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Merge branch 'bugfix/QPR-13593_2' into 'master'
QPR-13593 remove unnecessary #includes Closes QPR-13593 See merge request qs/oreplus!3016
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Lines changed: 7 additions & 217 deletions

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‎QuantExt/test/lgmpricing.cpp‎

Lines changed: 4 additions & 110 deletions
Original file line numberDiff line numberDiff line change
@@ -17,127 +17,21 @@
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*/
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#include "toplevelfixture.hpp"
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#include "utilities.hpp"
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// clang-format off
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#include <boost/test/unit_test.hpp>
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#include <boost/test/data/test_case.hpp>
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// clang-format on
25-
#include <qle/indexes/equityindex.hpp>
26-
#include <qle/instruments/multilegoption.hpp>
27-
#include <qle/methods/multipathgeneratorbase.hpp>
28-
#include <qle/models/cdsoptionhelper.hpp>
29-
#include <qle/models/cirppconstantfellerparametrization.hpp>
30-
#include <qle/models/commodityschwartzmodel.hpp>
31-
#include <qle/models/commodityschwartzparametrization.hpp>
32-
#include <qle/models/cpicapfloorhelper.hpp>
33-
#include <qle/models/crlgm1fparametrization.hpp>
34-
#include <qle/models/crossassetanalytics.hpp>
35-
#include <qle/models/crossassetanalyticsbase.hpp>
36-
#include <qle/models/crossassetmodel.hpp>
37-
#include <qle/models/crossassetmodelimpliedeqvoltermstructure.hpp>
38-
#include <qle/models/crossassetmodelimpliedfxvoltermstructure.hpp>
39-
#include <qle/models/dkimpliedyoyinflationtermstructure.hpp>
40-
#include <qle/models/dkimpliedzeroinflationtermstructure.hpp>
41-
#include <qle/models/eqbsconstantparametrization.hpp>
42-
#include <qle/models/eqbsparametrization.hpp>
43-
#include <qle/models/eqbspiecewiseconstantparametrization.hpp>
44-
#include <qle/models/fxbsconstantparametrization.hpp>
45-
#include <qle/models/fxbsparametrization.hpp>
46-
#include <qle/models/fxbspiecewiseconstantparametrization.hpp>
47-
#include <qle/models/fxeqoptionhelper.hpp>
48-
#include <qle/models/gaussian1dcrossassetadaptor.hpp>
49-
#include <qle/models/infdkparametrization.hpp>
50-
#include <qle/models/irlgm1fconstantparametrization.hpp>
51-
#include <qle/models/irlgm1fparametrization.hpp>
52-
#include <qle/models/irlgm1fpiecewiseconstanthullwhiteadaptor.hpp>
53-
#include <qle/models/irlgm1fpiecewiseconstantparametrization.hpp>
54-
#include <qle/models/irlgm1fpiecewiselinearparametrization.hpp>
55-
#include <qle/models/jyimpliedzeroinflationtermstructure.hpp>
56-
#include <qle/models/lgm.hpp>
57-
#include <qle/models/lgmbackwardsolver.hpp>
58-
#include <qle/models/lgmconvolutionsolver2.hpp>
59-
#include <qle/models/lgmimplieddefaulttermstructure.hpp>
60-
#include <qle/models/lgmimpliedyieldtermstructure.hpp>
61-
#include <qle/models/linkablecalibratedmodel.hpp>
62-
#include <qle/models/parametrization.hpp>
63-
#include <qle/models/piecewiseconstanthelper.hpp>
64-
#include <qle/models/pseudoparameter.hpp>
65-
#include <qle/pricingengines/analyticcclgmfxoptionengine.hpp>
66-
#include <qle/pricingengines/analyticdkcpicapfloorengine.hpp>
67-
#include <qle/pricingengines/analyticlgmcdsoptionengine.hpp>
68-
#include <qle/pricingengines/analyticlgmswaptionengine.hpp>
69-
#include <qle/pricingengines/analyticxassetlgmeqoptionengine.hpp>
70-
#include <qle/pricingengines/blackcdsoptionengine.hpp>
71-
#include <qle/pricingengines/blackmultilegoptionengine.hpp>
72-
#include <qle/pricingengines/crossccyswapengine.hpp>
73-
#include <qle/pricingengines/depositengine.hpp>
74-
#include <qle/pricingengines/discountingcommodityforwardengine.hpp>
75-
#include <qle/pricingengines/discountingcurrencyswapengine.hpp>
76-
#include <qle/pricingengines/discountingequityforwardengine.hpp>
77-
#include <qle/pricingengines/discountingfxforwardengine.hpp>
78-
#include <qle/pricingengines/discountingriskybondengine.hpp>
79-
#include <qle/pricingengines/mcmultilegoptionengine.hpp>
80-
#include <qle/pricingengines/numericlgmmultilegoptionengine.hpp>
81-
#include <qle/pricingengines/oiccbasisswapengine.hpp>
82-
#include <qle/pricingengines/paymentdiscountingengine.hpp>
83-
#include <qle/processes/commodityschwartzstateprocess.hpp>
84-
#include <qle/processes/crossassetstateprocess.hpp>
85-
#include <qle/processes/irlgm1fstateprocess.hpp>
86-
#include <qle/termstructures/pricecurve.hpp>
87-
#include <ql/cashflows/iborcoupon.cpp>
88-
#include <ql/currencies/america.hpp>
89-
#include <ql/currencies/europe.hpp>
22+
#include <boost/accumulators/statistics/variates/covariate.hpp>
9023
#include <ql/indexes/ibor/euribor.hpp>
91-
#include <ql/indexes/ibor/gbplibor.hpp>
92-
#include <ql/indexes/ibor/usdlibor.hpp>
93-
#include <ql/indexes/inflation/euhicp.hpp>
9424
#include <ql/indexes/inflation/ukrpi.hpp>
95-
#include <ql/instruments/cpicapfloor.hpp>
96-
#include <ql/instruments/makevanillaswap.hpp>
97-
#include <ql/instruments/swaption.hpp>
98-
#include <ql/instruments/vanillaoption.hpp>
99-
#include <ql/math/optimization/levenbergmarquardt.hpp>
100-
#include <ql/math/randomnumbers/rngtraits.hpp>
101-
#include <ql/math/statistics/incrementalstatistics.hpp>
102-
#include <ql/methods/montecarlo/multipathgenerator.hpp>
103-
#include <ql/methods/montecarlo/pathgenerator.hpp>
104-
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
105-
#include <ql/models/shortrate/onefactormodels/gsr.hpp>
10625
#include <ql/pricingengines/swaption/blackswaptionengine.hpp>
107-
#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>
108-
#include <ql/pricingengines/credit/midpointcdsengine.hpp>
109-
#include <ql/quotes/simplequote.hpp>
110-
#include <ql/termstructures/credit/flathazardrate.hpp>
111-
#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>
112-
#include <ql/termstructures/inflationtermstructure.hpp>
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#include <ql/termstructures/yield/flatforward.hpp>
114-
#include <ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp>
11527
#include <ql/time/calendars/target.hpp>
11628
#include <ql/time/daycounters/actual360.hpp>
117-
#include <ql/time/daycounters/actualactual.hpp>
118-
#include <ql/time/daycounters/thirty360.hpp>
119-
120-
#include <boost/make_shared.hpp>
121-
// fix for boost 1.64, see https://lists.boost.org/Archives/boost/2016/11/231756.php
122-
#if BOOST_VERSION >= 106400
123-
#include <boost/serialization/array_wrapper.hpp>
124-
#endif
125-
#include <boost/accumulators/accumulators.hpp>
126-
#include <boost/accumulators/statistics/covariance.hpp>
127-
#include <boost/accumulators/statistics/error_of_mean.hpp>
128-
#include <boost/accumulators/statistics/mean.hpp>
129-
#include <boost/accumulators/statistics/stats.hpp>
130-
#include <boost/accumulators/statistics/variates/covariate.hpp>
131-
#include <boost/make_shared.hpp>
29+
#include <qle/pricingengines/analyticlgmswaptionengine.hpp>
30+
#include <qle/pricingengines/mcmultilegoptionengine.hpp>
31+
#include <qle/pricingengines/numericlgmmultilegoptionengine.hpp>
13232

133-
using namespace QuantLib;
13433
using namespace QuantExt;
13534

136-
using boost::unit_test_framework::test_suite;
137-
using namespace boost::accumulators;
138-
namespace bdata = boost::unit_test::data;
139-
using std::vector;
140-
14135
BOOST_FIXTURE_TEST_SUITE(QuantExtTestSuite, qle::test::TopLevelFixture)
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14337
BOOST_AUTO_TEST_SUITE(LgmPricingCases)

‎QuantExt/test/lgmpricingedgecases.cpp‎

Lines changed: 3 additions & 107 deletions
Original file line numberDiff line numberDiff line change
@@ -17,123 +17,19 @@
1717
*/
1818

1919
#include "toplevelfixture.hpp"
20-
#include "utilities.hpp"
21-
// clang-format off
2220
#include <boost/test/unit_test.hpp>
2321
#include <boost/test/data/test_case.hpp>
24-
// clang-format on
25-
#include <qle/indexes/equityindex.hpp>
26-
#include <qle/instruments/multilegoption.hpp>
27-
#include <qle/methods/multipathgeneratorbase.hpp>
28-
#include <qle/models/cdsoptionhelper.hpp>
29-
#include <qle/models/cirppconstantfellerparametrization.hpp>
30-
#include <qle/models/commodityschwartzmodel.hpp>
31-
#include <qle/models/commodityschwartzparametrization.hpp>
32-
#include <qle/models/cpicapfloorhelper.hpp>
33-
#include <qle/models/crlgm1fparametrization.hpp>
34-
#include <qle/models/crossassetanalytics.hpp>
35-
#include <qle/models/crossassetanalyticsbase.hpp>
36-
#include <qle/models/crossassetmodel.hpp>
37-
#include <qle/models/crossassetmodelimpliedeqvoltermstructure.hpp>
38-
#include <qle/models/crossassetmodelimpliedfxvoltermstructure.hpp>
39-
#include <qle/models/dkimpliedyoyinflationtermstructure.hpp>
40-
#include <qle/models/dkimpliedzeroinflationtermstructure.hpp>
41-
#include <qle/models/eqbsconstantparametrization.hpp>
42-
#include <qle/models/eqbsparametrization.hpp>
43-
#include <qle/models/eqbspiecewiseconstantparametrization.hpp>
44-
#include <qle/models/fxbsconstantparametrization.hpp>
45-
#include <qle/models/fxbsparametrization.hpp>
46-
#include <qle/models/fxbspiecewiseconstantparametrization.hpp>
47-
#include <qle/models/fxeqoptionhelper.hpp>
48-
#include <qle/models/gaussian1dcrossassetadaptor.hpp>
49-
#include <qle/models/infdkparametrization.hpp>
50-
#include <qle/models/irlgm1fconstantparametrization.hpp>
51-
#include <qle/models/irlgm1fparametrization.hpp>
52-
#include <qle/models/irlgm1fpiecewiseconstanthullwhiteadaptor.hpp>
53-
#include <qle/models/irlgm1fpiecewiseconstantparametrization.hpp>
54-
#include <qle/models/irlgm1fpiecewiselinearparametrization.hpp>
55-
#include <qle/models/jyimpliedzeroinflationtermstructure.hpp>
56-
#include <qle/models/lgm.hpp>
57-
#include <qle/models/lgmimplieddefaulttermstructure.hpp>
58-
#include <qle/models/lgmimpliedyieldtermstructure.hpp>
59-
#include <qle/models/linkablecalibratedmodel.hpp>
60-
#include <qle/models/parametrization.hpp>
61-
#include <qle/models/piecewiseconstanthelper.hpp>
62-
#include <qle/models/pseudoparameter.hpp>
63-
#include <qle/pricingengines/analyticcclgmfxoptionengine.hpp>
64-
#include <qle/pricingengines/analyticdkcpicapfloorengine.hpp>
65-
#include <qle/pricingengines/analyticlgmcdsoptionengine.hpp>
66-
#include <qle/pricingengines/analyticlgmswaptionengine.hpp>
67-
#include <qle/pricingengines/analyticxassetlgmeqoptionengine.hpp>
68-
#include <qle/pricingengines/blackcdsoptionengine.hpp>
69-
#include <qle/pricingengines/blackmultilegoptionengine.hpp>
70-
#include <qle/pricingengines/crossccyswapengine.hpp>
71-
#include <qle/pricingengines/depositengine.hpp>
72-
#include <qle/pricingengines/discountingcommodityforwardengine.hpp>
73-
#include <qle/pricingengines/discountingcurrencyswapengine.hpp>
74-
#include <qle/pricingengines/discountingequityforwardengine.hpp>
75-
#include <qle/pricingengines/discountingfxforwardengine.hpp>
76-
#include <qle/pricingengines/discountingriskybondengine.hpp>
77-
#include <qle/pricingengines/discountingswapenginedeltagamma.hpp>
78-
#include <qle/pricingengines/mcmultilegoptionengine.hpp>
79-
#include <qle/pricingengines/numericlgmmultilegoptionengine.hpp>
80-
#include <qle/pricingengines/oiccbasisswapengine.hpp>
81-
#include <qle/pricingengines/paymentdiscountingengine.hpp>
82-
#include <qle/processes/commodityschwartzstateprocess.hpp>
83-
#include <qle/processes/crossassetstateprocess.hpp>
84-
#include <qle/processes/irlgm1fstateprocess.hpp>
85-
#include <qle/termstructures/pricecurve.hpp>
86-
87-
#include <ql/currencies/america.hpp>
88-
#include <ql/currencies/europe.hpp>
22+
#include <boost/accumulators/statistics/variates/covariate.hpp>
8923
#include <ql/indexes/ibor/euribor.hpp>
90-
#include <ql/indexes/ibor/gbplibor.hpp>
9124
#include <ql/indexes/ibor/usdlibor.hpp>
92-
#include <ql/indexes/inflation/euhicp.hpp>
9325
#include <ql/indexes/inflation/ukrpi.hpp>
94-
#include <ql/instruments/cpicapfloor.hpp>
95-
#include <ql/instruments/vanillaoption.hpp>
96-
#include <ql/instruments/swaption.hpp>
97-
#include <ql/math/optimization/levenbergmarquardt.hpp>
98-
#include <ql/math/randomnumbers/rngtraits.hpp>
99-
#include <ql/math/statistics/incrementalstatistics.hpp>
100-
#include <ql/methods/montecarlo/multipathgenerator.hpp>
101-
#include <ql/methods/montecarlo/pathgenerator.hpp>
102-
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
103-
#include <ql/models/shortrate/onefactormodels/gsr.hpp>
104-
#include <ql/pricingengines/swaption/gaussian1dswaptionengine.hpp>
105-
#include <ql/pricingengines/credit/midpointcdsengine.hpp>
106-
#include <ql/quotes/simplequote.hpp>
107-
#include <ql/termstructures/credit/flathazardrate.hpp>
108-
#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>
109-
#include <ql/termstructures/inflationtermstructure.hpp>
11026
#include <ql/termstructures/yield/flatforward.hpp>
11127
#include <ql/time/calendars/target.hpp>
112-
#include <ql/time/daycounters/actual360.hpp>
113-
#include <ql/time/daycounters/thirty360.hpp>
114-
115-
#include <ql/indexes/ibor/usdlibor.hpp>
116-
#include <boost/make_shared.hpp>
117-
// fix for boost 1.64, see https://lists.boost.org/Archives/boost/2016/11/231756.php
118-
#if BOOST_VERSION >= 106400
119-
#include <boost/serialization/array_wrapper.hpp>
120-
#endif
121-
#include <boost/accumulators/accumulators.hpp>
122-
#include <boost/accumulators/statistics/covariance.hpp>
123-
#include <boost/accumulators/statistics/error_of_mean.hpp>
124-
#include <boost/accumulators/statistics/mean.hpp>
125-
#include <boost/accumulators/statistics/stats.hpp>
126-
#include <boost/accumulators/statistics/variates/covariate.hpp>
127-
#include <boost/make_shared.hpp>
28+
#include <qle/pricingengines/analyticlgmswaptionengine.hpp>
29+
#include <qle/pricingengines/oiccbasisswapengine.hpp>
12830

129-
using namespace QuantLib;
13031
using namespace QuantExt;
13132

132-
using boost::unit_test_framework::test_suite;
133-
using namespace boost::accumulators;
134-
namespace bdata = boost::unit_test::data;
135-
using std::vector;
136-
13733
BOOST_FIXTURE_TEST_SUITE(QuantExtTestSuite, qle::test::TopLevelFixture)
13834

13935
BOOST_AUTO_TEST_SUITE(LgmPricingEdgeCases)

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