quantlib 1.29

include/ql/auto_link.hpp

@@ -24,23 +24,6 @@
 #include <ql/version.hpp>
 #include <boost/config.hpp>
 
-// select toolset:
-#if (_MSC_VER >= 1920)
-#  define QL_LIB_TOOLSET "vc142"
-#elif (_MSC_VER >= 1910)
-#  define QL_LIB_TOOLSET "vc141"
-#elif (_MSC_VER >= 1900)
-#  define QL_LIB_TOOLSET "vc140"
-#elif (_MSC_VER >= 1800)
-#  define QL_LIB_TOOLSET "vc120"
-#elif (_MSC_VER >= 1700)
-#  define QL_LIB_TOOLSET "vc110"
-#elif (_MSC_VER >= 1600)
-#  define QL_LIB_TOOLSET "vc100"
-#else
-#  error "unsupported Microsoft compiler"
-#endif
-
 #ifdef _M_X64
 #  define QL_LIB_PLATFORM "-x64"
 #else
@@ -71,22 +54,11 @@
 #  endif
 #endif
 
-#define QL_LIB_NAME "QuantLib-" QL_LIB_TOOLSET QL_LIB_PLATFORM QL_LIB_THREAD_OPT QL_LIB_RT_OPT ".lib"
+#define QL_LIB_NAME "QuantLib" QL_LIB_PLATFORM QL_LIB_THREAD_OPT QL_LIB_RT_OPT ".lib"
 
 #pragma comment(lib, QL_LIB_NAME)
 #ifdef BOOST_LIB_DIAGNOSTIC
 #  pragma message("Will (need to) link to lib file: " QL_LIB_NAME)
 #endif
 
-/* Also, these Boost libraries might be needed */
-#if defined(QL_ENABLE_THREAD_SAFE_OBSERVER_PATTERN) || defined(QL_ENABLE_SINGLETON_THREAD_SAFE_INIT)
-#  define BOOST_LIB_NAME boost_system
-#  include <boost/config/auto_link.hpp>
-#  undef BOOST_LIB_NAME
-#  define BOOST_LIB_NAME boost_thread
-#  include <boost/config/auto_link.hpp>
-#  undef BOOST_LIB_NAME
-#endif
-
-
 #endif

include/ql/auto_ptr.hpp

@@ -17,20 +17,19 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-/*! \file auto_ptr.hpp
-    \brief Facilities to switch from auto_ptr to unique_ptr
-*/
-
 #ifndef quantlib_auto_ptr_hpp
 #define quantlib_auto_ptr_hpp
 
 #include <ql/qldefines.hpp>
 
-#if defined(QL_USE_STD_UNIQUE_PTR)
+#pragma message("Warning: the deprecated QL_UNIQUE_OR_AUTO_PTR macro is no longer used. Replace it with std::unique_ptr.")
+#pragma message("    For the time being, the QL_USE_STD_UNIQUE_PTR macro is set to 1.  However, do not check for it, since it will disappear in a future release.")
+#pragma message("    This file will also disappear in a future release; do not include it.")
+
+/*! \deprecated Use std::unique_ptr instead.
+                Deprecated in version 1.27
+*/
 #define QL_UNIQUE_OR_AUTO_PTR std::unique_ptr
-#else
-#define QL_UNIQUE_OR_AUTO_PTR std::auto_ptr
-#endif
 
 
 #endif

include/ql/cashflow.hpp

@@ -37,18 +37,17 @@ namespace QuantLib {
     */
     class CashFlow : public Event {
       public:
-        virtual ~CashFlow() {}
+        ~CashFlow() override = default;
         //! \name Event interface
         //@{
         //! \note This is inherited from the event class
-        virtual Date date() const = 0;
+        Date date() const override = 0;
         //! returns true if an event has already occurred before a date
         /*! overloads Event::hasOccurred in order to take
             Settings::includeTodaysCashflows in account
         */
-        bool hasOccurred(
-                    const Date& refDate = Date(),
-                    boost::optional<bool> includeRefDate = boost::none) const;
+        bool hasOccurred(const Date& refDate = Date(),
+                         boost::optional<bool> includeRefDate = boost::none) const override;
         //@}
         //! \name CashFlow interface
         //@{
@@ -58,14 +57,14 @@ namespace QuantLib {
         */
         virtual Real amount() const = 0;
         //! returns the date that the cash flow trades exCoupon
-        virtual Date exCouponDate() const {return Date();};
+        virtual Date exCouponDate() const { return {}; };
         //! returns true if the cashflow is trading ex-coupon on the refDate
         bool tradingExCoupon(const Date& refDate = Date()) const;
 
         //@}
         //! \name Visitability
         //@{
-        virtual void accept(AcyclicVisitor&);
+        void accept(AcyclicVisitor&) override;
         //@}
     };
 
@@ -74,8 +73,22 @@ namespace QuantLib {
 
     template <>
     struct earlier_than<CashFlow> {
+        /*! \deprecated Use `auto` or `decltype` instead.
+                        Deprecated in version 1.29.
+        */
+        QL_DEPRECATED
         typedef CashFlow first_argument_type;
+
+        /*! \deprecated Use `auto` or `decltype` instead.
+                        Deprecated in version 1.29.
+        */
+        QL_DEPRECATED
         typedef CashFlow second_argument_type;
+
+        /*! \deprecated Use `auto` or `decltype` instead.
+                        Deprecated in version 1.29.
+        */
+        QL_DEPRECATED
         typedef bool result_type;
 
         bool operator()(const CashFlow& c1,

include/ql/cashflows/all.hpp

@@ -26,8 +26,11 @@
 #include <ql/cashflows/lineartsrpricer.hpp>
 #include <ql/cashflows/overnightindexedcoupon.hpp>
 #include <ql/cashflows/rangeaccrual.hpp>
+#include <ql/cashflows/rateaveraging.hpp>
 #include <ql/cashflows/replication.hpp>
 #include <ql/cashflows/simplecashflow.hpp>
+#include <ql/cashflows/subperiodcoupon.hpp>
 #include <ql/cashflows/timebasket.hpp>
 #include <ql/cashflows/yoyinflationcoupon.hpp>
+#include <ql/cashflows/zeroinflationcashflow.hpp>
 

include/ql/cashflows/averagebmacoupon.hpp

@@ -57,22 +57,22 @@ namespace QuantLib {
         //! \name FloatingRateCoupon interface
         //@{
         //! not applicable here; use fixingDates() instead
-        Date fixingDate() const;
+        Date fixingDate() const override;
         //! fixing dates of the rates to be averaged
         std::vector<Date> fixingDates() const;
 
         //! not applicable here; use indexFixings() instead
-        Rate indexFixing() const;
+        Rate indexFixing() const override;
         //! fixings of the underlying index to be averaged
         std::vector<Rate> indexFixings() const;
 
         //! not applicable here
-        Rate convexityAdjustment() const;
+        Rate convexityAdjustment() const override;
         //@}
 
         //! \name Visitability
         //@{
-        void accept(AcyclicVisitor&);
+        void accept(AcyclicVisitor&) override;
         //@}
       private:
         Schedule fixingSchedule_;
@@ -82,8 +82,7 @@ namespace QuantLib {
     //! helper class building a sequence of average BMA coupons
     class AverageBMALeg {
       public:
-        AverageBMALeg(const Schedule& schedule,
-                      const ext::shared_ptr<BMAIndex>& index);
+        AverageBMALeg(Schedule schedule, ext::shared_ptr<BMAIndex> index);
         AverageBMALeg& withNotionals(Real notional);
         AverageBMALeg& withNotionals(const std::vector<Real>& notionals);
         AverageBMALeg& withPaymentDayCounter(const DayCounter&);
@@ -98,7 +97,7 @@ namespace QuantLib {
         ext::shared_ptr<BMAIndex> index_;
         std::vector<Real> notionals_;
         DayCounter paymentDayCounter_;
-        BusinessDayConvention paymentAdjustment_;
+        BusinessDayConvention paymentAdjustment_ = Following;
         std::vector<Real> gearings_;
         std::vector<Spread> spreads_;
     };

include/ql/cashflows/capflooredcoupon.hpp

@@ -62,8 +62,8 @@ namespace QuantLib {
                   Rate floor = Null<Rate>());
         //! \name Coupon interface
         //@{
-        Rate rate() const;
-        Rate convexityAdjustment() const;
+        Rate rate() const override;
+        Rate convexityAdjustment() const override;
         //@}
         //! cap
         Rate cap() const;
@@ -76,24 +76,23 @@ namespace QuantLib {
         //@}
         //! \name Observer interface
         //@{
-        void update();
+        void update() override;
         //@}
         //! \name Visitability
         //@{
-        virtual void accept(AcyclicVisitor&);
+        void accept(AcyclicVisitor&) override;
 
         bool isCapped() const {return isCapped_;}
         bool isFloored() const {return isFloored_;}
 
-        void setPricer(
-                   const ext::shared_ptr<FloatingRateCouponPricer>& pricer);
+        void setPricer(const ext::shared_ptr<FloatingRateCouponPricer>& pricer) override;
 
-        const ext::shared_ptr<FloatingRateCoupon> underlying() { return underlying_; }
+        ext::shared_ptr<FloatingRateCoupon> underlying() { return underlying_; }
 
-    protected:
+      protected:
         // data
         ext::shared_ptr<FloatingRateCoupon> underlying_;
-        bool isCapped_, isFloored_;
+        bool isCapped_ = false, isFloored_ = false;
         Rate cap_, floor_;
     };
 
@@ -113,16 +112,16 @@ namespace QuantLib {
                   const Date& refPeriodStart = Date(),
                   const Date& refPeriodEnd = Date(),
                   const DayCounter& dayCounter = DayCounter(),
-                  bool isInArrears = false)
+                  bool isInArrears = false,
+                  const Date& exCouponDate = Date())
         : CappedFlooredCoupon(ext::shared_ptr<FloatingRateCoupon>(new
             IborCoupon(paymentDate, nominal, startDate, endDate, fixingDays,
                        index, gearing, spread, refPeriodStart, refPeriodEnd,
-                       dayCounter, isInArrears)), cap, floor) {}
+                       dayCounter, isInArrears, exCouponDate)), cap, floor) {}
 
-        virtual void accept(AcyclicVisitor& v) {
-            Visitor<CappedFlooredIborCoupon>* v1 =
-                dynamic_cast<Visitor<CappedFlooredIborCoupon>*>(&v);
-            if (v1 != 0)
+        void accept(AcyclicVisitor& v) override {
+            auto* v1 = dynamic_cast<Visitor<CappedFlooredIborCoupon>*>(&v);
+            if (v1 != nullptr)
                 v1->visit(*this);
             else
                 CappedFlooredCoupon::accept(v);
@@ -145,16 +144,16 @@ namespace QuantLib {
                   const Date& refPeriodStart = Date(),
                   const Date& refPeriodEnd = Date(),
                   const DayCounter& dayCounter = DayCounter(),
-                  bool isInArrears = false)
+                  bool isInArrears = false,
+                  const Date& exCouponDate = Date())
         : CappedFlooredCoupon(ext::shared_ptr<FloatingRateCoupon>(new
             CmsCoupon(paymentDate, nominal, startDate, endDate, fixingDays,
                       index, gearing, spread, refPeriodStart, refPeriodEnd,
-                      dayCounter, isInArrears)), cap, floor) {}
+                      dayCounter, isInArrears, exCouponDate)), cap, floor) {}
 
-        virtual void accept(AcyclicVisitor& v) {
-            Visitor<CappedFlooredCmsCoupon>* v1 =
-                dynamic_cast<Visitor<CappedFlooredCmsCoupon>*>(&v);
-            if (v1 != 0)
+        void accept(AcyclicVisitor& v) override {
+            auto* v1 = dynamic_cast<Visitor<CappedFlooredCmsCoupon>*>(&v);
+            if (v1 != nullptr)
                 v1->visit(*this);
             else
                 CappedFlooredCoupon::accept(v);

include/ql/cashflows/capflooredinflationcoupon.hpp

@@ -96,7 +96,7 @@ namespace QuantLib {
         //! \name augmented Coupon interface
         //@{
         //! swap(let) rate
-        Rate rate() const;
+        Rate rate() const override;
         //! cap
         Rate cap() const;
         //! floor
@@ -109,14 +109,17 @@ namespace QuantLib {
 
         //! \name Observer interface
         //@{
-        void update();
+        void update() override;
         //@}
 
         //! \name Visitability
         //@{
-        virtual void accept(AcyclicVisitor& v);
+        void accept(AcyclicVisitor& v) override;
         //@}
 
+        //! this returns the expected rate before cap and floor are applied
+        Rate underlyingRate() const;
+
         bool isCapped() const { return isCapped_; }
         bool isFloored() const { return isFloored_; }
 

include/ql/cashflows/cashflows.hpp

@@ -40,14 +40,11 @@ namespace QuantLib {
     /*! \todo add tests */
     class CashFlows {
       private:
-        CashFlows();
-        CashFlows(const CashFlows&);
-
         class IrrFinder {
           public:
             IrrFinder(const Leg& leg,
                       Real npv,
-                      const DayCounter& dayCounter,
+                      DayCounter dayCounter,
                       Compounding comp,
                       Frequency freq,
                       bool includeSettlementDateFlows,
@@ -68,6 +65,9 @@ namespace QuantLib {
             Date settlementDate_, npvDate_;
         };
       public:
+        CashFlows() = delete;
+        CashFlows(const CashFlows&) = delete;
+
         //! \name Date functions
         //@{
         static Date startDate(const Leg& leg);
@@ -183,11 +183,21 @@ namespace QuantLib {
                         Date settlementDate = Date(),
                         Date npvDate = Date());
 
-        //@{
         //! NPV and BPS of the cash flows.
         /*! The NPV and BPS of the cash flows calculated
             together for performance reason
         */
+        static std::pair<Real, Real> npvbps(const Leg& leg,
+                                            const YieldTermStructure& discountCurve,
+                                            bool includeSettlementDateFlows,
+                                            Date settlementDate = Date(),
+                                            Date npvDate = Date());
+
+        //! NPV and BPS of the cash flows.
+        /*! \deprecated Use the overload returning a pair of Reals.
+                        Deprecated in version 1.29.
+        */
+        QL_DEPRECATED
         static void npvbps(const Leg& leg,
                            const YieldTermStructure& discountCurve,
                            bool includeSettlementDateFlows,
@@ -257,7 +267,7 @@ namespace QuantLib {
                         Date npvDate = Date());
         //! Implied internal rate of return.
         /*! The function verifies
-            the theoretical existance of an IRR and numerically
+            the theoretical existence of an IRR and numerically
             establishes the IRR to the desired precision.
         */
         static Rate yield(const Leg& leg,