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ChangeLog.txt
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commit 614415b329317a0cf76272dd7b907dad40424516
Merge: fb9b604 98fd7fc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 31 Mar 2022 16:56:18 +0200
Merge pull request #454.
Export `SpreadFittingMethod` class
commit 98fd7fc416bf02fffa9325fff0d4889c1b414c09
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 31 Mar 2022 15:53:17 +0200
Export SpreadFittingMethod class
SWIG/fittedbondcurve.i | 16 ++++++++++++++++
1 file changed, 16 insertions(+)
commit fb9b6041d3359f380d4cfeb0003f760749c5f3dc
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 28 Mar 2022 18:00:57 +0000
Bump peter-evans/create-pull-request from 3 to 4
Bumps [peter-evans/create-pull-request](https://github.com/peter-evans/create-pull-request) from 3 to 4.
- [Release notes](https://github.com/peter-evans/create-pull-request/releases)
- [Commits](https://github.com/peter-evans/create-pull-request/compare/v3...v4)
---
updated-dependencies:
- dependency-name: peter-evans/create-pull-request
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/copyrights.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/namespaces.yml | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 3da258c9530b2f4781b99a2ddd4137b8c71604e9
Merge: 18d8c89 89a76c0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Mar 2022 19:21:31 +0100
Merge pull request #451.
Expose `BondForward` class
commit 18d8c89ae2cfda197a145947d9d153260fba7fc6
Merge: 0ca88dc 428a690
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Mar 2022 15:14:02 +0100
Merge pull request #452.
Use normalized period to generate hash
commit 428a690fad613dad5cf35f0547784186befaa200
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 23 Mar 2022 14:11:36 +0100
Use normalized period to generate hash
CSharp/examples/Times/Times.cs | 3 ---
SWIG/date.i | 5 +++--
SWIG/ql.i | 2 +-
3 files changed, 4 insertions(+), 6 deletions(-)
commit 808f793402d4dfe380a2f28db8aaba77002b5b07
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 22 Mar 2022 10:20:37 +0100
Require newest QuantLib version
SWIG/ql.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit f8e46a6758036f1bc1fa71b7ccc1f298b906c30c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 22 Mar 2022 10:19:58 +0100
Expose inheritance relation
SWIG/forward.i | 32 +++++++++++++-------------------
1 file changed, 13 insertions(+), 19 deletions(-)
commit 0ca88dce75a30c475020d825454d5f4c32f9401c
Merge: 1329a07 808d438
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Mon, 21 Mar 2022 15:01:59 +0100
Merge pull request #450.
Natural log cubic interpolation
commit e6f7cdce741447177711c157c1b19067d6e186bf
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 21 Mar 2022 12:46:17 +0100
Exposed BondForward class.
SWIG/forward.i | 23 +++++++++++++++++++++++
1 file changed, 23 insertions(+)
commit 808d4386d2d4d9b8a1fc28edf20d1c36d2b5a1ba
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Mon, 21 Mar 2022 12:26:43 +0100
Exposed natural cubic spline interpolation.
SWIG/discountcurve.i | 4 ++--
SWIG/interpolation.i | 15 ++++-----------
SWIG/piecewiseyieldcurve.i | 2 ++
SWIG/zerocurve.i | 2 --
4 files changed, 8 insertions(+), 15 deletions(-)
commit 1329a07f5b7d4a11068648d3529b06938e66285d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 11 Mar 2022 22:40:59 +0100
Use https links to QuantLib site
Python/QuantLib-Python.spec.in | 2 +-
Python/setup.py | 4 ++--
Python/setup.py.in | 4 ++--
R/DESCRIPTION | 2 +-
R/DESCRIPTION.in | 2 +-
README.md | 6 +++---
6 files changed, 10 insertions(+), 10 deletions(-)
commit 724819ba8417dc8647fe701f93d07c83fa403e3c
Merge: 303db59 1907b78
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Sat, 12 Mar 2022 00:00:51 +0100
Merge pull request #447.
Use .Net for C# projects and CI build
commit 1907b788a16276627a5a0bc167a8ef77460fb0cc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 11 Mar 2022 22:31:59 +0100
Rename docker image for .Net CI build
.build/dotnet.build | 6 ------
.github/workflows/linux.yml | 2 +-
2 files changed, 1 insertion(+), 7 deletions(-)
commit c61bbe1cf42e657babcca9951c3fbad5ccfaf50c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 11 Mar 2022 18:33:43 +0100
Fix condition
CSharp/csharp/NQuantLib.csproj | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 72dc7a95ad0c1389e336b36f2db7b6bf3a80baf0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 11 Mar 2022 18:26:40 +0100
Move C# examples to own folder to avoid workarounds
.gitignore | 4 +-
CSharp/Makefile.am | 22 ++++--
CSharp/QuantLib.sln | 90 +++++++++++-----------
CSharp/cpp/QuantLibWrapper.vcxproj | 12 +++
CSharp/csharp/NQuantLib.csproj | 8 +-
CSharp/examples/BermudanSwaption.csproj | 34 --------
.../{ => BermudanSwaption}/BermudanSwaption.cs | 0
.../BermudanSwaption/BermudanSwaption.csproj | 17 ++++
CSharp/examples/EquityOption.csproj | 34 --------
CSharp/examples/{ => EquityOption}/EquityOption.cs | 0
CSharp/examples/EquityOption/EquityOption.csproj | 17 ++++
CSharp/examples/FiniteDifferenceMethods.csproj | 34 --------
.../FiniteDifferenceMethods.cs | 0
.../FiniteDifferenceMethods.csproj | 17 ++++
CSharp/examples/Times.csproj | 34 --------
CSharp/examples/{ => Times}/Times.cs | 0
CSharp/examples/Times/Times.csproj | 17 ++++
17 files changed, 149 insertions(+), 191 deletions(-)
commit 4d8a06fd70d32c8282d648dd1c83c2987f5afcb5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 11 Mar 2022 16:18:36 +0100
Unset executable bit
CSharp/examples/FiniteDifferenceMethods.csproj | 0
1 file changed, 0 insertions(+), 0 deletions(-)
commit 42a2e4cf2490df4bced20fc7339c668b52417f38
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 11 Mar 2022 12:39:04 +0100
Make sure examples find locally-compiled dynamic library
CSharp/Makefile.am | 8 ++++----
1 file changed, 4 insertions(+), 4 deletions(-)
commit f2a1c99beffaedf833d4cd8b85d8eabaeab5f2d4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 10 Mar 2022 17:01:25 +0100
Try out dotnet build on Linux
.build/dotnet.build | 6 ++++++
.github/workflows/linux.yml | 2 +-
2 files changed, 7 insertions(+), 1 deletion(-)
commit 29bf451f17bfa6b193e577570fd89fc000c12390
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Thu, 10 Mar 2022 15:40:16 +0100
Use .Net for C# compilation on Linux/macOS
.gitignore | 1 +
CSharp/Makefile.am | 42 ++++---
CSharp/csharp/NQuantLib.csproj | 136 ++--------------------
CSharp/examples/BermudanSwaption.csproj | 151 ++++---------------------
CSharp/examples/EquityOption.csproj | 151 ++++---------------------
CSharp/examples/FiniteDifferenceMethods.csproj | 151 ++++---------------------
CSharp/examples/Times.csproj | 151 ++++---------------------
configure.ac | 13 ++-
8 files changed, 134 insertions(+), 662 deletions(-)
commit 303db59fd095c284d4c1574dc9e87daae84df663
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Wed, 9 Mar 2022 17:50:20 +0100
Remove useless files
CSharp/Makefile.am | 2 --
CSharp/cpp/QuantLibWrapper.vcxproj | 3 ---
CSharp/cpp/QuantLibWrapper.vcxproj.filters | 9 --------
CSharp/cpp/QuantlibWrapper.cpp | 36 ------------------------------
CSharp/cpp/QuantlibWrapper.h | 22 ------------------
CSharp/cpp/stdafx.h | 13 -----------
6 files changed, 85 deletions(-)
commit 8bbed7c2d85cef7387ccf6a72b5d23cb83efc0dc
Author: dependabot[bot] <49699333+dependabot[bot]@users.noreply.github.com>
Date: Mon, 7 Mar 2022 18:00:54 +0000
Bump actions/checkout from 2 to 3
Bumps [actions/checkout](https://github.com/actions/checkout) from 2 to 3.
- [Release notes](https://github.com/actions/checkout/releases)
- [Changelog](https://github.com/actions/checkout/blob/main/CHANGELOG.md)
- [Commits](https://github.com/actions/checkout/compare/v2...v3)
---
updated-dependencies:
- dependency-name: actions/checkout
dependency-type: direct:production
update-type: version-update:semver-major
...
Signed-off-by: dependabot[bot] <support@github.com>
.github/workflows/copyrights.yml | 2 +-
.github/workflows/link-check.yml | 2 +-
.github/workflows/linux.yml | 2 +-
.github/workflows/misspell.yml | 2 +-
.github/workflows/namespaces.yml | 2 +-
5 files changed, 5 insertions(+), 5 deletions(-)
commit 30cf3481fc953ff668deaf06ce7b7ba4ff77b91e
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Wed, 2 Mar 2022 16:28:46 +0100
Exposed Akima cubic interpolation scheme.
SWIG/discountcurve.i | 2 ++
SWIG/interpolation.i | 16 ++++++++++++++++
SWIG/zerocurve.i | 2 ++
3 files changed, 20 insertions(+)
commit a99320cdc1c7ce48e482ca3b32a9b010c17b8e6b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 1 Mar 2022 10:05:23 +0100
Remove exported constructor body
SWIG/stochasticprocess.i | 21 ++++++---------------
1 file changed, 6 insertions(+), 15 deletions(-)
commit 0cc2dd449ec743eba0a370e4882d182dfc6baee0
Merge: 0ff0103 1b1005d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 18 Feb 2022 10:20:18 +0100
Merge pull request #445.
Don't use deprecated `std::unary_function` in wrappers
commit 1b1005d3fabbf87686418e0cb6f61371b8d9f707
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 18 Feb 2022 09:53:34 +0100
Avoid unary_function in Java wrappers too
SWIG/functions.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit 0ff01035312f077e6c9249269556fc3a0fab628d
Merge: 6513254 d4d2d28
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 18 Feb 2022 09:32:33 +0100
Merge pull request #444.
Update for interpolation and cash flows.
commit 8c94ae215a19c74511d10c7d3bae722bc13c1bb6
Author: jonghee <jonghee.lee@miraeasset.com>
Date: Fri, 18 Feb 2022 10:02:52 +0900
remove unary_function in CSHARP
SWIG/functions.i | 2 +-
1 file changed, 1 insertion(+), 1 deletion(-)
commit d4d2d289550a6587136fae7a43e9012b80f74cf3
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 10 Feb 2022 13:32:40 +0100
Aligned naming.
SWIG/discountcurve.i | 2 +-
SWIG/zerocurve.i | 2 +-
2 files changed, 2 insertions(+), 2 deletions(-)
commit 4691a709eb089c0778b6906c7749c159b8486c6f
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 10 Feb 2022 13:13:30 +0100
Added a cast to OvernightIndexedCoupon.
SWIG/cashflows.i | 7 +++++++
1 file changed, 7 insertions(+)
commit 1ceb1f87a37008de71538f4aee8292130345c3b4
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 10 Feb 2022 13:12:59 +0100
Exposed Kruger interpolation scheme for zero and discount curves.
SWIG/discountcurve.i | 2 ++
SWIG/zerocurve.i | 2 ++
2 files changed, 4 insertions(+)
commit 6513254295eaea07824e6a786c9823950d3e717b
Merge: a6ed59c 34560a0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Fri, 28 Jan 2022 22:34:32 +0100
Merge pull request #442.
FRA rate helper constructors
commit 34560a05176aeb25511cf4a63318a9b1e90ff077
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Fri, 28 Jan 2022 19:11:47 +0100
Exposed additional FraRateHelper constuctors.
SWIG/ratehelpers.i | 12 ++++++++++++
1 file changed, 12 insertions(+)
commit a6ed59c032e4e266d13ec492b857e2d80493025a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date: Tue, 18 Jan 2022 11:02:58 +0100
Set version to 1.26-dev.
Python/setup.py | 2 +-
R/DESCRIPTION | 2 +-
configure.ac | 2 +-
3 files changed, 3 insertions(+), 3 deletions(-)
commit 4d692dd7adf0832a3b55765c21e67f6f047c38db
Author: Marcin Rybacki <m.rybacki@basispoint.io>
Date: Thu, 6 Jan 2022 10:13:46 +0100
Fixed build.
SWIG/barrieroptions.i | 12 ++++++------
1 file changed, 6 insertions(+), 6 deletions(-)