commit b16200d7690373337c2009f20ef5ac4dbebbeb51

Author: Luigi Ballabio <[email protected]>

Date: Mon, 12 Jul 2021 09:46:54 +0200

Set version to 1.39 final.

CMakeLists.txt | 4 ++--

configure.ac | 2 +-

ql/version.hpp | 4 ++--

3 files changed, 5 insertions(+), 5 deletions(-)

commit f5b93e4a95d4a2d7399500f410b7dfc4006fcdc2

Author: Luigi Ballabio <[email protected]>

Date: Tue, 8 Jul 2025 15:13:48 +0200

Add warning about latest VC++

News.md | 10 ++++++++++

1 file changed, 10 insertions(+)

commit 9a51b98fa8ae6dbd647d158bc778e8602de43cef

Author: Luigi Ballabio <[email protected]>

Date: Wed, 4 Oct 2023 11:52:15 +0200

Set version to 1.39-rc

CMakeLists.txt | 4 ++--

configure.ac | 2 +-

ql/version.hpp | 4 ++--

3 files changed, 5 insertions(+), 5 deletions(-)

commit 93d64f1bb26d9ae12861f653d89d0ecce8604037

Author: Luigi Ballabio <[email protected]>

Date: Tue, 8 Jul 2025 12:31:57 +0200

Update news, contributors and changelog

ChangeLog.txt | 1751 +++++++++++++++++++++--------------------------

Contributors.txt | 3 +

Docs/pages/history.docs | 87 ++-

News.md | 159 ++---

4 files changed, 932 insertions(+), 1068 deletions(-)

commit 272a31200960bc03aa9607212da42c60173a919f

Author: Luigi Ballabio <[email protected]>

Date: Mon, 7 Jul 2025 20:52:40 +0200

Update test messages

test-suite/interpolations.cpp | 2 +-

test-suite/optionletstripper.cpp | 2 +-

2 files changed, 2 insertions(+), 2 deletions(-)

commit f103f5eed4e6987920eeab40bdd6bcc0f1713a85

Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

Date: Mon, 7 Jul 2025 09:31:48 +0000

Automated fixes by clang-tidy

ql/models/marketmodels/products/multistep/multistepnothing.cpp | 4 ++--

test-suite/optionletstripper.cpp | 2 +-

2 files changed, 3 insertions(+), 3 deletions(-)

commit 01fe85db37c5294747ec29eca2304bd2abdd37fb

Author: Luigi Ballabio <[email protected]>

Date: Tue, 1 Jul 2025 14:37:20 +0200

Add missing header

ql/version.hpp | 1 +

1 file changed, 1 insertion(+)

commit 8f90fe24f32d55405ae09af1cfd85536226b430b

Author: Luigi Ballabio <[email protected]>

Date: Tue, 1 Jul 2025 11:44:15 +0200

Avoid a few warnings or errors when using the latest C++ standards

ql/experimental/exoticoptions/spreadoption.hpp | 4 ++++

ql/models/marketmodels/products/multistep/multistepnothing.cpp | 5 ++---

2 files changed, 6 insertions(+), 3 deletions(-)

commit 961419fba805130e665358f5a1f4d3275ad87308

Merge: d0ec3e34ba 97f35c8831

Author: Luigi Ballabio <[email protected]>

Date: Tue, 1 Jul 2025 11:24:26 +0200

Optionlet frequency optional param support in `OptionletStripper` (#2253)

commit 97f35c8831e429dc5a5240469f8b0fcb2e578900

Author: Paolo D'Elia <[email protected]>

Date: Mon, 30 Jun 2025 16:09:18 +0200

Add check for optionlet frequency for ON indexes when initializing optionletstripper

ql/termstructures/volatility/optionlet/optionletstripper.cpp | 5 +++++

1 file changed, 5 insertions(+)

commit d0ec3e34ba76e13cedf0e4e51b39b6219d089dc4

Author: Luigi Ballabio <[email protected]>

Date: Wed, 25 Jun 2025 23:37:51 +0200

Temporarily disable test for broken 2022 toolset

.github/workflows/cmake.yml | 6 +++---

.github/workflows/msvc-all-configs.yml | 4 ++--

.github/workflows/msvc-nondefault.yml | 2 ++

.github/workflows/msvc.yml | 2 ++

4 files changed, 9 insertions(+), 5 deletions(-)

commit 1bb39b012ab9d4e28ed213571767d99581ecf818

Author: Luigi Ballabio <[email protected]>

Date: Tue, 24 Jun 2025 14:50:38 +0200

Avoid the deprecated windows-2019 image.

We can use different toolsets with MSVC 2022 instead.

.github/workflows/msvc-all-configs.yml | 15 +++++++--------

.github/workflows/msvc-nondefault.yml | 15 +++++++--------

.github/workflows/msvc.yml | 15 +++++++--------

3 files changed, 21 insertions(+), 24 deletions(-)

commit 85c975843210c585c3e18ef468948d3fbbc0c3f5

Author: paolodelia99 <[email protected]>

Date: Mon, 23 Jun 2025 15:09:22 +0200

Test refactoring

test-suite/optionletstripper.cpp | 98 +++++++++++++++++++++-------------------

1 file changed, 51 insertions(+), 47 deletions(-)

commit 70bc8e0600c596440d383ce92b5d499e5e2de6f5

Author: paolodelia99 <[email protected]>

Date: Mon, 23 Jun 2025 14:44:10 +0200

Add newer test in lower speed tests

test-suite/optionletstripper.cpp | 2 +-

1 file changed, 1 insertion(+), 1 deletion(-)

commit d1f124f0af993d1badf6ff5658d123d81f50c659

Author: paolodelia99 <[email protected]>

Date: Mon, 23 Jun 2025 11:50:49 +0200

Add optionletFrequency as optional param and related tests

.../volatility/optionlet/optionletstripper.cpp | 13 +-

.../volatility/optionlet/optionletstripper.hpp | 5 +-

.../volatility/optionlet/optionletstripper1.cpp | 5 +-

.../volatility/optionlet/optionletstripper1.hpp | 3 +-

.../volatility/optionlet/optionletstripper2.cpp | 3 +-

test-suite/optionletstripper.cpp | 166 +++++++++++++++++++++

6 files changed, 187 insertions(+), 8 deletions(-)

commit 4460bb64b83fffe0a12cea39ba90d2ba0330600a

Merge: a243e1e086 3ea2ca1da0

Author: Luigi Ballabio <[email protected]>

Date: Thu, 19 Jun 2025 09:16:07 +0200

Enhance MakeOIS default settlement days test and use settlement days t+1 for CORRA (#2241)

commit a243e1e086640783c4aebfd3ae7d4f29e353a7cd

Merge: 42883f775c a594d06103

Author: Luigi Ballabio <[email protected]>

Date: Thu, 19 Jun 2025 09:13:45 +0200

Add FxSwapRateHelper constructor with fixed dates (#2244)

commit 3ea2ca1da09a39775253949856afc288911b3aab

Author: Zak <[email protected]>

Date: Wed, 18 Jun 2025 19:45:16 -0500

Update CORRA settlement days and add test for default settlement days in MakeOIS

- Change CORRA settlement days from T+0 to T+1 to match market convention

- Add comprehensive test for default settlement days across all overnight indices

- Verify T+0 settlement for SONIA

- Verify T+1 settlement for CORRA

- Verify T+2 settlement for all other indices (EONIA, ESTR, FedFunds, etc.)

- Test manual override of settlement days

- Test weekend handling for all settlement patterns

ql/instruments/makeois.cpp | 11 +++++++----

test-suite/overnightindexedswap.cpp | 28 +++++++++++++++++++++-------

2 files changed, 28 insertions(+), 11 deletions(-)

commit a594d0610380616d3123675f577a1fd2ea9ce69e

Author: Eugene Toder <[email protected]>

Date: Fri, 13 Jun 2025 23:14:17 -0400

Add FxSwapRateHelper constructor with fixed dates

ql/termstructures/yield/ratehelpers.cpp | 16 ++++++++++++++++

ql/termstructures/yield/ratehelpers.hpp | 6 ++++++

test-suite/piecewiseyieldcurve.cpp | 17 ++++++++++++++---

3 files changed, 36 insertions(+), 3 deletions(-)

commit d889c73e47b1bd504b8457ca3befd234c3df265d

Author: Zak <[email protected]>

Date: Tue, 17 Jun 2025 18:55:40 -0500

Enhance MakeOIS default settlement days test

- Refactor test to use vectors and loops for better maintainability

- Test all available overnight indices (SONIA, CORRA, EONIA, ESTR, FedFunds, SOFR, AONIA, TONA, SARON, NZOCR, DESTR, SWESTR, KOFR, MOSPRIME)

- Group indices by settlement days (0-day and 2-day)

- Add comprehensive tests for:

* Default settlement days

* Manual settlement day overrides

* Weekend handling

- Improve code organization with clear comments and logical grouping

test-suite/overnightindexedswap.cpp | 66 +++++++++++++++++++++++++++++--------

1 file changed, 53 insertions(+), 13 deletions(-)

commit 42883f775c7df377e5c826a973531c3a21ee8044

Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

Date: Sun, 15 Jun 2025 01:40:41 +0000

Automated fixes by clang-tidy

test-suite/calendars.cpp | 6 +++---

1 file changed, 3 insertions(+), 3 deletions(-)

commit 89f2143f98280af0a79b8ece0f7eda2f9ce6ea8e

Merge: 4c41586099 2e9efb5937

Author: Luigi Ballabio <[email protected]>

Date: Mon, 16 Jun 2025 09:15:29 +0200

Fix 30/360 USA calculation (#2243)

commit 4c4158609998fdd5ef6cc3435f1ee18f578b4c66

Merge: 0c872a6234 c062f046a4

Author: Luigi Ballabio <[email protected]>

Date: Fri, 13 Jun 2025 09:02:50 +0200

Add SHIR fixing calendar (#2242)

commit 2e9efb593788e6d2f653f1c81429390e9187f423

Author: Eugene Toder <[email protected]>

Date: Thu, 12 Jun 2025 13:04:58 -0400

Fix 30/360 USA calculation

The checks should be done in the specific order. Alternatively, the rule

if (dd2 == 31 && dd1 >= 30) dd2 = 30;

can be changed to

if (dd2 == 31 && (dd1 >= 30 || isLastOfFebruary(d1))) dd2 = 30;

ql/time/daycounters/thirty360.cpp | 11 +++++---

test-suite/daycounters.cpp | 54 +++++++++++++++++++++++++++++++++++++++

2 files changed, 61 insertions(+), 4 deletions(-)

commit c062f046a4f2e5835d5529c1b2b60872f82c0633

Author: Luigi Ballabio <[email protected]>

Date: Thu, 12 Jun 2025 15:26:19 +0200

Add SHIR fixing calendar

ql/time/calendars/israel.cpp | 745 +++++++++++++++++++++++++------------------

ql/time/calendars/israel.hpp | 11 +-

test-suite/calendars.cpp | 121 +++++++

3 files changed, 566 insertions(+), 311 deletions(-)

commit 94982ed793269e545181757e9a327bc97046da93

Author: Luigi Ballabio <[email protected]>

Date: Wed, 11 Jun 2025 13:22:00 +0200

Factor out checks for better output

test-suite/calendars.cpp | 245 +++++++++++++----------------------------------

1 file changed, 69 insertions(+), 176 deletions(-)

commit 0c872a6234ebd489628ffef6d895c6ea4959c7fc

Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

Date: Sun, 8 Jun 2025 01:26:48 +0000

Automated fixes by clang-tidy

ql/termstructures/inflation/inflationhelpers.cpp | 6 +++---

ql/termstructures/inflation/inflationhelpers.hpp | 2 +-

2 files changed, 4 insertions(+), 4 deletions(-)

commit 0a0f4f345a13a1a1eb82c7ecc26c6ed0731b343d

Merge: ee644ccd50 cb517212da

Author: Luigi Ballabio <[email protected]>

Date: Thu, 5 Jun 2025 13:21:17 +0200

Fix default settlement logic in MakeOIS: SONIA=0, CORRA=0, others=2. (#2237)

commit cb517212dad1d8543d3745e65ea72472b0e23dda

Author: Luigi Ballabio <[email protected]>

Date: Thu, 5 Jun 2025 11:07:56 +0200

Remove conflicting default value

ql/instruments/makeois.hpp | 2 +-

1 file changed, 1 insertion(+), 1 deletion(-)

commit ee644ccd50c73c31993254c128d02a56d89c0b1a

Merge: b1c18c7935 293a2f2f8f

Author: Luigi Ballabio <[email protected]>

Date: Wed, 4 Jun 2025 21:12:40 +0200

Another use of variant to avoid overloading (#2240)

commit 293a2f2f8fd1a4bb4be4c07a4f3186d09352d07d

Author: Luigi Ballabio <[email protected]>

Date: Wed, 4 Jun 2025 17:13:20 +0200

Another use of variant to avoid overloading

ql/termstructures/yield/oisratehelper.cpp | 4 ++--

ql/termstructures/yield/oisratehelper.hpp | 4 ++--

2 files changed, 4 insertions(+), 4 deletions(-)

commit e4ca333b0c1988a25dfacfae05eaceb2960c78eb

Author: Zak <[email protected]>

Date: Sat, 31 May 2025 10:09:53 -0500

Fix default settlement logic in MakeOIS: SONIA=0, CORRA=0, others=2.

Applies default settlement days based on index type, keeps override behavior when .withSettlementDays() is used. Ensures expected behavior with testMakeOISDefaultSettlementDays. MakeOIS constructor initialization order matches declaration.

ql/instruments/makeois.cpp | 16 +++++++++++++++-

test-suite/overnightindexedswap.cpp | 34 ++++++++++++++++++++++++++++++++++

2 files changed, 49 insertions(+), 1 deletion(-)

commit b1c18c793559f7db1938819bae21a3b003f8cde8

Author: Luigi Ballabio <[email protected]>

Date: Tue, 3 Jun 2025 12:41:02 +0200

Suppress a couple of false positives from clang-tidy

ql/termstructures/volatility/sabr.cpp | 4 ++--

test-suite/indexes.cpp | 2 +-

2 files changed, 3 insertions(+), 3 deletions(-)

commit 85579753b4ed6500cad1d2dbc8614372744009e1

Author: Luigi Ballabio <[email protected]>

Date: Tue, 3 Jun 2025 11:00:09 +0200

Prevent fix from clang-tidy introducing deprecation warning

test-suite/inflation.cpp | 2 +-

1 file changed, 1 insertion(+), 1 deletion(-)

commit e27f1507563e8ff1e06175e3feb010cf6c3589fa

Author: Luigi Ballabio <[email protected]>

Date: Tue, 3 Jun 2025 10:57:55 +0200

Update Doxygen configuration

Docs/quantlib.doxy | 12 +++++++++++-

1 file changed, 11 insertions(+), 1 deletion(-)

commit 227f903cc8a7f0518bed8e6907918dd542e12a34

Merge: a27210bf3b b5f0e062d3

Author: Luigi Ballabio <[email protected]>

Date: Mon, 26 May 2025 14:36:31 +0200

Add zero-coupon inflation helper that doesn't need a nominal curve (#2234)

commit a27210bf3bbb35f9ce3656e5a0c75611dd96767a

Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

Date: Sun, 25 May 2025 01:36:28 +0000

Automated fixes by clang-tidy

ql/indexes/ibor/custom.cpp | 7 ++++---

ql/indexes/ibor/custom.hpp | 4 ++--

test-suite/overnightindexedswap.cpp | 9 +++++----

3 files changed, 11 insertions(+), 9 deletions(-)

commit b5f0e062d304bb36327f17b8d1111b53cdce9407

Author: Luigi Ballabio <[email protected]>

Date: Mon, 26 May 2025 10:52:11 +0200

Deprecate old constructor

ql/termstructures/inflation/inflationhelpers.cpp | 4 ++++

ql/termstructures/inflation/inflationhelpers.hpp | 4 ++++

test-suite/inflation.cpp | 11 ++++++++---

test-suite/inflationcpibond.cpp | 9 ++++-----

test-suite/inflationcpicapfloor.cpp | 13 +++++--------

test-suite/inflationcpiswap.cpp | 14 ++++++--------

6 files changed, 31 insertions(+), 24 deletions(-)

commit 40669aae8f9781a5923d257d5566dbe4a414107a

Author: Luigi Ballabio <[email protected]>

Date: Mon, 26 May 2025 10:34:55 +0200

Add zero-coupon inflation helper that doesn't need a nominal curve

ql/termstructures/inflation/inflationhelpers.cpp | 19 +++

ql/termstructures/inflation/inflationhelpers.hpp | 10 ++

test-suite/inflation.cpp | 171 ++++++++++++++++++++++-

3 files changed, 199 insertions(+), 1 deletion(-)

commit 80707be73199a624a02d328e8908b8b01d7819a6

Merge: 6fb02fcbf0 3c78f36620

Author: Luigi Ballabio <[email protected]>

Date: Thu, 22 May 2025 14:50:58 +0200

Add SABR guess from Le Floc'h and Kennedy (#2232)

commit 3c78f36620799d83b5cd4a03a7fd0396ceb4c2c5

Author: Luigi Ballabio <[email protected]>

Date: Thu, 22 May 2025 11:22:59 +0200

Cubic roots are only available since Boost 1.78

ql/termstructures/volatility/sabr.cpp | 18 ++++++++++++++++++

ql/termstructures/volatility/sabr.hpp | 3 +++

test-suite/interpolations.cpp | 11 +++++++++++

3 files changed, 32 insertions(+)

commit adc2d7e5ed01b96687da4cb00f3a9d94f0717610

Author: Luigi Ballabio <[email protected]>

Date: Thu, 22 May 2025 10:23:00 +0200

Add SABR guess from Le Floc'h and Kennedy

ql/termstructures/volatility/sabr.cpp | 119 ++++++++++++++++++++++++++++++++++

ql/termstructures/volatility/sabr.hpp | 24 +++++++

test-suite/interpolations.cpp | 62 ++++++++++++++++--

3 files changed, 201 insertions(+), 4 deletions(-)

commit 6fb02fcbf0a1fc665952b896059e49d3b0f32bca

Merge: 7bcba39577 e44c6fe788

Author: Luigi Ballabio <[email protected]>

Date: Tue, 20 May 2025 13:58:59 +0200

Take fixing dates into account when calculating OIS-helper pillar (#2231)

commit e44c6fe78829925e58ef9925c23eecac36201d53

Author: Luigi Ballabio <[email protected]>

Date: Tue, 20 May 2025 11:11:48 +0200

Check OIS helper for fixings after the pillar

ql/termstructures/yield/oisratehelper.cpp | 49 ++++++++++++++++++-------------

ql/termstructures/yield/oisratehelper.hpp | 6 ++--

test-suite/overnightindexedswap.cpp | 43 +++++++++++++++++++++++++++

3 files changed, 75 insertions(+), 23 deletions(-)

commit 7bcba3957739afe7099430e4a46e2f064abace11

Merge: 5b913f41e1 304eaaf250

Author: Luigi Ballabio <[email protected]>

Date: Mon, 19 May 2025 11:33:07 +0200

Remove the remains of MultiCurveSensitivities (#2229)

commit 5b913f41e1b80878ea0434c591e46044e7ae98d7

Merge: edb8054e8f ea01446bf7

Author: Luigi Ballabio <[email protected]>

Date: Mon, 19 May 2025 11:32:10 +0200

Add CustomIborIndex (#2228)

commit 304eaaf250584ad107e87b629628c3060f4dd89e

Author: Eugene Toder <[email protected]>

Date: Sun, 18 May 2025 12:39:05 -0400

Remove the remains of MultiCurveSensitivities

This class was deleted back in version 1.32

ql/termstructures/yield/piecewiseyieldcurve.hpp | 3 ---

1 file changed, 3 deletions(-)

commit ea01446bf70b127e64d1c6dd5244f9927a6a6df7

Author: Eugene Toder <[email protected]>

Date: Thu, 14 Nov 2024 17:26:32 -0500

Add CustomIborIndex

This is a LIBOR-like index that allows specifying custom calendars for

value and maturity dates calculations. This is useful, for example, when

using vendor calendars instead of the built-in ones.

Also, add missing EURLibor::clone().

QuantLib.vcxproj | 2 ++

QuantLib.vcxproj.filters | 6 +++++

ql/CMakeLists.txt | 2 ++

ql/indexes/ibor/Makefile.am | 2 ++

ql/indexes/ibor/all.hpp | 1 +

ql/indexes/ibor/custom.cpp | 50 +++++++++++++++++++++++++++++++++++

ql/indexes/ibor/custom.hpp | 63 ++++++++++++++++++++++++++++++++++++++++++++

ql/indexes/ibor/eurlibor.cpp | 4 +++

ql/indexes/ibor/eurlibor.hpp | 4 +++

ql/indexes/ibor/libor.cpp | 14 +++++-----

test-suite/indexes.cpp | 56 +++++++++++++++++++++++++++++++++++++++

11 files changed, 197 insertions(+), 7 deletions(-)

commit edb8054e8fcdbf252395b98afe28be4dd3594034

Merge: dfd453aafe 708180e30d

Author: Luigi Ballabio <[email protected]>

Date: Fri, 16 May 2025 08:23:38 +0200

Avoid error when asking for the serial number of a null date with intraday support enabled. (#2227)

commit dfd453aafe0d158e156c214323b621678e439ea6

Merge: 10171b8b6a e73b9293f9

Author: Luigi Ballabio <[email protected]>

Date: Fri, 16 May 2025 08:23:16 +0200

Expose overnight calendar in OISRateHelper (#2226)

commit 10171b8b6a21f106c1c89bcf2f4f0a300e18e018

Merge: 46a3903f7c b0ab8e345c

Author: Luigi Ballabio <[email protected]>

Date: Fri, 16 May 2025 08:19:01 +0200

Make unexpected types in quote variant a compile-time error (#2225)

commit b0ab8e345c85068cfee5f618557393b364462e17

Author: Eugene Toder <[email protected]>

Date: Wed, 14 May 2025 21:59:12 -0400

Make unexpected types in quote variant a compile-time error

Simplify usage of std::visit using a helper visitor type as shown in

https://en.cppreference.com/w/cpp/utility/variant/visit2

This also catches unknown types at compile-time instead of run-time even

on older compilers.

QuantLib.vcxproj | 1 +

QuantLib.vcxproj.filters | 3 +++

ql/CMakeLists.txt | 1 +

ql/quote.cpp | 13 ++++---------

ql/utilities/Makefile.am | 3 ++-

ql/utilities/all.hpp | 1 +

ql/utilities/variants.hpp | 19 +++++++++++++++++++

7 files changed, 31 insertions(+), 10 deletions(-)

commit 708180e30d33134932cfd7a855175caf9a271aca

Author: Luigi Ballabio <[email protected]>

Date: Thu, 15 May 2025 16:03:44 +0200

Avoid error when asking for the serial number of a null date.

Only triggered by intraday support, which is why it didn't

surface earlier.

ql/time/date.cpp | 8 ++++----

test-suite/dates.cpp | 11 +++++++++++

2 files changed, 15 insertions(+), 4 deletions(-)

commit e73b9293f9a5df4f3b010bb0fe15bf494f61445d

Author: Eugene Toder <[email protected]>

Date: Wed, 14 May 2025 22:11:19 -0400

Expose overnight calendar in OISRateHelper

ql/termstructures/yield/oisratehelper.cpp | 17 +++++++++++------

ql/termstructures/yield/oisratehelper.hpp | 7 +++++--

2 files changed, 16 insertions(+), 8 deletions(-)

commit 46a3903f7cc81f16630baac9ceca22c4ad031be2

Merge: f6961260d4 446846b234

Author: Luigi Ballabio <[email protected]>

Date: Mon, 12 May 2025 16:39:04 +0200

Fix Calendar::advance() EOM with Unadjusted convention (#2221)

commit 446846b234829f17c68c943b5f889f01772ac73b

Author: Eugene Toder <[email protected]>

Date: Sat, 10 May 2025 00:34:35 -0400

Fix Calendar::advance() EOM with Unadjusted convention

There's an issue with the new logic added in #1917: when convention is

Unadjusted but d is *not* the last calendar day, it falls through to the

previous logic, which may still adjust d1 to the last business day.

ql/time/calendar.cpp | 14 +++++++-------

test-suite/businessdayconventions.cpp | 2 ++

2 files changed, 9 insertions(+), 7 deletions(-)

commit f6961260d450aa1fcb28dd04b924eedce06901f6

Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

Date: Sun, 11 May 2025 01:41:13 +0000

Automated fixes by clang-tidy

ql/termstructures/yield/oisratehelper.cpp | 6 +++---

ql/termstructures/yield/oisratehelper.hpp | 4 ++--

2 files changed, 5 insertions(+), 5 deletions(-)

commit ef50a297ca3df18a8913e1ba583e428469d44fbf

Merge: 2974df57d5 c5006d6280

Author: Luigi Ballabio <[email protected]>

Date: Fri, 9 May 2025 21:58:20 +0200

Remove dangling unreachable break clauses (#2219)

commit 2974df57d5d209086e524384d9ed92005fe2d1b9

Merge: 0e5e4132a6 fe55789928

Author: Luigi Ballabio <[email protected]>

Date: Fri, 9 May 2025 17:28:17 +0200

AD Initializer List Fix (#2218)

commit 0e5e4132a6851029f5672bb4c7cf7087a98475f4

Merge: ac1d143c57 0280709cc2

Author: Luigi Ballabio <[email protected]>

Date: Fri, 9 May 2025 16:16:29 +0200

Use variant to remove some duplicated constructors (#2217)

commit e186caa9de8db7382f6d11a0f84aa0017cdfb256

Author: imraneamri <[email protected]>

Date: Fri, 9 May 2025 14:31:55 +0100

Force evaluate Real expressions in bracketed initializer list to prevent type clash in lazy evaluation

.../finitedifferences/stepconditions/fdmsimplestoragecondition.cpp | 4 ++--

1 file changed, 2 insertions(+), 2 deletions(-)

commit 0280709cc23fd4310886c2ff3e045bb42e0cc207

Author: Luigi Ballabio <[email protected]>

Date: Fri, 9 May 2025 12:45:36 +0200

Rename utility function

ql/quote.cpp | 3 +--

ql/quote.hpp | 3 ++-

ql/termstructures/bootstraphelper.hpp | 2 +-

ql/termstructures/yield/oisratehelper.cpp | 4 ++--

ql/termstructures/yield/ratehelpers.cpp | 6 +++---

5 files changed, 9 insertions(+), 9 deletions(-)

commit 4731f0685617be2d8c470f72186bb0d7dfb4ab9e

Author: Luigi Ballabio <[email protected]>

Date: Fri, 9 May 2025 12:33:40 +0200

Use variant to remove some duplicated constructors

ql/termstructures/bootstraphelper.hpp | 26 +--

.../credit/defaultprobabilityhelpers.cpp | 83 +--------

.../credit/defaultprobabilityhelpers.hpp | 59 +-----

ql/termstructures/yield/ratehelpers.cpp | 203 ++++-----------------

ql/termstructures/yield/ratehelpers.hpp | 134 ++------------

5 files changed, 70 insertions(+), 435 deletions(-)

commit 848777a604cfc24a255d63eaab85495ed5a0012d

Author: Luigi Ballabio <[email protected]>

Date: Fri, 9 May 2025 09:18:42 +0200

Move helper function to public interface

QuantLib.vcxproj | 1 +

QuantLib.vcxproj.filters | 1 +

ql/CMakeLists.txt | 1 +

ql/Makefile.am | 1 +

ql/quote.cpp | 42 +++++++++++++++++++++++++++++++

ql/quote.hpp | 3 +++

ql/termstructures/yield/oisratehelper.cpp | 22 ++--------------

7 files changed, 51 insertions(+), 20 deletions(-)

commit ac1d143c571a2a7bfda36e2dd66e7dceaf99c475

Merge: 5d972fb7bc a3d37b1c53

Author: Luigi Ballabio <[email protected]>

Date: Fri, 9 May 2025 08:38:01 +0200

Added `Handle<Quote>` for spread in `OISRateHelper` (#2195)

commit a3d37b1c53fb5b58664d9bb5e4077ef17a399c99

Author: paolodelia99 <[email protected]>

Date: Thu, 8 May 2025 18:32:48 +0200

Using spread in DateOISRateHelper to avoid breaking code

ql/termstructures/yield/oisratehelper.cpp | 6 +++---

ql/termstructures/yield/oisratehelper.hpp | 4 ++--

2 files changed, 5 insertions(+), 5 deletions(-)

commit 3a61f499ce32fb5a77d9f5c88e4b23654b9e9619

Author: Paolo D'Elia <[email protected]>

Date: Thu, 8 May 2025 17:28:28 +0200

Handled overnight spread type problem in DatadOISRateHelper

ql/termstructures/yield/oisratehelper.cpp | 3 ++-

1 file changed, 2 insertions(+), 1 deletion(-)

commit 472e1e83d441a1129e7f3743c0583afaa37b9682

Author: MiDDiz <[email protected]>

Date: Tue, 6 May 2025 18:27:03 +0200

Removed unreachable break statements complying with CERT, MSC12-C. CWE - CWE-561 and MISRA C:2012, 2.1

ql/experimental/finitedifferences/fdmvppstepconditionfactory.cpp | 1 -

ql/experimental/processes/extendedblackscholesprocess.cpp | 3 ---

ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp | 3 ---

ql/instruments/overnightindexfuture.cpp | 2 --

ql/models/equity/hestonslvfdmmodel.cpp | 3 ---

.../barrier/analyticpartialtimebarrieroptionengine.cpp | 8 --------

6 files changed, 20 deletions(-)

commit 5d972fb7bc489c4553fc7527d7b7eeedd0ebb1b1

Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

Date: Tue, 6 May 2025 07:23:00 +0000

Automated fixes by clang-tidy

Examples/BasketLosses/BasketLosses.cpp | 1 +

Examples/CDS/CDS.cpp | 2 ++

Examples/CVAIRS/CVAIRS.cpp | 2 ++

Examples/LatentModel/LatentModel.cpp | 5 +++++

Examples/MultidimIntegral/MultidimIntegral.cpp | 1 +

ql/cashflows/cashflows.cpp | 2 +-

ql/experimental/credit/basket.cpp | 2 ++

.../credit/defaultprobabilitylatentmodel.hpp | 1 +

ql/experimental/credit/gaussianlhplossmodel.hpp | 1 +

ql/experimental/credit/homogeneouspooldef.hpp | 1 +

ql/experimental/credit/inhomogeneouspooldef.hpp | 1 +

.../fdmvppstartlimitstepcondition.cpp | 4 ++--

ql/experimental/math/hybridsimulatedannealing.hpp | 2 +-

ql/experimental/math/laplaceinterpolation.cpp | 2 +-

ql/experimental/math/latentmodel.hpp | 1 +

ql/experimental/math/multidimquadrature.hpp | 2 +-

ql/experimental/math/tcopulapolicy.cpp | 1 +

ql/math/array.hpp | 2 +-

ql/math/interpolations/cubicinterpolation.hpp | 9 ++++++---

ql/math/linearleastsquaresregression.hpp | 2 +-

ql/math/matrixutilities/pseudosqrt.cpp | 11 +++++++----

ql/math/matrixutilities/svd.cpp | 16 ++++++++--------

.../meshers/fdmsimpleprocess1dmesher.cpp | 19 +++++++++++++------

ql/methods/finitedifferences/pde.hpp | 5 +++--

.../stepconditions/fdmsimplestoragecondition.cpp | 9 ++++++---

ql/models/marketmodels/pathwiseaccountingengine.cpp | 1 +

.../marketmodels/pathwisegreeks/vegabumpcluster.cpp | 4 ++++

.../shortrate/onefactormodels/markovfunctional.cpp | 2 +-

ql/pricingengines/barrier/binomialbarrierengine.hpp | 2 +-

ql/pricingengines/cliquet/mcperformanceengine.hpp | 2 ++

ql/pricingengines/vanilla/qdplusamericanengine.cpp | 3 ++-

.../swaption/sabrswaptionvolatilitycube.hpp | 2 ++

ql/utilities/steppingiterator.hpp | 6 +-----

test-suite/amortizingbond.cpp | 4 ++--

test-suite/basketoption.cpp | 3 +++

test-suite/creditdefaultswap.cpp | 3 +++

test-suite/defaultprobabilitycurves.cpp | 2 ++

test-suite/fittedbonddiscountcurve.cpp | 1 +

test-suite/hestonmodel.cpp | 10 +++++++---

test-suite/hestonslvmodel.cpp | 2 +-

test-suite/himalayaoption.cpp | 1 +

test-suite/inflation.cpp | 2 +-

test-suite/interpolations.cpp | 2 +-

test-suite/libormarketmodelprocess.cpp | 2 +-

test-suite/lowdiscrepancysequences.cpp | 4 ++--

test-suite/marketmodel.cpp | 5 ++++-

test-suite/marketmodel_smmcaplethomocalibration.cpp | 1 +

test-suite/markovfunctional.cpp | 1 +

test-suite/nthtodefault.cpp | 2 ++

test-suite/piecewiseyieldcurve.cpp | 2 ++

50 files changed, 119 insertions(+), 54 deletions(-)

commit 8b4684f0aa2f361be8f68889f75b1d409ca7245e

Author: Luigi Ballabio <[email protected]>

Date: Mon, 5 May 2025 17:48:33 +0200

Avoid broken fix from clang-tidy 19

ql/math/array.hpp | 2 +-

1 file changed, 1 insertion(+), 1 deletion(-)

commit e7f3086273c87eb90b586eee0a345c5d5b51a732

Author: Luigi Ballabio <[email protected]>

Date: Fri, 4 Apr 2025 16:06:30 +0200

Disable some new checks

.clang-tidy | 5 +++++

1 file changed, 5 insertions(+)

commit 74c21c0ae99d888417acb9f611f4c19e0a2206d8

Author: Luigi Ballabio <[email protected]>

Date: Fri, 4 Apr 2025 16:00:35 +0200

Open PR even when the build fails

.github/workflows/tidy.yml | 1 +

1 file changed, 1 insertion(+)

commit ffa19d70fd23bbf59e168b90b3a31e07d158a7fe

Author: Luigi Ballabio <[email protected]>

Date: Fri, 4 Apr 2025 15:48:34 +0200

Use clang-tidy 19

.github/workflows/tidy.yml | 2 +-

CMakePresets.json | 2 +-

2 files changed, 2 insertions(+), 2 deletions(-)

commit 50b304a4aa11ef8ee3810d588413d5bd2d9c78bf

Merge: f81ab8f2d5 52c3477ecb

Author: Luigi Ballabio <[email protected]>

Date: Mon, 5 May 2025 15:12:44 +0200

Support a=0 in HullWhite::convexityBias() (#2206)

commit f81ab8f2d5a6011029667ff15abdafbd6ff0fc8a

Author: Luigi Ballabio <[email protected]>

Date: Fri, 2 May 2025 08:43:32 +0200

Add C++26 mode to CI build

.github/workflows/linux-full-tests.yml | 6 ++++++

.github/workflows/linux-nondefault.yml | 6 ++++++

.github/workflows/linux.yml | 6 ++++++

3 files changed, 18 insertions(+)

commit 807c205433720053f3cc08e758120e3216328a9f

Author: Luigi Ballabio <[email protected]>

Date: Fri, 2 May 2025 10:23:21 +0200

Rename helper function to avoid ADL mishap

ql/errors.cpp | 24 ++++++++++++------------

1 file changed, 12 insertions(+), 12 deletions(-)

commit f1f20d6d8cfbd9cfe757ad231ab7b2ada6939dfe

Author: Luigi Ballabio <[email protected]>

Date: Fri, 2 May 2025 08:51:35 +0200

Fix test program in configure check for C++17 features

acinclude.m4 | 5 +++--

1 file changed, 3 insertions(+), 2 deletions(-)

commit 52c3477ecb25e8b066add4b82ebf8904024e8d9d

Author: Eugene Toder <[email protected]>

Date: Thu, 24 Apr 2025 16:21:39 -0400

Support a=0 in HullWhite::convexityBias()

Also support T=t.

ql/models/shortrate/onefactormodels/hullwhite.cpp | 15 +++++----

test-suite/shortratemodels.cpp | 41 ++++++++++++-----------

2 files changed, 30 insertions(+), 26 deletions(-)

commit 438444191edb0af5d46abd357a8d14f5968b7f06

Author: paolodelia99 <[email protected]>

Date: Tue, 29 Apr 2025 19:25:58 +0200

Keep a normal spread in tests as an example

test-suite/overnightindexedswap.cpp | 2 +-

1 file changed, 1 insertion(+), 1 deletion(-)

commit 29147dea40ea524c75f70a4541ffd8402d8f679d

Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

Date: Tue, 29 Apr 2025 12:36:53 +0000

Update copyright list in license

LICENSE.TXT | 348 ++++++++++++++++++++++++++++++------------------------------

1 file changed, 174 insertions(+), 174 deletions(-)

commit 14bc3e30a5c1a09467dc9a313f0ea763af34917f

Author: Luigi Ballabio <[email protected]>

Date: Tue, 29 Apr 2025 14:28:56 +0200

Reformat copyright attribution in license

tools/collect_copyrights.py | 4 ++--

1 file changed, 2 insertions(+), 2 deletions(-)

commit f258b138ea1e1b85f1f8de3333fdd6a79b65c94e

Merge: 7bb76be98a 7caa667438

Author: Luigi Ballabio <[email protected]>

Date: Tue, 29 Apr 2025 11:22:41 +0200

Added missing assignment in MXVCurrency constructor (#2210)

commit 7caa66743865e05d94670781f6b1b54761669cde

Author: paolodelia99 <[email protected]>

Date: Mon, 28 Apr 2025 19:10:14 +0200

Added missing assignment in MXVCurrency constructor

ql/currencies/america.cpp | 1 +

1 file changed, 1 insertion(+)

commit 7bb76be98a2173b3d41f8f9dcf6def56fd158e26

Merge: fcf92a31c2 432ba226cf

Author: Luigi Ballabio <[email protected]>

Date: Mon, 28 Apr 2025 10:04:27 +0200

`analyticpartialtimebarrieroptionengine.cpp(108) : warning C4702: unreachable code` (#2208)

commit fcf92a31c27a82fccefa418c0e799b68036e27e1

Merge: 33456beaff 9623a8b73a

Author: Luigi Ballabio <[email protected]>

Date: Mon, 28 Apr 2025 10:01:16 +0200

Set `option(QL_USE_STD_ANY 'Use std::any instead of boost::any' ON)` (#2207)

commit 432ba226cf5d94fb57561d0b7aa4136abaff642f

Author: RalfKonrad <[email protected]>

Date: Sun, 27 Apr 2025 15:34:54 +0200

analyticpartialtimebarrieroptionengine.cpp(108) : warning C4702: unreachable code

ql/pricingengines/barrier/analyticpartialtimebarrieroptionengine.cpp | 2 --

1 file changed, 2 deletions(-)

commit 9623a8b73a68140505b5d47cf1a5feed40eb7b7a

Author: RalfKonrad <[email protected]>

Date: Fri, 25 Apr 2025 15:30:46 +0200

option(QL_USE_STD_ANY 'Use std::any instead of boost::any' ON)

CMakeLists.txt | 2 +-

1 file changed, 1 insertion(+), 1 deletion(-)

commit 3d4e7356be0c0aa2ad36b5d52ea928d7c0d99eaf

Author: paolodelia99 <[email protected]>

Date: Fri, 25 Apr 2025 10:31:37 +0200

Minor adjustements in oisswap tests

test-suite/overnightindexedswap.cpp | 8 ++++----

1 file changed, 4 insertions(+), 4 deletions(-)

commit 749457b3fbb58ea0005fe0b2413de749673d25ea

Author: paolodelia99 <[email protected]>

Date: Thu, 24 Apr 2025 19:10:12 +0200

Used std::variant to handle both Spread and Handle<Quote>

ql/termstructures/yield/oisratehelper.cpp | 140 +++++++++++++++++-------------

ql/termstructures/yield/oisratehelper.hpp | 93 ++++++++++----------

2 files changed, 127 insertions(+), 106 deletions(-)

commit 33456beaff4f7ad83cfc22e671d39ba74c7ee496

Merge: 6092974fb9 72a79a84a9

Author: Luigi Ballabio <[email protected]>

Date: Thu, 24 Apr 2025 09:37:03 +0200

Modernising Tag-Dispatch template with C++17 constexpr if for LinearRegression (#2198)

commit 6092974fb9d7096f36a42e8ec43ff264eac3d126

Merge: b001abdea5 fe6c8f7287

Author: Luigi Ballabio <[email protected]>

Date: Thu, 24 Apr 2025 09:33:54 +0200

Add the SARON index (#2203)

commit b001abdea5ac30de235e9c6c9aabc2901bfb2b76

Merge: 36aaa13544 697c0b5dc5

Author: Luigi Ballabio <[email protected]>

Date: Wed, 23 Apr 2025 21:50:31 +0200

Switch default to `std::any` and `std::optional` (#2205)

commit 36aaa1354419a88169f8ffea0af977d9c3640e20

Merge: fa12c988e1 e7ab1cb2d9

Author: Luigi Ballabio <[email protected]>

Date: Wed, 23 Apr 2025 14:00:45 +0200

Remove features deprecated in version 1.34 (#2204)

commit fa12c988e192b7a38cfc8ad1173550858b0a612d

Author: Luigi Ballabio <[email protected]>

Date: Thu, 15 Apr 2021 16:25:45 +0200

Set version to 1.39-dev.

CMakeLists.txt | 6 +++---

configure.ac | 2 +-

ql/version.hpp | 4 ++--

3 files changed, 6 insertions(+), 6 deletions(-)

commit fe6c8f7287df96d9b3c3f687280cc19747fa4783

Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

Date: Sun, 20 Apr 2025 16:44:22 +0000

Update copyright list in license

LICENSE.TXT | 2 ++

1 file changed, 2 insertions(+)

commit 26379e663f1a7b8f2bf00340f91f515c912cfbd6

Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>

Date: Sun, 20 Apr 2025 16:45:35 +0000

Update generated headers

ql/indexes/ibor/all.hpp | 1 +

1 file changed, 1 insertion(+)