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commit d596e90aaba4c58cbb4c1fb64ef31a34da5d5fe7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 17 Jan 2021 16:02:29 +0100
Set version to 1.21 final
Python/setup.py | 2 +-
SWIG/ql.i | 2 +-
configure.ac | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit b2dd54eba54e73b8662f404cc6ddef15ecca9b5c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Jan 2021 17:19:10 +0100
Allow for lack of empty payoff in wrappers
SWIG/futures.i | 19 ++++++++++++-------
1 file changed, 12 insertions(+), 7 deletions(-)
commit 27f3f49cba28f89bb7b7a372cc0b5b8d074cc38f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 5 Jan 2021 16:39:40 +0100
Update changelog and news
ChangeLog.txt | 1330 ++++++++++++++++-----------------------------------------
News.md | 51 +--
2 files changed, 386 insertions(+), 995 deletions(-)
commit 872ea986965105ceecdaad5a213dd49e288c1a85
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 5 Jan 2021 16:18:36 +0100
Set version to 1.21 rc
Python/setup.py | 2 +-
configure.ac | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit e54f57b59a99e78d2d55f91424913eb1ae9f0ca7
Merge: c05b15e 92e8163
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 4 Jan 2021 22:51:34 +0100
Merge pull request #355.
Avoid temporary object creation from Sample instances
commit 92e8163859ae2e11d9f9d4dff8b9def92fb89767
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 4 Jan 2021 13:46:51 +0100
Avoid temporary object creation from Sample instances
SWIG/randomnumbers.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit c05b15ece35a37a8f043001ce9f1ed10a16aa295
Merge: d442586 e4cc2ff
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 4 Jan 2021 09:58:59 +0100
Merge pull request #354.
Export OvernightIndexFuture class.
commit e4cc2ff96f95d134c10183c57ac80c78e4d584b0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 4 Jan 2021 09:11:13 +0100
Export OvernightIndexFuture class.
SWIG/futures.i | 19 ++++++++++++++++---
1 file changed, 16 insertions(+), 3 deletions(-)
commit d442586413b3adad1ecabf0242e45aad17f887f1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 31 Dec 2020 15:57:04 +0100
Update stale.yml
Reduce inactivity period before staleness
.github/stale.yml | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 90eabbcab39beedead2873fb95cff6bcc0dac13c
Merge: dd91f43 9c4729a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Dec 2020 18:12:58 +0100
Merge pull request #352.
Export lookback options
commit 9c4729a7f5a8dd2fae0797625b510cf5a2d57586
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Dec 2020 17:46:36 +0100
Export lookback options.
SWIG/lookbackoptions.i | 105 +++++++++++++++++++++++++++++++++++++++++++++++++
SWIG/options.i | 66 +++++++++++++++++++------------
SWIG/ql.i | 1 +
3 files changed, 146 insertions(+), 26 deletions(-)
commit 6cf8589853ab1796fb9a2a43dab4b875af6922c3
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 30 Dec 2020 15:18:31 +0000
Update copyright list in license
LICENSE.TXT | 2 ++
1 file changed, 2 insertions(+)
commit ce69b005715face1c39486fb555b81b6e215cfd1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Dec 2020 15:54:28 +0100
Split interface file for options
SWIG/asianoptions.i | 452 +++++++++++++++++++++
SWIG/barrieroptions.i | 513 ++++++++++++++++++++++++
SWIG/options.i | 1055 ++-----------------------------------------------
SWIG/ql.i | 8 +-
SWIG/spreadoption.i | 43 ++
SWIG/swingoption.i | 75 ++++
6 files changed, 1119 insertions(+), 1027 deletions(-)
commit dd91f435488688125bab1d3e45eca5d2ac502a7d
Merge: 42f01ce a7b8c97
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Dec 2020 15:21:32 +0100
Merge pull request #350.
Export multi-leg swap constructor
commit a7b8c97829274fa06f259e12148504ef44a4a076
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Dec 2020 13:19:30 +0100
Add multi-leg swap constructor
SWIG/cashflows.i | 6 +++++-
SWIG/swap.i | 2 ++
2 files changed, 7 insertions(+), 1 deletion(-)
commit 42f01ceb2ad0df1027f4ce629cdbf484a1016b8b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 30 Dec 2020 13:42:13 +0100
Try keeping python2 checks alive until next release
.build/python2.build | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 02b05a4608b8e45a63fe6269eb9b7dbb4961bb23
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 18 Dec 2020 15:26:17 +0100
Add all .cs files to VC# project.
CSharp/csharp/NQuantLib.csproj | 1154 +---------------------------------------
tools/sync_csharp_projects.sh | 26 -
2 files changed, 1 insertion(+), 1179 deletions(-)
commit 38b723c31cb35b096b4d02944fd84b38a1eb24ab
Merge: 08b25ec edecc14
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 17 Dec 2020 09:31:13 +0100
Merge pull request #349.
Exposing MC Geometric Asian Pricer and Arithmetic Asian Control Variate to SWIG
commit edecc1441a668168769d3da0dcddc15b02e7628e
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Wed, 16 Dec 2020 21:57:28 +0800
Exposing arithmetic asian control variate
SWIG/options.i | 12 ++++++++----
1 file changed, 8 insertions(+), 4 deletions(-)
commit 3525fa46a7459ed53681a3c739e8a7d869fc2959
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Wed, 16 Dec 2020 21:56:46 +0800
Adding Geometric MC Heston engine
SWIG/options.i | 23 +++++++++++------------
1 file changed, 11 insertions(+), 12 deletions(-)
commit 08b25ecf98de50b9d68166b141f11d108e897d4c
Merge: efeaa80 0cc9736
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Dec 2020 18:34:33 +0100
Merge pull request #347.
Extra Heston pricers
commit 0cc9736ac28925b6a9a2471e74c1757dc2f4f4c7
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Sun, 6 Dec 2020 10:37:35 +0800
Exposing Heston MC pricer for discrete geometric asians to SWIG
SWIG/options.i | 63 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 63 insertions(+)
commit 8f59079cfdb1e26c6aa35eefd57146a93f4ef143
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Sun, 6 Dec 2020 08:25:36 +0800
Exposing analytic Heston continuous geometric asian pricer to SWIG
SWIG/options.i | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit efeaa8029a2dbe6a9b64863c514b3efc5427e18f
Merge: 5dc67cd cc3b59d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 4 Dec 2020 09:52:19 +0100
Merge pull request #346.
Expose UFR and composite zero yield term structures
commit cc3b59d74051eb7de39c270122f9c02a21660828
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Dec 2020 23:58:20 +0100
Fixed indentation.
Python/test/termstructures.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit a178b230e193094a46529ec017518ec870e5b7b9
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Dec 2020 23:56:07 +0100
Fixed indentation.
Python/test/termstructures.py | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit 48e8a8d5a84a92184f00892ac4290cdb5c49d8d5
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Dec 2020 23:33:31 +0100
Updated compounding and frequency in unit test.
Python/test/termstructures.py | 11 ++++++-----
1 file changed, 6 insertions(+), 5 deletions(-)
commit a8b1ac74ef7de73f09f88d505a2a02c4eeebf339
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Dec 2020 23:18:38 +0100
Corrected a typo in error message.
Python/test/termstructures.py | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 103a71602e0aa68ebb05303ccbcbfa7fbd30f96c
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Dec 2020 23:06:44 +0100
Unified naming convention in test file.
Python/test/termstructures.py | 98 +++++++++++++++++++++----------------------
1 file changed, 49 insertions(+), 49 deletions(-)
commit d9afd602ad20b2d8415a66e8b5f2b2efc0d9787d
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Dec 2020 22:47:32 +0100
Updated copyright.
Python/test/termstructures.py | 3 ++-
SWIG/termstructures.i | 1 +
2 files changed, 3 insertions(+), 1 deletion(-)
commit a6ff1f38237735f54e32fafa976fabe94c31e6b7
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Dec 2020 22:45:39 +0100
Added unit test for UFR term structure.
Python/test/termstructures.py | 54 ++++++++++++++++++++++++++++++++++++++++---
1 file changed, 51 insertions(+), 3 deletions(-)
commit 138374b8859fde4e92efcbe74c7cd838fceb23cd
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Dec 2020 21:34:25 +0100
Unit tests for composite zero yield structure.
Python/test/termstructures.py | 41 +++++++++++++++++++++++++++++++++++++++--
1 file changed, 39 insertions(+), 2 deletions(-)
commit 54ad74697f5b7c1d58db6531fd1a4053009594f9
Author: Marcin <mrybacki12@gmail.com>
Date: Wed, 2 Dec 2020 21:33:59 +0100
Exposed composite zero yield structure.
SWIG/termstructures.i | 29 +++++++++++++++++++++++++++--
1 file changed, 27 insertions(+), 2 deletions(-)
commit 5dc67cd8c1cfdd2719ce1e5cef67faee9b6269f0
Merge: 55cd353 3515708
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 2 Dec 2020 18:43:40 +0100
Merge pull request #345.
Exposing two recent changes to SWIG
commit 3515708dacb76f634427f96b01a711682a283640
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Wed, 2 Dec 2020 19:55:17 +0800
Exposing timeSteps arguments to MC Heston Asian pricer in SWIG
SWIG/options.i | 21 +++++++++++++++++----
1 file changed, 17 insertions(+), 4 deletions(-)
commit f33df09f134d5ce6c6e9bff8fc319f11dbf15ab0
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Mon, 30 Nov 2020 08:55:39 +0800
Exposing MCForwardEuropeanHestonEngine's control variate param in SWIG
SWIG/options.i | 12 ++++++++----
1 file changed, 8 insertions(+), 4 deletions(-)
commit 55cd35323647a13a468dc0488b664172ff0fd861
Merge: 175f55c 7b59df5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 29 Nov 2020 12:09:43 +0100
Merge pull request #344.
Exposing Heston analytic forward european pricer to SWIG
commit 7b59df592867893c6b79a5d6643a47e9e7fa9255
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Sun, 29 Nov 2020 12:12:27 +0800
Exposing Heston analytic forward european pricer to SWIG
SWIG/options.i | 43 ++++++++++++++++++++++++++-----------------
1 file changed, 26 insertions(+), 17 deletions(-)
commit 175f55ccc7ef9e034bf0f3f14ea3296f82059e38
Merge: c0b6817 1b26753
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 28 Nov 2020 14:18:33 +0100
Merge pull request #342.
Exposing Sobol multipath generator in SWIG
commit 1b26753b5ccc37a3c482e45da12f96b555285995
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Sat, 28 Nov 2020 20:35:15 +0800
Clearing out duplicated SWIGR renaming
SWIG/montecarlo.i | 4 ----
1 file changed, 4 deletions(-)
commit c63371dd70a78f67c3343ff3348954714f82ea7e
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Sat, 28 Nov 2020 09:40:06 +0800
Combining PSR and LD multiPathGenerators via templates
SWIG/montecarlo.i | 64 ++++++++++++++++++++++++-------------------------------
1 file changed, 28 insertions(+), 36 deletions(-)
commit 8f65d3c162e54726640d6b21890ce7baf3904300
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Fri, 27 Nov 2020 18:34:32 +0800
Exposing Sobol multipath generator in SWIG
SWIG/montecarlo.i | 26 +++++++++++++++++++++++++-
1 file changed, 25 insertions(+), 1 deletion(-)
commit c0b68179b840f696cfcfd3fc865f4dbc7482973e
Merge: 0de60a2 2050229
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 20 Nov 2020 16:47:43 +0100
Merge pull request #340.
Exposes the new constructor added to AmortizingFixedRateBond
commit 0de60a222e8b908bfdb0ac0c59f322eb34c38e85
Merge: fdf2aba fd9ed1f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 20 Nov 2020 12:43:41 +0100
Merge pull request #339.
Exposing MC Heston Engine for discrete Arithmetic Asians
commit fd9ed1fce2e21282e0b6fa2776046cd6bc22772e
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Fri, 20 Nov 2020 17:42:05 +0800
Exposing MC Heston Engine for discrete Arithmetic Asians
SWIG/options.i | 54 ++++++++++++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 54 insertions(+)
commit 20502292e293d6fa5274b78fa0d781a54c7f2d9e
Author: Piter Dias <piter.dias@piterdias.com>
Date: Wed, 18 Nov 2020 14:03:28 -0300
Add a new constructor to AmortizingFixedRateBond that accepts a vector of InterestRate objects as coupons. The main use cases are Brazilian corporate bonds whose coupons usually are annually compounded following Business252 day counter.
SWIG/bonds.i | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit fdf2aba19ed1646eacd89cf7ee9cdbc854d96f92
Merge: 5a0ea56 3fae589
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 18 Nov 2020 10:41:31 +0100
Merge pull request #336.
Exposing MC forward-start option engines in SWIG
commit 5a0ea56495c8c9b2be4057be8e7b9334f9c5b5bb
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date: Wed, 18 Nov 2020 09:03:48 +0000
Fix uses of boost namespace
SWIG/cashflows.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 53a4f1bb1509cf0296db957d659a9a1228fdeaa9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 18 Nov 2020 09:54:19 +0100
Add action to check old uses of boost namespace
.github/workflows/namespaces.yml | 23 +++++++++++++++++++++++
1 file changed, 23 insertions(+)
commit c6afd171cb10d18b47ceaf5bbe2e261d691bb48f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 18 Nov 2020 09:44:46 +0100
Update create-pull-request action
.github/workflows/copyrights.yml | 3 ++-
.github/workflows/misspell.yml | 3 ++-
2 files changed, 4 insertions(+), 2 deletions(-)
commit 3fae5890e1d08fd8df82128c034d3ff04d223aba
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Wed, 18 Nov 2020 08:38:25 +0800
Exposing MC forward-start option engines in SWIG
SWIG/options.i | 138 ++++++++++++++++++++++++++++++++++++++++++++++++++++++++-
1 file changed, 137 insertions(+), 1 deletion(-)
commit 8f7ff814d47835ace3dc763024b8c6d203a0f35c
Merge: fb03d73 93cc887
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sun, 8 Nov 2020 17:14:58 +0100
Merge pull request #332.
Full parameter list in two methods
commit 93cc8879bfd2c48341bfa7a708cbd9b4e1dcdcdc
Author: Joe <joe.song@omnirisks.com>
Date: Fri, 6 Nov 2020 09:10:04 -0600
Full parameter list in two methods
SWIG/defaultprobability.i | 24 ++++++++++++++++++++----
1 file changed, 20 insertions(+), 4 deletions(-)
commit fb03d7331428b150a262f6cd505bb1c0529cdde5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 3 Nov 2020 09:37:28 +0100
Move CI build to GitHub Actions.
{.travis => .build}/csharp.build | 0
{.travis => .build}/java.build | 0
{.travis => .build}/python2.build | 0
{.travis => .build}/python3.build | 0
{.travis => .build}/r.build | 0
{.travis => .build}/scala.build | 0
.github/workflows/linux.yml | 15 +++++++++++++++
.travis.yml | 37 -------------------------------------
README.md | 2 +-
9 files changed, 16 insertions(+), 38 deletions(-)
commit 1e43ecc80b990674bfb365ff8f95ca4eab4549ba
Merge: 2d923cf a73018a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 29 Oct 2020 18:34:58 +0100
Merge pull request #328.
Added type() to VanillaSwap
commit 2d923cfa7ed6210153764979000341c977770d7a
Merge: 22f9a58 076e06c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 29 Oct 2020 18:34:05 +0100
Merge pull request #327.
Expose localVolatility method of GBS-process to SWIG
commit 22f9a58ede289ce7371eecebf2db7f4f0c6fa865
Merge: 3a236d7 8b0d409
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 29 Oct 2020 18:33:25 +0100
Merge pull request #326.
Expose VolDeltaQuote's public methods in SWIG
commit 3a236d71e06075f6ef7e43e266c70b32e70c4df0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 29 Oct 2020 15:36:23 +0100
Use GitHub Container Registry for Travis build.
.travis.yml | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)
commit 73d27ad93fd34871da5c259ffb2da59d9804ad96
Merge: 1523779 9fae8e0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 29 Oct 2020 12:10:14 +0100
Merge pull request #329.
Add Python example of cash-flow analysis.
commit a73018a98500595a55a5d9bbf502f8c37dffe5cd
Author: RalfKonrad <bitbucket@eckel-consulting.de>
Date: Tue, 27 Oct 2020 15:45:27 +0100
Added type() to VanillaSwap
SWIG/swap.i | 1 +
1 file changed, 1 insertion(+)
commit 15237796fe99f01dbf28c67ece6a3dcab293570d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 26 Oct 2020 11:34:23 +0100
Update version to 1.21-dev
Python/setup.py | 2 +-
R/DESCRIPTION | 2 +-
configure.ac | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 076e06c5524e7b45ae07642d1ead53f71981235a
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Mon, 26 Oct 2020 15:18:41 +0800
Expose lovalVolatility method of GBS-process to SWIG
SWIG/stochasticprocess.i | 1 +
1 file changed, 1 insertion(+)
commit 8b0d409b615eb5e7d1a6668f27ceb232013e6cdf
Author: jackgillett101 <jack.gillett@cantab.net>
Date: Fri, 23 Oct 2020 15:53:39 +0800
Expose VolDeltaQuote's public methods in SWIG
This will allow creation of vol surfaces from just a list of DeltaVolQuote objects
SWIG/options.i | 5 +++++
1 file changed, 5 insertions(+)
commit 9fae8e07bd097e226cb5dd330926bd1d8ec32ac8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 19 Oct 2020 12:00:24 +0200
Add example on cash-flow analysis.
Python/examples/cashflows.py | 158 +++++++++++++++++++++++++++++++++++++++++++
1 file changed, 158 insertions(+)
commit a87efb6475e056095233bddaf60850171e9797e5
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 15 Oct 2020 15:23:21 +0200
Exposed UltimateForwardTermStructure.
SWIG/termstructures.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 023f8f60a4209083f79a708a4dcf57b41bc0a565
Author: Marcin <mrybacki12@gmail.com>
Date: Thu, 15 Oct 2020 10:28:47 +0200
Exposed the UFR curve.
SWIG/termstructures.i | 16 ++++++++++++++++
1 file changed, 16 insertions(+)