forked from lballabio/QuantLib
-
Notifications
You must be signed in to change notification settings - Fork 0
/
ChangeLog.txt
1900 lines (1427 loc) · 74.3 KB
/
ChangeLog.txt
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249
250
251
252
253
254
255
256
257
258
259
260
261
262
263
264
265
266
267
268
269
270
271
272
273
274
275
276
277
278
279
280
281
282
283
284
285
286
287
288
289
290
291
292
293
294
295
296
297
298
299
300
301
302
303
304
305
306
307
308
309
310
311
312
313
314
315
316
317
318
319
320
321
322
323
324
325
326
327
328
329
330
331
332
333
334
335
336
337
338
339
340
341
342
343
344
345
346
347
348
349
350
351
352
353
354
355
356
357
358
359
360
361
362
363
364
365
366
367
368
369
370
371
372
373
374
375
376
377
378
379
380
381
382
383
384
385
386
387
388
389
390
391
392
393
394
395
396
397
398
399
400
401
402
403
404
405
406
407
408
409
410
411
412
413
414
415
416
417
418
419
420
421
422
423
424
425
426
427
428
429
430
431
432
433
434
435
436
437
438
439
440
441
442
443
444
445
446
447
448
449
450
451
452
453
454
455
456
457
458
459
460
461
462
463
464
465
466
467
468
469
470
471
472
473
474
475
476
477
478
479
480
481
482
483
484
485
486
487
488
489
490
491
492
493
494
495
496
497
498
499
500
501
502
503
504
505
506
507
508
509
510
511
512
513
514
515
516
517
518
519
520
521
522
523
524
525
526
527
528
529
530
531
532
533
534
535
536
537
538
539
540
541
542
543
544
545
546
547
548
549
550
551
552
553
554
555
556
557
558
559
560
561
562
563
564
565
566
567
568
569
570
571
572
573
574
575
576
577
578
579
580
581
582
583
584
585
586
587
588
589
590
591
592
593
594
595
596
597
598
599
600
601
602
603
604
605
606
607
608
609
610
611
612
613
614
615
616
617
618
619
620
621
622
623
624
625
626
627
628
629
630
631
632
633
634
635
636
637
638
639
640
641
642
643
644
645
646
647
648
649
650
651
652
653
654
655
656
657
658
659
660
661
662
663
664
665
666
667
668
669
670
671
672
673
674
675
676
677
678
679
680
681
682
683
684
685
686
687
688
689
690
691
692
693
694
695
696
697
698
699
700
701
702
703
704
705
706
707
708
709
710
711
712
713
714
715
716
717
718
719
720
721
722
723
724
725
726
727
728
729
730
731
732
733
734
735
736
737
738
739
740
741
742
743
744
745
746
747
748
749
750
751
752
753
754
755
756
757
758
759
760
761
762
763
764
765
766
767
768
769
770
771
772
773
774
775
776
777
778
779
780
781
782
783
784
785
786
787
788
789
790
791
792
793
794
795
796
797
798
799
800
801
802
803
804
805
806
807
808
809
810
811
812
813
814
815
816
817
818
819
820
821
822
823
824
825
826
827
828
829
830
831
832
833
834
835
836
837
838
839
840
841
842
843
844
845
846
847
848
849
850
851
852
853
854
855
856
857
858
859
860
861
862
863
864
865
866
867
868
869
870
871
872
873
874
875
876
877
878
879
880
881
882
883
884
885
886
887
888
889
890
891
892
893
894
895
896
897
898
899
900
901
902
903
904
905
906
907
908
909
910
911
912
913
914
915
916
917
918
919
920
921
922
923
924
925
926
927
928
929
930
931
932
933
934
935
936
937
938
939
940
941
942
943
944
945
946
947
948
949
950
951
952
953
954
955
956
957
958
959
960
961
962
963
964
965
966
967
968
969
970
971
972
973
974
975
976
977
978
979
980
981
982
983
984
985
986
987
988
989
990
991
992
993
994
995
996
997
998
999
1000
commit ab65963d73e2f194253e1267bfec4dd606083e48
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Jul 2021 09:46:54 +0200
Set version to 1.32 final.
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit ac90bef266f29990b5709681a06dd7030c4f5fdb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 19 Oct 2023 11:17:32 +0200
Update news
Docs/pages/history.docs | 7 ++++---
News.md | 8 +++++---
2 files changed, 9 insertions(+), 6 deletions(-)
commit 6c22cad48d028ac55be72c5dc7bb169fe87eeb7b
Merge: d02ef2471 ebef37553
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 17 Oct 2023 23:23:26 +0200
apply the paymentLag and paymentCalendar to the fixed leg (#1812)
commit d02ef2471e06680250ba8840bf4cd0f3fadd8f8f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 13 Oct 2023 09:17:31 +0200
Update documentation for configuration flag
Docs/pages/config.docs | 1 -
configure.ac | 13 ++++++-------
ql/userconfig.hpp | 7 +++----
3 files changed, 9 insertions(+), 12 deletions(-)
commit ebef37553632ab8ee8cc08a9534151e367a077d7
Author: Guillaume Horel <guillaume.horel@gmail.com>
Date: Thu, 12 Oct 2023 15:43:36 -0400
apply the paymentLag and paymentCalendar to the fixed leg
ql/instruments/overnightindexedswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 82f71c2b2a644c7206706be93a7bf252f8829220
Merge: 79561ae4c 88205db80
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 6 Oct 2023 16:50:06 +0200
fix past-end iterator dereference, clean up (#1806)
commit 88205db8044668af1b62bc54b37ef2ae4bded7b2
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Fri, 6 Oct 2023 15:28:47 +0200
fix past-end iterator dereference, clean up
ql/time/ecb.cpp | 93 ++++++++++++++++++++++++++++++++++-----------------------
1 file changed, 55 insertions(+), 38 deletions(-)
commit 79561ae4c71ac3c4e39d401cc1fc8bf05f77b38c
Merge: 6f3046752 0a6c999ea
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 6 Oct 2023 08:39:21 +0200
Avoid internal compiler error on VC++17 (#1805)
commit 0a6c999eaa5ccc1ff1d2e97ece52c285739d0a7a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 5 Oct 2023 11:37:56 +0200
Avoid internal compiler error on VC++17
It doesn't seem to like fancy default arguments.
News.md | 4 ++
ql/cashflows/digitalcmscoupon.cpp | 5 ++
ql/cashflows/digitalcmscoupon.hpp | 12 ++--
ql/cashflows/digitalcoupon.cpp | 15 ++---
ql/cashflows/digitalcoupon.hpp | 2 +-
ql/cashflows/digitaliborcoupon.cpp | 5 ++
ql/cashflows/digitaliborcoupon.hpp | 12 ++--
ql/experimental/coupons/digitalcmsspreadcoupon.cpp | 5 ++
ql/experimental/coupons/digitalcmsspreadcoupon.hpp | 12 ++--
test-suite/digitalcoupon.cpp | 64 ++++++----------------
10 files changed, 65 insertions(+), 71 deletions(-)
commit 6f3046752c018544f6d022a3e437aaf5fe273462
Merge: 2d161c53c bc12e98e4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 5 Oct 2023 15:25:46 +0200
Fix double/Real consistency for maintaining AAD compatibility (#1803)
commit bc12e98e4fa3f387f1b4b50920b3570324f49a26
Author: Auto Differentiation Dev Team <dev@auto-differentiation.com>
Date: Thu, 5 Oct 2023 10:40:47 +0100
Fixing warning for integer/double comparison
test-suite/libormarketmodel.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5ddeb72157283def81642952912e2552844c7265
Author: Auto Differentiation Dev Team <dev@auto-differentiation.com>
Date: Thu, 5 Oct 2023 10:40:15 +0100
Fixing double/Real consistency, maintaining AAD compatibility
test-suite/xoshiro256starstar.cpp | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 2d161c53c46f87815b1265c9f566c2b867786b62
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 4 Oct 2023 11:52:15 +0200
Set version to 1.32-rc
CMakeLists.txt | 4 ++--
configure.ac | 2 +-
ql/version.hpp | 4 ++--
3 files changed, 5 insertions(+), 5 deletions(-)
commit dd94abe5439bcdec6c949b69b5fb5c6edbdcc9d1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 4 Oct 2023 11:18:57 +0200
Update news and changelog
ChangeLog.txt | 3892 ++++++++++++++++-------------------------------
Contributors.txt | 1 +
Docs/pages/history.docs | 124 +-
News.md | 175 ++-
4 files changed, 1633 insertions(+), 2559 deletions(-)
commit c13293b9ec69b94d44c04cea224bb16479160364
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 3 Oct 2023 14:36:39 +0200
Sync qldefines.hpp.cfg
ql/qldefines.hpp.cfg | 6 ++++++
1 file changed, 6 insertions(+)
commit 751144fa19b05d5066eb11948f64ba7fa072fd49
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 2 Oct 2023 08:58:23 +0200
Disable array-bounds warning in workflow.
This prevents us from playing whack-a-mole with warnings while
we investigate.
.github/workflows/linux-nondefault.yml | 2 +-
Examples/BermudanSwaption/BermudanSwaption.cpp | 9 ---------
.../shortrate/calibrationhelpers/swaptionhelper.cpp | 10 ----------
test-suite/bermudanswaption.cpp | 19 -------------------
4 files changed, 1 insertion(+), 39 deletions(-)
commit 4a1fe40d040eea4833179ad1c62d70d3af0b41d7
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 1 Oct 2023 02:21:05 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 4 ++--
ql/instruments/overnightindexedswap.hpp | 2 +-
2 files changed, 3 insertions(+), 3 deletions(-)
commit eaa249d7fa24c0dfd796a81ba27281e989cd55b7
Merge: 1e58438eb 7df75adc4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 29 Sep 2023 14:26:30 +0200
Include time zero / evaluation date in option date interpolation (#1783)
commit 1e58438ebae55f538d9f3ac29fbcaa4ff850a72a
Merge: 75accb52d 6dc78b2a7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 29 Sep 2023 10:27:55 +0200
Detect null time-to-reference when calculating zero rates (#1798)
commit 6dc78b2a7d4287b068f431a702c320eeacb484be
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Sep 2023 14:24:52 +0200
Detect null time-to-reference
ql/termstructures/yieldtermstructure.cpp | 5 +++--
test-suite/termstructures.cpp | 30 ++++++++++++++++++++++++------
test-suite/termstructures.hpp | 1 +
3 files changed, 28 insertions(+), 8 deletions(-)
commit 75accb52d7d71660371bc23484c82da42336b8d6
Merge: a2e4bc529 eedd3db3f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Sep 2023 14:24:22 +0200
`xoshiro265**` uniform random number generator (#1769)
commit 7df75adc4a82ebb64437ba33668bf2a0e84431e4
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Thu, 28 Sep 2023 14:13:34 +0200
we do not need to do that here, it's done in the base class already
ql/termstructures/volatility/swaption/swaptionvolcube.cpp | 1 -
1 file changed, 1 deletion(-)
commit 550a1a46d8b6ce44e84ba0e630e04e8a1fd7f143
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Thu, 28 Sep 2023 13:34:42 +0200
fix evaluation / reference date handling
.../volatility/swaption/swaptionvolcube.cpp | 3 +--
.../volatility/swaption/swaptionvoldiscrete.cpp | 16 ++++++++--------
.../volatility/swaption/swaptionvoldiscrete.hpp | 3 ++-
3 files changed, 11 insertions(+), 11 deletions(-)
commit eedd3db3f593c1346b593e4d6609cc87829fe788
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Sep 2023 11:29:28 +0200
Use C++-style header
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 16 ++++++------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 30 +++++++++++-----------
2 files changed, 23 insertions(+), 23 deletions(-)
commit a65b43e332d52f6627f34db3ce45a017ac36a3b3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 28 Sep 2023 11:18:22 +0200
Move splitmix rng to anonymous namespace
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 --
ql/CMakeLists.txt | 1 -
ql/math/randomnumbers/Makefile.am | 1 -
ql/math/randomnumbers/all.hpp | 1 -
ql/math/randomnumbers/splitmix64.hpp | 57 ----------------------
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 43 +++++++++++++---
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 2 +-
test-suite/xoshiro256starstar.cpp | 22 ++++-----
9 files changed, 45 insertions(+), 86 deletions(-)
commit a2e4bc5291381df0d995d50f4243528dad5f83ec
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 26 Sep 2023 16:53:44 +0200
Avoid a few new warnings
Hopefully, they're false positives. Tests run correctly.
Examples/BermudanSwaption/BermudanSwaption.cpp | 11 +++++++++++
.../shortrate/calibrationhelpers/swaptionhelper.cpp | 9 +++++++++
test-suite/bermudanswaption.cpp | 21 +++++++++++++++++++++
3 files changed, 41 insertions(+)
commit d08dc8582752233ca94780fec431775821b2a2fa
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 24 Sep 2023 02:14:40 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 8 ++++----
ql/instruments/overnightindexedswap.hpp | 4 ++--
2 files changed, 6 insertions(+), 6 deletions(-)
commit ac9d99640ed20bc8d2f5ac7641dbbe00efdf08bb
Merge: fd99a8ef2 43d9613de
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 22 Sep 2023 13:12:59 +0200
Add special holiday 2 Oct 2023 for Korea (#1793)
commit 43d9613def41597176b1ab7c338807caf0197044
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 22 Sep 2023 11:47:55 +0200
Add new Korean holiday to tests
test-suite/calendars.cpp | 2 ++
1 file changed, 2 insertions(+)
commit e9f820678e48ea7b7e50cb9331887718df0a5947
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 22 Sep 2023 09:23:33 +0200
Add special holiday 2 Oct 2023 for Korea
ql/time/calendars/southkorea.cpp | 1 +
1 file changed, 1 insertion(+)
commit fd99a8ef24a14125ff1103f180bb0588ef9271f2
Merge: 7e0e5df7c f36933666
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 21 Sep 2023 15:44:12 +0200
Pass through max evaluations to the solver (#1792)
commit f36933666dea83c91fbad94ac1851996872ed5ae
Author: Jonathan Sweemer <sweemer@gmail.com>
Date: Thu, 21 Sep 2023 21:06:49 +0900
Pass through max evaluations to the solver
ql/termstructures/iterativebootstrap.hpp | 8 ++++++--
1 file changed, 6 insertions(+), 2 deletions(-)
commit 7e0e5df7c72fdc5b93af15174ff7783502d70b97
Merge: 6400e4d7d b7426015b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 20 Sep 2023 22:00:44 +0200
Optional redemption argument for amortizing bond constructors (#1790)
commit b7426015bb0070f6e2e0e7cc9fbaabc66d7fdf3c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 20 Sep 2023 17:29:36 +0200
Reorder parameters
ql/instruments/bonds/amortizingcmsratebond.hpp | 2 +-
ql/instruments/bonds/amortizingfixedratebond.cpp | 2 +-
ql/instruments/bonds/amortizingfixedratebond.hpp | 6 ++----
ql/instruments/bonds/amortizingfloatingratebond.cpp | 8 ++++----
ql/instruments/bonds/amortizingfloatingratebond.hpp | 7 +++----
5 files changed, 11 insertions(+), 14 deletions(-)
commit 6400e4d7d4b0ca8789446575e509341ae7fcde6d
Merge: cd33939d5 4d4d31409
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 19 Sep 2023 11:22:48 +0200
Add common fixed-vs-floater base class for vanilla swap and OIS (#1789)
commit f8da734c90aec3c6d7419c9a8b11a311bad5cce4
Author: Gyan Sinha <gyanorama@gmail.com>
Date: Mon, 18 Sep 2023 18:52:07 -0400
added redemptions to amortizing bond constructors
ql/instruments/bonds/amortizingcmsratebond.cpp | 5 +++--
ql/instruments/bonds/amortizingcmsratebond.hpp | 5 +++--
ql/instruments/bonds/amortizingfixedratebond.cpp | 10 +++++++---
ql/instruments/bonds/amortizingfixedratebond.hpp | 8 ++++++--
ql/instruments/bonds/amortizingfloatingratebond.cpp | 11 +++++++----
ql/instruments/bonds/amortizingfloatingratebond.hpp | 9 ++++++---
6 files changed, 32 insertions(+), 16 deletions(-)
commit 4d4d31409fcf8677558711463193f5ebb073aed2
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Mon, 18 Sep 2023 15:13:34 +0000
Automated fixes by clang-tidy
ql/instruments/overnightindexedswap.cpp | 6 +++---
ql/instruments/overnightindexedswap.hpp | 4 ++--
2 files changed, 5 insertions(+), 5 deletions(-)
commit cd33939d56b6d5e1fa49a4be82c2ae487543beab
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 18 Sep 2023 11:37:52 +0000
Bump docker/login-action from 2 to 3
Bumps [docker/login-action](https://github.com/docker/login-action) from 2 to 3.
- [Release notes](https://github.com/docker/login-action/releases)
- [Commits](https://github.com/docker/login-action/compare/v2...v3)
---
updated-dependencies:
- dependency-name: docker/login-action
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/devenv-images.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 4e0942ab029a69d22d6fc8f57dffd6f91f4fbca2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 18 Sep 2023 16:02:09 +0200
Inherit OIS from fixed-vs-floating swap
ql/instruments/fixedvsfloatingswap.cpp | 15 +++-
ql/instruments/fixedvsfloatingswap.hpp | 4 +-
ql/instruments/overnightindexedswap.cpp | 134 +++++++++-----------------------
ql/instruments/overnightindexedswap.hpp | 53 +++----------
test-suite/overnightindexedswap.cpp | 4 +-
5 files changed, 64 insertions(+), 146 deletions(-)
commit 31252ee6f2c5f9a493a9a1d5f97d127a01956b1c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 18 Sep 2023 14:49:15 +0200
Add variable nominals to fixed-to-floating swap.
Existing vanilla-swap engines check for a constant nominal.
ql/instruments/fixedvsfloatingswap.cpp | 49 ++++++++++++++++++----
ql/instruments/fixedvsfloatingswap.hpp | 34 +++++++++++++--
ql/instruments/vanillaswap.cpp | 9 ++--
ql/models/shortrate/twofactormodels/g2.cpp | 5 ++-
ql/pricingengines/swap/cvaswapengine.cpp | 3 ++
ql/pricingengines/swap/discretizedswap.cpp | 3 ++
.../gaussian1djamshidianswaptionengine.cpp | 3 ++
.../swaption/gaussian1dswaptionengine.cpp | 3 ++
.../swaption/jamshidianswaptionengine.cpp | 3 ++
9 files changed, 94 insertions(+), 18 deletions(-)
commit d326db086a0e315172d1d10452bbd2ca06b70208
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 13 Sep 2023 10:06:58 +0200
Use new Boost version for Appveyor build
.appveyor/VS2022.props | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 5ac60fa3e79faf7c7239a4c797d480adca71f958
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 3 Sep 2023 02:54:46 +0000
Automated fixes by clang-tidy
test-suite/overnightindexedswap.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit efedbe7bd6bb608ff94130e7489b140880539aa3
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Sun, 3 Sep 2023 11:22:26 +0200
include time zero / evaluation date in option date interpolation
.../volatility/swaption/swaptionvoldiscrete.cpp | 38 +++++++++++++---------
.../volatility/swaption/swaptionvoldiscrete.hpp | 3 +-
2 files changed, 24 insertions(+), 17 deletions(-)
commit 5f64e2040b0281b71bbe6fc1d8d1714a62d82f33
Merge: c85fc7832 08a0acb44
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Aug 2023 21:00:52 +0200
An OIS needs different notionals for different schedules (#1777)
commit 08a0acb44a72fb0becdb90ee31938de5454b6a46
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Aug 2023 18:21:17 +0200
Add test
test-suite/overnightindexedswap.cpp | 133 ++++++++++++++++++++++++++++++++++++
test-suite/overnightindexedswap.hpp | 1 +
2 files changed, 134 insertions(+)
commit abc6aed4dfeddb72a30bdfe4f9f2cf620491b40a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Aug 2023 13:30:18 +0200
Pass different notionals for different schedules
ql/instruments/overnightindexedswap.cpp | 48 +++++++++++++++++++++++++++------
ql/instruments/overnightindexedswap.hpp | 25 ++++++++---------
2 files changed, 53 insertions(+), 20 deletions(-)
commit b9cd359d8c323668a9ad53563981b0fd7ccc7db9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Aug 2023 12:35:29 +0200
Don't attribute tests to base class
ql/instruments/fixedvsfloatingswap.hpp | 14 --------------
1 file changed, 14 deletions(-)
commit c85fc7832060fd38eea53a1e0b9be146f781c627
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 29 Aug 2023 10:57:24 +0200
Add missing test messages
test-suite/calendars.cpp | 2 ++
test-suite/dates.cpp | 2 ++
test-suite/daycounters.cpp | 13 ++++++-------
test-suite/fdheston.cpp | 6 ++++--
test-suite/hybridhestonhullwhiteprocess.cpp | 1 +
test-suite/observable.cpp | 1 +
test-suite/zabr.cpp | 1 +
7 files changed, 17 insertions(+), 9 deletions(-)
commit cbd1f073be59b95e38473b3676b128aa9732b4b2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 28 Aug 2023 12:45:07 +0200
Add action and dockerfile to build CI images
.github/workflows/devenv-images.yml | 42 +++++++++++++++++++++++++++++++++++++
dockerfiles/ci.Dockerfile | 24 +++++++++++++++++++++
2 files changed, 66 insertions(+)
commit 409005c885ba66cef41d71ca0db5bf4bc6f6a891
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 27 Aug 2023 01:46:51 +0000
Automated fixes by clang-tidy
ql/instruments/complexchooseroption.cpp | 5 +++--
ql/instruments/complexchooseroption.hpp | 2 +-
2 files changed, 4 insertions(+), 3 deletions(-)
commit 1f19d495bad888a8df8f9cd3a6b23a72606726f5
Merge: 51b2bffc9 fad2b0b81
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 25 Aug 2023 23:01:09 +0200
Move a few exotic options from experimental to core (#1774)
commit fad2b0b811f774d5012be981d62dc0d071bf032c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 25 Aug 2023 18:48:21 +0200
Move tests to correct section
test-suite/quantlibtestsuite.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 9946744d6cac9411c08e576e04487258e27be2cc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 25 Aug 2023 11:39:19 +0200
Move chooser options from experimental to core
QuantLib.vcxproj | 12 ++--
QuantLib.vcxproj.filters | 36 +++++++----
cmake/GenerateHeaders.cmake | 4 ++
ql/CMakeLists.txt | 12 ++--
ql/experimental/exoticoptions/Makefile.am | 10 +--
ql/experimental/exoticoptions/all.hpp | 4 --
.../exoticoptions/analyticcomplexchooserengine.hpp | 45 +------------
.../exoticoptions/analyticsimplechooserengine.hpp | 31 +--------
.../exoticoptions/complexchooseroption.hpp | 51 +--------------
.../exoticoptions/simplechooseroption.hpp | 49 +--------------
ql/instruments/Makefile.am | 4 ++
ql/instruments/all.hpp | 2 +
.../complexchooseroption.cpp | 8 +--
ql/instruments/complexchooseroption.hpp | 73 ++++++++++++++++++++++
.../simplechooseroption.cpp | 15 ++---
ql/instruments/simplechooseroption.hpp | 64 +++++++++++++++++++
ql/pricingengines/exotic/Makefile.am | 8 ++-
ql/pricingengines/exotic/all.hpp | 2 +
.../exotic}/analyticcomplexchooserengine.cpp | 44 +++++++------
.../exotic/analyticcomplexchooserengine.hpp | 62 ++++++++++++++++++
.../exotic}/analyticsimplechooserengine.cpp | 5 +-
.../exotic/analyticsimplechooserengine.hpp | 44 +++++++++++++
test-suite/chooseroption.cpp | 8 +--
23 files changed, 354 insertions(+), 239 deletions(-)
commit 5dfcdca0283b4d59d9dd82c784407dff46f30fdf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 24 Aug 2023 18:03:17 +0200
Move compound option from experimental to core
QuantLib.vcxproj | 6 +-
QuantLib.vcxproj.filters | 18 ++--
cmake/GenerateHeaders.cmake | 2 +
ql/CMakeLists.txt | 6 +-
ql/experimental/exoticoptions/Makefile.am | 6 +-
ql/experimental/exoticoptions/all.hpp | 2 -
.../exoticoptions/analyticcompoundoptionengine.hpp | 84 +----------------
ql/experimental/exoticoptions/compoundoption.hpp | 49 +---------
ql/instruments/Makefile.am | 2 +
ql/instruments/all.hpp | 1 +
.../compoundoption.cpp | 2 +-
ql/instruments/compoundoption.hpp | 66 ++++++++++++++
ql/pricingengines/exotic/Makefile.am | 2 +
ql/pricingengines/exotic/all.hpp | 1 +
.../exotic}/analyticcompoundoptionengine.cpp | 2 +-
.../exotic/analyticcompoundoptionengine.hpp | 101 +++++++++++++++++++++
test-suite/compoundoption.cpp | 4 +-
test-suite/quantlibtestsuite.cpp | 2 +-
18 files changed, 209 insertions(+), 147 deletions(-)
commit bd88e67f4e37eb1aa34fc5cf500b4a27eb76958f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 24 Aug 2023 16:19:26 +0200
Move Margrabe option from experimental to core
QuantLib.vcxproj | 10 ++-
QuantLib.vcxproj.filters | 33 +++++---
cmake/GenerateHeaders.cmake | 7 ++
configure.ac | 1 +
ql/CMakeLists.txt | 10 ++-
ql/experimental/exoticoptions/Makefile.am | 8 +-
ql/experimental/exoticoptions/all.hpp | 3 -
.../analyticamericanmargrabeengine.hpp | 39 +---------
.../analyticeuropeanmargrabeengine.hpp | 39 +---------
ql/experimental/exoticoptions/margrabeoption.hpp | 80 +------------------
ql/instruments/Makefile.am | 2 +
ql/instruments/all.hpp | 1 +
.../margrabeoption.cpp | 4 +-
ql/instruments/margrabeoption.hpp | 90 ++++++++++++++++++++++
ql/pricingengines/Makefile.am | 3 +-
ql/pricingengines/all.hpp | 1 +
ql/pricingengines/exotic/Makefile.am | 47 +++++++++++
ql/pricingengines/exotic/all.hpp | 6 ++
.../exotic}/analyticamericanmargrabeengine.cpp | 2 +-
.../exotic/analyticamericanmargrabeengine.hpp | 56 ++++++++++++++
.../exotic}/analyticeuropeanmargrabeengine.cpp | 2 +-
.../exotic/analyticeuropeanmargrabeengine.hpp | 56 ++++++++++++++
test-suite/margrabeoption.cpp | 6 +-
test-suite/quantlibtestsuite.cpp | 2 +-
24 files changed, 327 insertions(+), 181 deletions(-)
commit 51b2bffc953a1c3559b88714e0786a24b434c174
Merge: fa4f68cfd 8ee499420
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Aug 2023 22:35:26 +0200
fix calibration point algorithm (#1772)
commit fa4f68cfd04c0ff1c5280cd50de362f4470c75f6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Aug 2023 16:48:25 +0200
Add check on file Doxygen blocks
.github/workflows/doxygen.yml | 8 +++++
.../averageois/makearithmeticaverageois.hpp | 2 +-
ql/indexes/ibor/estr.hpp | 2 +-
ql/indexes/ibor/sonia.hpp | 4 +--
ql/instruments/inflationcapfloor.hpp | 6 ++--
tools/check_all_header_docs.sh | 8 +++++
tools/check_header_docs.py | 34 ++++++++++++++++++++++
7 files changed, 57 insertions(+), 7 deletions(-)
commit 4c9ccc333c50ed8cfe19aa5ad16321e0db4bb265
Merge: d4e39d8a1 87713cb19
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Aug 2023 10:28:51 +0200
Correct file-docstrings not matching file names (#1770)
commit 032a382c0f24cb28232fc2d79a177c5b47d51976
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Sat, 19 Aug 2023 19:45:14 +0200
Always create a new seed in the loop.
ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit a4724a87c8b1c548726275b2fe34d3e4e6042a7d
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Sat, 19 Aug 2023 19:29:34 +0200
Moved constructor to header and removed source file splitmix64.cpp
QuantLib.vcxproj | 1 -
QuantLib.vcxproj.filters | 3 ---
ql/CMakeLists.txt | 1 -
ql/math/randomnumbers/Makefile.am | 1 -
ql/math/randomnumbers/splitmix64.cpp | 25 -------------------------
ql/math/randomnumbers/splitmix64.hpp | 2 +-
6 files changed, 1 insertion(+), 32 deletions(-)
commit 8ee499420a0832cb2868afc6e884ab8afbf3f74f
Author: Peter Caspers <peter.caspers@acadia.inc>
Date: Sat, 19 Aug 2023 15:54:20 +0200
fix calibration point algorithm
.../shortrate/onefactormodels/markovfunctional.cpp | 29 +++++++---------------
1 file changed, 9 insertions(+), 20 deletions(-)
commit 87713cb19e8876cf4af7110af51d5efaaca77828
Author: Fredrik Gerdin Börjesson <fredrik.gerdin.borjesson@hotmail.com>
Date: Fri, 18 Aug 2023 12:42:38 +0200
Correct file-docstrings not matching file names
ql/cashflows/indexedcashflow.hpp | 2 +-
ql/cashflows/inflationcoupon.hpp | 2 +-
ql/experimental/asian/analytic_cont_geom_av_price_heston.hpp | 2 +-
ql/experimental/asian/analytic_discr_geom_av_price_heston.hpp | 4 ++--
ql/experimental/barrieroption/discretizeddoublebarrieroption.hpp | 4 ++--
ql/experimental/commodities/commoditytype.hpp | 2 +-
ql/experimental/commodities/paymentterm.hpp | 4 ++--
ql/experimental/commodities/unitofmeasureconversion.hpp | 4 ++--
ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp | 2 +-
.../finitedifferences/fdornsteinuhlenbeckvanillaengine.hpp | 4 ++--
ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp | 2 +-
ql/experimental/inflation/yoycapfloortermpricesurface.hpp | 2 +-
ql/instruments/makeyoyinflationcapfloor.hpp | 2 +-
ql/math/generallinearleastsquares.hpp | 2 +-
ql/math/interpolations/backwardflatlinearinterpolation.hpp | 2 +-
ql/math/interpolations/flatextrapolation2d.hpp | 2 +-
ql/methods/finitedifferences/operators/fdmg2op.hpp | 4 ++--
.../finitedifferences/utilities/squarerootprocessrndcalculator.hpp | 2 +-
ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp | 2 +-
ql/pricingengines/lookback/analyticcontinuouspartialfixedlookback.hpp | 2 +-
.../lookback/analyticcontinuouspartialfloatinglookback.hpp | 2 +-
ql/pricingengines/vanilla/hestonexpansionengine.hpp | 2 +-
ql/processes/coxingersollrossprocess.hpp | 2 +-
23 files changed, 29 insertions(+), 29 deletions(-)
commit c47b1cb4ea0b5cf79d348d23d3a781e327260438
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Thu, 17 Aug 2023 22:22:51 +0200
Added SplitMix64 to initialize xoshiro256**
QuantLib.vcxproj | 2 +
QuantLib.vcxproj.filters | 6 +++
ql/CMakeLists.txt | 2 +
ql/math/randomnumbers/Makefile.am | 2 +
ql/math/randomnumbers/all.hpp | 1 +
ql/math/randomnumbers/splitmix64.cpp | 25 ++++++++++
ql/math/randomnumbers/splitmix64.hpp | 57 ++++++++++++++++++++++
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 34 +++++--------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 16 ++----
test-suite/xoshiro256starstar.cpp | 36 +++++++++-----
10 files changed, 134 insertions(+), 47 deletions(-)
commit a4a4af7c26c5e19d895f0491a01893c9e089e5d0
Author: ralfeckel <ralf.eckel@smarttra.de>
Date: Thu, 17 Aug 2023 12:58:42 +0200
Corrected citation
ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +-
ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp | 4 ++--
2 files changed, 3 insertions(+), 3 deletions(-)
commit 1a1b69106fb9998c7e778e9133b3e2f06358047a
Author: ralfeckel <ralf.eckel@smarttra.de>
Date: Thu, 17 Aug 2023 12:53:28 +0200
Added comment about the warm up in the constructor
ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 4 +++-
ql/math/randomnumbers/xoshiro256starstaruniformrng.hpp | 9 ++++++++-
2 files changed, 11 insertions(+), 2 deletions(-)
commit 32181a1bc8d9ac1807035249fe00b9a4ab4ae0cd
Author: ralfeckel <ralf.eckel@smarttra.de>
Date: Thu, 17 Aug 2023 12:26:20 +0200
Inline xoshiro256starstar.c
test-suite/xoshiro256starstar.c | 104 ---------------------------------
test-suite/xoshiro256starstar.cpp | 120 ++++++++++++++++++++++++++++++++++++--
2 files changed, 114 insertions(+), 110 deletions(-)
commit 490dfab6ceac605e5c00aa00fef19d9e283732a7
Author: ralfeckel <ralf.eckel@smarttra.de>
Date: Thu, 17 Aug 2023 10:57:27 +0200
Use uint64_t instead of unsigned long long
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 24 ++++++++-------------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 25 ++++++++--------------
test-suite/xoshiro256starstar.cpp | 8 +++----
3 files changed, 22 insertions(+), 35 deletions(-)
commit 627bd758bd179fa0316bcb6940bcb8d4663c74ea
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Wed, 16 Aug 2023 20:51:31 +0200
Added copyright note for reference impl and brief documentation
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 35 ++++++++++++++++++++--
1 file changed, 32 insertions(+), 3 deletions(-)
commit 9c6796cba93cf2d68f506aec0a91c3a17db28dab
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Wed, 16 Aug 2023 00:01:57 +0200
Fixed infinite loop for seed==0
ql/math/randomnumbers/xoshiro256starstaruniformrng.cpp | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 29d0dfe93359880f3c8ffcb000c8ab8e6ae87d47
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 23:22:39 +0200
Using s0_, s1_, s2_, s3_ instead of s_[4] as it is faster
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 20 ++++++++++----------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 18 +++++++++---------
2 files changed, 19 insertions(+), 19 deletions(-)
commit 83c7f1aef91b22d1ec037af92827a890b72fe47f
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 22:25:28 +0200
Re-enable all workflows
.github/boring-cyborg.yml | 13 +++++++++++++
.github/dependabot.yml | 8 ++++++++
2 files changed, 21 insertions(+)
commit a3778d6269cedc46b504307328354b6b67df8d0c
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 15 Aug 2023 22:21:09 +0200
Update copyright list in license (#92)
Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
LICENSE.TXT | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 1931da212fce86eb178fb054997dd8b363dfc6db
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 21:55:06 +0200
Added testAbsenceOfInteractionBetweenInstances()
test-suite/xoshiro256starstar.cpp | 33 +++++++++++++++++++++++++++++++++
test-suite/xoshiro256starstar.hpp | 1 +
2 files changed, 34 insertions(+)
commit bcd22b10c2aea0f8c9fe9dbb59265474fa3332ee
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 21:32:11 +0200
Renamed test class from Xoshiro256StarStarUniformRngTest to Xoshiro256StarStarTest
test-suite/quantlibtestsuite.cpp | 2 +-
test-suite/xoshiro256starstar.cpp | 25 ++++++++++++-------------
test-suite/xoshiro256starstar.hpp | 2 +-
3 files changed, 14 insertions(+), 15 deletions(-)
commit b1e9f923e9a96a94155fd8932bec58a7d9ab4954
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 21:20:14 +0200
Renamed xoshiro256starstaruniformrng test files to xoshiro256starstar
test-suite/CMakeLists.txt | 4 ++--
test-suite/Makefile.am | 4 ++--
test-suite/quantlibtestsuite.cpp | 2 +-
test-suite/testsuite.vcxproj | 4 ++--
test-suite/testsuite.vcxproj.filters | 4 ++--
.../{xoshiro256starstaruniformrng.cpp => xoshiro256starstar.cpp} | 2 +-
.../{xoshiro256starstaruniformrng.hpp => xoshiro256starstar.hpp} | 6 +++---
7 files changed, 13 insertions(+), 13 deletions(-)
commit ff4799af79509a1b6e985f6a8975a47c8364140f
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 20:41:03 +0200
Refactor s[4] to s_[4]
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 20 ++++++++++----------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 18 +++++++++---------
2 files changed, 19 insertions(+), 19 deletions(-)
commit c78a45e600340ead59f3c7a3c7f6ccd5921cecb9
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:30:19 +0200
Update generated headers (#89)
Co-authored-by: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
ql/math/randomnumbers/all.hpp | 1 +
1 file changed, 1 insertion(+)
commit 1f331832d381f4d3c87d2f5692bbf8f53d0a0b38
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:25:53 +0200
Added xoshiro256starstaruniformrng to VS files
QuantLib.vcxproj | 2 ++
QuantLib.vcxproj.filters | 6 ++++++
test-suite/testsuite.vcxproj | 2 ++
test-suite/testsuite.vcxproj.filters | 6 ++++++
4 files changed, 16 insertions(+)
commit 83c2e85aa070cdddcd911f9996bd77acad3f0a9d
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:13:58 +0200
Added xoshiro256starstaruniformrng to make files
ql/math/randomnumbers/Makefile.am | 6 ++++--
ql/math/randomnumbers/all.hpp | 2 +-
test-suite/Makefile.am | 2 ++
3 files changed, 7 insertions(+), 3 deletions(-)
commit 390141387236535d5c5e4135af82fc7d71acd129
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:07:44 +0200
Re-enable all workflows
.github/workflows/cmake.yml | 6 +-
.github/workflows/codeql-analysis.yml | 51 +++++++
.github/workflows/copyrights.yml | 21 +++
.github/workflows/coveralls.yml | 40 ++++++
.github/workflows/doxygen.yml | 21 +++
.github/workflows/filelists.yml | 18 +++
.github/workflows/generated-headers.yml | 31 +++++
.github/workflows/headers.yml | 24 ++++
.github/workflows/linux-full-tests.yml | 221 ++++++++++++++++++++++++++++++
.github/workflows/linux-nondefault.yml | 172 +++++++++++++++++++++++
.github/workflows/linux.yml | 234 ++++++++++++++++++++++++++++++++
.github/workflows/macos-nondefault.yml | 49 +++++++
.github/workflows/macos.yml | 42 ++++++
.github/workflows/misspell.yml | 19 +++
.github/workflows/msvc-analysis.yml | 53 ++++++++
.github/workflows/sanitizer.yml | 44 ++++++
.github/workflows/stale.yml | 22 +++
.github/workflows/test-times.yml | 41 ++++++
.github/workflows/tidy.yml | 32 +++++
19 files changed, 1138 insertions(+), 3 deletions(-)
commit 3468125a0d62cc0b166888e8570df27bed8d621d
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Tue, 15 Aug 2023 17:03:17 +0200
Suppress warnings from xoshiro256starstar.c implementation
test-suite/xoshiro256starstaruniformrng.cpp | 18 ++++++++++++++++++
1 file changed, 18 insertions(+)
commit e9713616e7b13ee312b7aa7eb0df66222e05ae54
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Mon, 14 Aug 2023 15:45:48 +0200
Testing Xoshiro256StarStarUniformRng::nextInt64() against reference implementation in C
test-suite/xoshiro256starstar.c | 104 ++++++++++++++++++++++++++++
test-suite/xoshiro256starstaruniformrng.cpp | 43 +++++++++++-
test-suite/xoshiro256starstaruniformrng.hpp | 1 +
3 files changed, 146 insertions(+), 2 deletions(-)
commit db3f6892741683e21ad558f9faea157b2e404edc
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Sun, 13 Aug 2023 15:22:49 +0200
Use (1.0 / (1ULL << 53) instead of 1.1102230246251565E-16 plus smaller enhancements
.../randomnumbers/xoshiro256starstaruniformrng.cpp | 25 +++++++++++-----------
.../randomnumbers/xoshiro256starstaruniformrng.hpp | 12 +++++------
test-suite/xoshiro256starstaruniformrng.cpp | 9 ++++----
3 files changed, 23 insertions(+), 23 deletions(-)
commit d4e39d8a11a94b02af11f8511324398f8c6dabca
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Sun, 13 Aug 2023 02:27:08 +0000
Automated fixes by clang-tidy
ql/instruments/simplifynotificationgraph.hpp | 6 +++---
test-suite/quantlibbenchmark.cpp | 6 +++---
2 files changed, 6 insertions(+), 6 deletions(-)
commit abecc87dc7464966964ac11952ced633dac19bc1
Author: Ralf Konrad <42419984+ralfkonrad@users.noreply.github.com>
Date: Sun, 13 Aug 2023 14:22:52 +0200
Renamed Xoshiro256StarStarRng to Xoshiro256StarStarUniformRng
ql/CMakeLists.txt | 4 ++--
...tarrng.cpp => xoshiro256starstaruniformrng.cpp} | 22 +++++++++++-----------
...tarrng.hpp => xoshiro256starstaruniformrng.hpp} | 12 ++++++------
test-suite/CMakeLists.txt | 4 ++--
test-suite/quantlibtestsuite.cpp | 4 ++--
...tarrng.cpp => xoshiro256starstaruniformrng.cpp} | 14 +++++++-------
...tarrng.hpp => xoshiro256starstaruniformrng.hpp} | 8 ++++----
7 files changed, 34 insertions(+), 34 deletions(-)
commit 7db39008200b06dd4c6b4ae8d1c85c39947c09f4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 12 Aug 2023 16:04:20 +0200
Upgrade Boost in some CI builds
.github/workflows/cmake.yml | 6 +++---
.github/workflows/msvc-analysis.yml | 10 +++++-----
2 files changed, 8 insertions(+), 8 deletions(-)
commit 44a0c90c75a84b8b74427d71e8a2415da3c98cb2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>