Merge remote-tracking branch 'model-validation/remove-joint-calendar' into gh_206_210

Author: pcaspers

.gitmodules

@@ -1,5 +1,5 @@
 [submodule "QuantLib"]
 	path = QuantLib
-	url = git@gitlab.acadiasoft.net:qs/quantlib.git
+	url = https://github.com/OpenSourceRisk/QuantLib.git
 	branch = master
 	ignore = dirty

OREData/ored/utilities/calendarparser.cpp

@@ -35,7 +35,6 @@
 #include <qle/calendars/ireland.hpp>
 #include <qle/calendars/islamicweekendsonly.hpp>
 #include <qle/calendars/israel.hpp>
-#include <qle/calendars/largejointcalendar.hpp>
 #include <qle/calendars/luxembourg.hpp>
 #include <qle/calendars/malaysia.hpp>
 #include <qle/calendars/mauritius.hpp>
@@ -88,7 +87,7 @@ QuantLib::Calendar CalendarParser::parseCalendar(const std::string& name) const
                 QL_FAIL("Cannot convert \"" << name << "\" to Calendar [unhandled exception]");
             }
         }
-        return QuantExt::LargeJointCalendar(calendars);
+        return QuantLib::JointCalendar(calendars);
     }
 }
 

OREData/test/parser.cpp

@@ -27,11 +27,11 @@
 #include <ql/time/calendars/austria.hpp>
 #include <ql/time/calendars/chile.hpp>
 #include <ql/time/calendars/france.hpp>
+#include <ql/time/calendars/jointcalendar.hpp>
 #include <ql/time/calendars/thailand.hpp>
 #include <ql/time/daycounters/all.hpp>
 #include <qle/calendars/colombia.hpp>
 #include <qle/calendars/israel.hpp>
-#include <qle/calendars/largejointcalendar.hpp>
 #include <qle/calendars/malaysia.hpp>
 #include <qle/calendars/netherlands.hpp>
 #include <qle/calendars/peru.hpp>
@@ -927,7 +927,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
     Calendar peru = QuantExt::Peru();
 
     cals.push_back(peru);
-    Calendar joint1 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint1 = QuantLib::JointCalendar(cals);
 
     std::vector<Date> hol = joint1.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -955,7 +955,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar col = Colombia();
     cals.push_back(col);
-    Calendar joint2 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint2 = QuantLib::JointCalendar(cals);
 
     hol = joint2.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -978,7 +978,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar phil = Philippines();
     cals.push_back(phil);
-    Calendar joint3 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint3 = QuantLib::JointCalendar(cals);
 
     hol = joint3.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1004,7 +1004,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar thai = Thailand();
     cals.push_back(thai);
-    Calendar joint4 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint4 = QuantLib::JointCalendar(cals);
 
     hol = joint4.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1020,7 +1020,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar mal = Malaysia();
     cals.push_back(mal);
-    Calendar joint5 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint5 = QuantLib::JointCalendar(cals);
 
     hol = joint5.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1044,7 +1044,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar chil = Chile();
     cals.push_back(chil);
-    Calendar joint6 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint6 = QuantLib::JointCalendar(cals);
 
     hol = joint6.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1062,7 +1062,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar net = Netherlands();
     cals.push_back(net);
-    Calendar joint7 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint7 = QuantLib::JointCalendar(cals);
 
     hol = joint7.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());
@@ -1083,7 +1083,7 @@ BOOST_AUTO_TEST_CASE(testJointCalendar) {
 
     Calendar fre = France();
     cals.push_back(fre);
-    Calendar joint8 = QuantExt::LargeJointCalendar(cals);
+    Calendar joint8 = QuantLib::JointCalendar(cals);
 
     hol = joint8.holidayList(Date(1, January, 2018), Date(31, December, 2018));
     BOOST_CHECK(hol.size() == expectedHolidays.size());

QuantExt/qle/CMakeLists.txt

@@ -15,7 +15,6 @@ calendars/ice.cpp
 calendars/ireland.cpp
 calendars/islamicweekendsonly.cpp
 calendars/israel.cpp
-calendars/largejointcalendar.cpp
 calendars/luxembourg.cpp
 calendars/malaysia.cpp
 calendars/mauritius.cpp
@@ -413,7 +412,6 @@ calendars/ice.hpp
 calendars/ireland.hpp
 calendars/islamicweekendsonly.hpp
 calendars/israel.hpp
-calendars/largejointcalendar.hpp
 calendars/luxembourg.hpp
 calendars/malaysia.hpp
 calendars/mauritius.hpp

QuantExt/qle/calendars/largejointcalendar.cpp

@@ -18,10 +18,10 @@
 
 #include <qle/indexes/compositeindex.hpp>
 
-#include <qle/calendars/largejointcalendar.hpp>
 #include <qle/indexes/bondindex.hpp>
 #include <qle/indexes/equityindex.hpp>
 #include <qle/indexes/genericindex.hpp>
+#include <ql/time/calendars/jointcalendar.hpp>
 
 namespace QuantExt {
 
@@ -46,7 +46,7 @@ CompositeIndex::CompositeIndex(const std::string& name, const std::vector<boost:
         cals.push_back(i->fixingCalendar());
     }
 
-    fixingCalendar_ = LargeJointCalendar(cals);
+    fixingCalendar_ = JointCalendar(cals);
 }
 
 std::string CompositeIndex::name() const { return name_; }

QuantExt/qle/calendars/largejointcalendar.hpp

@@ -23,7 +23,6 @@
 #include <qle/calendars/ireland.hpp>
 #include <qle/calendars/islamicweekendsonly.hpp>
 #include <qle/calendars/israel.hpp>
-#include <qle/calendars/largejointcalendar.hpp>
 #include <qle/calendars/luxembourg.hpp>
 #include <qle/calendars/malaysia.hpp>
 #include <qle/calendars/mauritius.hpp>