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ChangeLog.txt
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commit 83d91ae6f508bb2cca5c0cb1b32c8f76bfad3c54
Author: Luigi Ballabio <[email protected]>
Date: Sat, 24 Oct 2020 13:01:24 +0200
Set version to 1.20 final.
Python/setup.py | 2 +-
configure.ac | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit c20457d9f0cd55d411a5144aad617383b58e9c02
Author: Luigi Ballabio <[email protected]>
Date: Wed, 14 Oct 2020 16:46:23 +0200
Update changelog and news.
ChangeLog.txt | 1432 ++++++++++++++++++++++++++++++++++++++-------------------
News.md | 49 +-
2 files changed, 971 insertions(+), 510 deletions(-)
commit 2a04ee0218c6e53b19b3bea91cd797d4f63f1530
Author: Luigi Ballabio <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
Date: Tue, 13 Oct 2020 16:29:54 +0200
Merge pull request #304.
Inflation cap floor
commit 1e07312671ef95c256f4e21d25afbc5f4ec95d76
Author: Luigi Ballabio <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
Date: Mon, 12 Oct 2020 15:04:39 +0200
Merge pull request #319.
Exposing HestonSLVProcess's mixingFactor to SWIG
commit 994eab11768bb0a264401db1300fccf3e7b1275e
Author: jackgillett101 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
Date: Fri, 2 Oct 2020 22:01:24 +0200
Merge pull request #293.
First pass at using std pointers
commit a7c183e0ea14ba92a16935b1169bc148b0116ab7
Author: Luigi Ballabio <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
Date: Wed, 16 Sep 2020 13:12:41 +0200
Merge pull request #314.
Inflation unit tests
commit 90085f678ef6e7c480bf1e978aac768ad90b133c
Author: Marcin <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
Date: Wed, 9 Sep 2020 11:55:30 +0200
Merge pull request #310.
Export new day counters.
commit 99c1224fd8fbdb4fc1243ad7336337d081923679
Author: Luigi Ballabio <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
Date: Tue, 8 Sep 2020 15:30:24 +0200
Merge pull request #306.
Swaption delta and annuity
commit bcbf3040cfe6c1f6ae2e92c9ad58696387cb0e81
Author: Marcin <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
Date: Sat, 15 Aug 2020 22:25:13 +0200
Merge pull request #303.
Export a few inflation-related classes.
commit bb7f2ebc6ceb728359b93f1df7111fa0b4b33f63
Author: Matthias Lungwitz <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
Date: Sat, 15 Aug 2020 17:36:41 +0200
Merge pull request #302.
Improvements to Date interface
commit a60573b22de470f1e112f91b12976bdb3b585ada
Author: Luigi Ballabio <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
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 <[email protected]>
Date: Fri, 14 Aug 2020 17:05:51 +0200
Merge pull request #299.
Export IndexedCashFlow class.
commit 2747cf0e6bfa5d17fbe0f76784c217327704f5ba
Author: Luigi Ballabio <[email protected]>
Date: Fri, 14 Aug 2020 16:46:04 +0200