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ChangeLog.txt
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commit 1472131eedf454ac728912d720a2d09488a18458
Merge: 65054fa 46ca28f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 22 Jan 2018 17:27:02 +0100
Merge pull request #92.
commit 65054fa4daf1f3a272a0ad44ff2d0ca52afcf0f0
Merge: 14a5b31 9652a27
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 22 Jan 2018 16:06:44 +0100
Merge pull request #91.
commit 46ca28f8de0efe269129ef517219bd1cf115f670
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 20 Jan 2018 19:36:38 +0100
Hide imported module.
This avoids that importing all names from QuantLib overwrite a
previously imported name.
SWIG/date.i | 4 ++--
1 file changed, 2 insertions(+), 2 deletions(-)
commit 9652a2709dc973fa58d880d39e4e0961750b7e1a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 19 Jan 2018 21:27:41 +0100
Add __bool__ method for Python 3 where __nonzero__ is defined.
SWIG/common.i | 6 ++++++
SWIG/currencies.i | 10 +++++++---
SWIG/date.i | 3 +++
SWIG/linearalgebra.i | 3 +++
4 files changed, 19 insertions(+), 3 deletions(-)
commit 14a5b315ed299c48843957e3c567061d226a2fa0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 18 Jan 2018 12:37:21 +0100
Update VC# projects.
CSharp/csharp/NQuantLib.csproj | 12 ++++++++----
CSharp/csharp/NQuantLib_vc9.csproj | 12 ++++++++----
2 files changed, 16 insertions(+), 8 deletions(-)
commit 49360dc788975a175d93b3c363115c6514f5d9c4
Merge: 1dc6639 68c0e15
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Jan 2018 17:49:53 +0100
Merge pull request #59.
commit 68c0e15b4228cf75c6f13b13442b4ba9739f182a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Jan 2018 17:31:26 +0100
Ignore Java artifacts on Mac OS X.
.gitignore | 1 +
1 file changed, 1 insertion(+)
commit eca49e9e37578171acc4c3a7e7b3cd0bc567f607
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Jan 2018 17:30:39 +0100
Reorder examples.
Java/Makefile.am | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 10596c0c91dc2dcad8c532b73144c0228bfcba2a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Jan 2018 17:29:18 +0100
Remove unused import.
Java/examples/CallableBonds.java | 1 -
1 file changed, 1 deletion(-)
commit 9aa6ef32cfbd9714341946fe9da59a6057efeb25
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 16 Jan 2018 17:16:15 +0100
Use Handles as in C++ interface.
SWIG/bonds.i | 102 +++++++++++++++++++++++++++++------------------------------
1 file changed, 51 insertions(+), 51 deletions(-)
commit 1dc66395ac6db728058b29b33b625765540fb0b4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 9 Jan 2018 09:55:30 +0100
Remove non-ASCII characters from the license.
Unfortunately, setuptools chokes on them.
.gitignore | 2 ++
LICENSE.TXT | 2 +-
2 files changed, 3 insertions(+), 1 deletion(-)
commit 2f9f7c09d0172f367df84d0cc05afa37f904de3c
Merge: 50be644 b095b0b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 3 Jan 2018 16:26:57 +0100
Merge pull request #88.
commit b095b0bbc9c4c5a165cfadf8a5bd01dce77a6d9a
Author: Roy Zywina <roy@zywina.ca>
Date: Wed, 3 Jan 2018 09:38:39 -0500
removed vector<Size>
This required adding some boilerplate type conversions to
BrownianBridge. Its probably for the best, there are a number of
stackoverflow threads detailing the pitfalls of vector<size_t>.
SWIG/montecarlo.i | 23 ++++++++++++++++++-----
SWIG/types.i | 2 +-
SWIG/vectors.i | 2 --
3 files changed, 19 insertions(+), 8 deletions(-)
commit 50be6445f88339dba66e92164454b1f0b31905e1
Merge: 118d9b8 688e74b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 3 Jan 2018 14:05:59 +0100
Merge pull request #90.
commit 688e74b5c36e82e62527b1c2d1d4befa5e5ef885
Author: marcinole <34920093+marcinole@users.noreply.github.com>
Date: Wed, 3 Jan 2018 12:36:10 +0100
Reset global evaluation date to default after test (#1)
* Reset global evaluation date to default after test
So the global evaluation date change does not affect other tests.
Python/test/bonds.py | 3 +++
Python/test/ratehelpers.py | 3 +++
2 files changed, 6 insertions(+)
commit 607697ac4644122f5e4565d35aa56d5249bc8124
Author: marcinole <34920093+marcinole@users.noreply.github.com>
Date: Tue, 2 Jan 2018 17:46:56 +0100
Override global evaluation date
In order to avoid pricing test failure for the bond with hard-coded maturity set to 2-Jan-2018.
Python/test/ratehelpers.py | 1 +
1 file changed, 1 insertion(+)
commit 72833aa69ced6e52bcd72d973fd3ee99b736cd66
Author: marcinole <34920093+marcinole@users.noreply.github.com>
Date: Tue, 2 Jan 2018 17:43:52 +0100
Override global evaluation date
In order to avoid pricing test failure for the bond with hard-coded maturity set to 2-Jan-2018.
Python/test/bonds.py | 1 +
1 file changed, 1 insertion(+)
commit b69e98be276ee33f95c72a1b88e99a38e65f2d33
Author: Roy Zywina <roy@zywina.ca>
Date: Mon, 1 Jan 2018 19:18:01 -0500
cleanup in SobolRsg
SWIG/randomnumbers.i | 9 +++------
1 file changed, 3 insertions(+), 6 deletions(-)
commit 51b697b795d3e955e19b60fb4283fcaaea547dad
Author: Roy Zywina <roy@zywina.ca>
Date: Fri, 29 Dec 2017 00:54:59 -0500
add normal conversion templates for SobolRsg
SWIG/montecarlo.i | 3 +--
SWIG/randomnumbers.i | 6 +++++-
2 files changed, 6 insertions(+), 3 deletions(-)
commit 0a9cdc957239cfd14be2330e07e95c6406e1bbe8
Author: Roy Zywina <roy@zywina.ca>
Date: Thu, 28 Dec 2017 18:25:01 -0500
wrapped BrownianBridge + more methods in SobolRsg
Changing definition of 'Size' from std::size_t to size_t was necessary
because SWIG doesn't understand std::size_t. This doesn't effect
code generation.
SWIG/montecarlo.i | 29 +++++++++++++++++++++++++++++
SWIG/randomnumbers.i | 12 ++++++++++++
SWIG/types.i | 2 +-
SWIG/vectors.i | 2 ++
4 files changed, 44 insertions(+), 1 deletion(-)
commit 118d9b89c061e171f8f6a67707dbde030da8f468
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 19 Dec 2017 15:35:20 +0100
Detect language before injecting Python code.
SWIG/common.i | 2 ++
1 file changed, 2 insertions(+)
commit 8f1a954876f8cd1ada1bd08966eb32df05d52052
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 11 Dec 2017 09:27:00 +0100
Backported changes to template file.
Python/setup.py.in | 5 ++++-
1 file changed, 4 insertions(+), 1 deletion(-)
commit fc76edf563720a0c3a86335bc5e48f06a0c72da7
Merge: 084886f a428998
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 13 Dec 2017 11:47:41 +0100
Merge pull request #85.
commit a428998f6d3b969e1bf3b0fb19f483d7137a7c30
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 11 Dec 2017 09:27:00 +0100
Use setuptools when available.
Python/setup.py | 5 ++++-
1 file changed, 4 insertions(+), 1 deletion(-)
commit 084886fe8027930abc7512a0f57b6516db9bfaba
Merge: 6bd0718 b4648d3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Dec 2017 10:04:43 +0100
Merge pull request #83.
commit b4648d3282e401e0d57d6d1cbfa1bf777b36f446
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 6 Dec 2017 09:38:01 +0100
Add deprecation warning to Python wrappers.
SWIG/common.i | 10 ++++++++++
SWIG/distributions.i | 14 ++++++++++++++
2 files changed, 24 insertions(+)
commit 6bd0718adcabd49cabb1792744f5e7743e055f52
Merge: 2d96000 efde444
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 5 Dec 2017 17:19:56 +0100
Merge pull request #82.
commit efde44440856e5381dad2e133c81837bb46c85a4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 5 Dec 2017 17:04:29 +0100
Clone desired changes to template file.
Python/setup.py.in | 6 ++++++
1 file changed, 6 insertions(+)
commit 2d960004406ea5a898502ba610979e5c28ac5223
Merge: 2fa2a67 5a5f02d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 24 Nov 2017 09:38:43 +0100
Merge pull request #76.
commit 8941dc42e30f777b5752c90fa629d42072814ec2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 22 Nov 2017 16:21:27 +0100
Avoid another deprecated class.
SWIG/distributions.i | 10 +++++-----
1 file changed, 5 insertions(+), 5 deletions(-)
commit 2fa2a67b9cdd8f6cca65475464548555ac6b044f
Merge: 31b16c8 1471769
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Nov 2017 17:50:57 +0100
Merge pull request #81.
commit 14717691291a87ec540edb019a364e4db757668c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Nov 2017 17:41:27 +0100
Add Federal Reserve to United States calendar enumeration.
SWIG/calendars.i | 3 ++-
1 file changed, 2 insertions(+), 1 deletion(-)
commit 31b16c80eb5fc5272566b9f79fec798683e551a5
Merge: 74d1910 b0394a9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Nov 2017 17:34:41 +0100
Merge pull request #30.
commit b0394a911d15bf83cf4bb4ef4ccd0b8dc734ea4e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Nov 2017 17:33:55 +0100
Avoid encoding error.
Python/test/ratehelpers.py | 1 +
1 file changed, 1 insertion(+)
commit 6ac5ed0f4f5bc954bcff75afafe7639257aedf05
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 20 Nov 2017 17:20:10 +0100
Avoid using deprecated classes.
It's not clear how not to break old code.
SWIG/distributions.i | 18 +++++++++---------
1 file changed, 9 insertions(+), 9 deletions(-)
commit 0905b9257a8678899c2e480d6be9ee3fa0d521a7
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Sat, 18 Nov 2017 23:20:17 +0100
Adapting unit tests to the proposition of handling trading calendar in 67431ab
commit witing QuantLib project
Python/test/ratehelpers.py | 165 ++++++++++++++++++++++++++++++++++++++++-----
SWIG/ratehelpers.i | 4 +-
2 files changed, 150 insertions(+), 19 deletions(-)
commit 74d1910901dad4ccbadf15c2d4ec61bc0bddbda8
Merge: b9f2291 71b5cdb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 30 Oct 2017 16:42:16 +0100
Merge pull request #79.
commit 71b5cdbc70cfa19e225f6c19ae1dce7a98f49ef0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 30 Oct 2017 15:19:35 +0100
Require latest QuantLib version.
SWIG/ql.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 29787d854142ee1d441f516b0f5f6c00be95d255
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Sat, 28 Oct 2017 02:05:04 +0200
Added swig version warning if `python setup.py wrap` is called
Python/setup.py | 6 ++++++
1 file changed, 6 insertions(+)
commit c588abce11c36e26541020cb10fd3d40720849c0
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Sat, 28 Oct 2017 01:54:10 +0200
Updated configure script to warn about swig major version below 3.
configure.ac | 8 ++++++++
1 file changed, 8 insertions(+)
commit e49be0762a160a7024396e620f2069e2e9302fa2
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Sat, 28 Oct 2017 00:12:51 +0200
Extended enum Market to catch up with c++ code
SWIG/calendars.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit b9f229122120f58e7593bc867b9e1abec3816595
Merge: fe7bfca e3ee957
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 19 Oct 2017 14:27:45 +0200
Merge pull request #78.
commit c4cb5fe590b7a57841b281a12a9caaaf18263ab3
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Sun, 8 Oct 2017 13:28:20 +0200
Code celanup and formatting
Python/test/ratehelpers.py | 53 ++++++++++++++++++----------------------------
1 file changed, 21 insertions(+), 32 deletions(-)
commit dffe8abe7596ac35ed7be7837d6788491d783f94
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Sun, 8 Oct 2017 13:10:09 +0200
Improving test cases, changing default behaviour of FxSwapRateHelper
Python/test/ratehelpers.py | 31 ++++++++-----------------------
SWIG/ratehelpers.i | 2 +-
2 files changed, 9 insertions(+), 24 deletions(-)
commit e3ee9576becbfdde860a058762330e937f61dd81
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 3 Oct 2017 12:57:39 +0200
Remove obsolete scripts.
dev_tools/developers | 25 -------------------------
dev_tools/windistmzscheme.bat | 13 -------------
dev_tools/windistpython.bat | 14 --------------
dev_tools/windistruby.bat | 12 ------------
dev_tools/windistswig | 25 -------------------------
5 files changed, 89 deletions(-)
commit d14269600f25ce76261558425e0826e123ad7e40
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 3 Oct 2017 12:56:10 +0200
Remove obsolete support for Objective Caml.
.gitignore | 5 -----
Makefile.am | 2 +-
OCaml/Makefile.am | 52 ----------------------------------------------------
OCaml/README.txt | 1 -
SWIG/types.i | 12 ------------
configure.ac | 11 -----------
6 files changed, 1 insertion(+), 82 deletions(-)
commit cb11d0b5edb145aa28510c7b2dce62811c63a1b7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 3 Oct 2017 12:35:52 +0200
Remove obsolete support for MzScheme.
.gitignore | 1 -
Makefile.am | 2 +-
MzScheme/Makefile.am | 36 ----
MzScheme/README.txt | 31 ---
MzScheme/examples/american-option.scm | 115 -----------
MzScheme/examples/bermudan-swaption.scm | 303 ----------------------------
MzScheme/examples/european-option.scm | 130 ------------
MzScheme/examples/swap.scm | 337 --------------------------------
MzScheme/examples/tabulate.scm | 37 ----
MzScheme/quantlib/ql-init.ss | 29 ---
MzScheme/quantlib/quantlib.ss | 24 ---
MzScheme/setup.scm | 181 -----------------
MzScheme/setup.scm.in | 181 -----------------
MzScheme/test/common.scm | 63 ------
MzScheme/test/instruments.scm | 55 ------
MzScheme/test/integrals.scm | 47 -----
MzScheme/test/marketelements.scm | 57 ------
MzScheme/test/quantlib-test-suite.scm | 43 ----
MzScheme/test/solvers1d.scm | 61 ------
MzScheme/test/termstructures.scm | 167 ----------------
MzScheme/test/unittest.scm | 80 --------
MzScheme/test/utilities.scm | 82 --------
SWIG/bondfunctions.i | 22 ---
SWIG/bonds.i | 17 --
SWIG/calendars.i | 15 --
SWIG/calibrationhelpers.i | 8 +-
SWIG/capfloor.i | 9 -
SWIG/common.i | 7 +-
SWIG/currencies.i | 15 --
SWIG/date.i | 57 ------
SWIG/daycounters.i | 13 --
SWIG/defaultprobability.i | 16 +-
SWIG/discountcurve.i | 2 +-
SWIG/distributions.i | 60 ++----
SWIG/exchangerates.i | 2 +-
SWIG/forwardcurve.i | 2 +-
SWIG/functions.i | 111 -----------
SWIG/grid.i | 4 +-
SWIG/indexes.i | 21 --
SWIG/inflation.i | 37 +---
SWIG/instruments.i | 7 -
SWIG/integrals.i | 10 -
SWIG/interestrate.i | 9 -
SWIG/interpolation.i | 10 +-
SWIG/linearalgebra.i | 253 +-----------------------
SWIG/marketelements.i | 18 +-
SWIG/money.i | 50 -----
SWIG/montecarlo.i | 47 -----
SWIG/null.i | 43 ----
SWIG/observer.i | 58 ------
SWIG/operators.i | 56 ------
SWIG/optimizers.i | 36 ----
SWIG/options.i | 25 +--
SWIG/piecewiseyieldcurve.i | 2 +-
SWIG/ql.i | 4 +-
SWIG/quantlib.i | 3 -
SWIG/ratehelpers.i | 3 -
SWIG/rounding.i | 3 +-
SWIG/scheduler.i | 11 --
SWIG/settings.i | 5 -
SWIG/shortratemodels.i | 2 +-
SWIG/statistics.i | 25 ---
SWIG/swap.i | 27 ---
SWIG/termstructures.i | 8 -
SWIG/types.i | 4 -
SWIG/vectors.i | 2 +-
SWIG/volatilities.i | 49 -----
SWIG/zerocurve.i | 2 +-
configure.ac | 12 --
tools/check_copyrights.sh | 2 +-
70 files changed, 44 insertions(+), 3222 deletions(-)
commit bb66931f728921b4fc2ef8e4535ce55a79a73b64
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 3 Oct 2017 11:51:59 +0200
Remove obsolete support for Guile.
.gitignore | 2 -
Guile/Makefile.am | 35 ----
Guile/README.txt | 27 ---
Guile/examples/american-option.scm | 116 ------------
Guile/examples/bermudan-swaption.scm | 303 -------------------------------
Guile/examples/european-option.scm | 131 --------------
Guile/examples/swap.scm | 340 -----------------------------------
Guile/examples/tabulate.scm | 37 ----
Guile/setup.scm | 134 --------------
Guile/setup.scm.in | 134 --------------
Guile/test/common.scm | 63 -------
Guile/test/instruments.scm | 52 ------
Guile/test/integrals.scm | 45 -----
Guile/test/marketelements.scm | 52 ------
Guile/test/quantlib-test-suite.scm | 23 ---
Guile/test/solvers1d.scm | 61 -------
Guile/test/termstructures.scm | 163 -----------------
Guile/test/unittest.scm | 64 -------
Guile/test/utilities.scm | 86 ---------
Makefile.am | 2 +-
SWIG/bondfunctions.i | 2 +-
SWIG/bonds.i | 4 +-
SWIG/calendars.i | 4 +-
SWIG/calibrationhelpers.i | 4 +-
SWIG/capfloor.i | 2 +-
SWIG/common.i | 6 +-
SWIG/currencies.i | 4 +-
SWIG/date.i | 10 +-
SWIG/daycounters.i | 4 +-
SWIG/defaultprobability.i | 8 +-
SWIG/discountcurve.i | 2 +-
SWIG/distributions.i | 40 ++---
SWIG/exchangerates.i | 2 +-
SWIG/forwardcurve.i | 2 +-
SWIG/functions.i | 57 ------
SWIG/grid.i | 4 +-
SWIG/indexes.i | 12 +-
SWIG/inflation.i | 18 +-
SWIG/instruments.i | 2 +-
SWIG/integrals.i | 10 --
SWIG/interestrate.i | 2 +-
SWIG/interpolation.i | 6 +-
SWIG/linearalgebra.i | 153 +---------------
SWIG/marketelements.i | 2 +-
SWIG/money.i | 4 +-
SWIG/montecarlo.i | 34 +---
SWIG/null.i | 36 +---
SWIG/observer.i | 39 +---
SWIG/operators.i | 6 +-
SWIG/optimizers.i | 29 +--
SWIG/options.i | 14 +-
SWIG/piecewiseyieldcurve.i | 2 +-
SWIG/ql.i | 2 +-
SWIG/quantlib.i | 16 --
SWIG/ratehelpers.i | 2 +-
SWIG/rounding.i | 2 +-
SWIG/scheduler.i | 18 +-
SWIG/settings.i | 2 +-
SWIG/shortratemodels.i | 2 +-
SWIG/statistics.i | 8 +-
SWIG/swap.i | 4 +-
SWIG/termstructures.i | 2 +-
SWIG/vectors.i | 2 +-
SWIG/volatilities.i | 10 +-
SWIG/zerocurve.i | 2 +-
configure.ac | 12 --
tools/check_copyrights.sh | 2 +-
67 files changed, 123 insertions(+), 2357 deletions(-)
commit ebc84388ebf73b142372892636b5ec6966cd45a6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 2 Oct 2017 13:21:17 +0200
Increase version number to 1.2.
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 b8f3c5c189c592813ab41e48d27d290cc387b304
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 2 Oct 2017 13:18:40 +0200
Increase version number to 1.11.1.
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 5a5f02d8226f1ff1a0b3b350f6b1cb2800e369ec
Author: Robin Northcott <robin.northcott@pimco.com>
Date: Tue, 26 Sep 2017 16:55:32 +1000
exposed more FittingMethod methods, added weights input to all current methods
SWIG/fittedbondcurve.i | 19 ++++++++++++++-----
1 file changed, 14 insertions(+), 5 deletions(-)
commit 151a6c21ae88d1944a1433f9632bb9debb0c08ff
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Wed, 21 Jun 2017 10:36:32 +0100
Update example to show how settlement date is passed in
Java/examples/CallableBondsOAS.java | 14 ++++++++------
1 file changed, 8 insertions(+), 6 deletions(-)
commit 2021d05cbc7bf7f79871dca2d468ad456489a5e9
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Fri, 5 May 2017 12:03:28 +0100
Add example parallel execution
Java/Makefile.am | 2 +-
Java/examples/CallableBondsOAS.java | 27 +++++++++++++++++++++++++--
2 files changed, 26 insertions(+), 3 deletions(-)
commit fc8fc662241fa1c1f664bdc2fcbdc2ec42600d6e
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Thu, 4 May 2017 23:20:01 +0100
Add example of puttable bond
Java/examples/CallableBondsOAS.java | 49 +++++++++++++++++++++++++++++++++++--
1 file changed, 47 insertions(+), 2 deletions(-)
commit e059da69064a02d850cd53de58c0ded51918c97d
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Thu, 4 May 2017 22:55:39 +0100
Bump size for duration/convexity should be a parameter
SWIG/bonds.i | 12 ++++++++----
1 file changed, 8 insertions(+), 4 deletions(-)
commit 95ba87824ce0424cc07c5fe249530c95a6b1c5eb
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Thu, 4 May 2017 13:38:32 +0100
Add another longer dated callable example
Java/examples/CallableBondsOAS.java | 53 +++++++++++++++++++++++++++++++++++++
1 file changed, 53 insertions(+)
commit 99d8c02aa648f8bb35c7c51439d9d772ea635e42
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Thu, 4 May 2017 12:01:35 +0100
Add example focused on OAS calculations
Java/Makefile.am | 2 +-
Java/examples/CallableBondsOAS.java | 244 ++++++++++++++++++++++++++++++++++++
2 files changed, 245 insertions(+), 1 deletion(-)
commit 29bbebcfd12c5a0ea6c6fea2dfc994ca79d8f37f
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Mon, 24 Apr 2017 10:03:37 +0100
Add OAS calculations to Java CallableBond
Java/examples/CallableBonds.java | 41 +++++++++++++++++++++++++++++++++++++---
1 file changed, 38 insertions(+), 3 deletions(-)
commit 7a45a685785431a16f49b4152980f89856b4518d
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Thu, 20 Apr 2017 21:25:59 +0100
Add remainder of OAS-related API
SWIG/bonds.i | 44 ++++++++++++++++++++++++++++++++++++++++++++
1 file changed, 44 insertions(+)
commit b4988796f840fea2592e23988efc145a41ee0a6e
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Wed, 19 Apr 2017 22:18:59 +0100
Update for new OAS interface
SWIG/bonds.i | 17 +++++++++++------
1 file changed, 11 insertions(+), 6 deletions(-)
commit 9a2fc592c369ef6a59ac7931eceb15c533f5fb0f
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Wed, 19 Apr 2017 21:11:22 +0100
Add the Copyright
SWIG/bonds.i | 1 +
1 file changed, 1 insertion(+)
commit 3724e9874ee767bf020cf00d47c15ce5083e3034
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Wed, 19 Apr 2017 10:37:43 +0100
Add OAS function
SWIG/bonds.i | 15 +++++++++++++++
1 file changed, 15 insertions(+)
commit 78250131fcf2cfd629754bcbf3cc10fbc216a597
Author: Bojan Nikolic <bnalgorithms@bnikolic.co.uk>
Date: Wed, 12 Apr 2017 21:23:37 +0100
Ensure install directory exists
Java/Makefile.am | 1 +
1 file changed, 1 insertion(+)
commit ffd42bbbde2b143d83d5c0e7f8fa0b583f686383
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Wed, 31 Aug 2016 22:37:12 +0200
Brings new definition of FxSwapRateHelper.
Implementation is supplemented with a number of test cases available
for Python in Python/test/ratehelpers.py.
Python/test/ratehelpers.py | 3 ++-
SWIG/ratehelpers.i | 7 ++++---
2 files changed, 6 insertions(+), 4 deletions(-)
commit ce32c640c54c104ecf92b1eac5aa75e25c99754f
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Tue, 30 Aug 2016 00:06:12 +0200
Added test cases for FxSwapRateHelper class related to fx spot market settlement rules.
Current implementation fails one test, as the generated schedule does not take into account the FX spot market convention. It is not sufficient to provide to FxSwapRateHelper JointCalendar with US calendar, as the spot date is moved two business days forward and then only in case this date is not a US business day, it is shifted another day
Python/test/QuantLibTestSuite.py | 3 +-
Python/test/ratehelpers.py | 171 ++++++++++++++++++++++++++++++---------
2 files changed, 134 insertions(+), 40 deletions(-)
commit 34d268d16e04a7a860bbff7fa85874b067550730
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Mon, 29 Aug 2016 01:10:31 +0200
Added tests to test suite
Python/test/ratehelpers.py | 1 +
1 file changed, 1 insertion(+)
commit be4d693106c199efb4f6f35067fa643d5c0a9afa
Author: Wojciech Slusarski <wojciech.slusarski@gmail.com>
Date: Mon, 29 Aug 2016 00:39:13 +0200
Added FxSwapRateHelper class as available to Python port of
QuantLib-SWIG, prepared initial implementation of test cases.
TODO:
1. Format and comment the unit tests.
2. Prepare additional unit tests of the FxSwapRateHelper class,
current implementation does not take into account the US
Calendar, which should be for determination of spot and
settlement dates.
Python/test/ratehelpers.py | 216 +++++++++++++++++++++++++++++++++++++++++++--
SWIG/ratehelpers.i | 29 +++++-
2 files changed, 235 insertions(+), 10 deletions(-)