231e74dfd6a872235ac9464d841d55
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 27 May 2026 12:59:14 +0000
Replace Boost macros that might not work with AAD types
test-suite/interpolations.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4d669718878c1aedfad459b576df1af8044ff535
Merge: c6aacfc24 29874e780
Author: Luigi Ballabio
Date: Wed, 27 May 2026 14:58:38 +0200
Fix out-of-bounds read in Akima cubic interpolation with 3 points (#2603)
commit c6aacfc24430df94bd443175101e040e65b8b04a
Merge: 8a825ea16 5f13cd8b9
Author: Luigi Ballabio
Date: Wed, 27 May 2026 11:07:12 +0200
Use make_shared in day counters (#2607)
commit a6e9570501d381a08772996b20ef9c9d34f1627d
Author: metsw24-max
Date: Tue, 26 May 2026 21:04:52 +0530
updated
test-suite/interpolations.cpp | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit 29874e78057238d44a110d4a456142674dc15bbf
Author: metsw24-max
Date: Tue, 26 May 2026 21:00:24 +0530
updated
test-suite/interpolations.cpp | 8 +++++---
1 file changed, 5 insertions(+), 3 deletions(-)
commit 5f13cd8b97b8304a3a6ff4833d4fb922077ce272
Author: JewonJeon
Date: Tue, 26 May 2026 20:15:17 +0900
Use make_shared in day counters
ql/time/daycounters/actual360.hpp | 3 +--
ql/time/daycounters/actual364.hpp | 2 +-
ql/time/daycounters/actual36525.hpp | 3 +--
ql/time/daycounters/actual365fixed.cpp | 6 +++---
ql/time/daycounters/actual366.hpp | 3 +--
ql/time/daycounters/actualactual.cpp | 8 ++++----
ql/time/daycounters/business252.hpp | 2 +-
ql/time/daycounters/one.hpp | 3 +--
ql/time/daycounters/simpledaycounter.hpp | 3 +--
ql/time/daycounters/thirty360.cpp | 12 ++++++------
ql/time/daycounters/thirty365.cpp | 2 +-
11 files changed, 21 insertions(+), 26 deletions(-)
commit a01bad90c907b5ba03f2de887904c9210dd484c8
Author: JewonJeon
Date: Tue, 26 May 2026 19:56:51 +0900
Add const qualifiers to FX forward calculations
.../forward/discountingfxforwardengine.cpp | 42 +++++++++++-----------
1 file changed, 21 insertions(+), 21 deletions(-)
commit d9f8b08edcdcace1d6fb70ac713c3f2765664617
Author: JewonJeon
Date: Tue, 26 May 2026 19:53:47 +0900
Discount FX forward NPV to reference date
.../forward/discountingfxforwardengine.cpp | 25 ++++++++++++++++------
.../forward/discountingfxforwardengine.hpp | 18 +++++++++++-----
2 files changed, 32 insertions(+), 11 deletions(-)
commit 8a825ea16c6fc6ebe0add954f17139865b6624de
Merge: a40d0c9c9 4af06f196
Author: Luigi Ballabio
Date: Tue, 26 May 2026 12:35:15 +0200
Fix FX forward fair rate calculation (#2601)
commit a40d0c9c97ae708235a02df4207f0b290f22ccf7
Merge: c085121cf 5b0bf4250
Author: Luigi Ballabio
Date: Tue, 26 May 2026 11:44:49 +0200
Fix out-of-bounds read in discrete integrals on degenerate grids (#2604)
commit f95ac1746442fc1c470a80a60a318d0e0918c558
Author: metsw24-max
Date: Mon, 25 May 2026 23:33:35 +0530
fix out-of-bounds read in mixed interpolation switch point
ql/math/interpolations/mixedinterpolation.hpp | 9 ++++-----
test-suite/interpolations.cpp | 25 +++++++++++++++++++++++++
2 files changed, 29 insertions(+), 5 deletions(-)
commit 5b0bf4250bafe4708e6962b54c1ac7d942053ec8
Author: metsw24-max
Date: Mon, 25 May 2026 21:59:55 +0530
Fix out-of-bounds read in discrete integrals on degenerate grids
ql/math/integrals/discreteintegrals.cpp | 6 ++++++
test-suite/integrals.cpp | 17 +++++++++++++++++
2 files changed, 23 insertions(+)
commit 70b509fecd15d54794ff92c2ac6052e80ec378ec
Author: metsw24-max
Date: Mon, 25 May 2026 20:14:33 +0530
Fix out-of-bounds read in Akima cubic interpolation with 3 points
ql/math/interpolations/cubicinterpolation.hpp | 7 ++++++-
test-suite/interpolations.cpp | 22 ++++++++++++++++++++++
2 files changed, 28 insertions(+), 1 deletion(-)
commit c085121cf454be438f2838a992e816c38c51ddc4
Merge: ffc72c07f d6dd745c6
Author: Luigi Ballabio
Date: Mon, 25 May 2026 10:12:28 +0200
Fix IrrFinder::derivative() returning modified duration instead of dP/dy (#2589)
commit ffc72c07f81f90dc2795a3c3a97d811395dcb089
Merge: e9600cd74 ee16ca97a
Author: Luigi Ballabio
Date: Mon, 25 May 2026 10:10:18 +0200
Add india nse 2026 holidays (#2586)
commit e9600cd742e6a830c114e4a80ae0b2337e36b4c0
Merge: b90289bd5 4d1c18672
Author: Luigi Ballabio
Date: Mon, 25 May 2026 09:55:11 +0200
Fix out-of-bounds write in FastFourierTransform ctor for order=0 (#2597)
commit b90289bd5e26ebaa4d5f1c1fdf92254fdc41f655
Author: Luigi Ballabio
Date: Mon, 25 May 2026 08:58:44 +0200
Disable clang-tidy warning
.clang-tidy | 1 +
1 file changed, 1 insertion(+)
commit 4af06f19636491fc436a14ac4527dfec0e315985
Author: JewonJeon
Date: Sat, 23 May 2026 16:25:23 +0900
Update FX forward fair rate documentation
ql/pricingengines/forward/discountingfxforwardengine.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8063355da60e56af6a7890d850e55ca45f7eee8a
Author: JewonJeon
Date: Sat, 23 May 2026 16:17:20 +0900
Fix FX forward fair rate calculation
ql/pricingengines/forward/discountingfxforwardengine.cpp | 4 ++--
test-suite/fxforward.cpp | 12 +++++++++---
2 files changed, 11 insertions(+), 5 deletions(-)
commit 60f02879261fe9a34d0023299da1ed46bf32646e
Author: Justin Li
Date: Fri, 22 May 2026 17:26:12 -0400
Use ext::optional for payment frequency in cross-currency helpers
Standardizes the cross-currency basis swap rate helpers on the
ext::optional pattern (with ext::nullopt default) that
other rate helpers in the codebase use, instead of the NoFrequency
sentinel value. Covers both paymentFrequency and quoteCcyPaymentFrequency
to keep the file internally consistent.
.../termstructures/crosscurrencyratehelpers.cpp | 22 +++++++++++-----------
.../termstructures/crosscurrencyratehelpers.hpp | 17 +++++++++--------
test-suite/crosscurrencyratehelpers.cpp | 17 +++++++++--------
3 files changed, 29 insertions(+), 27 deletions(-)
commit d6dd745c68acaacace80de02c5e97080db9be63c
Author: Benjamin Croud <98527451+Croudxd@users.noreply.github.com>
Date: Fri, 22 May 2026 20:50:30 +0000
Fix sign of derivative calculation in IrrFinder
ql/cashflows/cashflows.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ee16ca97a80023faccc291f87b89acda8767cac4
Author: Pratzz1202
Date: Fri, 22 May 2026 14:17:34 -0400
Use initializer list for expectedHol in testIndia
test-suite/calendars.cpp | 88 ++++++++++++++++++++++++------------------------
1 file changed, 44 insertions(+), 44 deletions(-)
commit 2eb86846efc496bf6ea0312fad2d31fec8c4ea13
Merge: b0d5fc181 be5067e01
Author: Luigi Ballabio
Date: Fri, 22 May 2026 17:35:16 +0200
Fix Vasicek zero-reversion limit (#2599)
commit b0d5fc181300fc00c2247eeb3c78743efe4a6132
Merge: 7e7fccd78 266454b24
Author: Luigi Ballabio
Date: Fri, 22 May 2026 17:34:26 +0200
Add 2025 South Korea temporary holiday (#2598)
commit 4d1c1867254d4c5bfede9194932d5a70d5cc8841
Author: metsw24-max
Date: Fri, 22 May 2026 19:45:27 +0530
updated
test-suite/fastfouriertransform.cpp | 22 ++++++++++++++++++++++
1 file changed, 22 insertions(+)
commit be5067e01fb17d9d07bef46d8b1f019e7bb9018f
Author: JewonJeon
Date: Fri, 22 May 2026 20:46:16 +0900
Fix Vasicek zero-reversion limit
ql/models/shortrate/onefactormodels/vasicek.cpp | 6 +++--
test-suite/shortratemodels.cpp | 29 +++++++++++++++++++++++++
2 files changed, 33 insertions(+), 2 deletions(-)
commit 266454b246bbad1c0d2c300bab094a85fa9b8363
Author: JewonJeon
Date: Fri, 22 May 2026 20:09:35 +0900
Add 2025 South Korea temporary holiday
ql/time/calendars/southkorea.cpp | 1 +
test-suite/calendars.cpp | 2 ++
2 files changed, 3 insertions(+)
commit 7e7fccd784bc0bbdec6538156e02d9397870d190
Merge: af13604dc cf5657758
Author: Luigi Ballabio
Date: Fri, 22 May 2026 13:14:07 +0200
Use Real instead of auto and constexpr for AD type compatibility (#2596)
commit af13604dc7a054bd1e19da805e515f6e8e40d890
Merge: bed4bbfa9 99a43a7cc
Author: Luigi Ballabio
Date: Fri, 22 May 2026 13:12:53 +0200
Update HullWhite r0 when termstructure relinks (#2592)
commit b604cd28347d706c01beac2dce81996baaa6c752
Author: metsw24-max
Date: Fri, 22 May 2026 15:24:03 +0530
Fix out-of-bounds write in FastFourierTransform ctor for order=0
The constructor allocated cs_ and sn_ with size 'order' and then
unconditionally wrote to cs_[order-1] and sn_[order-1]. When 'order'
is 0 (e.g. when callers chain FastFourierTransform::min_order(1),
which returns 0), both vectors are empty and the indexing wraps to
size_t(-1), producing an out-of-bounds write that segfaults under
debug-iterator-checked standard libraries.
A transform of size 1 == 1<<0 reduces to a copy and needs no twiddle
factors, so skip the setup when order is 0. The transform loop body
'for (s = 1; s <= order; ++s)' already handles the order==0 case
correctly.
ql/math/fastfouriertransform.hpp | 6 ++++++
1 file changed, 6 insertions(+)
commit bed4bbfa90972a67d58795a1a94f915e5620b715
Merge: 3e676cd71 a81da9201
Author: Luigi Ballabio
Date: Fri, 22 May 2026 10:25:09 +0200
Fix yield term structure time error message (#2593)
commit cf56577582edd3d078198727ef1db9f78f92f39f
Author: auto-differentiation-dev <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Thu, 21 May 2026 17:18:22 +0100
Use Real-compatible types in SmileSectionRNDCalculator
.../finitedifferences/utilities/smilesectionrndcalculator.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 78acb70908db3c19581e3e20abc741c357cf6e94
Author: auto-differentiation-dev <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Thu, 21 May 2026 17:18:18 +0100
Use Real instead of auto in IntegralHestonVarianceOptionEngine
.../integralhestonvarianceoptionengine.cpp | 40 +++++++++++-----------
1 file changed, 20 insertions(+), 20 deletions(-)
commit 3e676cd71398f95cc933cee60917298b22c1b706
Merge: d6abf67ea 19015b501
Author: Luigi Ballabio
Date: Thu, 21 May 2026 16:50:04 +0200
Rename a couple of inspectors in the cross-currency swap engine (#2595)
commit 99a43a7cc1301b7172d683340c59d6c5a83524b6
Author: JewonJeon
Date: Thu, 21 May 2026 22:18:07 +0900
comment applied
ql/models/shortrate/onefactormodels/hullwhite.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 19015b501c1268d9825d77bd6666bb81af332a03
Author: Luigi Ballabio
Date: Thu, 21 May 2026 12:59:07 +0200
Rename inspectors
.../swap/discountingconstnotionalcrosscurrencyswapengine.hpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit d6abf67ea595886fff8ba75ef64754155d401966
Merge: c788f8e6d 71121aea8
Author: Luigi Ballabio
Date: Thu, 21 May 2026 11:55:40 +0200
Use make_shared in indexes (#2590)
commit e1d7603a859f431156d00a6bee1d44b7c0c83d24
Author: Benjamin Croud <98527451+Croudxd@users.noreply.github.com>
Date: Wed, 20 May 2026 16:36:48 +0000
Fix NPV calculation order in cashflows.cpp
ql/cashflows/cashflows.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c788f8e6dcccb3b5afd91867d6b2d19399a4298b
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Wed, 20 May 2026 10:07:16 +0000
Fix inclusions of ql headers in double quotes
ql/instruments/makecapfloor.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a81da92010e6af8090ab1c09aa5aa6e05c090c1a
Author: JewonJeon
Date: Wed, 20 May 2026 19:57:40 +0900
Restore existing formatting
ql/termstructures/yieldtermstructure.cpp | 100 ++++++++++++++++++-------------
1 file changed, 60 insertions(+), 40 deletions(-)
commit 64ef5a54407a7c98fad3cfc4f7f43930caf79a68
Author: JewonJeon
Date: Wed, 20 May 2026 19:55:11 +0900
Comment applied
ql/termstructures/yieldtermstructure.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 50dc966b1f3abfecf3bc36af752ece7ca2017458
Author: JewonJeon
Date: Wed, 20 May 2026 19:46:35 +0900
comment applied
ql/termstructures/yieldtermstructure.cpp | 100 +++++++++++++------------------
1 file changed, 40 insertions(+), 60 deletions(-)
commit 219e2ae6561f7c782ff4522f7091e1575e76bf44
Author: Benjamin Croud <98527451+Croudxd@users.noreply.github.com>
Date: Wed, 20 May 2026 09:40:10 +0000
Fix sign of modified duration calculation
ql/cashflows/cashflows.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8d60143038870a002b8f5498d227d3951d20c757
Merge: f5ba35d91 dbfd60ffd
Author: Luigi Ballabio
Date: Wed, 20 May 2026 11:37:45 +0200
Fix incorrect 10-year label in BasketLosses example (#2584)
commit f5ba35d91c657054f6aef5a4dcf4f4f48fd2d93d
Merge: e7ba4f701 ce39ee391
Author: Luigi Ballabio
Date: Wed, 20 May 2026 11:36:39 +0200
Allow `MakeCapFloor` to calculate ATM level when using the Bachelier engine (#2582)
commit b32e9bab9bdbb12f9be268c8f630dea83284c26f
Author: Justin Li
Date: Wed, 1 Apr 2026 10:34:22 -0400
Added separate payment frequency for quote currency leg in cross-currency helpers
.../termstructures/crosscurrencyratehelpers.cpp | 22 +++++++++++-----
.../termstructures/crosscurrencyratehelpers.hpp | 10 +++++---
test-suite/crosscurrencyratehelpers.cpp | 30 +++++++++++++++++-----
3 files changed, 46 insertions(+), 16 deletions(-)
commit 9cfb1b38ae4e6c61ae7178b706e6dcf75ee56fd2
Author: JewonJeon
Date: Tue, 19 May 2026 22:52:32 +0900
Fix yield term structure time error message
ql/termstructures/yieldtermstructure.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit b720ffe85cf7b93bb6bc33fc7e7d9ab898696d59
Author: JewonJeon
Date: Tue, 19 May 2026 22:42:53 +0900
Update HullWhite r0 when term structure relinks
ql/models/shortrate/onefactormodels/hullwhite.cpp | 2 +-
ql/models/shortrate/onefactormodels/hullwhite.hpp | 4 ----
test-suite/shortratemodels.cpp | 24 +++++++++++++++++++++++
3 files changed, 25 insertions(+), 5 deletions(-)
commit 71121aea8ec3ca9417266955df113f2233236858
Author: JewonJeon
Date: Tue, 19 May 2026 21:19:33 +0900
Use make_shared in indexes
ql/indexes/ibor/shibor.cpp | 2 +-
ql/indexes/iborindex.cpp | 13 ++++++-------
ql/indexes/region.cpp | 13 ++++++-------
ql/indexes/swap/chfliborswap.cpp | 8 ++++----
ql/indexes/swap/euriborswap.cpp | 24 ++++++++++++------------
ql/indexes/swap/eurliborswap.cpp | 24 ++++++++++++------------
ql/indexes/swap/gbpliborswap.cpp | 8 ++++----
ql/indexes/swap/jpyliborswap.cpp | 8 ++++----
ql/indexes/swap/usdliborswap.cpp | 8 ++++----
9 files changed, 53 insertions(+), 55 deletions(-)
commit e7ba4f701aa42c6f8374d17227e04f9eb9ee115c
Merge: d4b2732e1 5bf39d92b
Author: Luigi Ballabio
Date: Tue, 19 May 2026 10:08:26 +0200
Use make_unique for unique_ptr construction (#2579)
commit d4b2732e1c5d1927cac3cea11f008682cdc05d81
Merge: f1fee5511 6406602fb
Author: Luigi Ballabio
Date: Tue, 19 May 2026 10:05:44 +0200
Override `atmLevel(Time)` on Heston and Andreasen-Huge vol surfaces (#2581)
commit f1fee55110e799dea80ea4d2fd97864cdac25d0a
Merge: 42125df9c 73e75f0e3
Author: Luigi Ballabio
Date: Tue, 19 May 2026 10:04:28 +0200
Add `SmileSectionRNDCalculator` for smile-implied marginals (#2580)
commit cc6c18a7e2119cd812196d33065d00d8c7981cf6
Author: croudxd
Date: Mon, 18 May 2026 22:12:24 +0000
Fix IrrFinder::derivative() returning modified duration instead of dP/dy
ql/cashflows/cashflows.cpp | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit ce39ee3916c8e02d309467964be73fdd0743eb6e
Author: croudxd
Date: Mon, 18 May 2026 21:47:58 +0000
Fix shadowed Handle declarations inside if-statement scopes
ql/instruments/makecapfloor.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 42125df9c3ea445c718eb3d533337f7081bd8a6f
Merge: ae25d2846 1472b39ab
Author: Luigi Ballabio
Date: Mon, 18 May 2026 18:18:19 +0200
Review default arguments in cross-currency swap constructors (#2588)
commit 1472b39ab2f2b804756da8e8ae45455f9d3dcd2f
Author: Luigi Ballabio
Date: Mon, 18 May 2026 11:13:20 +0200
Uniform type and number of arguments in cross-currency swap constructors
.../constnotionalcrosscurrencybasisswap.cpp | 42 +++++++++-------
.../constnotionalcrosscurrencybasisswap.hpp | 58 ++++++++++++----------
...nstnotionalcrosscurrencyfixedvsfloatingswap.cpp | 18 ++++---
...nstnotionalcrosscurrencyfixedvsfloatingswap.hpp | 41 ++++++++-------
test-suite/constnotionalcrosscurrencybasisswap.cpp | 16 +++---
...nstnotionalcrosscurrencyfixedvsfloatingswap.cpp | 2 +-
6 files changed, 98 insertions(+), 79 deletions(-)
commit d6b90051a85d7c73c1328bddd159fc8794b3727c
Author: Pratzz1202
Date: Sun, 17 May 2026 18:19:31 -0400
Added India (NSE) clearing holidays for 2026
test-suite/calendars.cpp | 118 +++++++++++++++++++++++------------------------
1 file changed, 59 insertions(+), 59 deletions(-)
commit 5e0b803f47779ee8327ec746d2671e9e2242afaa
Author: Pratzz1202
Date: Sun, 17 May 2026 18:04:15 -0400
Added India (NSE) clearing holidays for 2026
ql/time/calendars/india.cpp | 217 +++++++++++++++++--------------
ql/time/calendars/india.hpp | 2 +-
test-suite/calendars.cpp | 307 ++++++++++++++++++--------------------------
3 files changed, 245 insertions(+), 281 deletions(-)
commit dbfd60ffdf9513718a72d235f22330469dca2a15
Author: croudxd
Date: Sat, 16 May 2026 19:53:46 +0000
Fix incorrect 10-year label in BasketLosses example (60 months = 5 years)
Examples/BasketLosses/BasketLosses.cpp | 18 +++++++++---------
1 file changed, 9 insertions(+), 9 deletions(-)
commit 98fda2fce017b404ed63c7d04f62b7e71402b3b5
Author: croudxd
Date: Fri, 15 May 2026 21:15:03 +0000
Added check to check if engine_ is either bacheliercapfloorengine or blackcapfloorengine, then uses correct discountCurve in atmrate call.
ql/instruments/makecapfloor.cpp | 24 ++++++++++++++++++++----
1 file changed, 20 insertions(+), 4 deletions(-)
commit 5bf39d92b6bcebee633fc36a2133d7c000e25454
Author: JewonJeon
Date: Fri, 15 May 2026 23:36:06 +0900
use auto for declaration
.../integralhestonvarianceoptionengine.cpp | 81 +++++++++++-----------
ql/math/matrixutilities/qrdecomposition.cpp | 12 ++--
ql/math/optimization/levenbergmarquardt.cpp | 18 ++---
.../vanilla/analyticgjrgarchengine.cpp | 6 +-
4 files changed, 57 insertions(+), 60 deletions(-)
commit ae25d2846d61c0db38bc701a3475ca5678812554
Merge: 0c204a72e 0934f9100
Author: Luigi Ballabio
Date: Fri, 15 May 2026 13:29:58 +0200
Const Notional Cross Currency Swaps (#2248)
commit 0934f910072f32912cdffaffe2c5cceb2cca7b89
Author: Luigi Ballabio
Date: Fri, 15 May 2026 12:04:13 +0200
Uniform EOL
.../constnotionalcrosscurrencybasisswap.cpp | 368 ++++-----
.../constnotionalcrosscurrencybasisswap.hpp | 362 ++++-----
...nstnotionalcrosscurrencyfixedvsfloatingswap.cpp | 346 ++++-----
...nstnotionalcrosscurrencyfixedvsfloatingswap.hpp | 382 +++++-----
test-suite/constnotionalcrosscurrencybasisswap.cpp | 842 ++++++++++-----------
...nstnotionalcrosscurrencyfixedvsfloatingswap.cpp | 600 +++++++--------
6 files changed, 1450 insertions(+), 1450 deletions(-)
commit f61263103a58e55e7527587927ac0faa0f99b829
Author: Luigi Ballabio
Date: Fri, 15 May 2026 12:01:08 +0200
More pedantic names
QuantLib.vcxproj | 16 ++++----
QuantLib.vcxproj.filters | 16 ++++----
ql/CMakeLists.txt | 16 ++++----
.../termstructures/crosscurrencyratehelpers.cpp | 8 ++--
.../termstructures/crosscurrencyratehelpers.hpp | 4 +-
ql/instruments/Makefile.am | 12 +++---
ql/instruments/all.hpp | 6 +--
...cpp => constnotionalcrosscurrencybasisswap.cpp} | 46 ++++++++++-----------
...hpp => constnotionalcrosscurrencybasisswap.hpp} | 43 ++++++++++---------
...stnotionalcrosscurrencyfixedvsfloatingswap.cpp} | 39 +++++++++---------
...stnotionalcrosscurrencyfixedvsfloatingswap.hpp} | 38 ++++++++---------
...swap.cpp => constnotionalcrosscurrencyswap.cpp} | 32 +++++++--------
...swap.hpp => constnotionalcrosscurrencyswap.hpp} | 48 +++++++++++-----------
ql/pricingengines/swap/Makefile.am | 4 +-
ql/pricingengines/swap/all.hpp | 2 +-
...untingconstnotionalcrosscurrencyswapengine.cpp} | 10 ++---
...untingconstnotionalcrosscurrencyswapengine.hpp} | 25 +++++------
test-suite/CMakeLists.txt | 6 +--
test-suite/Makefile.am | 6 +--
...cpp => constnotionalcrosscurrencybasisswap.cpp} | 23 +++++------
...stnotionalcrosscurrencyfixedvsfloatingswap.cpp} | 17 ++++----
...swap.cpp => constnotionalcrosscurrencyswap.cpp} | 32 +++++++--------
test-suite/testsuite.vcxproj | 6 +--
test-suite/testsuite.vcxproj.filters | 6 +--
24 files changed, 224 insertions(+), 237 deletions(-)
commit 73e75f0e3aaa60bc7f0148c2820b7179a55e527a
Author: Yassine Idyiahia
Date: Wed, 13 May 2026 10:16:02 +0100
Add SmileSectionRNDCalculator for smile-implied marginals
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +
ql/CMakeLists.txt | 2 +
ql/methods/finitedifferences/utilities/Makefile.am | 2 +
ql/methods/finitedifferences/utilities/all.hpp | 1 +
.../utilities/smilesectionrndcalculator.cpp | 132 +++++++++++++++++
.../utilities/smilesectionrndcalculator.hpp | 69 +++++++++
test-suite/riskneutraldensitycalculator.cpp | 158 +++++++++++++++++++++
8 files changed, 372 insertions(+)
commit a255d1c49f2e467a09d688d2d928e02cdbba9661
Author: JewonJeon
Date: Thu, 14 May 2026 21:53:26 +0900
Use make_unique for unique_ptr construction
.../integralhestonvarianceoptionengine.cpp | 10 +++++-----
ql/math/matrixutilities/qrdecomposition.cpp | 12 ++++++------
ql/math/optimization/levenbergmarquardt.cpp | 18 +++++++++---------
.../callability/bermudanswaptionexercisevalue.cpp | 2 +-
ql/models/marketmodels/callability/lsstrategy.cpp | 2 +-
.../marketmodels/callability/nothingexercisevalue.cpp | 2 +-
.../callability/parametricexerciseadapter.cpp | 2 +-
ql/models/marketmodels/callability/swapbasissystem.cpp | 2 +-
.../callability/swapforwardbasissystem.cpp | 2 +-
ql/models/marketmodels/callability/swapratetrigger.cpp | 2 +-
.../marketmodels/callability/triggeredswapexercise.cpp | 2 +-
.../marketmodels/callability/upperboundengine.cpp | 2 +-
.../marketmodels/curvestates/cmswapcurvestate.cpp | 2 +-
.../curvestates/coterminalswapcurvestate.cpp | 2 +-
ql/models/marketmodels/curvestates/lmmcurvestate.cpp | 2 +-
.../marketmodels/products/multiproductcomposite.cpp | 2 +-
.../products/multistep/callspecifiedmultiproduct.cpp | 2 +-
.../marketmodels/products/multistep/cashrebate.cpp | 2 +-
.../products/multistep/exerciseadapter.cpp | 2 +-
.../products/multistep/multistepcoinitialswaps.cpp | 2 +-
.../products/multistep/multistepcoterminalswaps.cpp | 2 +-
.../multistep/multistepcoterminalswaptions.cpp | 2 +-
.../products/multistep/multistepforwards.cpp | 2 +-
.../products/multistep/multistepinversefloater.cpp | 2 +-
.../products/multistep/multistepnothing.cpp | 2 +-
.../products/multistep/multistepoptionlets.cpp | 2 +-
.../products/multistep/multisteppathwisewrapper.cpp | 2 +-
.../multistep/multistepperiodcapletswaptions.cpp | 2 +-
.../products/multistep/multistepratchet.cpp | 2 +-
.../marketmodels/products/multistep/multistepswap.cpp | 2 +-
.../products/multistep/multistepswaption.cpp | 2 +-
.../marketmodels/products/multistep/multisteptarn.cpp | 2 +-
.../products/onestep/onestepcoinitialswaps.cpp | 2 +-
.../products/onestep/onestepcoterminalswaps.cpp | 2 +-
.../marketmodels/products/onestep/onestepforwards.cpp | 2 +-
.../products/onestep/onestepoptionlets.cpp | 2 +-
.../products/pathwise/pathwiseproductcallspecified.cpp | 2 +-
.../products/pathwise/pathwiseproductcaplet.cpp | 6 +++---
.../products/pathwise/pathwiseproductcashrebate.cpp | 2 +-
.../pathwise/pathwiseproductinversefloater.cpp | 2 +-
.../products/pathwise/pathwiseproductswap.cpp | 2 +-
.../products/pathwise/pathwiseproductswaption.cpp | 5 ++---
.../marketmodels/products/singleproductcomposite.cpp | 2 +-
ql/patterns/observable.hpp | 6 +++---
ql/pricingengines/vanilla/analyticgjrgarchengine.cpp | 6 +++---
45 files changed, 69 insertions(+), 70 deletions(-)
commit 6406602fbc886730e178622fe03199d93f817fa2
Author: Yassine Idyiahia
Date: Wed, 13 May 2026 23:20:19 +0100
Override atmLevel(Time) on Heston and Andreasen-Huge vol surfaces
.../equityfx/andreasenhugevolatilityadapter.cpp | 3 ++
.../equityfx/andreasenhugevolatilityadapter.hpp | 1 +
.../volatility/equityfx/hestonblackvolsurface.cpp | 7 ++++
.../volatility/equityfx/hestonblackvolsurface.hpp | 1 +
test-suite/andreasenhugevolatilityinterpl.cpp | 43 ++++++++++++++++++++++
test-suite/hestonmodel.cpp | 34 +++++++++++++++++
6 files changed, 89 insertions(+)
commit 0c204a72ecd680f4b23afb1192dcce8af4d8da09
Merge: 8e61faee4 ced8b90fc
Author: Luigi Ballabio
Date: Wed, 13 May 2026 15:02:20 +0200
Use Real instead of double in CompoundingOvernightIndexedCouponPricer lambda (#2577)
commit 8e61faee43ff620f7ee8a83d879e1414f0e328da
Merge: 464cca7bf 80a5b2d05
Author: Luigi Ballabio
Date: Wed, 13 May 2026 10:35:30 +0200
Add `smileSection(...)` methods to `BlackVolTermStructure` (#2487)
commit ced8b90fc32483853ed7df2ad6939acd76885ac8
Author: auto-differentiation-dev <107129969+auto-differentiation-dev@users.noreply.github.com>
Date: Wed, 13 May 2026 09:31:10 +0100
Use Real instead of double in CompoundingOvernightIndexedCouponPricer lambda
ql/cashflows/overnightindexedcouponpricer.cpp | 9 +++++----
1 file changed, 5 insertions(+), 4 deletions(-)
commit 464cca7bfcefde77dce50b62f1abf8d0f9da5257
Merge: 572571b54 f45d0dcd7
Author: Luigi Ballabio
Date: Wed, 13 May 2026 10:29:17 +0200
Add `PearsonSpreadEngine` for spread option pricing (#2569)
commit 80a5b2d05859756012fcbc3218f5d4fa364cc6ae
Author: Yassine Idyiahia
Date: Sun, 15 Mar 2026 11:55:30 +0000
Add smileSection() to BlackVolTermStructure with default adapter
ql/shared_ptr.hpp | 2 +
.../volatility/equityfx/blackvolsurfacedelta.cpp | 5 +-
.../volatility/equityfx/blackvolsurfacedelta.hpp | 9 +-
.../volatility/equityfx/blackvoltermstructure.cpp | 42 ++++++++
.../volatility/equityfx/blackvoltermstructure.hpp | 46 +++++++-
.../equityfx/piecewiseblackvariancesurface.cpp | 10 ++
.../equityfx/piecewiseblackvariancesurface.hpp | 2 +
test-suite/blackvolsurfacedelta.cpp | 62 ++++++++++-
test-suite/piecewiseblackvariancesurface.cpp | 119 +++++++++++++++++++++
9 files changed, 290 insertions(+), 7 deletions(-)
commit 572571b5452a7c8d6c49a3f0c716f25c08f744e1
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 12 May 2026 08:18:44 +0000
Update old license links
ql/time/calendars/uzbekistan.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3eb4dd0fe2350023614966c7bab3d434760ede75
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 12 May 2026 08:18:53 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit 28c2d66e1f6010501b8f804920e893d52394cff4
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 12 May 2026 08:20:45 +0000
Update generated headers
ql/time/calendars/all.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8e3e07040f218ffe02434b5331a9c7ce68eecf10
Merge: bb831ef1a 074d38fe1
Author: Luigi Ballabio
Date: Tue, 12 May 2026 10:18:30 +0200
Add some calendars, currencies, and the NOK NIBOR index (#2564)
commit 074d38fe19ba4aa26179b0e2daad418760f81a51
Author: Luigi Ballabio
Date: Tue, 12 May 2026 09:05:29 +0200
Follow Codacy suggestions about explicit constructors
ql/indexes/ibor/nibor.hpp | 8 ++++----
ql/time/calendars/croatia.hpp | 4 ++--
ql/time/calendars/malta.hpp | 4 ++--
ql/time/calendars/montenegro.hpp | 4 ++--
ql/time/calendars/northmacedonia.hpp | 4 ++--
ql/time/calendars/serbia.hpp | 4 ++--
ql/time/calendars/slovenia.hpp | 2 +-
ql/time/calendars/uzbekistan.hpp | 4 ++--
8 files changed, 17 insertions(+), 17 deletions(-)
commit 0aedf93745c038b62285fa1ca65cc189d1186c07
Author: ArsenP0doba
Date: Mon, 11 May 2026 15:33:59 +0200
Fix type in nibor.hpp
ql/indexes/ibor/nibor.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit a5f6c57b1e5370e15cfeb65a50077ac94d7567aa
Author: ArsenP0doba
Date: Mon, 11 May 2026 15:23:16 +0200
Fix typo
ql/currencies/asia.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 7f49b94d64d9f43f8bab22b7c099d56dec0ef803
Author: ArsenP0doba
Date: Mon, 11 May 2026 14:52:36 +0200
Update visual studio project files
QuantLib.vcxproj | 5828 +++++++++---------
QuantLib.vcxproj.filters | 14818 ++++++++++++++++++++++-----------------------
2 files changed, 10323 insertions(+), 10323 deletions(-)
commit 6f35f6a87bd29a4061d893c661703b21d7b6d691
Author: ArsenP0doba
Date: Mon, 11 May 2026 14:49:00 +0200
add nibor.hpp to all.hpp
ql/indexes/ibor/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 862086f709e52dff8eac5315144264f3761e02b0
Author: ArsenP0doba
Date: Mon, 11 May 2026 14:43:44 +0200
Fix typo in asia.hpp, rename NOKNibor to Nibor, change file attribution in calendar files
ql/CMakeLists.txt | 2 +-
ql/currencies/asia.hpp | 2 +-
ql/indexes/ibor/Makefile.am | 2 +-
ql/indexes/ibor/{noknibor.hpp => nibor.hpp} | 15 ++++++---------
ql/time/calendars/croatia.cpp | 2 +-
ql/time/calendars/croatia.hpp | 2 +-
ql/time/calendars/islamicholidays.cpp | 2 +-
ql/time/calendars/islamicholidays.hpp | 2 +-
ql/time/calendars/malta.cpp | 2 +-
ql/time/calendars/malta.hpp | 2 +-
ql/time/calendars/montenegro.cpp | 2 +-
ql/time/calendars/montenegro.hpp | 2 +-
ql/time/calendars/northmacedonia.cpp | 2 +-
ql/time/calendars/northmacedonia.hpp | 2 +-
ql/time/calendars/serbia.cpp | 2 +-
ql/time/calendars/serbia.hpp | 2 +-
ql/time/calendars/slovenia.cpp | 2 +-
ql/time/calendars/slovenia.hpp | 2 +-
ql/time/calendars/uzbekistan.cpp | 3 +--
ql/time/calendars/uzbekistan.hpp | 2 +-
20 files changed, 25 insertions(+), 29 deletions(-)
commit bb831ef1a2d267864e30f9b1aa2257b4f02e85a3
Merge: 2d8ef3c72 244deda40
Author: Luigi Ballabio
Date: Mon, 11 May 2026 12:58:33 +0200
Avoid dangling references in `FdmCEVOp` and `TrBDF2Scheme` classes (#2568)
commit 2d8ef3c7241049c6e5edbbe1fdf9bcdff9eb63b4
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 10 May 2026 02:08:18 +0000
Automated fixes by clang-tidy
test-suite/overnightindexedcoupon.cpp | 5 ++---
1 file changed, 2 insertions(+), 3 deletions(-)
commit 4ef70a2d67e10bf37de7486d4f55daf39f1567a0
Author: pandashark
Date: Sun, 10 May 2026 16:41:05 -0500
Fix trinomial tree excessive branching with gated dx floor
Closes #364.
When a TimeGrid contains mandatory time points separated by very
short intervals (e.g. millisecond gaps inside an annual schedule),
the trinomial tree's per-step dx = v*sqrt(3) shrinks to a tiny
value at the short step. Because subsequent steps still need to
cover the full state range, the integer-rounded `temp` index for
each parent node lands far from j=0, causing the j-range to
explode (Mandal observed several hundred nodes on a 50-step
grid).
Apply a Clewlow-Strickland (1998) global dx floor based on the
largest natural dx in the grid, but only on grid steps that are
at least two orders of magnitude shorter than dtMax
(kFloorThreshold = 0.01). This preserves classical
per-step dx = v*sqrt(3) on uniform and typical non-uniform grids
(weekend rolls, 1-day mismatches) while bounding node count on
the pathological small-mandatory-gap case.
Probability formulas (dual branch on dxIsFloored):
Unfloored regime (dxIsFloored == false): keep upstream's
classical Hull-White / Clewlow form character-identical:
e3 = e*sqrt(3)
p1 = (1 + e^2/v^2 - e3/v) / 6
p2 = (2 - e^2/v^2) / 3
p3 = (1 + e^2/v^2 + e3/v) / 6
This is the hot path covering every current cached-value
pricing test (bermudanswaption.cpp testCachedG2Values,
callablebonds.cpp), so cached values are bit-for-bit identical
to upstream master by code structure -- not by IEEE-754
coincidence as in the prior single-formula approach.
Floored regime (dxIsFloored == true): use the general dx-based
moment-matching form, which redistributes mass toward the
middle node when dx is floored:
p1 = (v^2 + e^2 - e*dx) / (2*dx^2)
p2 = 1 - (v^2 + e^2) / dx^2
p3 = (v^2 + e^2 + e*dx) / (2*dx^2)
These reduce to (1/6, 2/3, 1/6) when dx = v*sqrt(3).
Non-negativity requires v^2 >= |e|*(dx - |e|), which always
holds in the unfloored regime with naturally-rounded temp;
in the floored regime when v << v_max the weights can go
slightly negative. Documented in code as the accepted cost
of the pathology fix; first two moments are matched exactly,
so signed weights remain arithmetically consistent for linear
payoff propagation. Hull-White-style alternative branching
does not solve this regime (it solves the orthogonal
boundary-drift problem).
Branch flag semantics:
dxIsFloored = (dxNext > dxNatural), defined post-computation,
tracks whether the floor was *effective* at this step rather
than whether the gate fired. For Hull-White with constant
sigma the two definitions agree, but for time-dependent
diffusions a short step can have its natural dx already exceed
dxFloor -- the gate fires but dx is unchanged, and we should
use the classical formulas plus the safety assertion.
Floor diagnostics:
- Floor activation threshold lifted to a file-scope constexpr
kFloorThreshold inside namespace QuantLib for clarity.
- Defensive QL_ENSURE on probability non-negativity in the
unfloored regime, gated on !dxIsFloored && !tempBumped. The
tempBumped flag tracks the isPositive while-loop that bumps
`temp` upward to keep the underlying positive (CIR family);
in that bumped state |e| can exceed dx/2 and probabilities
can legitimately go negative, exactly as upstream allowed
before this change. The guard still protects the most common
path (no floor, no bump) against future drift.
- dxFloor is computed via direct iteration over actual step
variances (dxFloor = sqrt(3 * max_i variance(t_i, 0, dt(i)))),
keeping the integration strictly within the declared grid
horizon by construction. For Hull-White with constant sigma
this is identical to a dtMax-windowed form, so cached test
values are unchanged; for time-dependent diffusions it avoids
floating-point fragility from any `terminal - t_i` subtraction
and yields a slightly tighter bound.
- The preflight pass that derives dtMax and dxFloor also caches
per-step variances into std::vector; the main loop reads
v2 from the cache rather than re-invoking process->variance().
Halves the variance() call count, measurable for processes
with non-trivial variance evaluation cost.
Test coverage (test-suite/trinomialtree.cpp):
- testSmallMandatoryGapDoesNotExplode exercises the small-
mandatory-gap pathology (1ms gap inside an annual grid) and
asserts bounded node count via the derived 2*nSteps+1 bound.
- testFloorThresholdBoundary probes immediately on either side
of kFloorThreshold (gapRatio = 0.0099 floored, 0.0101
unfloored). The probe scans the constructed TimeGrid for the
minimum-dt step (rather than hard-coding an index that depends
on TimeGrid's prepend-t=0 behaviour) and reports both
tree.dx(shortIdx+1) and the natural reference computed in the
same operation order as production (sqrt(v2)*sqrt(3.0), not
sqrt(3.0*v2)) so BOOST_CHECK_EQUAL is bit-stable across
compilers. The below-side asserts shortStepDx >
shortStepNaturalDx (floor positively active); the above-side
asserts strict equality (floor positively inactive). This
catches drift of kFloorThreshold in either direction -- a
one-sided check would only detect upward drift.
A pricing-level regression test for the floored regime
(Bermudan swaption / callable bond on a small-mandatory-gap
grid) is deliberately deferred: it would require modifying the
engine's internal TimeGrid construction to inject a mandatory
time outside any exercise date, which is outside the scope of
this trinomial-tree fix. The unfloored hot path covering every
current cached-value pricing test is bit-for-bit identical to
upstream by construction; the floored regime's negative-
probability invariants are covered by static analysis in code
comments and the existing trinomial-tree unit tests.
1293/1293 tests pass.
ql/methods/lattices/trinomialtree.cpp | 111 ++++++++++++++++++--
test-suite/CMakeLists.txt | 1 +
test-suite/trinomialtree.cpp | 185 ++++++++++++++++++++++++++++++++++
3 files changed, 291 insertions(+), 6 deletions(-)
commit f45d0dcd788a765016aa6222306aea5069738ea7
Author: Yassine Idyiahia
Date: Wed, 11 Mar 2026 15:51:42 +0000
Add PearsonSpreadEngine for spread option pricing
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 ++
ql/CMakeLists.txt | 2 +
ql/pricingengines/basket/Makefile.am | 2 +
ql/pricingengines/basket/all.hpp | 1 +
ql/pricingengines/basket/pearsonspreadengine.cpp | 93 +++++++++++++++++++
ql/pricingengines/basket/pearsonspreadengine.hpp | 60 +++++++++++++
test-suite/basketoption.cpp | 108 ++++++++++++++++++++++-
8 files changed, 273 insertions(+), 1 deletion(-)
commit 751b0fde1a8185ce1db014314a9f0dad5258b275
Merge: af42ac4d5 00ea330f9
Author: Luigi Ballabio
Date: Fri, 8 May 2026 18:42:57 +0200
Add term structure to G2 processes (#2555)
commit af42ac4d5f96fd83429d3c61188acff5bc72af50
Merge: 024be57a2 f662e6b2a
Author: Luigi Ballabio
Date: Fri, 8 May 2026 11:55:29 +0200
Modernize small C++ constructs in selected files (#2561)
commit 00ea330f915ed43b07ad7014111746b1597df600
Author: Luigi Ballabio
Date: Fri, 8 May 2026 11:31:01 +0200
Syntax fix
ql/processes/g2process.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 778c18badd5b51b073c9d3aa4454c509a34e3dd2
Author: Luigi Ballabio
Date: Fri, 8 May 2026 11:30:00 +0200
Shorter syntax for empty handle
ql/processes/g2process.hpp | 6 ++----
1 file changed, 2 insertions(+), 4 deletions(-)
commit 024be57a20c70fe2218347108da8ee8bed5afd2f
Merge: 714fed1e2 396cd15e5
Author: Luigi Ballabio
Date: Fri, 8 May 2026 11:26:00 +0200
fuzz: add additional harnesses to be consumed by OSS-Fuzz (#2562)
commit f662e6b2a3b1df710a66c78af5bf3653c2388774
Author: Luigi Ballabio
Date: Fri, 8 May 2026 10:48:32 +0200
Use `push_back` instead of `emplace_back` when both have the same effect.
test-suite/cashflows.cpp | 2 +-
test-suite/optimizers.cpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit 73286132914665bc0256fc2ec556e41d71f6b97a
Author: gjunjie
Date: Thu, 7 May 2026 14:36:11 -0400
Make term-structure handle a trailing default arg in G2 processes
Moves the Handle parameter introduced in a6d68458c
to the end of the G2Process and G2ForwardProcess constructor signatures
and defaults it to an empty handle, so existing code using the original
G2Process(a, sigma, b, eta, rho) / G2ForwardProcess(a, sigma, b, eta, rho)
calls keeps compiling. Test-suite call sites updated to match.
No behavioural change: an empty handle still means "no curve", which the
existing implementation already handles in drift, expectation,
initialValues, and phi.
Made-with: Cursor
ql/processes/g2process.cpp | 8 ++++----
ql/processes/g2process.hpp | 10 ++++++----
test-suite/g2process.cpp | 20 ++++++++++----------
3 files changed, 20 insertions(+), 18 deletions(-)
commit 1a91f551b7fd5469043c54dce853a342d75e7f94
Author: ArsenP0doba
Date: Thu, 7 May 2026 16:06:35 +0200
Typo in montenegro.hpp/cpp
ql/time/calendars/montenegro.cpp | 2 +-
ql/time/calendars/montenegro.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit c1db9d9422e91b4bc5d0acda3ab3020f6315838d
Author: ArsenP0doba
Date: Thu, 7 May 2026 14:47:48 +0200
Add calendars (Croatia, Malta, Montenegro, North Macedonia, Serbia, Slovenia, Uzbekistan), currencies (MKD, UZS), and NOK-NIBOR index
QuantLib.vcxproj | 5809 ++++++-------
QuantLib.vcxproj.filters | 14761 ++++++++++++++++----------------
ql/CMakeLists.txt | 17 +
ql/currencies/asia.cpp | 6 +
ql/currencies/asia.hpp | 10 +
ql/currencies/europe.cpp | 9 +
ql/currencies/europe.hpp | 11 +
ql/indexes/ibor/Makefile.am | 1 +
ql/indexes/ibor/noknibor.hpp | 54 +
ql/time/calendars/Makefile.am | 16 +
ql/time/calendars/all.hpp | 8 +
ql/time/calendars/croatia.cpp | 73 +
ql/time/calendars/croatia.hpp | 72 +
ql/time/calendars/islamicholidays.cpp | 75 +
ql/time/calendars/islamicholidays.hpp | 44 +
ql/time/calendars/malta.cpp | 82 +
ql/time/calendars/malta.hpp | 83 +
ql/time/calendars/montenegro.cpp | 59 +
ql/time/calendars/montenegro.hpp | 65 +
ql/time/calendars/northmacedonia.cpp | 64 +
ql/time/calendars/northmacedonia.hpp | 68 +
ql/time/calendars/serbia.cpp | 66 +
ql/time/calendars/serbia.hpp | 65 +
ql/time/calendars/slovenia.cpp | 68 +
ql/time/calendars/slovenia.hpp | 71 +
ql/time/calendars/uzbekistan.cpp | 58 +
ql/time/calendars/uzbekistan.hpp | 66 +
test-suite/calendars.cpp | 312 +
28 files changed, 11842 insertions(+), 10251 deletions(-)
commit 3b11416b97fb9a30dad244a54077bfe858515280
Author: Yassine Idyiahia
Date: Sun, 8 Mar 2026 13:00:21 +0000
Fix dangling references in FdmCEVOp and TrBDF2Scheme
ql/methods/finitedifferences/operators/fdmcevop.hpp | 2 +-
ql/methods/finitedifferences/schemes/trbdf2scheme.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 714fed1e254fdbcd536e6d1e5478bec75d325489
Merge: fedf402ab 3d3a44f47
Author: Luigi Ballabio
Date: Wed, 6 May 2026 18:14:51 +0200
Improve `CompoundingOvernightIndexedCouponPricer::compute` calculation (#2556)
commit 3d3a44f47367baa3dbce8cb66d4cd2ff2eee1392
Author: Steve Dacek <2327718+sdacek@users.noreply.github.com>
Date: Wed, 6 May 2026 11:16:17 -0400
add test covering exCouponDate set after accrualEndDate
test-suite/overnightindexedcoupon.cpp | 16 +++++++++++++++-
1 file changed, 15 insertions(+), 1 deletion(-)
commit 43ea1b46577eb6936208eade6db99c3b5803ff2a
Author: Luigi Ballabio
Date: Wed, 6 May 2026 14:45:59 +0200
Avoid incorrect parsing on Windows
test-suite/overnightindexedcoupon.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 153179b48a8020ef4a8313258c4cfd549cde6a39
Author: Luigi Ballabio
Date: Wed, 6 May 2026 13:29:26 +0200
More test dates for ex-coupon accrued amount
test-suite/overnightindexedcoupon.cpp | 19 +++++++++++--------
1 file changed, 11 insertions(+), 8 deletions(-)
commit 396cd15e53ee5aaeac0292297e12b01662bf9435
Author: David Korczynski
Date: Wed, 6 May 2026 03:49:21 -0700
fuzz: add additional harnesses to be consumed by OSS-Fuzz
Adds additional fuzzingh harnesses that will be run on OSS-Fuzz. The
main goal is to increase code coverage, for which a recent code coverage
report is available at
https://storage.googleapis.com/oss-fuzz-coverage/quantlib/reports/20260504/linux/report.html
The recent added harnesses has shown an increase, although there is
still much room to go:
https://introspector.oss-fuzz.com/project-profile?project=quantlib
The harnesses added here roughly doubles the coverage on a short local
run.
Signed-off-by: David Korczynski
fuzz-test-suite/CMakeLists.txt | 51 ++++++++++-
fuzz-test-suite/fuzz_asianoption.cpp | 99 ++++++++++++++++++++++
fuzz-test-suite/fuzz_barrieroption.cpp | 93 ++++++++++++++++++++
fuzz-test-suite/fuzz_basketoption.cpp | 121 +++++++++++++++++++++++++++
fuzz-test-suite/fuzz_cashflows.cpp | 74 ++++++++++++++++
fuzz-test-suite/fuzz_exchangeratemanager.cpp | 57 +++++++++++++
fuzz-test-suite/fuzz_indexmanager.cpp | 45 ++++++++++
fuzz-test-suite/fuzz_vanilla_option.cpp | 110 ++++++++++++++++++++++++
8 files changed, 649 insertions(+), 1 deletion(-)
commit 68f59568e88483e37a5e697055126dbcead533fb
Author: JewonJeon
Date: Tue, 5 May 2026 11:56:17 +0900
commit to use modernized cpp for small parts
ql/math/array.hpp | 14 +++++++-------
ql/methods/finitedifferences/utilities/fdmquantohelper.cpp | 9 +++++----
ql/time/date.hpp | 2 +-
test-suite/cashflows.cpp | 2 +-
test-suite/optimizers.cpp | 11 +++++------
test-suite/quantlibbenchmark.cpp | 2 +-
6 files changed, 20 insertions(+), 20 deletions(-)
commit e7c77f39e8c4f7ef3d7d4603eaec09ddff65dc0a
Author: gjunjie
Date: Fri, 1 May 2026 10:23:11 -0400
Shift G2Process state so PathGenerator paths are curve-consistent (#1904)
Following review on PR #2555, the simulated state of G2Process and
G2ForwardProcess is now (x + phi(t), y) instead of the raw zero-mean
OU pair, so that state[0] + state[1] = r(t) directly. This mirrors
HullWhiteProcess and means a MultiPathGenerator built on G2Process
produces short-rate paths whose expectation matches the initial curve.
Concretely:
- drift gains a*phi(t) + phi'(t) on the first component
- expectation gains phi(t0+dt) - phi(t0)*exp(-a*dt) on the first component
- initialValues returns (phi(0), 0); x0() returns phi(0)
- shortRate(t, z1, z2) now returns z1 + z2
diffusion, stdDeviation, and covariance are unchanged because the
shift is deterministic. phi(t) is unchanged and still exposes the
curve-implied offset. Empty-handle behaviour reduces to the old
zero-mean OU pair.
Tests in test-suite/g2process.cpp updated to reflect the new
semantics, and a new MultiPathGenerator test verifies the empirical
mean of state[0] + state[1] matches phi(t).
Made-with: Cursor
ql/processes/g2process.cpp | 79 +++++++++++++------
ql/processes/g2process.hpp | 24 +++++-
test-suite/g2process.cpp | 191 +++++++++++++++++++++++++++++++++++----------
3 files changed, 228 insertions(+), 66 deletions(-)
commit 3298a86041cbab6354b64588f59485e3711d6b6a
Author: Steve Dacek <2327718+sdacek@users.noreply.github.com>
Date: Thu, 30 Apr 2026 13:25:20 -0400
remove unnecessary min/max
ql/cashflows/overnightindexedcoupon.cpp | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit fedf402ab8423d027468757c110259e2d7a9c8cd
Merge: 4c3594c7d 1e31d663b
Author: Luigi Ballabio
Date: Tue, 28 Apr 2026 09:12:59 +0200
Remove unused `yearFractionGuess` (#2559)
commit 4c3594c7d1c9b952b315e2860f0f43694711c328
Merge: f3b639427 0a544a477
Author: Luigi Ballabio
Date: Tue, 28 Apr 2026 09:12:29 +0200
Add missing `` include in `blackvoltimeextrapolation.hpp` (#2558)
commit b7c471871d2e3e1deb1bf72905016a62ae25c739
Author: paolodelia99
Date: Mon, 27 Apr 2026 19:28:58 +0200
Renamed crossccy classes adding the prefix as suggested, cleaning up the code as suggested
QuantLib.vcxproj | 16 ++++----
QuantLib.vcxproj.filters | 16 ++++----
ql/CMakeLists.txt | 16 ++++----
.../termstructures/crosscurrencyratehelpers.cpp | 18 +++------
.../termstructures/crosscurrencyratehelpers.hpp | 4 +-
ql/instruments/Makefile.am | 12 +++---
ql/instruments/all.hpp | 6 +--
...swap.cpp => constnotionalcrossccybasisswap.cpp} | 44 +++++++++++-----------
...swap.hpp => constnotionalcrossccybasisswap.hpp} | 12 +++---
...p.cpp => constnotionalcrossccyfixfloatswap.cpp} | 38 +++++++++----------
...p.hpp => constnotionalcrossccyfixfloatswap.hpp} | 15 ++++----
...ssccyswap.cpp => constnotionalcrossccyswap.cpp} | 24 ++++++------
...ssccyswap.hpp => constnotionalcrossccyswap.hpp} | 24 ++++++------
ql/pricingengines/swap/Makefile.am | 4 +-
ql/pricingengines/swap/all.hpp | 2 +-
...ine.cpp => constnotionalcrossccyswapengine.cpp} | 8 ++--
...ine.hpp => constnotionalcrossccyswapengine.hpp} | 12 +++---
test-suite/CMakeLists.txt | 6 +--
test-suite/Makefile.am | 6 +--
...swap.cpp => constnotionalcrossccybasisswap.cpp} | 18 ++++-----
...p.cpp => constnotionalcrossccyfixfloatswap.cpp} | 16 ++++----
...ssccyswap.cpp => constnotionalcrossccyswap.cpp} | 24 ++++++------
test-suite/testsuite.vcxproj | 6 +--
test-suite/testsuite.vcxproj.filters | 6 +--
24 files changed, 173 insertions(+), 180 deletions(-)
commit f3b63942792aa721a97146b7400cf434645e257c
Merge: 1ae7615dc c9c286e9a
Author: Luigi Ballabio
Date: Mon, 27 Apr 2026 16:21:21 +0200
Make performCalculations methods on some curves protected (#2554)
commit 1ae7615dc322aa8aac1b2e73156c5e7739de1b6f
Merge: 5639d4962 d1bcc6706
Author: Luigi Ballabio
Date: Mon, 27 Apr 2026 10:28:18 +0200
Prevent using non-default `boost::optional` with Boost 1.91 or later (#2560)
commit 1e31d663b0dd412154a31d20c50e3f1758d1df9b
Author: Eugene Toder
Date: Fri, 24 Apr 2026 19:36:05 -0400
Remove unused yearFractionGuess
ql/time/daycounters/actualactual.cpp | 11 -----------
1 file changed, 11 deletions(-)
commit f8d9ac069c49ac2f11fa90e86bbe17ab1b8356e1
Author: Steve Dacek <2327718+sdacek@users.noreply.github.com>
Date: Fri, 24 Apr 2026 12:05:44 -0400
update testOvernightLegWeekendStub to use CashFlows::accruedAmount
test-suite/overnightindexedcoupon.cpp | 31 +++++++++++++++++++------------
1 file changed, 19 insertions(+), 12 deletions(-)
commit d1bcc6706b5f6a35959f857a531d8f7720aeb4be
Author: Luigi Ballabio
Date: Thu, 23 Apr 2026 09:37:56 +0200
Use Boost 1.91.0 in CI builds when possible
.ci/userconfig2022.alt.hpp | 2 +-
.ci/userconfig2026.alt.hpp | 2 +-
.github/workflows/cmake-latest-runners.yml | 4 ++--
.github/workflows/cmake.yml | 8 ++++----
.github/workflows/linux-nondefault.yml | 2 +-
.github/workflows/macos-nondefault.yml | 2 +-
.github/workflows/msvc-analysis.yml | 4 ++--
.github/workflows/msvc-nondefault.yml | 4 ++--
8 files changed, 14 insertions(+), 14 deletions(-)
commit 3e443c13c465169cd05cbc74731dafd5b097eae7
Author: Steve Dacek <2327718+sdacek@users.noreply.github.com>
Date: Fri, 24 Apr 2026 10:36:08 -0400
add test case covering weekend stub periods
test-suite/overnightindexedcoupon.cpp | 26 ++++++++++++++++++++++++++
1 file changed, 26 insertions(+)
commit 0a544a47757dfd41a60ef0717b0de0f96e28e39a
Author: Krish0909
Date: Fri, 24 Apr 2026 13:26:30 +0100
Add missing include in blackvoltimeextrapolation.hpp
ql/termstructures/volatility/equityfx/blackvoltimeextrapolation.hpp | 1 +
1 file changed, 1 insertion(+)
commit fcfc16f617105f2e19290e5481b91e70e7f1b0b7
Author: Luigi Ballabio
Date: Fri, 24 Apr 2026 08:58:51 +0200
Forbid Boost >= 1.91 when using boost::optional instead of std::optional
Docs/pages/config.docs | 8 +++++---
configure.ac | 9 +++++++--
ql/optional.hpp | 3 +++
ql/userconfig.hpp | 7 +++++--
4 files changed, 20 insertions(+), 7 deletions(-)
commit 5348d7a01e527e2434346de9e1f96143c34c9f99
Author: Steve Dacek <2327718+sdacek@users.noreply.github.com>
Date: Wed, 15 Apr 2026 21:17:37 -0400
Improve `CompoundingOvernightIndexedCouponPricer::compute` calculation
- Fix valueDate schedule generation when accrualStartDate falls on a fixing holiday (possible for SOFR swaps as they have different calendars for fixings and schedule generation).
- interestDates are no longer adjusted for lookback when applyObservationShift is enabled (we can use valueDates in this case). This is needed to determine how far through rate calculation period we are for the purposes of accruals.
- fix lockout date handling, so that lockouts only apply at the end of the period.
- expose exCouponDate on OvernightIndexedCoupon.
ql/cashflows/overnightindexedcoupon.cpp | 83 +--
ql/cashflows/overnightindexedcoupon.hpp | 3 +-
ql/cashflows/overnightindexedcouponpricer.cpp | 160 ++---
test-suite/overnightindexedcoupon.cpp | 852 +++++++++++++++++++++++++-
4 files changed, 934 insertions(+), 164 deletions(-)
commit 3607425692ccdd9ae8df31d458cec2eb98a7fe43
Author: gjunjie
Date: Tue, 21 Apr 2026 20:00:33 -0400
Update copyright holder in test-suite/g2process.cpp
Made-with: Cursor
test-suite/g2process.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a6d68458c4571ff878bbe071b4e5dc84c0093ed7
Author: gjunjie
Date: Tue, 21 Apr 2026 19:54:38 -0400
Add term structure, phi, and shortRate to G2 processes
Extends G2Process and G2ForwardProcess with a yield term structure
handle, deterministic drift phi(t), and a shortRate(t, x, y) helper
so the processes can be used for short-rate simulation consistent
with an initial curve. Also adds a corresponding g2process test.
Made-with: Cursor
ql/processes/g2process.cpp | 50 +++++++-
ql/processes/g2process.hpp | 15 ++-
test-suite/CMakeLists.txt | 1 +
test-suite/Makefile.am | 1 +
test-suite/g2process.cpp | 240 +++++++++++++++++++++++++++++++++++
test-suite/testsuite.vcxproj | 1 +
test-suite/testsuite.vcxproj.filters | 3 +
7 files changed, 305 insertions(+), 6 deletions(-)
commit c9c286e9a21f89f42d22b4bbfc7fd4c3857e6a75
Author: Eugene Toder
Date: Tue, 21 Apr 2026 10:54:21 -0400
Make performCalculations methods on some curves protected
Having them private does not actually prevent subclasses from overriding
them, but it prevents subclasses from calling parent classes'
implementations.
ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp | 3 ++-
ql/termstructures/inflation/piecewisezeroinflationcurve.hpp | 3 ++-
ql/termstructures/yield/piecewiseyieldcurve.hpp | 2 +-
3 files changed, 5 insertions(+), 3 deletions(-)
commit 5639d4962357e15efda7538f46d611b68407dbdf
Merge: cf2a42c98 ff678f64a
Author: Luigi Ballabio
Date: Tue, 21 Apr 2026 12:06:10 +0200
Deprecate selection of test cases via speed (#2552)
commit cf2a42c982da78e3649f1ebc1f30c0e4a6684b98
Merge: ed4f694c5 f9a2ff5e9
Author: Luigi Ballabio
Date: Tue, 21 Apr 2026 12:04:45 +0200
Pass allowExtrapolation=true to derivative() (#2550)
commit ed4f694c58e779ec7366c88ca781ff9a34f32a40
Merge: 98afd0b22 1eb19a3d1
Author: Luigi Ballabio
Date: Mon, 20 Apr 2026 15:21:52 +0200
Avoid repeated calls to `Interpolation::update()` (#2513)
commit ff678f64ae1142840a7f99bab7ebfefb9e928270
Author: Luigi Ballabio
Date: Mon, 20 Apr 2026 10:46:38 +0200
Deprecate selection of test cases via speed group
.github/workflows/test-times.yml | 6 ---
test-suite/americanoption.cpp | 3 +-
test-suite/andreasenhugevolatilityinterpl.cpp | 11 +++---
test-suite/asianoptions.cpp | 7 ++--
test-suite/basketoption.cpp | 5 +--
test-suite/bermudanswaption.cpp | 3 +-
test-suite/cdo.cpp | 3 +-
test-suite/dividendoption.cpp | 3 +-
test-suite/doublebarrieroption.cpp | 3 +-
test-suite/fdheston.cpp | 5 +--
test-suite/fdmlinearop.cpp | 3 +-
test-suite/fdsabr.cpp | 3 +-
test-suite/forwardoption.cpp | 3 +-
test-suite/gjrgarchmodel.cpp | 5 +--
test-suite/hestonmodel.cpp | 7 ++--
test-suite/hestonslvmodel.cpp | 13 +++----
test-suite/hybridhestonhullwhiteprocess.cpp | 7 ++--
test-suite/interpolations.cpp | 3 +-
test-suite/libormarketmodel.cpp | 3 +-
test-suite/libormarketmodelprocess.cpp | 3 +-
test-suite/lookbackoptions.cpp | 3 +-
test-suite/lowdiscrepancysequences.cpp | 3 +-
test-suite/marketmodel.cpp | 13 +++----
test-suite/marketmodel_cms.cpp | 3 +-
test-suite/marketmodel_smm.cpp | 3 +-
test-suite/markovfunctional.cpp | 7 ++--
test-suite/mclongstaffschwartzengine.cpp | 3 +-
test-suite/normalclvmodel.cpp | 3 +-
test-suite/nthorderderivativeop.cpp | 3 +-
test-suite/nthtodefault.cpp | 5 +--
test-suite/optionletstripper.cpp | 3 +-
test-suite/preconditions.cpp | 4 ++
test-suite/preconditions.hpp | 11 +++++-
test-suite/quantlibglobalfixture.cpp | 36 +++++++-----------
test-suite/quantlibglobalfixture.hpp | 9 ++++-
test-suite/riskneutraldensitycalculator.cpp | 3 +-
test-suite/swaption.cpp | 5 +--
test-suite/swingoption.cpp | 5 +--
test-suite/vpp.cpp | 3 +-
test-suite/zabr.cpp | 3 +-
tools/check_test_times.py | 53 ++++++++++-----------------
41 files changed, 116 insertions(+), 164 deletions(-)
commit 98afd0b224365aa48586b9d80c0e6d3c50bf7ea0
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Sun, 19 Apr 2026 01:50:37 +0000
Automated fixes by clang-tidy
ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp | 4 ++--
ql/indexes/inflationindex.hpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit f9a2ff5e9d46e6bad60c1622ce0f32952e265dd1
Author: Eugene Toder
Date: Fri, 17 Apr 2026 20:00:46 -0400
Pass allowExtrapolation=true to derivative()
For consistency with other calls.
ql/math/interpolations/mixedinterpolation.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2c087e479776d99e88f156163158913f032ab819
Author: Luigi Ballabio
Date: Fri, 17 Apr 2026 18:52:58 +0200
Move a few tests in the Fast section
test-suite/cdo.cpp | 2 +-
test-suite/nthtodefault.cpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 42223d17a55d11af20ba74f78457b5c9c112ac1d
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Fri, 17 Apr 2026 15:01:42 +0000
Update copyright list in license
LICENSE.TXT | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 87bbee58dc1522e69a29923fab3586987143c58d
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Fri, 17 Apr 2026 14:05:15 +0000
Update old license links
ql/indexes/ibor/zaronia.cpp | 2 +-
ql/indexes/ibor/zaronia.hpp | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit a1494b1a6bf76b61f9dd0f747ee4186e7e5bd4c7
Merge: fc9cdf997 bf2309275
Author: Luigi Ballabio
Date: Fri, 17 Apr 2026 16:05:02 +0200
Add FlatExtrapolator wrapper for 1-D interpolations (#2540)
commit fc9cdf997f36ccfba61c0c60194c84c99750a845
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Fri, 17 Apr 2026 11:07:28 +0000
Update generated headers
ql/indexes/ibor/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 7e2969ebbd7d71ed1ab64959f59226d38663d666
Merge: e9c089627 f310a3598
Author: Luigi Ballabio
Date: Fri, 17 Apr 2026 12:31:21 +0200
Cache invariants in ImpliedTermStructure (#2533)
commit e9c089627bc39682fedcf28310aceda8213043e4
Merge: 89e215693 9305c2af6
Author: Luigi Ballabio
Date: Fri, 17 Apr 2026 12:30:47 +0200
Add ZARONIA (South African Rand Overnight Index Average) (#2537)
commit bf2309275ce90b380598f511bdf37559220451e3
Author: gjunjie
Date: Thu, 16 Apr 2026 10:01:26 -0400
Add coverage tests for FlatExtrapolator
Test primitive (below/above/in-range), in-range second derivative,
xValues/yValues accessors, isInRange, and update.
Made-with: Cursor
test-suite/interpolations.cpp | 94 +++++++++++++++++++++++++++++++++++++++++++
1 file changed, 94 insertions(+)
commit 983936f087a406eb93334c19f3cde94750048375
Author: gjunjie
Date: Thu, 16 Apr 2026 09:57:56 -0400
Add flatextrapolation.hpp to VS project files
The header was missing from QuantLib.vcxproj and
QuantLib.vcxproj.filters since it was first added.
Made-with: Cursor
QuantLib.vcxproj | 1 +
QuantLib.vcxproj.filters | 3 +++
2 files changed, 4 insertions(+)
commit 75a908a413585d924086b5936c7b1ebfaff68ee3
Author: Luigi Ballabio
Date: Thu, 16 Apr 2026 14:59:01 +0200
Add action to prepare patch release
.github/workflows/prepare-patch-release.yml | 44 +++++++++++++++++++++++++
.github/workflows/prepare-release-candidate.yml | 4 +--
.github/workflows/prepare-release.yml | 4 +--
3 files changed, 48 insertions(+), 4 deletions(-)
commit bf1f38ac4243026a94e74d4636e11c247fa411b0
Author: gjunjie
Date: Thu, 16 Apr 2026 07:48:14 -0400
Use std::clamp in FlatExtrapolatorImpl::bind
Made-with: Cursor
ql/math/interpolations/flatextrapolation.hpp | 7 ++-----
1 file changed, 2 insertions(+), 5 deletions(-)
commit 2adc8bb8d92f3cb698d6c7e970aaa4a4a43bd4d9
Merge: fe7bf138f 415899521
Author: Luigi Ballabio
Date: Thu, 16 Apr 2026 13:00:37 +0200
Add support and CI build for Visual Studio 2026 (#2542)
commit fe7bf138febef104da5cf2c39a0c012c6a6b6f0d
Merge: 8aef029c0 6a643c2aa
Author: Luigi Ballabio
Date: Thu, 16 Apr 2026 12:59:34 +0200
Deprecated obsolete bits of interpolation code in year-on-year inflation indexes (#2541)
commit f310a35987a9f9cf159caed2472e0d5f719e0889
Author: Eugene Toder
Date: Fri, 10 Apr 2026 07:14:37 -0400
Cache invariants in ImpliedTermStructure
Also, auto-enable extrapolation based on the original curve for
consistency with other derived curves.
ql/termstructures/yield/impliedtermstructure.hpp | 31 ++++++++++++++++++------
test-suite/termstructures.cpp | 24 +++++++++++-------
2 files changed, 38 insertions(+), 17 deletions(-)
commit 415899521f4a105e549d779ab71a02ebf3c0249d
Author: Luigi Ballabio
Date: Wed, 15 Apr 2026 09:27:55 +0200
Add support and CI build for Visual Studio 2026
.ci/VS2026.alt.props | 15 ++++
.ci/VS2026.props | 13 ++++
.ci/userconfig2026.alt.hpp | 126 +++++++++++++++++++++++++++++++++
.github/workflows/msvc-all-configs.yml | 10 ++-
.github/workflows/msvc-nondefault.yml | 10 ++-
.github/workflows/msvc.yml | 10 ++-
QuantLib.props | 3 +-
7 files changed, 180 insertions(+), 7 deletions(-)
commit 8cc1b81de8934c3424064460e5f86efbd5d59802
Author: gjunjie
Date: Wed, 15 Apr 2026 07:34:15 -0400
Mark FlatExtrapolatorImpl as final
Made-with: Cursor
ql/math/interpolations/flatextrapolation.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8aef029c02935baf52c93391eb70dcdbd9ab88aa
Merge: 41fff5ea0 1f761627f
Author: Luigi Ballabio
Date: Wed, 15 Apr 2026 10:06:09 +0200
Fix const-correctness of element access in `Matrix` class (#2527)
commit 41fff5ea0f2e22d72cfbe2a8b565982ae09fb219
Merge: da1704f8f 24448916b
Author: Luigi Ballabio
Date: Wed, 15 Apr 2026 10:04:54 +0200
Add fuzzing harness for Black formula (#2523)
commit d8f321cc863db68c611cd2b580019366383df6a3
Author: gjunjie
Date: Tue, 14 Apr 2026 20:22:42 -0400
Add xValues() and yValues() accessors to Interpolation
Made-with: Cursor
ql/math/interpolation.hpp | 6 ++++++
1 file changed, 6 insertions(+)
commit 2f1f45efe616920cd3eb4991092ab5bdeb17ca4c
Author: gjunjie
Date: Tue, 14 Apr 2026 17:33:53 -0400
Add FlatExtrapolator wrapper for 1-D interpolations
Use it in MarkovFunctional to replace manual clamping logic,
resolving the existing FIXME about incorporating flat extrapolation
into the interpolation object.
Made-with: Cursor
ql/CMakeLists.txt | 1 +
ql/math/interpolations/Makefile.am | 1 +
ql/math/interpolations/all.hpp | 1 +
ql/math/interpolations/flatextrapolation.hpp | 105 ++++++++++++++++++
.../shortrate/onefactormodels/markovfunctional.cpp | 19 ++--
test-suite/interpolations.cpp | 117 +++++++++++++++++++++
6 files changed, 232 insertions(+), 12 deletions(-)
commit 6a643c2aaa420f5e91e34f6709293d3f6fab195d
Author: Luigi Ballabio
Date: Tue, 14 Apr 2026 18:45:33 +0200
Deprecate CPI::AsIndex
ql/cashflows/cpicoupon.hpp | 2 +-
ql/experimental/inflation/cpicapfloorengines.cpp | 2 ++
.../inflation/interpolatedyoyoptionletstripper.hpp | 2 +-
ql/indexes/inflationindex.cpp | 10 +++++++--
ql/indexes/inflationindex.hpp | 9 +++++---
ql/instruments/cpicapfloor.hpp | 2 +-
ql/instruments/cpiswap.hpp | 2 +-
test-suite/inflation.cpp | 26 +++++++++++++---------
test-suite/inflationcpibond.cpp | 2 +-
test-suite/inflationcpicapfloor.cpp | 4 ++--
test-suite/inflationcpiswap.cpp | 14 ++++++------
11 files changed, 46 insertions(+), 29 deletions(-)
commit e53cd8ab624779c2509950a52e23947b4bf6e87c
Author: Luigi Ballabio
Date: Tue, 14 Apr 2026 15:24:08 +0200
Deprecate YoYInflationIndex::interpolated()
.../inflation/interpolatedyoyoptionletstripper.hpp | 2 +-
.../kinterpolatedyoyoptionletvolatilitysurface.hpp | 2 +-
ql/indexes/inflationindex.cpp | 23 ++++++++++++++++++----
ql/indexes/inflationindex.hpp | 16 ++++++++++++++-
test-suite/inflation.cpp | 5 ++++-
test-suite/inflationcapfloor.cpp | 2 +-
test-suite/inflationcapflooredcoupon.cpp | 4 ++--
7 files changed, 43 insertions(+), 11 deletions(-)
commit da1704f8fbce6343007aa0d3fdfab9de9c56dfcb
Author: Luigi Ballabio
Date: Wed, 1 Apr 2026 16:44:27 +0200
Avoid deprecated instruction in Dockerfile
dockerfiles/ci.Dockerfile | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 982e18a799c14fb8b01f3940e6f07eddddeb1826
Author: Luigi Ballabio
Date: Wed, 1 Apr 2026 16:13:48 +0200
Use action from Microsoft to setup msbuild where possible
.github/workflows/msvc-all-configs.yml | 4 ++--
.github/workflows/msvc-nondefault.yml | 4 ++--
.github/workflows/msvc.yml | 4 ++--
3 files changed, 6 insertions(+), 6 deletions(-)
commit 0af0ec4c8fdc1789900a9901777135da1b4b3176
Author: Luigi Ballabio
Date: Mon, 13 Apr 2026 09:22:47 +0200
Add convenience workflow for pre-release checks
.github/workflows/cmake-latest-runners.yml | 1 +
.github/workflows/linux-full-tests.yml | 1 +
.github/workflows/linux-nondefault.yml | 1 +
.github/workflows/macos-nondefault.yml | 1 +
.github/workflows/msvc-all-configs.yml | 1 +
.github/workflows/msvc-nondefault.yml | 1 +
.github/workflows/prerelease-checks.yml | 18 ++++++++++++++++++
7 files changed, 24 insertions(+)
commit fce61e4b3753c01240b387f7c9f4a44d5035bdb1
Author: Luigi Ballabio
Date: Tue, 14 Apr 2026 10:30:58 +0200
Increase version number automatically after release
.github/workflows/increase-version-number.yml | 9 ++++++---
1 file changed, 6 insertions(+), 3 deletions(-)
commit c810b509495acee8faa1fd8ce23344ff10ca5f11
Merge: 82bd3acfd 4ba489d24
Author: Luigi Ballabio
Date: Tue, 14 Apr 2026 13:11:00 +0200
Remove features deprecated in version 1.38 (#2539)
commit 82bd3acfdd3b391695f4a1de73a406cc7e246d74
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Tue, 14 Apr 2026 07:59:53 +0000
Set version to 1.43-dev
CMakeLists.txt | 6 +++---
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 6 insertions(+), 6 deletions(-)
commit 9305c2af64072904d82a8d769e5557b3cd24cfe9
Author: Francois Botha
Date: Wed, 24 Jul 2024 18:28:08 +0200
Add ZARONIA (South African Rand Overnight Index Average)
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
ql/CMakeLists.txt | 2 ++
ql/indexes/ibor/Makefile.am | 4 +++-
ql/indexes/ibor/zaronia.cpp | 30 ++++++++++++++++++++++++++++++
ql/indexes/ibor/zaronia.hpp | 39 +++++++++++++++++++++++++++++++++++++++
6 files changed, 82 insertions(+), 1 deletion(-)
commit 1f761627f201689b5419c80184a3d11e670d6e93
Author: JewonJeon
Date: Wed, 1 Apr 2026 20:10:19 +0900
fix const-correctness in Matrix class
ql/math/matrix.hpp | 9 +++++++--
1 file changed, 7 insertions(+), 2 deletions(-)
commit 24448916b5edf9c96c3ce6d7112ece0449c37059
Author: David Korczynski
Date: Tue, 31 Mar 2026 08:59:48 -0700
fuzz: add fuzzing harness for Black Formula
The goal is to improve code coverage of quantlib by way of OSS-Fuzz.
Signed-off-by: David Korczynski
fuzz-test-suite/CMakeLists.txt | 9 ++-
fuzz-test-suite/fuzzblackformula.cpp | 124 +++++++++++++++++++++++++++++++++++
2 files changed, 132 insertions(+), 1 deletion(-)
commit 1eb19a3d11b173064b518cbaad2f5674dcf5af4e
Author: Eugene Toder
Date: Wed, 25 Mar 2026 19:53:15 -0400
Avoid repeated calls to Interpolation::update()
Add a flag (defaulting to true) for whether to run update when the
interpolation is constructed. This matches the current behavior of most
interpolations. Pass update=false when we don't need this, because we
will call update later. In particular, do this in composite
interpolations (log and mixed) and bootstrappers where we currently call
update multiple times unnecessarily (usually all but the last call are
before the data for the interpolation is set).
Note that:
1. Interpolations that do not support the new update argument are called
without it.
2. Interpolations are assumed to call update during construction when
not passed update=false. This is true for most current interpolations
except XABR. Since XABR is not used in interpolated curves, this is
out of scope for this PR.
3. Interpolation2D implementations used a different convention and never
called update in constructors, so they are also out of scope for the
change.
4. GlobalBootstrap currently has an issue where for rates-based traits
it calls methods that use interpolation (zeroRate and forwardRate)
without updating it first. This will be addressed in a separate PR.
Fixes #2447
.../credit/interpolatedaffinehazardratecurve.hpp | 1 -
ql/math/interpolation.hpp | 20 +++-
ql/math/interpolations/abcdinterpolation.hpp | 10 +-
.../interpolations/backwardflatinterpolation.hpp | 9 +-
.../interpolations/convexmonotoneinterpolation.hpp | 15 +--
ql/math/interpolations/cubicinterpolation.hpp | 11 ++-
.../interpolations/forwardflatinterpolation.hpp | 9 +-
ql/math/interpolations/linearinterpolation.hpp | 9 +-
ql/math/interpolations/loginterpolation.hpp | 35 ++++---
ql/math/interpolations/mixedinterpolation.hpp | 31 +++---
.../credit/interpolateddefaultdensitycurve.hpp | 1 -
.../credit/interpolatedhazardratecurve.hpp | 1 -
.../interpolatedsurvivalprobabilitycurve.hpp | 1 -
.../inflation/interpolatedyoyinflationcurve.hpp | 1 -
.../inflation/interpolatedzeroinflationcurve.hpp | 1 -
ql/termstructures/iterativebootstrap.hpp | 9 +-
.../volatility/capfloor/capfloortermvolcurve.cpp | 3 +-
.../volatility/equityfx/blackvariancecurve.hpp | 1 -
ql/termstructures/yield/discountcurve.hpp | 1 -
ql/termstructures/yield/forwardcurve.hpp | 1 -
.../yield/interpolatedsimplezerocurve.hpp | 1 -
.../piecewiseforwardspreadedtermstructure.hpp | 18 ++--
.../yield/piecewisezerospreadedtermstructure.hpp | 10 +-
ql/termstructures/yield/spreaddiscountcurve.hpp | 4 +-
ql/termstructures/yield/zerocurve.hpp | 1 -
test-suite/interpolations.cpp | 104 ++++++++++++++-------
26 files changed, 186 insertions(+), 122 deletions(-)
commit 4ba489d2421285c6b1d21bc6b57d28450c7b0cc9
Author: Luigi Ballabio
Date: Fri, 20 Mar 2026 17:10:55 +0100
Remove features deprecated in version 1.38
QuantLib.vcxproj | 13 --
QuantLib.vcxproj.filters | 39 ----
cmake/GenerateHeaders.cmake | 13 --
ql/CMakeLists.txt | 13 --
ql/experimental/exoticoptions/Makefile.am | 28 +--
.../analyticholderextensibleoptionengine.hpp | 28 ---
.../analyticpartialtimebarrieroptionengine.hpp | 28 ---
.../exoticoptions/analyticpdfhestonengine.hpp | 29 ---
.../analytictwoassetbarrierengine.hpp | 28 ---
.../analytictwoassetcorrelationengine.hpp | 28 ---
.../analyticwriterextensibleoptionengine.hpp | 28 ---
.../continuousarithmeticasianlevyengine.hpp | 28 ---
.../exoticoptions/holderextensibleoption.hpp | 28 ---
.../exoticoptions/partialtimebarrieroption.hpp | 28 ---
.../exoticoptions/twoassetbarrieroption.hpp | 29 ---
.../exoticoptions/twoassetcorrelationoption.hpp | 28 ---
.../exoticoptions/writerextensibleoption.hpp | 28 ---
ql/experimental/inflation/genericindexes.hpp | 23 --
ql/indexes/ibor/Makefile.am | 3 +-
ql/indexes/ibor/tona.hpp | 28 ---
ql/indexes/inflation/aucpi.hpp | 21 --
ql/indexes/inflation/euhicp.hpp | 40 ----
ql/indexes/inflation/frhicp.hpp | 20 --
ql/indexes/inflation/ukrpi.hpp | 20 --
ql/indexes/inflation/uscpi.hpp | 20 --
ql/indexes/inflation/zacpi.hpp | 20 --
ql/indexes/inflationindex.cpp | 33 +--
ql/indexes/inflationindex.hpp | 24 --
test-suite/inflation.cpp | 258 ++++-----------------
29 files changed, 52 insertions(+), 902 deletions(-)
commit 3527ecb5f44ee24d5c247b0a38b3a0dc7218e8f7
Author: paolodelia99
Date: Sun, 15 Mar 2026 19:06:51 +0100
Add util static function for notional exchanges adjs
ql/instruments/crossccybasisswap.cpp | 30 ++++++++++++++----------------
ql/instruments/crossccyfixfloatswap.cpp | 26 +++++++-------------------
ql/instruments/crossccyswap.cpp | 16 ++++++++++++++++
ql/instruments/crossccyswap.hpp | 6 ++++++
test-suite/crossccyfixfloatswap.cpp | 2 +-
5 files changed, 44 insertions(+), 36 deletions(-)
commit b3f44c65572bf2e5cd63126c44b45179ec5c1660
Author: paolodelia99
Date: Sat, 7 Feb 2026 20:44:29 +0100
remove old code in xccyratehelper
.../termstructures/crosscurrencyratehelpers.cpp | 35 ++--------------------
.../termstructures/crosscurrencyratehelpers.hpp | 2 --
2 files changed, 2 insertions(+), 35 deletions(-)
commit c1e96da22ff6b1747dda40510a5f85043f6087aa
Author: paolodelia99
Date: Sat, 7 Feb 2026 20:37:03 +0100
using crossccyswap for impliedQuote calc in constnotionalxccyhelper, add paymentLag adj for notional exchanges
.../termstructures/crosscurrencyratehelpers.cpp | 56 ++++++++++++++++++++--
.../termstructures/crosscurrencyratehelpers.hpp | 2 +
ql/instruments/crossccyfixfloatswap.cpp | 33 +++++++------
test-suite/crosscurrencyratehelpers.cpp | 26 ++++++----
4 files changed, 90 insertions(+), 27 deletions(-)
commit f3466f676d956845eacf2ddab31e1de2d88b0bc5
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Fri, 26 Dec 2025 11:29:06 +0000
Update old license links
ql/instruments/crossccybasisswap.cpp | 2 +-
ql/instruments/crossccybasisswap.hpp | 2 +-
ql/instruments/crossccyfixfloatswap.cpp | 2 +-
ql/instruments/crossccyfixfloatswap.hpp | 2 +-
ql/instruments/crossccyswap.cpp | 2 +-
ql/instruments/crossccyswap.hpp | 2 +-
ql/pricingengines/swap/crossccyswapengine.cpp | 2 +-
ql/pricingengines/swap/crossccyswapengine.hpp | 2 +-
test-suite/crossccybasisswap.cpp | 2 +-
test-suite/crossccyfixfloatswap.cpp | 2 +-
test-suite/crossccyswap.cpp | 2 +-
11 files changed, 11 insertions(+), 11 deletions(-)
commit d82c3c933990228675bbf31fae7be125e46d558d
Author: lballabio[bot] <224797326+lballabio-bot@users.noreply.github.com>
Date: Fri, 26 Dec 2025 11:29:06 +0000
Update copyright list in license
LICENSE.TXT | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit 2edbcd37c53931155a5575e19de5d6ecc5f4eaa7
Author: paolodelia99
Date: Fri, 26 Dec 2025 12:30:31 +0100
Fix doc string and add ONXccy test
ql/instruments/crossccyswap.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f5a7cf82b1357ef4bec5b79ccc19a28c5685caec
Author: paolodelia99
Date: Fri, 26 Dec 2025 12:28:54 +0100
Fix doc string and add ONXccy test
ql/instruments/crossccybasisswap.cpp | 17 +++++---
ql/instruments/crossccybasisswap.hpp | 17 +++++---
ql/instruments/crossccyfixfloatswap.cpp | 4 +-
ql/instruments/crossccyfixfloatswap.hpp | 1 +
ql/instruments/crossccyswap.cpp | 1 +
ql/instruments/crossccyswap.hpp | 1 +
test-suite/crossccybasisswap.cpp | 70 ++++++++++++++++++++++++++++++++-
7 files changed, 96 insertions(+), 15 deletions(-)
commit 68e1ddab3cd4fe719bb021ac9ad07bd373d539b9
Author: paolodelia99
Date: Fri, 26 Dec 2025 11:22:22 +0100
Adjusted code to new ON coupon alignment
QuantLib.vcxproj | 1 -
ql/CMakeLists.txt | 1 -
ql/cashflows/overnightindexedcoupon.hpp | 1 -
ql/instruments/Makefile.am | 1 -
ql/instruments/crossccybasisswap.cpp | 17 +++++++++++------
ql/instruments/crossccybasisswap.hpp | 16 +++++++++++-----
ql/instruments/crossccyfixfloatswap.cpp | 26 +++++++++++++++++++++++---
ql/instruments/crossccyfixfloatswap.hpp | 21 ++++++++++++++++++++-
test-suite/CMakeLists.txt | 1 -
test-suite/Makefile.am | 1 -
test-suite/testsuite.vcxproj | 1 -
11 files changed, 65 insertions(+), 22 deletions(-)
commit 68c83530bbcf3414f7bae0cf937f97cd80ff2f2d
Author: paolodelia99
Date: Fri, 1 Aug 2025 15:18:54 +0200
Rename xccyswapengine constructor params
ql/pricingengines/swap/crossccyswapengine.cpp | 44 +++++++++++++--------------
ql/pricingengines/swap/crossccyswapengine.hpp | 38 +++++++++++------------
2 files changed, 41 insertions(+), 41 deletions(-)
commit 9c82a36e02280f4a95cc99ba20e23350ebbdad33
Author: Paolo D'Elia
Date: Thu, 19 Jun 2025 15:15:13 +0200
Add constructor docstring in crossccyfixfloatswap.hpp
ql/instruments/crossccyfixfloatswap.hpp | 25 ++++++++++++++++++++++++-
1 file changed, 24 insertions(+), 1 deletion(-)
commit 496d95d6226bb2dcf699dca689799a55fe4f9f55
Author: Paolo D'Elia
Date: Thu, 19 Jun 2025 15:13:14 +0200
Add constructor docstring in crossccybasisswap.hpp
ql/instruments/crossccybasisswap.hpp | 26 ++++++++++++++++++++++++--
1 file changed, 24 insertions(+), 2 deletions(-)
commit e35c609ae3e94c4a7313dde75ad7ccaae53f6810
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 17 Jun 2025 17:25:20 +0000
Update generated headers
ql/instruments/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 77e673f17c998282af66294a7498846a663c1901
Author: paolodelia99
Date: Tue, 17 Jun 2025 19:23:11 +0200
Fix typo in crossccybasisswap filename in Makefile.am
test-suite/Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit cecf12414b77f03f5d7f92355825ceb2ecbc7165
Author: paolodelia99
Date: Tue, 17 Jun 2025 19:17:14 +0200
Added crossccybasisswap and related tests
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +
ql/CMakeLists.txt | 2 +
ql/instruments/Makefile.am | 2 +
ql/instruments/crossccybasisswap.cpp | 176 +++++++++++++++++
ql/instruments/crossccybasisswap.hpp | 149 +++++++++++++++
test-suite/CMakeLists.txt | 1 +
test-suite/Makefile.am | 1 +
test-suite/crossccybasisswap.cpp | 356 +++++++++++++++++++++++++++++++++++
test-suite/testsuite.vcxproj | 1 +
test-suite/testsuite.vcxproj.filters | 3 +
11 files changed, 699 insertions(+)
commit ecdda37e9edd6116d3268749c7690bda2a58cf60
Author: Paolo D'Elia
Date: Tue, 17 Jun 2025 10:30:02 +0200
Add missing import in crossccyfixfloatswap tests
test-suite/crossccyfixfloatswap.cpp | 1 +
1 file changed, 1 insertion(+)
commit a65859e7d9a00f8ed9fef0309ce2d21891314368
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 17 Jun 2025 08:11:58 +0000
Update copyright list in license
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 9b62fab040c1521577a8bad55ab438c7107259bc
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 16 Jun 2025 17:15:30 +0000
Update generated headers
ql/instruments/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 59df14c7748282d7021ae226e129ad725128807b
Author: Paolo D'Elia
Date: Tue, 17 Jun 2025 10:11:44 +0200
add usingAtParCoupons, and fix code format in crossccyfixfloatswap.cpp
test-suite/crossccyfixfloatswap.cpp | 54 ++++++++++++++++++-------------------
1 file changed, 27 insertions(+), 27 deletions(-)
commit 960ab1552e011809f197bd3b822be06346cd29b2
Author: paolodelia99
Date: Mon, 16 Jun 2025 19:13:08 +0200
Fixed typo in comments
ql/instruments/crossccyfixfloatswap.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 63f267fff09df93f4f737ccf393f92fcfb28fdaa
Author: paolodelia99
Date: Mon, 16 Jun 2025 19:07:18 +0200
Add crossccyfixfloatswap
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +
ql/CMakeLists.txt | 2 +
ql/instruments/Makefile.am | 2 +
ql/instruments/crossccyfixfloatswap.cpp | 159 +++++++++++++++++
ql/instruments/crossccyfixfloatswap.hpp | 151 ++++++++++++++++
test-suite/CMakeLists.txt | 1 +
test-suite/Makefile.am | 1 +
test-suite/crossccyfixfloatswap.cpp | 300 ++++++++++++++++++++++++++++++++
test-suite/testsuite.vcxproj | 1 +
test-suite/testsuite.vcxproj.filters | 3 +
11 files changed, 628 insertions(+)
commit 2d8185cad835f601847b960ce76f153ba90ee88f
Author: paolodelia99
Date: Mon, 16 Jun 2025 18:55:50 +0200
Refactor xccy tests file
test-suite/crossccyswap.cpp | 122 +++++++++++++++++++++-----------------------
1 file changed, 59 insertions(+), 63 deletions(-)
commit 5884906557a37af881a8a650c1b87a7e5772b4b1
Author: Paolo D'Elia
Date: Mon, 16 Jun 2025 14:37:24 +0200
Fix tag typo in QuantLib.vcxproj
QuantLib.vcxproj | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a88020166ec75e5f65d514364cc9ed42059517ce
Author: Paolo D'Elia
Date: Mon, 16 Jun 2025 14:00:06 +0200
Added missing imports in crossccyswapengine.hpp
ql/pricingengines/swap/crossccyswapengine.hpp | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 373255666bd4a156d67940a6432e80988fe38f7b
Author: paolodelia99
Date: Sat, 14 Jun 2025 12:17:42 +0200
Update CrossCcySwap tests to account for usingAtParCoupons setting
test-suite/crossccyswap.cpp | 10 ++++++----
1 file changed, 6 insertions(+), 4 deletions(-)
commit 48e48aacf212c780c9cca7d96924584af2a24599
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Fri, 13 Jun 2025 14:17:31 +0000
Update generated headers
ql/instruments/all.hpp | 1 +
ql/pricingengines/swap/all.hpp | 1 +
2 files changed, 2 insertions(+)
commit af4d04446a3313501132ad696639b57bb71a7fc3
Author: paolodelia99
Date: Fri, 13 Jun 2025 16:15:16 +0200
Added base CrossCcySwap, CrossCcySwapEngine and related tests
QuantLib.vcxproj | 4 +
QuantLib.vcxproj.filters | 12 +
ql/CMakeLists.txt | 4 +
ql/instruments/Makefile.am | 2 +
ql/instruments/crossccyswap.cpp | 107 ++++
ql/instruments/crossccyswap.hpp | 147 ++++++
ql/pricingengines/swap/Makefile.am | 2 +
ql/pricingengines/swap/crossccyswapengine.cpp | 165 ++++++
ql/pricingengines/swap/crossccyswapengine.hpp | 107 ++++
test-suite/CMakeLists.txt | 1 +
test-suite/Makefile.am | 1 +
test-suite/crossccyswap.cpp | 698 ++++++++++++++++++++++++++
test-suite/testsuite.vcxproj | 1 +
test-suite/testsuite.vcxproj.filters | 3 +
14 files changed, 1254 insertions(+)
QuantLib-1.43/Contributors.txt 0000664 0000000 0000000 00000013345 15225121364 0016425 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,
Colin Alberts,
Mario Aleppo,
Richard Amaya,
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,
Sébastien Bouvard,
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,
Benjamin Croud,
Paolo D'Elia,
Stephen Dacek,
Lawson Darrow,
Jon Davidson,
William Day,
Daniele De Francesco,
Frédéric Degraeve,
Piero Del Boca,
Mike DelMedico,
Chirag Desai,
Barry Devlin,
Nicolas Di Césaré,
Lucas Dias,
Piter Dias,
Binrui Dong,
Jacques du Toit,
François du Vignaud,
Francis Duffy,
Disha Dugad,
Cristina Duminuco,
Jan Ladislav Dussek,
Ralf Konrad Eckel,
Dirk Eddelbuettel,
Faycal El Karaa,
Joshua Engelman,
Bernd Engelmann,
Giorgio Facchinetti,
Matt Fair,
Kareem Fareed,
Paul Farrington,
Lorella Fatone,
Isuru Fernando,
Luca Ferraro,
Marco Bruno Ferreira Vasconcellos,
Davide Ferretti,
Neil Firth,
Stefano Fondi,
Chiara Fornarola,
Silvia Frasson,
Rémy Frèrebeau,
Andreas Gaida,
Matteo Gallivanoni,
Jose Garcia,
Lakshay Garg,
Shubham Gaur,
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,
Brett Graves,
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,
Yassine Idyiahia,
Alexey Indiryakov,
Norbert Irmer,
Mike Jake,
Nicola Jean,
Joseph Jeisman,
Jewon Jeon,
Yi Jiang,
Tomas Kalibera,
Rahul Kanchi,
Roland Kapl,
Andrey Karpov,
Michal Kaut,
Tomoya Kawanishi,
Gary Kennedy,
Chris Kenyon,
Babar Khan,
Oleksandr Khomenko,
Joel King,
Kevin Kirchhoff,
Matt Knox,
Matthew Kolbe,
Andrew Kolesnikov,
David Korczynski,
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,
Zain Mughal,
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,
Aaditya Panikath,
Sotirios Papathanasopoulos,
Krishn Parasar,
Mike Parker,
Guillermo F. Parra,
Pratyush Patel,
Giorgio Pazmandi,
Guillaume Pealat,
Gilbert Peffer,
Andrea Pellegatta,
Ignacio Peña,
Walter Penschke,
Francesco Perissin,
Robert Philipp,
Marcello Pietrobon,
Adrien Pinatton,
Gianni Piolanti,
Arsen Podoba,
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,
Prathmesh Sananse,
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,
Hetal Sharma,
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,
Krishnan Vignesh,
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-1.43/Docs/ 0000775 0000000 0000000 00000000000 15225121364 0014051 5 ustar 00root root 0000000 0000000 QuantLib-1.43/Docs/Makefile.am 0000664 0000000 0000000 00000002063 15225121364 0016106 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-1.43/Docs/images/ 0000775 0000000 0000000 00000000000 15225121364 0015316 5 ustar 00root root 0000000 0000000 QuantLib-1.43/Docs/images/QL-title.jpg 0000664 0000000 0000000 00000027771 15225121364 0017471 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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