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Add fixingDays parameter to applyStubInterpolation - #333
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merge master changes for libboost systems fix See merge request qs/ore!126
Merge v1.8.14.0 into 'master' Closes QPR-13622, QPR-13650, QPR-13598, QPR-13645, QPR-12983, QPR-13593, QPR-13632, QPR-13533, QPR-13630, QPR-13046, QPR-13619, QPR-12585, QPR-13605, QPR-13578, QPR-13127, QPR-13592, QPR-13375, QPR-13576, QPR-13473, QPR-13596, QPR-13415, QPR-9432, QPR-13185, QPR-13500, QPR-13585, QPR-12601, QPR-13579, QPR-13577, QPR-13570, QPR-13569, QPR-12106, QPR-13567, QPR-13526, QPR-12228, QPR-13557, QPR-13571, QPR-13498, QPR-13548, QPR-13478, QPR-13562, QPR-13564, QPR-12948, QPR-13529, QPR-12059, QPR-13545, QPR-13550, QPR-13547, QPR-13440, QPR-13353, QPR-13409, QPR-13525, QPR-13481, QPR-13502, QPR-13429, QPR-13517, QPR-12753, QPR-13400, QPR-13518, QPR-13510, QPR-13515, QPR-13093, QPR-13520, QPR-13476, QPR-13516, QPR-13486, QPR-13501, QPR-13487, QPR-13220, QPR-13399, QPR-13470, QPR-13484, QPR-12537, QPR-13485, QPR-12984, QPR-13456, QPR-13436, QPR-13219, QPR-13462, QPR-13395, QPR-13459, QPR-13091, QPR-13442, QPR-13113, QPR-13297, QPR-13416, QPR-12143, QPR-13428, QPR-13452, QPR-13435, QPR-13389, QPR-13404, QPR-13406, QPR-13418, QPR-13393, QPR-13354, QPR-13408, QPR-13410, QPR-13304, QPR-13402, QPR-13255, QPR-13254, QPR-13319, QPR-13370, QPR-13390, QPR-13307, QPR-13387, and QPR-13384 See merge request qs/ore-github!68
v1.8.14.1 into github Closes QPR-13714, QPR-13626, QPR-13657, QPR-13725, QPR-13744, QPR-13698, QPR-13745, QPR-12587, QPR-13699, QPR-13735, QPR-13711, QPR-13736, QPR-13728, QPR-13738, QPR-13651, QPR-13658, QPR-13668, QPR-13726, QPR-13337, QPR-13702, QPR-13659, QPR-13664, QPR-13666, QPR-12959, QPR-11556, QPR-13706, QPR-12825, QPR-13090, QPR-13614, QPR-13682, QPR-13298, QPR-13700, QPR-13691, QPR-13646, QPR-13486, QPR-13478, QPR-12830, QPR-13696, QPR-13697, QPR-13600, QPR-13674, QPR-13507, QPR-13085, QPR-13661, QPR-13662, QPR-13609, QPR-13466, QPR-10041, QPR-13667, QPR-13671, QPR-13665, QPR-13555, QPR-13625, QPR-13637, QPR-13660, QPR-13654, QPR-13622, QPR-13650, QPR-13598, QPR-13645, QPR-13611, QPR-12983, QPR-13593, QPR-13632, QPR-13533, QPR-13630, QPR-13046, QPR-13619, QPR-12585, QPR-13623, QPR-13624, QPR-13595, QPR-13605, QPR-13578, QPR-13127, QPR-13546, QPR-13592, QPR-13375, QPR-13576, QPR-13473, QPR-13596, QPR-13415, QPR-13602, QPR-9432, QPR-13500, QPR-13536, QPR-13585, QPR-13530, QPR-12601, QPR-13579, QPR-13577, QPR-13570, QPR-13544, QPR-13569, QPR-12106, QPR-13567, QPR-13526, QPR-12228, QPR-13557, QPR-13571, QPR-13440, QPR-13498, QPR-13548, QPR-13561, QPR-13562, QPR-13564, QPR-12948, QPR-13499, QPR-13529, QPR-12059, QPR-13545, QPR-13550, QPR-13353, QPR-13409, QPR-13528, QPR-13525, QPR-13481, QPR-13502, QPR-13524, QPR-13219, QPR-13429, QPR-13517, QPR-12753, QPR-13349, QPR-13400, QPR-13518, QPR-13510, QPR-12657, QPR-13167, QPR-13515, QPR-13093, QPR-13520, QPR-13476, QPR-13475, QPR-13516, QPR-13501, QPR-13513, QPR-13220, QPR-13487, QPR-13399, QPR-13470, QPR-13484, QPR-12537, QPR-13485, QPR-12984, QPR-11122, QPR-13456, QPR-13403, QPR-13436, QPR-13462, QPR-13395, QPR-13459, QPR-13472, QPR-13425, QPR-13458, QPR-13465, QPR-13091, QPR-13401, QPR-13442, QPR-13113, QPR-12369, QPR-13297, QPR-13416, QPR-12143, QPR-13428, QPR-13302, QPR-13445, QPR-13431, QPR-13414, QPR-13435, QPR-13439, QPR-13389, QPR-13404, QPR-13396, QPR-13419, QPR-13406, QPR-13418, QPR-13405, QPR-13393, QPR-13354, QPR-13397, QPR-13408, QPR-13410, QPR-13304, QPR-13402, QPR-13255, QPR-13254, QPR-13351, QPR-13319, QPR-13370, QPR-13390, QPR-13307, QPR-13387, QPR-13384, QPR-13352, QPR-11853, QPR-13367, QPR-13360, QPR-13332, QPR-13377, QPR-13378, QPR-13371, QPR-13369, QPR-12824, QPR-13366, QPR-13347, QPR-13355, QPR-13287, QPR-12758, QPR-13340, QPR-12637, QPR-13094, QPR-13336, QPR-12893, QPR-13324, QPR-13342, QPR-13316, QPR-13211, QPR-13331, QPR-13320, QPR-13283, QPR-13326, QPR-13279, QPR-13218, QPR-13322, QPR-13115, QPR-13303, QPR-13296, QPR-13315, QPR-13311, QPR-12468, QPR-13240, QPR-13210, QPR-13309, QPR-13308, QPR-13284, QPR-13207, QPR-13237, QPR-13282, QPR-13213, QPR-13230, QPR-12995, QPR-13226, QPR-13251, QPR-13088, QPR-13277, QPR-12562, QPR-13125, QPR-13171, QPR-13247, QPR-13174, QPR-13092, QPR-13199, QPR-13157, QPR-13201, QPR-13242, QPR-13227, QPR-13099, QPR-13234, QPR-12867, QPR-13189, QPR-13231, QPR-11539, QPR-13203, QPR-12551, QPR-13212, QPR-12978, QPR-13215, QPR-12602, QPR-13205, QPR-13204, QPR-13195, QPR-13209, QPR-13202, QPR-13192, QPR-13193, QPR-13187, QPR-12345, QPR-13200, QPR-13141, QPR-13191, QPR-13162, QPR-13183, QPR-12539, QPR-13173, QPR-13181, QPR-13176, QPR-13178, QPR-13117, QPR-12403, QPR-11660, QPR-13165, QPR-13153, QPR-13175, QPR-13105, QPR-13160, QPR-13156, QPR-12367, QPR-12827, QPR-13068, QPR-13152, QPR-13161, QPR-13154, QPR-13031, QPR-13140, QPR-13135, QPR-13124, QPR-13142, QPR-13130, QPR-13139, QPR-13083, QPR-13022, QPR-12919, QPR-12985, QPR-13086, QPR-13128, QPR-13034, QPR-13122, QPR-13126, QPR-13123, QPR-12894, QPR-12913, QPR-13120, QPR-13010, QPR-13110, QPR-9916, QPR-13111, QPR-13119, QPR-13058, QPR-13112, QPR-13118, QPR-13100, QPR-13116, QPR-13069, QPR-13107, QPR-13114, QPR-13096, QPR-13104, QPR-13106, QPR-13045, QPR-13098, QPR-13095, QPR-13103, QPR-13089, QPR-13033, QPR-13076, QPR-13061, QPR-13072, QPR-13084, QPR-13081, QPR-13078, QPR-13070, QPR-13059, QPR-13071, QPR-13073, QPR-13067, QPR-13052, QPR-12826, QPR-12625, QPR-13038, QPR-13065, QPR-13060, QPR-12960, QPR-10742, QPR-11751, QPR-13055, QPR-12980, QPR-13035, QPR-13020, QPR-12999, QPR-13021, QPR-13014, QPR-12694, QPR-13011, QPR-13004, QPR-12955, QPR-12907, QPR-12981, QPR-12997, QPR-13000, QPR-12982, QPR-12862, QPR-12998, QPR-12993, QPR-12962, QPR-12974, QPR-12957, QPR-12970, QPR-12977, QPR-12327, QPR-11459, QPR-12868, QPR-12929, QPR-12965, QPR-12953, QPR-12952, QPR-12947, QPR-12939, QPR-12945, QPR-12918, QPR-12933, QPR-12938, QPR-12752, QPR-12935, QPR-12821, QPR-12946, QPR-12944, QPR-12915, QPR-12662, QPR-12839, QPR-12858, QPR-12343, QPR-12835, QPR-12902, QPR-12912, QPR-12910, QPR-12888, QPR-12911, QPR-12755, QPR-12904, QPR-12847, QPR-12860, QPR-12909, QPR-12908, QPR-12905, QPR-12900, QPR-12552, QPR-12877, QPR-12865, QPR-12841, QPR-12769, QPR-12883, QPR-12706, QPR-12849, QPR-12852, QPR-12834, QPR-12863, QPR-12853, QPR-12687, QPR-12854, QPR-12799, QPR-12851, QPR-12819, QPR-12533, QPR-12844, QPR-12848, QPR-12801, QPR-12814, QPR-12788, QPR-12822, QPR-12672, QPR-12833, QPR-12823, QPR-12358, QPR-12668, QPR-12708, QPR-12748, QPR-12772, QPR-12658, QPR-12818, QPR-12817, QPR-12511, QPR-12608, QPR-12812, QPR-12811, QPR-12524, QPR-12802, QPR-12781, QPR-12792, QPR-12643, QPR-12791, QPR-12780, QPR-12793, QPR-12725, QPR-12764, QPR-12782, QPR-12762, QPR-12391, QPR-12774, QPR-12741, QPR-12719, QPR-12775, QPR-12431, QPR-12290, QPR-12666, QPR-12308, QPR-12104, QPR-12770, QPR-12768, QPR-12650, QPR-12624, QPR-12639, QPR-12678, QPR-12730, QPR-12731, QPR-12613, QPR-12737, QPR-12746, QPR-12756, QPR-12712, QPR-12722, QPR-12581, QPR-12716, QPR-12742, QPR-12729, QPR-12720, QPR-12686, QPR-12726, QPR-12707, QPR-12703, QPR-12699, QPR-12154, QPR-11578, QPR-12698, QPR-12646, QPR-12691, QPR-12683, QPR-12680, QPR-12676, QPR-12674, QPR-12656, QPR-12634, QPR-12212, QPR-12665, QPR-12443, QPR-12506, QPR-12481, QPR-12579, QPR-12652, QPR-12629, QPR-12568, QPR-12661, QPR-12633, QPR-12660, QPR-12622, QPR-12645, QPR-12638, QPR-12640, QPR-12631, QPR-12518, QPR-12480, QPR-12394, QPR-12073, QPR-12507, QPR-12610, QPR-12617, QPR-12242, QPR-11787, QPR-12620, QPR-12586, QPR-12609, QPR-12599, QPR-12550, QPR-12592, QPR-12517, QPR-12573, QPR-12593, QPR-12519, QPR-12590, QPR-12570, QPR-12520, QPR-12487, QPR-12456, QPR-12376, QPR-12526, QPR-12398, QPR-12493, QPR-12498, QPR-12482, QPR-12449, QPR-12386, QPR-12433, QPR-12419, QPR-12424, QPR-12414, QPR-12137, QPR-12302, QPR-12275, QPR-12349, QPR-12192, QPR-12337, QPR-12316, QPR-9859, QPR-11618, QPR-12297, QPR-12253, QPR-12281, QPR-12014, QPR-12028, QPR-12144, QPR-12201, QPR-12108, QPR-12156, QPR-12135, QPR-12027, QPR-11670, QPR-11732, QPR-11148, QPR-9728, QPR-10762, QPR-10702, QPR-11078, QPR-11060, QPR-11014, QPR-11037, QPR-10997, QPR-11047, QPR-11033, QPR-10523, QPR-11011, QPR-10930, QPR-10943, QPR-10928, QPR-9765, and QPR-10710 See merge request qs/ore-github!72
ore 1.8.15.0 Closes QPR-13138, QPR-13657, QPR-12587, QPR-13720, QPR-13799, QPR-13719, QPR-13789, QPR-13802, QPR-13776, QPR-13803, QPR-13768, QPR-13801, QPR-13793, QPR-13648, QPR-13656, QPR-13790, QPR-13786, QPR-13777, QPR-13312, QPR-13774, QPR-13781, QPR-13766, QPR-11988, QPR-13765, QPR-13726, QPR-13767, QPR-13703, QPR-11989, QPR-12830, QPR-13714, and QPR-13626 See merge request qs/ore-github!74
update submodule See merge request qs/ore-github!76
update the quantlib swig submodule See merge request qs/ore-github!77
QPR-13657 missing inline See merge request qs/ore-github!78
IborCoupon can be created without defining fixingDays, which will cause errors. To mitigate this, one solution is to be able to pass in fixingDays into applyStubInterpolation and use it if it is defined, if not you can try and retrieve it from the coupon (which still ofc can fail).
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Hi!
If you have created Ibor Coupons without specifying fixingDays, e.g. if you have specified fixing/reset schedule and created the leg through
makeNonStandardIborLeg(), and have stubs, then the current code wont work.One solution is to add fixingDays as a parameter to
applyStubInterpolation(), and send in what is returned on line 1406:Size fixingDays = floatData->fixingDays() == Null<Size>() ? index->fixingDays() : floatData->fixingDays();Let me know what you think.
//Oskar