Add fixingDays parameter to applyStubInterpolation#333
Open
oszette wants to merge 14 commits intoOpenSourceRisk:masterfrom
Open
Add fixingDays parameter to applyStubInterpolation#333oszette wants to merge 14 commits intoOpenSourceRisk:masterfrom
oszette wants to merge 14 commits intoOpenSourceRisk:masterfrom
Conversation
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).
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
Sign up for free
to join this conversation on GitHub.
Already have an account?
Sign in to comment
4 participants
Add this suggestion to a batch that can be applied as a single commit.This suggestion is invalid because no changes were made to the code.Suggestions cannot be applied while the pull request is closed.Suggestions cannot be applied while viewing a subset of changes.Only one suggestion per line can be applied in a batch.Add this suggestion to a batch that can be applied as a single commit.Applying suggestions on deleted lines is not supported.You must change the existing code in this line in order to create a valid suggestion.Outdated suggestions cannot be applied.This suggestion has been applied or marked resolved.Suggestions cannot be applied from pending reviews.Suggestions cannot be applied on multi-line comments.Suggestions cannot be applied while the pull request is queued to merge.Suggestion cannot be applied right now. Please check back later.
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