forked from lballabio/QuantLib-SWIG
-
Notifications
You must be signed in to change notification settings - Fork 1
/
ChangeLog.txt
1194 lines (837 loc) · 35.8 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 c5fc26f54e45aedd20b8234f83e101e8a70c374c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 14 Oct 2020 16:46:23 +0200
Update changelog and news.
ChangeLog.txt | 1404 +++++++++++++++++++++++++++++++++++++--------------------
News.md | 49 +-
2 files changed, 943 insertions(+), 510 deletions(-)
commit 2a04ee0218c6e53b19b3bea91cd797d4f63f1530
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 14 Oct 2020 13:26:05 +0200
Set version to 1.20 rc
Python/setup.py | 2 +-
configure.ac | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 57d8d96c2b465f04379ce975a55c7e0989627858
Merge: 7fc0362 8f53118
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 14 Oct 2020 09:01:35 +0200
Merge pull request #324.
Exposing FDHeston double barrier engine mixingFactor to SWIG
commit 8f53118585e22380bb75818d20fe3a7e0340b2ed
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Wed, 14 Oct 2020 08:09:01 +0800
Exposing FDHeston double barrier engine mixingFactor to SWIG
SWIG/options.i | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 7fc03620dd55c626ac5cc23172ee9e44f6911e12
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 13 Oct 2020 23:37:39 +0200
Sync C# project.
CSharp/csharp/NQuantLib.csproj | 49 ++++++++++++++++++++++++++++++++++++------
1 file changed, 42 insertions(+), 7 deletions(-)
commit c5450b1aa1ca1b54563b032286e03770a8aa738b
Merge: b7b41b0 e149533
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 13 Oct 2020 22:43:06 +0200
Merge pull request #323.
Allow usage of std::tuple
commit b7b41b06d53997ab643b34f17f2cf6502cd0a65d
Merge: 553252d 1e07312
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 13 Oct 2020 21:10:03 +0200
Merge pull request #322.
Return overnight index from OvernightIndex::clone.
commit 553252d8b2bc9f6cfda1c87afdd8def0128f9af1
Merge: a438cfe 662f086
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 13 Oct 2020 21:09:29 +0200
Merge pull request #321.
Exposing FDHeston barrier engine mixingFactor to SWIG
commit a438cfeb7d219245f722c19653cbec0a058cf77e
Merge: a2f3eae 5febcee
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 13 Oct 2020 16:29:54 +0200
Merge pull request #304.
Inflation cap floor
commit 1e07312671ef95c256f4e21d25afbc5f4ec95d76
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 13 Oct 2020 16:05:28 +0200
Return overnight index from QvernightIndex::clone.
SWIG/indexes.i | 8 ++++++--
1 file changed, 6 insertions(+), 2 deletions(-)
commit e149533d9e9ec68290b3720650a62493438e81d6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 13 Oct 2020 15:02:48 +0200
Remove unneeded stubs
SWIG/tuple.i | 10 ----------
1 file changed, 10 deletions(-)
commit 5febcee11c4076353b28258892744a845cd65feb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Oct 2020 17:48:30 +0200
Small interface changes.
SWIG/inflation.i | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 662f086f9de3c1a597768d8dc7c4555907575735
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Mon, 12 Oct 2020 21:56:09 +0800
Exposing FDHeston barrier engine mixingFactor to SWIG
SWIG/options.i | 6 ++++--
1 file changed, 4 insertions(+), 2 deletions(-)
commit a2f3eae983dd51464d20d85e5004b634d9281341
Merge: 2983709 994eab1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Oct 2020 15:05:05 +0200
Merge pull request #320.
Exposing NoExceptLocalVolSurface to SWIG
commit 29837094e5a095b14f09e787eebc327de976e4c0
Merge: 1a02398 43d6a41
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 12 Oct 2020 15:04:39 +0200
Merge pull request #319.
Exposing HestonSLVProcess's mixingFactor to SWIG
commit 994eab11768bb0a264401db1300fccf3e7b1275e
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Sun, 11 Oct 2020 10:27:17 +0800
Exposing NoExceptLocalVolSurface to SWIG
SWIG/volatilities.i | 23 +++++++++++++++++++++++
1 file changed, 23 insertions(+)
commit 1a02398d611d282613398d14da52e586eb59e981
Merge: 932c27c 12ff309
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 5 Oct 2020 14:57:14 +0200
Merge pull request #318.
Exposing QL's mixingFactor to SWIG
commit 932c27c65a39cdba040f16b587a7b0bbbda04474
Merge: 1d275f5 1d4d2e7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 5 Oct 2020 14:52:23 +0200
Merge pull request #316.
added Crank-Nicolson scheme and latest CV for Heston model
commit 43d6a41cbe7eec2f56b9542aaebb7033c7a26ae3
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Sat, 3 Oct 2020 23:08:26 +0800
Update slv.i
Exposing QuantLib's mixingFactor to SWIG HestonSLVProcess
SWIG/slv.i | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 12ff309522a952a2e8171d0fb93ca4e4a14ac490
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Sat, 3 Oct 2020 22:13:03 +0800
Exposing QL's mixingFactor to SWIG for two Heston SLV models and a vanilla pricing engine
SWIG/options.i | 11 +++++++----
SWIG/slv.i | 10 ++++++----
2 files changed, 13 insertions(+), 8 deletions(-)
commit 1d275f5ef4c687610ccb99d0b344a373f882c8ac
Merge: 3c59e27 a7c183e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 2 Oct 2020 22:01:24 +0200
Merge pull request #293.
First pass at using std pointers
commit a7c183e0ea14ba92a16935b1169bc148b0116ab7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 2 Oct 2020 19:18:32 +0200
Remove obsolete dynamic casts.
SWIG/bondfunctions.i | 415 ++++++++++++++-------------------------------------
SWIG/bonds.i | 4 +-
SWIG/cashflows.i | 32 ++--
SWIG/options.i | 12 +-
4 files changed, 130 insertions(+), 333 deletions(-)
commit 8bb1b46b8a5e95932cae6bbc91a6e8546e5442da
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 2 Oct 2020 18:38:28 +0200
Move tuple to separate file.
SWIG/fdm.i | 3 +-
SWIG/ql.i | 1 +
SWIG/tuple.i | 84 +++++++++++++++++++++++++++++++++++++++++++++++++++++
SWIG/vectors.i | 58 ------------------------------------
SWIG/volatilities.i | 1 +
5 files changed, 87 insertions(+), 60 deletions(-)
commit b4f20b9fa8cfb98224678fe2ffdf8bb8f6bc9948
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 2 Oct 2020 18:09:06 +0200
Shorten declarations.
SWIG/basketoptions.i | 36 ++---
SWIG/blackformula.i | 8 +-
SWIG/bondfunctions.i | 144 +++++++++---------
SWIG/bonds.i | 44 +++---
SWIG/calibrationhelpers.i | 36 ++---
SWIG/callability.i | 4 +-
SWIG/capfloor.i | 6 +-
SWIG/cashflows.i | 116 +++++++--------
SWIG/common.i | 21 +--
SWIG/convertiblebonds.i | 22 +--
SWIG/creditdefaultswap.i | 12 +-
SWIG/defaultprobability.i | 12 +-
SWIG/dividends.i | 4 +-
SWIG/fdm.i | 354 ++++++++++++++++++++++-----------------------
SWIG/fittedbondcurve.i | 14 +-
SWIG/forward.i | 2 +-
SWIG/fra.i | 2 +-
SWIG/gaussian1dmodel.i | 40 ++---
SWIG/indexes.i | 38 ++---
SWIG/inflation.i | 64 ++++----
SWIG/instruments.i | 14 +-
SWIG/interpolation.i | 16 +-
SWIG/marketelements.i | 6 +-
SWIG/montecarlo.i | 6 +-
SWIG/observer.i | 8 +-
SWIG/old_volatility.i | 6 +-
SWIG/options.i | 282 ++++++++++++++++++------------------
SWIG/payoffs.i | 6 +-
SWIG/piecewiseyieldcurve.i | 20 +--
SWIG/ratehelpers.i | 68 ++++-----
SWIG/shortratemodels.i | 22 +--
SWIG/slv.i | 26 ++--
SWIG/stochasticprocess.i | 24 +--
SWIG/swap.i | 50 +++----
SWIG/swaption.i | 38 ++---
SWIG/vectors.i | 16 +-
SWIG/volatilities.i | 108 +++++++-------
37 files changed, 848 insertions(+), 847 deletions(-)
commit 1d4d2e7ed79c470b0d85fae62c3d694b20409b05
Author: klausspanderen <klaus@spanderen.de>
Date: Thu, 24 Sep 2020 14:03:54 +0200
formatting
SWIG/options.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 567fc962f96f601ec1e986c4017dbf26b40e378e
Author: klausspanderen <klaus@spanderen.de>
Date: Thu, 24 Sep 2020 14:00:39 +0200
added Crank-Nicolson scheme and latest CV for Heston model
SWIG/options.i | 10 +++++++---
1 file changed, 7 insertions(+), 3 deletions(-)
commit 9c7bbecff898c9d9a3df14359fc0d6b32eab1194
Author: Joseph C Wang <joequant@gmail.com>
Date: Sun, 20 Sep 2020 20:57:10 +0800
modify swig to use QuantLib::ext to allow std::classes
SWIG/basketoptions.i | 36 ++---
SWIG/blackformula.i | 8 +-
SWIG/bondfunctions.i | 144 +++++++++---------
SWIG/bonds.i | 44 +++---
SWIG/calibrationhelpers.i | 36 ++---
SWIG/callability.i | 4 +-
SWIG/capfloor.i | 6 +-
SWIG/cashflows.i | 116 +++++++--------
SWIG/common.i | 18 ++-
SWIG/convertiblebonds.i | 22 +--
SWIG/creditdefaultswap.i | 12 +-
SWIG/defaultprobability.i | 12 +-
SWIG/dividends.i | 4 +-
SWIG/fdm.i | 354 ++++++++++++++++++++++-----------------------
SWIG/fittedbondcurve.i | 13 +-
SWIG/forward.i | 182 +++++++++++------------
SWIG/fra.i | 2 +-
SWIG/gaussian1dmodel.i | 40 ++---
SWIG/indexes.i | 38 ++---
SWIG/inflation.i | 64 ++++----
SWIG/instruments.i | 14 +-
SWIG/interpolation.i | 16 +-
SWIG/marketelements.i | 6 +-
SWIG/montecarlo.i | 6 +-
SWIG/observer.i | 8 +-
SWIG/old_volatility.i | 6 +-
SWIG/options.i | 282 ++++++++++++++++++------------------
SWIG/payoffs.i | 6 +-
SWIG/piecewiseyieldcurve.i | 20 +--
SWIG/ratehelpers.i | 68 ++++-----
SWIG/shortratemodels.i | 22 +--
SWIG/slv.i | 26 ++--
SWIG/stochasticprocess.i | 24 +--
SWIG/swap.i | 50 +++----
SWIG/swaption.i | 38 ++---
SWIG/vectors.i | 22 ++-
SWIG/volatilities.i | 112 +++++++-------
37 files changed, 946 insertions(+), 935 deletions(-)
commit 3c59e270f7837636999708f18543f6ff97838e34
Merge: b958f16 8060a88
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 17 Sep 2020 09:15:01 +0200
Merge pull request #315.
Fix default value for amortizing-bond coupon spreads.
commit 8060a8884a02acf14dca33fd2e93274d2561c181
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 16 Sep 2020 15:23:39 +0200
Fix default value for amortizing-bond coupon spreads.
SWIG/bonds.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit b958f16dcf4567e6a401b74c856525297c8b03e2
Merge: 31f94ce 90085f6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 16 Sep 2020 13:12:41 +0200
Merge pull request #314.
Inflation unit tests
commit 90085f678ef6e7c480bf1e978aac768ad90b133c
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 16 Sep 2020 09:09:55 +0200
Fixed the failing unit tests.
Python/test/inflation.py | 4 +++-
1 file changed, 3 insertions(+), 1 deletion(-)
commit f1cfd628b223bfb202af59a7af205664227f30ba
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 18:21:06 +0200
Corrected a typo in the comment.
Python/test/inflation.py | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit bddc391a7711ece5efd75cb2baf087cab6d16c68
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 11:21:39 +0200
Removed start date from error messages.
Python/test/inflation.py | 13 +------------
1 file changed, 1 insertion(+), 12 deletions(-)
commit 022a5a0202a4df1ddea5c7620d232fb255808d2e
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 10:24:37 +0200
Remove unnecessary spaces.
Python/test/inflation.py | 4 ----
1 file changed, 4 deletions(-)
commit 44169cf1a2a7944f54109c66f5ca3a7c4e92db69
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 10:18:59 +0200
Remove unused import which would break Python2
Python/test/inflation.py | 2 --
1 file changed, 2 deletions(-)
commit 39bf53421d062393e3ed79593f95ca5b526010d0
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 10:15:11 +0200
Remove unnecessary spaces.
Python/test/inflation.py | 5 -----
1 file changed, 5 deletions(-)
commit 2c8df89dcb138e9f4403ae78aabe19fef621c43c
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 10:11:24 +0200
Some more renamings.
Python/test/inflation.py | 44 ++++++++++++++++++++++----------------------
1 file changed, 22 insertions(+), 22 deletions(-)
commit edc705aee12936482a5510f0d4bfde373d352d45
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 09:44:04 +0200
Renamed a number of variables.
Python/test/inflation.py | 13 +++++++------
1 file changed, 7 insertions(+), 6 deletions(-)
commit 2be0044fa04f9835693d66053405ec4fff8b8ba5
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 09:41:31 +0200
Remove unnecessary comment.
Python/test/inflation.py | 2 --
1 file changed, 2 deletions(-)
commit 19ffef87a39c534c3cf85cdb6af8376aeeb6609a
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 09:40:56 +0200
Remove unnecessary comment.
Python/test/inflation.py | 7 +++----
1 file changed, 3 insertions(+), 4 deletions(-)
commit 53212b8d3fe39f8b4cb37d8303df729da3511295
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 09:39:30 +0200
Reordered tests..
Python/test/inflation.py | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit c3a8109d63bbe974b14eb13459acfa63d21a1941
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 09:37:07 +0200
Corrected some typos.
Python/test/inflation.py | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit 100fd9196df92bb08f5a3740dc81dabcf4aa4460
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 11 Sep 2020 09:35:03 +0200
Minor corrections.
Python/test/inflation.py | 7 +++----
1 file changed, 3 insertions(+), 4 deletions(-)
commit bdee97a95349a672617acbbf7eb7d8cce20090a4
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 10 Sep 2020 21:40:04 +0200
Minor renamings.
Python/test/inflation.py | 36 +++++++++++++++++-------------------
1 file changed, 17 insertions(+), 19 deletions(-)
commit c9ae440d5d79d8a0e7575425048bfb415ed72142
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 10 Sep 2020 21:37:52 +0200
Adjusted setting the valuation date.
Python/test/inflation.py | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit bcff6b0cf24ee51614c4933e24ebc93bbfbae5b9
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 10 Sep 2020 21:35:59 +0200
Added data source.
Python/test/inflation.py | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit d94a4c601a2aaa4171d3932f575d637727d5ee1d
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 10 Sep 2020 20:50:32 +0200
Adjusted convention to snake case.
Python/test/volatilities.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit ac7d79ac229045e9dd249659c42348ceadda7c7f
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 10 Sep 2020 20:49:21 +0200
Reorganized unit tests.
Python/test/inflation.py | 147 ++++++++++++++++++++++++++++-------------------
1 file changed, 87 insertions(+), 60 deletions(-)
commit 6c9a8aef4a2b852e2ee283f85ec1e4fd84d0b4e7
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 10 Sep 2020 20:01:43 +0200
Added more descriptive fail messages.
Python/test/inflation.py | 179 +++++++++++++++++++++++++++++++++++++++--------
1 file changed, 148 insertions(+), 31 deletions(-)
commit 7ee37898f89bdd3ffb39635ea6b5af9c879ed41f
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 10 Sep 2020 18:29:34 +0200
Removed Python3 specific syntax.
Python/test/inflation.py | 58 ++++++++++++++++++++++++------------------------
1 file changed, 29 insertions(+), 29 deletions(-)
commit 0252b722cb3a8ac0b248f4fcfe0c39453dcf0f8b
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 10 Sep 2020 18:26:49 +0200
Python unit tests for inflation.
Python/test/inflation.py | 350 ++++++++++++++++++-----------------------------
1 file changed, 132 insertions(+), 218 deletions(-)
commit 31f94ce3a5d94b493d0d10e6024ed7303d0807a4
Merge: 4f748ca 73b96e5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Sep 2020 16:05:49 +0200
Merge pull request #312.
Reset evaluation date after tests.
commit 4f748ca62b15c8773ea453bbe118d8b7390174ee
Merge: 823fd78 99c1224
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Sep 2020 16:04:25 +0200
Merge pull request #311.
Don't rename exported American-option engines.
commit 823fd785ad265080bc9dfd4b8566dfc56852e626
Merge: d3b9bd8 a9974d7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Sep 2020 11:55:30 +0200
Merge pull request #310.
Export new day counters.
commit 99c1224fd8fbdb4fc1243ad7336337d081923679
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Sep 2020 10:42:29 +0200
Don't rename exported American-option engines.
CSharp/csharp/NQuantLib.csproj | 4 ++--
CSharp/examples/EquityOption.cs | 4 ++--
Java/examples/EquityOptions.java | 8 ++++----
Python/examples/american-option.py | 4 ++--
SWIG/options.i | 4 ++--
Scala/examples/EquityOptions.scala | 4 ++--
6 files changed, 14 insertions(+), 14 deletions(-)
commit 73b96e567c91b192dcd3792102f251e202e0b370
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Sep 2020 11:08:53 +0200
Reset evaluation date after tests.
Python/test/americanquantooption.py | 2 +-
Python/test/assetswap.py | 3 +++
Python/test/blackformula.py | 3 +++
Python/test/bonds.py | 4 ++--
Python/test/capfloor.py | 3 +++
Python/test/cms.py | 3 +++
Python/test/fdm.py | 2 +-
Python/test/gjrgarch.py | 6 ++++++
Python/test/ratehelpers.py | 12 ++++++------
Python/test/slv.py | 2 +-
Python/test/swaption.py | 5 ++++-
Python/test/volatilities.py | 5 ++++-
12 files changed, 37 insertions(+), 13 deletions(-)
commit d3b9bd892e429bde78fb0e161b3b06df65ea6fe6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Sep 2020 11:31:07 +0200
Pin requirement for Python 2.7 build
.travis/python2.build | 1 +
1 file changed, 1 insertion(+)
commit 4a3a82de5a4f420f526a710510842ffc247820f1
Merge: a50c83c 55134ff
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 8 Sep 2020 22:25:54 +0200
Merge pull request #307.
Swaption volatility cube
commit a50c83cac00de0f686d75516c644c7f349b61708
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Tue, 8 Sep 2020 14:02:32 +0000
Update copyright list in license
LICENSE.TXT | 1 +
1 file changed, 1 insertion(+)
commit 5418848909518b348078db73df0d1dc1b9fe375a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 8 Sep 2020 16:01:44 +0200
Don't attribute to a human commits made by bots.
.github/workflows/copyrights.yml | 1 -
.github/workflows/misspell.yml | 1 -
2 files changed, 2 deletions(-)
commit a9974d77433fde980d39a4ba5541880a8ccfc120
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 8 Sep 2020 15:34:25 +0200
Export new day counters.
SWIG/daycounters.i | 9 ++-------
1 file changed, 2 insertions(+), 7 deletions(-)
commit 14a0d971e112ebf061e9a95ce70d84ffce2b8ee2
Merge: c2ba4d4 10377a4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 8 Sep 2020 15:30:24 +0200
Merge pull request #306.
Swaption delta and annuity
commit bcbf3040cfe6c1f6ae2e92c9ad58696387cb0e81
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 20:27:56 +0200
Removed trailing whitespace.
Python/test/volatilities.py | 9 +++------
1 file changed, 3 insertions(+), 6 deletions(-)
commit ede0c1aea4e4cb4119d2f6bb701ab032294883fd
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 15:25:47 +0200
Swaption volatility unit tests in Python.
Python/test/volatilities.py | 32 ++++++++++++++++++--------------
1 file changed, 18 insertions(+), 14 deletions(-)
commit 13bf3c1aeaceee38eb9953f928d5d5c12dc6cdbd
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 15:13:21 +0200
Swaption volatility unit tests in Python.
Python/test/QuantLibTestSuite.py | 52 ++++++++++++++++++++--------------------
1 file changed, 26 insertions(+), 26 deletions(-)
commit 82bedc4eade4e54acd3742ddc1a5b200ec485336
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 15:12:56 +0200
Swaption volatility unit tests in Python.
Python/test/QuantLibTestSuite.py | 52 +++++++--------
Python/test/volatilities.py | 132 ++++++++++++++++++++++++++++++++++-----
2 files changed, 142 insertions(+), 42 deletions(-)
commit 731d59a72fdac15b2447b315d459ab82a9a566a2
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 14:27:19 +0200
Swaption volatility unit tests in Python.
Python/test/volatilities.py | 24 ++++++++++++------------
1 file changed, 12 insertions(+), 12 deletions(-)
commit f46306a7488a7a4d0ea091eb2cf18937b93eaf79
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 14:19:46 +0200
Swaption volatility unit tests in Python.
Python/test/volatilities.py | 3 +--
1 file changed, 1 insertion(+), 2 deletions(-)
commit b82410715920e7cd533a657c292f1b15a8c24af4
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 14:18:50 +0200
Swaption volatility unit tests in Python.
Python/test/QuantLibTestSuite.py | 52 +++++++++++++++++------------------
Python/test/volatilities.py | 59 ++++++++++++++++++++++------------------
2 files changed, 58 insertions(+), 53 deletions(-)
commit fa0a8292f80a86a246973ff9bf6c6d7a98398be1
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 13:24:50 +0200
Swaption volatility unit tests in Python.
Python/test/volatilities.py | 102 +++++++++++++++++++++++++++++++++++++++++---
1 file changed, 96 insertions(+), 6 deletions(-)
commit 4ed7244c0e2953084f9e2a558431525105cd90e2
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 13:08:05 +0200
Swaption volatility unit tests in Python.
Python/test/QuantLibTestSuite.py | 52 ++++++++++++++++++++--------------------
Python/test/volatilities.py | 52 ++++++++++++++++++++++++++++++++++++++++
2 files changed, 78 insertions(+), 26 deletions(-)
commit bf6cab397e788acce34d0686f7d64aa685f0763b
Author: Marcin <mrybacki12@gmail.com>
Date: Sun, 6 Sep 2020 12:15:40 +0200
Swaption volatility unit tests in Python.
Python/test/QuantLibTestSuite.py | 2 +
Python/test/volatilities.py | 160 ++++++++++++++++++++++++++++++++++++---
2 files changed, 152 insertions(+), 10 deletions(-)
commit 20e6102d55f3b4cc966730aab8f73bd3940c0856
Author: Marcin <mrybacki12@gmail.com>
Date: Sat, 5 Sep 2020 22:33:14 +0200
Swaption vol unit tests in Python.
Python/test/volatilities.py | 18 ++++++++++++++++++
1 file changed, 18 insertions(+)
commit 1399e6b83371bb386400253630771c322176d2bf
Author: Marcin <mrybacki12@gmail.com>
Date: Sat, 5 Sep 2020 16:50:31 +0200
Updated as indexed cash flow cast call.
Python/test/inflation.py | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit 10377a46a705cd68103bda25c5ab3ba99b999110
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 4 Sep 2020 14:00:26 +0200
Adjusted string literals to comply with Python2.
Python/test/swaption.py | 46 +++++++++++++++++++++++++++++++---------------
1 file changed, 31 insertions(+), 15 deletions(-)
commit 17508f6b9f4df40c9c92cf2142d395151e4414e8
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 4 Sep 2020 13:08:52 +0200
Remove function annotations to fix Python2 build.
Python/test/swaption.py | 18 ++++++++----------
1 file changed, 8 insertions(+), 10 deletions(-)
commit b2590dc9b154c9b2ed76fe4ff227736cbe2a65b1
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 4 Sep 2020 12:45:09 +0200
Swaption volatility cube unit test in Python.
Python/test/volatilities.py | 121 ++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 121 insertions(+)
commit 1ebe5cfddda7800cbf5724bc30db98ab6c0ad109
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 4 Sep 2020 09:40:22 +0200
Exposed swaption volatility cube.
SWIG/volatilities.i | 15 ++++++++++++---
1 file changed, 12 insertions(+), 3 deletions(-)
commit 50f53bddc36ee2a5b3b40112b2c46ff2b3c2996c
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Sep 2020 19:05:30 +0200
Updated swaption delta test condition.
Python/test/swaption.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 931ef485efd0f9aabc7408e59e91f728df7448d8
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 27 Aug 2020 20:14:25 +0200
Updated copyright information.
Python/test/inflation.py | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 8ddbed5f5ab1d8378a5230dfa5a8ae37db06d991
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 27 Aug 2020 20:12:27 +0200
Updated copyright information.
Python/test/swaption.py | 2 +-
SWIG/swaption.i | 1 +
2 files changed, 2 insertions(+), 1 deletion(-)
commit 96f2e5f0a0931f3f9c73de6af9d122a8127b780c
Author: Matthias Lungwitz <lungwitz@gmail.com>
Date: Sat, 15 Aug 2020 23:14:48 +0200
Pair of DoubleVectors.
SWIG/vectors.i | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 9e2e2a87407f906efbd515b654f3ee5a85358e41
Author: Matthias Lungwitz <lungwitz@gmail.com>
Date: Sat, 15 Aug 2020 22:58:46 +0200
InterpolatedYoYInflationOptionletVolatilityCurve
SWIG/inflation.i | 24 ++++++++++++++++++++++++
1 file changed, 24 insertions(+)
commit c2ba4d4d337897710ef9a10f7483a2c0fbf79089
Merge: de614a4 6521b94
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 15 Aug 2020 22:25:13 +0200
Merge pull request #303.
Export a few inflation-related classes.
commit bb7f2ebc6ceb728359b93f1df7111fa0b4b33f63
Author: Matthias Lungwitz <lungwitz@gmail.com>
Date: Sat, 15 Aug 2020 21:38:41 +0200
YoYOptionletHelper
SWIG/inflation.i | 132 +++++++++++++++++++++++++++++++++----------------------
1 file changed, 80 insertions(+), 52 deletions(-)
commit 6521b9477b4ac5aa1dda6540be09c77ca4f17c5f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 15 Aug 2020 21:01:10 +0200
Export a few inflation-related classes.
SWIG/inflation.i | 97 +++++++++++++++++++++++++++++++++++++++++++++++++----
SWIG/volatilities.i | 52 ++++++++++++++++++++++++++++
2 files changed, 142 insertions(+), 7 deletions(-)
commit 7d700db7ce53b352427df280699193ad13bfb0e2
Author: Matthias Lungwitz <lungwitz@gmail.com>
Date: Sat, 15 Aug 2020 20:29:06 +0200
YoY Surface, Engine, Stripper.
SWIG/inflation.i | 150 ++++++++++++++++++++++++++++++++++++++++++++++++++++++-
1 file changed, 148 insertions(+), 2 deletions(-)
commit de614a48217531c79a0b37a484f9245d51474b4f
Merge: ee140fe a60573b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 15 Aug 2020 17:36:41 +0200
Merge pull request #302.
Improvements to Date interface
commit a60573b22de470f1e112f91b12976bdb3b585ada
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 15 Aug 2020 13:35:01 +0200
Make Date comparable and convertible to string in C#.
SWIG/date.i | 16 +++++++++++++++-
1 file changed, 15 insertions(+), 1 deletion(-)
commit cddf0cbc9d8789f2f2b50f924e36822ed0d1d5ea
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 15 Aug 2020 13:33:59 +0200
Add a few missing operators.
SWIG/date.i | 34 ++++++++++++++++++++++++++++++----
1 file changed, 30 insertions(+), 4 deletions(-)
commit ee419a4c1f167983e4997b9478f1c93edd789f64
Author: Matthias Lungwitz <lungwitz@gmail.com>
Date: Sat, 15 Aug 2020 01:06:13 +0200
Add InterpolatedYoYCapFloorTermPriceSurface.
SWIG/inflation.i | 92 ++++++++++++++++++++++++++++++++++++++++++++++++++--
SWIG/interpolation.i | 4 ++-
2 files changed, 92 insertions(+), 4 deletions(-)
commit ee140fe11901bd0af36941ff213314f75ae9358c
Merge: 47e41ac a0fd8fc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Aug 2020 21:50:13 +0200
Merge pull request #301.
Add some missing inspectors to a few exported classes.
commit bebf2e1be6ed074f081753e3166af544515fcfc5
Author: Marcin <mrybacki12@gmail.com>
Date: Fri, 14 Aug 2020 18:47:08 +0200
Update after merging with upstream.
SWIG/cashflows.i | 20 --------------------
1 file changed, 20 deletions(-)
commit a0fd8fcd5fbb40d49592826e089c142baa536dbe
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Aug 2020 18:32:50 +0200
Add some missing inspectors to a few exported classes.
SWIG/cashflows.i | 1 +
SWIG/common.i | 1 +
SWIG/inflation.i | 5 +++++
SWIG/old_volatility.i | 7 +++++++
SWIG/optimizers.i | 4 ++++
5 files changed, 18 insertions(+)
commit 47e41acaf2ec8d0819dd85e2e329577bd2bb8792
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Aug 2020 18:01:41 +0200
Fix minor problems in Python tests.
Python/test/ratehelpers.py | 6 ++++++
Python/test/sabr.py | 12 ++++++------
2 files changed, 12 insertions(+), 6 deletions(-)
commit 428e1307a4a34f9ec05a3dcab9a88e979117b0c9
Merge: 3a76e3c 2747cf0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Aug 2020 18:00:48 +0200
Merge pull request #300.
Export Cox-Ingersoll-Ross short-rate model.
commit 3a76e3c427eaf003414f4562272aa94755fb34a1
Merge: 1a7cbaa 221a7bc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Aug 2020 17:05:51 +0200
Merge pull request #299.
Export IndexedCashFlow class.
commit 2747cf0e6bfa5d17fbe0f76784c217327704f5ba
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Aug 2020 16:46:04 +0200
Export Cox-Ingersoll-Ross short-rate model.
SWIG/shortratemodels.i | 19 +++++++++++++++++++
1 file changed, 19 insertions(+)
commit 221a7bc25f8cfe0364084f651a0a83b2068fb4a6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 14 Aug 2020 16:24:45 +0200
Export IndexedCashFLow class.