Merge pull request lballabio#562.

yeatech · Nov 21, 2018 · 9bd8342 · 9bd8342
2 parents 90df57a + 7cd3ecf
commit 9bd8342
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Showing 21 changed files with 810 additions and 100 deletions.
diff --git a/QuantLib.vcxproj b/QuantLib.vcxproj
@@ -481,6 +481,36 @@
     </Bscmake>
   </ItemDefinitionGroup>
   <ItemGroup>
+    <ClInclude Include="ql\cashflows\all.hpp" />
+    <ClInclude Include="ql\cashflows\averagebmacoupon.hpp" />
+    <ClInclude Include="ql\cashflows\capflooredcoupon.hpp" />
+    <ClInclude Include="ql\cashflows\capflooredinflationcoupon.hpp" />
+    <ClInclude Include="ql\cashflows\cashflows.hpp" />
+    <ClInclude Include="ql\cashflows\cashflowvectors.hpp" />
+    <ClInclude Include="ql\cashflows\cmscoupon.hpp" />
+    <ClInclude Include="ql\cashflows\conundrumpricer.hpp" />
+    <ClInclude Include="ql\cashflows\coupon.hpp" />
+    <ClInclude Include="ql\cashflows\couponpricer.hpp" />
+    <ClInclude Include="ql\cashflows\cpicoupon.hpp" />
+    <ClInclude Include="ql\cashflows\cpicouponpricer.hpp" />
+    <ClInclude Include="ql\cashflows\digitalcmscoupon.hpp" />
+    <ClInclude Include="ql\cashflows\digitalcoupon.hpp" />
+    <ClInclude Include="ql\cashflows\digitaliborcoupon.hpp" />
+    <ClInclude Include="ql\cashflows\dividend.hpp" />
+    <ClInclude Include="ql\cashflows\duration.hpp" />
+    <ClInclude Include="ql\cashflows\fixedratecoupon.hpp" />
+    <ClInclude Include="ql\cashflows\floatingratecoupon.hpp" />
+    <ClInclude Include="ql\cashflows\iborcoupon.hpp" />
+    <ClInclude Include="ql\cashflows\indexedcashflow.hpp" />
+    <ClInclude Include="ql\cashflows\inflationcoupon.hpp" />
+    <ClInclude Include="ql\cashflows\inflationcouponpricer.hpp" />
+    <ClInclude Include="ql\cashflows\lineartsrpricer.hpp" />
+    <ClInclude Include="ql\cashflows\overnightindexedcoupon.hpp" />
+    <ClInclude Include="ql\cashflows\rangeaccrual.hpp" />
+    <ClInclude Include="ql\cashflows\replication.hpp" />
+    <ClInclude Include="ql\cashflows\simplecashflow.hpp" />
+    <ClInclude Include="ql\cashflows\timebasket.hpp" />
+    <ClInclude Include="ql\cashflows\yoyinflationcoupon.hpp" />
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@@ -506,7 +536,6 @@
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@@ -683,35 +712,6 @@
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-    <ClInclude Include="ql\cashflows\averagebmacoupon.hpp" />
-    <ClInclude Include="ql\cashflows\capflooredcoupon.hpp" />
-    <ClInclude Include="ql\cashflows\capflooredinflationcoupon.hpp" />
-    <ClInclude Include="ql\cashflows\cashflows.hpp" />
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-    <ClInclude Include="ql\cashflows\couponpricer.hpp" />
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-    <ClInclude Include="ql\cashflows\floatingratecoupon.hpp" />
-    <ClInclude Include="ql\cashflows\iborcoupon.hpp" />
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-    <ClInclude Include="ql\cashflows\simplecashflow.hpp" />
-    <ClInclude Include="ql\cashflows\timebasket.hpp" />
-    <ClInclude Include="ql\cashflows\yoyinflationcoupon.hpp" />
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@@ -745,6 +745,7 @@
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     <ClInclude Include="ql\indexes\ibor\seklibor.hpp" />
     <ClInclude Include="ql\indexes\ibor\shibor.hpp" />
+    <ClInclude Include="ql\indexes\ibor\sofr.hpp" />
     <ClInclude Include="ql\indexes\ibor\sonia.hpp" />
     <ClInclude Include="ql\indexes\ibor\thbfix.hpp" />
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@@ -962,6 +963,7 @@
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     <ClInclude Include="ql\math\optimization\spherecylinder.hpp" />
     <ClInclude Include="ql\math\optimization\steepestdescent.hpp" />
+    <ClInclude Include="ql\math\optimization\simulatedannealing.hpp" />
     <ClInclude Include="ql\math\copulas\alimikhailhaqcopula.hpp" />
     <ClInclude Include="ql\math\copulas\all.hpp" />
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@@ -1542,7 +1544,6 @@
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-    <ClInclude Include="ql\cashflows\lineartsrpricer.hpp" />
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     <ClInclude Include="ql\experimental\coupons\quantocouponpricer.hpp" />
@@ -1636,6 +1637,7 @@
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     <ClInclude Include="ql\experimental\mcbasket\pathpayoff.hpp" />
     <ClInclude Include="ql\math\ode\all.hpp" />
+    <ClInclude Include="ql\math\ode\adaptiverungekutta.hpp" />
     <ClInclude Include="ql\termstructures\volatility\atmadjustedsmilesection.hpp" />
     <ClInclude Include="ql\termstructures\volatility\atmsmilesection.hpp" />
     <ClInclude Include="ql\pricingengines\swaption\basketgeneratingengine.hpp" />
@@ -1746,7 +1748,6 @@
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-    <ClInclude Include="ql\math\ode\adaptiverungekutta.hpp" />
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@@ -1761,9 +1762,11 @@
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-    <ClInclude Include="ql\math\optimization\simulatedannealing.hpp" />
     <ClInclude Include="ql\experimental\math\tcopulapolicy.hpp" />
     <ClInclude Include="ql\experimental\math\zigguratrng.hpp" />
+    <ClInclude Include="ql\experimental\futures\all.hpp" />
+    <ClInclude Include="ql\experimental\futures\overnightindexfuture.hpp" />
+    <ClInclude Include="ql\experimental\futures\overnightindexfutureratehelper.hpp" />
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     <ClInclude Include="ql\auto_ptr.hpp" />
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@@ -1795,6 +1798,7 @@
     <ClInclude Include="ql\qldefines.hpp" />
     <ClInclude Include="ql\quantlib.hpp" />
     <ClInclude Include="ql\quote.hpp" />
+    <ClInclude Include="ql\rebatedexercise.hpp" />
     <ClInclude Include="ql\settings.hpp" />
     <ClInclude Include="ql\shared_ptr.hpp" />
     <ClInclude Include="ql\stochasticprocess.hpp" />
@@ -1807,6 +1811,35 @@
     <ClInclude Include="ql\volatilitymodel.hpp" />
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+    <ClCompile Include="ql\cashflows\averagebmacoupon.cpp" />
+    <ClCompile Include="ql\cashflows\capflooredcoupon.cpp" />
+    <ClCompile Include="ql\cashflows\capflooredinflationcoupon.cpp" />
+    <ClCompile Include="ql\cashflows\cashflows.cpp" />
+    <ClCompile Include="ql\cashflows\cashflowvectors.cpp" />
+    <ClCompile Include="ql\cashflows\cmscoupon.cpp" />
+    <ClCompile Include="ql\cashflows\conundrumpricer.cpp" />
+    <ClCompile Include="ql\cashflows\coupon.cpp" />
+    <ClCompile Include="ql\cashflows\couponpricer.cpp" />
+    <ClCompile Include="ql\cashflows\cpicoupon.cpp" />
+    <ClCompile Include="ql\cashflows\cpicouponpricer.cpp" />
+    <ClCompile Include="ql\cashflows\digitalcmscoupon.cpp" />
+    <ClCompile Include="ql\cashflows\digitalcoupon.cpp" />
+    <ClCompile Include="ql\cashflows\digitaliborcoupon.cpp" />
+    <ClCompile Include="ql\cashflows\dividend.cpp" />
+    <ClCompile Include="ql\cashflows\duration.cpp" />
+    <ClCompile Include="ql\cashflows\fixedratecoupon.cpp" />
+    <ClCompile Include="ql\cashflows\floatingratecoupon.cpp" />
+    <ClCompile Include="ql\cashflows\iborcoupon.cpp" />
+    <ClCompile Include="ql\cashflows\indexedcashflow.cpp" />
+    <ClCompile Include="ql\cashflows\inflationcoupon.cpp" />
+    <ClCompile Include="ql\cashflows\inflationcouponpricer.cpp" />
+    <ClCompile Include="ql\cashflows\lineartsrpricer.cpp" />
+    <ClCompile Include="ql\cashflows\overnightindexedcoupon.cpp" />
+    <ClCompile Include="ql\cashflows\rangeaccrual.cpp" />
+    <ClCompile Include="ql\cashflows\replication.cpp" />
+    <ClCompile Include="ql\cashflows\simplecashflow.cpp" />
+    <ClCompile Include="ql\cashflows\timebasket.cpp" />
+    <ClCompile Include="ql\cashflows\yoyinflationcoupon.cpp" />
     <ClCompile Include="ql\experimental\finitedifferences\gbsmrndcalculator.cpp" />
     <ClCompile Include="ql\experimental\math\fireflyalgorithm.cpp" />
     <ClCompile Include="ql\experimental\math\gaussiannoncentralchisquaredpolynomial.cpp" />
@@ -1827,7 +1860,6 @@
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@@ -1934,34 +1966,6 @@
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-    <ClCompile Include="ql\cashflows\cpicouponpricer.cpp" />
-    <ClCompile Include="ql\cashflows\digitalcmscoupon.cpp" />
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-    <ClCompile Include="ql\cashflows\fixedratecoupon.cpp" />
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-    <ClCompile Include="ql\cashflows\indexedcashflow.cpp" />
-    <ClCompile Include="ql\cashflows\inflationcoupon.cpp" />
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     <ClCompile Include="ql\indexes\indexmanager.cpp" />
@@ -1976,6 +1980,7 @@
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     <ClCompile Include="ql\indexes\ibor\libor.cpp" />
     <ClCompile Include="ql\indexes\ibor\shibor.cpp" />
+    <ClCompile Include="ql\indexes\ibor\sofr.cpp" />
     <ClCompile Include="ql\indexes\ibor\sonia.cpp" />
     <ClCompile Include="ql\indexes\swap\chfliborswap.cpp" />
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@@ -2511,7 +2516,6 @@
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-    <ClCompile Include="ql\cashflows\lineartsrpricer.cpp" />
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     <ClCompile Include="ql\experimental\coupons\proxyibor.cpp" />
     <ClCompile Include="ql\experimental\coupons\quantocouponpricer.cpp" />
@@ -2666,6 +2670,8 @@
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     <ClCompile Include="ql\experimental\math\tcopulapolicy.cpp" />
     <ClCompile Include="ql\experimental\math\zigguratrng.cpp" />
+    <ClCompile Include="ql\experimental\futures\overnightindexfuture.cpp" />
+    <ClCompile Include="ql\experimental\futures\overnightindexfutureratehelper.cpp" />
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     <ClCompile Include="ql\currency.cpp" />
     <ClCompile Include="ql\discretizedasset.cpp" />
@@ -2678,6 +2684,7 @@
     <ClCompile Include="ql\money.cpp" />
     <ClCompile Include="ql\position.cpp" />
     <ClCompile Include="ql\prices.cpp" />
+    <ClCompile Include="ql\rebatedexercise.cpp" />
     <ClCompile Include="ql\settings.cpp" />
     <ClCompile Include="ql\stochasticprocess.cpp" />
     <ClCompile Include="ql\termstructure.cpp" />