ChangeLog.txt

commit 356f82f8183431ef4a4cd8fa9ca149114e6f3d1b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 14 Jul 2020 16:57:40 +0200

    Set version to 1.19 final.

 configure.ac   | 2 +-
 ql/version.hpp | 4 ++--
 2 files changed, 3 insertions(+), 3 deletions(-)

commit 0366583baa6b9c67b442da4dcd65eb899889ad27
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 7 Jul 2020 23:54:35 +0200

    Clean up defines

 ql/patterns/observable.cpp | 4 ----
 1 file changed, 4 deletions(-)

commit 6b3ab86fa09be0eae7fa50b3da4b6835e87b3fa4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 1 Jul 2020 16:01:13 +0200

    Don't report misspellings in the ChangeLog.

 .misspell-fixer.ignore | 2 ++
 1 file changed, 2 insertions(+)

commit 0e710d48214f984820d4546599cccb656a132203
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 1 Jul 2020 14:19:05 +0200

    Update News and ChangeLog.

 ChangeLog.txt           | 3840 +++++++++++++++++++++++++++++------------------
 Contributors.txt        |    2 +
 Docs/pages/authors.docs |    2 +
 Docs/pages/history.docs |   72 +-
 News.md                 |  147 +-
 5 files changed, 2556 insertions(+), 1507 deletions(-)

commit 01c4ac695cddfa344440488f74ccdb793bbd3e13
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Jun 2020 22:24:08 +0200

    Set version to 1.19-rc.

 configure.ac   | 2 +-
 ql/version.hpp | 4 ++--
 2 files changed, 3 insertions(+), 3 deletions(-)

commit 20cc5a92ee9f72c9a2743f360ac87f09c831cb93
Merge: 5a1398a2e 44030f1a2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Jun 2020 22:10:18 +0200

    Merge pull request #854.
    
    Update copyright list in license

commit 44030f1a21d3eaf9a70ea719cebf60aedded66e0
Author: lballabio <lballabio@users.noreply.github.com>
Date:   Tue, 30 Jun 2020 15:26:44 +0000

    Update copyright list in license

 LICENSE.TXT | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

commit 5a1398a2e933caf0253b765da6a1ed8b3592429f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Jun 2020 17:21:14 +0200

    Update Doxygen configuration.

 Docs/quantlib.doxy | 10 ++++++----
 1 file changed, 6 insertions(+), 4 deletions(-)

commit 4936d2a40b7278fbfe2fed325a972422e5a94114
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Jun 2020 16:35:02 +0200

    Add workflow to update copyright list.

 .github/workflows/copyrights.yml | 18 ++++++++++
 tools/check_copyrights.sh        |  2 +-
 tools/collect_copyrights.py      | 75 ++++++++++++++++++++++++++++++++++------
 3 files changed, 84 insertions(+), 11 deletions(-)

commit ab20ce3430360f0b12cc393fb3e60cb5d872d4cf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Jun 2020 15:41:53 +0200

    Reorder copyright list and use unicode for non-ASCII names.

 Docs/pages/history.docs                            |   2 +-
 LICENSE.TXT                                        | 122 ++++++++++-----------
 ql/cashflows/floatingratecoupon.cpp                |   2 +-
 .../exoticoptions/analyticsimplechooserengine.cpp  |   2 +-
 .../analyticwriterextensibleoptionengine.cpp       |   2 +-
 .../continuousarithmeticasianlevyengine.cpp        |   2 +-
 ql/experimental/exoticoptions/mcpagodaengine.cpp   |   2 +-
 .../exoticoptions/simplechooseroption.cpp          |   2 +-
 .../exoticoptions/writerextensibleoption.cpp       |   2 +-
 ql/experimental/models/hestonslvfdmmodel.cpp       |   2 +-
 ql/experimental/models/hestonslvfdmmodel.hpp       |   2 +-
 ql/experimental/models/hestonslvmcmodel.cpp        |   2 +-
 ql/experimental/models/hestonslvmcmodel.hpp        |   2 +-
 ql/experimental/processes/hestonslvprocess.cpp     |   2 +-
 ql/experimental/processes/hestonslvprocess.hpp     |   2 +-
 ql/instruments/capfloor.cpp                        |   2 +-
 ql/math/integrals/integral.cpp                     |   2 +-
 ql/math/matrixutilities/tapcorrelations.cpp        |   2 +-
 ql/math/optimization/armijo.cpp                    |   2 +-
 ql/math/optimization/bfgs.cpp                      |   2 +-
 ql/math/optimization/conjugategradient.cpp         |   6 +-
 ql/math/optimization/endcriteria.cpp               |   2 +-
 ql/math/optimization/leastsquare.cpp               |   2 +-
 ql/math/optimization/linesearch.cpp                |   2 +-
 ql/math/optimization/projectedcostfunction.cpp     |   2 +-
 ql/math/optimization/steepestdescent.cpp           |   4 +-
 .../meshers/concentrating1dmesher.cpp              |   2 +-
 .../meshers/concentrating1dmesher.hpp              |   2 +-
 .../finitedifferences/operators/fdmhestonop.cpp    |   2 +-
 .../finitedifferences/operators/fdmhestonop.hpp    |   2 +-
 .../finitedifferences/solvers/fdmhestonsolver.cpp  |   2 +-
 .../finitedifferences/solvers/fdmhestonsolver.hpp  |   2 +-
 .../utilities/bsmrndcalculator.cpp                 |   2 +-
 .../utilities/bsmrndcalculator.hpp                 |   2 +-
 .../utilities/hestonrndcalculator.cpp              |   2 +-
 .../utilities/hestonrndcalculator.hpp              |   2 +-
 .../utilities/localvolrndcalculator.cpp            |   2 +-
 .../utilities/localvolrndcalculator.hpp            |   2 +-
 .../utilities/riskneutraldensitycalculator.cpp     |   2 +-
 .../utilities/riskneutraldensitycalculator.hpp     |   2 +-
 .../utilities/squarerootprocessrndcalculator.cpp   |   2 +-
 .../utilities/squarerootprocessrndcalculator.hpp   |   2 +-
 .../correlations/cotswapfromfwdcorrelation.cpp     |   2 +-
 .../marketmodels/correlations/expcorrelations.cpp  |   2 +-
 .../timehomogeneousforwardcorrelation.cpp          |   2 +-
 .../marketmodels/curvestates/cmswapcurvestate.cpp  |   2 +-
 .../driftcomputation/cmsmmdriftcalculator.cpp      |   2 +-
 ql/models/marketmodels/marketmodel.cpp             |   2 +-
 ql/models/marketmodels/marketmodeldifferences.cpp  |   2 +-
 .../vanilla/fdhestonvanillaengine.cpp              |   2 +-
 ql/quotes/eurodollarfuturesquote.cpp               |   2 +-
 ql/quotes/forwardvaluequote.cpp                    |   2 +-
 ql/quotes/impliedstddevquote.cpp                   |   2 +-
 .../volatility/equityfx/fixedlocalvolsurface.cpp   |   2 +-
 .../volatility/equityfx/fixedlocalvolsurface.hpp   |   2 +-
 .../volatility/equityfx/hestonblackvolsurface.cpp  |   2 +-
 .../volatility/equityfx/hestonblackvolsurface.hpp  |   2 +-
 ql/termstructures/volatility/flatsmilesection.cpp  |   2 +-
 .../volatility/optionlet/optionletstripper1.cpp    |   2 +-
 .../volatility/sabrinterpolatedsmilesection.cpp    |   2 +-
 .../volatility/swaption/swaptionvoldiscrete.cpp    |   2 +-
 .../volatility/swaption/swaptionvolmatrix.cpp      |   2 +-
 test-suite/chooseroption.cpp                       |   2 +-
 test-suite/functions.cpp                           |   2 +-
 test-suite/riskneutraldensitycalculator.cpp        |   2 +-
 test-suite/riskneutraldensitycalculator.hpp        |   2 +-
 test-suite/swaptionvolatilitymatrix.cpp            |   2 +-
 67 files changed, 130 insertions(+), 130 deletions(-)

commit 224749727f4c92e0a6a4bda8e29e4ffbe66d7c20
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 30 Jun 2020 12:39:06 +0200

    Reuse main license file in reference docs.

 .gitignore              |   1 +
 Docs/Makefile.am        |   3 +-
 Docs/pages/license.docs | 191 +-----------------------------------------------
 Docs/quantlib.doxy      |   2 +-
 LICENSE.TXT             |  16 ++--
 5 files changed, 13 insertions(+), 200 deletions(-)

commit 98a738685b6970c441d768668d5ea0d459716a22
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 29 Jun 2020 23:28:42 +0200

    Fix a few test-suite messages.

 test-suite/dates.cpp                    | 2 +-
 test-suite/defaultprobabilitycurves.cpp | 2 +-
 test-suite/gaussianquadratures.cpp      | 2 +-
 test-suite/hestonmodel.cpp              | 2 +-
 test-suite/inflationcpiswap.cpp         | 8 +++-----
 test-suite/piecewiseyieldcurve.cpp      | 2 +-
 test-suite/squarerootclvmodel.cpp       | 6 +++---
 7 files changed, 11 insertions(+), 13 deletions(-)

commit 1bf481669126a650a52866fd1dda75a9549f3bcc
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 29 Jun 2020 19:27:46 +0200

    Add missing header.

 ql/methods/finitedifferences/solvers/fdmcirsolver.hpp | 1 +
 1 file changed, 1 insertion(+)

commit 847fc080ef60f1f5b7a3c0c22648967ee6d243b4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 29 Jun 2020 18:42:08 +0200

    Check that all headers compile on their own.

 .github/workflows/headers.yml | 13 +++++++++++++
 tools/check_all_headers.sh    |  5 ++---
 tools/check_header.py         | 35 +++++++++++++++++++++--------------
 3 files changed, 36 insertions(+), 17 deletions(-)

commit d669fb21c1675fb11f1e9bdae77990f540780703
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 29 Jun 2020 17:52:16 +0200

    Reorder inclusions.

 ql/pricingengines/vanilla/analyticeuropeanvasicekengine.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 0815aef54b86c7b7754f4fb0d137a31eff919759
Merge: 921d0a658 bade14208
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 29 Jun 2020 16:38:48 +0200

    Merge pull request #852.
    
    Improve Calendar performance

commit bade14208cb31f39228fea98d0ab5d3bc813ffd1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 29 Jun 2020 08:58:57 +0200

    Wrong line.

 Docs/pages/license.docs | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 4fa788545ebfc09caf163e7f0b4f406aff2ebcd3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 29 Jun 2020 08:56:29 +0200

    Reorder by year and alpha

 Docs/pages/license.docs | 2 ++
 LICENSE.TXT             | 4 ++--
 2 files changed, 4 insertions(+), 2 deletions(-)

commit 9d0f9c953c0cf62b4b6ec6ae02a920e8c7bc0ade
Author: Leonardo Arcari <l.arcari@kline.it>
Date:   Mon, 29 Jun 2020 08:42:46 +0200

    Update copyright notice

 LICENSE.TXT | 2 ++
 1 file changed, 2 insertions(+)

commit 921d0a658ec29f6d1994a590ac75c5671421d0d9
Merge: 808daf712 c277dc630
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 28 Jun 2020 19:18:59 +0200

    Merge pull request #851.
    
    Add boost::hash specialization for Date

commit 808daf712d54993cc5d37228f3fa3eb8265c93e1
Merge: ad5ce9990 68fdcd56e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 28 Jun 2020 16:19:17 +0200

    Merge pull request #853.
    
    disable escrowed dividend model for path dependent options

commit c277dc630adb9ee79bd81da6673d3dfd6363773d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 28 Jun 2020 13:55:01 +0200

    Fix failing builds

 ql/time/date.cpp     | 4 ++--
 test-suite/dates.cpp | 3 +--
 2 files changed, 3 insertions(+), 4 deletions(-)

commit 68fdcd56ec92111f012b0818ec2d38da7f07c14a
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 28 Jun 2020 12:53:15 +0200

    disable escrowed dividend model for path dependent options

 ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp | 15 +++++++++++----
 test-suite/dividendoption.cpp                             |  2 --
 2 files changed, 11 insertions(+), 6 deletions(-)

commit ad5ce999076e5108132ba2673eecde6a484e2ff8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 27 Jun 2020 11:30:43 +0200

    Avoid test failure on weekends.

 test-suite/indexes.cpp | 18 +++++++++++++-----
 1 file changed, 13 insertions(+), 5 deletions(-)

commit 6145d2516a179f30982826237f2a6f1dcf5e8f7e
Author: Leonardo Arcari <l.arcari@kline.it>
Date:   Fri, 26 Jun 2020 17:51:40 +0200

    Use Date prefix increment instead of postfix

 ql/time/calendar.cpp | 27 ++++++++++++++-------------
 1 file changed, 14 insertions(+), 13 deletions(-)

commit b5ba02ad5d5de912773f9144642edaeff8ab1f6e
Author: Leonardo Arcari <l.arcari@kline.it>
Date:   Fri, 26 Jun 2020 17:51:06 +0200

    Avoid looking up Date if added/removed holidays set are empty

 ql/time/calendar.hpp | 11 +++++++++--
 1 file changed, 9 insertions(+), 2 deletions(-)

commit 63692a3b1f7dbfba533565d67623a1aff7bdbfae
Author: Leonardo Arcari <l.arcari@kline.it>
Date:   Fri, 26 Jun 2020 17:48:48 +0200

    Add unit tests for boost::hash of Date

 test-suite/dates.cpp | 46 ++++++++++++++++++++++++++++++++++++++++++++++
 test-suite/dates.hpp |  3 +++
 2 files changed, 49 insertions(+)

commit 2d012df57c75bd9b66fa7c159be995b5127d9d20
Author: Leonardo Arcari <l.arcari@kline.it>
Date:   Fri, 26 Jun 2020 17:48:13 +0200

    Add boost::hash specialization for Date

 ql/time/date.cpp          | 14 ++++++++++++++
 ql/time/date.hpp          | 25 +++++++++++++++++++++++++
 test-suite/timeseries.cpp | 11 -----------
 3 files changed, 39 insertions(+), 11 deletions(-)

commit 4b91d37f4bd3493995ff4426aace86c67db66ee2
Merge: e3c4f828c 92e7909de
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 26 Jun 2020 14:05:10 +0200

    Merge pull request #849.
    
    Update Indian and Russian calendars

commit e3c4f828c6399278016e48ad399ba805766ea317
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 25 Jun 2020 18:28:20 +0200

    Add configuration for automatic workflow updates.

 .github/dependabot.yml | 8 ++++++++
 1 file changed, 8 insertions(+)

commit 2d4d0a96ad2a69647be2258ffc11782a5e91d552
Merge: 3cb86c556 841b0d6c4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 25 Jun 2020 18:21:26 +0200

    Merge pull request #848.
    
    Avoid using GNU-Make functions.

commit 3cb86c556966ba5a2610485a34aabbefd1bc62e7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 25 Jun 2020 18:18:15 +0200

    Avoid pinning specific action version.

 .github/workflows/misspell.yml | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 92e7909de80103b154240fabe26a1d3b250b3de6
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Thu, 25 Jun 2020 17:54:59 +0200

    whitespace

 ql/time/calendars/india.cpp  |  4 ++--
 ql/time/calendars/russia.cpp | 10 +++++-----
 2 files changed, 7 insertions(+), 7 deletions(-)

commit 64179878f7e3bf33bc9d38f57355527a0d7340d2
Author: Alexey Indiryakov <alexey.indiryakov@quaternionrisk.com>
Date:   Wed, 24 Jun 2020 20:25:48 +0200

    differentiate cbr and moex holidays

 ql/time/calendars/russia.cpp | 84 +++++++++++++++++++++++++++++++-------------
 1 file changed, 60 insertions(+), 24 deletions(-)

commit b8d39a734ff8032a1f6dc360f4128fdaf0e06148
Author: Alexey Indiryakov <alexey.indiryakov@quaternionrisk.com>
Date:   Wed, 24 Jun 2020 14:06:07 +0200

    add 2017-2020 holidays

 ql/time/calendars/russia.cpp | 40 ++++++++++++++++++++++++++++++++++++++++
 1 file changed, 40 insertions(+)

commit d89530834782fad4659399def4500b95545533b5
Author: Alexey Indiryakov <alexey.indiryakov@quaternionrisk.com>
Date:   Wed, 24 Jun 2020 14:05:29 +0200

    add 2019 and 2020 holidays

 ql/time/calendars/india.cpp | 62 +++++++++++++++++++++++++++++++++++++++++++++
 1 file changed, 62 insertions(+)

commit 841b0d6c499a118afe07e6c558182b3dc8127444
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 25 Jun 2020 14:26:34 +0200

    Avoid using GNU-Make functions.

 ql/Makefile.am | 13 ++++++++++---
 1 file changed, 10 insertions(+), 3 deletions(-)

commit e812522830733f8cfcda93307db0c29adbd17c32
Merge: dc2f12c30 048ff95fe
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 25 Jun 2020 08:46:43 +0200

    Merge pull request #847.
    
    Don't store data member by reference.

commit dc2f12c305d92af0ce445556ef8def281707f61c
Merge: a87f636ca 538a3a2de
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Jun 2020 15:03:22 +0200

    Merge pull request #846.
    
    Avoid functions specific to GNU Make.

commit 048ff95feea2d1fab5143339e5758abd14e303cf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Jun 2020 15:01:33 +0200

    Don't store data member by reference.

 ql/math/optimization/projectedconstraint.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit cb769375649fc2df5984be9caa88fbca1d1af551
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Jun 2020 10:04:08 +0200

    Avoid functions specific to GNU Make.

 test-suite/Makefile.am | 535 +++++++++++++++++++++++++++++++++----------------
 1 file changed, 358 insertions(+), 177 deletions(-)

commit a87f636ca333401a3258f3d336c3a073c1c31015
Merge: 8122a105f b8025390f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 24 Jun 2020 08:56:12 +0200

    Merge pull request #844.
    
    Deprecate unused BMA index constructor; fix observability.

commit 8122a105fe6c9a5288b05906c4a445ecf3429f6e
Merge: db8a01897 ce451a7d9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 23 Jun 2020 22:20:34 +0200

    Merge pull request #845.
    
    Avoid a few LGTM warnings.

commit ce451a7d999e70096f6cc08bcc8d9f61b2ca9435
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 22 Jun 2020 18:26:49 +0200

    Avoid call to virtual method in constructor.

 ql/termstructures/volatility/swaption/swaptionvoldiscrete.cpp | 9 ++++-----
 ql/termstructures/volatility/swaption/swaptionvoldiscrete.hpp | 2 +-
 2 files changed, 5 insertions(+), 6 deletions(-)

commit 0bb13cab0d064fb2c1168d4a0712f3cf7dd1f140
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 22 Jun 2020 18:26:26 +0200

    Specify static method calls.

 ql/termstructures/credit/defaultprobabilityhelpers.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit db8a0189723f9a36d0f39fefaf7510d26e33f193
Merge: a8599ca5a 0f4d1a866
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 22 Jun 2020 17:15:09 +0200

    Merge pull request #843.
    
    Add All Souls Day bank holiday to Mexican calendar

commit b8025390f8d8b7db480bb5a21f0910f6f75a2feb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 22 Jun 2020 17:10:56 +0200

    Deprecate unused BMA index constructor; fix observability.

 ql/indexes/bmaindex.cpp              | 12 +++++++
 ql/indexes/bmaindex.hpp              | 12 ++++---
 ql/indexes/interestrateindex.cpp     |  2 +-
 test-suite/CMakeLists.txt            |  1 +
 test-suite/Makefile.am               |  1 +
 test-suite/indexes.cpp               | 64 ++++++++++++++++++++++++++++++++++++
 test-suite/indexes.hpp               | 35 ++++++++++++++++++++
 test-suite/quantlibtestsuite.cpp     |  2 ++
 test-suite/testsuite.vcxproj         |  2 ++
 test-suite/testsuite.vcxproj.filters |  6 ++++
 10 files changed, 131 insertions(+), 6 deletions(-)

commit 0f4d1a866e7f609f1d3cbc57a357d2b69d50ea69
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 22 Jun 2020 14:04:58 +0200

    Add All Souls Day bank holiday to Mexican calendar

 ql/time/calendars/mexico.cpp | 2 ++
 ql/time/calendars/mexico.hpp | 1 +
 2 files changed, 3 insertions(+)

commit a8599ca5adddbddaf89df859c626714bf1f7474c
Merge: 501b901b3 bf3143fd6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 20 Jun 2020 11:15:28 +0200

    Merge pull request #841.
    
    Adding New Years Eve Holiday back for Eurex calendar

commit bf3143fd66630d31c6c185a9b5ec74d1ea02ccb5
Author: jengelman <j.aaron.engelman@gmail.com>
Date:   Fri, 19 Jun 2020 12:20:47 -0500

    add new years eve holiday back for eurex calendar

 ql/time/calendars/germany.cpp | 4 +++-
 ql/time/calendars/germany.hpp | 1 +
 test-suite/calendars.cpp      | 2 ++
 3 files changed, 6 insertions(+), 1 deletion(-)

commit 501b901b32ab1a4c6c0e77e9d2e475b808a4678d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 18 Jun 2020 19:14:54 +0200

    Add new build badge

 README.md | 4 +++-
 1 file changed, 3 insertions(+), 1 deletion(-)

commit 6ea190b908b592febb927bf4fe6c674be58f204c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 18 Jun 2020 14:33:25 +0200

    Add workflow for Mac OS build.

 .github/workflows/macos.yml | 24 ++++++++++++++++++++++++
 1 file changed, 24 insertions(+)

commit 992f013ac3436118afb6c58ee4135c36456a2a24
Merge: 3362fe099 0128feb4b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 18 Jun 2020 18:05:17 +0200

    Merge pull request #838.
    
    Fix out of bound access in CalendarTest::testDayLists

commit 3362fe0990a55778b2b045bbd748bb1e7b5d361a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 17 Jun 2020 14:21:06 +0200

    Use converted outputs.

 test-suite/piecewiseyieldcurve.cpp | 76 ++++++++++++++------------------------
 1 file changed, 28 insertions(+), 48 deletions(-)

commit 0128feb4b8e49f35ad24c76d5a64da8515e7b022
Author: Leonardo Arcari <l.arcari@kline.it>
Date:   Wed, 17 Jun 2020 15:05:22 +0200

    Add copyright notice
    
    (cherry picked from commit c0e8d4a096da4780840ec4cb793f19d9a622e723)

 test-suite/calendars.cpp | 2 ++
 1 file changed, 2 insertions(+)

commit 956a0b050458948646fcb38d338b62d95c163a78
Author: Leonardo Arcari <l.arcari@kline.it>
Date:   Tue, 16 Jun 2020 14:21:29 +0200

    Clang format

 test-suite/calendars.cpp | 2832 ++++++++++++++++++++++------------------------
 1 file changed, 1360 insertions(+), 1472 deletions(-)

commit c1712360092d4fe81498dcb6abe5079a8aded126
Author: Leonardo Arcari <l.arcari@kline.it>
Date:   Tue, 16 Jun 2020 14:19:36 +0200

    Fix out of bound access in CalendarTest::testDayLists

 test-suite/calendars.cpp | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

commit e6e81b23cf3dbf81be5ae86bfe8b3b94ceb0a8ca
Merge: d19957ee9 d0534c683
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 11 Jun 2020 14:38:20 +0200

    Merge pull request #834.
    
    init isStrikeIndependent_

commit d19957ee9841c4769972735450eee80790be3be2
Merge: b05e3911c 006e5c502
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 10 Jun 2020 09:26:06 +0200

    Merge pull request #835.
    
    improve grid scaling for FDM HestonSLV Calibration

commit 006e5c5021acc5ad9441160bcbe931999c44b9a0
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 9 Jun 2020 23:33:09 +0200

    relax tol

 test-suite/hestonslvmodel.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit f554dc24786249a8f9117653ee528bb6b053c545
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Tue, 9 Jun 2020 22:37:53 +0200

    improved scaling for LocalVolRNDCalculator

 .../utilities/localvolrndcalculator.cpp            | 24 ++++++++++----------
 .../utilities/riskneutraldensitycalculator.cpp     | 26 +++++-----------------
 .../utilities/riskneutraldensitycalculator.hpp     |  4 +++-
 test-suite/hestonslvmodel.cpp                      |  2 +-
 4 files changed, 22 insertions(+), 34 deletions(-)

commit d0534c683620d2ff0df50ac227af251729231443
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Tue, 9 Jun 2020 12:32:25 +0200

    init isStrikeIndependent_

 ql/processes/blackscholesprocess.cpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

commit b05e3911c77fa41a32c1a790bfad29ba7870d615
Merge: 5b7037af6 ebe21ff7c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 7 Jun 2020 16:37:53 +0200

    Merge pull request #832.
    
    fixed drift and diffusion of HestonSLVProcess

commit ebe21ff7ced7a1618bb99d366f22413788fe388e
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 7 Jun 2020 00:54:17 +0200

    tidy up

 test-suite/hestonslvmodel.cpp | 1 -
 1 file changed, 1 deletion(-)

commit a9036d855fa5ccb1dedfdaea0b0cfeeb59430ac7
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 7 Jun 2020 00:52:14 +0200

    revert changes

 CMakeLists.txt                   |   4 +-
 test-suite/quantlibtestsuite.cpp | 322 +++++++++++++++++++--------------------
 2 files changed, 162 insertions(+), 164 deletions(-)

commit 6f7ce3ddfb5928219774fd48d9ae643703c76bab
Merge: b05969ebb 4e51a4ef2
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 7 Jun 2020 00:31:50 +0200

    removed unused variable

commit b05969ebb08a0496fddf071582845115bfe457d1
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 7 Jun 2020 00:21:53 +0200

    removed unused variable

 test-suite/hestonslvmodel.cpp | 3 ---
 1 file changed, 3 deletions(-)

commit 4e51a4ef2b73db7f2943cab0adc3be6b6763eef6
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 7 Jun 2020 00:21:53 +0200

    removed unused variable

 test-suite/hestonslvmodel.cpp | 2 --
 1 file changed, 2 deletions(-)

commit ff7ba275c4715a034d1b976ca3725cf5d64a2454
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 7 Jun 2020 00:15:53 +0200

    fixed drift and diffusion of HestonSLVProcess

 ql/experimental/processes/hestonslvprocess.cpp |  10 +--
 test-suite/hestonslvmodel.cpp                  | 117 ++++++++++++++++++++++++-
 test-suite/hestonslvmodel.hpp                  |   1 +
 3 files changed, 120 insertions(+), 8 deletions(-)

commit 5b7037af6ba0e43444417d8ce9c3811899e11e53
Merge: 543071639 6b150a779
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 6 Jun 2020 17:34:40 +0200

    Merge pull request #831.
    
    Avoid a few Codacy warnings.

commit 543071639a253bfd8ce746867e5ae1811dd20077
Merge: 8773f58e7 3f4c5c2e0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 6 Jun 2020 16:26:15 +0200

    Merge pull request #829.
    
    vol should be floored at 1e-8, not capped

commit 6b150a77932cc7d354b824d4d5104d2ae873b742
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 6 Jun 2020 14:00:47 +0200

    Avoid a few more warnings.

 Examples/GlobalOptimizer/GlobalOptimizer.cpp       |  4 +-
 Examples/MarketModels/MarketModels.cpp             | 68 ++++++++++------------
 .../barrieroption/analyticdoublebarrierengine.hpp  |  2 +-
 .../perturbativebarrieroptionengine.hpp            |  2 +-
 .../barrieroption/wulinyongdoublebarrierengine.hpp |  2 +-
 .../catbonds/montecarlocatbondengine.hpp           |  2 +-
 ql/experimental/coupons/digitalcmsspreadcoupon.hpp |  2 +-
 ql/experimental/credit/defaulttype.hpp             |  4 +-
 ql/experimental/credit/integralcdoengine.hpp       |  4 +-
 ql/experimental/credit/onefactoraffinesurvival.hpp |  2 +-
 ql/experimental/credit/onefactorgaussiancopula.hpp |  4 +-
 .../credit/randomdefaultlatentmodel.hpp            |  5 +-
 ql/experimental/credit/randomlosslatentmodel.hpp   |  2 +-
 ql/experimental/credit/recursivelossmodel.hpp      |  7 ++-
 ql/experimental/math/fireflyalgorithm.hpp          | 38 ++++++------
 ql/experimental/math/multidimquadrature.hpp        |  2 +-
 ql/experimental/shortrate/generalizedhullwhite.hpp |  3 +-
 .../swaptions/haganirregularswaptionengine.hpp     |  3 +-
 .../variancegamma/analyticvariancegammaengine.hpp  |  2 +-
 ql/experimental/variancegamma/fftvanillaengine.hpp |  5 +-
 .../variancegamma/fftvariancegammaengine.hpp       |  5 +-
 ql/experimental/volatility/equityfxvolsurface.hpp  | 12 ++--
 .../volatility/interestratevolsurface.hpp          |  1 +
 23 files changed, 91 insertions(+), 90 deletions(-)

commit 8773f58e715b24ad3a9e8ab8ca377b98d858148b
Merge: 2decbbb54 c513db599
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 6 Jun 2020 10:38:27 +0200

    Merge pull request #830.
    
    Deprecate term-structure constructors taking jumps and no reference date.

commit ba15c8064f244028fa196f303acd9858531397bf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 5 Jun 2020 23:35:09 +0200

    Remove a few Codacy warnings.

 Examples/MarketModels/MarketModels.cpp             | 68 ++++++++++------------
 ql/experimental/basismodels/tenoroptionletvts.hpp  |  6 +-
 ql/experimental/credit/cdsoption.cpp               |  3 +-
 .../inflation/interpolatedyoyoptionletstripper.hpp |  8 +--
 ql/experimental/lattices/extendedbinomialtree.hpp  |  9 +--
 ql/experimental/shortrate/generalizedhullwhite.hpp |  6 +-
 ql/experimental/swaptions/irregularswaption.cpp    | 11 ++--
 ql/instruments/capfloor.cpp                        |  6 +-
 ql/instruments/swaption.cpp                        |  7 ++-
 .../distributions/bivariatenormaldistribution.cpp  |  8 +--
 .../interpolations/convexmonotoneinterpolation.hpp |  3 +-
 ql/math/kernelfunctions.hpp                        |  6 +-
 ql/methods/lattices/binomialtree.hpp               |  4 +-
 ql/methods/lattices/bsmlattice.hpp                 |  6 +-
 .../gaussian1dfloatfloatswaptionengine.cpp         | 10 ++--
 ql/termstructures/localbootstrap.hpp               |  5 +-
 .../volatility/swaption/swaptionvolcube1.hpp       | 14 ++---
 ql/time/calendars/china.hpp                        |  5 +-
 18 files changed, 74 insertions(+), 111 deletions(-)

commit c513db5993fa4caeb9761c0a08e43ec05b1b6e5c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 5 Jun 2020 18:10:06 +0200

    Deprecate constructors taking jumps and no reference date.

 ql/termstructures/yield/discountcurve.hpp          | 53 ++++++++++++++++++---
 ql/termstructures/yield/forwardcurve.hpp           | 54 +++++++++++++++++++---
 ql/termstructures/yield/forwardstructure.cpp       | 37 +++++++++++++--
 ql/termstructures/yield/forwardstructure.hpp       | 18 ++++++--
 .../yield/interpolatedsimplezerocurve.hpp          | 50 +++++++++++++++++---
 ql/termstructures/yield/zerocurve.hpp              | 54 +++++++++++++++++++---
 ql/termstructures/yield/zeroyieldstructure.cpp     | 36 +++++++++++++--
 ql/termstructures/yield/zeroyieldstructure.hpp     | 18 ++++++--
 ql/termstructures/yieldtermstructure.cpp           | 19 ++++----
 ql/termstructures/yieldtermstructure.hpp           | 15 ++++--
 10 files changed, 295 insertions(+), 59 deletions(-)

commit 5cbd860dc5fdb5270b85c4bf37bec13ff06a1065
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 5 Jun 2020 14:00:47 +0200

    Avoid passing large objects by value.

 ql/experimental/math/isotropicrandomwalk.hpp | 2 +-
 ql/methods/montecarlo/multipathgenerator.hpp | 4 ++--
 2 files changed, 3 insertions(+), 3 deletions(-)

commit 3f4c5c2e0a28b2356b3cf7f4c5d8b8aa49bdd9e6
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Fri, 5 Jun 2020 13:45:15 +0200

    vol should be floored at 1e-8, not capped

 ql/experimental/processes/hestonslvprocess.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 2decbbb54615747a754e46059c7bb4c839c54ebc
Merge: f56c717e3 b01b1ab44
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 31 May 2020 13:43:26 +0200

    Merge pull request #826.
    
    Automated fixes by clang-tidy

commit b01b1ab4474efe3b6e67b72e7c9f1a1f82dd7baf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 31 May 2020 09:29:07 +0200

    Remove underscore in argument

 ql/pricingengines/vanilla/fdcirvanillaengine.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit e07f120c90d897f7ae14360ff7deba92ef9bfd2d
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Sat, 30 May 2020 17:06:36 +0000

    Automated fixes by clang-tidy

 .../finitedifferences/operators/fdmcirop.hpp       | 22 ++++++++++------------
 .../finitedifferences/solvers/fdmcirsolver.hpp     | 13 ++++++-------
 ql/pricingengines/vanilla/fdcirvanillaengine.hpp   |  9 ++++++---
 3 files changed, 22 insertions(+), 22 deletions(-)

commit f56c717e3c908933216343ec04fd52fe2cccd589
Merge: 4df35a922 23907f1a5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 30 May 2020 17:49:32 +0200

    Merge pull request #824.
    
    Finite Difference Engine for Option under CoxIngersollRoss Short Rate Process

commit 23907f1a5a145ba0a036cea83097c959427425e5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 30 May 2020 14:51:37 +0200

    Clean up.

 QuantLib.vcxproj.filters                           |  6 ------
 .../finitedifferences/operators/fdmcirop.cpp       |  2 +-
 .../operators/ninepointlinearop.cpp                | 23 ----------------------
 .../operators/ninepointlinearop.hpp                |  1 -
 ql/processes/all.hpp                               |  1 +
 test-suite/quantlibtestsuite.cpp                   |  2 +-
 6 files changed, 3 insertions(+), 32 deletions(-)

commit d24c188781e69dbbc5e8f976f9853acd7ec33d18
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 30 May 2020 14:07:06 +0200

    Don't store processes by const reference.

 ql/pricingengines/vanilla/fdcirvanillaengine.cpp | 2 +-
 ql/pricingengines/vanilla/fdcirvanillaengine.hpp | 8 ++++----
 2 files changed, 5 insertions(+), 5 deletions(-)

commit 376026a0667ada90e411ca7a699effac43f07af2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 30 May 2020 11:19:51 +0200

    Revert "insert boost test checkpoints"
    
    This reverts commit fe63f3d8a380a541deff51e9e3182dc21a41dd71.

 ql/methods/finitedifferences/operators/fdmcirop.cpp   | 15 +--------------
 ql/methods/finitedifferences/solvers/fdmcirsolver.cpp |  4 +---
 ql/pricingengines/vanilla/fdcirvanillaengine.cpp      | 16 ----------------
 3 files changed, 2 insertions(+), 33 deletions(-)

commit fe63f3d8a380a541deff51e9e3182dc21a41dd71
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Fri, 29 May 2020 06:48:47 -0700

    insert boost test checkpoints

 ql/methods/finitedifferences/operators/fdmcirop.cpp   | 15 ++++++++++++++-
 ql/methods/finitedifferences/solvers/fdmcirsolver.cpp |  4 +++-
 ql/pricingengines/vanilla/fdcirvanillaengine.cpp      | 16 ++++++++++++++++
 3 files changed, 33 insertions(+), 2 deletions(-)

commit 1202b5a88e9880cce4cb074ad395642a3b1385dd
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Fri, 29 May 2020 05:46:00 -0700

    test fix

 .../finitedifferences/operators/fdmcirop.cpp       |  2 +-
 .../operators/ninepointlinearop.cpp                | 23 ++++++++++++++++++++++
 .../operators/ninepointlinearop.hpp                |  1 +
 ql/pricingengines/vanilla/fdcirvanillaengine.cpp   |  6 +++---
 test-suite/fdcir.cpp                               |  4 ++--
 test-suite/quantlibtestsuite.cpp                   |  2 +-
 6 files changed, 31 insertions(+), 7 deletions(-)

commit 9e3c141f00e9efd258f12fdce766fdf8f94c93ab
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Tue, 26 May 2020 19:36:28 -0700

    Initial Commit
    
    Initial Commit
    
    Cleanup code
    
    Add delta,gamma,theta calculations
    
    Fix build
    
    Remove unused variables
    
    Remove unused variables
    
    Reorder variables
    
    fix build
    
    fix build
    
    Fix mispell
    
    Fix stuff
    
    test fix

 QuantLib.vcxproj                                   |   8 +
 QuantLib.vcxproj.filters                           |  30 ++++
 ql/CMakeLists.txt                                  |   8 +
 ql/methods/finitedifferences/operators/Makefile.am |   2 +
 ql/methods/finitedifferences/operators/all.hpp     |   1 +
 .../finitedifferences/operators/fdmcirop.cpp       | 183 +++++++++++++++++++++
 .../finitedifferences/operators/fdmcirop.hpp       | 128 ++++++++++++++
 ql/methods/finitedifferences/solvers/Makefile.am   |   2 +
 ql/methods/finitedifferences/solvers/all.hpp       |   1 +
 .../finitedifferences/solvers/fdmcirsolver.cpp     |  76 +++++++++
 .../finitedifferences/solvers/fdmcirsolver.hpp     |  71 ++++++++
 ql/pricingengines/vanilla/Makefile.am              |   2 +
 ql/pricingengines/vanilla/all.hpp                  |   1 +
 ql/pricingengines/vanilla/fdcirvanillaengine.cpp   | 176 ++++++++++++++++++++
 ql/pricingengines/vanilla/fdcirvanillaengine.hpp   | 100 +++++++++++
 ql/processes/Makefile.am                           |   2 +
 ql/processes/coxingersollrossprocess.cpp           |  41 +++++
 ql/processes/coxingersollrossprocess.hpp           | 107 ++++++++++++
 test-suite/CMakeLists.txt                          |   1 +
 test-suite/Makefile.am                             |   1 +
 test-suite/fdcir.cpp                               | 123 ++++++++++++++
 test-suite/fdcir.hpp                               |  36 ++++
 test-suite/quantlibtestsuite.cpp                   |   2 +
 test-suite/testsuite.vcxproj                       |   2 +
 test-suite/testsuite.vcxproj.filters               |   6 +
 25 files changed, 1110 insertions(+)

commit 4df35a922509fa8232ea9cfbf6152a2d98e43632
Merge: 4f5294510 b3bed4e3c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 27 May 2020 11:50:58 +0200

    Merge pull request #823.
    
    improved nodes/weights for the exponentially fitted Laguerre quadrature rule

commit b3bed4e3c9c3fcacd5cb093cb49cd2658ea63c36
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 27 May 2020 07:59:36 +0200

    apply tidy changes

 ql/pricingengines/vanilla/analytichestonengine.cpp | 20 ++++++++++----------
 ql/pricingengines/vanilla/analytichestonengine.hpp |  2 +-
 2 files changed, 11 insertions(+), 11 deletions(-)

commit 020c28ceb73f8b7d2bdfd9bca771915ecdb81ad3
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 27 May 2020 01:20:13 +0200

    fixed reference

 ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit e866b321ac5f49b97157c0cc6e2b9648799b0e95
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 27 May 2020 01:18:39 +0200

    Revert "fixed reference"
    
    This reverts commit 2db18d2b74907dca4e62a486dce691c2d4ba0947.

 ql/pricingengines/vanilla/analytichestonengine.cpp | 67 ++++++++++++----------
 ql/pricingengines/vanilla/analytichestonengine.hpp | 10 +++-
 test-suite/hestonmodel.cpp                         | 11 ++--
 3 files changed, 50 insertions(+), 38 deletions(-)

commit 2db18d2b74907dca4e62a486dce691c2d4ba0947
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 27 May 2020 01:16:03 +0200

    fixed reference

 ql/pricingengines/vanilla/analytichestonengine.cpp | 67 ++++++++++------------
 ql/pricingengines/vanilla/analytichestonengine.hpp | 10 +---
 test-suite/hestonmodel.cpp                         | 11 ++--
 3 files changed, 38 insertions(+), 50 deletions(-)

commit 8d7460b73d3405adf8e93e7b336fc1b26296c678
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 27 May 2020 01:12:16 +0200

    correct merge

 ql/pricingengines/vanilla/analytichestonengine.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit 2293ff0a7be1f4eed27305b613ade8d39579919d
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 27 May 2020 00:36:00 +0200

    improved nodes/weights and control variate

 ql/pricingengines/vanilla/analytichestonengine.cpp |  30 +-
 ql/pricingengines/vanilla/analytichestonengine.hpp |   6 +-
 .../vanilla/analyticptdhestonengine.cpp            |   5 +-
 .../vanilla/exponentialfittinghestonengine.cpp     | 374 +++++++++------------
 .../vanilla/exponentialfittinghestonengine.hpp     |   8 +
 test-suite/hestonmodel.cpp                         |  40 +++
 test-suite/hestonmodel.hpp                         |   1 +
 7 files changed, 240 insertions(+), 224 deletions(-)

commit 4f529451059642c586f8a0546cfdef4effbbd033
Merge: 992cec2e2 c3665027a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 25 May 2020 12:38:59 +0200

    Merge pull request #820.
    
    Add workflow with clang-tidy check.

commit c3665027a20e36ec59622fa37effe1a0c110f3c6
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Mon, 25 May 2020 09:06:39 +0200

    Automated fixes by clang-tidy

 .../finitedifferences/fdmhestonfwdop.hpp           | 14 ++++-----
 ql/experimental/models/hestonslvmcmodel.hpp        | 19 ++++++-------
 ql/experimental/processes/hestonslvprocess.hpp     |  7 ++---
 .../finitedifferences/operators/fdmhestonop.hpp    | 15 +++++-----
 .../finitedifferences/solvers/fdmhestonsolver.hpp  | 16 +++++------
 .../vanilla/fdhestonvanillaengine.hpp              | 33 ++++++++++++----------
 6 files changed, 50 insertions(+), 54 deletions(-)

commit f88827c33e2b5325fbfa0853ae7cfa71a585e13d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 24 May 2020 18:55:49 +0200

    Avoid Codacy warnings.

 ql/experimental/credit/randomdefaultlatentmodel.hpp      | 10 +++++-----
 ql/termstructures/volatility/atmadjustedsmilesection.hpp |  6 +++---
 2 files changed, 8 insertions(+), 8 deletions(-)

commit e5cc12fa8a6f71ac5f1129517e6b5593492ed32d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 24 May 2020 17:30:19 +0200

    Enable a couple of modernize tests.

 .clang-tidy | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 74fac9a1581024aac49588d81f295eeb4e50ccc0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 24 May 2020 09:40:18 +0200

    Enable performance checks and avoid warnings.

 .clang-tidy                                        |   2 +-
 Examples/Gaussian1dModels/Gaussian1dModels.cpp     |   2 +-
 Examples/GlobalOptimizer/GlobalOptimizer.cpp       |  14 ++-
 Examples/MarketModels/MarketModels.cpp             |  10 +-
 ql/cashflows/cashflows.cpp                         |   2 +-
 ql/cashflows/cashflowvectors.hpp                   |   6 +-
 ql/cashflows/conundrumpricer.cpp                   |   2 +-
 ql/cashflows/couponpricer.hpp                      |   8 +-
 .../averageois/arithmeticaverageois.cpp            |  28 ++---
 .../averageois/arithmeticaverageois.hpp            |  23 ++--
 .../perturbativebarrieroptionengine.cpp            |  46 ++++---
 .../vannavolgadoublebarrierengine.hpp              |  65 +++++-----
 ql/experimental/catbonds/catbond.cpp               |  78 ++++++------
 ql/experimental/catbonds/catbond.hpp               |  85 ++++++-------
 ql/experimental/catbonds/catrisk.cpp               |  20 ++--
 ql/experimental/catbonds/catrisk.hpp               |  10 +-
 .../catbonds/montecarlocatbondengine.cpp           |   8 +-
 .../catbonds/montecarlocatbondengine.hpp           |   7 +-
 ql/experimental/catbonds/riskynotional.hpp         |  31 ++---
 ql/experimental/commodities/commoditycashflow.hpp  |  12 +-
 .../coupons/lognormalcmsspreadpricer.cpp           |  15 +--
 .../coupons/lognormalcmsspreadpricer.hpp           |   4 +-
 ql/experimental/credit/basket.cpp                  |  27 ++---
 ql/experimental/credit/basket.hpp                  |   2 +-
 ql/experimental/credit/defaultprobabilitykey.cpp   |  11 +-
 ql/experimental/credit/defaultprobabilitykey.hpp   |   2 +-
 ql/experimental/credit/onefactoraffinesurvival.hpp | 133 ++++++++++-----------
 .../credit/randomdefaultlatentmodel.hpp            |   4 +-
 ql/experimental/credit/randomdefaultmodel.cpp      |  19 ++-
 ql/experimental/credit/randomdefaultmodel.hpp      |  25 ++--
 ql/experimental/credit/riskybond.cpp               |  58 ++++-----
 ql/experimental/credit/riskybond.hpp               |  36 +++---
 .../exoticoptions/analyticcompoundoptionengine.cpp |  10 +-
 .../inflation/interpolatedyoyoptionletstripper.hpp |  43 ++++---
 ql/experimental/math/fireflyalgorithm.cpp          |  22 ++--
 ql/experimental/math/fireflyalgorithm.hpp          |  12 +-
 ql/experimental/math/hybridsimulatedannealing.hpp  |   2 +-
 ql/experimental/math/multidimquadrature.hpp        |   4 +-
 ql/experimental/math/particleswarmoptimization.cpp |  26 ++--
 ql/experimental/math/particleswarmoptimization.hpp |  13 +-
 ql/experimental/risk/sensitivityanalysis.cpp       |  30 ++---
 ql/experimental/risk/sensitivityanalysis.hpp       |  28 ++---
 .../swaptions/haganirregularswaptionengine.cpp     | 100 +++++++---------
 .../swaptions/haganirregularswaptionengine.hpp     |  18 +--
 ql/experimental/variancegamma/fftengine.cpp        |   5 +-
 ql/experimental/variancegamma/fftengine.hpp        |   4 +-
 .../integralhestonvarianceoptionengine.cpp         |   3 +-
 .../volatility/noarbsabrinterpolation.hpp          |  33 +++--
 .../volatility/sabrvoltermstructure.hpp            |  18 +--
 ql/experimental/volatility/sviinterpolation.hpp    |  40 ++++---
 ql/experimental/volatility/zabrinterpolation.hpp   |  36 +++---
 ql/indexes/swapindex.cpp                           |  53 ++++----
 ql/indexes/swapindex.hpp                           |   6 +-
 ql/instruments/floatfloatswap.cpp                  | 115 ++++++++++--------
 ql/instruments/floatfloatswap.hpp                  |  88 +++++++-------
 ql/instruments/floatfloatswaption.cpp              |   4 +-
 ql/instruments/floatfloatswaption.hpp              |   4 +-
 ql/instruments/forward.cpp                         |   2 +-
 ql/instruments/forward.hpp                         |   2 +-
 ql/instruments/nonstandardswaption.cpp             |   4 +-
 ql/instruments/nonstandardswaption.hpp             |   4 +-
 ql/instruments/overnightindexedswap.cpp            |  32 +++--
 ql/instruments/overnightindexedswap.hpp            |  23 ++--
 ql/instruments/zerocouponinflationswap.cpp         |  26 ++--
 ql/instruments/zerocouponinflationswap.hpp         |  30 ++---
 ql/math/interpolations/abcdinterpolation.hpp       |  25 ++--
 ql/math/interpolations/flatextrapolation2d.hpp     |   6 +-
 ql/math/interpolations/sabrinterpolation.hpp       |  34 ++++--
 ql/math/optimization/constraint.hpp                |   7 +-
 ql/math/optimization/leastsquare.cpp               |  12 +-
 ql/math/optimization/leastsquare.hpp               |   2 +-
 .../solvers/fdmbackwardsolver.cpp                  |   9 +-
 .../solvers/fdmbackwardsolver.hpp                  |   2 +-
 .../marketmodels/callability/collectnodedata.cpp   |   2 +-
 ql/models/marketmodels/callability/lsstrategy.cpp  |   2 +-
 ql/models/marketmodels/models/alphafinder.cpp      |  22 ++--
 ql/models/marketmodels/models/alphafinder.hpp      |   2 +-
 .../models/capletcoterminalalphacalibration.cpp    |  83 ++++++-------
 .../models/capletcoterminalalphacalibration.hpp    |   9 +-
 ql/models/marketmodels/models/pseudorootfacade.cpp |  11 +-
 ql/models/marketmodels/models/pseudorootfacade.hpp |   2 +-
 .../pathwisegreeks/swaptionpseudojacobian.cpp      |  17 ++-
 .../pathwisegreeks/swaptionpseudojacobian.hpp      |  28 ++---
 .../shortrate/onefactormodels/gaussian1dmodel.cpp  |  59 ++++-----
 .../shortrate/onefactormodels/gaussian1dmodel.hpp  |  24 ++--
 ql/models/shortrate/onefactormodels/gsr.cpp        |  17 ++-
 ql/models/shortrate/onefactormodels/gsr.hpp        |   2 +-
 .../shortrate/onefactormodels/markovfunctional.cpp |  14 ++-
 .../shortrate/onefactormodels/markovfunctional.hpp |  28 +++--
 ql/pricingengines/barrier/mcbarrierengine.cpp      |   2 +-
 ql/pricingengines/bond/discountingbondengine.cpp   |   7 +-
 ql/pricingengines/bond/discountingbondengine.hpp   |   5 +-
 ql/pricingengines/credit/integralcdsengine.cpp     |  16 ++-
 ql/pricingengines/credit/integralcdsengine.hpp     |  11 +-
 ql/pricingengines/credit/isdacdsengine.cpp         |  21 ++--
 ql/pricingengines/credit/isdacdsengine.hpp         |   2 +-
 ql/pricingengines/credit/midpointcdsengine.cpp     |  12 +-
 ql/pricingengines/credit/midpointcdsengine.hpp     |   9 +-
 ql/pricingengines/lookback/mclookbackengine.cpp    |   4 +-
 ql/pricingengines/swap/discountingswapengine.cpp   |  11 +-
 ql/pricingengines/swap/discountingswapengine.hpp   |   9 +-
 .../swaption/basketgeneratingengine.cpp            |   6 +-
 .../swaption/basketgeneratingengine.hpp            |  11 +-
 .../swaption/gaussian1dswaptionengine.cpp          |   4 +-
 ql/pricingengines/vanilla/mcdigitalengine.cpp      |   2 +-
 ql/termstructures/globalbootstrap.hpp              |  13 +-
 ql/termstructures/inflation/inflationhelpers.cpp   |   2 +-
 .../volatility/atmadjustedsmilesection.cpp         |   8 +-
 .../volatility/atmadjustedsmilesection.hpp         |   2 +-
 ql/termstructures/volatility/atmsmilesection.cpp   |   5 +-
 ql/termstructures/volatility/atmsmilesection.hpp   |   2 +-
 .../equityfx/andreasenhugevolatilityinterpl.cpp    |  30 ++---
 .../volatility/gaussian1dsmilesection.cpp          |  47 ++++----
 .../volatility/gaussian1dsmilesection.hpp          |   4 +-
 .../volatility/kahalesmilesection.cpp              |  22 ++--
 .../volatility/kahalesmilesection.hpp              |   2 +-
 .../swaption/gaussian1dswaptionvolatility.cpp      |  28 ++---
 .../swaption/gaussian1dswaptionvolatility.hpp      |   2 +-
 .../yield/fittedbonddiscountcurve.cpp              |  12 +-
 .../yield/fittedbonddiscountcurve.hpp              |   2 +-
 .../yield/nonlinearfittingmethods.cpp              |  87 ++++++++------
 .../yield/nonlinearfittingmethods.hpp              |  14 +--
 ql/time/daycounters/business252.hpp                |  10 +-
 ql/time/schedule.cpp                               |  17 ++-
 ql/time/schedule.hpp                               |  17 +--
 test-suite/array.cpp                               |   2 +-
 test-suite/asianoptions.cpp                        |   3 +-
 test-suite/bonds.cpp                               |   3 +-
 test-suite/cashflows.cpp                           |   3 +-
 test-suite/daycounters.cpp                         |   6 +-
 test-suite/hestonmodel.cpp                         |  16 +--
 test-suite/hestonslvmodel.cpp                      |  10 +-
 test-suite/inflationvolatility.cpp                 |   3 +-
 test-suite/libormarketmodel.cpp                    |   3 +-
 test-suite/marketmodel.cpp                         |  18 +--
 test-suite/marketmodel_cms.cpp                     |  15 ++-
 test-suite/marketmodel_smm.cpp                     |  13 +-
 test-suite/markovfunctional.cpp                    |   5 +
 test-suite/matrices.cpp                            |   4 +-
 test-suite/normalclvmodel.cpp                      |   6 +-
 test-suite/squarerootclvmodel.cpp                  |   6 +-
 test-suite/swapforwardmappings.cpp                 |   4 +-
 test-suite/timegrid.cpp                            |   2 +-
 test-suite/vpp.cpp                                 |   2 +-
 144 files changed, 1304 insertions(+), 1332 deletions(-)

commit 992cec2e243af46022c7fb9f088c88636a4df702
Merge: d8673915b 04616fd03
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 24 May 2020 13:22:16 +0200

    Merge pull request #811.
    
    Add mixing factor to Heston Finite Difference engine

commit 603a3044f114401180d237f2879a84e79054af55
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2020 17:22:51 +0200

    Enable most misc-* checks and avoid warnings.

 .clang-tidy                                        |  2 +-
 .github/workflows/tidy.yml                         | 17 ++++++----
 .../termstructures/multicurvesensitivities.hpp     |  4 ++-
 ql/functional.hpp                                  | 38 +++++++++++-----------
 ql/math/initializers.hpp                           |  2 +-
 .../gaussian1dnonstandardswaptionengine.cpp        |  2 +-
 .../swaption/gaussian1dswaptionengine.cpp          |  2 +-
 ql/shared_ptr.hpp                                  | 24 +++++++-------
 ql/termstructures/inflationtermstructure.cpp       | 24 +++++++++++---
 .../volatility/gaussian1dsmilesection.cpp          |  1 -
 ql/time/date.cpp                                   |  2 +-
 ql/utilities/null_deleter.hpp                      |  2 +-
 12 files changed, 71 insertions(+), 49 deletions(-)

commit 04616fd03f8de4c3d5e55103aa0f505e8ac907c3
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 23 May 2020 06:08:47 -0700

    Reorder initialization

 ql/experimental/processes/hestonslvprocess.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 0bcf3a5a1a7f64e940a5cad500f1ed45280db418
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 23 May 2020 05:56:41 -0700

    Reorder initialization

 ql/experimental/processes/hestonslvprocess.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 07546f4f25c91b8ce7c2f24650e44582879a48b2
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 23 May 2020 05:34:29 -0700

    Remove comma

 ql/experimental/models/hestonslvfdmmodel.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit abd7f716fee9bc50fc982dfd142fe348eb979c8f
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 23 May 2020 05:29:27 -0700

    Reorder initialization

 ql/experimental/models/hestonslvfdmmodel.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 6c1c58e9b8417cefe051bcf521c5b96adc18c338
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 23 May 2020 05:13:28 -0700

    Refactor

 .../finitedifferences/fdmhestonfwdop.cpp           | 12 +++---
 .../finitedifferences/fdmhestonfwdop.hpp           |  5 ++-
 ql/experimental/models/hestonslvfdmmodel.cpp       | 11 ++---
 ql/experimental/models/hestonslvfdmmodel.hpp       |  4 +-
 ql/experimental/models/hestonslvmcmodel.cpp        |  8 ++--
 ql/experimental/models/hestonslvmcmodel.hpp        |  4 +-
 ql/experimental/processes/hestonslvprocess.cpp     |  7 ++--
 ql/experimental/processes/hestonslvprocess.hpp     |  3 +-
 .../meshers/fdmhestonvariancemesher.cpp            | 10 +++--
 .../meshers/fdmhestonvariancemesher.hpp            |  6 ++-
 .../finitedifferences/operators/fdmhestonop.cpp    |  8 ++--
 .../finitedifferences/operators/fdmhestonop.hpp    |  3 +-
 .../finitedifferences/solvers/fdmhestonsolver.cpp  |  8 ++--
 .../finitedifferences/solvers/fdmhestonsolver.hpp  |  4 +-
 ql/models/equity/hestonmodel.cpp                   |  7 +---
 ql/models/equity/hestonmodel.hpp                   |  5 +--
 .../vanilla/fdhestonvanillaengine.cpp              | 17 +++++---
 .../vanilla/fdhestonvanillaengine.hpp              |  7 +++-
 ql/processes/hestonprocess.cpp                     | 48 +++++++++++-----------
 ql/processes/hestonprocess.hpp                     |  7 +---
 test-suite/hestonslvmodel.cpp                      |  4 +-
 21 files changed, 104 insertions(+), 84 deletions(-)

commit 1ccdb8b72683a30c70d541389c7ffa9d7d07f0da
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2020 15:21:40 +0200

    Clear more warnings.

 .github/workflows/tidy.yml                                |  2 +-
 ql/experimental/finitedifferences/fdmklugeextousolver.hpp |  3 ++-
 ql/time/calendars/argentina.cpp                           |  2 +-
 ql/time/calendars/australia.cpp                           |  2 +-
 ql/time/calendars/austria.cpp                             |  4 ++--
 ql/time/calendars/botswana.cpp                            |  2 +-
 ql/time/calendars/brazil.cpp                              |  4 ++--
 ql/time/calendars/canada.cpp                              |  4 ++--
 ql/time/calendars/china.cpp                               |  2 +-
 ql/time/calendars/czechrepublic.cpp                       |  2 +-
 ql/time/calendars/denmark.cpp                             |  2 +-
 ql/time/calendars/finland.cpp                             |  2 +-
 ql/time/calendars/france.cpp                              |  4 ++--
 ql/time/calendars/germany.cpp                             | 10 +++++-----
 ql/time/calendars/hungary.cpp                             |  2 +-
 ql/time/calendars/iceland.cpp                             |  2 +-
 ql/time/calendars/israel.cpp                              |  2 +-
 ql/time/calendars/italy.cpp                               |  4 ++--
 ql/time/calendars/japan.cpp                               |  2 +-
 ql/time/calendars/mexico.cpp                              |  2 +-
 ql/time/calendars/newzealand.cpp                          |  2 +-
 ql/time/calendars/norway.cpp                              |  2 +-
 ql/time/calendars/poland.cpp                              |  2 +-
 ql/time/calendars/romania.cpp                             |  2 +-
 ql/time/calendars/russia.cpp                              |  2 +-
 ql/time/calendars/saudiarabia.cpp                         |  2 +-
 ql/time/calendars/singapore.cpp                           |  2 +-
 ql/time/calendars/slovakia.cpp                            |  2 +-
 ql/time/calendars/southafrica.cpp                         |  2 +-
 ql/time/calendars/southkorea.cpp                          |  2 +-
 ql/time/calendars/sweden.cpp                              |  2 +-
 ql/time/calendars/switzerland.cpp                         |  2 +-
 ql/time/calendars/target.cpp                              |  2 +-
 ql/time/calendars/ukraine.cpp                             |  2 +-
 ql/time/calendars/unitedkingdom.cpp                       |  6 +++---
 ql/time/calendars/unitedstates.cpp                        |  6 +++---
 36 files changed, 50 insertions(+), 49 deletions(-)

commit 79f118ab63df42fc2e9e0a87b65f9303635773d5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2020 14:57:58 +0200

    Avoid warnings from bugprone-* checks.

 .../varianceoption/integralhestonvarianceoptionengine.cpp           | 6 +++---
 ql/math/integrals/gausslaguerrecosinepolynomial.hpp                 | 2 +-
 ql/methods/finitedifferences/operators/numericaldifferentiation.cpp | 2 +-
 ql/methods/finitedifferences/solvers/fdmndimsolver.hpp              | 2 +-
 ql/methods/montecarlo/lsmbasissystem.cpp                            | 4 ++--
 ql/time/daycounters/actual365fixed.cpp                              | 2 +-
 test-suite/asianoptions.cpp                                         | 6 +++---
 test-suite/hestonslvmodel.cpp                                       | 2 +-
 test-suite/hybridhestonhullwhiteprocess.cpp                         | 4 ++--
 9 files changed, 15 insertions(+), 15 deletions(-)

commit 730a5ddfc77aee1d41a4c48333f4448c0738895c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2020 11:59:15 +0200

    Enable bugprone-* checks.

 .clang-tidy | 3 +--
 1 file changed, 1 insertion(+), 2 deletions(-)

commit 52bcf52d0f64c91fe91cba15049f6591ff06e549
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2020 09:06:30 +0200

    Specify runner version to avoid sudden changes.

 .github/workflows/tidy.yml | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit ab9bb4c5ad04ac8cf3ef1c41520d875678c167f4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 22 May 2020 09:04:07 +0200

    Avoid a few more clang-tidy warnings.

 .../integrals/momentbasedgaussianpolynomial.hpp    |  3 +-
 .../pathwisegreeks/vegabumpcluster.cpp             |  8 +--
 .../volatility/kahalesmilesection.hpp              |  2 +-
 .../yield/fittedbonddiscountcurve.hpp              |  2 +-
 .../yield/nonlinearfittingmethods.hpp              | 22 ++++----
 ql/time/calendars/turkey.cpp                       | 60 ++++++++--------------
 test-suite/paralleltestrunner.hpp                  | 15 +++---
 7 files changed, 42 insertions(+), 70 deletions(-)

commit 532cd3400b39704e74a805f0bb9651216ad7d55b
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Thu, 21 May 2020 21:31:26 +0200

    Apply fixes by clang-tidy

 Examples/GlobalOptimizer/GlobalOptimizer.cpp       |   6 +-
 ql/cashflow.cpp                                    |   3 +-
 ql/cashflows/averagebmacoupon.cpp                  |   2 +-
 ql/cashflows/capflooredinflationcoupon.cpp         |  22 +-
 ql/cashflows/cashflows.cpp                         |  28 +-
 ql/cashflows/conundrumpricer.hpp                   |   6 +-
 ql/cashflows/couponpricer.cpp                      |   6 +-
 ql/cashflows/cpicoupon.hpp                         |   2 +-
 ql/cashflows/digitalcoupon.hpp                     |   4 +-
 ql/cashflows/floatingratecoupon.cpp                |   4 +-
 ql/cashflows/inflationcoupon.cpp                   |   4 +-
 ql/cashflows/inflationcouponpricer.cpp             |   2 +-
 ql/cashflows/lineartsrpricer.hpp                   |   4 +-
 ql/event.cpp                                       |   6 +-
 .../amortizingbonds/amortizingfixedratebond.hpp    |  21 +-
 .../perturbativebarrieroptionengine.cpp            |   8 +-
 .../barrieroption/vannavolgabarrierengine.cpp      |  58 +-
 .../barrieroption/vannavolgabarrierengine.hpp      |  18 +-
 ql/experimental/basismodels/swaptioncfs.cpp        |   2 +-
 ql/experimental/basismodels/tenoroptionletvts.hpp  |   2 +-
 ql/experimental/callablebonds/callablebond.cpp     |   2 +-
 .../callablebonds/treecallablebondengine.cpp       |   4 +-
 .../callablebonds/treecallablebondengine.hpp       |   7 +-
 .../catbonds/montecarlocatbondengine.cpp           |   7 +-
 .../catbonds/montecarlocatbondengine.hpp           |  45 +-
 ql/experimental/commodities/commodity.cpp          |   6 +-
 ql/experimental/commodities/commoditycashflow.cpp  |   2 +-
 ql/experimental/commodities/energybasisswap.cpp    |   4 +-
 ql/experimental/commodities/energycommodity.cpp    |   4 +-
 ql/experimental/commodities/energyswap.cpp         |   2 +-
 ql/experimental/commodities/energyvanillaswap.cpp  |   2 +-
 .../commodities/unitofmeasureconversionmanager.cpp |   3 +-
 .../convertiblebonds/convertiblebond.cpp           |   2 +-
 .../coupons/lognormalcmsspreadpricer.hpp           |  18 +-
 ql/experimental/coupons/swapspreadindex.hpp        |   4 +-
 ql/experimental/credit/basket.cpp                  |   8 +-
 ql/experimental/credit/basket.hpp                  |  16 +-
 ql/experimental/credit/defaultevent.cpp            |   5 +-
 ql/experimental/credit/defaultprobabilitykey.cpp   |   5 +-
 ql/experimental/credit/defaultprobabilitykey.hpp   |   5 +-
 .../credit/interpolatedaffinehazardratecurve.hpp   |  44 +-
 ql/experimental/credit/onefactorcopula.cpp         |   4 +-
 .../credit/randomdefaultlatentmodel.hpp            |  32 +-
 ql/experimental/credit/recursivelossmodel.hpp      |  57 +-
 ql/experimental/credit/riskyassetswap.cpp          |   2 +-
 ql/experimental/credit/spotlosslatentmodel.hpp     |   4 +-
 ql/experimental/credit/syntheticcdo.cpp            |  13 +-
 .../continuousarithmeticasianvecerengine.cpp       |   4 +-
 .../finitedifferences/fdmblackscholesfwdop.cpp     |   2 +-
 .../fdmexpextouinnervaluecalculator.hpp            |   2 +-
 .../fdmextoujumpmodelinnervalue.hpp                |   2 +-
 .../finitedifferences/fdmhestonfwdop.cpp           |   6 +-
 .../finitedifferences/fdmvppstepcondition.cpp      |   2 +-
 ql/experimental/finitedifferences/fdmzabrop.hpp    |  19 +-
 ql/experimental/futures/overnightindexfuture.hpp   |  15 +-
 .../futures/overnightindexfutureratehelper.hpp     |  51 +-
 .../inflation/interpolatedyoyoptionletstripper.hpp |   7 +-
 .../kinterpolatedyoyoptionletvolatilitysurface.hpp |  20 +-
 .../inflation/yoycapfloortermpricesurface.hpp      |  32 +-
 ql/experimental/inflation/yoyoptionletstripper.hpp |   7 +-
 ql/experimental/lattices/extendedbinomialtree.cpp  |  28 +-
 ql/experimental/math/convolvedstudentt.hpp         |  22 +-
 ql/experimental/math/fireflyalgorithm.cpp          |   2 +-
 .../gaussiannoncentralchisquaredpolynomial.cpp     |   2 +-
 ql/experimental/math/hybridsimulatedannealing.hpp  |  37 +-
 .../math/hybridsimulatedannealingfunctors.hpp      |   4 +-
 ql/experimental/math/laplaceinterpolation.hpp      |   2 -
 ql/experimental/math/latentmodel.hpp               |   6 +-
 ql/experimental/math/particleswarmoptimization.hpp |  12 +-
 ql/experimental/math/piecewiseintegral.hpp         |   6 +-
 ql/experimental/mcbasket/pathmultiassetoption.cpp  |   4 +-
 ql/experimental/models/hestonslvfdmmodel.hpp       |  13 +-
 ql/experimental/models/hestonslvmcmodel.cpp        |   2 +-
 ql/experimental/risk/creditriskplus.hpp            |  14 +-
 ql/experimental/risk/sensitivityanalysis.cpp       |   2 -
 ql/experimental/shortrate/generalizedhullwhite.hpp |   3 +-
 .../swaptions/haganirregularswaptionengine.cpp     |   8 +-
 ql/experimental/swaptions/irregularswap.cpp        |   4 +-
 .../integralhestonvarianceoptionengine.cpp         |   2 +-
 ql/experimental/volatility/abcdatmvolcurve.cpp     |  14 +-
 ql/experimental/volatility/noarbsabr.hpp           |  38 +-
 .../volatility/noarbsabrsmilesection.hpp           |  16 +-
 ql/experimental/volatility/sviinterpolation.hpp    |   1 -
 ql/experimental/volatility/svismilesection.cpp     |   1 -
 ql/experimental/volatility/zabr.cpp                |   4 +-
 ql/experimental/volatility/zabr.hpp                |  25 +-
 ql/experimental/volatility/zabrsmilesection.hpp    |  22 +-
 ql/instrument.hpp                                  |   4 +-
 ql/instruments/assetswap.cpp                       |   6 +-
 ql/instruments/bond.cpp                            |   2 +-
 ql/instruments/bonds/btp.cpp                       |   2 -
 ql/instruments/bonds/cpibond.hpp                   |   2 +-
 ql/instruments/bonds/fixedratebond.hpp             |   8 +-
 ql/instruments/bonds/floatingratebond.hpp          |  27 +-
 ql/instruments/capfloor.cpp                        |   2 +-
 ql/instruments/capfloor.hpp                        |   2 +-
 ql/instruments/cpiswap.cpp                         |   9 +-
 ql/instruments/creditdefaultswap.hpp               |  10 +-
 ql/instruments/floatfloatswap.cpp                  |  78 +--
 ql/instruments/floatfloatswap.hpp                  |  82 +--
 ql/instruments/floatfloatswaption.hpp              |   9 +-
 ql/instruments/inflationcapfloor.hpp               |   2 +-
 ql/instruments/makecds.cpp                         |   2 +-
 ql/instruments/makecds.hpp                         |   4 +-
 ql/instruments/makecms.cpp                         |   2 +-
 ql/instruments/makeswaption.hpp                    |   2 +-
 ql/instruments/nonstandardswap.cpp                 |  10 +-
 ql/instruments/nonstandardswap.hpp                 |  51 +-
 ql/instruments/nonstandardswaption.hpp             |   9 +-
 ql/instruments/swap.cpp                            |   2 +-
 ql/instruments/vanillaswap.cpp                     |   6 +-
 ql/instruments/yearonyearinflationswap.cpp         |   4 +-
 ql/legacy/libormarketmodels/liborforwardmodel.cpp  |   2 +-
 ql/legacy/libormarketmodels/lmfixedvolmodel.cpp    |   5 +-
 ql/math/array.hpp                                  |  11 +-
 ql/math/initializers.hpp                           |   6 +-
 ql/math/integrals/discreteintegrals.cpp            |   2 +-
 ql/math/integrals/gaussianorthogonalpolynomial.cpp |   4 +-
 ql/math/interpolations/multicubicspline.hpp        |  13 +-
 ql/math/interpolations/sabrinterpolation.hpp       |  25 +-
 ql/math/matrixutilities/bicgstab.cpp               |  10 +-
 ql/math/matrixutilities/gmres.cpp                  |   4 +-
 .../matrixutilities/sparseilupreconditioner.cpp    |   2 +-
 ql/math/ode/adaptiverungekutta.hpp                 |  25 +-
 ql/math/optimization/armijo.hpp                    |   4 +-
 ql/math/optimization/endcriteria.hpp               |  30 +-
 ql/math/optimization/goldstein.hpp                 |   4 +-
 ql/math/optimization/linesearch.hpp                |   2 +-
 ql/math/optimization/lmdif.cpp                     | 675 +++++++++++----------
 ql/math/optimization/lmdif.hpp                     |  14 +-
 ql/math/optimization/projection.cpp                |   2 +-
 ql/math/optimization/simulatedannealing.hpp        |   1 -
 ql/math/primenumbers.cpp                           |   2 +-
 ql/math/randomnumbers/haltonrsg.cpp                |   2 +-
 ql/math/randomnumbers/knuthuniformrng.cpp          |  20 +-
 ql/math/randomnumbers/mt19937uniformrng.cpp        |   4 +-
 ql/math/randomnumbers/sobolrsg.cpp                 | 106 ++--
 ql/math/statistics/sequencestatistics.hpp          |   4 +-
 .../meshers/concentrating1dmesher.hpp              |  11 +-
 .../meshers/fdmblackscholesmesher.cpp              |  21 +-
 .../meshers/fdmhestonvariancemesher.cpp            |   2 +-
 .../operators/fdm2dblackscholesop.cpp              |   4 +-
 .../operators/fdmblackscholesop.cpp                |   6 +-
 .../finitedifferences/operators/fdmhestonop.cpp    |   2 +-
 .../operators/fdmlocalvolfwdop.cpp                 |  27 +-
 .../schemes/methodoflinesscheme.hpp                |   8 +-
 .../solvers/fdm2dblackscholessolver.hpp            |  15 +-
 .../finitedifferences/solvers/fdm2dimsolver.cpp    |   4 +-
 .../finitedifferences/solvers/fdm3dimsolver.cpp    |   6 +-
 .../solvers/fdmbackwardsolver.cpp                  |  27 +-
 .../solvers/fdmbackwardsolver.hpp                  |  11 +-
 .../finitedifferences/solvers/fdmndimsolver.hpp    |   2 +-
 .../stepconditions/fdmsimplestoragecondition.cpp   |   4 +-
 .../finitedifferences/tridiagonaloperator.hpp      |   2 +-
 .../utilities/fdmtimedepdirichletboundary.cpp      |   5 +-
 ql/methods/lattices/binomialtree.cpp               |  20 +-
 ql/methods/montecarlo/brownianbridge.cpp           |   4 +-
 ql/methods/montecarlo/lsmbasissystem.cpp           |   2 +-
 ql/models/equity/hestonmodelhelper.hpp             |  14 +-
 .../marketmodels/correlations/expcorrelations.cpp  |   2 +-
 ql/models/marketmodels/curvestate.hpp              |  19 +-
 .../driftcomputation/lmmdriftcalculator.cpp        |  21 +-
 .../driftcomputation/lmmnormaldriftcalculator.cpp  |  18 +-
 .../evolvers/lognormalcmswapratepc.hpp             |   2 +-
 ql/models/marketmodels/models/abcdvol.hpp          |  21 +-
 .../models/capletcoterminalalphacalibration.hpp    |   9 +-
 .../models/capletcoterminalmaxhomogeneity.hpp      |  29 +-
 .../models/capletcoterminalperiodic.cpp            |   4 +-
 .../models/capletcoterminalperiodic.hpp            |  37 +-
 ql/models/marketmodels/models/fwdperiodadapter.cpp |   2 +-
 ql/models/marketmodels/models/pseudorootfacade.hpp |   3 +-
 ql/models/marketmodels/pathwisediscounter.cpp      |   3 -
 ql/models/marketmodels/swapforwardmappings.hpp     |  18 +-
 ql/models/model.cpp                                |   2 +-
 .../shortrate/calibrationhelpers/caphelper.hpp     |   8 +-
 .../calibrationhelpers/swaptionhelper.hpp          |  36 +-
 .../shortrate/onefactormodels/gaussian1dmodel.hpp  | 112 ++--
 ql/models/shortrate/onefactormodels/gsr.hpp        |  44 +-
 .../shortrate/onefactormodels/markovfunctional.cpp |  83 ++-
 .../shortrate/onefactormodels/markovfunctional.hpp | 151 +++--
 ql/patterns/observable.cpp                         |   5 +-
 ql/patterns/observable.hpp                         |   6 +-
 ql/prices.hpp                                      |   8 +-
 ql/pricingengines/americanpayoffatexpiry.cpp       |   4 +-
 ql/pricingengines/americanpayoffathit.cpp          |   4 +-
 .../asian/fdblackscholesasianengine.cpp            |  13 +-
 .../barrier/analyticbinarybarrierengine.cpp        |   4 +-
 .../basket/mcamericanbasketengine.cpp              |   2 +-
 ql/pricingengines/basket/stulzengine.cpp           |   4 +-
 ql/pricingengines/bond/discountingbondengine.cpp   |   7 +-
 .../capfloor/analyticcapfloorengine.cpp            |   4 +-
 ql/pricingengines/capfloor/treecapfloorengine.cpp  |   4 +-
 ql/pricingengines/credit/integralcdsengine.cpp     |   9 +-
 ql/pricingengines/credit/isdacdsengine.cpp         |  10 +-
 ql/pricingengines/credit/isdacdsengine.hpp         |  15 +-
 ql/pricingengines/credit/midpointcdsengine.cpp     |   9 +-
 .../forward/replicatingvarianceswapengine.hpp      |   4 +-
 ql/pricingengines/lookback/mclookbackengine.cpp    |   2 +-
 ql/pricingengines/mclongstaffschwartzengine.hpp    |  69 +--
 ql/pricingengines/swap/cvaswapengine.hpp           |  15 +-
 ql/pricingengines/swap/discountingswapengine.cpp   |   7 +-
 ql/pricingengines/swap/discretizedswap.cpp         |   1 +
 ql/pricingengines/swap/treeswapengine.cpp          |   4 +-
 .../swaption/basketgeneratingengine.hpp            |  13 +-
 .../gaussian1dfloatfloatswaptionengine.cpp         |  31 +-
 .../gaussian1dfloatfloatswaptionengine.hpp         |  10 +-
 .../gaussian1dnonstandardswaptionengine.hpp        |   2 +-
 .../swaption/jamshidianswaptionengine.cpp          |   2 +-
 ql/pricingengines/swaption/treeswaptionengine.cpp  |   4 +-
 ql/pricingengines/vanilla/analytichestonengine.cpp |  67 +-
 ql/pricingengines/vanilla/analytichestonengine.hpp |  10 +-
 ql/pricingengines/vanilla/fddividendengine.hpp     |   8 +-
 .../vanilla/fdhestonhullwhitevanillaengine.cpp     |   4 +-
 .../vanilla/fdhestonvanillaengine.cpp              |   4 +-
 ql/pricingengines/vanilla/fdvanillaengine.cpp      |   2 +-
 .../vanilla/hestonexpansionengine.hpp              |  27 +-
 ql/pricingengines/vanilla/mcamericanengine.cpp     |   3 +-
 ql/processes/blackscholesprocess.cpp               |   4 +-
 ql/processes/gsrprocess.hpp                        |  11 +-
 ql/processes/gsrprocesscore.hpp                    |  21 +-
 ql/processes/jointstochasticprocess.cpp            |   2 +-
 ql/processes/mfstateprocess.cpp                    |   2 +-
 ql/rebatedexercise.hpp                             |  21 +-
 .../credit/defaultprobabilityhelpers.hpp           |  55 +-
 ql/termstructures/inflation/seasonality.cpp        |   2 +-
 ql/termstructures/inflation/seasonality.hpp        |  53 +-
 ql/termstructures/inflationtermstructure.cpp       |   2 +-
 ql/termstructures/inflationtermstructure.hpp       |  36 +-
 .../volatility/atmadjustedsmilesection.hpp         |   5 +-
 ql/termstructures/volatility/atmsmilesection.hpp   |   3 +-
 .../equityfx/andreasenhugevolatilityinterpl.cpp    |  20 +-
 .../volatility/equityfx/hestonblackvolsurface.hpp  |   3 +-
 .../volatility/gaussian1dsmilesection.hpp          |  22 +-
 .../volatility/inflation/constantcpivolatility.hpp |   4 +-
 .../yoyinflationoptionletvolatilitystructure.hpp   |  42 +-
 .../volatility/interpolatedsmilesection.hpp        |  72 ++-
 .../volatility/kahalesmilesection.hpp              |  17 +-
 .../volatility/optionlet/optionletstripper.hpp     |  11 +-
 .../volatility/optionlet/optionletstripper1.cpp    |  18 +-
 .../volatility/optionlet/optionletstripper1.hpp    |  19 +-
 .../volatility/sabrinterpolatedsmilesection.hpp    |  74 +--
 ql/termstructures/volatility/sabrsmilesection.hpp  |   4 +-
 ql/termstructures/volatility/smilesection.hpp      |   8 +-
 ql/termstructures/volatility/smilesectionutils.cpp |   8 +-
 ql/termstructures/volatility/smilesectionutils.hpp |  11 +-
 .../volatility/swaption/cmsmarketcalibration.cpp   |  55 +-
 .../volatility/swaption/cmsmarketcalibration.hpp   |  20 +-
 .../swaption/gaussian1dswaptionvolatility.hpp      |  13 +-
 .../volatility/swaption/swaptionconstantvol.hpp    |  16 +-
 .../volatility/swaption/swaptionvolcube1.hpp       |  24 +-
 .../volatility/swaption/swaptionvolmatrix.cpp      |  10 +-
 .../volatility/swaption/swaptionvolmatrix.hpp      |  88 ++-
 ql/termstructures/yield/bondhelpers.hpp            |  52 +-
 .../yield/fittedbonddiscountcurve.hpp              |   9 +-
 .../yield/nonlinearfittingmethods.cpp              |  17 +-
 .../yield/nonlinearfittingmethods.hpp              |  54 +-
 ql/termstructures/yield/oisratehelper.hpp          |  32 +-
 ql/termstructures/yield/ratehelpers.cpp            |   4 +-
 ql/time/asx.cpp                                    |   5 +-
 ql/time/imm.cpp                                    |   5 +-
 ql/time/period.cpp                                 |   6 +-
 ql/time/schedule.cpp                               |  21 +-
 ql/time/schedule.hpp                               |   8 +-
 ql/utilities/dataparsers.cpp                       |   3 +-
 test-suite/blackformula.cpp                        |   1 -
 test-suite/fdmlinearop.cpp                         |   2 +-
 test-suite/hestonmodel.cpp                         |   9 +-
 test-suite/hestonslvmodel.cpp                      |   4 +-
 test-suite/hybridhestonhullwhiteprocess.cpp        |   2 +-
 test-suite/inflationcpiswap.cpp                    |   6 +-
 test-suite/libormarketmodel.cpp                    |   3 +-
 test-suite/marketmodel.cpp                         |   2 +-
 test-suite/matrices.cpp                            |   2 +-
 test-suite/noarbsabr.cpp                           |   2 -
 test-suite/schedule.cpp                            |   2 +-
 test-suite/tracing.cpp                             |   2 +-
 test-suite/vpp.cpp                                 |   5 +-
 277 files changed, 2177 insertions(+), 2369 deletions(-)

commit 66e48ed146fc0fde4c2f2a39300a040b0619d4c2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 20 May 2020 12:00:15 +0200

    Add clang-tidy workflow.

 .clang-tidy                |  8 ++++++++
 .github/workflows/tidy.yml | 22 ++++++++++++++++++++++
 tools/run_tidy.sh          |  5 +++++
 3 files changed, 35 insertions(+)

commit a9e32f0dcec804efb1ce8aafafd7c6aee2ebb3ad
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Wed, 20 May 2020 07:44:09 -0700

    Fix travis build

 test-suite/hestonslvmodel.cpp | 8 ++------
 1 file changed, 2 insertions(+), 6 deletions(-)

commit 91aa6de92025dec9579a8e555318d84d2afa9c53
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Wed, 20 May 2020 06:17:22 -0700

    Fix travis build

 test-suite/hestonslvmodel.cpp | 6 ++++--
 1 file changed, 4 insertions(+), 2 deletions(-)

commit 188b26aa1329e9835f0d6df3e68903ac66450205
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Wed, 20 May 2020 05:18:31 -0700

    Fix travis build

 test-suite/hestonslvmodel.cpp | 1 +
 1 file changed, 1 insertion(+)

commit 55c5dbc0ee5e23349d866c511c7855d5ecf39b22
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Wed, 20 May 2020 04:25:53 -0700

    Fix test failures

 Examples/EquityOption/EquityOption.cpp             | 21 +++++++++-
 .../finitedifferences/fdmhestonfwdop.cpp           | 19 ++++-----
 .../finitedifferences/fdmhestonfwdop.hpp           |  2 +-
 ql/experimental/models/hestonslvfdmmodel.cpp       |  5 ++-
 ql/experimental/processes/hestonslvprocess.cpp     |  9 +++--
 ql/experimental/processes/hestonslvprocess.hpp     |  2 +-
 .../meshers/fdmhestonvariancemesher.cpp            | 11 +++---
 .../finitedifferences/operators/fdmhestonop.cpp    | 12 +++---
 .../finitedifferences/operators/fdmhestonop.hpp    |  2 +-
 ql/models/equity/hestonmodel.cpp                   |  7 +++-
 ql/models/equity/hestonmodel.hpp                   |  5 ++-
 ql/processes/hestonprocess.cpp                     | 46 +++++++++++-----------
 ql/processes/hestonprocess.hpp                     |  3 +-
 13 files changed, 86 insertions(+), 58 deletions(-)

commit 74e1c2c24afd05b22bc614ac4cd358f6d6fc3482
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Tue, 19 May 2020 19:57:48 -0700

    Fix build

 Examples/EquityOption/EquityOption.cpp             | 37 +---------------------
 .../finitedifferences/fdmhestonfwdop.cpp           |  2 +-
 2 files changed, 2 insertions(+), 37 deletions(-)

commit 19c87ac632fc69bfcdcc9c1e7833ceaba494ca36
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Tue, 19 May 2020 19:18:53 -0700

    Move mixingFactor into hestonprocess

 .../finitedifferences/fdmhestonfwdop.cpp           | 19 +++++----
 .../finitedifferences/fdmhestonfwdop.hpp           |  2 +-
 ql/experimental/models/hestonslvfdmmodel.cpp       |  5 ++-
 ql/experimental/processes/hestonslvprocess.cpp     |  9 ++--
 ql/experimental/processes/hestonslvprocess.hpp     |  3 +-
 .../meshers/fdmhestonvariancemesher.cpp            | 10 ++---
 .../finitedifferences/operators/fdmhestonop.cpp    |  7 ++--
 .../finitedifferences/operators/fdmhestonop.hpp    |  4 +-
 .../finitedifferences/solvers/fdmhestonsolver.cpp  |  8 ++--
 .../finitedifferences/solvers/fdmhestonsolver.hpp  |  5 +--
 .../vanilla/fdhestonvanillaengine.cpp              | 20 +++------
 .../vanilla/fdhestonvanillaengine.hpp              | 15 ++-----
 ql/processes/hestonprocess.cpp                     | 48 +++++++++++-----------
 ql/processes/hestonprocess.hpp                     |  6 ++-
 test-suite/hestonslvmodel.cpp                      | 24 +++++++++++
 15 files changed, 94 insertions(+), 91 deletions(-)

commit d8673915b4d62f1c9c1fd16c5778aee8572b292f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 19 May 2020 16:20:02 +0200

    Avoid VC++ warning.

 test-suite/hestonmodel.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 2c607bcb9995686aeda72fc68491850cfbb6b85e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 19 May 2020 08:42:28 +0200

    Treat warnings as errors in VC++19 build on Appveyor.

 .appveyor/VS2019.props | 1 +
 1 file changed, 1 insertion(+)

commit bf66c7151aa8027755ad023ae93f42b28c76c719
Merge: fb3143fac 2977bc018
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 19 May 2020 08:44:21 +0200

    Merge pull request #813.
    
    Deprecate curve-dependent step condition

commit 2977bc018734cced7d5389e1c6b0c8aa8b8802ad
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 18 May 2020 23:18:11 +0200

    Use explicit constructors.

 ql/methods/finitedifferences/americancondition.hpp | 12 +++++++-----
 ql/methods/finitedifferences/shoutcondition.hpp    |  4 ++--
 2 files changed, 9 insertions(+), 7 deletions(-)

commit 7329633540433c30c9a75ec1d963a29c0e6fb668
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 18 May 2020 19:20:48 +0200

    Avoid warnings in VC++ and gcc.

 ql/methods/finitedifferences/fdtypedefs.hpp    | 22 ++++++++++++++++++++++
 ql/methods/finitedifferences/stepcondition.hpp | 11 +++++++++++
 2 files changed, 33 insertions(+)

commit 646d49ef4d5eea7ee714f291f0b3099dbe8a8a35
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Mon, 18 May 2020 04:39:53 -0700

    Revert spaces/indents

 ql/methods/finitedifferences/operators/fdmhestonop.cpp |  2 +-
 ql/methods/finitedifferences/operators/fdmhestonop.hpp |  2 +-
 ql/pricingengines/vanilla/fdhestonvanillaengine.cpp    | 16 +++++++++++-----
 ql/pricingengines/vanilla/fdhestonvanillaengine.hpp    |  3 ++-
 4 files changed, 15 insertions(+), 8 deletions(-)

commit afc1a2b1588a5daa5b079f2c715d5aa1cd88ca2b
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Mon, 18 May 2020 04:35:01 -0700

    Revert spaces/indents

 ql/CMakeLists.txt          | 2 +-
 test-suite/hestonmodel.cpp | 9 ++++++---
 2 files changed, 7 insertions(+), 4 deletions(-)

commit 54b752201ca3ad4dc4f8b5cfce1e785d4cbbc49d
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Mon, 18 May 2020 04:28:05 -0700

    Revert engine name

 Examples/EquityOption/EquityOption.cpp             |  4 +--
 QuantLib.vcxproj                                   |  4 +--
 QuantLib.vcxproj.filters                           |  4 +--
 ql/CMakeLists.txt                                  |  4 +--
 .../fdhestondoublebarrierengine.cpp                |  2 +-
 .../barrier/fdhestonbarrierengine.cpp              |  4 +--
 ql/pricingengines/vanilla/Makefile.am              |  4 +--
 ql/pricingengines/vanilla/all.hpp                  |  2 +-
 ql/pricingengines/vanilla/fdbatesvanillaengine.cpp |  4 +--
 .../vanilla/fdhestonhullwhitevanillaengine.cpp     |  6 ++--
 ...vanillaengine.cpp => fdhestonvanillaengine.cpp} | 41 ++++++++++------------
 ...vanillaengine.hpp => fdhestonvanillaengine.hpp} | 28 +++++++--------
 test-suite/fdheston.cpp                            | 26 +++++++-------
 test-suite/hestonmodel.cpp                         | 23 ++++++------
 test-suite/hestonslvmodel.cpp                      | 10 +++---
 test-suite/hybridhestonhullwhiteprocess.cpp        |  6 ++--
 test-suite/quantooption.cpp                        |  6 ++--
 17 files changed, 87 insertions(+), 91 deletions(-)

commit b73d626cf17424218c60e85fe654b333d9ec1557
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 17 May 2020 20:29:00 +0200

    Deprecate CurveDependentStepCondition class.

 ql/methods/finitedifferences/americancondition.hpp | 61 ++++++++++++---
 ql/methods/finitedifferences/fdtypedefs.hpp        |  6 ++
 ql/methods/finitedifferences/shoutcondition.hpp    | 87 +++++++++++++++-------
 ql/methods/finitedifferences/stepcondition.hpp     | 11 ++-
 4 files changed, 127 insertions(+), 38 deletions(-)

commit fb3143faccdc8dd0245a3b4d9c48185719689ccd
Merge: 86869ef74 feb6a16f9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 17 May 2020 16:19:43 +0200

    Merge pull request #812.
    
    added Heston engine based on exponentially-fitted Laguerre quadrature rule

commit feb6a16f90fc49cc9d016452abc5ee292bac0079
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 17 May 2020 12:46:37 +0200

    .

 ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp | 3 +++
 1 file changed, 3 insertions(+)

commit 9328ad12f80b6330f1f55f9e78c6a4fb5e569e5f
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 17 May 2020 12:25:25 +0200

    .

 ql/pricingengines/vanilla/analytichestonengine.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 16daf776543c4b290ecad47391e9cdfee9b8c412
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 17 May 2020 12:21:12 +0200

    use Taylor approximation already for sigma < 1e-3

 ql/pricingengines/vanilla/analytichestonengine.cpp | 31 +++++++++++-----------
 1 file changed, 16 insertions(+), 15 deletions(-)

commit 9ce42a0cf7accda6fe6a66562b85e905abd05d0a
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 16 May 2020 22:22:27 +0200

    make contructor explicit

 ql/pricingengines/vanilla/exponentialfittinghestonengine.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 33f077c8fc100e00e0533a3da65197de92018ba2
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sat, 16 May 2020 20:48:51 +0200

    detect order of quadrature

 ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 6 ++++--
 test-suite/hestonmodel.cpp                                   | 2 +-
 2 files changed, 5 insertions(+), 3 deletions(-)

commit 8e2fc9a5de7c1f685694f2104f1326899da34d8c
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 16 May 2020 05:07:26 -0700

    Remove unused variable

 ql/methods/finitedifferences/operators/fdmhestonop.cpp | 3 +--
 ql/methods/finitedifferences/operators/fdmhestonop.hpp | 1 -
 2 files changed, 1 insertion(+), 3 deletions(-)

commit bc3dfff5a092e4dcd5f29e791e77ff63963c2ee1
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 16 May 2020 03:58:28 -0700

    Fix formula

 ql/methods/finitedifferences/operators/fdmhestonop.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit d8fe96c700085c2fefef9a1d5150f0d5daacf06f
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 16 May 2020 03:48:57 -0700

    Add mixing factor to Heston Finite Difference engine

 Examples/EquityOption/EquityOption.cpp             | 16 ++++++
 QuantLib.vcxproj                                   |  4 +-
 QuantLib.vcxproj.filters                           |  4 +-
 ql/CMakeLists.txt                                  |  4 +-
 .../fdhestondoublebarrierengine.cpp                |  2 +-
 .../finitedifferences/operators/fdmhestonop.cpp    | 14 +++--
 .../finitedifferences/operators/fdmhestonop.hpp    |  7 ++-
 .../finitedifferences/solvers/fdmhestonsolver.cpp  |  8 ++-
 .../finitedifferences/solvers/fdmhestonsolver.hpp  |  5 +-
 .../barrier/fdhestonbarrierengine.cpp              |  4 +-
 ql/pricingengines/vanilla/Makefile.am              |  4 +-
 ql/pricingengines/vanilla/all.hpp                  |  2 +-
 ql/pricingengines/vanilla/fdbatesvanillaengine.cpp |  4 +-
 .../vanilla/fdhestonhullwhitevanillaengine.cpp     |  6 +-
 ...laengine.cpp => fdhestonmixedvanillaengine.cpp} | 65 ++++++++++++----------
 ...laengine.hpp => fdhestonmixedvanillaengine.hpp} | 40 +++++++------
 test-suite/fdheston.cpp                            | 26 ++++-----
 test-suite/hestonmodel.cpp                         | 24 ++++----
 test-suite/hestonslvmodel.cpp                      | 10 ++--
 test-suite/hybridhestonhullwhiteprocess.cpp        |  6 +-
 test-suite/quantooption.cpp                        |  6 +-
 21 files changed, 151 insertions(+), 110 deletions(-)

commit 5e90db51cbf31d5bea9382ee31eb182b181f493d
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 10 May 2020 17:29:06 +0200

    extend exponential fitting tests

 test-suite/hestonmodel.cpp | 65 ++++++++++++++++++++++++++++------------------
 1 file changed, 40 insertions(+), 25 deletions(-)

commit 3e26b8ac3bf54c7f9da11f1476c036b2bb04c134
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 10 May 2020 16:12:26 +0200

    formatting

 ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 1 +
 1 file changed, 1 insertion(+)

commit fbd0fb383d6d3a994af1aa1cc58993775a387fd5
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 10 May 2020 16:11:31 +0200

    .

 ql/pricingengines/vanilla/exponentialfittinghestonengine.cpp | 2 --
 1 file changed, 2 deletions(-)

commit 296ff45c137f0ab61db8d387217005571596ad3c
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 10 May 2020 16:09:32 +0200

    fixed formatting

 .../vanilla/exponentialfittinghestonengine.cpp     | 86 +++++++++++-----------
 .../vanilla/exponentialfittinghestonengine.hpp     |  4 +-
 2 files changed, 45 insertions(+), 45 deletions(-)

commit 90d8e15aa649ace4cbc03c2899d2453907eef5e8
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 10 May 2020 16:05:58 +0200

    fixed quantlib testsuite

 test-suite/quantlibtestsuite.cpp | 320 +++++++++++++++++++--------------------
 1 file changed, 160 insertions(+), 160 deletions(-)

commit 0982856a5670b05567e8572a1bd78743a3cb533b
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Sun, 10 May 2020 15:58:23 +0200

    added Heston engine based on exponentially fitted Gauss-Laguerre
    quadrature

 QuantLib.vcxproj                                   |   2 +
 QuantLib.vcxproj.filters                           |   6 +
 ql/CMakeLists.txt                                  |   2 +
 ql/pricingengines/vanilla/Makefile.am              |   2 +
 ql/pricingengines/vanilla/all.hpp                  |   1 +
 .../vanilla/exponentialfittinghestonengine.cpp     | 374 +++++++++++++++++++++
 .../vanilla/exponentialfittinghestonengine.hpp     |  61 ++++
 test-suite/hestonmodel.cpp                         | 294 +++++++++++++++-
 test-suite/hestonmodel.hpp                         |   2 +
 test-suite/quantlibtestsuite.cpp                   | 320 +++++++++---------
 10 files changed, 898 insertions(+), 166 deletions(-)

commit 86869ef7429ce1a975c9e0ef15a69a9a3db8e0f4
Merge: 619ebe599 10827f0a4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 9 May 2020 19:24:19 +0200

    Merge pull request #810.
    
    Monte Carlo pricing engines for all lookbacks

commit 10827f0a4a70ab9fa21c920e09e2ffda16d5263c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 May 2020 15:56:17 +0200

    Common template engine.

 QuantLib.vcxproj                                   |  12 +-
 QuantLib.vcxproj.filters                           |  24 +-
 ql/CMakeLists.txt                                  |  10 +-
 ql/pricingengines/lookback/Makefile.am             |  10 +-
 ql/pricingengines/lookback/all.hpp                 |   5 +-
 ql/pricingengines/lookback/mclookbackengine.cpp    | 252 ++++++++++++++++++
 ...backfloatingengine.hpp => mclookbackengine.hpp} | 206 ++++++++-------
 .../lookback/mclookbackfixedengine.cpp             |  52 ----
 .../lookback/mclookbackfixedengine.hpp             | 283 --------------------
 .../lookback/mclookbackfloatingengine.cpp          |  49 ----
 .../lookback/mclookbackpartialfixedengine.cpp      |  55 ----
 .../lookback/mclookbackpartialfixedengine.hpp      | 288 ---------------------
 .../lookback/mclookbackpartialfloatingengine.cpp   |  53 ----
 .../lookback/mclookbackpartialfloatingengine.hpp   | 286 --------------------
 test-suite/lookbackoptions.cpp                     |  17 +-
 15 files changed, 384 insertions(+), 1218 deletions(-)

commit 65b2213e9aae4360ad202207a7d6c91ff6ab15c0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 May 2020 10:14:42 +0200

    Simplify path pricers.

 .../lookback/mclookbackfixedengine.cpp             | 44 +++++++-------------
 .../lookback/mclookbackfixedengine.hpp             | 10 ++---
 .../lookback/mclookbackfloatingengine.cpp          | 47 +++++++--------------
 .../lookback/mclookbackfloatingengine.hpp          | 10 ++---
 .../lookback/mclookbackpartialfixedengine.cpp      | 48 ++++++++--------------
 .../lookback/mclookbackpartialfixedengine.hpp      | 10 ++---
 .../lookback/mclookbackpartialfloatingengine.cpp   | 48 ++++++++--------------
 .../lookback/mclookbackpartialfloatingengine.hpp   | 10 ++---
 test-suite/lookbackoptions.cpp                     |  2 +
 9 files changed, 79 insertions(+), 150 deletions(-)

commit 89f2dfb218c14655cc5e8f72ab6580a2dcdac7d1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 8 May 2020 10:22:27 +0200

    Also test Put options.

 test-suite/lookbackoptions.cpp | 221 +++++++++++++++++++++--------------------
 1 file changed, 115 insertions(+), 106 deletions(-)

commit 12ee4d7c7d3eb5c126196c4a5ced3ad9e8cbb95c
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 2 May 2020 01:45:18 -0700

    Initial Commit for all 4 Monte Carlo engines for lookbacks
    
    Renaming
    
    Change int to Size
    
    Remove unused variables
    
    Fix lambda value
    
    Fix test failure

 QuantLib.vcxproj                                   |   8 +
 QuantLib.vcxproj.filters                           |  24 ++
 ql/CMakeLists.txt                                  |   8 +
 ql/instruments/payoffs.cpp                         |  11 +
 ql/instruments/payoffs.hpp                         |   1 +
 ql/pricingengines/lookback/Makefile.am             |  12 +-
 ql/pricingengines/lookback/all.hpp                 |   4 +
 .../lookback/mclookbackfixedengine.cpp             |  68 ++++
 .../lookback/mclookbackfixedengine.hpp             | 285 ++++++++++++++++
 .../lookback/mclookbackfloatingengine.cpp          |  66 ++++
 .../lookback/mclookbackfloatingengine.hpp          | 284 ++++++++++++++++
 .../lookback/mclookbackpartialfixedengine.cpp      |  71 ++++
 .../lookback/mclookbackpartialfixedengine.hpp      | 290 +++++++++++++++++
 .../lookback/mclookbackpartialfloatingengine.cpp   |  69 ++++
 .../lookback/mclookbackpartialfloatingengine.hpp   | 288 +++++++++++++++++
 test-suite/lookbackoptions.cpp                     | 357 +++++++++++++++------
 test-suite/lookbackoptions.hpp                     |   1 +
 17 files changed, 1754 insertions(+), 93 deletions(-)

commit 619ebe599cac7c5b61dd670d859c9f69dc37f7ea
Merge: e967e9bcb 77d783eca
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 2 May 2020 11:10:55 +0200

    Merge pull request #809.
    
    Deprecate BlackCalibrationHelper constructor taking unused data member.

commit 77d783ecaca0dc7966e4f03dff8172966a490369
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 May 2020 22:03:35 +0200

    Avoid deprecation warnings.

 ql/models/equity/hestonmodelhelper.cpp             | 20 +++++++-----
 ql/models/equity/hestonmodelhelper.hpp             |  1 +
 .../shortrate/calibrationhelpers/caphelper.cpp     | 10 +++---
 .../shortrate/calibrationhelpers/caphelper.hpp     |  1 +
 .../calibrationhelpers/swaptionhelper.cpp          | 36 +++++++++++++---------
 .../calibrationhelpers/swaptionhelper.hpp          |  1 +
 6 files changed, 42 insertions(+), 27 deletions(-)

commit 58f3b6329190d331d8a2083e6ae7177634df3936
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 11 Apr 2020 18:32:07 +0200

    Deprecate constructor taking unused data member.

 ql/models/calibrationhelper.hpp | 17 +++++++++++++++++
 1 file changed, 17 insertions(+)

commit e967e9bcb3aba4988c9d77ffdd51e4f3420238f0
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 May 2020 20:34:46 +0200

    Clean up test output.

 test-suite/fittedbonddiscountcurve.cpp | 27 ++++++---------------------
 1 file changed, 6 insertions(+), 21 deletions(-)

commit 875d4ea455d45835273a6e55f9f8d47906536749
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 30 Apr 2020 17:50:09 +0200

    Use lcov and Coveralls action to produce and upload a coverage file.

 .github/workflows/coveralls.yml | 31 ++++++++++++++-----------------
 1 file changed, 14 insertions(+), 17 deletions(-)

commit f11da1ee9a289300e84fa35e592438b3560bbb5d
Merge: 60b2be1e8 855f3524f
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 May 2020 19:13:36 +0200

    Merge pull request #806.
    
    Get bind placeholders from boost::placeholders namespace.

commit 60b2be1e8a0c29448f0af5089bef3a4f9a7fb932
Merge: 1dbc772fe ff9d9f4f9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 1 May 2020 16:23:26 +0200

    Merge pull request #805.
    
    Monte Carlo double barrier engine

commit 1dbc772fe14695df569dfc1966287787b14573f9
Merge: bcb87bc28 4b1f17b33
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 30 Apr 2020 23:03:07 +0200

    Merge pull request #797.
    
    Iterative bootstrap - widen min, max in search and fall back

commit 855f3524f42c0039410a09334c3c703d09109570
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 30 Apr 2020 17:11:05 +0200

    Get bind placeholders from boost::placeholders namespace.

 ql/functional.hpp          | 6 +++++-
 ql/patterns/observable.cpp | 8 +++++++-
 2 files changed, 12 insertions(+), 2 deletions(-)

commit 4b1f17b33c63034929fec55d378789b6043ef927
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 30 Apr 2020 15:54:18 +0200

    Re-trigger CI

commit bcb87bc28244a8d6a2489938ca57e093b594ff18
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 28 Apr 2020 22:02:21 +0200

    Use Boost 1.73 images for Travis builds.

 .travis.yml | 28 +++++++++++++++++++---------
 1 file changed, 19 insertions(+), 9 deletions(-)

commit ff9d9f4f9d37c2887dac8ac5158fae120c85f8b9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 30 Apr 2020 08:41:13 +0200

    Re-trigger CI

commit aa7fd6312457eae9f4714031cd2a7dc7edff07e1
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Wed, 29 Apr 2020 21:10:47 -0700

    Remove redundant variables + Refactoring

 .../barrieroption/mcdoublebarrierengine.cpp          | 20 ++++----------------
 .../barrieroption/mcdoublebarrierengine.hpp          | 18 +++---------------
 2 files changed, 7 insertions(+), 31 deletions(-)

commit 32bb59db30e8bb402a1b5d47c453f207d826c1fb
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 25 Apr 2020 19:56:10 -0700

    Make test deterministic

 test-suite/doublebarrieroption.cpp | 8 +++++---
 1 file changed, 5 insertions(+), 3 deletions(-)

commit 3977820649ffbf1873abdc4c40085b98be7e55e6
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 25 Apr 2020 08:55:13 -0700

    Fix Build

 test-suite/doublebarrieroption.cpp | 29 ++++++++++++++++-------------
 1 file changed, 16 insertions(+), 13 deletions(-)

commit 811cfac71b097ccc05f925109a583bf933d4c488
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 25 Apr 2020 08:08:36 -0700

    Fix MakeFile

 ql/pricingengines/barrier/Makefile.am | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 3b2a25222870edaae8262bf7a8b6cf1dce923fef
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 25 Apr 2020 07:48:23 -0700

    Refactor engine to experimental

 QuantLib.vcxproj                                             |  4 ++--
 QuantLib.vcxproj.filters                                     | 12 ++++++------
 ql/CMakeLists.txt                                            |  4 ++--
 ql/experimental/barrieroption/Makefile.am                    |  2 ++
 ql/experimental/barrieroption/all.hpp                        |  1 +
 .../barrieroption}/mcdoublebarrierengine.cpp                 |  2 +-
 .../barrieroption}/mcdoublebarrierengine.hpp                 |  0
 ql/pricingengines/barrier/Makefile.am                        |  4 +---
 test-suite/doublebarrieroption.cpp                           |  2 +-
 9 files changed, 16 insertions(+), 15 deletions(-)

commit ab53104adf1130c18a09123c8cde34ab8303bac7
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 25 Apr 2020 05:53:47 -0700

    Remove unused variables

 ql/pricingengines/barrier/mcdoublebarrierengine.cpp | 5 -----
 1 file changed, 5 deletions(-)

commit 2d5d3ea0a12a2c9a1d97c8371b06001861af08a8
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 25 Apr 2020 05:33:38 -0700

    Make constructor explicit

 ql/pricingengines/barrier/mcdoublebarrierengine.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 6704b34e70acb999503d260f57ee45a68e5db65e
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sat, 25 Apr 2020 05:07:46 -0700

    MC Pricing Engine for double barrier
    
    Clean up code
    
    Remove TODO

 QuantLib.vcxproj                                   |   2 +
 QuantLib.vcxproj.filters                           |   6 +
 ql/CMakeLists.txt                                  |   2 +
 ql/pricingengines/barrier/Makefile.am              |   6 +-
 .../barrier/mcdoublebarrierengine.cpp              | 115 ++++++++
 .../barrier/mcdoublebarrierengine.hpp              | 311 +++++++++++++++++++++
 test-suite/doublebarrieroption.cpp                 | 112 ++++++++
 test-suite/doublebarrieroption.hpp                 |   1 +
 8 files changed, 553 insertions(+), 2 deletions(-)

commit d61ad011276253f4a9265d71dea11f24ea8a5c1c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 28 Apr 2020 16:03:09 +0200

    Try to improve readability.

 ql/termstructures/iterativebootstrap.hpp | 59 +++++++++++++++++---------------
 1 file changed, 31 insertions(+), 28 deletions(-)

commit 0049c8db28922c5d1437b41f86df71b95dabf2fb
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 27 Apr 2020 18:59:13 +0200

    Avoid message when test is successful.

 test-suite/defaultprobabilitycurves.cpp | 10 +++++++---
 test-suite/piecewiseyieldcurve.cpp      | 10 +++++++---
 2 files changed, 14 insertions(+), 6 deletions(-)

commit c629f98598c93b27ab8dc8a8bac5a6e47cd0495d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 27 Apr 2020 18:53:40 +0200

    Avoid uninitialized-variable warning.

 test-suite/piecewiseyieldcurve.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 28b12f3de076b12fb0f568f9f8f06beaceefb7fd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 27 Apr 2020 11:00:54 +0200

    Fix some build errors on Travis.

 test-suite/defaultprobabilitycurves.cpp | 15 ++++++++-------
 test-suite/piecewiseyieldcurve.cpp      |  8 ++++----
 2 files changed, 12 insertions(+), 11 deletions(-)

commit fef97728eacd832e2e304594def53522569f3844
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 25 Apr 2020 16:30:50 +0200

    Only run coverage on master.

 .github/workflows/coveralls.yml | 5 ++++-
 1 file changed, 4 insertions(+), 1 deletion(-)

commit 2a76c5b95822ee3efcff813c96aa495f93c1a599
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 25 Apr 2020 14:06:40 +0200

    Include examples in coverage.

 .github/workflows/coveralls.yml | 16 +++++++---------
 1 file changed, 7 insertions(+), 9 deletions(-)

commit 2e8a22adb67e0a0c0c89b2fc25ee415222150366
Merge: af45ef302 012fbbf31
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 25 Apr 2020 12:37:52 +0200

    Merge pull request #803.
    
    Black vasicek pricing engine

commit 012fbbf318d27390cefd1c9b8c87dff468a6a546
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 24 Apr 2020 17:44:36 +0200

    Put helper functions in anonymous namespace.

 ql/pricingengines/vanilla/all.hpp                  |  1 +
 .../vanilla/analyticeuropeanvasicekengine.cpp      | 40 ++++++++++++----------
 2 files changed, 23 insertions(+), 18 deletions(-)

commit 4f3dec3483204715226b0e9c04bd32d7434135b7
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 22 Apr 2020 21:56:16 +0200

    formatting

 ql/pricingengines/vanilla/analytichestonengine.cpp |  24 +--
 test-suite/hestonmodel.cpp                         | 182 ++++++++++-----------
 2 files changed, 103 insertions(+), 103 deletions(-)

commit 6dc5ffcdef756df4a07859a3645ea47f6290adbe
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Wed, 22 Apr 2020 21:53:04 +0200

    Taylor expansion of the characteristic function for small sigma

 ql/pricingengines/vanilla/analytichestonengine.cpp | 49 ++++++++++---
 test-suite/hestonmodel.cpp                         | 82 ++++++++++++++++++++++
 test-suite/hestonmodel.hpp                         |  1 +
 3 files changed, 121 insertions(+), 11 deletions(-)

commit af45ef30204319b4d1e472214a6fa109525312b3
Merge: 0bfd8b5c8 d00ab74a1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 22 Apr 2020 15:47:27 +0200

    Merge pull request #802.
    
    added Laguerre sine and cosine quadrature

commit 0bfd8b5c89d8eb3122ff40ddcff9221974894e93
Merge: 1c355f591 75fd11b75
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 22 Apr 2020 10:33:17 +0200

    Merge pull request #800.
    
    introduce flat extrapolation option for fitted bond curves

commit 48d1281478515395e4f77d48e5627d73d69dcc8c
Author: w31ha0 <lewweihao93@hotmail.com>
Date:   Sun, 19 Apr 2020 03:05:54 -0700

    Vasicek Pricing Engine
    
    Remove accidental commit
    
    Add new pricing engines to Makefile.am
    
    Fix build
    
    Add new pricing engines to Visual Studio
    
    Change CLRF
    
    Fix CLRF issues
    
    Fix Build

 Examples/EquityOption/EquityOption.cpp             | 21 ++++-
 QuantLib.vcxproj                                   |  2 +
 QuantLib.vcxproj.filters                           |  6 ++
 ql/CMakeLists.txt                                  |  2 +
 ql/models/shortrate/onefactormodels/vasicek.hpp    |  1 +
 ql/pricingengines/vanilla/Makefile.am              |  2 +
 .../vanilla/analyticeuropeanvasicekengine.cpp      | 89 ++++++++++++++++++++++
 .../vanilla/analyticeuropeanvasicekengine.hpp      | 54 +++++++++++++
 8 files changed, 176 insertions(+), 1 deletion(-)

commit 1c355f591e0446ee7f0e0c80461b60fff3b9f619
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 19 Apr 2020 17:49:23 +0200

    Add welcome messages for first-time contributors.

 .github/boring-cyborg.yml | 13 +++++++++++++
 1 file changed, 13 insertions(+)

commit dc79f91c4a7f59cbb43bd61cb85751c8980669bb
Merge: 1d0edd0e6 7ee569d83
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 17 Apr 2020 21:15:07 +0200

    Merge pull request #799.
    
    Add missing inspector to OvernightIndexedSwap

commit d00ab74a1770829bfb9dece07190ceecb087146a
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Thu, 16 Apr 2020 22:19:11 +0200

    update cmake file

 ql/CMakeLists.txt | 2 ++
 1 file changed, 2 insertions(+)

commit 69a6e8e4fff39059c939e3729bdc3c3138b78359
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Thu, 16 Apr 2020 22:09:06 +0200

    fix unit build

 .../integrals/gausslaguerrecosinepolynomial.hpp    | 92 +++++++++++-----------
 1 file changed, 45 insertions(+), 47 deletions(-)

commit ea3d2ad5b8d40789ee82f8257dffca3107863359
Author: Klaus Spanderen <klaus@spanderen.de>
Date:   Thu, 16 Apr 2020 21:29:30 +0200

    added Laguerre sine and cosine quadrature
    
    tidy up implementation of Gaussian non central chi squared polynomial

 QuantLib.vcxproj                                   |   4 +-
 QuantLib.vcxproj.filters                           |   8 +-
 .../gaussiannoncentralchisquaredpolynomial.cpp     | 184 ++++++---------------
 .../gaussiannoncentralchisquaredpolynomial.hpp     |  55 +-----
 ql/math/integrals/Makefile.am                      |   2 +
 ql/math/integrals/all.hpp                          |   2 +
 .../integrals/gausslaguerrecosinepolynomial.hpp    | 158 ++++++++++++++++++
 .../integrals/momentbasedgaussianpolynomial.hpp    | 173 +++++++++++++++++++
 test-suite/gaussianquadratures.cpp                 | 110 +++++++++++-
 test-suite/gaussianquadratures.hpp                 |   4 +-
 test-suite/quantlibbenchmark.cpp                   |  10 +-
 test-suite/squarerootclvmodel.cpp                  |  15 +-
 12 files changed, 520 insertions(+), 205 deletions(-)

commit 75fd11b7535d4eb91bcf3d971c8b0201442bb7c3
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Thu, 16 Apr 2020 16:15:01 +0200

    introduce flat extrapolation option for fitted bond curves

 .../yield/fittedbonddiscountcurve.cpp              |   7 +-
 .../yield/fittedbonddiscountcurve.hpp              |  25 +++-
 .../yield/nonlinearfittingmethods.cpp              |  59 +++++---
 .../yield/nonlinearfittingmethods.hpp              |  46 +++++--
 test-suite/fittedbonddiscountcurve.cpp             | 152 +++++++++++++++++++++
 test-suite/fittedbonddiscountcurve.hpp             |   1 +
 6 files changed, 248 insertions(+), 42 deletions(-)

commit 7ee569d837897d704a209ba70a257e33af1b0ec7
Author: bensonluk <bhlluk@gmail.com>
Date:   Tue, 14 Apr 2020 22:37:26 +0800

    fix overnightIndex inspector

 ql/instruments/overnightindexedswap.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit d11a6502be6a166470e2536045789583e8cf77ec
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Mon, 13 Apr 2020 20:28:17 +0100

    Only need two steps here.

 test-suite/defaultprobabilitycurves.cpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit e635021b2cccf19aa6dd1c13562b3f24b8af9c38
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Mon, 13 Apr 2020 20:13:08 +0100

    Add a check that the factors are at least 1.0.

 ql/termstructures/iterativebootstrap.hpp | 5 ++++-
 1 file changed, 4 insertions(+), 1 deletion(-)

commit 067c3ab2b4a89824ea264f3d42ef2a4fe7545e2c
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Mon, 13 Apr 2020 17:00:11 +0100

    Remove the extra message logs.

 test-suite/defaultprobabilitycurves.cpp | 9 ---------
 1 file changed, 9 deletions(-)

commit 493ccb79b5ea10fb064740602025cca027d54c17
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Mon, 13 Apr 2020 16:51:00 +0100

    Unit test - fall back for distressed CDS curve that doesn't bootstrap.

 test-suite/defaultprobabilitycurves.cpp | 166 ++++++++++++++++++++++++++++++++
 test-suite/defaultprobabilitycurves.hpp |   1 +
 2 files changed, 167 insertions(+)

commit bbe53355158e3f717d10d846cd81f1bfe4e337bf
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Mon, 13 Apr 2020 16:49:31 +0100

    Allow IterativeBootstrap to not throw and return a fall back curve.

 ql/termstructures/iterativebootstrap.hpp | 89 +++++++++++++++++++++++++++-----
 1 file changed, 75 insertions(+), 14 deletions(-)

commit e5bf4ee8bb9311026c673bbc85d4e174e32777e2
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Mon, 13 Apr 2020 16:10:35 +0100

    Unit test - piecewise yield curve with expanding bounds.

 test-suite/piecewiseyieldcurve.cpp | 132 +++++++++++++++++++++++++++++++++++++
 test-suite/piecewiseyieldcurve.hpp |   2 +
 2 files changed, 134 insertions(+)

commit bac132fb96fe5b614bfea5931ab38713853d180a
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Mon, 13 Apr 2020 16:09:27 +0100

    Extra IterativeBootstrap parameters that allow for expanding search bounds.

 ql/termstructures/iterativebootstrap.hpp | 69 +++++++++++++++++++++++++-------
 1 file changed, 55 insertions(+), 14 deletions(-)

commit 1d0edd0e6d8003410577813bef3a1861217be808
Merge: c6e7f4bdf 8ec741985
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 13 Apr 2020 11:41:07 +0200

    Merge pull request #796.
    
    Typos fixed by misspell-fixer

commit 8ec741985ad27abf360682fc557d13b5c20efaf4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 12 Apr 2020 17:36:15 +0200

    Fixed a few fixes.

 ql/experimental/credit/basket.cpp                   | 3 +--
 ql/experimental/credit/integralntdengine.cpp        | 2 +-
 ql/experimental/credit/randomdefaultlatentmodel.hpp | 2 +-
 3 files changed, 3 insertions(+), 4 deletions(-)

commit c64b1eb3d9fbee230dfb7e78324e2fe7fe535d37
Author: lballabio <lballabio@users.noreply.github.com>
Date:   Sat, 11 Apr 2020 18:58:54 +0000

    Fixes by misspell-fixer

 Docs/pages/fixedincome.docs                        |  2 +-
 Docs/pages/history.docs                            |  2 +-
 Examples/BermudanSwaption/BermudanSwaption.cpp     |  6 ++--
 .../MulticurveBootstrapping.cpp                    |  6 ++--
 ql/cashflows/cashflows.hpp                         |  2 +-
 ql/experimental/credit/basket.cpp                  |  6 ++--
 ql/experimental/credit/integralntdengine.cpp       |  2 +-
 ql/experimental/credit/issuer.hpp                  |  2 +-
 .../credit/randomdefaultlatentmodel.hpp            |  2 +-
 ql/experimental/credit/saddlepointlossmodel.hpp    |  2 +-
 ql/experimental/math/particleswarmoptimization.hpp | 34 +++++++++++-----------
 ql/experimental/math/tcopulapolicy.cpp             |  2 +-
 ql/instruments/bonds/btp.cpp                       |  8 ++---
 ql/instruments/bonds/btp.hpp                       |  6 ++--
 ql/instruments/cpicapfloor.cpp                     |  2 +-
 ql/math/matrixutilities/gmres.cpp                  |  2 +-
 ql/math/matrixutilities/tapcorrelations.hpp        |  4 +--
 ql/math/optimization/problem.hpp                   |  2 +-
 .../volatility/swaption/swaptionvolcube1.hpp       |  2 +-
 test-suite/capflooredcoupon.cpp                    |  2 +-
 test-suite/piecewiseyieldcurve.cpp                 |  2 +-
 test-suite/vpp.cpp                                 |  2 +-
 22 files changed, 50 insertions(+), 50 deletions(-)

commit c6e7f4bdf6c07774aacc12ee988446e615a10117
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 11 Apr 2020 20:47:39 +0200

    Add base branch name to PR branch

 .github/workflows/misspell.yml | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 21fcc60088a17e9f11a2008387e4752e0ef0fbd7
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 11 Apr 2020 15:43:04 +0200

    Add misspell-fixer action.

 .github/workflows/misspell.yml | 16 ++++++++++++++++
 1 file changed, 16 insertions(+)

commit 37e711e2dad341738fe9cf9cf436659b0c78ef5b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 10 Apr 2020 17:11:42 +0200

    Add post-install check to Travis build.

 .travis.yml | 3 +++
 1 file changed, 3 insertions(+)

commit 3e479def08d1ce27aa7cf8f8b563608e752e70e4
Merge: 9902dd4f4 a5ad22c9d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 6 Apr 2020 21:28:32 +0200

    Merge pull request #790.
    
    avoid duplicate logic for bond price calculation

commit 9902dd4f4534a8e6a41968189eb51920e62b5e9b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 6 Apr 2020 15:11:38 +0200

    Fix typo in function argument name.

 ql/termstructures/volatility/sabr.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit a5ad22c9d727cbdbd83138cf3ead3f6af3fb8a00
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Mon, 6 Apr 2020 14:40:39 +0200

    set term structure in FittingMethod::init(), remove
    FittingCost::firstCashFlow_, which is actually not needed any more

 ql/termstructures/yield/fittedbonddiscountcurve.cpp | 17 ++---------------
 1 file changed, 2 insertions(+), 15 deletions(-)

commit 5de66f14283657137126a72a5a9a19eaba04283d
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Mon, 6 Apr 2020 12:54:50 +0200

    avoid duplicate logic for bond price calculation

 .../yield/fittedbonddiscountcurve.cpp              | 37 ++++++----------------
 1 file changed, 10 insertions(+), 27 deletions(-)

commit d9157a8cacf0596c82c4f5532b8a4348e2c754b7
Merge: 47b54d76a 59f1939b1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 31 Mar 2020 17:33:54 +0200

    Merge pull request #787.
    
    Deprecate the storage of nominal term structure inside inflation curves.

commit 47b54d76a3ab5e92a70ea6273519b59b9548a869
Merge: 1ae07d94f a94807e38
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 31 Mar 2020 10:49:45 +0200

    Merge pull request #788.
    
    Implement Bond::Price::Type parameter in Bond::yield() method

commit a94807e38251cd40c4b37208cde6023dc58e7fc2
Author: Francois Botha <igitur@gmail.com>
Date:   Fri, 27 Mar 2020 12:17:34 +0200

    Implement Bond::Price::Type parameter in Bond::yield() methods

 ql/instruments/bond.cpp | 22 +++++++++++++++-------
 ql/instruments/bond.hpp |  8 ++++++--
 2 files changed, 21 insertions(+), 9 deletions(-)

commit 59f1939b10ab86e15440a43582ca2b1edbeb7a10
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 24 Mar 2020 19:54:23 +0100

    Deprecate constructors of inflation curves taking a nominal curve.

 ql/cashflows/cpicouponpricer.cpp                   |  15 +-
 ql/cashflows/cpicouponpricer.hpp                   |   6 +-
 ql/cashflows/inflationcouponpricer.cpp             |  17 +++
 ql/cashflows/inflationcouponpricer.hpp             |  27 +++-
 .../inflation/cpicapfloortermpricesurface.cpp      |   6 +-
 .../inflation/cpicapfloortermpricesurface.hpp      |   3 +-
 .../inflation/yoycapfloortermpricesurface.cpp      |   4 +-
 .../inflation/yoycapfloortermpricesurface.hpp      |  13 +-
 ql/termstructures/inflation/inflationhelpers.cpp   |  15 +-
 .../inflation/interpolatedyoyinflationcurve.hpp    | 104 ++++++++++++-
 .../inflation/interpolatedzeroinflationcurve.hpp   | 113 +++++++++++++-
 .../inflation/piecewiseyoyinflationcurve.hpp       |  26 +++-
 .../inflation/piecewisezeroinflationcurve.hpp      |  25 ++++
 ql/termstructures/inflationtermstructure.cpp       | 163 +++++++++++++++++++++
 ql/termstructures/inflationtermstructure.hpp       | 119 ++++++++++++++-
 test-suite/inflation.cpp                           |  11 +-
 test-suite/inflationcapfloor.cpp                   |   5 +-
 test-suite/inflationcapflooredcoupon.cpp           |  16 +-
 test-suite/inflationcpibond.cpp                    |   6 +-
 test-suite/inflationcpicapfloor.cpp                |   2 +-
 test-suite/inflationcpiswap.cpp                    |  11 +-
 test-suite/inflationvolatility.cpp                 |   2 +-
 22 files changed, 652 insertions(+), 57 deletions(-)

commit a52b3e8b1f796453ae481470d07e17ad54a9edbf
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 24 Mar 2020 09:38:29 +0100

    Deprecate default constructors for inflation pricers.
    
    They will need an explicit nominal term structure when
    the implicit one it is removed from inflation curves.

 ql/cashflows/cpicoupon.cpp             |  5 +++--
 ql/cashflows/cpicouponpricer.hpp       |  5 +++++
 ql/cashflows/inflationcouponpricer.hpp | 32 +++++++++++++++++++++++++++++---
 ql/cashflows/yoyinflationcoupon.cpp    |  5 +++--
 4 files changed, 40 insertions(+), 7 deletions(-)

commit 1ae07d94f8633a47f2e5fd69c7d61ede6f9e9d1a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 26 Mar 2020 14:35:25 +0100

    Update Travis badge.

 README.md | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 9bfbf3d8a323eab94340d3734e0a3ecaac1339e4
Merge: 3c9c195bf 3aaaafd55
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 24 Mar 2020 19:55:19 +0100

    Merge pull request #786.
    
    Remove features deprecated in version 1.15.

commit 3aaaafd55204205942f40a041ccb7b9c9277e859
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 24 Mar 2020 08:56:48 +0100

    Remove features deprecated in version 1.15.

 ql/cashflows/cpicouponpricer.cpp                   |  6 --
 ql/cashflows/cpicouponpricer.hpp                   |  6 --
 ql/cashflows/inflationcouponpricer.cpp             |  8 --
 ql/cashflows/inflationcouponpricer.hpp             | 31 -------
 ql/instruments/makeyoyinflationcapfloor.cpp        | 14 ----
 ql/instruments/makeyoyinflationcapfloor.hpp        | 16 ----
 .../inflation/inflationcapfloorengines.cpp         | 36 --------
 .../inflation/inflationcapfloorengines.hpp         | 27 ------
 ql/termstructures/inflation/inflationhelpers.cpp   | 97 ----------------------
 ql/termstructures/inflation/inflationhelpers.hpp   | 23 -----
 10 files changed, 264 deletions(-)

commit 3c9c195bf18c3d0e461459d4093b07faf04ecdb5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 23 Mar 2020 15:36:07 +0100

    Set version to 1.19-dev.

 configure.ac   |  2 +-
 ql/version.hpp | 10 ++--------
 2 files changed, 3 insertions(+), 9 deletions(-)