Merge branch 'master' into multiple-reset-coupon

.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
@@ -22,7 +22,7 @@ jobs:
     - name: Capture baseline
       run: |
         mkdir -p coverage tmp
-        lcov --no-external --capture --ignore-errors mismatch --initial --directory . --output-file ./tmp/lcov_base.info
+        lcov --no-external --capture --initial --directory . --output-file ./tmp/lcov_base.info
     - name: Run tests
       run: |
         ./test-suite/quantlib-test-suite --log_level=message
@@ -31,7 +31,7 @@ jobs:
         make -C Examples check-examples
     - name: Capture coverage
       run: |
-        lcov --no-external --capture --ignore-errors mismatch --directory . --output-file ./tmp/lcov_run.info
+        lcov --no-external --capture --directory . --output-file ./tmp/lcov_run.info
         lcov --add-tracefile ./tmp/lcov_base.info --add-tracefile ./tmp/lcov_run.info --output-file ./tmp/lcov_total.info
         lcov --remove ./tmp/lcov_total.info "$PWD/Examples/*" "$PWD/test-suite/*" --output-file ./coverage/lcov.info
     - name: Upload coverage to Coveralls

.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

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".

QuantLib.vcxproj

@@ -664,32 +664,23 @@
     <ClInclude Include="ql\experimental\credit\spreadedhazardratecurve.hpp" />
     <ClInclude Include="ql\experimental\credit\syntheticcdo.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\all.hpp" />
-    <ClInclude Include="ql\experimental\exoticoptions\analyticamericanmargrabeengine.hpp" />
-    <ClInclude Include="ql\experimental\exoticoptions\analyticcomplexchooserengine.hpp" />
-    <ClInclude Include="ql\experimental\exoticoptions\analyticcompoundoptionengine.hpp" />
-    <ClInclude Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticholderextensibleoptionengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticpartialtimebarrieroptionengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticpdfhestonengine.hpp" />
-    <ClInclude Include="ql\experimental\exoticoptions\analyticsimplechooserengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analytictwoassetbarrierengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analytictwoassetcorrelationengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp" />
-    <ClInclude Include="ql\experimental\exoticoptions\complexchooseroption.hpp" />
-    <ClInclude Include="ql\experimental\exoticoptions\compoundoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\continuousarithmeticasianvecerengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\everestoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\himalayaoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\holderextensibleoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\kirkspreadoptionengine.hpp" />
-    <ClInclude Include="ql\experimental\exoticoptions\margrabeoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\mceverestengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\mchimalayaengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\mcpagodaengine.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\pagodaoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\partialtimebarrieroption.hpp" />
-    <ClInclude Include="ql\experimental\exoticoptions\simplechooseroption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\spreadoption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\twoassetbarrieroption.hpp" />
     <ClInclude Include="ql\experimental\exoticoptions\twoassetcorrelationoption.hpp" />
@@ -792,7 +783,6 @@
     <ClInclude Include="ql\experimental\termstructures\all.hpp" />
     <ClInclude Include="ql\experimental\termstructures\basisswapratehelpers.hpp" />
     <ClInclude Include="ql\experimental\termstructures\crosscurrencyratehelpers.hpp" />
-    <ClInclude Include="ql\experimental\termstructures\multicurvesensitivities.hpp" />
     <ClInclude Include="ql\experimental\variancegamma\all.hpp" />
     <ClInclude Include="ql\experimental\variancegamma\analyticvariancegammaengine.hpp" />
     <ClInclude Include="ql\experimental\variancegamma\fftengine.hpp" />
@@ -849,6 +839,7 @@
     <ClInclude Include="ql\indexes\ibor\gbplibor.hpp" />
     <ClInclude Include="ql\indexes\ibor\jibar.hpp" />
     <ClInclude Include="ql\indexes\ibor\jpylibor.hpp" />
+    <ClInclude Include="ql\indexes\ibor\kofr.hpp" />
     <ClInclude Include="ql\indexes\ibor\libor.hpp" />
     <ClInclude Include="ql\indexes\ibor\mosprime.hpp" />
     <ClInclude Include="ql\indexes\ibor\nzdlibor.hpp" />
@@ -1222,7 +1213,6 @@
     <ClInclude Include="ql\methods\finitedifferences\parallelevolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\pde.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\pdebsm.hpp" />
-    <ClInclude Include="ql\methods\finitedifferences\pdeshortrate.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\all.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\boundaryconditionschemehelper.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\craigsneydscheme.hpp" />
@@ -1234,7 +1224,6 @@
     <ClInclude Include="ql\methods\finitedifferences\schemes\methodoflinesscheme.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\modifiedcraigsneydscheme.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\schemes\trbdf2scheme.hpp" />
-    <ClInclude Include="ql\methods\finitedifferences\shoutcondition.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\all.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdm1dimsolver.hpp" />
     <ClInclude Include="ql\methods\finitedifferences\solvers\fdm2dblackscholessolver.hpp" />
@@ -1359,7 +1348,6 @@
     <ClInclude Include="ql\models\marketmodels\driftcomputation\lmmdriftcalculator.hpp" />
     <ClInclude Include="ql\models\marketmodels\driftcomputation\lmmnormaldriftcalculator.hpp" />
     <ClInclude Include="ql\models\marketmodels\driftcomputation\smmdriftcalculator.hpp" />
-    <ClInclude Include="ql\models\marketmodels\duffsdeviceinnerproduct.hpp" />
     <ClInclude Include="ql\models\marketmodels\evolutiondescription.hpp" />
     <ClInclude Include="ql\models\marketmodels\evolver.hpp" />
     <ClInclude Include="ql\models\marketmodels\evolvers\all.hpp" />
@@ -1608,14 +1596,11 @@
     <ClInclude Include="ql\pricingengines\vanilla\fdblackscholesvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdcevvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdcirvanillaengine.hpp" />
-    <ClInclude Include="ql\pricingengines\vanilla\fdconditions.hpp" />
-    <ClInclude Include="ql\pricingengines\vanilla\fddividendengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdhestonhullwhitevanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdhestonvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdmultiperiodengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdsabrvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdsimplebsswingengine.hpp" />
-    <ClInclude Include="ql\pricingengines\vanilla\fdstepconditionengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\fdvanillaengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\hestonexpansionengine.hpp" />
     <ClInclude Include="ql\pricingengines\vanilla\integralengine.hpp" />
@@ -2138,6 +2123,7 @@
     <ClCompile Include="ql\indexes\ibor\euribor.cpp" />
     <ClCompile Include="ql\indexes\ibor\eurlibor.cpp" />
     <ClCompile Include="ql\indexes\ibor\fedfunds.cpp" />
+    <ClCompile Include="ql\indexes\ibor\kofr.cpp" />
     <ClCompile Include="ql\indexes\ibor\libor.cpp" />
     <ClCompile Include="ql\indexes\ibor\shibor.cpp" />
     <ClCompile Include="ql\indexes\ibor\sofr.cpp" />
@@ -2330,7 +2316,6 @@
     <ClCompile Include="ql\math\randomnumbers\xoshiro256starstaruniformrng.cpp" />
     <ClCompile Include="ql\math\richardsonextrapolation.cpp" />
     <ClCompile Include="ql\math\rounding.cpp" />
-    <ClCompile Include="ql\math\sampledcurve.cpp" />
     <ClCompile Include="ql\math\statistics\discrepancystatistics.cpp" />
     <ClCompile Include="ql\math\statistics\generalstatistics.cpp" />
     <ClCompile Include="ql\math\statistics\histogram.cpp" />
@@ -2650,7 +2635,6 @@
     <ClCompile Include="ql\pricingengines\vanilla\fdhestonvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdsabrvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\fdsimplebsswingengine.cpp" />
-    <ClCompile Include="ql\pricingengines\vanilla\fdvanillaengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\hestonexpansionengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\integralengine.cpp" />
     <ClCompile Include="ql\pricingengines\vanilla\jumpdiffusionengine.cpp" />

QuantLib.vcxproj.filters

@@ -450,12 +450,6 @@
     <ClInclude Include="ql\methods\finitedifferences\pdebsm.hpp">
       <Filter>methods\finitedifferences</Filter>
     </ClInclude>
-    <ClInclude Include="ql\methods\finitedifferences\pdeshortrate.hpp">
-      <Filter>methods\finitedifferences</Filter>
-    </ClInclude>
-    <ClInclude Include="ql\methods\finitedifferences\shoutcondition.hpp">
-      <Filter>methods\finitedifferences</Filter>
-    </ClInclude>
     <ClInclude Include="ql\methods\finitedifferences\stepcondition.hpp">
       <Filter>methods\finitedifferences</Filter>
     </ClInclude>
@@ -672,6 +666,9 @@
     <ClInclude Include="ql\indexes\ibor\jpylibor.hpp">
       <Filter>indexes\ibor</Filter>
     </ClInclude>
+    <ClInclude Include="ql\indexes\ibor\kofr.hpp">
+      <Filter>indexes\ibor</Filter>
+    </ClInclude>
     <ClInclude Include="ql\indexes\ibor\libor.hpp">
       <Filter>indexes\ibor</Filter>
     </ClInclude>
@@ -1485,9 +1482,6 @@
     <ClInclude Include="ql\models\marketmodels\discounter.hpp">
       <Filter>models\marketmodels</Filter>
     </ClInclude>
-    <ClInclude Include="ql\models\marketmodels\duffsdeviceinnerproduct.hpp">
-      <Filter>models\marketmodels</Filter>
-    </ClInclude>
     <ClInclude Include="ql\models\marketmodels\evolutiondescription.hpp">
       <Filter>models\marketmodels</Filter>
     </ClInclude>
@@ -2535,18 +2529,9 @@
     <ClInclude Include="ql\pricingengines\vanilla\hestonexpansionengine.hpp">
       <Filter>pricingengines\vanilla</Filter>
     </ClInclude>
-    <ClInclude Include="ql\pricingengines\vanilla\fdconditions.hpp">
-      <Filter>pricingengines\vanilla</Filter>
-    </ClInclude>
-    <ClInclude Include="ql\pricingengines\vanilla\fddividendengine.hpp">
-      <Filter>pricingengines\vanilla</Filter>
-    </ClInclude>
     <ClInclude Include="ql\pricingengines\vanilla\fdmultiperiodengine.hpp">
       <Filter>pricingengines\vanilla</Filter>
     </ClInclude>
-    <ClInclude Include="ql\pricingengines\vanilla\fdstepconditionengine.hpp">
-      <Filter>pricingengines\vanilla</Filter>
-    </ClInclude>
     <ClInclude Include="ql\pricingengines\vanilla\fdvanillaengine.hpp">
       <Filter>pricingengines\vanilla</Filter>
     </ClInclude>
@@ -3135,15 +3120,6 @@
     <ClInclude Include="ql\experimental\exoticoptions\all.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\exoticoptions\analyticamericanmargrabeengine.hpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClInclude>
-    <ClInclude Include="ql\experimental\exoticoptions\analyticcomplexchooserengine.hpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClInclude>
-    <ClInclude Include="ql\experimental\exoticoptions\analyticeuropeanmargrabeengine.hpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\analyticholderextensibleoptionengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -3159,9 +3135,6 @@
     <ClInclude Include="ql\pricingengines\barrier\discretizedbarrieroption.hpp">
       <Filter>pricingengines\barrier</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\exoticoptions\analyticsimplechooserengine.hpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\analytictwoassetbarrierengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -3171,9 +3144,6 @@
     <ClInclude Include="ql\experimental\exoticoptions\analyticwriterextensibleoptionengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\exoticoptions\complexchooseroption.hpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\continuousarithmeticasianlevyengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -3192,9 +3162,6 @@
     <ClInclude Include="ql\experimental\exoticoptions\kirkspreadoptionengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\exoticoptions\margrabeoption.hpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\mceverestengine.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -3210,9 +3177,6 @@
     <ClInclude Include="ql\experimental\exoticoptions\partialtimebarrieroption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\exoticoptions\simplechooseroption.hpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\exoticoptions\spreadoption.hpp">
       <Filter>experimental\exoticoptions</Filter>
     </ClInclude>
@@ -3489,9 +3453,6 @@
     <ClInclude Include="ql\experimental\termstructures\all.hpp">
       <Filter>experimental\termstructures</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\termstructures\multicurvesensitivities.hpp">
-      <Filter>experimental\termstructures</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\varianceoption\all.hpp">
       <Filter>experimental\varianceoption</Filter>
     </ClInclude>
@@ -3642,12 +3603,6 @@
     <ClInclude Include="ql\experimental\barrieroption\vannavolgainterpolation.hpp">
       <Filter>experimental\barrieroption</Filter>
     </ClInclude>
-    <ClInclude Include="ql\experimental\exoticoptions\analyticcompoundoptionengine.hpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClInclude>
-    <ClInclude Include="ql\experimental\exoticoptions\compoundoption.hpp">
-      <Filter>experimental\exoticoptions</Filter>
-    </ClInclude>
     <ClInclude Include="ql\experimental\inflation\all.hpp">
       <Filter>experimental\inflation</Filter>
     </ClInclude>
@@ -4616,6 +4571,9 @@
     <ClCompile Include="ql\indexes\ibor\fedfunds.cpp">
       <Filter>indexes\ibor</Filter>
     </ClCompile>
+    <ClCompile Include="ql\indexes\ibor\kofr.cpp">
+      <Filter>indexes\ibor</Filter>
+    </ClCompile>
     <ClCompile Include="ql\indexes\ibor\libor.cpp">
       <Filter>indexes\ibor</Filter>
     </ClCompile>
@@ -4865,9 +4823,6 @@
     <ClCompile Include="ql\math\rounding.cpp">
       <Filter>math</Filter>
     </ClCompile>
-    <ClCompile Include="ql\math\sampledcurve.cpp">
-      <Filter>math</Filter>
-    </ClCompile>
     <ClCompile Include="ql\math\statistics\discrepancystatistics.cpp">
       <Filter>math\statistics</Filter>
     </ClCompile>
@@ -5795,9 +5750,6 @@
     <ClCompile Include="ql\pricingengines\vanilla\hestonexpansionengine.cpp">
       <Filter>pricingengines\vanilla</Filter>
     </ClCompile>
-    <ClCompile Include="ql\pricingengines\vanilla\fdvanillaengine.cpp">
-      <Filter>pricingengines\vanilla</Filter>
-    </ClCompile>
     <ClCompile Include="ql\pricingengines\vanilla\integralengine.cpp">
       <Filter>pricingengines\vanilla</Filter>
     </ClCompile>

cmake/GenerateHeaders.cmake

@@ -38,30 +38,15 @@ function(generate_dir_headers source_dir binary_dir)
     file(GLOB children_hpp RELATIVE ${source_dir} "${source_dir}/*.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "all.hpp")
 
-    # These headers were moved to another location.
-    # Therefore, we can ignore them as they only contain a warning and the new includes.
-    if (${source_dir} MATCHES "experimental" AND ${source_dir} MATCHES "exoticoptions")
-        list(FILTER children_hpp EXCLUDE REGEX "margrabeoption.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "analyticamericanmargrabeengine.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "analyticeuropeanmargrabeengine.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "compoundoption.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "analyticcompoundoptionengine.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "simplechooseroption.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "analyticsimplechooserengine.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "complexchooseroption.hpp")
-        list(FILTER children_hpp EXCLUDE REGEX "analyticcomplexchooserengine.hpp")
-    endif ()
-
-    list(FILTER children_hpp EXCLUDE REGEX "multicurvesensitivities.hpp")
-    list(FILTER children_hpp EXCLUDE REGEX "shoutcondition.hpp")
-    list(FILTER children_hpp EXCLUDE REGEX "fdcondition.hpp")
-    list(FILTER children_hpp EXCLUDE REGEX "pdeshortrate.hpp")
-    list(FILTER children_hpp EXCLUDE REGEX "fddividendengine.hpp")
-    list(FILTER children_hpp EXCLUDE REGEX "fdstepconditionengine.hpp")
-    list(FILTER children_hpp EXCLUDE REGEX "duffsdeviceinnerproduct.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "dividendvanillaoption.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "averageoiscouponpricer.hpp")
     list(FILTER children_hpp EXCLUDE REGEX "subperiodcoupon.hpp")
+    list(FILTER children_hpp EXCLUDE REGEX "fdmultiperiodengine.hpp")
+    list(FILTER children_hpp EXCLUDE REGEX "fdvanillaengine.hpp")
+    list(FILTER children_hpp EXCLUDE REGEX "sampledcurve.hpp")
+    list(FILTER children_hpp EXCLUDE REGEX "bsmtermoperator.hpp")
+    list(FILTER children_hpp EXCLUDE REGEX "fdtypedefs.hpp")
+    list(FILTER children_hpp EXCLUDE REGEX "parallelevolver.hpp")
 
     file(GLOB children_dir RELATIVE ${source_dir} "${source_dir}/*")
     list(FILTER children_dir EXCLUDE REGEX "CMakeFiles")