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ChangeLog.txt
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commit fb837f316c7e8803e40011c97dda90af6058688a
Author: Luigi Ballabio <[email protected]>
Date: Sun, 17 Jan 2021 15:13:43 +0100
Set version to 1.21 final.
configure.ac | 2 +-
ql/version.hpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit 4cbe1d8e252d76838b1c765243a9b6b2c34da53b
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Jan 2021 15:58:26 +0100
Update changelog and news
ChangeLog.txt | 2517 +++++++++++++++++++++++++++--------------------
Contributors.txt | 2 +
Docs/pages/history.docs | 46 +-
News.md | 90 +-
4 files changed, 1534 insertions(+), 1121 deletions(-)
commit a630775c6df2472804c30f5ca034e6d09106fd44
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Jan 2021 15:57:50 +0100
Set version to 1.21 rc
configure.ac | 2 +-
ql/version.hpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit 0339334a3cd3ceb20659c9abb39a738fdf9c9e3a
Author: Luigi Ballabio <[email protected]>
Date: Tue, 5 Jan 2021 13:01:52 +0100
Fix example setup
Examples/CDS/CDS.cpp | 16 +++++++++-------
1 file changed, 9 insertions(+), 7 deletions(-)
commit eba62d844cffac4f02ecdf3c71184f0a17b32f81
Author: Luigi Ballabio <[email protected]>
Date: Mon, 4 Jan 2021 23:46:42 +0100
Cosmetic changes to some test messages
test-suite/forwardoption.cpp | 2 +-
test-suite/schedule.cpp | 14 +++++++-------
test-suite/ultimateforwardtermstructure.cpp | 6 +++---
3 files changed, 11 insertions(+), 11 deletions(-)
commit 7a8abf65dba1ace71e28d7b15ac109a4b074407c
Author: Luigi Ballabio <[email protected]>
Date: Mon, 4 Jan 2021 17:55:01 +0100
Add check on docs generation.
.github/workflows/doxygen.yml | 16 ++++++++++++++++
Docs/quantlib.doxy | 20 ++++++++++++--------
2 files changed, 28 insertions(+), 8 deletions(-)
commit 1bc1d74479d37560c5e782e15f80d2c1174545df
Author: Luigi Ballabio <[email protected]>
Date: Mon, 4 Jan 2021 19:19:16 +0100
Fix documentation warnings
ql/pricingengines/forward/mcforwardeuropeanbsengine.hpp | 6 +++---
ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp | 6 +++---
2 files changed, 6 insertions(+), 6 deletions(-)
commit 50658631f7f49e9044fed218770de35ff1a32c93
Author: Luigi Ballabio <[email protected]>
Date: Wed, 30 Dec 2020 18:19:34 +0100
Use clang 10
.github/workflows/tidy.yml | 2 +-
tools/run_tidy.sh | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 957998c94ad20247749715bb32a61fd263bfec02
Merge: 5e968f450 fbe2d8ba5
Author: Luigi Ballabio <[email protected]>
Date: Wed, 30 Dec 2020 09:16:21 +0100
Merge pull request #970.
Fix holiday in Thailand calendar and update
commit fbe2d8ba5f8e5f95adbba47be00470b5051bd920
Author: Luigi Ballabio <[email protected]>
Date: Tue, 29 Dec 2020 21:25:55 +0100
Fix holiday in Thailand calendar and update
Thanks to phil-zxx.
ql/time/calendars/thailand.cpp | 11 +++++++++--
1 file changed, 9 insertions(+), 2 deletions(-)
commit 5e968f450d7450d8f90f681f11a114a8d6c688d8
Author: Luigi Ballabio <[email protected]>
Date: Fri, 18 Dec 2020 11:58:25 +0100
Add check for outdated file lists
.github/workflows/filelists.yml | 10 +++++++
QuantLib.vcxproj | 2 +-
QuantLib.vcxproj.filters | 6 +++++
tools/{sync_projects.sh => check_filelists.sh} | 35 ++++++++++++------------
tools/check_filelists_diffs.py | 37 ++++++++++++++++++++++++++
5 files changed, 71 insertions(+), 19 deletions(-)
commit 55fc755b5a9ee7de2e0a7e994f25fa40fb15366d
Merge: de9d494e0 03ebcc520
Author: Luigi Ballabio <[email protected]>
Date: Thu, 17 Dec 2020 23:06:02 +0100
Merge pull request #967.
Added experimental/[asian|forward]/all.hpp to CMakeLists
commit 03ebcc520e14bfe34666224f7a6d88b7e3fbd462
Author: Matthias Siemering <[email protected]>
Date: Thu, 17 Dec 2020 19:16:45 +0100
Added experimental/[asian|forward]/all.hpp to CMakeLists
ql/CMakeLists.txt | 2 ++
1 file changed, 2 insertions(+)
commit de9d494e0e0d51c23666f9260726e9718c9a793a
Merge: 1650d68f3 f3bf5082b
Author: Luigi Ballabio <[email protected]>
Date: Wed, 16 Dec 2020 09:08:52 +0100
Merge pull request #966.
Adding a control variate to the arithmetic asian MC heston pricer
commit f3bf5082b42f77dc522fd716004ca6af77528b81
Merge: e7a038b3f f3a22efc6
Author: jackgillett101 <[email protected]>
Date: Tue, 15 Dec 2020 23:06:38 +0800
Merge pull request #23 from jackgillett101/clang-tidy-fixes-refs/heads/arithmetic_asian_heston_control_variate
Automated fixes by clang-tidy
commit e7a038b3fc71c3ec74af2ebd915f5d41ae29fdbd
Author: jackgillett101 <[email protected]>
Date: Tue, 15 Dec 2020 23:05:26 +0800
Manual conversion of double to Size
test-suite/asianoptions.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f3a22efc6dd2e4531ee5ca642e7b124550f66ade
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 15 Dec 2020 14:52:06 +0000
Automated fixes by clang-tidy
ql/experimental/asian/analytic_discr_geom_av_price_heston.hpp | 8 +++++---
1 file changed, 5 insertions(+), 3 deletions(-)
commit 1388c379e97b58926677a7987be8b183b9559667
Author: jackgillett101 <[email protected]>
Date: Tue, 15 Dec 2020 21:42:57 +0800
Seeding the test cases and reducing path numbers to increase speed
test-suite/asianoptions.cpp | 12 +++++++-----
1 file changed, 7 insertions(+), 5 deletions(-)
commit f7a5666780d3ea5d974701d3942c7751d5851e41
Author: jackgillett101 <[email protected]>
Date: Tue, 15 Dec 2020 21:39:25 +0800
Adding pull request link to the in-code documentation
ql/pricingengines/asian/mc_discr_arith_av_price_heston.hpp | 3 +++
1 file changed, 3 insertions(+)
commit 8fa11588c8ab0c29fd1e9631b04831f8dc9f6ff0
Author: jackgillett101 <[email protected]>
Date: Tue, 15 Dec 2020 21:30:36 +0800
Adding a control variate to the arithmetic asian MC heston pricer
.../asian/analytic_discr_geom_av_price_heston.cpp | 3 +
.../asian/mc_discr_arith_av_price_heston.hpp | 78 ++++++++++++++--
test-suite/asianoptions.cpp | 104 +++++++++++++++++++++
3 files changed, 178 insertions(+), 7 deletions(-)
commit 1650d68f309b94797309d483b23d8aa1174e9b3d
Merge: 597aa153a 9f9c4ebb4
Author: Luigi Ballabio <[email protected]>
Date: Mon, 14 Dec 2020 16:14:38 +0100
Merge pull request #961.
Initial commit for Analytic Discrete Geometric Average Asian pricer
commit 9f9c4ebb4f07ccd5a30731c55f11f8985cdfa44c
Author: Luigi Ballabio <[email protected]>
Date: Mon, 14 Dec 2020 12:51:59 +0100
Declare integrands as inner classes.
.../asian/analytic_cont_geom_av_price_heston.cpp | 62 +++++++++---------
.../asian/analytic_cont_geom_av_price_heston.hpp | 5 +-
.../asian/analytic_discr_geom_av_price_heston.cpp | 73 +++++++++++-----------
.../asian/analytic_discr_geom_av_price_heston.hpp | 5 +-
4 files changed, 73 insertions(+), 72 deletions(-)
commit 597aa153ac25fb9bbd39e7aaffe61d1600f5c707
Merge: d24dfecbb db3528729
Author: Luigi Ballabio <[email protected]>
Date: Sun, 13 Dec 2020 22:49:12 +0100
Merge pull request #964.
avoid px!=0 exceptions with empty currencies
commit e8d311d615646392eced5610a7cac1bcd439f330
Author: jackgillett101 <[email protected]>
Date: Sun, 13 Dec 2020 19:46:16 +0800
Avoiding class name collisions by unqiuely naming integrand namespaces
ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp | 4 ++--
ql/experimental/asian/analytic_discr_geom_av_price_heston.cpp | 6 +++---
2 files changed, 5 insertions(+), 5 deletions(-)
commit d24dfecbba3045101d7f1a2d7d5f8a64ad519c75
Merge: e3d5dd895 100a153b5
Author: Luigi Ballabio <[email protected]>
Date: Sun, 13 Dec 2020 12:02:11 +0100
Merge pull request #963.
The set-env command is disabled.
commit db35287292c1e82953ddc7241d50e2628461e1be
Author: Peter Caspers <[email protected]>
Date: Sun, 13 Dec 2020 09:48:10 +0100
avoid px!=0 exceptions with empty currencies
ql/currency.hpp | 18 +++++++++++++++++-
1 file changed, 17 insertions(+), 1 deletion(-)
commit 50619ad3f8791d6aa23e48e05661c5a720fb95d2
Author: jackgillett101 <[email protected]>
Date: Sun, 13 Dec 2020 08:46:23 +0800
anonymous namespace for integrand, pass complex variables without copying
.../asian/analytic_cont_geom_av_price_heston.cpp | 77 +++++++++---------
.../asian/analytic_cont_geom_av_price_heston.hpp | 28 +++----
.../asian/analytic_discr_geom_av_price_heston.cpp | 91 +++++++++++-----------
.../asian/analytic_discr_geom_av_price_heston.hpp | 28 +++----
4 files changed, 117 insertions(+), 107 deletions(-)
commit 100a153b57da8829df0ed9db2a8e5d62804d394f
Author: RalfKonrad <[email protected]>
Date: Sat, 12 Dec 2020 22:04:23 +0100
The set-env command is disabled.
.github/workflows/cmake-win.yml | 2 ++
1 file changed, 2 insertions(+)
commit e3d5dd895e1f3c9733ce47c4dffb5112d46a3e16
Author: Luigi Ballabio <[email protected]>
Date: Sat, 12 Dec 2020 17:58:23 +0100
Update distro for gcc 9 CI job
.github/workflows/linux.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 9dcb5ba3ec8cbc4ed8b1bfcfaf642fc0a32322aa
Author: Luigi Ballabio <[email protected]>
Date: Sat, 12 Dec 2020 17:31:22 +0100
Document fixed Boost version in workflow.
.github/workflows/linux.yml | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 7cb2f8e568e67f2e29d4c6963e99f54851a4c562
Author: jackgillett101 <[email protected]>
Date: Sat, 12 Dec 2020 07:44:18 +0800
Integral limit should be Real, not Size
ql/experimental/asian/analytic_discr_geom_av_price_heston.hpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 3788178a1ff1c5fd3b198806d3487bac84e76a71
Merge: 516a89ed8 c7af72b92
Author: Luigi Ballabio <[email protected]>
Date: Fri, 11 Dec 2020 22:19:41 +0100
Merge pull request #962.
Update China holiday for the year 2021
commit c7af72b92cf5db1558397d2668593401ecea6578
Author: wegamekinglc <[email protected]>
Date: Fri, 11 Dec 2020 17:05:58 +0800
update china calendar for the year 2021
ql/time/calendars/china.cpp | 17 ++++++++++++++++-
test-suite/calendars.cpp | 34 ++++++++++++++++++++++++++++++++--
2 files changed, 48 insertions(+), 3 deletions(-)
commit a10f94a5258aa3703bc2e1ef28daa9f7c5ff056d
Merge: 7239e1b1e 516a89ed8
Author: Cheng Li <[email protected]>
Date: Fri, 11 Dec 2020 11:43:49 +0800
Merge pull request #11 from lballabio/master
merge from Luigi's upstream
commit b66fcd647a854a0cf68de17391ad9fdace425edf
Merge: a0599d2b0 b22008e24
Author: jackgillett101 <[email protected]>
Date: Fri, 11 Dec 2020 05:32:30 +0800
Merge pull request #18 from jackgillett101/clang-tidy-fixes-refs/heads/analytic_discrete_geometric_heston_2
Automated fixes by clang-tidy
commit a0599d2b0d767ff28da315ba3981769e2454ed66
Author: jackgillett101 <[email protected]>
Date: Fri, 11 Dec 2020 05:31:30 +0800
Adding new pricer file to CMakeLists.txt
ql/CMakeLists.txt | 2 ++
1 file changed, 2 insertions(+)
commit b22008e2455291cb997c042ddf667e7ee5fe2361
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Thu, 10 Dec 2020 14:42:51 +0000
Automated fixes by clang-tidy
test-suite/asianoptions.cpp | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit c804ba34d5aeb1d1832e441cdd8dab1cc46358bc
Author: jackgillett101 <[email protected]>
Date: Thu, 10 Dec 2020 21:25:06 +0800
Initial commit for Analytic Discrete Geometric Average Asian pricer
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 8 +-
ql/experimental/asian/Makefile.am | 6 +-
ql/experimental/asian/all.hpp | 1 +
.../asian/analytic_discr_geom_av_price_heston.cpp | 285 +++++++++++++++++++++
.../asian/analytic_discr_geom_av_price_heston.hpp | 137 ++++++++++
test-suite/asianoptions.cpp | 107 ++++++--
test-suite/asianoptions.hpp | 1 +
8 files changed, 517 insertions(+), 30 deletions(-)
commit 516a89ed8bcb35a7397c11d7188cd5e1e00463d0
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 8 Dec 2020 00:13:00 +0000
Automated fixes by clang-tidy
ql/pricingengines/asian/mc_discr_geom_av_price_heston.cpp | 12 ++++++------
ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp | 2 +-
2 files changed, 7 insertions(+), 7 deletions(-)
commit 138a3b711f667ceba68c64dd9e00bcf7934be42b
Merge: 59594de12 ec0d9a508
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Dec 2020 23:28:28 +0100
Merge pull request #952.
Modified ExponentialSplinesFitting to handle variable coeffs and fixed kappa
commit ec0d9a5081221b5dac5a8893d4b14f4a6415c518
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Dec 2020 14:48:02 +0100
Update docs.
ql/termstructures/yield/nonlinearfittingmethods.hpp | 10 +++-------
1 file changed, 3 insertions(+), 7 deletions(-)
commit fdc2927a376bb796caa914d00042619932af2df9
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Dec 2020 14:47:50 +0100
Use Null<Real>
ql/termstructures/yield/nonlinearfittingmethods.cpp | 4 ++--
ql/termstructures/yield/nonlinearfittingmethods.hpp | 4 ++--
2 files changed, 4 insertions(+), 4 deletions(-)
commit 6bf9efa1acb4a67201a59fc680d4b62cfe2b16b2
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Dec 2020 14:47:15 +0100
Add requirements
ql/termstructures/yield/nonlinearfittingmethods.cpp | 9 +++------
1 file changed, 3 insertions(+), 6 deletions(-)
commit 59594de1204ee11f23f3dc0a171ff69ccba163a3
Merge: 2dc9b7f6a 42b4ca169
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Dec 2020 14:34:17 +0100
Merge pull request #957.
Adding a MC Heston pricer for discrete geometric asian options
commit 2dc9b7f6abac35afe9e19fd23ecef11a7c253d64
Merge: d57170996 fbd9acf16
Author: Luigi Ballabio <[email protected]>
Date: Mon, 7 Dec 2020 14:32:38 +0100
Merge pull request #956.
fix monthly SOFR future convention
commit 42b4ca1699817f0b23fca6f4416436385d2f7819
Author: jackgillett101 <[email protected]>
Date: Mon, 7 Dec 2020 07:37:54 +0800
Updating copyright
ql/pricingengines/asian/mc_discr_geom_av_price_heston.cpp | 2 ++
ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp | 2 ++
2 files changed, 4 insertions(+)
commit 1af8c820a0b7e5cabf006076eca3b1bd6fac948a
Author: jackgillett101 <[email protected]>
Date: Sun, 6 Dec 2020 08:20:19 +0800
Adding a MC Heston pricer for discrete gemoetric asian options
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 12 +-
ql/CMakeLists.txt | 2 +
ql/pricingengines/asian/Makefile.am | 4 +-
ql/pricingengines/asian/all.hpp | 1 +
.../asian/mc_discr_geom_av_price_heston.cpp | 60 +++++
.../asian/mc_discr_geom_av_price_heston.hpp | 254 +++++++++++++++++++++
test-suite/asianoptions.cpp | 91 ++++++++
test-suite/asianoptions.hpp | 1 +
9 files changed, 420 insertions(+), 7 deletions(-)
commit d571709967c0c3ab1ebbf99633d503b4fdc0d9e9
Merge: 1e4bcc70e afec307fa
Author: Luigi Ballabio <[email protected]>
Date: Sat, 5 Dec 2020 22:00:54 +0100
Merge pull request #955.
Adding an experimental analytic Heston continuous geometric pricer
commit afec307fa166403a46b1b2a86f9e43de5f52847c
Author: Luigi Ballabio <[email protected]>
Date: Sat, 5 Dec 2020 18:30:51 +0100
Avoid empty lines
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 1 -
2 files changed, 2 deletions(-)
commit cd4460e93d050b16d1522236b4c475a3a86bfefa
Author: jackgillett101 <[email protected]>
Date: Sat, 5 Dec 2020 22:02:22 +0800
Fixing a Visual Studio int -> double cast warning
ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 073a400687a25d805c61940011b308b22d7478ad
Author: jackgillett101 <[email protected]>
Date: Sat, 5 Dec 2020 20:30:26 +0800
Update QuantLib.vcxproj.filters
Co-authored-by: Luigi Ballabio <[email protected]>
QuantLib.vcxproj.filters | 7 ++++---
1 file changed, 4 insertions(+), 3 deletions(-)
commit 4cc405b947fe52833bac831ee2625b5ad491bbd3
Author: jackgillett101 <[email protected]>
Date: Sat, 5 Dec 2020 20:30:15 +0800
Update QuantLib.vcxproj
Co-authored-by: Luigi Ballabio <[email protected]>
QuantLib.vcxproj | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 1a951c51201771069786eb584f5fb02e0b797f42
Merge: 0c20cde20 5f2048a12
Author: jackgillett101 <[email protected]>
Date: Sat, 5 Dec 2020 19:38:30 +0800
Merge pull request #13 from jackgillett101/clang-tidy-fixes-refs/heads/analytic_continuous_geometric_heston_2
Automated fixes by clang-tidy
commit 5f2048a129f47ac4a5004e87b7c47fd5e1c131e2
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sat, 5 Dec 2020 06:34:20 +0000
Automated fixes by clang-tidy
ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp | 9 ++++-----
1 file changed, 4 insertions(+), 5 deletions(-)
commit fbd9acf16fe8fadbdfba394f12258359fae55794
Author: tani3010 <[email protected]>
Date: Sat, 5 Dec 2020 00:09:41 -0500
fix monthly SOFR future convention
Signed-off-by: tani3010 <[email protected]>
ql/experimental/futures/overnightindexfutureratehelper.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 38da83ce94446301b8aafce5587399bf539417c6
Author: tani3010 <[email protected]>
Date: Fri, 4 Dec 2020 23:40:12 -0500
fix monthly SOFR future convention
Signed-off-by: tani3010 <[email protected]>
.../futures/overnightindexfutureratehelper.cpp | 23 +++++++++++++++-------
test-suite/sofrfutures.cpp | 13 +++++++++++-
2 files changed, 28 insertions(+), 8 deletions(-)
commit 0c20cde20119faafaace33cbdee1bf1067f853f3
Author: jackgillett101 <[email protected]>
Date: Sat, 5 Dec 2020 12:08:33 +0800
Adding tests for pricer
test-suite/asianoptions.cpp | 172 ++++++++++++++++++++++++++++++++++++++++++++
test-suite/asianoptions.hpp | 1 +
2 files changed, 173 insertions(+)
commit 6204203a29c42909163ca4680a8c503f1ab00bb1
Author: jackgillett101 <[email protected]>
Date: Sat, 5 Dec 2020 11:47:28 +0800
Codacy code cleanliness adjustments
ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp | 6 ++----
ql/experimental/asian/analytic_cont_geom_av_price_heston.hpp | 2 +-
2 files changed, 3 insertions(+), 5 deletions(-)
commit 01471ea7deab2a22f01c77cc9102bcc958764661
Author: jackgillett101 <[email protected]>
Date: Sat, 5 Dec 2020 11:26:51 +0800
Adding an experimental analytic Heston continuous geometric pricer
QuantLib.vcxproj | 3 +
QuantLib.vcxproj.filters | 9 +
configure.ac | 1 +
ql/CMakeLists.txt | 2 +
ql/experimental/Makefile.am | 5 +-
ql/experimental/all.hpp | 1 +
ql/experimental/asian/Makefile.am | 45 ++++
ql/experimental/asian/all.hpp | 5 +
.../asian/analytic_cont_geom_av_price_heston.cpp | 284 +++++++++++++++++++++
.../asian/analytic_cont_geom_av_price_heston.hpp | 127 +++++++++
10 files changed, 480 insertions(+), 2 deletions(-)
commit 1e4bcc70ef859d6d2ed3095c7af7bd179ed546cc
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 2 Dec 2020 10:58:10 +0000
Automated fixes by clang-tidy
ql/pricingengines/asian/mc_discr_arith_av_price_heston.cpp | 12 ++++++------
ql/pricingengines/asian/mc_discr_arith_av_price_heston.hpp | 2 +-
2 files changed, 7 insertions(+), 7 deletions(-)
commit 34d1e52e6e14b213b52f6259f2b6a226a47ea11f
Merge: 11e1d6f12 e97d09355
Author: Luigi Ballabio <[email protected]>
Date: Wed, 2 Dec 2020 10:21:48 +0100
Merge pull request #951.
Forcing specification of timeSteps for MC Arithmetic Asian Heston Pricer
commit e97d09355b315d95f7d2ae83618dc5af34965695
Author: jackgillett101 <[email protected]>
Date: Tue, 1 Dec 2020 22:06:33 +0800
Defaulting the timeSteps argument for Arithmetic Asians
.../asian/mc_discr_arith_av_price_heston.hpp | 84 +++++++++++-----------
.../asian/mcdiscreteasianenginebase.hpp | 4 ++
test-suite/asianoptions.cpp | 1 -
3 files changed, 45 insertions(+), 44 deletions(-)
commit 9fac8bfc12257bea12065e18cb3163b4b8c7b449
Author: DS-London <[email protected]>
Date: Tue, 1 Dec 2020 11:54:05 +0000
Modified ExponentialSplinesFitting to handle a variable number of coefficients and a fixed value for kappa. Added new fitting method to FittedBondCurve example.
Examples/FittedBondCurve/FittedBondCurve.cpp | 58 +++++++++++++++++++---
.../yield/nonlinearfittingmethods.cpp | 52 ++++++++++++++-----
.../yield/nonlinearfittingmethods.hpp | 23 ++++++++-
3 files changed, 111 insertions(+), 22 deletions(-)
commit 11e1d6f12ce2e56ebddcd5b6e70bce733238fd35
Merge: 43c4e15f4 1bb9e35de
Author: Luigi Ballabio <[email protected]>
Date: Tue, 1 Dec 2020 12:18:54 +0100
Merge pull request #950.
Expose number of swap legs
commit 63a816bb3b5453080b33069b1d26f085afd640c3
Author: jackgillett101 <[email protected]>
Date: Mon, 30 Nov 2020 23:27:39 +0800
Forcing specification of timeSteps for MC Arithmetic Asian Heston Pricer
.../asian/mc_discr_arith_av_price_heston.cpp | 18 +++----
.../asian/mc_discr_arith_av_price_heston.hpp | 59 ++++++++++++++++++++--
.../asian/mcdiscreteasianenginebase.hpp | 29 ++++++++---
test-suite/asianoptions.cpp | 1 +
4 files changed, 86 insertions(+), 21 deletions(-)
commit 1bb9e35de043d70510776bfd74d8189a6ed0aecd
Author: Francois Botha <[email protected]>
Date: Mon, 30 Nov 2020 15:57:34 +0200
Expose number of swap legs
ql/instruments/swap.cpp | 1 +
ql/instruments/swap.hpp | 1 +
test-suite/swap.cpp | 6 ++++++
3 files changed, 8 insertions(+)
commit 43c4e15f46dc7a8713972d8bd523545a600e1370
Merge: c4a1749bc 6f1dfbb1a
Author: Luigi Ballabio <[email protected]>
Date: Sun, 29 Nov 2020 17:35:43 +0100
Merge pull request #948.
Adding a vanilla control variate to the Heston forward start MC pricer
commit 6f1dfbb1a5a0be42968ca20950a809f4cadc5d32
Author: jackgillett101 <[email protected]>
Date: Sun, 29 Nov 2020 21:06:03 +0800
Adding reference to pull request where some trade-offs for control variate use are discussed
ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp | 8 +++++++-
1 file changed, 7 insertions(+), 1 deletion(-)
commit c4a1749bc829e7deecce1bf805c2920b0663d670
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 29 Nov 2020 09:36:42 +0000
Update copyright list in license
LICENSE.TXT | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit b8f5cbd5620fbae9e2e986284f1ed8b2e961a7ad
Merge: 43272b2b6 65d20b52d
Author: Luigi Ballabio <[email protected]>
Date: Sun, 29 Nov 2020 09:52:11 +0100
Merge pull request #947.
Fix unregisterWith call on empty observer
commit bcbceb3bee31f38bb5169a9f44d1bd97c05456ab
Author: jackgillett101 <[email protected]>
Date: Sun, 29 Nov 2020 16:42:59 +0800
Correcting ordering of parameters in class initialisation
ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit c777a7aa1152413300e19d26c6416517f9e06948
Author: jackgillett101 <[email protected]>
Date: Sun, 29 Nov 2020 16:15:45 +0800
Adding a vanilla control variate to the Heston forward start MC pricer
.../forward/mcforwardeuropeanhestonengine.hpp | 80 ++++++++++++++++++----
.../forward/mcforwardvanillaengine.hpp | 45 ++++++++++--
test-suite/forwardoption.cpp | 19 ++++-
3 files changed, 125 insertions(+), 19 deletions(-)
commit 65d20b52ded92d8e348d46ff7561ceca5c6dfab3
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Nov 2020 21:07:33 +0100
Link required boost libs in CI build for thread-safe config
.github/workflows/linux.yml | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 43272b2b642b21f2ede332947433996051d75d93
Merge: 176cce273 a9bd208ab
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Nov 2020 20:58:34 +0100
Merge pull request #943.
Adding an experimental analytic pricer for forward-start european options in Heston model
commit 74ed85f6d5f9c2810fb0de9184cd466cb249a70a
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Nov 2020 16:53:59 +0100
Add thread-set observer configuration to CI matrix.
.github/workflows/linux.yml | 8 ++++++++
1 file changed, 8 insertions(+)
commit 831faf3dc6916458e349d4bdd2ce9eaa43e6acd9
Author: klausspanderen <[email protected]>
Date: Sat, 28 Nov 2020 16:27:20 +0100
fixed #929
Observer::unregisterWith(...) and QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN
ql/patterns/observable.hpp | 3 +--
test-suite/observable.cpp | 19 ++++++++++++++++++-
test-suite/observable.hpp | 1 +
3 files changed, 20 insertions(+), 3 deletions(-)
commit a9bd208abeb1fd7debf39656deb225f3b61133c0
Author: jackgillett101 <[email protected]>
Date: Sat, 28 Nov 2020 23:02:11 +0800
Switching tests to use a fixed day, further tightening MC error bounds
test-suite/forwardoption.cpp | 25 ++++++++++---------------
1 file changed, 10 insertions(+), 15 deletions(-)
commit 176cce273c92d96c13ecd0312e4d9b2418b5865e
Merge: 60afa3527 d4f1dbe5b
Author: Luigi Ballabio <[email protected]>
Date: Sat, 28 Nov 2020 14:20:54 +0100
Merge pull request #945.
Update Japan calendar
commit d4f1dbe5b87120be9924485b33b4c4930a7e5b74
Author: tani3010 <[email protected]>
Date: Fri, 27 Nov 2020 22:38:04 -0500
update Japan calender
Signed-off-by: tani3010 <[email protected]>
ql/time/calendars/japan.cpp | 14 ++++++++++----
1 file changed, 10 insertions(+), 4 deletions(-)
commit 94be39583135894348fd73b2bb094ec6c585370c
Author: jackgillett101 <[email protected]>
Date: Tue, 24 Nov 2020 09:52:30 +0800
Tightening tolerance, adding some paths, putting seed back into the rng
I hadn't realised that even LD prices have some randomness if the seed is removed, which caused occasional failuers.
test-suite/forwardoption.cpp | 8 +++++---
1 file changed, 5 insertions(+), 3 deletions(-)
commit 45e86da3bb9a3aa16b254636e582a6a95744854a
Author: jackgillett101 <[email protected]>
Date: Tue, 24 Nov 2020 09:02:21 +0800
Making constructor explicit (codacy req)
ql/experimental/forward/analytichestonforwardeuropeanengine.hpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 32212e23e3d0fd8df23e152a211435ccb0de4e8f
Author: jackgillett101 <[email protected]>
Date: Tue, 24 Nov 2020 08:39:37 +0800
Fixing codility, tidying, and reducing tolerance on MC prices slightly (due to low number of paths)
ql/experimental/forward/analytichestonforwardeuropeanengine.cpp | 4 ++--
ql/experimental/forward/analytichestonforwardeuropeanengine.hpp | 8 +++-----
test-suite/forwardoption.cpp | 6 ++----
3 files changed, 7 insertions(+), 11 deletions(-)
commit 280fb86c81ee94fdfa54eabd474778efc58c0bf6
Author: jackgillett101 <[email protected]>
Date: Tue, 24 Nov 2020 00:29:38 +0800
Passing through unused parameter to the internal AnalyticHestonEngines
ql/experimental/forward/analytichestonforwardeuropeanengine.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2fb7af46ee53b91f2a9ebd4aae6a08369e8a0020
Author: jackgillett101 <[email protected]>
Date: Tue, 24 Nov 2020 00:18:25 +0800
Fixing parameter ordering in constructor
.../analytichestonforwardeuropeanengine.cpp | 6 ++--
.../analytichestonforwardeuropeanengine.hpp | 37 ++++++++++------------
2 files changed, 20 insertions(+), 23 deletions(-)
commit 03f3bd811cc8d7d4c549d7df949b48eb5f6ac377
Author: jackgillett101 <[email protected]>
Date: Mon, 23 Nov 2020 23:59:07 +0800
Adding an experimental analytic pricer for forward-start european options in Heston model
QuantLib.vcxproj | 3 +
QuantLib.vcxproj.filters | 9 +
configure.ac | 1 +
ql/CMakeLists.txt | 2 +
ql/experimental/Makefile.am | 3 +-
ql/experimental/all.hpp | 1 +
ql/experimental/forward/Makefile.am | 45 ++++
ql/experimental/forward/all.hpp | 5 +
.../analytichestonforwardeuropeanengine.cpp | 274 ++++++++++++++++++++
.../analytichestonforwardeuropeanengine.hpp | 124 +++++++++
test-suite/forwardoption.cpp | 283 ++++++++++++++-------
test-suite/forwardoption.hpp | 1 +
12 files changed, 658 insertions(+), 93 deletions(-)
commit 60afa352713bac2b759332686ed3070d357cfde8
Merge: a6ad9cfd0 510d56023
Author: Luigi Ballabio <[email protected]>
Date: Fri, 20 Nov 2020 11:54:44 +0100
Merge pull request #942.
Enhance Amortizing fixed rate bond class to accept InterestRate object
commit a6ad9cfd0419904cd4de31983524b0859a45588c
Merge: b0541407a c7bce9bf9
Author: Luigi Ballabio <[email protected]>
Date: Fri, 20 Nov 2020 09:28:13 +0100
Merge pull request #941.
Adding an MC engine for Arithmetic Asians in Heston model
commit b0541407a593a798b2b9f436c0e5a8656e423dbe
Merge: 88ac25871 a74f204ac
Author: Luigi Ballabio <[email protected]>
Date: Fri, 20 Nov 2020 09:23:30 +0100
Merge pull request #938.
CDS date generation using CDS and CDS2015 rules
commit a74f204ac662e3e7ecfd73d7e3e0971b4dff1a8c
Author: francis <[email protected]>
Date: Thu, 19 Nov 2020 23:42:42 +0000
Move the cdsMaturity function to CDS instrument file.
ql/instruments/creditdefaultswap.cpp | 30 ++++++++++++++++++++
ql/instruments/creditdefaultswap.hpp | 14 +++++++++
ql/time/schedule.cpp | 55 +++++++++---------------------------
ql/time/schedule.hpp | 16 ++---------
test-suite/schedule.cpp | 1 +
5 files changed, 61 insertions(+), 55 deletions(-)
commit 510d560230438f5bfb0c54dda2f806ea0b2da628
Author: Piter Dias <[email protected]>
Date: Thu, 19 Nov 2020 17:27:37 -0300
Trying to clean-up compiling errors on Mac, gcc4, gcc5 and C++03 mode.
test-suite/amortizingbond.cpp | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit d03c676c6800394d97a82aab45c8867cab96dd32
Author: Piter Dias <[email protected]>
Date: Thu, 19 Nov 2020 16:55:35 -0300
Fixes an error introduced during code clean-up
test-suite/amortizingbond.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 0afe9b8ae1aabde1f4bcf71f261c4c2318520759
Author: Piter Dias <[email protected]>
Date: Thu, 19 Nov 2020 16:43:42 -0300
Clean-up - Changed std::vector<Real> to Real inside testBrazilianAmortizingFixedRateBond
test-suite/amortizingbond.cpp | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 1604f6b1e9b3bdf2917b506dab84cd38e864820d
Author: Piter Dias <[email protected]>
Date: Thu, 19 Nov 2020 16:26:45 -0300
Remove unused faceAmount variable
test-suite/amortizingbond.cpp | 1 -
1 file changed, 1 deletion(-)
commit 56fb947da5cad97c40ef99df6a32a3ffc4317533
Author: Piter Dias <[email protected]>
Date: Thu, 19 Nov 2020 15:56:27 -0300
Fixes compiling errors and some identation.
test-suite/amortizingbond.cpp | 21 +++++++++++----------
1 file changed, 11 insertions(+), 10 deletions(-)
commit ee671dd03c0fd0dafc9bf879e0dd3157965ab6e0
Author: Piter Dias <[email protected]>
Date: Thu, 19 Nov 2020 15:06:17 -0300
Add a Brazilian corporate bond (ISIN code BRRISFDBS005) to the amortizing bonds test
test-suite/amortizingbond.cpp | 129 ++++++++++++++++++++++++++++++++++++++++--
test-suite/amortizingbond.hpp | 1 +
2 files changed, 126 insertions(+), 4 deletions(-)
commit c7bce9bf975ee2bb19c1c0190478e0549cb6c08c
Author: jackgillett101 <[email protected]>
Date: Thu, 19 Nov 2020 20:50:50 +0800
Opportunistically removing some whitespace
.../asian/mc_discr_arith_av_price_heston.hpp | 27 ++++------------------
1 file changed, 5 insertions(+), 22 deletions(-)
commit 0fd3d16176b2042605773094bdc2020fec33119b
Author: jackgillett101 <[email protected]>
Date: Thu, 19 Nov 2020 13:06:55 +0800
Adding an MC engine for Arithmetic Asians in Heston model
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +
ql/CMakeLists.txt | 2 +
ql/pricingengines/asian/Makefile.am | 2 +
ql/pricingengines/asian/all.hpp | 1 +
.../asian/mc_discr_arith_av_price_heston.cpp | 53 +++++
.../asian/mc_discr_arith_av_price_heston.hpp | 226 +++++++++++++++++++++
test-suite/asianoptions.cpp | 92 +++++++++
test-suite/asianoptions.hpp | 1 +
9 files changed, 385 insertions(+)
commit 88ac25871e6f77d8ab7de5ef0de47961571dc2b6
Merge: 8fbd9340f e699f0e7b
Author: Luigi Ballabio <[email protected]>
Date: Wed, 18 Nov 2020 23:24:56 +0100
Merge pull request #935.
Templating Asian pricing engines on their process type
commit 484cce04e5d0218e25f02f312775df1d6813051b
Author: francis <[email protected]>
Date: Wed, 18 Nov 2020 21:50:05 +0000
Change upfront and rebate to SimpleCashFlow.
ql/instruments/creditdefaultswap.cpp | 6 +++++-