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ChangeLog.txt
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commit 669e3dd7f6df9870a2bbd7e11005c08f6070d6d6
Merge: d23ffd5 17f10a8
Author: Luigi Ballabio <[email protected]>
Date: Fri, 21 Oct 2016 12:09:56 +0200
Merge pull request #39.
commit 17f10a84944d650a750a8ad0a9de6c5dd53a3778
Author: Luigi Ballabio <[email protected]>
Date: Fri, 21 Oct 2016 11:47:47 +0200
Use explicit rename for yield method.
SWIG/bondfunctions.i | 25 +++----------------------
1 file changed, 3 insertions(+), 22 deletions(-)
commit 851714000f6d7e3457a00482f2b70212d3e7864c
Author: Peter Caspers <[email protected]>
Date: Thu, 20 Oct 2016 20:41:19 +0200
add bondYield alias
SWIG/bondfunctions.i | 21 +++++++++++++++++++++
1 file changed, 21 insertions(+)
commit 14157fc1e3ab6157401a350602116ffec0a7adb9
Author: Peter Caspers <[email protected]>
Date: Thu, 20 Oct 2016 20:42:05 +0200
Revert "add bondYield alias"
This reverts commit 03cfcee126fcf955e9b48b1d7390b4f1611bd3ed.
SWIG/bondfunctions.i | 21 ---------------------
1 file changed, 21 deletions(-)
commit 03cfcee126fcf955e9b48b1d7390b4f1611bd3ed
Author: Peter Caspers <[email protected]>
Date: Thu, 20 Oct 2016 20:41:19 +0200
add bondYield alias
SWIG/bondfunctions.i | 21 +++++++++++++++++++++
1 file changed, 21 insertions(+)
commit d23ffd5f4b403b73424f70f0b337d64c6527fcf9
Author: Luigi Ballabio <[email protected]>
Date: Thu, 13 Oct 2016 12:18:04 +0200
Update copyright list.
LICENSE.TXT | 10 ++++++----
Python/examples/cds.py | 2 +-
tools/check_copyrights.sh | 6 ++++++
tools/collect_copyrights.py | 40 ++++++++++++++++++++++++++++++++++++++++
4 files changed, 53 insertions(+), 5 deletions(-)
commit 3de51124952a09b2c1bae7510d31baca8626e3b0
Merge: 7b104ec 77fe534
Author: Luigi Ballabio <[email protected]>
Date: Tue, 11 Oct 2016 17:58:22 +0200
Merge pull request #35.
commit 77fe534251129675da312bbeb7198b87636fc6c7
Author: Peter Caspers <[email protected]>
Date: Mon, 10 Oct 2016 20:21:02 +0200
expose constructors with discounting curve
SWIG/indexes.i | 10 ++++++++++
1 file changed, 10 insertions(+)
commit 7b104ec04cc851a8a02e7e54f6ab94c9e97f63fe
Merge: 09b9cd0 2573a66
Author: Luigi Ballabio <[email protected]>
Date: Fri, 7 Oct 2016 18:03:46 +0200
Merge pull request #34.
commit 2573a662fb04566512969aee94e09947875c84c6
Author: m.ross <[email protected]>
Date: Fri, 7 Oct 2016 11:09:24 -0400
Add LDFLAGS to Java link step
Java/Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit ec38be54ef0d74c6f3e79e86db5eb01e489a1e1e
Author: m.ross <[email protected]>
Date: Fri, 7 Oct 2016 09:36:10 -0400
Pass CXX flags to Java libQuantLibJNI gcc
Java/Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 09b9cd08938a8838a03a350f3cf2cd065a3ae944
Author: Luigi Ballabio <[email protected]>
Date: Fri, 7 Oct 2016 13:29:56 +0200
Prevent compilation warning.
SWIG/fittedbondcurve.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 5e133f2495aca5b4456821fe7239a8070f72bf81
Author: Luigi Ballabio <[email protected]>
Date: Fri, 7 Oct 2016 13:03:19 +0200
Update Visual C# projects.
CSharp/csharp/NQuantLib.csproj | 13 +++++++++++++
CSharp/csharp/NQuantLib_vc9.csproj | 33 +++++++++++++++++++++++++++++++++
2 files changed, 46 insertions(+)
commit 818843ebe866e046b6b331e39294e1d54311fb57
Author: Luigi Ballabio <[email protected]>
Date: Fri, 7 Oct 2016 12:51:40 +0200
Drop support for Visual C++ 8.
Microsoft ended support for this version in April 2016.
CSharp/Makefile.am | 1 -
CSharp/QuantLib_vc8.sln | 56 --
CSharp/cpp/QuantlibWrapper_vc8.vcproj | 220 -------
CSharp/csharp/NQuantLib_vc8.csproj | 861 ----------------------------
CSharp/examples/BermudanSwaption_vc8.csproj | 104 ----
CSharp/examples/EquityOption_vc8.csproj | 104 ----
tools/sync_csharp_projects.sh | 16 +-
7 files changed, 3 insertions(+), 1359 deletions(-)
commit 87817e7506970dd2553f708d3627dec405eaa434
Author: Luigi Ballabio <[email protected]>
Date: Fri, 7 Oct 2016 12:33:36 +0200
Remove redundant method declarations.
Those methods were already inherited from the base class.
SWIG/volatilities.i | 16 ----------------
1 file changed, 16 deletions(-)
commit 6431a0089fe26acd35591073a46e29588c0d4117
Author: Luigi Ballabio <[email protected]>
Date: Fri, 7 Oct 2016 10:40:43 +0200
Remove harmful redefinition of SWIGSTDCALL.
It was probably a good idea at some time, but now it conflicts
with the one automatically generated by SWIG.
SWIG/quantlib.i | 7 -------
1 file changed, 7 deletions(-)
commit a3c2017c0f702313a3d7e9400a7907919efdfd99
Merge: f17264d 35715e4
Author: Luigi Ballabio <[email protected]>
Date: Thu, 6 Oct 2016 11:50:01 +0200
Merge pull request #32.
commit f17264d7e6931dc9aa94b3187ac41e4c33f12a4f
Merge: 1bda1a6 92c6ada
Author: Luigi Ballabio <[email protected]>
Date: Thu, 6 Oct 2016 11:33:18 +0200
Merge pull request #31.
commit 92c6adab1366866bee4b7ade0c98ac1ba73910a6
Author: Luigi Ballabio <[email protected]>
Date: Thu, 6 Oct 2016 11:03:19 +0200
Specify coding system in Python file.
Python/test/capfloor.py | 1 +
1 file changed, 1 insertion(+)
commit a571b7d54957a9bd116e95b70d1dda345e042b08
Author: Luigi Ballabio <[email protected]>
Date: Thu, 6 Oct 2016 10:46:24 +0200
Replace hard tabs with spaces.
SWIG/capfloor.i | 30 +++++++++++++++---------------
1 file changed, 15 insertions(+), 15 deletions(-)
commit 35715e48d07d37f25b95b3bfe156b52061e1ef87
Author: Peter Caspers <[email protected]>
Date: Sun, 25 Sep 2016 18:55:04 +0200
expose normal swaption volatilities
SWIG/swaption.i | 31 +++++++++++++++++++++++++++++--
SWIG/volatilities.i | 52 +++++++++++++++++++++++++++++++++++++---------------
2 files changed, 66 insertions(+), 17 deletions(-)
commit de3ff11f4abae2ff52e7c64d991dea73edce3de7
Author: Wojciech Slusarski <[email protected]>
Date: Sun, 11 Sep 2016 00:19:18 +0200
Added CapFloorTest to test suite
Python/test/QuantLibTestSuite.py | 2 ++
Python/test/capfloor.py | 4 ++--
2 files changed, 4 insertions(+), 2 deletions(-)
commit 5d7a43873c6531395a1098e8640653c313ca6091
Author: Wojciech Slusarski <[email protected]>
Date: Sun, 11 Sep 2016 00:05:53 +0200
Updated implementation of impliedvolatility method's signature.
The method includes information about volatility type and
displacement if ShiftedLogNormal is used.
Python/test/capfloor.py | 43 +++++++++++++++++--------------------------
SWIG/capfloor.i | 19 +++++++++++--------
2 files changed, 28 insertions(+), 34 deletions(-)
commit 2b8b0dfacb0e312ac60c87bae089c48521f1f0b5
Author: Wojciech Slusarski <[email protected]>
Date: Sat, 10 Sep 2016 01:46:13 +0200
Added BachelierCapFloorEngine to SWIG implementation
Basic test case for BlackVapFloorEngine prepared in python.
TODO: repair broken test for BachelierCapFloorEngine
Python/test/capfloor.py | 124 ++++++++++++++++++++++++++++++++++++++++++++++++
SWIG/capfloor.i | 35 +++++++++++---
2 files changed, 153 insertions(+), 6 deletions(-)
commit 1bda1a64155e71e75ad2f5ca0eab067bb16d6fc2
Merge: 2b8adb7 7ee431d
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Aug 2016 12:48:30 +0200
Merge pull request #28.
commit 2b8adb78dcb49510dce5ea8c8e722040deec0e57
Merge: 76436a4 e58f410
Author: Luigi Ballabio <[email protected]>
Date: Mon, 29 Aug 2016 12:26:27 +0200
Merge pull request #27.
commit 7ee431df97f5fdcb8a3aca2a27800fd8b392adaf
Author: gbalaraman <[email protected]>
Date: Tue, 16 Aug 2016 20:57:53 -0700
Support the full swaption helper C++ api
SWIG/calibrationhelpers.i | 64 +++++++++++++++++++++++++++++++++++++++++++++--
1 file changed, 62 insertions(+), 2 deletions(-)
commit 6561eef8f86d2e1fbdc368a9e0c9ed2739296613
Author: gbalaraman <[email protected]>
Date: Sat, 13 Aug 2016 20:58:11 -0700
Added rnd nums dflt param. Expanded bondfunctions
SWIG/bondfunctions.i | 25 +++++++++++++++++++++++++
SWIG/bonds.i | 18 ++++++++++++++++++
SWIG/randomnumbers.i | 24 ++++++++++++++++++++++--
3 files changed, 65 insertions(+), 2 deletions(-)
commit e58f410edcfd3b6f1d706f798e20499734534cb6
Author: fabrice-lecuyer <[email protected]>
Date: Fri, 12 Aug 2016 17:45:03 +1000
Update C# NQuantLib project file
Adding InterestRateVector.cs created by PR#22 to the NQuantLib C# project
file.
CSharp/csharp/NQuantLib.csproj | 1 +
1 file changed, 1 insertion(+)
commit 76436a4f6710aa09bbd7f48f3cca1b53630b4b88
Merge: 2aa7226 2a5e4dc
Author: Luigi Ballabio <[email protected]>
Date: Tue, 2 Aug 2016 12:39:19 +0200
Merge pull request #26.
commit 2aa7226ff270cf1044d42e1adda0145d0842fe3a
Merge: 72919bb d3e55af
Author: Luigi Ballabio <[email protected]>
Date: Tue, 2 Aug 2016 11:53:08 +0200
Merge pull request #25.
commit 72919bb285ba1b6bf50aa7e9b88341208d43acba
Merge: 70d1d33 91532ed
Author: Luigi Ballabio <[email protected]>
Date: Tue, 2 Aug 2016 11:17:31 +0200
Merge pull request #20.
commit 91532edc32aa37243a051cfd29ceec6ad108c14b
Author: Luigi Ballabio <[email protected]>
Date: Tue, 2 Aug 2016 10:50:25 +0200
Fix exported index name.
SWIG/indexes.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 2a5e4dca194abdacc232c2b183ae8aa5bddc2d89
Author: gbalaraman <[email protected]>
Date: Fri, 29 Jul 2016 19:40:08 -0700
Add LocalVolSurface and enhancement to calibration
Added TimeDependent Heston
Added PTD Heston Engine
SWIG/calibrationhelpers.i | 3 ++
SWIG/options.i | 97 +++++++++++++++++++++++++++++++++++++++++++++++
SWIG/parameter.i | 74 ++++++++++++++++++++++++++++++++++++
SWIG/ql.i | 1 +
SWIG/volatilities.i | 69 +++++++++++++++++++++++++++++++++
5 files changed, 244 insertions(+)
commit d3e55af73e5fdb0e4da30cf4fc40c98f5b1b2ed1
Author: gbalaraman <[email protected]>
Date: Tue, 26 Jul 2016 21:40:57 -0700
Add default paramteres to swig wrap
SWIG/termstructures.i | 15 +++++++++++----
1 file changed, 11 insertions(+), 4 deletions(-)
commit 70d1d336b6dbebfa251f8f44dc4a32e7e3e9921b
Merge: 28c13bd 8e506ca
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Jul 2016 13:16:53 +0200
Merge pull request #22.
commit 8e506cae9ee7958af21b1f028781bd1721d2511f
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Jul 2016 12:51:01 +0200
Disable kwargs for overloaded constructor.
SWIG/bonds.i | 10 ++++------
1 file changed, 4 insertions(+), 6 deletions(-)
commit 28c13bdafdb2dabde470182c00c1144c68924ec2
Merge: 0da30f2 4c7dede
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Jul 2016 12:11:48 +0200
Merge pull request #23.
commit 4c7dede96baaa0293dc901b88c7d379ad65fd58e
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Jul 2016 11:50:13 +0200
Remove missing method.
SWIG/shortratemodels.i | 1 -
1 file changed, 1 deletion(-)
commit 0da30f240db92f8260782f14e7675268bcf1375a
Merge: 9ddfd3b a678615
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Jul 2016 11:28:56 +0200
Merge pull request #19.
commit a6786156754b5d3395a96a5722d4d3d2b328d8f1
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Jul 2016 11:14:50 +0200
Convert hard tabs to spaces.
SWIG/ratehelpers.i | 22 +++++++++++-----------
1 file changed, 11 insertions(+), 11 deletions(-)
commit 9ddfd3b7c8b3b95ca05da4607991f7864c4899c4
Merge: 8878a88 fbc9b10
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Jul 2016 11:11:13 +0200
Merge pull request #18.
commit fbc9b102cdde5051c86de4ec9d01181964095ba2
Author: Luigi Ballabio <[email protected]>
Date: Thu, 21 Jul 2016 10:57:08 +0200
Propagate changes to setup.py.in
Python/setup.py | 2 +-
Python/setup.py.in | 3 +++
2 files changed, 4 insertions(+), 1 deletion(-)
commit e557aaefeaa842aec892f1a05a7ad251786c035c
Author: Andres-Hernandez <[email protected]>
Date: Wed, 20 Jul 2016 22:49:16 +0200
Expose further short rate and zero curve functionality
Expose further short rate and zero curve functionality
SWIG/shortratemodels.i | 5 +++++
SWIG/zerocurve.i | 1 +
2 files changed, 6 insertions(+)
commit d0cc97bf1a1810865885501ede65103368e6e443
Author: gbalaraman <[email protected]>
Date: Sat, 16 Jul 2016 16:23:50 -0700
add list to vector conversion
SWIG/interestrate.i | 6 ++++++
1 file changed, 6 insertions(+)
commit 59c58640663bf366663f61e4c23968a8a3150fa8
Author: gbalaraman <[email protected]>
Date: Fri, 15 Jul 2016 22:47:28 -0700
add kwargs def for optionletstripper
SWIG/old_volatility.i | 3 +++
1 file changed, 3 insertions(+)
commit 03ea7cb954885d30ca0edb7e6a1016c70b10a0ec
Author: gbalaraman <[email protected]>
Date: Fri, 15 Jul 2016 22:37:19 -0700
added fixedratebond generic interest rate constructor
SWIG/bonds.i | 20 ++++++++++++++++++++
1 file changed, 20 insertions(+)
commit 393bc1cc3a65de016c6773417af36e8ea0401282
Author: fabrice-lecuyer <[email protected]>
Date: Sun, 10 Jul 2016 12:33:24 +1000
Adding new indexes files in proj
Oceania indexes files generated by SWIG now in C# project file
CSharp/csharp/NQuantLib.csproj | 20 ++++++++++++++++++--
1 file changed, 18 insertions(+), 2 deletions(-)
commit bb9fca5a82dc36ebe3ff1e7b5786893fd76eee87
Author: fabrice-lecuyer <[email protected]>
Date: Sun, 10 Jul 2016 12:21:15 +1000
Exposing Oceanin indexes
Exposing BBSW, BKBM, NZ OCR and Aonia
SWIG/indexes.i | 18 ++++++++++++++++++
1 file changed, 18 insertions(+)
commit 6dd55e075470b348c3886070625f54e799a72754
Author: fabrice-lecuyer <[email protected]>
Date: Sun, 10 Jul 2016 12:09:11 +1000
adding VC.db and VC.opendb extension to .gitignore
.gitignore | 2 ++
1 file changed, 2 insertions(+)
commit 91eea9a1bb66b3fde12602cdeede16d1be9ba0cd
Author: gbalaraman <[email protected]>
Date: Tue, 5 Jul 2016 20:46:20 -0700
Update setup.py
Python/setup.py | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit bf68f779da6bde4da2f801feca6624560e001b9e
Author: fabrice-lecuyer <[email protected]>
Date: Fri, 1 Jul 2016 18:06:47 +1000
SwapRateHelper update
Updating ratehelpers.i to expose the following constructor inputs
- settlementDays
- pillar
- CustomPillarDate
Exposed the Pillar struct and enclosed Choice enum.
CSharp/csharp/NQuantLib.csproj | 1 +
SWIG/ratehelpers.i | 35 +++++++++++++++++++++++++++--------
2 files changed, 28 insertions(+), 8 deletions(-)
commit 3195e11b7f103916489a4df31b5753f5b1dad98e
Author: fabrice-lecuyer <[email protected]>
Date: Mon, 27 Jun 2016 13:26:09 +1000
Exposing ASX dates and futures
-Added ASX struct to date.i
-Added futures.i exposing Futures struct
-Added 2 FuturesRateHelper constructors
-Updated FuturesRateHelper constructors to have Futures.Type as an
optional input
CSharp/csharp/NQuantLib.csproj | 6 ++--
SWIG/date.i | 37 +++++++++++++++++++++++
SWIG/futures.i | 29 ++++++++++++++++++
SWIG/ql.i | 1 +
SWIG/ratehelpers.i | 67 ++++++++++++++++++++++++++++++------------
5 files changed, 120 insertions(+), 20 deletions(-)
commit 5484a8e9699d3d8590db5672c6b6cc76f8bff7aa
Author: Gouthaman Balaraman <[email protected]>
Date: Sun, 26 Jun 2016 20:24:37 -0700
remove unused renames
SWIG/capfloor.i | 1 -
1 file changed, 1 deletion(-)
commit f2555e677948a95aeacf45b9993311bab7097da6
Author: Gouthaman Balaraman <[email protected]>
Date: Sun, 26 Jun 2016 20:17:11 -0700
Adds new methods to capfloors. Allows setup to pass linkdirs through env vars
Python/setup.py | 2 ++
SWIG/capfloor.i | 27 +++++++++++++++++++++++++++
2 files changed, 29 insertions(+)
commit 12f3bc7b4bf5f87d0e000ddc3f396919061ebd94
Author: Luigi Ballabio <[email protected]>
Date: Wed, 18 May 2016 13:10:21 +0200
Increase version number to 1.9.
Guile/setup.scm | 2 +-
MzScheme/setup.scm | 2 +-
Perl/Makefile.PL | 2 +-
Python/setup.py | 2 +-
R/DESCRIPTION | 2 +-
Ruby/setup.rb | 2 +-
SWIG/ql.i | 2 +-
configure.ac | 2 +-
8 files changed, 8 insertions(+), 8 deletions(-)
commit c5d7f43bb8f77353b7c239fa4ffa179ce4f4887a
Author: Luigi Ballabio <[email protected]>
Date: Wed, 18 May 2016 12:47:36 +0200
Increase version nunmber to 1.8.1.
Guile/setup.scm | 2 +-
MzScheme/setup.scm | 2 +-
Perl/Makefile.PL | 2 +-
Python/setup.py | 2 +-
R/DESCRIPTION | 2 +-
Ruby/setup.rb | 2 +-
configure.ac | 2 +-
7 files changed, 7 insertions(+), 7 deletions(-)