merge github pr 232

Roland Lichters · Roland Lichters · commit 5f0e6838a7ef · 2024-05-14T16:35:04.000+02:00
diff --git a/OREAnalytics/orea/aggregation/dimcalculator.cpp b/OREAnalytics/orea/aggregation/dimcalculator.cpp
@@ -23,7 +23,6 @@
 
 #include <ql/errors.hpp>
 #include <ql/time/calendars/weekendsonly.hpp>
-#include <ql/version.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/math/generallinearleastsquares.hpp>
 #include <ql/math/kernelfunctions.hpp>
diff --git a/OREAnalytics/orea/aggregation/dimregressioncalculator.cpp b/OREAnalytics/orea/aggregation/dimregressioncalculator.cpp
@@ -21,7 +21,6 @@
 #include <ored/utilities/vectorutils.hpp>
 #include <ql/errors.hpp>
 #include <ql/time/calendars/weekendsonly.hpp>
-#include <ql/version.hpp>
 
 #include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/math/generallinearleastsquares.hpp>
@@ -109,13 +108,8 @@ void RegressionDynamicInitialMarginCalculator::build() {
     LsmBasisSystem::PolynomialType polynomType = LsmBasisSystem::Monomial;
     Size regressionDimension = regressors_.empty() ? 1 : regressors_.size();
     LOG("DIM regression dimension = " << regressionDimension);
-#if QL_HEX_VERSION > 0x01150000
     std::vector<ext::function<Real(Array)>> v(
         LsmBasisSystem::multiPathBasisSystem(regressionDimension, polynomOrder, polynomType));
-#else // QL 1.14 and below
-    std::vector<boost::function1<Real, Array>> v(
-        LsmBasisSystem::multiPathBasisSystem(regressionDimension, polynomOrder, polynomType));
-#endif
     Real confidenceLevel = QuantLib::InverseCumulativeNormal()(quantile_);
     LOG("DIM confidence level " << confidenceLevel);
 
diff --git a/OREAnalytics/orea/aggregation/postprocess.cpp b/OREAnalytics/orea/aggregation/postprocess.cpp
@@ -28,7 +28,6 @@
 #include <ored/utilities/vectorutils.hpp>
 #include <ql/errors.hpp>
 #include <ql/time/calendars/weekendsonly.hpp>
-#include <ql/version.hpp>
 
 #include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/math/generallinearleastsquares.hpp>
diff --git a/OREAnalytics/orea/aggregation/xvacalculator.cpp b/OREAnalytics/orea/aggregation/xvacalculator.cpp
@@ -24,7 +24,6 @@
 #include <ored/utilities/vectorutils.hpp>
 
 #include <ql/errors.hpp>
-#include <ql/version.hpp>
 
 using namespace std;
 using namespace QuantLib;
diff --git a/OREData/ored/marketdata/defaultcurve.cpp b/OREData/ored/marketdata/defaultcurve.cpp
@@ -43,14 +43,6 @@
 using namespace QuantLib;
 using namespace std;
 
-// Temporary workaround to silence warnings on g++ until QL 1.17 is released with the
-// pull request: https://github.com/lballabio/QuantLib/pull/679
-#ifdef BOOST_MSVC
-#define ATTR_UNUSED
-#else
-#define ATTR_UNUSED __attribute__((unused))
-#endif
-
 namespace {
 
 using namespace ore::data;
@@ -444,8 +436,7 @@ void DefaultCurve::buildCdsCurve(const std::string& curveID, const DefaultCurveC
     Size dontThrowSteps = config.bootstrapConfig().dontThrowSteps();
 
     typedef PiecewiseDefaultCurve<QuantExt::SurvivalProbability, LogLinear, QuantExt::IterativeBootstrap> SpCurve;
-    ATTR_UNUSED typedef SpCurve::traits_type dummy;
-    QuantExt::IterativeBootstrap<SpCurve> btconfig(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
+    SpCurve::bootstrap_type btconfig(accuracy, globalAccuracy, dontThrow, maxAttempts, maxFactor,
                                                    minFactor, dontThrowSteps);
     QuantLib::ext::shared_ptr<DefaultProbabilityTermStructure> qlCurve;
 
diff --git a/OREData/ored/marketdata/yieldcurve.cpp b/OREData/ored/marketdata/yieldcurve.cpp
diff --git a/OREData/ored/portfolio/builders/vanillaoption.hpp b/OREData/ored/portfolio/builders/vanillaoption.hpp
@@ -32,7 +32,6 @@
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
 #include <ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/version.hpp>
 #include <qle/pricingengines/analyticcashsettledeuropeanengine.hpp>
 #include <qle/pricingengines/analyticeuropeanforwardengine.hpp>
 #include <qle/pricingengines/baroneadesiwhaleyengine.hpp>
diff --git a/OREData/ored/portfolio/builders/varianceswap.hpp b/OREData/ored/portfolio/builders/varianceswap.hpp
@@ -39,7 +39,6 @@
 #include <ored/utilities/parsers.hpp>
 #include <ored/utilities/to_string.hpp>
 #include <ql/processes/blackscholesprocess.hpp>
-#include <ql/version.hpp>
 
 namespace ore {
 namespace data {
diff --git a/OREData/ored/portfolio/legdata.cpp b/OREData/ored/portfolio/legdata.cpp
@@ -78,7 +78,6 @@
 #include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp>
 #include <ql/experimental/coupons/strippedcapflooredcoupon.hpp>
 #include <ql/utilities/vectors.hpp>
-#include <ql/version.hpp>
 
 #include <boost/algorithm/string.hpp>
 #include <boost/make_shared.hpp>
diff --git a/OREData/ored/utilities/parsers.cpp b/OREData/ored/utilities/parsers.cpp
@@ -33,7 +33,6 @@
 #include <ql/indexes/all.hpp>
 #include <ql/time/daycounters/all.hpp>
 #include <ql/utilities/dataparsers.hpp>
-#include <ql/version.hpp>
 #include <qle/instruments/cashflowresults.hpp>
 #include <qle/time/yearcounter.hpp>
 
diff --git a/OREData/test/fittedbondcurve.cpp b/OREData/test/fittedbondcurve.cpp
@@ -39,8 +39,6 @@ BOOST_AUTO_TEST_SUITE(FittedBondCurveTests)
 
 BOOST_AUTO_TEST_CASE(testCurveFromFixedRateBonds) {
 
-
-    // will work in QL 1.19
     Date asof(6, April, 2020);
     Settings::instance().evaluationDate() = asof;
 
diff --git a/QuantExt/qle/termstructures/swaptionvolatilityconverter.cpp b/QuantExt/qle/termstructures/swaptionvolatilityconverter.cpp
@@ -26,7 +26,6 @@
 #include <ql/pricingengines/swap/discountingswapengine.hpp>
 #include <ql/pricingengines/swaption/blackswaptionengine.hpp>
 #include <ql/quotes/simplequote.hpp>
-#include <ql/version.hpp>
 
 #include <boost/make_shared.hpp>
 
@@ -189,11 +188,6 @@ QuantLib::ext::shared_ptr<SwaptionVolatilityStructure> SwaptionVolatilityConvert
 
 } // namespace QuantExt
 
-// Ignore "warning C4996: 'Quantlib::Swaption::impliedVolatility': was declared deprecated"
-#ifdef BOOST_MSVC
-#pragma warning(push)
-#pragma warning(disable : 4996)
-#endif
 Real SwaptionVolatilityConverter::convert(const Date& expiry, const Period& swapTenor, Real strikeSpread,
                                           const DayCounter& volDayCounter, VolatilityType outType,
                                           Real outShift) const {
@@ -281,14 +275,9 @@ Real SwaptionVolatilityConverter::convert(const Date& expiry, const Period& swap
                 guess = inVol * (atmRate + inShift);
         }
 
-// Note: In implying the volatility the volatility day counter is hardcoded to Actual365Fixed
-#if QL_HEX_VERSION < 0x011000f0
-        impliedVol = swaption->impliedVolatility(npv, discount_, guess, accuracy_, maxEvaluations_, minVol_, maxVol_,
-                                                 outShift, outType);
-#else
+        // Note: In implying the volatility the volatility day counter is hardcoded to Actual365Fixed
         impliedVol = swaption->impliedVolatility(npv, discount_, guess, accuracy_, maxEvaluations_, minVol_, maxVol_,
                                                  outType, outShift);
-#endif
 
     } catch (std::exception& e) {
         // couldn't find implied volatility
@@ -299,7 +288,4 @@ Real SwaptionVolatilityConverter::convert(const Date& expiry, const Period& swap
 
     return impliedVol;
 }
-#ifdef BOOST_MSVC
-#pragma warning(pop)
-#endif
 } // namespace QuantExt
diff --git a/QuantExt/test/stabilisedglls.cpp b/QuantExt/test/stabilisedglls.cpp
@@ -22,7 +22,6 @@
 #include <ql/math/randomnumbers/mt19937uniformrng.hpp>
 #include <ql/methods/montecarlo/lsmbasissystem.hpp>
 #include <ql/types.hpp>
-#include <ql/version.hpp>
 #include <qle/math/stabilisedglls.hpp>
 
 using namespace boost::unit_test_framework;
@@ -39,7 +38,7 @@ BOOST_AUTO_TEST_CASE(testBigInputNumbers) {
 
     std::vector<Real> x, y;
 
-    std::vector<boost::function1<Real, Real> > v;
+    std::vector<ext::function<Real(Real)> > v;
     v.push_back([](Real x) { return 1.0; });
     v.push_back([](Real x) { return x; });
     v.push_back([](Real x) { return x * x; });
@@ -1126,13 +1125,8 @@ BOOST_AUTO_TEST_CASE(test2DRegression) {
         y.push_back(yt);
     }
 
-#if QL_HEX_VERSION > 0x01150000
     std::vector<ext::function<Real(Array)> > basis =
         LsmBasisSystem::multiPathBasisSystem(2, 2, LsmBasisSystem::Monomial);
-#else // QL 1.14 and below
-    std::vector<boost::function1<Real, Array> > basis =
-        LsmBasisSystem::multiPathBasisSystem(2, 2, LsmBasisSystem::Monomial);
-#endif
 
     StabilisedGLLS m(x, y, basis, StabilisedGLLS::MaxAbs);
     StabilisedGLLS mb(x, y, basis, StabilisedGLLS::MeanStdDev);
