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ChangeLog.txt
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commit 34221aab352cb78803d6a6178f9ff70675e2db9d
Author: Luigi Ballabio <[email protected]>
Date: Fri, 15 Sep 2017 13:20:12 +0200
Update C# projects.
CSharp/csharp/NQuantLib.csproj | 1 -
CSharp/csharp/NQuantLib_vc9.csproj | 1 -
2 files changed, 2 deletions(-)
commit 31d25dc9f12275a93f8c329be6d4e582271fe1cc
Merge: 1e54970 8bc6b27
Author: Luigi Ballabio <[email protected]>
Date: Fri, 15 Sep 2017 13:10:57 +0200
Merge pull request #75.
commit 8bc6b27778d2c3cc673173183d5580f827b96eb1
Author: Luigi Ballabio <[email protected]>
Date: Fri, 15 Sep 2017 13:09:15 +0200
Avoid using deprecated Actual365NoLeap class.
SWIG/daycounters.i | 14 ++++++++++++--
1 file changed, 12 insertions(+), 2 deletions(-)
commit 1e54970a555c92b6f629e94a73a5975f1fffb047
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Sep 2017 17:40:45 +0200
Update copyrights.
LICENSE.TXT | 5 ++++-
1 file changed, 4 insertions(+), 1 deletion(-)
commit f0f5b6753f29862a25e5c15e257406db4b57de05
Author: Luigi Ballabio <[email protected]>
Date: Thu, 14 Sep 2017 10:21:06 +0200
Update C# projects.
CSharp/csharp/NQuantLib.csproj | 7 ++++++-
CSharp/csharp/NQuantLib_vc9.csproj | 7 ++++++-
2 files changed, 12 insertions(+), 2 deletions(-)
commit 49a19c6cf724df0517fa4fcd613d48145f1263e4
Merge: 5a15b5b 733f47f
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Sep 2017 16:03:38 +0200
Merge pull request #74.
commit 733f47fb1ec718fa117c16e4c670f142eb069ef7
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Sep 2017 16:02:35 +0200
Added back original tests.
Python/test/QuantLibTestSuite.py | 2 ++
Python/test/blackformula.py | 75 ++++++++++++++++++++++++++++++++++++++--
SWIG/options.i | 1 -
3 files changed, 75 insertions(+), 3 deletions(-)
commit f8cd2b3fdfb780fd135b9607a9a78b8d327eefb5
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Sep 2017 15:22:22 +0200
Move Black delta calculator with Black formula.
SWIG/blackformula.i | 20 ++++++++++++++++++++
SWIG/options.i | 18 ------------------
2 files changed, 20 insertions(+), 18 deletions(-)
commit 5a15b5bc14631e962d26f9d395d0946c37e2ed02
Merge: 5ebd59a fc1cd88
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Sep 2017 11:58:42 +0200
Merge pull request #73.
commit fc1cd889bd32a4cec4e998080973b07c33f2cc71
Author: Luigi Ballabio <[email protected]>
Date: Thu, 7 Sep 2017 11:49:22 +0200
Specify file encoding.
Python/test/blackformula.py | 1 +
1 file changed, 1 insertion(+)
commit 9d0bcb04d0e29a2f94f81c91a179e95e4405be5f
Author: Wojciech Ślusarski <[email protected]>
Date: Wed, 6 Sep 2017 23:05:51 +0200
Removed %rename and %inline from declarations
SWIG/blackformula.i | 118 ++++++++++++++++------------------------------------
1 file changed, 37 insertions(+), 81 deletions(-)
commit 8e1ca142e8abce9bf6b07d86ccbfb470e683173b
Author: Wojciech Ślusarski <[email protected]>
Date: Wed, 6 Sep 2017 22:31:07 +0200
Removed %extend from declaration of BlackDeltaCalculator
SWIG/options.i | 23 ++++++++---------------
1 file changed, 8 insertions(+), 15 deletions(-)
commit 5ebd59afcc0ceb32df759335efc48c19ac58a5b9
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 17:21:08 +0200
Propagate changes in setup.py to generating file.
Python/setup.py.in | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 499e776e1da5d8884c4134c28f0e6ab1877215ec
Merge: 2978582 6983e7e
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 17:16:54 +0200
Merge pull request #71.
commit 6983e7e718585e3fec410177e96866c7d9734cca
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 17:05:51 +0200
Replace hard tabs with spaces.
SWIG/volatilities.i | 16 ++++++++--------
1 file changed, 8 insertions(+), 8 deletions(-)
commit 29785822ab18c66c94461406a3197a6424a40f09
Merge: 0531842 355acd5
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 17:02:20 +0200
Merge pull request #70.
commit 0531842aee90f154fabbd32fd9f2111ddd86b6dc
Merge: 49128dd b699b7c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 16:52:09 +0200
Merge pull request #69.
commit 49128ddf8029439eaaf971626a354e0814ad5543
Merge: 882bd9b def8573
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 16:32:24 +0200
Merge pull request #68.
commit 882bd9b5ecd1901203b850bca2000e8320242545
Merge: dbe6477 4234671
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 16:29:31 +0200
Merge pull request #61.
commit 4234671f06a26fb1b7176e13e0b68122778b05f2
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 15:54:49 +0200
Use API compatible with Python 2.
SWIG/calendars.i | 6 ++++--
SWIG/scheduler.i | 6 ++++--
2 files changed, 8 insertions(+), 4 deletions(-)
commit dbe647797979297aa5e5ca5c9cd6d4f3346aafec
Merge: 32bb3d7 9e35e29
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 15:33:56 +0200
Merge pull request #65.
commit afa3bc340893e0e4e6e94c1286d129133668b09e
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 13:44:16 +0200
Convert hard tabs to spaces.
SWIG/date.i | 36 ++++++++++++++++++------------------
SWIG/scheduler.i | 44 +++++++++++++++++++++-----------------------
SWIG/volatilities.i | 30 +++++++++++++++++-------------
3 files changed, 56 insertions(+), 54 deletions(-)
commit 32bb3d76c88a2557605f139d3ec57765e6ba578b
Merge: 3896f66 549d653
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 13:38:06 +0200
Merge pull request #60.
commit 3896f661b7bd945409082afb7fdd5ab38c806598
Merge: 1de44e5 903fb8c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 13:25:16 +0200
Merge pull request #48.
commit 903fb8cf83ebd6706b1ff9b47e995065730b470c
Author: Luigi Ballabio <[email protected]>
Date: Wed, 6 Sep 2017 13:01:39 +0200
Fix constructor argument.
SWIG/options.i | 15 ++++++++-------
1 file changed, 8 insertions(+), 7 deletions(-)
commit 5691298231e87673e751da3e2bdcab0d748a840a
Author: Wojciech Ślusarski <[email protected]>
Date: Tue, 5 Sep 2017 23:53:44 +0200
Add atmStrike method to BlackDeltaCalculator and unittests
Python/test/QuantLibTestSuite.py | 2 +
Python/test/blackformula.py | 95 ++++++++++++++++++++++++++++++++++++++++
SWIG/options.i | 1 +
3 files changed, 98 insertions(+)
commit 2faf86aa51fe9faf3e979595df838da1f9521422
Author: Wojciech Ślusarski <[email protected]>
Date: Tue, 5 Sep 2017 00:51:01 +0200
Exposed BlackDeltaCalculator
SWIG/options.i | 25 +++++++++++++++++++++++++
1 file changed, 25 insertions(+)
commit 450f996d240af28cca183e86cd9dd80fc889c7ce
Author: Wojciech Ślusarski <[email protected]>
Date: Mon, 4 Sep 2017 00:18:18 +0200
Expose blackFormula and bachelierBlackFormula
.gitignore | 3 +
Python/test/QuantLibTestSuite.py | 2 +
Python/test/blackformula.py | 66 ++++++++++++++++++++++
SWIG/blackformula.i | 115 +++++++++++++++++++++++++++++++++++++++
SWIG/ql.i | 1 +
5 files changed, 187 insertions(+)
commit 0409f7cbfa0c5cee08934b80d7478b84877eb974
Author: Matthias Lungwitz <[email protected]>
Date: Tue, 22 Aug 2017 23:17:29 +0200
VolType and Shift for ConstantOptionletVolatility
SWIG/volatilities.i | 24 ++++++++++++++++--------
1 file changed, 16 insertions(+), 8 deletions(-)
commit 355acd588dfda20f29e4f4fdb0c90709cb93d013
Author: gbalaraman <[email protected]>
Date: Sat, 19 Aug 2017 08:57:19 -0700
Add discountBond method
SWIG/shortratemodels.i | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit b699b7cc2737d0f0c844ed5bdf863612334ffc1f
Author: orzyx <[email protected]>
Date: Wed, 16 Aug 2017 11:26:18 +0800
fix LogCubic class name conflict
SWIG/zerocurve.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit e00d68b0111986116e513aad4a5df3d514ffe95b
Author: orzyx <[email protected]>
Date: Wed, 16 Aug 2017 11:25:37 +0800
fix LogCubic class name conflict
SWIG/interpolation.i | 6 +++---
1 file changed, 3 insertions(+), 3 deletions(-)
commit def85738c0e7bc46595b7d631acad191a21d6f3b
Author: fabrice-lecuyer <[email protected]>
Date: Sat, 12 Aug 2017 20:04:19 +0200
Update .gitignore
Add CSharp.vs/ folder to .gitignore
.gitignore | 1 +
1 file changed, 1 insertion(+)
commit 59db7fadb8ed6eed518048198abb7a321b759780
Author: Wojciech Ślusarski <[email protected]>
Date: Wed, 9 Aug 2017 01:08:16 +0200
Expose HullWhite::convexityBias
SWIG/shortratemodels.i | 7 ++++++-
1 file changed, 6 insertions(+), 1 deletion(-)
commit 9e35e293e0fbde900de7596c50ab1541b5492bb2
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jul 2017 15:40:20 +0200
Avoid errors reading LICENSE file in Python 3.5.
Python/setup.py | 5 +++--
1 file changed, 3 insertions(+), 2 deletions(-)
commit 1de44e560b2029657e593c962e31d1be929965f1
Merge: 1a34a3b dde2fa1
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jul 2017 14:31:45 +0200
Merge pull request #62.
commit 1a34a3bce195404b5c3ebc5d6e2d5b803e016662
Merge: f9c8dc7 035cb34
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jul 2017 13:26:03 +0200
Merge pull request #58.
commit f9c8dc7ac836761df7b2aeb6a0ce76c95866c4d1
Merge: 9813873 aa3814c
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jul 2017 13:23:01 +0200
Merge pull request #57.
commit aa3814ca6bd6b7beecf409d389eb462c381431ad
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jul 2017 13:04:45 +0200
Clean whitespace in new file.
Java/examples/CallableBonds.java | 251 +++++++++++++++++++--------------------
1 file changed, 125 insertions(+), 126 deletions(-)
commit 98138734552ed0f2ecf45e86ee13336962e48f0f
Merge: 76d52f1 a82a238
Author: Luigi Ballabio <[email protected]>
Date: Thu, 27 Jul 2017 12:57:28 +0200
Merge pull request #56.
commit 5ee2dc1aea2508d501e38a59dcb29b9457ae03a9
Author: Wojciech Ślusarski <[email protected]>
Date: Sun, 23 Jul 2017 02:02:44 +0200
Expose HullWhiteForwardProcess
SWIG/stochasticprocess.i | 30 ++++++++++++++++++++++++++++++
1 file changed, 30 insertions(+)
commit 10e9a495e18a628e0259f8f574ac212e97c87d9e
Author: Wojciech Ślusarski <[email protected]>
Date: Sun, 23 Jul 2017 00:59:53 +0200
Expose discountBond method of HullWhite model
Python/test/QuantLibTestSuite.py | 12 +++++++-----
SWIG/shortratemodels.i | 4 ++++
2 files changed, 11 insertions(+), 5 deletions(-)
commit dde2fa17214fa162cd5b0a07bb8416ad615f3b74
Author: Luigi Ballabio <[email protected]>
Date: Fri, 14 Jul 2017 17:02:01 +0200
Add conversions to and from Python date objects.
SWIG/date.i | 16 ++++++++++++++++
1 file changed, 16 insertions(+)
commit a06ec6aebe130b88ec74ab275a3fd1b6df152cd0
Author: Matthias Lungwitz <[email protected]>
Date: Mon, 10 Jul 2017 22:54:11 +0200
Full schedule interface.
SWIG/calendars.i | 16 ++++++++++++++++
SWIG/common.i | 20 ++++++++++++++++++-
SWIG/date.i | 26 +++++++++++++++++++++++++
SWIG/scheduler.i | 58 +++++++++++++++++++-------------------------------------
4 files changed, 81 insertions(+), 39 deletions(-)
commit 5eb46f052bb3e1c17666253890a9482223200957
Author: Matthias Lungwitz <[email protected]>
Date: Sun, 9 Jul 2017 23:43:55 +0200
Working version of boost::optional<Period>
SWIG/scheduler.i | 49 +++++++++++++++++++++++++++++++++++++++++++++----
1 file changed, 45 insertions(+), 4 deletions(-)
commit 3fa55e0d5171d16ead2bd036f61909cc8d7ce53e
Author: Matthias Lungwitz <[email protected]>
Date: Thu, 6 Jul 2017 23:23:16 +0200
Update Schedule constructor from Dates.
SWIG/scheduler.i | 13 ++++++++++---
1 file changed, 10 insertions(+), 3 deletions(-)
commit 933ae1e084040b24c115fa8f6e949a4a8401e7f8
Author: Matthias Lungwitz <[email protected]>
Date: Tue, 13 Jun 2017 23:30:26 +0200
Add SwaptionVolCube1 inspectors.
SWIG/volatilities.i | 16 ++++++++++++++++
1 file changed, 16 insertions(+)
commit 549d6537c81fa7b3fc79b3f570cb432b9f5d2e5f
Author: Matthias Lungwitz <[email protected]>
Date: Mon, 12 Jun 2017 23:23:16 +0200
Add FdG2SwaptionEngine, FdHullWhiteSwaptionEngine Wrappers.
SWIG/shortratemodels.i | 37 +++++++++++++++++++++++++++++++++++++
1 file changed, 37 insertions(+)
commit 8577bd0ba8a46a1dd5428dc92d722471c5c72798
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 May 2017 11:30:51 +0200
Bump version number to 1.11.
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 dce2b65abd3605cc30fb9dbe1f2124b52f7c5e3a
Author: Luigi Ballabio <[email protected]>
Date: Tue, 16 May 2017 11:28:40 +0200
Bump version number to 1.10.1.
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(-)
commit a82a2389e558ad72debd964faf154acdd4b8005d
Author: Bojan Nikolic <[email protected]>
Date: Tue, 18 Apr 2017 23:12:48 +0100
Configure option to disable java autoloading
Disabling the autoloading allows advanced techniques such as unpacking
and loading the JNI from the JAR.
Java/Makefile.am | 8 +++++++-
SWIG/quantlib.i | 2 ++
configure.ac | 7 +++++++
3 files changed, 16 insertions(+), 1 deletion(-)
commit e354d27308a4121462ed934ef52eec68ec50bd0b
Author: Bojan Nikolic <[email protected]>
Date: Tue, 18 Apr 2017 22:50:04 +0100
Do not handle exceptions with System.exit
SWIG/quantlib.i | 6 +-----
1 file changed, 1 insertion(+), 5 deletions(-)
commit 035cb344ef3fd085cfe69b8795c8d0e1918355cf
Author: Bojan Nikolic <[email protected]>
Date: Wed, 12 Apr 2017 21:23:37 +0100
Ensure install directory exists
Java/Makefile.am | 1 +
1 file changed, 1 insertion(+)
commit 637280e4f6bc6b5e053df1fd6433549b41980b6a
Author: Bojan Nikolic <[email protected]>
Date: Wed, 12 Apr 2017 10:21:29 +0100
Add CallableBonds example in Java
Java/Makefile.am | 2 +-
Java/examples/CallableBonds.java | 246 +++++++++++++++++++++++++++++++++++++++
2 files changed, 247 insertions(+), 1 deletion(-)
commit d134062d9199eaf001eaa2c343c27fb030494c63
Author: Bojan Nikolic <[email protected]>
Date: Wed, 12 Apr 2017 10:23:09 +0100
Automatically load the Java shared library
Move the loading of the JNI shared library to the static initialisation
block of the QuantLibJNI. This should gurantee it is loaded without
having to insert this code in the client code
Java/examples/Bonds.java | 7 -------
Java/examples/DiscreteHedging.java | 4 ----
Java/examples/EquityOptions.java | 8 --------
Java/examples/FRA.java | 7 -------
Java/examples/UnaryFunctions.java | 8 --------
SWIG/quantlib.i | 12 ++++++++++++
6 files changed, 12 insertions(+), 34 deletions(-)
commit 5fb568e429f4b5df7a34cc6d078175b24e4de7e0
Author: abhilaksh12 <[email protected]>
Date: Wed, 28 Dec 2016 01:35:55 +0530
Update options.i
Added SWIG wrapper for FDBatesVanillaEngine.
SWIG/options.i | 21 +++++++++++++++++++++
1 file changed, 21 insertions(+)