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Replace now obsolete LENGTH macro with std::size function (#2077)
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@lballabio
lballabio authored Sep 23, 2024
2 parents bbecf53 + 283a28f commit fb83510
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Showing 46 changed files with 186 additions and 196 deletions.
6 changes: 2 additions & 4 deletions Examples/ConvertibleBonds/ConvertibleBonds.cpp
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Expand Up @@ -31,8 +31,6 @@
#include <iostream>
#include <iomanip>

#define LENGTH(a) (sizeof(a)/sizeof(a[0]))

using namespace QuantLib;

int main(int, char* []) {
Expand Down Expand Up @@ -86,15 +84,15 @@ int main(int, char* []) {
Real putPrices[]= { 105.0 };

// Load call schedules
for (Size i=0; i<LENGTH(callLength); i++) {
for (Size i=0; i<std::size(callLength); i++) {
callability.push_back(
ext::make_shared<SoftCallability>(Bond::Price(callPrices[i],
Bond::Price::Clean),
schedule.date(callLength[i]),
1.20));
}

for (Size j=0; j<LENGTH(putLength); j++) {
for (Size j=0; j<std::size(putLength); j++) {
callability.push_back(
ext::make_shared<Callability>(Bond::Price(putPrices[j],
Bond::Price::Clean),
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6 changes: 2 additions & 4 deletions Examples/FRA/FRA.cpp
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Expand Up @@ -33,8 +33,6 @@

#include <iostream>

#define LENGTH(a) (sizeof(a)/sizeof(a[0]))

using namespace std;
using namespace QuantLib;

Expand Down Expand Up @@ -171,7 +169,7 @@ int main(int, char* []) {
<< endl;

Size i;
for (i=0; i<LENGTH(monthsToStart); i++) {
for (i=0; i<std::size(monthsToStart); i++) {

Date fraValueDate = fraCalendar.advance(
settlementDate,monthsToStart[i],Months,
Expand Down Expand Up @@ -229,7 +227,7 @@ int main(int, char* []) {
fra9x12Rate->setValue(threeMonthFraQuote[9]);


for (i=0; i<LENGTH(monthsToStart); i++) {
for (i=0; i<std::size(monthsToStart); i++) {

Date fraValueDate = fraCalendar.advance(
settlementDate,monthsToStart[i],Months,
Expand Down
6 changes: 2 additions & 4 deletions Examples/FittedBondCurve/FittedBondCurve.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -42,8 +42,6 @@
#include <iostream>
#include <iomanip>

#define LENGTH(a) (sizeof(a)/sizeof(a[0]))

using namespace std;
using namespace QuantLib;

Expand Down Expand Up @@ -129,7 +127,7 @@ int main(int, char* []) {
std::vector<ext::shared_ptr<BondHelper>> instrumentsA;
std::vector<ext::shared_ptr<RateHelper>> instrumentsB;

for (Size j=0; j<LENGTH(lengths); j++) {
for (Size j=0; j<std::size(lengths); j++) {

Date maturity = calendar.advance(bondSettlementDate, lengths[j]*Years);

Expand Down Expand Up @@ -588,7 +586,7 @@ int main(int, char* []) {
<< endl
<< endl;

for (Size k=0; k<LENGTH(lengths)-1; k++) {
for (Size k=0; k<std::size(lengths)-1; k++) {

Real P = instrumentsA[k]->quote()->value();
const Bond& b = *instrumentsA[k]->bond();
Expand Down
6 changes: 3 additions & 3 deletions test-suite/americanoption.cpp
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Expand Up @@ -1289,7 +1289,7 @@ BOOST_AUTO_TEST_CASE(testQdAmericanEngines) {
17.05087,26.89157,64.64923,0,390.87453,124.55406,0.01018,94.23963};

std::vector<OptionSpec> testCaseSpecs;
testCaseSpecs.reserve(LENGTH(pde_values) + LENGTH(edgeTestCases));
testCaseSpecs.reserve(std::size(pde_values) + std::size(edgeTestCases));

PseudoRandom::rng_type rng(PseudoRandom::urng_type(12345UL));

Expand Down Expand Up @@ -1467,7 +1467,7 @@ BOOST_AUTO_TEST_CASE(testAndersenLakeHighPrecisionExample) {
QdFpAmericanEngine::FP_A, QdFpAmericanEngine::FP_B
};

for (Size i=0; i < LENGTH(schemes); ++i) {
for (Size i=0; i < std::size(schemes); ++i) {

americanOption.setPricingEngine(
ext::make_shared<QdFpAmericanEngine>(
Expand Down Expand Up @@ -1533,7 +1533,7 @@ BOOST_AUTO_TEST_CASE(testQdEngineStandardExample) {
};
const Real expected[] = { 0.2386475283369327, 0.2386596962737606 };

for (Size i=0; i < LENGTH(schemes); ++i) {
for (Size i=0; i < std::size(schemes); ++i) {
americanOption.setPricingEngine(
ext::make_shared<QdFpAmericanEngine>(
bsProcess,
Expand Down
2 changes: 1 addition & 1 deletion test-suite/amortizingbond.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -54,7 +54,7 @@ BOOST_AUTO_TEST_CASE(testAmortizingFixedRateBond) {

const Real tolerance = 1.0e-6;

for (Size i=0; i<LENGTH(rates); ++i) {
for (Size i=0; i<std::size(rates); ++i) {

auto schedule = sinkingSchedule(refDate, Period(30, Years), freq, NullCalendar());
auto notionals = sinkingNotionals(Period(30, Years), freq, rates[i], 100.0);
Expand Down
10 changes: 5 additions & 5 deletions test-suite/andreasenhugevolatilityinterpl.cpp
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Expand Up @@ -113,10 +113,10 @@ CalibrationData AndreasenHugeExampleData() {
const Handle<YieldTermStructure> rTS(flatRate(today, 0.0, dc));
const Handle<YieldTermStructure> qTS(flatRate(today, 0.0, dc));

const Size nStrikes = LENGTH(raw);
const Size nMaturities = LENGTH(maturityTimes);
const Size nStrikes = std::size(raw);
const Size nMaturities = std::size(maturityTimes);

static_assert(nMaturities == LENGTH(raw[1])-1, "check raw data");
static_assert(nMaturities == std::size(raw[1])-1, "check raw data");

AndreasenHugeVolatilityInterpl::CalibrationSet calibrationSet;

Expand All @@ -127,7 +127,7 @@ CalibrationData AndreasenHugeExampleData() {
for (const auto & i : raw) {
const Real strike = spot->value()*i[0];

for (Size j=1; j < LENGTH(i); ++j) {
for (Size j=1; j < std::size(i); ++j) {
if (i[j] > QL_EPSILON) {
const Date maturity
= today + Period(Size(365*maturityTimes[j-1]), Days);
Expand Down Expand Up @@ -328,7 +328,7 @@ CalibrationData arbitrageData() {
const Volatility vols[] = { 0.25, 0.35, 0.05, 0.35 };
AndreasenHugeVolatilityInterpl::CalibrationSet calibrationSet;

for (Size i=0; i < LENGTH(strikes); ++i) {
for (Size i=0; i < std::size(strikes); ++i) {
const Real strike = strikes[i];
const Date maturityDate = today + Period(maturities[i], Months);
const Volatility vol = vols[i];
Expand Down
14 changes: 7 additions & 7 deletions test-suite/asianoptions.cpp
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Expand Up @@ -596,7 +596,7 @@ void testDiscreteGeometricAveragePriceHeston(const ext::shared_ptr<PricingEngine
Real runningAccumulator = 1.0;
Size pastFixings = 0;

for (Size i=0; i<LENGTH(strikes); i++) {
for (Size i=0; i<std::size(strikes); i++) {
Real strike = strikes[i];
int day = days[i];
Real expected = prices[i];
Expand Down Expand Up @@ -986,7 +986,7 @@ BOOST_AUTO_TEST_CASE(testMCDiscreteArithmeticAveragePriceHeston, *precondition(i
ext::shared_ptr<Exercise> exercise(new
EuropeanExercise(fixingDates[119]));

for (Size i=0; i<LENGTH(prices); i++) {
for (Size i=0; i<std::size(prices); i++) {
Real strike = strikes[i];
Real expected = prices[i];

Expand Down Expand Up @@ -2087,7 +2087,7 @@ BOOST_AUTO_TEST_CASE(testAnalyticContinuousGeometricAveragePriceHeston) {
ext::shared_ptr<AnalyticContinuousGeometricAveragePriceAsianHestonEngine> engine(new
AnalyticContinuousGeometricAveragePriceAsianHestonEngine(hestonProcess));

for (Size i=0; i<LENGTH(strikes); i++) {
for (Size i=0; i<std::size(strikes); i++) {
Real strike = strikes[i];
Time day = days[i];
Real expected = prices[i];
Expand Down Expand Up @@ -2123,7 +2123,7 @@ BOOST_AUTO_TEST_CASE(testAnalyticContinuousGeometricAveragePriceHeston) {
ext::shared_ptr<AnalyticContinuousGeometricAveragePriceAsianHestonEngine> engine_2(new
AnalyticContinuousGeometricAveragePriceAsianHestonEngine(hestonProcess_2));

for (Size i=0; i<LENGTH(strikes); i++) {
for (Size i=0; i<std::size(strikes); i++) {
Real strike = strikes[i];
Time day = days[i];
Real expected = prices_2[i];
Expand Down Expand Up @@ -2182,7 +2182,7 @@ BOOST_AUTO_TEST_CASE(testAnalyticContinuousGeometricAveragePriceHeston) {
ext::shared_ptr<AnalyticContinuousGeometricAveragePriceAsianHestonEngine> engine_3(new
AnalyticContinuousGeometricAveragePriceAsianHestonEngine(hestonProcess_3));

for (Size i=0; i<LENGTH(strikes_3); i++) {
for (Size i=0; i<std::size(strikes_3); i++) {
Real strike = strikes_3[i];
Time day = days_3[i];
Real expected = prices_3[i];
Expand Down Expand Up @@ -2346,9 +2346,9 @@ BOOST_AUTO_TEST_CASE(testDiscreteGeometricAveragePriceHestonPastFixings) {
Option::Type type(Option::Call);
Average::Type averageType = Average::Geometric;

for (Size strike_index = 0; strike_index < LENGTH(strikes); strike_index++) {
for (Size strike_index = 0; strike_index < std::size(strikes); strike_index++) {

for (Size day_index = 0; day_index < LENGTH(days); day_index++) {
for (Size day_index = 0; day_index < std::size(days); day_index++) {

for (Size k=0; k<2; k++) {

Expand Down
10 changes: 5 additions & 5 deletions test-suite/barrieroption.cpp
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Expand Up @@ -915,8 +915,8 @@ BOOST_AUTO_TEST_CASE(testDividendBarrierOption) {
};

Real relTol = 2e-4;
for (Size i=0; i < LENGTH(barriers); ++i) {
for (Size j=0; j < LENGTH(engines); ++j) {
for (Size i=0; i < std::size(barriers); ++i) {
for (Size j=0; j < std::size(engines); ++j) {
Real barrier = barriers[i];
Barrier::Type barrierType = barrierTypes[i];

Expand Down Expand Up @@ -995,8 +995,8 @@ BOOST_AUTO_TEST_CASE(testDividendBarrierOptionWithDividendsPastMaturity) {
auto payoff = ext::make_shared<PlainVanillaPayoff>(Option::Put, strike);
auto exercise = ext::make_shared<EuropeanExercise>(maturity);

for (Size i=0; i < LENGTH(barriers); ++i) {
for (Size j=0; j < LENGTH(engines); ++j) {
for (Size i=0; i < std::size(barriers); ++i) {
for (Size j=0; j < std::size(engines); ++j) {
Real barrier = barriers[i];
Barrier::Type barrierType = barrierTypes[i];

Expand Down Expand Up @@ -1062,7 +1062,7 @@ BOOST_AUTO_TEST_CASE(testImpliedVolatility) {
Real targetWithDividends[] = { 8.0, 12.0, 9.0, 8.0 };
Real tolerance = 1e-5;

for (Size i=0; i < LENGTH(barriers); ++i) {
for (Size i=0; i < std::size(barriers); ++i) {
Real barrier = barriers[i];
Barrier::Type barrierType = barrierTypes[i];

Expand Down
4 changes: 2 additions & 2 deletions test-suite/blackdeltacalculator.cpp
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Expand Up @@ -98,7 +98,7 @@ BOOST_AUTO_TEST_CASE(testDeltaValues){
Real error;
Real tolerance;

for (Size i=0; i<LENGTH(values); i++) {
for (Size i=0; i<std::size(values); i++) {

currOt =values[i].ot;
currDt =values[i].dt;
Expand Down Expand Up @@ -550,7 +550,7 @@ BOOST_AUTO_TEST_CASE(testAtmCalcs){
Real currPutDelta;
Real currFwd;

for (Size i=0; i<LENGTH(values); i++) {
for (Size i=0; i<std::size(values); i++) {

currDt =values[i].dt;
currSpot =values[i].spot;
Expand Down
6 changes: 3 additions & 3 deletions test-suite/cdo.cpp
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Expand Up @@ -164,14 +164,14 @@ BOOST_AUTO_TEST_CASE_TEMPLATE(testHW, T, dataSets) {

ext::shared_ptr<SimpleQuote> correlation(new SimpleQuote(0.0));
Handle<Quote> hCorrelation(correlation);
QL_REQUIRE(LENGTH(hwAttachment) == LENGTH(hwDetachment), "data length does not match");
QL_REQUIRE(std::size(hwAttachment) == std::size(hwDetachment), "data length does not match");

ext::shared_ptr<PricingEngine> midPCDOEngine(new MidPointCDOEngine(yieldHandle));
ext::shared_ptr<PricingEngine> integralCDOEngine(new IntegralCDOEngine(yieldHandle));

const Size i = dataSet;
correlation->setValue(hwData7[i].correlation);
QL_REQUIRE(LENGTH(hwAttachment) == LENGTH(hwData7[i].trancheSpread),
QL_REQUIRE(std::size(hwAttachment) == std::size(hwData7[i].trancheSpread),
"data length does not match");
std::vector<ext::shared_ptr<DefaultLossModel>> basketModels;
std::vector<std::string> modelNames;
Expand Down Expand Up @@ -319,7 +319,7 @@ BOOST_AUTO_TEST_CASE_TEMPLATE(testHW, T, dataSets) {
return;
}

for (Size j = 0; j < LENGTH(hwAttachment); j++) {
for (Size j = 0; j < std::size(hwAttachment); j++) {
ext::shared_ptr<Basket> basketPtr(
new Basket(asofDate, names, nominals, pool, hwAttachment[j], hwDetachment[j]));
std::ostringstream trancheId;
Expand Down
2 changes: 1 addition & 1 deletion test-suite/digitalcoupon.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -100,7 +100,7 @@ BOOST_AUTO_TEST_CASE(testAssetOrNothing) {
Date endDate = vars.calendar.advance(vars.settlement,(k+2)*Years);
Rate nullstrike = Null<Rate>();
Date paymentDate = endDate;
for (Size h=0; h<LENGTH(gearings); h++) {
for (Size h=0; h<std::size(gearings); h++) {

Real gearing = gearings[h];
Rate spread = spreads[h];
Expand Down
2 changes: 1 addition & 1 deletion test-suite/digitaloption.cpp
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Expand Up @@ -561,7 +561,7 @@ BOOST_AUTO_TEST_CASE(testCashAtHitOrNothingAmericanGreeks) {
ext::shared_ptr<PricingEngine> engines[] = { euroEngine, amEngine };

bool knockin=true;
for (Size j=0; j<LENGTH(engines); j++) {
for (Size j=0; j<std::size(engines); j++) {
for (auto& type : types) {
for (Real strike : strikes) {
ext::shared_ptr<StrikedTypePayoff> payoff(
Expand Down
12 changes: 6 additions & 6 deletions test-suite/distributions.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -124,7 +124,7 @@ void checkBivariate(const char* tag) {
{ -30, 1.0, 1.0, 0.000000 }
};

for (Size i=0; i<LENGTH(values); i++) {
for (Size i=0; i<std::size(values); i++) {
Bivariate bcd(values[i].rho);
Real value = bcd(values[i].a, values[i].b);

Expand Down Expand Up @@ -425,7 +425,7 @@ BOOST_AUTO_TEST_CASE(testInverseCumulativePoisson) {
0.99999999
};

for (Size i=0; i<LENGTH(data); i++) {
for (Size i=0; i<std::size(data); i++) {
if (!close(icp(data[i]), static_cast<Real>(i))) {
BOOST_ERROR(std::setprecision(8)
<< "failed to reproduce known value for x = "
Expand Down Expand Up @@ -490,14 +490,14 @@ BOOST_AUTO_TEST_CASE(testBivariateCumulativeStudent) {
};

Real tolerance = 1.0e-5;
for (Size i=0; i < LENGTH(ns); ++i) {
for (Size i=0; i < std::size(ns); ++i) {
BivariateCumulativeStudentDistribution f1(ns[i], 0.5);
BivariateCumulativeStudentDistribution f2(ns[i], -0.5);
for (Size j=0; j < LENGTH(xs); ++j) {
for (Size j=0; j < std::size(xs); ++j) {
Real calculated1 = f1(xs[j], xs[j]);
Real reference1 = expected1[i*LENGTH(xs)+j];
Real reference1 = expected1[i*std::size(xs)+j];
Real calculated2 = f2(xs[j], xs[j]);
Real reference2 = expected2[i*LENGTH(xs)+j];
Real reference2 = expected2[i*std::size(xs)+j];
if (std::fabs(calculated1 - reference1) > tolerance)
BOOST_ERROR("Failed to reproduce CDF value at " << xs[j] <<
"\n calculated: " << calculated1 <<
Expand Down
2 changes: 1 addition & 1 deletion test-suite/fdheston.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -473,7 +473,7 @@ BOOST_AUTO_TEST_CASE(testFdmHestonIkonenToivanen) {
Real expected[] = { 2.00000, 1.10763, 0.520038, 0.213681, 0.082046 };
const Real tol = 0.001;

for (Size i=0; i < LENGTH(strikes); ++i) {
for (Size i=0; i < std::size(strikes); ++i) {
Handle<Quote> s0(ext::shared_ptr<Quote>(new SimpleQuote(strikes[i])));
ext::shared_ptr<HestonProcess> hestonProcess(
new HestonProcess(rTS, qTS, s0, 0.0625, 5, 0.16, 0.9, 0.1));
Expand Down
8 changes: 4 additions & 4 deletions test-suite/fdsabr.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -380,7 +380,7 @@ BOOST_AUTO_TEST_CASE(testOosterleeTestCaseIV) {
const Real strikes[] = { 0.4*f0, f0, 1.6*f0 };

const Real tol = 0.00035;
for (Size i=0; i < LENGTH(maturities); ++i) {
for (Size i=0; i < std::size(maturities); ++i) {
const Date maturityDate = today + maturities[i];
const Time maturityTime = dc.yearFraction(today, maturityDate);

Expand All @@ -393,7 +393,7 @@ BOOST_AUTO_TEST_CASE(testOosterleeTestCaseIV) {
const ext::shared_ptr<Exercise> exercise =
ext::make_shared<EuropeanExercise>(maturityDate);

for (Size j=0; j < LENGTH(strikes); ++j) {
for (Size j=0; j < std::size(strikes); ++j) {
const ext::shared_ptr<StrikedTypePayoff> payoff =
ext::make_shared<PlainVanillaPayoff>(Option::Call, strikes[j]);

Expand Down Expand Up @@ -462,7 +462,7 @@ BOOST_AUTO_TEST_CASE(testBenchOpSabrCase) {

const Real tol = 2e-4;

for (Size i=0; i < LENGTH(f0s); ++i) {
for (Size i=0; i < std::size(f0s); ++i) {

const Date maturity = today + Period(maturityInYears[i]*365, Days);
const Time T = dc.yearFraction(today, maturity);
Expand All @@ -477,7 +477,7 @@ BOOST_AUTO_TEST_CASE(testBenchOpSabrCase) {
f0*std::exp(-0.1*std::sqrt(T)), f0, f0*std::exp(0.1*std::sqrt(T))
};

for (Size j=0; j < LENGTH(strikes); ++j) {
for (Size j=0; j < std::size(strikes); ++j) {
const Real strike = strikes[j];

VanillaOption option(
Expand Down
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