commit fb837f316c7e8803e40011c97dda90af6058688a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 17 Jan 2021 15:13:43 +0100

    Set version to 1.21 final.

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

commit 4cbe1d8e252d76838b1c765243a9b6b2c34da53b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Jan 2021 15:58:26 +0100

    Update changelog and news

 ChangeLog.txt           | 2517 +++++++++++++++++++++++++++--------------------
 Contributors.txt        |    2 +
 Docs/pages/history.docs |   46 +-
 News.md                 |   90 +-
 4 files changed, 1534 insertions(+), 1121 deletions(-)

commit a630775c6df2472804c30f5ca034e6d09106fd44
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Jan 2021 15:57:50 +0100

    Set version to 1.21 rc

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

commit 0339334a3cd3ceb20659c9abb39a738fdf9c9e3a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 5 Jan 2021 13:01:52 +0100

    Fix example setup

 Examples/CDS/CDS.cpp | 16 +++++++++-------
 1 file changed, 9 insertions(+), 7 deletions(-)

commit eba62d844cffac4f02ecdf3c71184f0a17b32f81
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Jan 2021 23:46:42 +0100

    Cosmetic changes to some test messages

 test-suite/forwardoption.cpp                |  2 +-
 test-suite/schedule.cpp                     | 14 +++++++-------
 test-suite/ultimateforwardtermstructure.cpp |  6 +++---
 3 files changed, 11 insertions(+), 11 deletions(-)

commit 7a8abf65dba1ace71e28d7b15ac109a4b074407c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Jan 2021 17:55:01 +0100

    Add check on docs generation.

 .github/workflows/doxygen.yml | 16 ++++++++++++++++
 Docs/quantlib.doxy            | 20 ++++++++++++--------
 2 files changed, 28 insertions(+), 8 deletions(-)

commit 1bc1d74479d37560c5e782e15f80d2c1174545df
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 4 Jan 2021 19:19:16 +0100

    Fix documentation warnings

 ql/pricingengines/forward/mcforwardeuropeanbsengine.hpp     | 6 +++---
 ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp | 6 +++---
 2 files changed, 6 insertions(+), 6 deletions(-)

commit 50658631f7f49e9044fed218770de35ff1a32c93
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 30 Dec 2020 18:19:34 +0100

    Use clang 10

 .github/workflows/tidy.yml | 2 +-
 tools/run_tidy.sh          | 2 +-
 2 files changed, 2 insertions(+), 2 deletions(-)

commit 957998c94ad20247749715bb32a61fd263bfec02
Merge: 5e968f450 fbe2d8ba5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 30 Dec 2020 09:16:21 +0100

    Merge pull request #970.
    
    Fix holiday in Thailand calendar and update

commit fbe2d8ba5f8e5f95adbba47be00470b5051bd920
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 29 Dec 2020 21:25:55 +0100

    Fix holiday in Thailand calendar and update
    
    Thanks to phil-zxx.

 ql/time/calendars/thailand.cpp | 11 +++++++++--
 1 file changed, 9 insertions(+), 2 deletions(-)

commit 5e968f450d7450d8f90f681f11a114a8d6c688d8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 18 Dec 2020 11:58:25 +0100

    Add check for outdated file lists

 .github/workflows/filelists.yml                | 10 +++++++
 QuantLib.vcxproj                               |  2 +-
 QuantLib.vcxproj.filters                       |  6 +++++
 tools/{sync_projects.sh => check_filelists.sh} | 35 ++++++++++++------------
 tools/check_filelists_diffs.py                 | 37 ++++++++++++++++++++++++++
 5 files changed, 71 insertions(+), 19 deletions(-)

commit 55fc755b5a9ee7de2e0a7e994f25fa40fb15366d
Merge: de9d494e0 03ebcc520
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 17 Dec 2020 23:06:02 +0100

    Merge pull request #967.
    
    Added experimental/[asian|forward]/all.hpp to CMakeLists

commit 03ebcc520e14bfe34666224f7a6d88b7e3fbd462
Author: Matthias Siemering <matthias.siemering@gmail.com>
Date:   Thu, 17 Dec 2020 19:16:45 +0100

    Added experimental/[asian|forward]/all.hpp to CMakeLists

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

commit de9d494e0e0d51c23666f9260726e9718c9a793a
Merge: 1650d68f3 f3bf5082b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 16 Dec 2020 09:08:52 +0100

    Merge pull request #966.
    
    Adding a control variate to the arithmetic asian MC heston pricer

commit f3bf5082b42f77dc522fd716004ca6af77528b81
Merge: e7a038b3f f3a22efc6
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 15 Dec 2020 23:06:38 +0800

    Merge pull request #23 from jackgillett101/clang-tidy-fixes-refs/heads/arithmetic_asian_heston_control_variate
    
    Automated fixes by clang-tidy

commit e7a038b3fc71c3ec74af2ebd915f5d41ae29fdbd
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 15 Dec 2020 23:05:26 +0800

    Manual conversion of double to Size

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

commit f3a22efc6dd2e4531ee5ca642e7b124550f66ade
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Tue, 15 Dec 2020 14:52:06 +0000

    Automated fixes by clang-tidy

 ql/experimental/asian/analytic_discr_geom_av_price_heston.hpp | 8 +++++---
 1 file changed, 5 insertions(+), 3 deletions(-)

commit 1388c379e97b58926677a7987be8b183b9559667
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 15 Dec 2020 21:42:57 +0800

    Seeding the test cases and reducing path numbers to increase speed

 test-suite/asianoptions.cpp | 12 +++++++-----
 1 file changed, 7 insertions(+), 5 deletions(-)

commit f7a5666780d3ea5d974701d3942c7751d5851e41
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 15 Dec 2020 21:39:25 +0800

    Adding pull request link to the in-code documentation

 ql/pricingengines/asian/mc_discr_arith_av_price_heston.hpp | 3 +++
 1 file changed, 3 insertions(+)

commit 8fa11588c8ab0c29fd1e9631b04831f8dc9f6ff0
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 15 Dec 2020 21:30:36 +0800

    Adding a control variate to the arithmetic asian MC heston pricer

 .../asian/analytic_discr_geom_av_price_heston.cpp  |   3 +
 .../asian/mc_discr_arith_av_price_heston.hpp       |  78 ++++++++++++++--
 test-suite/asianoptions.cpp                        | 104 +++++++++++++++++++++
 3 files changed, 178 insertions(+), 7 deletions(-)

commit 1650d68f309b94797309d483b23d8aa1174e9b3d
Merge: 597aa153a 9f9c4ebb4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 14 Dec 2020 16:14:38 +0100

    Merge pull request #961.
    
    Initial commit for Analytic Discrete Geometric Average Asian pricer

commit 9f9c4ebb4f07ccd5a30731c55f11f8985cdfa44c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 14 Dec 2020 12:51:59 +0100

    Declare integrands as inner classes.

 .../asian/analytic_cont_geom_av_price_heston.cpp   | 62 +++++++++---------
 .../asian/analytic_cont_geom_av_price_heston.hpp   |  5 +-
 .../asian/analytic_discr_geom_av_price_heston.cpp  | 73 +++++++++++-----------
 .../asian/analytic_discr_geom_av_price_heston.hpp  |  5 +-
 4 files changed, 73 insertions(+), 72 deletions(-)

commit 597aa153ac25fb9bbd39e7aaffe61d1600f5c707
Merge: d24dfecbb db3528729
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 13 Dec 2020 22:49:12 +0100

    Merge pull request #964.
    
    avoid px!=0 exceptions with empty currencies

commit e8d311d615646392eced5610a7cac1bcd439f330
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sun, 13 Dec 2020 19:46:16 +0800

    Avoiding class name collisions by unqiuely naming integrand namespaces

 ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp  | 4 ++--
 ql/experimental/asian/analytic_discr_geom_av_price_heston.cpp | 6 +++---
 2 files changed, 5 insertions(+), 5 deletions(-)

commit d24dfecbba3045101d7f1a2d7d5f8a64ad519c75
Merge: e3d5dd895 100a153b5
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 13 Dec 2020 12:02:11 +0100

    Merge pull request #963.
    
    The set-env command is disabled.

commit db35287292c1e82953ddc7241d50e2628461e1be
Author: Peter Caspers <peter.caspers@quaternion.com>
Date:   Sun, 13 Dec 2020 09:48:10 +0100

    avoid px!=0 exceptions with empty currencies

 ql/currency.hpp | 18 +++++++++++++++++-
 1 file changed, 17 insertions(+), 1 deletion(-)

commit 50619ad3f8791d6aa23e48e05661c5a720fb95d2
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sun, 13 Dec 2020 08:46:23 +0800

    anonymous namespace for integrand, pass complex variables without copying

 .../asian/analytic_cont_geom_av_price_heston.cpp   | 77 +++++++++---------
 .../asian/analytic_cont_geom_av_price_heston.hpp   | 28 +++----
 .../asian/analytic_discr_geom_av_price_heston.cpp  | 91 +++++++++++-----------
 .../asian/analytic_discr_geom_av_price_heston.hpp  | 28 +++----
 4 files changed, 117 insertions(+), 107 deletions(-)

commit 100a153b57da8829df0ed9db2a8e5d62804d394f
Author: RalfKonrad <github@eckel-consulting.de>
Date:   Sat, 12 Dec 2020 22:04:23 +0100

    The set-env command is disabled.

 .github/workflows/cmake-win.yml | 2 ++
 1 file changed, 2 insertions(+)

commit e3d5dd895e1f3c9733ce47c4dffb5112d46a3e16
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 12 Dec 2020 17:58:23 +0100

    Update distro for gcc 9 CI job

 .github/workflows/linux.yml | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 9dcb5ba3ec8cbc4ed8b1bfcfaf642fc0a32322aa
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 12 Dec 2020 17:31:22 +0100

    Document fixed Boost version in workflow.

 .github/workflows/linux.yml | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 7cb2f8e568e67f2e29d4c6963e99f54851a4c562
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sat, 12 Dec 2020 07:44:18 +0800

    Integral limit should be Real, not Size

 ql/experimental/asian/analytic_discr_geom_av_price_heston.hpp | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

commit 3788178a1ff1c5fd3b198806d3487bac84e76a71
Merge: 516a89ed8 c7af72b92
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 11 Dec 2020 22:19:41 +0100

    Merge pull request #962.
    
    Update China holiday for the year 2021

commit c7af72b92cf5db1558397d2668593401ecea6578
Author: wegamekinglc <scrappedprince.li@gmail.com>
Date:   Fri, 11 Dec 2020 17:05:58 +0800

    update china calendar for the year 2021

 ql/time/calendars/china.cpp | 17 ++++++++++++++++-
 test-suite/calendars.cpp    | 34 ++++++++++++++++++++++++++++++++--
 2 files changed, 48 insertions(+), 3 deletions(-)

commit a10f94a5258aa3703bc2e1ef28daa9f7c5ff056d
Merge: 7239e1b1e 516a89ed8
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Fri, 11 Dec 2020 11:43:49 +0800

    Merge pull request #11 from lballabio/master
    
    merge from Luigi's upstream

commit b66fcd647a854a0cf68de17391ad9fdace425edf
Merge: a0599d2b0 b22008e24
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Fri, 11 Dec 2020 05:32:30 +0800

    Merge pull request #18 from jackgillett101/clang-tidy-fixes-refs/heads/analytic_discrete_geometric_heston_2
    
    Automated fixes by clang-tidy

commit a0599d2b0d767ff28da315ba3981769e2454ed66
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Fri, 11 Dec 2020 05:31:30 +0800

    Adding new pricer file to CMakeLists.txt

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

commit b22008e2455291cb997c042ddf667e7ee5fe2361
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Thu, 10 Dec 2020 14:42:51 +0000

    Automated fixes by clang-tidy

 test-suite/asianoptions.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit c804ba34d5aeb1d1832e441cdd8dab1cc46358bc
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Thu, 10 Dec 2020 21:25:06 +0800

    Initial commit for Analytic Discrete Geometric Average Asian pricer

 QuantLib.vcxproj                                   |   2 +
 QuantLib.vcxproj.filters                           |   8 +-
 ql/experimental/asian/Makefile.am                  |   6 +-
 ql/experimental/asian/all.hpp                      |   1 +
 .../asian/analytic_discr_geom_av_price_heston.cpp  | 285 +++++++++++++++++++++
 .../asian/analytic_discr_geom_av_price_heston.hpp  | 137 ++++++++++
 test-suite/asianoptions.cpp                        | 107 ++++++--
 test-suite/asianoptions.hpp                        |   1 +
 8 files changed, 517 insertions(+), 30 deletions(-)

commit 516a89ed8bcb35a7397c11d7188cd5e1e00463d0
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Tue, 8 Dec 2020 00:13:00 +0000

    Automated fixes by clang-tidy

 ql/pricingengines/asian/mc_discr_geom_av_price_heston.cpp | 12 ++++++------
 ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp |  2 +-
 2 files changed, 7 insertions(+), 7 deletions(-)

commit 138a3b711f667ceba68c64dd9e00bcf7934be42b
Merge: 59594de12 ec0d9a508
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 7 Dec 2020 23:28:28 +0100

    Merge pull request #952.
    
    Modified ExponentialSplinesFitting to handle variable coeffs and fixed kappa

commit ec0d9a5081221b5dac5a8893d4b14f4a6415c518
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 7 Dec 2020 14:48:02 +0100

    Update docs.

 ql/termstructures/yield/nonlinearfittingmethods.hpp | 10 +++-------
 1 file changed, 3 insertions(+), 7 deletions(-)

commit fdc2927a376bb796caa914d00042619932af2df9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 7 Dec 2020 14:47:50 +0100

    Use Null<Real>

 ql/termstructures/yield/nonlinearfittingmethods.cpp | 4 ++--
 ql/termstructures/yield/nonlinearfittingmethods.hpp | 4 ++--
 2 files changed, 4 insertions(+), 4 deletions(-)

commit 6bf9efa1acb4a67201a59fc680d4b62cfe2b16b2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 7 Dec 2020 14:47:15 +0100

    Add requirements

 ql/termstructures/yield/nonlinearfittingmethods.cpp | 9 +++------
 1 file changed, 3 insertions(+), 6 deletions(-)

commit 59594de1204ee11f23f3dc0a171ff69ccba163a3
Merge: 2dc9b7f6a 42b4ca169
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 7 Dec 2020 14:34:17 +0100

    Merge pull request #957.
    
    Adding a MC Heston pricer for discrete geometric asian options

commit 2dc9b7f6abac35afe9e19fd23ecef11a7c253d64
Merge: d57170996 fbd9acf16
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 7 Dec 2020 14:32:38 +0100

    Merge pull request #956.
    
    fix monthly SOFR future convention

commit 42b4ca1699817f0b23fca6f4416436385d2f7819
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Mon, 7 Dec 2020 07:37:54 +0800

    Updating copyright

 ql/pricingengines/asian/mc_discr_geom_av_price_heston.cpp | 2 ++
 ql/pricingengines/asian/mc_discr_geom_av_price_heston.hpp | 2 ++
 2 files changed, 4 insertions(+)

commit 1af8c820a0b7e5cabf006076eca3b1bd6fac948a
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sun, 6 Dec 2020 08:20:19 +0800

    Adding a MC Heston pricer for discrete gemoetric asian options

 QuantLib.vcxproj                                   |   2 +
 QuantLib.vcxproj.filters                           |  12 +-
 ql/CMakeLists.txt                                  |   2 +
 ql/pricingengines/asian/Makefile.am                |   4 +-
 ql/pricingengines/asian/all.hpp                    |   1 +
 .../asian/mc_discr_geom_av_price_heston.cpp        |  60 +++++
 .../asian/mc_discr_geom_av_price_heston.hpp        | 254 +++++++++++++++++++++
 test-suite/asianoptions.cpp                        |  91 ++++++++
 test-suite/asianoptions.hpp                        |   1 +
 9 files changed, 420 insertions(+), 7 deletions(-)

commit d571709967c0c3ab1ebbf99633d503b4fdc0d9e9
Merge: 1e4bcc70e afec307fa
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 5 Dec 2020 22:00:54 +0100

    Merge pull request #955.
    
    Adding an experimental analytic Heston continuous geometric pricer

commit afec307fa166403a46b1b2a86f9e43de5f52847c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 5 Dec 2020 18:30:51 +0100

    Avoid empty lines

 QuantLib.vcxproj         | 1 -
 QuantLib.vcxproj.filters | 1 -
 2 files changed, 2 deletions(-)

commit cd4460e93d050b16d1522236b4c475a3a86bfefa
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sat, 5 Dec 2020 22:02:22 +0800

    Fixing a Visual Studio int -> double cast warning

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

commit 073a400687a25d805c61940011b308b22d7478ad
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sat, 5 Dec 2020 20:30:26 +0800

    Update QuantLib.vcxproj.filters
    
    Co-authored-by: Luigi Ballabio <luigi.ballabio@gmail.com>

 QuantLib.vcxproj.filters | 7 ++++---
 1 file changed, 4 insertions(+), 3 deletions(-)

commit 4cc405b947fe52833bac831ee2625b5ad491bbd3
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sat, 5 Dec 2020 20:30:15 +0800

    Update QuantLib.vcxproj
    
    Co-authored-by: Luigi Ballabio <luigi.ballabio@gmail.com>

 QuantLib.vcxproj | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

commit 1a951c51201771069786eb584f5fb02e0b797f42
Merge: 0c20cde20 5f2048a12
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sat, 5 Dec 2020 19:38:30 +0800

    Merge pull request #13 from jackgillett101/clang-tidy-fixes-refs/heads/analytic_continuous_geometric_heston_2
    
    Automated fixes by clang-tidy

commit 5f2048a129f47ac4a5004e87b7c47fd5e1c131e2
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Sat, 5 Dec 2020 06:34:20 +0000

    Automated fixes by clang-tidy

 ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp | 9 ++++-----
 1 file changed, 4 insertions(+), 5 deletions(-)

commit fbd9acf16fe8fadbdfba394f12258359fae55794
Author: tani3010 <tani3010@gmail.com>
Date:   Sat, 5 Dec 2020 00:09:41 -0500

    fix monthly SOFR future convention
    
    Signed-off-by: tani3010 <tani3010@gmail.com>

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

commit 38da83ce94446301b8aafce5587399bf539417c6
Author: tani3010 <tani3010@gmail.com>
Date:   Fri, 4 Dec 2020 23:40:12 -0500

    fix monthly SOFR future convention
    
    Signed-off-by: tani3010 <tani3010@gmail.com>

 .../futures/overnightindexfutureratehelper.cpp     | 23 +++++++++++++++-------
 test-suite/sofrfutures.cpp                         | 13 +++++++++++-
 2 files changed, 28 insertions(+), 8 deletions(-)

commit 0c20cde20119faafaace33cbdee1bf1067f853f3
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sat, 5 Dec 2020 12:08:33 +0800

    Adding tests for pricer

 test-suite/asianoptions.cpp | 172 ++++++++++++++++++++++++++++++++++++++++++++
 test-suite/asianoptions.hpp |   1 +
 2 files changed, 173 insertions(+)

commit 6204203a29c42909163ca4680a8c503f1ab00bb1
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sat, 5 Dec 2020 11:47:28 +0800

    Codacy code cleanliness adjustments

 ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp | 6 ++----
 ql/experimental/asian/analytic_cont_geom_av_price_heston.hpp | 2 +-
 2 files changed, 3 insertions(+), 5 deletions(-)

commit 01471ea7deab2a22f01c77cc9102bcc958764661
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sat, 5 Dec 2020 11:26:51 +0800

    Adding an experimental analytic Heston continuous geometric pricer

 QuantLib.vcxproj                                   |   3 +
 QuantLib.vcxproj.filters                           |   9 +
 configure.ac                                       |   1 +
 ql/CMakeLists.txt                                  |   2 +
 ql/experimental/Makefile.am                        |   5 +-
 ql/experimental/all.hpp                            |   1 +
 ql/experimental/asian/Makefile.am                  |  45 ++++
 ql/experimental/asian/all.hpp                      |   5 +
 .../asian/analytic_cont_geom_av_price_heston.cpp   | 284 +++++++++++++++++++++
 .../asian/analytic_cont_geom_av_price_heston.hpp   | 127 +++++++++
 10 files changed, 480 insertions(+), 2 deletions(-)

commit 1e4bcc70ef859d6d2ed3095c7af7bd179ed546cc
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Wed, 2 Dec 2020 10:58:10 +0000

    Automated fixes by clang-tidy

 ql/pricingengines/asian/mc_discr_arith_av_price_heston.cpp | 12 ++++++------
 ql/pricingengines/asian/mc_discr_arith_av_price_heston.hpp |  2 +-
 2 files changed, 7 insertions(+), 7 deletions(-)

commit 34d1e52e6e14b213b52f6259f2b6a226a47ea11f
Merge: 11e1d6f12 e97d09355
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 2 Dec 2020 10:21:48 +0100

    Merge pull request #951.
    
    Forcing specification of timeSteps for MC Arithmetic Asian Heston Pricer

commit e97d09355b315d95f7d2ae83618dc5af34965695
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 1 Dec 2020 22:06:33 +0800

    Defaulting the timeSteps argument for Arithmetic Asians

 .../asian/mc_discr_arith_av_price_heston.hpp       | 84 +++++++++++-----------
 .../asian/mcdiscreteasianenginebase.hpp            |  4 ++
 test-suite/asianoptions.cpp                        |  1 -
 3 files changed, 45 insertions(+), 44 deletions(-)

commit 9fac8bfc12257bea12065e18cb3163b4b8c7b449
Author: DS-London <info@elkpoint.co.uk>
Date:   Tue, 1 Dec 2020 11:54:05 +0000

    Modified ExponentialSplinesFitting to handle a variable number of coefficients and a fixed value for kappa. Added new fitting method to FittedBondCurve example.

 Examples/FittedBondCurve/FittedBondCurve.cpp       | 58 +++++++++++++++++++---
 .../yield/nonlinearfittingmethods.cpp              | 52 ++++++++++++++-----
 .../yield/nonlinearfittingmethods.hpp              | 23 ++++++++-
 3 files changed, 111 insertions(+), 22 deletions(-)

commit 11e1d6f12ce2e56ebddcd5b6e70bce733238fd35
Merge: 43c4e15f4 1bb9e35de
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 1 Dec 2020 12:18:54 +0100

    Merge pull request #950.
    
    Expose number of swap legs

commit 63a816bb3b5453080b33069b1d26f085afd640c3
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Mon, 30 Nov 2020 23:27:39 +0800

    Forcing specification of timeSteps for MC Arithmetic Asian Heston Pricer

 .../asian/mc_discr_arith_av_price_heston.cpp       | 18 +++----
 .../asian/mc_discr_arith_av_price_heston.hpp       | 59 ++++++++++++++++++++--
 .../asian/mcdiscreteasianenginebase.hpp            | 29 ++++++++---
 test-suite/asianoptions.cpp                        |  1 +
 4 files changed, 86 insertions(+), 21 deletions(-)

commit 1bb9e35de043d70510776bfd74d8189a6ed0aecd
Author: Francois Botha <igitur@gmail.com>
Date:   Mon, 30 Nov 2020 15:57:34 +0200

    Expose number of swap legs

 ql/instruments/swap.cpp | 1 +
 ql/instruments/swap.hpp | 1 +
 test-suite/swap.cpp     | 6 ++++++
 3 files changed, 8 insertions(+)

commit 43c4e15f46dc7a8713972d8bd523545a600e1370
Merge: c4a1749bc 6f1dfbb1a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 29 Nov 2020 17:35:43 +0100

    Merge pull request #948.
    
    Adding a vanilla control variate to the Heston forward start MC pricer

commit 6f1dfbb1a5a0be42968ca20950a809f4cadc5d32
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sun, 29 Nov 2020 21:06:03 +0800

    Adding reference to pull request where some trade-offs for control variate use are discussed

 ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp | 8 +++++++-
 1 file changed, 7 insertions(+), 1 deletion(-)

commit c4a1749bc829e7deecce1bf805c2920b0663d670
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Sun, 29 Nov 2020 09:36:42 +0000

    Update copyright list in license

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

commit b8f5cbd5620fbae9e2e986284f1ed8b2e961a7ad
Merge: 43272b2b6 65d20b52d
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 29 Nov 2020 09:52:11 +0100

    Merge pull request #947.
    
    Fix unregisterWith call on empty observer

commit bcbceb3bee31f38bb5169a9f44d1bd97c05456ab
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sun, 29 Nov 2020 16:42:59 +0800

    Correcting ordering of parameters in class initialisation

 ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit c777a7aa1152413300e19d26c6416517f9e06948
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sun, 29 Nov 2020 16:15:45 +0800

    Adding a vanilla control variate to the Heston forward start MC pricer

 .../forward/mcforwardeuropeanhestonengine.hpp      | 80 ++++++++++++++++++----
 .../forward/mcforwardvanillaengine.hpp             | 45 ++++++++++--
 test-suite/forwardoption.cpp                       | 19 ++++-
 3 files changed, 125 insertions(+), 19 deletions(-)

commit 65d20b52ded92d8e348d46ff7561ceca5c6dfab3
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 28 Nov 2020 21:07:33 +0100

    Link required boost libs in CI build for thread-safe config

 .github/workflows/linux.yml | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit 43272b2b642b21f2ede332947433996051d75d93
Merge: 176cce273 a9bd208ab
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 28 Nov 2020 20:58:34 +0100

    Merge pull request #943.
    
    Adding an experimental analytic pricer for forward-start european options in Heston model

commit 74ed85f6d5f9c2810fb0de9184cd466cb249a70a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 28 Nov 2020 16:53:59 +0100

    Add thread-set observer configuration to CI matrix.

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

commit 831faf3dc6916458e349d4bdd2ce9eaa43e6acd9
Author: klausspanderen <klaus@spanderen.de>
Date:   Sat, 28 Nov 2020 16:27:20 +0100

    fixed #929
    Observer::unregisterWith(...) and QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN

 ql/patterns/observable.hpp |  3 +--
 test-suite/observable.cpp  | 19 ++++++++++++++++++-
 test-suite/observable.hpp  |  1 +
 3 files changed, 20 insertions(+), 3 deletions(-)

commit a9bd208abeb1fd7debf39656deb225f3b61133c0
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sat, 28 Nov 2020 23:02:11 +0800

    Switching tests to use a fixed day, further tightening MC error bounds

 test-suite/forwardoption.cpp | 25 ++++++++++---------------
 1 file changed, 10 insertions(+), 15 deletions(-)

commit 176cce273c92d96c13ecd0312e4d9b2418b5865e
Merge: 60afa3527 d4f1dbe5b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sat, 28 Nov 2020 14:20:54 +0100

    Merge pull request #945.
    
    Update Japan calendar

commit d4f1dbe5b87120be9924485b33b4c4930a7e5b74
Author: tani3010 <tani3010@gmail.com>
Date:   Fri, 27 Nov 2020 22:38:04 -0500

    update Japan calender
    
    Signed-off-by: tani3010 <tani3010@gmail.com>

 ql/time/calendars/japan.cpp | 14 ++++++++++----
 1 file changed, 10 insertions(+), 4 deletions(-)

commit 94be39583135894348fd73b2bb094ec6c585370c
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 24 Nov 2020 09:52:30 +0800

    Tightening tolerance, adding some paths, putting seed back into the rng
    
    I hadn't realised that even LD prices have some randomness if the seed is removed, which caused occasional failuers.

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

commit 45e86da3bb9a3aa16b254636e582a6a95744854a
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 24 Nov 2020 09:02:21 +0800

    Making constructor explicit (codacy req)

 ql/experimental/forward/analytichestonforwardeuropeanengine.hpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 32212e23e3d0fd8df23e152a211435ccb0de4e8f
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 24 Nov 2020 08:39:37 +0800

    Fixing codility, tidying, and reducing tolerance on MC prices slightly (due to low number of paths)

 ql/experimental/forward/analytichestonforwardeuropeanengine.cpp | 4 ++--
 ql/experimental/forward/analytichestonforwardeuropeanengine.hpp | 8 +++-----
 test-suite/forwardoption.cpp                                    | 6 ++----
 3 files changed, 7 insertions(+), 11 deletions(-)

commit 280fb86c81ee94fdfa54eabd474778efc58c0bf6
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 24 Nov 2020 00:29:38 +0800

    Passing through unused parameter to the internal AnalyticHestonEngines

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

commit 2fb7af46ee53b91f2a9ebd4aae6a08369e8a0020
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 24 Nov 2020 00:18:25 +0800

    Fixing parameter ordering in constructor

 .../analytichestonforwardeuropeanengine.cpp        |  6 ++--
 .../analytichestonforwardeuropeanengine.hpp        | 37 ++++++++++------------
 2 files changed, 20 insertions(+), 23 deletions(-)

commit 03f3bd811cc8d7d4c549d7df949b48eb5f6ac377
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Mon, 23 Nov 2020 23:59:07 +0800

    Adding an experimental analytic pricer for forward-start european options in Heston model

 QuantLib.vcxproj                                   |   3 +
 QuantLib.vcxproj.filters                           |   9 +
 configure.ac                                       |   1 +
 ql/CMakeLists.txt                                  |   2 +
 ql/experimental/Makefile.am                        |   3 +-
 ql/experimental/all.hpp                            |   1 +
 ql/experimental/forward/Makefile.am                |  45 ++++
 ql/experimental/forward/all.hpp                    |   5 +
 .../analytichestonforwardeuropeanengine.cpp        | 274 ++++++++++++++++++++
 .../analytichestonforwardeuropeanengine.hpp        | 124 +++++++++
 test-suite/forwardoption.cpp                       | 283 ++++++++++++++-------
 test-suite/forwardoption.hpp                       |   1 +
 12 files changed, 658 insertions(+), 93 deletions(-)

commit 60afa352713bac2b759332686ed3070d357cfde8
Merge: a6ad9cfd0 510d56023
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 20 Nov 2020 11:54:44 +0100

    Merge pull request #942.
    
    Enhance Amortizing fixed rate bond class to accept InterestRate object

commit a6ad9cfd0419904cd4de31983524b0859a45588c
Merge: b0541407a c7bce9bf9
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 20 Nov 2020 09:28:13 +0100

    Merge pull request #941.
    
    Adding an MC engine for Arithmetic Asians in Heston model

commit b0541407a593a798b2b9f436c0e5a8656e423dbe
Merge: 88ac25871 a74f204ac
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 20 Nov 2020 09:23:30 +0100

    Merge pull request #938.
    
    CDS date generation using CDS and CDS2015 rules

commit a74f204ac662e3e7ecfd73d7e3e0971b4dff1a8c
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Thu, 19 Nov 2020 23:42:42 +0000

    Move the cdsMaturity function to CDS instrument file.

 ql/instruments/creditdefaultswap.cpp | 30 ++++++++++++++++++++
 ql/instruments/creditdefaultswap.hpp | 14 +++++++++
 ql/time/schedule.cpp                 | 55 +++++++++---------------------------
 ql/time/schedule.hpp                 | 16 ++---------
 test-suite/schedule.cpp              |  1 +
 5 files changed, 61 insertions(+), 55 deletions(-)

commit 510d560230438f5bfb0c54dda2f806ea0b2da628
Author: Piter Dias <piter.dias@piterdias.com>
Date:   Thu, 19 Nov 2020 17:27:37 -0300

    Trying to clean-up compiling errors on Mac, gcc4, gcc5 and C++03 mode.

 test-suite/amortizingbond.cpp | 4 +++-
 1 file changed, 3 insertions(+), 1 deletion(-)

commit d03c676c6800394d97a82aab45c8867cab96dd32
Author: Piter Dias <piter.dias@piterdias.com>
Date:   Thu, 19 Nov 2020 16:55:35 -0300

    Fixes an error introduced during code clean-up

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

commit 0afe9b8ae1aabde1f4bcf71f261c4c2318520759
Author: Piter Dias <piter.dias@piterdias.com>
Date:   Thu, 19 Nov 2020 16:43:42 -0300

    Clean-up - Changed std::vector<Real> to Real inside testBrazilianAmortizingFixedRateBond

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

commit 1604f6b1e9b3bdf2917b506dab84cd38e864820d
Author: Piter Dias <piter.dias@piterdias.com>
Date:   Thu, 19 Nov 2020 16:26:45 -0300

    Remove unused faceAmount variable

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

commit 56fb947da5cad97c40ef99df6a32a3ffc4317533
Author: Piter Dias <piter.dias@piterdias.com>
Date:   Thu, 19 Nov 2020 15:56:27 -0300

    Fixes compiling errors and some identation.

 test-suite/amortizingbond.cpp | 21 +++++++++++----------
 1 file changed, 11 insertions(+), 10 deletions(-)

commit ee671dd03c0fd0dafc9bf879e0dd3157965ab6e0
Author: Piter Dias <piter.dias@piterdias.com>
Date:   Thu, 19 Nov 2020 15:06:17 -0300

    Add a Brazilian corporate bond (ISIN code BRRISFDBS005) to the amortizing bonds test

 test-suite/amortizingbond.cpp | 129 ++++++++++++++++++++++++++++++++++++++++--
 test-suite/amortizingbond.hpp |   1 +
 2 files changed, 126 insertions(+), 4 deletions(-)

commit c7bce9bf975ee2bb19c1c0190478e0549cb6c08c
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Thu, 19 Nov 2020 20:50:50 +0800

    Opportunistically removing some whitespace

 .../asian/mc_discr_arith_av_price_heston.hpp       | 27 ++++------------------
 1 file changed, 5 insertions(+), 22 deletions(-)

commit 0fd3d16176b2042605773094bdc2020fec33119b
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Thu, 19 Nov 2020 13:06:55 +0800

    Adding an MC engine for Arithmetic Asians in Heston model

 QuantLib.vcxproj                                   |   2 +
 QuantLib.vcxproj.filters                           |   6 +
 ql/CMakeLists.txt                                  |   2 +
 ql/pricingengines/asian/Makefile.am                |   2 +
 ql/pricingengines/asian/all.hpp                    |   1 +
 .../asian/mc_discr_arith_av_price_heston.cpp       |  53 +++++
 .../asian/mc_discr_arith_av_price_heston.hpp       | 226 +++++++++++++++++++++
 test-suite/asianoptions.cpp                        |  92 +++++++++
 test-suite/asianoptions.hpp                        |   1 +
 9 files changed, 385 insertions(+)

commit 88ac25871e6f77d8ab7de5ef0de47961571dc2b6
Merge: 8fbd9340f e699f0e7b
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 18 Nov 2020 23:24:56 +0100

    Merge pull request #935.
    
    Templating Asian pricing engines on their process type

commit 484cce04e5d0218e25f02f312775df1d6813051b
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Wed, 18 Nov 2020 21:50:05 +0000

    Change upfront and rebate to SimpleCashFlow.

 ql/instruments/creditdefaultswap.cpp |  6 +++++-
 ql/instruments/creditdefaultswap.hpp | 13 +++++++------
 2 files changed, 12 insertions(+), 7 deletions(-)

commit ba88406aa0b1d86923829da63774a6ad5526fb00
Author: Piter Dias <piter.dias@piterdias.com>
Date:   Wed, 18 Nov 2020 14:15:08 -0300

    Add a new constructor to AmortizingFixedRateBond that accepts a vector of InterestRate objects as coupons. The main use cases are Brazilian corporate bonds whose coupons usually are annually compounded following Business252 day counter.

 .../amortizingbonds/amortizingfixedratebond.cpp    | 34 ++++++++++++++++++++++
 .../amortizingbonds/amortizingfixedratebond.hpp    | 12 ++++++++
 2 files changed, 46 insertions(+)

commit fee59af82964070f596edc28b4284133d186e750
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Wed, 18 Nov 2020 17:03:38 +0000

    The documentation was in the wrong place i.e. outside class declaration.

 .../credit/defaultprobabilityhelpers.hpp           | 61 ++++++++++++----------
 1 file changed, 33 insertions(+), 28 deletions(-)

commit e699f0e7bc0a6a4785f5b01841b417f2cb8719dd
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 18 Nov 2020 17:33:47 +0100

    Update VC++ projects.

 QuantLib.vcxproj         | 1 +
 QuantLib.vcxproj.filters | 3 +++
 ql/CMakeLists.txt        | 1 +
 3 files changed, 5 insertions(+)

commit cc62729f063c16b7d06ed10c8841e4b6cc2305b1
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 18 Nov 2020 17:30:38 +0100

    Inherit old MC Asian base engine from new one.

 ql/pricingengines/asian/mcdiscreteasianengine.hpp | 140 +++-------------------
 1 file changed, 14 insertions(+), 126 deletions(-)

commit 6ad3d06e53e0ede0c44346fe56fb3925681b67a3
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Wed, 18 Nov 2020 15:17:20 +0000

    In some cases, schedule may not have a rule so check.

 ql/instruments/creditdefaultswap.cpp | 15 ++++++++++-----
 1 file changed, 10 insertions(+), 5 deletions(-)

commit 24ca459a12bfd409436343eb1bffb66d38ddf4fb
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Wed, 18 Nov 2020 11:27:01 +0000

    Meant to comment these tests back in.

 test-suite/creditdefaultswap.cpp | 10 +++++-----
 1 file changed, 5 insertions(+), 5 deletions(-)

commit e38324739c6ccc1d7c6f28fb9fed1a0d7a3f6bd4
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Wed, 18 Nov 2020 18:05:41 +0800

    Support backwards compatibility

 ql/pricingengines/asian/Makefile.am                |   3 +-
 ql/pricingengines/asian/all.hpp                    |   1 +
 .../asian/mc_discr_arith_av_price.hpp              |  25 +--
 .../asian/mc_discr_arith_av_strike.hpp             |  27 +--
 ql/pricingengines/asian/mc_discr_geom_av_price.hpp |  27 +--
 ql/pricingengines/asian/mcdiscreteasianengine.hpp  |  63 ++++---
 .../asian/mcdiscreteasianenginebase.hpp            | 187 +++++++++++++++++++++
 7 files changed, 261 insertions(+), 72 deletions(-)

commit 0507a822b0c3e2a7673af9b53a5cc10135148d63
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Wed, 18 Nov 2020 00:07:35 +0000

    Don't need this include.

 ql/time/schedule.hpp | 1 -
 1 file changed, 1 deletion(-)

commit f8f1224c332c264bc7666090e0585133621d5b02
Merge: aff9830b7 9b0c3d4e2
Author: Francis Duffy <francisduffy@users.noreply.github.com>
Date:   Tue, 17 Nov 2020 23:50:19 +0000

    Merge pull request #3 from francisduffy/clang-tidy-fixes-refs/heads/issue_727_cds_date_generation
    
    Automated fixes by clang-tidy

commit aff9830b72a25247b9b71123fe0e38c9d3fd71c7
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Tue, 17 Nov 2020 23:42:04 +0000

    GH-727 Don't want the clang-tidy proposed fix here.

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

commit af7922f61c1831a3834553eb2d81c68ec29fa39a
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Tue, 17 Nov 2020 23:26:22 +0000

    GH-727 Forgot to change it here too.

 test-suite/schedule.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit b5792c2539ba4f1a8b1b626396b67e24b7bdf1fd
Author: github-actions[bot] <41898282+github-actions[bot]@users.noreply.github.com>
Date:   Tue, 17 Nov 2020 23:17:34 +0000

    Automated fixes by clang-tidy

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

commit 40676c4c702e68a19561e60f7c200f02bdb9d63f
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Tue, 17 Nov 2020 21:37:54 +0000

    GH-727 And another fix.

 test-suite/schedule.cpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit a0cec8c5ff10123a7efd534ee319cfbca13cb520
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Tue, 17 Nov 2020 21:20:30 +0000

    GH-727 Forgot this one.

 ql/termstructures/credit/defaultprobabilityhelpers.cpp | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

commit 7318c621d5914690fd00ab64b6e61c8eeb47a4bd
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Tue, 17 Nov 2020 21:08:09 +0000

    GH-727 Forgot the limitation on boost::make_shared with more than 9 parameters.

 ql/instruments/makecds.cpp                             | 4 ++--
 ql/termstructures/credit/defaultprobabilityhelpers.cpp | 4 ++--
 2 files changed, 4 insertions(+), 4 deletions(-)

commit f68219e53d9be10cb373367184a965a87a2a2f12
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Tue, 17 Nov 2020 20:49:32 +0000

    GH-727 Upfront and accrual rebate are always paid.
    
    The upfront and accrual rebate are paid regardless of whether there is a
    credit event between trade date and cash settlement date so removed the
    survival probability component from the NPV calculation here.

 ql/pricingengines/credit/integralcdsengine.cpp | 41 ++++++++------------------
 ql/pricingengines/credit/midpointcdsengine.cpp | 39 +++++++-----------------
 2 files changed, 22 insertions(+), 58 deletions(-)

commit b7fcb84d317e29b2e23af68f18d80dd0bccd8dbd
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Tue, 17 Nov 2020 20:28:08 +0000

    GH-727 Minor updates to CDS helpers.
    
    - Update to ctor documentation, particularly settlementDays should
      typically be 0 after CDS Big Bang for correct treatment.
    - Use cdsMaturity function if rule is a CDS rule to generate helper end
      date.
    - Don't need to call CdsHelper::initializeDates() from
      UpfrontCdsHelper::initializeDates()

 .../credit/defaultprobabilityhelpers.cpp           | 41 +++++++++++-----------
 .../credit/defaultprobabilityhelpers.hpp           | 38 ++++++++++++++------
 test-suite/defaultprobabilitycurves.cpp            |  6 ++--
 3 files changed, 51 insertions(+), 34 deletions(-)

commit 8fbd9340f44115e90c93a7618eecdb609e227dd6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 17 Nov 2020 18:45:14 +0100

    Upgrade create-pull-request action.

 .github/workflows/copyrights.yml | 3 ++-
 .github/workflows/misspell.yml   | 3 ++-
 .github/workflows/tidy.yml       | 3 ++-
 3 files changed, 6 insertions(+), 3 deletions(-)

commit 535ad59f7795345fe63cd492863dca5d466f64d8
Merge: a2fb7df91 4e6de2244
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 17 Nov 2020 18:08:55 +0100

    Merge pull request #934.
    
    Adding BS and Heston MC pricers for strike-resetting forward start options

commit d12831543b20d7255c4e5c33a483f5126401f2fb
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Tue, 17 Nov 2020 15:58:41 +0000

    GH-727 Update CDS instrument.
    
    Allow for specification of trade date and cash settlement days. There
    was a built in assumption that if protection start was not given, it was
    equal to the first date in the schedule. There was also an assumption
    that cash settlement was 3 BD after protection start - 1D. This doesn't
    really work after CDS Big Bang. The protection start is the trade date
    itself, i.e. not T + 1 as it was before 2009.
    
    The accrual rebate calculation needed to be corrected to be in line with
    the ISDA docs. A unit test has been added to check this.
    
    The code in the old 'if (rebatesAccrual) {}' block leads in some
    scenarios to reads beyond the end of the leg vector and a crash.

 ql/instruments/creditdefaultswap.cpp | 167 ++++++++++++++++++++---------------
 ql/instruments/creditdefaultswap.hpp |  54 +++++++----
 ql/instruments/makecds.cpp           |  51 ++++++++---
 ql/instruments/makecds.hpp           |  19 ++--
 test-suite/creditdefaultswap.cpp     |  42 +++++++++
 test-suite/creditdefaultswap.hpp     |   1 +
 6 files changed, 225 insertions(+), 109 deletions(-)

commit 38d664d45b37401bc7c5d054b0f5eaa2c084ee3e
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Tue, 17 Nov 2020 14:40:55 +0000

    GH-727 Update CDS schedule generation.
    
    If the first coupon period would exclude the unadjusted effective date,
    include the prior period. Only applies to CDS and CDS2015. This covers
    trade dates on Sat or Sun for example and leaves the period from the
    previous coupon payment date to the following Monday in the schedule.
    There are tests added to show this. CDS and CDS2015 periods are always
    regular.

 ql/time/schedule.cpp    |  9 ++++--
 test-suite/schedule.cpp | 74 +++++++++++++++++++++++++++++++++++++------------
 2 files changed, 63 insertions(+), 20 deletions(-)

commit 4e6de22449e0632d268d6703687bbe78852133bb
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 17 Nov 2020 21:30:10 +0800

    Removing brownianBridging for the Heston MC forward option pricer

 .../forward/mcforwardeuropeanhestonengine.hpp            | 16 ++--------------
 1 file changed, 2 insertions(+), 14 deletions(-)

commit 83f2bfb3766542c2ed8b60102604840c88b4476b
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Tue, 17 Nov 2020 20:46:39 +0800

    Also templating the base class to StochasticProcess instead of GBS Process

 .../asian/mc_discr_arith_av_price.hpp              | 25 ++++++++++++++++------
 .../asian/mc_discr_arith_av_strike.hpp             |  8 +++++--
 ql/pricingengines/asian/mc_discr_geom_av_price.hpp |  8 +++++--
 ql/pricingengines/asian/mcdiscreteasianengine.hpp  | 13 +++++------
 4 files changed, 35 insertions(+), 19 deletions(-)

commit 2261094d321d9ebc555240214349d8818c625d9b
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Mon, 16 Nov 2020 23:18:29 +0000

    Forgot about the pre C++11 parsing issue.

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

commit 72c606423e139b24c6b573341fbdea6661ec056e
Author: francis <francis.duffy@quaternionrisk.com>
Date:   Mon, 16 Nov 2020 14:58:47 +0000

    CDS schedule generation changes and tests for issue #727.
    
    The main addition is a function cdsMaturity(...) that can be used to
    derive a CDS maturity date given a trade date, a valid CDS tenor and a
    valid CDS date generation rule. The date generation is tested against
    the dates provided in the ISDA documentation for CDS2015. It is also
    tested for CDS and OldCDS. The logic for the 0M tenor is added for the
    CDS and CDS2015 rules.

 ql/time/schedule.cpp    |  44 ++--
 ql/time/schedule.hpp    |  14 ++
 test-suite/schedule.cpp | 555 +++++++++++++++++++++++++++++++++++++++++++++---
 test-suite/schedule.hpp |   7 +
 4 files changed, 573 insertions(+), 47 deletions(-)

commit 81fe09a7abb247ee872ef58e83e6c78c6897dfe5
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Mon, 16 Nov 2020 18:18:15 +0800

    Templating asian pricing engines on their process type

 .../asian/mc_discr_arith_av_price.hpp              | 26 +++++++++---------
 .../asian/mc_discr_arith_av_strike.hpp             | 26 +++++++++---------
 ql/pricingengines/asian/mc_discr_geom_av_price.hpp | 26 +++++++++---------
 ql/pricingengines/asian/mcdiscreteasianengine.hpp  | 32 +++++++++++-----------
 4 files changed, 55 insertions(+), 55 deletions(-)

commit f0912eb5affb7b27f5a903897a0c2d475994ad6a
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Mon, 16 Nov 2020 09:41:56 +0800

    Removing control variate machinery for forward start mc pricers for now

 .../forward/mcforwardeuropeanbsengine.hpp          |  1 -
 .../forward/mcforwardeuropeanhestonengine.hpp      |  1 -
 .../forward/mcforwardvanillaengine.hpp             | 28 +---------------------
 3 files changed, 1 insertion(+), 29 deletions(-)

commit 0e0b614befe7f243a50c5f2cc4bffb2960edd7aa
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Sun, 15 Nov 2020 22:13:22 +0100

    Update VC++ project

 QuantLib.vcxproj         |  5 +++++
 QuantLib.vcxproj.filters | 15 +++++++++++++++
 2 files changed, 20 insertions(+)

commit 716b742251aaa8e0898c27f63454dcbb6c543d53
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Mon, 16 Nov 2020 00:52:54 +0800

    Make factory constructors explicit (codacy requirement)

 ql/pricingengines/forward/mcforwardeuropeanbsengine.hpp     | 2 +-
 ql/pricingengines/forward/mcforwardeuropeanhestonengine.hpp | 3 +--
 2 files changed, 2 insertions(+), 3 deletions(-)

commit c5fe64edbc43737cee937ba3bea014b4ada548c9
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sun, 15 Nov 2020 23:53:45 +0800

    Rogue tabs -> spaces, clearing up a warning that broke some automated tests

 .../forward/mcforwardeuropeanbsengine.hpp          | 14 ++++++-------
 .../forward/mcforwardeuropeanhestonengine.hpp      | 24 +++++++++++-----------
 .../forward/mcforwardvanillaengine.hpp             |  8 ++++----
 3 files changed, 23 insertions(+), 23 deletions(-)

commit ac631f40637d4122231157677456327fea606024
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Sun, 15 Nov 2020 23:34:23 +0800

    Adding BS and Heston MC pricers for strike-resetting forward start options

 ql/CMakeLists.txt                                  |   5 +
 ql/pricingengines/Makefile.am                      |   1 +
 ql/pricingengines/forward/Makefile.am              |  31 ++-
 ql/pricingengines/forward/all.hpp                  |   3 +
 .../forward/mcforwardeuropeanbsengine.cpp          |  43 ++++
 .../forward/mcforwardeuropeanbsengine.hpp          | 259 ++++++++++++++++++++
 .../forward/mcforwardeuropeanhestonengine.cpp      |  44 ++++
 .../forward/mcforwardeuropeanhestonengine.hpp      | 263 +++++++++++++++++++++
 .../forward/mcforwardvanillaengine.hpp             | 171 ++++++++++++++
 test-suite/forwardoption.cpp                       | 205 ++++++++++++++++
 test-suite/forwardoption.hpp                       |   2 +
 11 files changed, 1026 insertions(+), 1 deletion(-)

commit a2fb7df9108115e09fac7c953acbc4383629f257
Merge: f76fbecf4 8d1e75a04
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 11 Nov 2020 09:13:55 +0100

    Merge pull request #931.
    
    Adding AtmSpot calculation to the BlackDeltaCalculator

commit 8d1e75a04707e36d62938b654fc64d7f8c1693ee
Author: jackgillett101 <jack.gillett@cantab.net>
Date:   Wed, 11 Nov 2020 09:13:35 +0800

    Adding AtmSpot calculation to the BlackDeltaCalculator

 ql/experimental/fx/blackdeltacalculator.cpp | 4 ++++
 1 file changed, 4 insertions(+)

commit f76fbecf4f750d34dc24a6bad705cc71377d29e2
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 4 Nov 2020 22:48:21 +0100

    Avoid false positive from clang-tidy

 ql/termstructures/yield/ultimateforwardtermstructure.hpp | 3 ++-
 1 file changed, 2 insertions(+), 1 deletion(-)

commit d439cde8520a62cc8e431a9099eaa7148c3fb120
Merge: 54b98d254 35054a8f4
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 4 Nov 2020 20:48:02 +0100

    Merge pull request #919.
    
    Regulatory curve for pension funds

commit 54b98d254383b42fd347c8c88c5a62977317f343
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 3 Nov 2020 16:57:30 +0100

    Use ccache in Mac OS build

 .github/workflows/macos.yml | 16 +++++++++++++---
 1 file changed, 13 insertions(+), 3 deletions(-)

commit 35054a8f463b609b72de677fe4946808ae6ec0ec
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 3 Nov 2020 15:59:40 +0100

    Update CMakeLists

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

commit 82518071bbd1023f6f1625adac3edd123b263f1a
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Tue, 3 Nov 2020 15:57:57 +0100

    Reset executable bit for sources.

 QuantLib.vcxproj                                         | 0
 QuantLib.vcxproj.filters                                 | 0
 ql/termstructures/yield/ultimateforwardtermstructure.hpp | 0
 test-suite/Makefile.am                                   | 0
 test-suite/quantlibtestsuite.cpp                         | 0
 test-suite/testsuite.vcxproj                             | 0
 test-suite/testsuite.vcxproj.filters                     | 0
 test-suite/ultimateforwardtermstructure.cpp              | 0
 test-suite/ultimateforwardtermstructure.hpp              | 0
 9 files changed, 0 insertions(+), 0 deletions(-)

commit a3f388f1a0447a7e31f7642e6a0b40a1b23503c6
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 2 Nov 2020 17:17:58 +0100

    Test linux build on GitHub actions.

 .github/workflows/linux.yml | 178 +++++++++++++++++++++
 .travis.yml                 | 381 --------------------------------------------
 README.md                   |   8 +-
 3 files changed, 182 insertions(+), 385 deletions(-)

commit 8938b774e952c89caeb44c61a6c05f6f9f2acfd8
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 30 Oct 2020 09:12:54 +0100

    Reduce number of test configurations on Travis.

 .travis.yml | 119 ++----------------------------------------------------------
 1 file changed, 3 insertions(+), 116 deletions(-)

commit cbf2acd16a1f402ff29ede485f9b58bd2b383f74
Merge: 2daf3f828 3af062727
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Fri, 30 Oct 2020 09:56:18 +0100

    Merge pull request #909.
    
    make the check_header.py work in both python 2/3

commit 2daf3f828c9332994280cfd8d10605c359112622
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Thu, 29 Oct 2020 14:26:26 +0100

    Use GitHub Container Registry for Travis build.

 .travis.yml | 126 ++++++++++++++++++++++++++++++------------------------------
 1 file changed, 63 insertions(+), 63 deletions(-)

commit e26f3fc3680b3df6cafe857b87c78657c7d3519e
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 28 Oct 2020 17:29:31 +0100

    Update build matrix for Travis CI.

 .travis.yml | 27 ++++++++++++++++++++++++---
 1 file changed, 24 insertions(+), 3 deletions(-)

commit acd0135a3b49cf04a15dc31f0ee2fec9de35f90c
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Wed, 28 Oct 2020 21:29:09 +0100

    Avoid warning from Boost 1.74 on Mac OS X.

 ql/experimental/catbonds/catrisk.hpp | 7 +++++++
 1 file changed, 7 insertions(+)

commit 9629ff0f5520148ff8a27963a70538bb46519dec
Author: Luigi Ballabio <luigi.ballabio@gmail.com>
Date:   Mon, 26 Oct 2020 10:59:24 +0100

    Update version to 1.21-dev

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

commit 5d102f135eaeaeedbd74958a81aa81f9bd6b3e7b
Author: Marcin <mrybacki12@gmail.com>
Date:   Wed, 14 Oct 2020 10:05:16 +0200

    Last renaming to avoid duplicate names.

 test-suite/ultimateforwardtermstructure.cpp | 20 +++++++++++---------
 1 file changed, 11 insertions(+), 9 deletions(-)

commit 7fd0c82819d12cc1b241ce3412cb766311ac4f85
Author: Marcin <mrybacki12@gmail.com>
Date:   Wed, 14 Oct 2020 09:56:38 +0200

    Found and removed redundant code.

 test-suite/ultimateforwardtermstructure.cpp | 4 ----
 1 file changed, 4 deletions(-)

commit 44fbf4b73e3a85ee564cfdaf01daede26ec8f546
Author: Marcin <mrybacki12@gmail.com>
Date:   Tue, 13 Oct 2020 22:45:44 +0200

    Adjusted inspectors test.

 test-suite/ultimateforwardtermstructure.cpp | 8 ++++----
 1 file changed, 4 insertions(+), 4 deletions(-)

commit 2eeca623775c4c053314504794fb9562ec4389f9
Author: Marcin <mrybacki12@gmail.com>
Date:   Tue, 13 Oct 2020 22:42:53 +0200

    Remove maxTime() from class definition.

 ql/termstructures/yield/ultimateforwardtermstructure.hpp | 1 -
 1 file changed, 1 deletion(-)

commit 7385304d5b5e4143479b7820918aabeb10ebf8ad
Author: Marcin <mrybacki12@gmail.com>
Date:   Tue, 13 Oct 2020 22:38:56 +0200

    Renamed to ultimateforwardtermstructure.

 QuantLib.vcxproj                                       |  2 +-
 QuantLib.vcxproj.filters                               |  2 +-
 ql/termstructures/yield/Makefile.am                    |  2 +-
 ql/termstructures/yield/all.hpp                        |  2 +-
 ...mstructure.hpp => ultimateforwardtermstructure.hpp} |  8 ++++----
 test-suite/CMakeLists.txt                              |  2 +-
 test-suite/Makefile.am                                 |  4 ++--
 test-suite/quantlibtestsuite.cpp                       |  2 +-
 test-suite/testsuite.vcxproj                           |  4 ++--
 test-suite/testsuite.vcxproj.filters                   |  4 ++--
 ...mstructure.cpp => ultimateforwardtermstructure.cpp} | 18 +++++++++---------
 ...mstructure.hpp => ultimateforwardtermstructure.hpp} |  4 ++--
 12 files changed, 27 insertions(+), 27 deletions(-)

commit a2eb2e3790e4ce0af04fdd2e8436ff87dbfd5100
Author: Marcin <mrybacki12@gmail.com>
Date:   Tue, 13 Oct 2020 22:12:57 +0200

    Changed max date method and removed max time method.

 ql/termstructures/yield/regulatorytermstructure.hpp | 4 +---
 1 file changed, 1 insertion(+), 3 deletions(-)

commit aff108edd95b6a11327a6a7c6cae02c16b8fc7d7
Author: Marcin <mrybacki12@gmail.com>
Date:   Tue, 13 Oct 2020 22:04:32 +0200

    Changed type of First Smoothing Point to Period.

 .../yield/regulatorytermstructure.hpp              | 16 ++---
 test-suite/regulatorytermstructure.cpp             | 69 +++++++++++-----------
 2 files changed, 44 insertions(+), 41 deletions(-)

commit c457c4374ba9829cdcca8bd9ebb9b0e107618f43
Author: Marcin <mrybacki12@gmail.com>
Date:   Tue, 13 Oct 2020 12:43:12 +0200

    Fix build.

 test-suite/CMakeLists.txt              |  1 +
 test-suite/regulatorytermstructure.cpp | 19 ++++++-------------
 2 files changed, 7 insertions(+), 13 deletions(-)

commit 44dc9a3f7cdd3abefc4b491f33439e54ede9f65e
Author: Marcin <mrybacki12@gmail.com>
Date:   Tue, 13 Oct 2020 10:11:17 +0200

    Some more adjustments.

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

commit bdf79520177083b1ab2cf3176f601c78faec94e6
Author: Marcin <mrybacki12@gmail.com>
Date:   Tue, 13 Oct 2020 10:06:15 +0200

    Some more comments adjustments.

 test-suite/regulatorytermstructure.cpp | 15 +++++----------
 1 file changed, 5 insertions(+), 10 deletions(-)

commit 1913b17fc559906b7d7b7e72ebe54440bcde6e9c
Author: Marcin <mrybacki12@gmail.com>
Date:   Tue, 13 Oct 2020 10:03:36 +0200

    Added clarifying comment about forward extrapolation.

 ql/termstructures/yield/regulatorytermstructure.hpp | 15 +++++++++++++--
 1 file changed, 13 insertions(+), 2 deletions(-)

commit 43dd991968f1aec07c04fbd7a3ad829f2817b88d
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 12 Oct 2020 21:23:25 +0200

    Added test data reference.

 test-suite/regulatorytermstructure.cpp | 5 +++--
 1 file changed, 3 insertions(+), 2 deletions(-)

commit a498b346d10e0bf77060904fa6b0e010de3445cb
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 12 Oct 2020 20:13:03 +0200

    Adjusted inspectors' test.

 test-suite/regulatorytermstructure.cpp | 5 -----
 1 file changed, 5 deletions(-)

commit 6940a2cad869c3bce8591525e2650098e8aa258e
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 12 Oct 2020 20:07:58 +0200

    Adjusted error message precision.

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

commit c5a16a7d82fd613f94d4e94de36ce598e970689e
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 12 Oct 2020 19:55:48 +0200

    Adjusted error message precision.

 test-suite/regulatorytermstructure.cpp | 20 ++++++++++++--------
 1 file changed, 12 insertions(+), 8 deletions(-)

commit 91540c4ef86e9c54350d38f5d8488db9957c153d
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 12 Oct 2020 19:49:45 +0200

    Forgot to include the new test.

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

commit d9067e7d70e3cbddc6c8fd6bb9078dece62a2f4d
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 12 Oct 2020 19:46:21 +0200

    Added observability tests.

 test-suite/regulatorytermstructure.cpp | 42 ++++++++++++++++++++++++++++------
 test-suite/regulatorytermstructure.hpp |  1 +
 2 files changed, 36 insertions(+), 7 deletions(-)

commit 2cfb39ae69790c0fcd5b7afaa14d30faca85e268
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 12 Oct 2020 18:24:57 +0200

    Added some testing description.

 ql/termstructures/yield/regulatorytermstructure.hpp | 11 ++++++++++-
 1 file changed, 10 insertions(+), 1 deletion(-)

commit 3a7b738e3ed4be04de2885e7675c189e4a353972
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 12 Oct 2020 09:38:44 +0200

    Corrected a typo in the comments.

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

commit a96cbb9f2ac5b9d3db5a4302edccf5496f7c171e
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 16:37:08 +0200

    Maintain alphabetic order.

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

commit d09b8f54a851c65ad0f2506b53182896fc0fedeb
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 16:31:32 +0200

    Uncommented too much.

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

commit 1cef632a08c827716a9e4850943e73261aa02ca5
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 16:29:09 +0200

    Rolled back main test file.

 test-suite/quantlibtestsuite.cpp | 326 +++++++++++++++++++--------------------
 1 file changed, 163 insertions(+), 163 deletions(-)

commit 17b885f7c032cbe51118a1d0a68d313d8bc31a6f
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 16:28:05 +0200

    Added clarifying comments.

 test-suite/regulatorytermstructure.cpp | 13 +++++++++++--
 1 file changed, 11 insertions(+), 2 deletions(-)

commit 4fc9f80a1c795a8c6198acec28a4b69bedb703f9
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 16:15:56 +0200

    Consistent renaming in tests.

 ql/termstructures/yield/all.hpp        |  1 +
 test-suite/quantlibtestsuite.cpp       |  4 ++--
 test-suite/regulatorytermstructure.cpp | 34 +++++++++++++++++-----------------
 test-suite/regulatorytermstructure.hpp |  2 +-
 4 files changed, 21 insertions(+), 20 deletions(-)

commit 10ea5400389c2fbe74f7942fdaff2a633a56b8df
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 16:10:18 +0200

    Renamed to make the UFR name clearer.

 .../yield/regulatorytermstructure.hpp              | 43 ++++++++++++----------
 test-suite/regulatorytermstructure.cpp             | 32 ++++++++--------
 2 files changed, 40 insertions(+), 35 deletions(-)

commit 4ce19862d32f60cf1b2b34ca8dcd9167d17ad667
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 16:08:27 +0200

    Renamed to regulatory term structure.

 QuantLib.vcxproj                                                  | 2 +-
 QuantLib.vcxproj.filters                                          | 2 +-
 ql/termstructures/yield/Makefile.am                               | 1 +
 .../yield/{ufrtermstructure.hpp => regulatorytermstructure.hpp}   | 8 ++++----
 test-suite/Makefile.am                                            | 4 ++--
 test-suite/{ufrtermstructure.cpp => regulatorytermstructure.cpp}  | 4 ++--
 test-suite/{ufrtermstructure.hpp => regulatorytermstructure.hpp}  | 4 ++--
 test-suite/testsuite.vcxproj                                      | 4 ++--
 test-suite/testsuite.vcxproj.filters                              | 4 ++--
 9 files changed, 17 insertions(+), 16 deletions(-)

commit 067c1f2d8db010ae081564fb6af13eb79880cc56
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 15:53:05 +0200

    Added FSP check.

 ql/termstructures/yield/ufrtermstructure.hpp |  1 +
 test-suite/ufrtermstructure.cpp              | 25 +++++++++++++++++++++++++
 test-suite/ufrtermstructure.hpp              |  1 +
 3 files changed, 27 insertions(+)

commit 06e064293550e04ca97482f8474743f83a8d2ab1
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 15:42:36 +0200

    Fixed failing inspectors' test.

 test-suite/ufrtermstructure.cpp | 6 ------
 1 file changed, 6 deletions(-)

commit f2e3369891eb9cabb8a379b4d9351ba3b7a72b04
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 15:40:46 +0200

    Added inspectors' tests.

 test-suite/ufrtermstructure.cpp | 105 ++++++++++++++++++++++++++++++++++------
 test-suite/ufrtermstructure.hpp |   2 +
 2 files changed, 92 insertions(+), 15 deletions(-)

commit 49d9b179220e796af9ab18e9d9932d132dec7b30
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 15:24:33 +0200

    Added unit test for extrapolated forward.

 test-suite/ufrtermstructure.cpp | 70 +++++++++++++++++++++++++++++++++++------
 test-suite/ufrtermstructure.hpp |  3 +-
 2 files changed, 63 insertions(+), 10 deletions(-)

commit 273fab63aca7ee94cdf2a8a9fce5616e17f6ff01
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 14:55:41 +0200

    Replaced vector with raw arrays.]

 test-suite/ufrtermstructure.cpp | 100 ++++++++++++++--------------------------
 1 file changed, 34 insertions(+), 66 deletions(-)

commit 5b1dc47ce85c9825ad4588d62e10f7c453d7b8c0
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 11 Oct 2020 14:35:29 +0200

    Updated unit tests.

 ql/termstructures/yield/ufrtermstructure.hpp |  26 +--
 test-suite/quantlibtestsuite.cpp             | 321 ++++++++++++++-------------
 test-suite/ufrtermstructure.cpp              | 147 ++++++------
 3 files changed, 242 insertions(+), 252 deletions(-)

commit 26ae2c4030338555f87d8f9079434f89f21ffde4
Author: marcin-rybacki <mrybacki12@gmail.com>
Date:   Fri, 9 Oct 2020 22:33:02 +0200

    Updated vcxproj files.

 QuantLib.vcxproj                             |   1 +
 QuantLib.vcxproj.filters                     |   3 +
 ql/termstructures/yield/ufrtermstructure.hpp |   0
 test-suite/Makefile.am                       |   0
 test-suite/quantlibtestsuite.cpp             |   0
 test-suite/testsuite.vcxproj                 |   4 +-
 test-suite/testsuite.vcxproj.filters         |  14 +-
 test-suite/ufrtermstructure.cpp              | 424 +++++++++++++--------------
 test-suite/ufrtermstructure.hpp              |   0
 9 files changed, 229 insertions(+), 217 deletions(-)

commit 9e2674c1bb8da47f2d9cb53582c69c3cddf7df22
Author: Marcin <mrybacki12@gmail.com>
Date:   Thu, 1 Oct 2020 12:04:48 +0200

    Updated UFR unit tests.

 test-suite/ufrtermstructure.cpp | 173 +++++++++++++++++++++++-----------------
 1 file changed, 98 insertions(+), 75 deletions(-)

commit f283c34b7116cff42802930b172c964df2f330f0
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 28 Sep 2020 21:29:57 +0200

    Fixed zero yield impl.

 ql/termstructures/yield/ufrtermstructure.hpp | 32 ++++++++++++----------------
 1 file changed, 14 insertions(+), 18 deletions(-)

commit 71d4197652c8cd9a07bc9c5bd0f2d4b593b91a28
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 28 Sep 2020 14:45:23 +0200

    Added assertion to the UFR test.

 test-suite/ufrtermstructure.cpp | 44 ++++++++++++++++++++++++++++-------------
 1 file changed, 30 insertions(+), 14 deletions(-)

commit 9bb32a97565dca577407c9b30c5299200d7e4d13
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 28 Sep 2020 14:32:53 +0200

    Added first unit tests for the UFR term structure.

 ql/termstructures/yield/ufrtermstructure.hpp |   2 +-
 test-suite/Makefile.am                       |   2 +
 test-suite/quantlibtestsuite.cpp             |   1 +
 test-suite/ufrtermstructure.cpp              | 174 +++++++++++++++++++++++++++
 test-suite/ufrtermstructure.hpp              |  36 ++++++
 5 files changed, 214 insertions(+), 1 deletion(-)

commit 689c802dd6cdcb58714a4f3fef42183ee61e795c
Author: Marcin <mrybacki12@gmail.com>
Date:   Mon, 28 Sep 2020 12:19:35 +0200

    Changed UFR to be an extension of zero yield structure.

 ql/termstructures/yield/ufrtermstructure.hpp | 86 ++++++++++++++++++++++++++--
 1 file changed, 80 insertions(+), 6 deletions(-)

commit 95f047146d6e3a1def569bc0da114369b6ea7a2e
Author: Marcin <mrybacki12@gmail.com>
Date:   Sun, 27 Sep 2020 13:38:31 +0200

    Defined UFR term structure.

 ql/termstructures/yield/ufrtermstructure.hpp | 79 ++++++++++++++++++++++++++++
 1 file changed, 79 insertions(+)

commit 7239e1b1eb46a0d8d0bcf01cde8256bf63376665
Merge: 3c74e5e82 cfe192ccb
Author: Cheng Li <scrappedprince.li@gmail.com>
Date:   Sun, 27 Sep 2020 14:10:56 +0800

    Merge pull request #8 from lballabio/master
    
    FEATURE: update from upstream

commit 3af062727343c0c7a4cd9a8cd2e177106fba8e24
Author: Joseph C Wang <joequant@gmail.com>
Date:   Sun, 20 Sep 2020 18:13:04 +0800

    make the check_header.py work in both python 2/3

 tools/check_header.py | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)
