Merge remote-tracking branch 'origin/master' into roland_fixes_for_oreswig

Author: rolandlichters

OREData/ored/portfolio/builders/equitydigitaloption.hpp

@@ -58,7 +58,7 @@ class EquityDigitalOptionEngineBuilder
             market_->equityForecastCurve(assetName, configuration(ore::data::MarketContext::pricing)),
             market_->equityVol(assetName, configuration(ore::data::MarketContext::pricing)));
 
-        return boost::make_shared<AnalyticEuropeanEngine>(gbsp);
+        return boost::make_shared<QuantExt::AnalyticEuropeanEngine>(gbsp);
     }
 };
 

OREData/ored/portfolio/builders/equitytouchoption.hpp

@@ -63,10 +63,10 @@ class EquityTouchOptionEngineBuilder
 
         if (type == "One-Touch") {
             engine_ = "AnalyticDigitalAmericanEngine";
-            return boost::make_shared<AnalyticDigitalAmericanEngine>(gbsp);
+            return boost::make_shared<QuantExt::AnalyticDigitalAmericanEngine>(gbsp);
         } else if (type == "No-Touch") {
             engine_ = "AnalyticDigitalAmericanKOEngine";
-            return boost::make_shared<AnalyticDigitalAmericanKOEngine>(gbsp);
+            return boost::make_shared<QuantExt::AnalyticDigitalAmericanKOEngine>(gbsp);
         } else {
             QL_FAIL("Unknwon EQ touch option type: " << type);
         }

QuantExt/qle/pricingengines/analyticdoublebarrierbinaryengine.hpp

@@ -34,7 +34,7 @@ namespace QuantExt {
     class AnalyticDoubleBarrierBinaryEngine : public QuantLib::AnalyticDoubleBarrierBinaryEngine {
       public:
         explicit AnalyticDoubleBarrierBinaryEngine(ext::shared_ptr<GeneralizedBlackScholesProcess> gbsp,
-                                                     const bool flipResults)
+                                                   const bool flipResults = false)
               : QuantLib::AnalyticDoubleBarrierBinaryEngine(gbsp), flipResults_(flipResults) {}
         void calculate() const override;
 

QuantExt/qle/pricingengines/analyticeuropeanengine.hpp

@@ -21,6 +21,8 @@
    results in the case of FX instruments where the trade builder may have inverted the underlying pair
 */
 
+#pragma once
+
 #include <ql/instruments/vanillaoption.hpp>
 #include <ql/pricingengines/vanilla/analyticeuropeanengine.hpp>
 #include <ql/processes/blackscholesprocess.hpp>

QuantExt/qle/termstructures/inflation/cpipricevolatilitysurface.hpp

@@ -28,12 +28,11 @@
 #include <qle/pricingengines/cpiblackcapfloorengine.hpp>
 #include <qle/termstructures/inflation/constantcpivolatility.hpp>
 #include <qle/termstructures/inflation/cpivolatilitystructure.hpp>
+#include <qle/termstructures/strippedcpivolatilitystructure.hpp>
 #include <qle/utilities/inflation.hpp>
 
 namespace QuantExt {
 
-enum PriceQuotePreference { Cap, Floor, CapFloor };
-
 struct CPIPriceVolatilitySurfaceDefaultValues {
     static constexpr QuantLib::Real upperVolBound = 1.0;
     static constexpr QuantLib::Real lowerVolBound = 0.000001;

QuantExt/qle/termstructures/strippedcpivolatilitystructure.hpp

@@ -32,6 +32,7 @@
 #include <qle/utilities/inflation.hpp>
 
 namespace QuantExt {
+using namespace QuantLib;
 
 enum PriceQuotePreference { Cap, Floor, CapFloor };