Merge tag 'QuantLib-v1.28' into QPR-11285

rolandlichters · rolandlichters · commit ec7916ace1a2 · 2022-10-25T17:58:50.000+02:00
Changes for QuantLib 1.28: ========================== QuantLib 1.28 includes 33 pull requests from several contributors. Some of the most notable changes are included below. A detailed list of changes is available in ChangeLog.txt and at <https://github.com/lballabio/QuantLib/milestone/24?closed=1>. Portability ----------- - **New language standard:** as announced in the notes for the previous release, this release started using some C++14 syntax. This should be supported by most compilers released in the past several years. - **End of support:** as announced in the notes for the previous release, this release is the last to manage thread-local singletons via a user-provided `sessionId` function. Future releases will use the built-in language support for thread-local variables. - **Future end of support:** after the next two or three releases, using `std::tuple`, `std::function` and `std::bind` (instead of their `boost` counterparts) will become the default. If you're using `ext::tuple` etc. in your code (which is suggested), this should be a transparent change. If not, you'll still be able to choose the `boost` versions via a configure switch for a while. Date/time --------- - Added Act/366 and Act/365.25 day counters; thanks to Ignacio Anguita (@IgnacioAnguita). - Added H.M. the Queen's funeral to the UK calendars; thanks to Tomass Wilson (@Wilsontomass). Instruments ----------- - Amortizing bonds were moved out of the experimental folder. Also, a couple of utility functions were provided to calculate amortization schedules and notionals. Pricing engines --------------- - Fixed results from `COSHestonEngine` in the case of an option with short time to expiration and deep ITM or deep OTM strike prices; thanks to Ignacio Anguita (@IgnacioAnguita). - The ISDA engine for CDS could calculate the fair upfront with the wrong sign; this is now fixed, thanks to Gualtiero Chiaia (@gchiaia). Term structures --------------- - The constructor for `OISRateHelper` now allows to specify the `endOfMonth` parameter; thanks to Guillaume Horel (@thrasibule). Finite differences ------------------ - Fixed computation of cds boundaries in `LocalVolRNDCalculator`; thanks to @mdotlic. Experimental folder ------------------- The `ql/experimental` folder contains code whose interface is not fully stable, but is released in order to get user feedback. Experimental classes make no guarantees of backward compatibility; their interfaces might change in future releases. - **Breaking change**: the constructor of the `CPICapFloorTermPriceSurface` class now also takes an explicit interpolation type. - **Possibly breaking**: the protected constructor for `CallableBond` changes its arguments. If you inherited from this class, you'll need to update your code. If you're using the existing derived bond classes, the change will be transparent. - Pricing engines for callable bonds worked incorrectly when the face amount was not 100. This is now fixed. - The `impliedVolatility` method for callable bonds was taking a target NPV, not a price. This implementation is now deprecated, and a new overload was added taking a price in base 100. Deprecated features ------------------- - **Removed** features deprecated in version 1.23: - the constructors of `ZeroCouponInflationSwap` and `ZeroCouponInflationSwapHelper` missing an explicit CPI interpolation type; - the constructors of `ActualActual` and `Thirty360` missing an explicit choice of convention, and the constructor of `Thirty360` passing an `isLastPeriod` boolean flag. - Deprecated the constructors of `FixedRateBond` taking an `InterestRate` instance or not taking a `Schedule` instance. - Deprecated the constructor of `FloatingRateBond` not taking a `Schedule` instance. - Deprecated the constructors of `AmortizingFixedRateBond` taking a sinking frequency or a vector of `InterestRate` instances. - Deprecated the constructor of `CPICapFloor` taking a `Handle` to an inflation index, and its `inflationIndex` method returning a `Handle`. New versions of both were added using `shared_ptr` instead. - Deprecated one of the constructors of `SabrSmileSection`; a new version was added also taking an optional reference date. - Deprecated the old `impliedVolatility` method for callable bonds; see above. **Thanks go also** to Konstantin Novitsky (@novitk), Peter Caspers (@pcaspers), Klaus Spanderen (@klausspanderen), Fredrik Gerdin Börjesson (@gbfredrik) and Dirk Eddelbuettel (@eddelbuettel) for a number of smaller fixes, and to Jonathan Sweemer (@sweemer) for various improvements to the automated CI builds.
diff --git a/.github/workflows/linux-full-tests.yml b/.github/workflows/linux-full-tests.yml
@@ -92,6 +92,11 @@ jobs:
             tag: jammy
             cc: clang
             cxx: clang++
+          - name: "Clang 15"
+            shortname: clang15
+            tag: kinetic
+            cc: clang
+            cxx: clang++
           - name: "C++14 mode"
             shortname: c++14
             tag: rolling
diff --git a/.github/workflows/linux-nondefault.yml b/.github/workflows/linux-nondefault.yml
@@ -92,6 +92,11 @@ jobs:
             tag: jammy
             cc: clang
             cxx: clang++
+          - name: "Clang 15"
+            shortname: clang15
+            tag: kinetic
+            cc: clang
+            cxx: clang++
           - name: "C++14 mode"
             shortname: c++14
             tag: rolling
diff --git a/.github/workflows/linux.yml b/.github/workflows/linux.yml
@@ -95,6 +95,12 @@ jobs:
             cc: clang
             cxx: clang++
             tests: true
+          - name: "Clang 15"
+            shortname: clang15
+            tag: kinetic
+            cc: clang
+            cxx: clang++
+            tests: true
           - name: "C++14 mode"
             shortname: c++14
             tag: rolling
diff --git a/CMakeLists.txt b/CMakeLists.txt
@@ -11,8 +11,8 @@ set(QUANTLIB_VERSION ${QUANTLIB_VERSION_MAJOR}.${QUANTLIB_VERSION_MINOR}.${QUANT
 
 # Project Info
 set(PACKAGE_NAME          "QuantLib")
-set(PACKAGE_VERSION       "${QUANTLIB_VERSION}-rc")
-set(PACKAGE_VERSION_HEX   "0x012800c0")
+set(PACKAGE_VERSION       "${QUANTLIB_VERSION}")
+set(PACKAGE_VERSION_HEX   "0x012800f0")
 set(PACKAGE_STRING        "${PACKAGE_NAME} ${PACKAGE_VERSION}")
 set(PACKAGE_TARNAME       "${PACKAGE_NAME}-${PACKAGE_VERSION}")
 set(PACKAGE_BUGREPORT     "https://github.com/lballabio/QuantLib/issues/")
diff --git a/ChangeLog.txt b/ChangeLog.txt
@@ -1,3 +1,65 @@
+commit bb64ee1618dff745a3e9a5b3151cf8ed87144ffb
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Mon, 12 Jul 2021 09:46:54 +0200
+
+    Set version to 1.28 final.
+
+ CMakeLists.txt | 4 ++--
+ configure.ac   | 2 +-
+ ql/version.hpp | 4 ++--
+ 3 files changed, 5 insertions(+), 5 deletions(-)
+
+commit d14da28dced9ee899331f603badfa93739a95405
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Wed, 19 Oct 2022 22:51:51 +0200
+
+    Add clang 15 to test matrix
+
+ .github/workflows/linux-full-tests.yml                         |  5 +++++
+ .github/workflows/linux-nondefault.yml                         |  5 +++++
+ .github/workflows/linux.yml                                    |  6 ++++++
+ .../barrieroption/perturbativebarrieroptionengine.cpp          |  2 +-
+ ql/experimental/credit/defaultprobabilitykey.cpp               |  4 ++++
+ test-suite/tracing.cpp                                         | 10 +++++++++-
+ 6 files changed, 30 insertions(+), 2 deletions(-)
+
+commit 379f5a2850087b149efb6af9a5abf181fed3e6ac
+Merge: dbc7b5f65 d0add71fc
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Thu, 20 Oct 2022 07:21:29 +0200
+
+    Convert argentina.cpp to utf-8 to appease clang-15 (#1500)
+
+commit d0add71fcc2a63b2337417b1ad41ebaed1d1c164
+Author: Dirk Eddelbuettel <edd@debian.org>
+Date:   Wed, 19 Oct 2022 14:35:51 -0500
+
+    Convert argentina.cpp to utf-8 to appease clang-15
+
+ ql/time/calendars/argentina.cpp | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
+
+commit dbc7b5f65fdb38d1fe7b1e1ecb5b157c173b1e4b
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Thu, 13 Oct 2022 18:24:07 +0200
+
+    Avoid warnings from deprecated headers
+
+ ql/experimental/Makefile.am | 2 +-
+ ql/experimental/all.hpp     | 1 -
+ 2 files changed, 1 insertion(+), 2 deletions(-)
+
+commit 1f066933d52d0ee269e1ab907d2cab8a5a4ea07d
+Author: Luigi Ballabio <luigi.ballabio@gmail.com>
+Date:   Tue, 11 Oct 2022 18:45:45 +0200
+
+    Update news and changelog
+
+ ChangeLog.txt           | 72 +++++++++++++++++++++++++++++++++++++++++++++++++
+ Docs/pages/history.docs |  5 ----
+ News.md                 |  6 -----
+ 3 files changed, 72 insertions(+), 11 deletions(-)
+
 commit 90881f8891f98cc805e6331450a59787f30c1bbe
 Merge: 92e6ff079 c6620359b
 Author: Luigi Ballabio <luigi.ballabio@gmail.com>
diff --git a/Docs/pages/history.docs b/Docs/pages/history.docs
@@ -103,9 +103,9 @@
       see above.
 
     Thanks go also to Konstantin Novitsky, Peter Caspers, Klaus
-    Spanderen and Fredrik Gerdin Börjesson for a number of smaller fixes,
-    and to Jonathan Sweemer for various improvements to the automated CI
-    builds.
+    Spanderen, Fredrik Gerdin Börjesson and Dirk Eddelbuettel for a
+    number of smaller fixes, and to Jonathan Sweemer for various
+    improvements to the automated CI builds.
 
     <strong>Release 1.27.1 - August 30th, 2022</strong>
 
diff --git a/News.md b/News.md
@@ -1,7 +1,7 @@
 Changes for QuantLib 1.28:
 ==========================
 
-QuantLib 1.28 includes 32 pull requests from several contributors.
+QuantLib 1.28 includes 33 pull requests from several contributors.
 
 Some of the most notable changes are included below.
 A detailed list of changes is available in ChangeLog.txt and at
@@ -122,8 +122,8 @@ Deprecated features
 
 
 **Thanks go also** to Konstantin Novitsky (@novitk), Peter Caspers
-(@pcaspers), Klaus Spanderen (@klausspanderen) and Fredrik Gerdin
-Börjesson (@gbfredrik) for a number of smaller fixes, and to Jonathan
-Sweemer (@sweemer) for various improvements to the automated CI
-builds.
+(@pcaspers), Klaus Spanderen (@klausspanderen), Fredrik Gerdin
+Börjesson (@gbfredrik) and Dirk Eddelbuettel (@eddelbuettel) for a
+number of smaller fixes, and to Jonathan Sweemer (@sweemer) for
+various improvements to the automated CI builds.
 
diff --git a/configure.ac b/configure.ac
@@ -1,5 +1,5 @@
 # Process this file with autoconf to produce a configure script.
-AC_INIT([QuantLib], [1.28-rc],
+AC_INIT([QuantLib], [1.28],
         [quantlib-dev@lists.sourceforge.net],
         [QuantLib])
 AC_PREREQ(2.62)
diff --git a/ql/experimental/Makefile.am b/ql/experimental/Makefile.am
@@ -47,7 +47,7 @@ all.hpp: Makefile.am
 	echo "/* This file is automatically generated; do not edit.     */" > ${srcdir}/$@
 	echo "/* Add the files to be included into Makefile.am instead. */" >> ${srcdir}/$@
 	echo >> ${srcdir}/$@
-	subdirs='$(SUBDIRS)'; for i in $$subdirs; do \
+	subdirs='$(filter-out amortizingbonds, $(SUBDIRS))'; for i in $$subdirs; do \
 		echo "#include <${subdir}/$$i/all.hpp>" >> ${srcdir}/$@; \
 	done
 
diff --git a/ql/experimental/all.hpp b/ql/experimental/all.hpp
@@ -1,7 +1,6 @@
 /* This file is automatically generated; do not edit.     */
 /* Add the files to be included into Makefile.am instead. */
 
-#include <ql/experimental/amortizingbonds/all.hpp>
 #include <ql/experimental/asian/all.hpp>
 #include <ql/experimental/averageois/all.hpp>
 #include <ql/experimental/barrieroption/all.hpp>
diff --git a/ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp b/ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp
@@ -797,7 +797,7 @@ namespace QuantLib {
                                   Real RUB, Real AR, Real RUC,
                                   int NUC));
 
-    Real tvtl(int NU, const Real limit[], const Real sigmarho[], Real epsi) {
+    Real tvtl(int NU, const Real limit[4], const Real sigmarho[4], Real epsi) {
         /*
           A function for computing trivariate normal and t-probabilities.
 
diff --git a/ql/experimental/credit/defaultprobabilitykey.cpp b/ql/experimental/credit/defaultprobabilitykey.cpp
@@ -91,3 +91,7 @@ namespace QuantLib {
     }
 
 }
+
+#if defined(QL_PATCH_MSVC)
+#pragma warning(pop)
+#endif
diff --git a/ql/time/calendars/argentina.cpp b/ql/time/calendars/argentina.cpp
@@ -49,7 +49,7 @@ namespace QuantLib {
             || (d >= 15 && d <= 21 && w == Monday && m == June)
             // Independence Day
             || (d == 9 && m == July)
-            // Death of General Jos� de San Mart�n
+            // Death of General José de San Martín
             || (d >= 15 && d <= 21 && w == Monday && m == August)
             // Columbus Day
             || ((d == 10 || d == 11 || d == 12 || d == 15 || d == 16)
diff --git a/ql/version.hpp b/ql/version.hpp
@@ -31,10 +31,10 @@
 /*! @{ */
 
 //! version string
-#define QL_VERSION "1.28-rc"
+#define QL_VERSION "1.28"
 
 //! version hexadecimal number
-#define QL_HEX_VERSION 0x012800c0
+#define QL_HEX_VERSION 0x012800f0
 
 /*! @}  */
 
diff --git a/test-suite/tracing.cpp b/test-suite/tracing.cpp
@@ -36,6 +36,11 @@ namespace {
         }
     };
 
+#if defined(__clang__) && __clang_major__ >= 15
+#pragma clang diagnostic push
+#pragma clang diagnostic ignored "-Wunused-but-set-variable"
+#endif
+
     void testTraceOutput(bool enable,
 #if defined(QL_ENABLE_TRACING)
                          const std::string& result) {
@@ -69,6 +74,10 @@ namespace {
         }
     }
 
+#if defined(__clang__) && __clang_major__ >= 15
+#pragma clang diagnostic pop
+#endif
+
 }
 
 
@@ -87,4 +96,3 @@ test_suite* TracingTest::suite() {
     suite->add(QUANTLIB_TEST_CASE(&TracingTest::testOutput));
     return suite;
 }
-
