C++高频算法

commit f69bc6b58616308b11e326175b9d828c4dc404ad Merge: d73944857 120cb411a Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Fri, 12 May 2017 17:35:55 +0200 Merge pull request #254. commit 120cb411a98920aca24818f5dcfb3a8587136824 Author: Peter Caspers <peter.caspers@quaternion.com> Date: Fri, 12 May 2017 16:15:23 +0200 only ask for a shift if applicable ql/pricingengines/swaption/blackswaptionengine.hpp | 4 +++- 1 file changed, 3 insertions(+), 1 deletion(-) commit d73944857390c2660b3f4f5bd465f8afd95f2737 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Thu, 11 May 2017 18:13:48 +0200 Update ChangeLog, News and Contributors. ChangeLog.txt | 2595 ++++++++++++++++++++++++++++++++++++++++++++++- Contributors.txt | 10 + Docs/pages/authors.docs | 10 + Docs/pages/history.docs | 94 +- News.txt | 129 ++- 5 files changed, 2831 insertions(+), 7 deletions(-) commit 3e7b0023bfb0a2b693ea5974b0a21f8f5f21ea28 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Fri, 5 May 2017 08:53:23 +0100 Auto-link required Boost libraries in Examples. Examples/BasketLosses/BasketLosses.cpp | 4 ++++ Examples/BermudanSwaption/BermudanSwaption.cpp | 15 ++++---------- Examples/Bonds/Bonds.cpp | 4 ++++ Examples/CDS/CDS.cpp | 4 ++++ Examples/CVAIRS/CVAIRS.cpp | 4 ++++ Examples/CallableBonds/CallableBonds.cpp | 15 ++++---------- Examples/ConvertibleBonds/ConvertibleBonds.cpp | 15 ++++---------- Examples/DiscreteHedging/DiscreteHedging.cpp | 15 ++++---------- Examples/EquityOption/EquityOption.cpp | 15 ++++---------- Examples/FRA/FRA.cpp | 15 ++++---------- Examples/FittedBondCurve/FittedBondCurve.cpp | 15 ++++---------- Examples/Gaussian1dModels/Gaussian1dModels.cpp | 4 ++++ Examples/GlobalOptimizer/GlobalOptimizer.cpp | 27 ++++---------------------- Examples/LatentModel/LatentModel.cpp | 4 ++++ Examples/MarketModels/MarketModels.cpp | 2 +- Examples/MultidimIntegral/MultidimIntegral.cpp | 22 +++++++++++++++++++++ Examples/Replication/Replication.cpp | 15 ++++---------- Examples/Repo/Repo.cpp | 15 ++++---------- Examples/Swap/swapvaluation.cpp | 15 ++++---------- 19 files changed, 91 insertions(+), 134 deletions(-) commit ce770680be4e51f32a51a66b9502e607cfeff4a3 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Wed, 26 Apr 2017 13:33:15 +0200 Avoid call to make_shared with no arguments. For some reason, this causes problems with VC++11. ql/experimental/math/hybridsimulatedannealing.hpp | 8 +++++--- 1 file changed, 5 insertions(+), 3 deletions(-) commit 0e85f03841068bc5e58bc7ec56f03613231ecf09 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Tue, 11 Apr 2017 12:13:12 +0200 Update copyrights. LICENSE.TXT | 13 +++++++++---- ql/indexes/ibor/usdlibor.hpp | 3 ++- ql/pricingengines/swaption/blackswaptionengine.cpp | 3 ++- ql/pricingengines/swaption/blackswaptionengine.hpp | 3 ++- ql/time/calendars/unitedstates.cpp | 3 ++- ql/time/calendars/unitedstates.hpp | 3 ++- 6 files changed, 19 insertions(+), 9 deletions(-) commit 01058d2998fa22e9f5241ac8a18db8b6b2a2b6a4 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Tue, 11 Apr 2017 11:29:32 +0200 Touch up a few test messages. test-suite/basketoption.cpp | 4 ++-- test-suite/bermudanswaption.cpp | 6 ++++-- test-suite/distributions.cpp | 2 +- test-suite/europeanoption.cpp | 2 +- test-suite/gaussianquadratures.cpp | 4 ++-- test-suite/hestonmodel.cpp | 4 ++-- test-suite/interpolations.cpp | 10 +++++----- test-suite/normalclvmodel.cpp | 9 +++++---- test-suite/riskneutraldensitycalculator.cpp | 5 +++-- 9 files changed, 25 insertions(+), 21 deletions(-) commit 8133971a412dc4ecd78d5f029bdbdadfbd6bab6d Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Mon, 10 Apr 2017 17:35:30 +0200 Avoid conversion warnings on VC++17. ql/experimental/credit/randomdefaultlatentmodel.hpp | 2 +- ql/experimental/math/tcopulapolicy.hpp | 11 +++++------ 2 files changed, 6 insertions(+), 7 deletions(-) commit 6d171902b2f5145d3fe3ddcb0140e030522afd69 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Thu, 6 Apr 2017 17:13:55 +0200 Fix compilation of examples when using old Boost versions. Examples/GlobalOptimizer/GlobalOptimizer.cpp | 269 ++++++++++++++------------- 1 file changed, 140 insertions(+), 129 deletions(-) commit 1652cbc3056e3018bf7911b55dc1109384d3c7af Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Thu, 6 Apr 2017 16:28:58 +0200 Enforce self-consistency of headers. ql/experimental/models/normalclvmodel.hpp | 2 ++ ql/experimental/models/squarerootclvmodel.hpp | 1 + ql/experimental/volatility/sabrvoltermstructure.hpp | 1 + 3 files changed, 4 insertions(+) commit e358494fa5bbb52b160cb4cf90c677dc31ca1518 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Thu, 6 Apr 2017 13:59:30 +0200 Deprecate obsolete constructor. ql/math/interpolations/mixedinterpolation.hpp | 2 +- 1 file changed, 1 insertion(+), 1 deletion(-) commit 19680796a7aa1a6e8a280da8fcaf1f264cb08e31 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Thu, 6 Apr 2017 13:27:32 +0200 Remove code deprecated since version 1.8. ql/experimental/credit/riskyassetswapoption.cpp | 11 -- ql/experimental/credit/riskyassetswapoption.hpp | 7 - .../calibrationhelpers/swaptionhelper.cpp | 64 ------ .../calibrationhelpers/swaptionhelper.hpp | 51 ----- ql/pricingengines/swaption/blackswaptionengine.cpp | 18 +- ql/pricingengines/swaption/blackswaptionengine.hpp | 37 +--- ql/termstructures/volatility/flatsmilesection.cpp | 17 -- ql/termstructures/volatility/flatsmilesection.hpp | 20 -- .../volatility/interpolatedsmilesection.hpp | 150 -------------- .../volatility/swaption/swaptionvolmatrix.cpp | 216 --------------------- .../volatility/swaption/swaptionvolmatrix.hpp | 71 ------- 11 files changed, 11 insertions(+), 651 deletions(-) commit c64a463422d25f537c8f3c56e3f1fdd17feafd24 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Wed, 5 Apr 2017 17:44:17 +0200 Increase cache size for ccache, show stats after run. .travis.yml | 3 +++ 1 file changed, 3 insertions(+) commit 2b2525805043af7ccced7c43d351db25464313cf Merge: ff2362410 e1e326243 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Wed, 5 Apr 2017 15:08:11 +0200 Merge pull request #234. commit e1e3262435f891cad3a67170cdc875e415ccea0f Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Tue, 4 Apr 2017 15:42:04 +0200 Iceland calendar doesn't adjust New Year's Day to Monday. ql/time/calendars/iceland.cpp | 5 ++--- ql/time/calendars/iceland.hpp | 2 +- 2 files changed, 3 insertions(+), 4 deletions(-) commit ff23624108a2b88fc0bc0f26c828aa922f431572 Merge: 22fa71034 2c2abd7de Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Tue, 4 Apr 2017 12:51:00 +0200 Merge pull request #218. commit 22fa7103483e42350815dc121a93c1b29e1f73d4 Merge: b6e4b5e71 37169317c Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Tue, 4 Apr 2017 11:35:34 +0200 Merge pull request #232. commit 37169317ce6340a28e55c76abbc2f7af1d3b7545 Author: Luigi Ballabio <luigi.ballabio@gmail.com> Date: Mon, 3 Apr 2017 16:06:29 +0200 Enable compilation of examples in Travis CI run.