Merge branch 'master' into update_cmake_policy

.github/workflows/coveralls.yml

@@ -6,7 +6,7 @@ on:
   pull_request:
 jobs:
   coverage:
-    runs-on: ubuntu-latest
+    runs-on: ubuntu-22.04
     steps:
     - uses: actions/checkout@v4
     - name: Setup

.github/workflows/devenv-images.yml

@@ -6,7 +6,7 @@ on:
         description: 'Boost version'
         required: true
 env:
-  ROLLING: noble
+  ROLLING: oracular
 jobs:
   docker-images:
     runs-on: ubuntu-latest

.github/workflows/macos-nondefault.yml

@@ -9,7 +9,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        os: [macos-12, macos-13, macos-14]
+        os: [macos-13, macos-14]
         classes: [boost, std]
         include:
           - classes: std

.github/workflows/macos.yml

@@ -6,7 +6,7 @@ jobs:
     strategy:
       fail-fast: false
       matrix:
-        os: [macos-12, macos-13, macos-14]
+        os: [macos-13, macos-14]
     steps:
     - uses: actions/checkout@v4
     - name: Setup

CMakeLists.txt

@@ -5,14 +5,14 @@ cmake_policy(SET CMP0091 NEW)
 
 # Version info
 set(QUANTLIB_VERSION_MAJOR 1)
-set(QUANTLIB_VERSION_MINOR 36)
+set(QUANTLIB_VERSION_MINOR 37)
 set(QUANTLIB_VERSION_PATCH 0)
 set(QUANTLIB_VERSION ${QUANTLIB_VERSION_MAJOR}.${QUANTLIB_VERSION_MINOR}.${QUANTLIB_VERSION_PATCH})
 
 # Project Info
 set(PACKAGE_NAME          "QuantLib")
-set(PACKAGE_VERSION       "${QUANTLIB_VERSION}-rc")
-set(PACKAGE_VERSION_HEX   "0x013600c0")
+set(PACKAGE_VERSION       "${QUANTLIB_VERSION}-dev")
+set(PACKAGE_VERSION_HEX   "0x01370000")
 set(PACKAGE_STRING        "${PACKAGE_NAME} ${PACKAGE_VERSION}")
 set(PACKAGE_TARNAME       "${PACKAGE_NAME}-${PACKAGE_VERSION}")
 set(PACKAGE_BUGREPORT     "https://github.com/lballabio/QuantLib/issues/")
@@ -99,7 +99,7 @@ if (QL_ENABLE_DEFAULT_WARNING_LEVEL)
         add_compile_options(-W3)
     elseif (CMAKE_CXX_COMPILER_ID STREQUAL "GNU" OR CMAKE_CXX_COMPILER_ID STREQUAL "Clang" OR CMAKE_CXX_COMPILER_ID STREQUAL "AppleClang")
         # lots of warnings
-        add_compile_options(-Wall -Wno-unknown-pragmas)
+        add_compile_options(-Wall -Wno-unknown-pragmas -Wno-array-bounds)
     endif()
 endif()
 

ChangeLog.txt

@@ -1,3 +1,72 @@
+commit 85e9489fd486c00fb624fb4c8f10ab227ac2e9e8
+Author: Luigi Ballabio <[email protected]>
+Date:   Sat, 12 Oct 2024 22:55:21 +0200
+
+    Ignore lcov error
+
+ .github/workflows/coveralls.yml | 4 ++--
+ 1 file changed, 2 insertions(+), 2 deletions(-)
+
+commit 4bae7919925f54076c6f7bcb44a15bd8c1d1fb2a
+Author: Luigi Ballabio <[email protected]>
+Date:   Sat, 12 Oct 2024 22:38:07 +0200
+
+    Avoid occasional warning from std::enable_shared_from_this
+
+ CMakeLists.txt | 2 +-
+ 1 file changed, 1 insertion(+), 1 deletion(-)
+
+commit 3074bd85d60aaf477b4c4f609e4da4f0c0d1f553
+Author: Luigi Ballabio <[email protected]>
+Date:   Sat, 12 Oct 2024 20:45:08 +0200
+
+    Update changelog
+
+ ChangeLog.txt | 42 ++++++++++++++++++++++++++++++++++++++++++
+ 1 file changed, 42 insertions(+)
+
+commit 814c9cf074ce4dcb9b8777c03d205856769e6b86
+Author: Luigi Ballabio <[email protected]>
+Date:   Mon, 12 Jul 2021 09:46:54 +0200
+
+    Set version to 1.36 final.
+
+ CMakeLists.txt | 4 ++--
+ configure.ac   | 2 +-
+ ql/version.hpp | 4 ++--
+ 3 files changed, 5 insertions(+), 5 deletions(-)
+
+commit 10be1e1ab186950dcd05147b1676ee048893f99d
+Author: Luigi Ballabio <[email protected]>
+Date:   Sat, 12 Oct 2024 20:29:39 +0200
+
+    Updated release history
+
+ Docs/pages/history.docs | 129 +++++++++++++++++++++++++++++++++++++++++++++++-
+ 1 file changed, 128 insertions(+), 1 deletion(-)
+
+commit 4cf029617169cfc1985527a5187113ba105655a2
+Author: Luigi Ballabio <[email protected]>
+Date:   Wed, 4 Oct 2023 11:52:15 +0200
+
+    Set version to 1.36-rc
+
+ CMakeLists.txt | 4 ++--
+ configure.ac   | 2 +-
+ ql/version.hpp | 4 ++--
+ 3 files changed, 5 insertions(+), 5 deletions(-)
+
+commit fc6f3919ba1c85427332f38db5d69be85439d8fd
+Author: Luigi Ballabio <[email protected]>
+Date:   Mon, 7 Oct 2024 12:30:47 +0200
+
+    Update news and changelog
+
+ ChangeLog.txt    | 2733 ++++++++++++++++++++++++++++--------------------------
+ Contributors.txt |    4 +
+ News.md          |  244 ++---
+ 3 files changed, 1551 insertions(+), 1430 deletions(-)
+
 commit 3d27c6b27d232c42965b7afb1684f181219cbc81
 Merge: a5d2197cc 64acfbbe2
 Author: Luigi Ballabio <[email protected]>

Docs/pages/history.docs

@@ -17,7 +17,134 @@
 
 /*! \page history Version history
 
-    <strong>Release 1.35 - July 2024</strong>
+    <strong>Release 1.36 - October 2024</strong>
+
+    PORTABILITY
+    - **New minimum C++ standard:** starting from this release, a compiler
+      supporting C++17 is required.  Passing `--enable-std-classes` to
+      `configure` now causes `std::any` and `std::optional` to be used.
+    - **End of support:** related to the above, and as announced since
+      release 1.32, this release drops support Visual C++ 2015, g++ up to
+      version 6.x, and clang up to version 4.  Also, given the testing
+      environments available on GitHub actions, clang 5 and 6 are no
+      longer available to us for testing, and the same holds for g++ 7.
+      Therefore, it is suggested to upgrade to a newer version if
+      possible.
+    - **End of support:** this release also removes the configure switch
+      that allowed to use `boost::tuple`, `boost::function` and
+      `boost::bind` instead of their `std` counterparts; the `std` classes
+      were already the default since release 1.32.  The corresponding
+      classes in the `ext` namespace are now deprecated.
+    - **Future change of default:** in a couple of releases, we're going
+      to switch the default for `ext::any` and `ext::optional` from the
+      Boost implementation to the standard one.
+
+    DATES AND CALENDARS
+    - Added `startOfMonth` and `isStartOfMonth` methods to both `Date` and
+    `Calendar`; thanks to Francois Botha.
+    - Added specialized Warsaw Stock Exchange (WSE) calendar to Poland;
+      thanks to Marcin Bogusz.
+    - Added a new one-off holiday to South Korean calendar; thanks to
+      Jongbong An.
+
+    CASH FLOWS
+    - Made` OvernightIndexedCouponPricer` public and renamed to
+      `CompoundingOvernightIndexedCouponPricer`, and moved
+      `ArithmeticAveragedOvernightIndexedCouponPricer` from experimental
+      to core library; thanks to Ralf Konrad Eckel.
+
+    INDEXES
+    - **Possibly breaking:** inherited the `Index` class from `Observer`
+      and added a virtual `pastFixing` method.  If you inherited a class
+      from both `Index` and `Observer`, change your code to avoid
+      inheriting twice from `Observer`.  Thanks to Ralf Konrad Eckel.
+    - Added currency information to `EquityIndex`; thanks to Ralf Konrad
+      Eckel.
+
+    INFLATION
+    - Inflation indexes are now better at deciding when to forecast;
+      also added a `needsForecast` method that makes the
+      information available.
+    - Added `CPI::laggedYoYRate`; also, `YoYInflationCoupon`,
+      `yoyInflationLeg`, `CappedFlooredYoYInflationCoupon`,
+      `YearOnYearInflationSwap`, `MakeYoYInflationCapFloor`,
+      `YearOnYearInflationSwapHelper`, `YoYOptionletHelper` and the
+      experimental `YoYCapFloorTermPriceSurface` and
+      `InterpolatedYoYCapFloorTermPriceSurface` can now take an explicit
+      `CPI::InterpolationType` parameter instead of relying on the index
+      being defined as interpolated or not.  This is a first
+      step in removing interpolation from `YoYInflationIndex` and moving
+      it into the coupons where it belongs.
+    - Added method to YoY inflation index returning the date of the last
+      available fixing.
+
+    TERM STRUCTURES
+    - Allow passing a pricer to the constructor of the `OISRateHelper` and
+      `DatedOISRateHelper` classes; this makes it possible to
+      use arithmetic averaging of overnight rates.
+    - Allow custom constraint in non-linear fitting methods; thanks to Kai
+      Lin.
+    - Allow creating a swap helper with frequency "Once".
+    - The `GlobalBootstrap` constructor can now take an optional optimizer
+      and end criteria, allowing for better configuration; thanks to
+      Eugene Toder.
+
+    VOLATILITY
+    - Added exact Bachelier implied-vol formula from Jäckel's paper; thanks
+      to Peter Caspers.
+
+
+    DEPRECATED FEATURES
+    - **Removed** features deprecated in version 1.31:
+      - the `BlackVanillaOptionPricer` typedef;
+      - the constructors of `CPICoupon` taking a `spread` parameter, its
+        `spread` method, and its protected `spread_` data member;
+      - the `withSpreads` method of `CPILeg`;
+      - the protected `adjustedFixing` method and `spread_` data member of
+        `CPICouponPricer`;
+      - the `YYAUCPIr`, `YYEUHICPr`, `YYFRHICPr`, `YYUKRPIr`, `YYUSCPIr`
+        and `YYZACPIr` indexes and the experimental `YYGenericCPIr` class;
+      - the constructor of `YoYInflationIndex` taking a `ratio` parameter;
+      - a couple of constructors of `ForwardRateAgreement`;
+      - the empty files `ql/math/curve.hpp`, `ql/math/lexicographicalview.hpp`,
+        `ql/termstructures/yield/drifttermstructure.hpp`
+        and `ql/patterns/composite.hpp`;
+      - the `const_iterator` and `const_value_iterator` typedefs in the
+        `Garch11` class;
+      - the `const_time_iterator`, `const_value_iterator`,
+        `const_reverse_time_iterator` and `const_reverse_value_iterator`
+        typedefs and the `cbegin_values`, `cend_values`, `crbegin_values`,
+        `crend_values`, `cbegin_time`, `cend_time`, `crbegin_time` and
+        `crend_time` methods of the `TimeSeries` class;
+      - the `base`, `increment`, `decrement`, `advance` and `distance_to`
+        method of the `step_iterator` class.
+    - Deprecated `ext::function`, `ext::bind`, `ext::ref`, `ext::cref`,
+      `ext::placeholders`, `ext::tuple`, `ext::make_tuple`, `ext::get` and
+      `ext::tie`; use the corresponding `std::` classes and functions
+      instead.
+    - Deprecated the `ArithmeticAverageOIS`, `MakeArithmeticAverageOIS`
+      and `ArithmeticOISRateHelper` classes; use `OvernightIndexedSwap`,
+      `MakeOIS` and `OISRateHelper` instead.
+    - Deprecated the `YoYInflationCoupon`, `yoyInflationLeg`,
+      `CappedFlooredYoYInflationCoupon`, `YearOnYearInflationSwap`,
+      `MakeYoYInflationCapFloor`, `YearOnYearInflationSwapHelper`,
+      `YoYOptionletHelper`, `YoYCapFloorTermPriceSurface` and
+      `InterpolatedYoYCapFloorTermPriceSurface` constructors that don't
+      take an explicit CPI interpolation type.
+    - Deprecated the `getInfo` method of `LevenbergMarquardt`; inspect the
+      result of `minimize` instead.
+    - Deprecated the
+      `ql/experimental/averageois/averageoiscouponpricer.hpp` file;
+      include `ql/cashflows/overnightindexedcouponpricer.hpp` instead.
+    - Deprecated the somewhat out-of-scope and experimental
+      `CreditRiskPlus`, `SensitivityAnalysis`, `aggregateNPV`,
+      `parallelAnalysis` and `bucketAnalysis`.
+
+    Thanks go also to Jonathan Sweemer, Eugene Toder, Ralf Konrad
+    Eckel, Tony Wang and the XAD team for miscellaneous smaller fixes,
+    improvements or reports.
+
+    <strong>Release 1.35 - July 23rd, 2024</strong>
 
     PORTABILITY
     - **Future end of support:** as announced since release 1.32, this

LICENSE.TXT

@@ -169,6 +169,7 @@ QuantLib is
     Copyright (C) 2023 Paul Xi Cao
 
     Copyright (C) 2024 Jacques du Toit
+    Copyright (C) 2024 Jongbong An
 
 QuantLib includes code taken from Peter Jäckel's book "Monte Carlo
 Methods in Finance".