cleanup

Author: pcaspers

OREAnalytics/orea/orea.hpp

@@ -22,6 +22,7 @@
 #include <orea/aggregation/staticcreditxvacalculator.hpp>
 #include <orea/aggregation/xvacalculator.hpp>
 #include <orea/app/analytic.hpp>
+#include <orea/app/analytics/imscheduleanalytic.hpp>
 #include <orea/app/analytics/parconversionanalytic.hpp>
 #include <orea/app/analytics/pricinganalytic.hpp>
 #include <orea/app/analytics/scenarioanalytic.hpp>
@@ -64,6 +65,7 @@
 #include <orea/engine/historicalpnlgenerator.hpp>
 #include <orea/engine/historicalsensipnlcalculator.hpp>
 #include <orea/engine/historicalsimulationvar.hpp>
+#include <orea/engine/marketriskbacktest.hpp>
 #include <orea/engine/marketriskreport.hpp>
 #include <orea/engine/mporcalculator.hpp>
 #include <orea/engine/multistatenpvcalculator.hpp>
@@ -85,6 +87,7 @@
 #include <orea/engine/stresstest.hpp>
 #include <orea/engine/valuationcalculator.hpp>
 #include <orea/engine/valuationengine.hpp>
+#include <orea/engine/varbacktest.hpp>
 #include <orea/engine/varcalculator.hpp>
 #include <orea/engine/xvaenginecg.hpp>
 #include <orea/engine/zerotoparcube.hpp>
@@ -121,6 +124,8 @@
 #include <orea/simm/crif.hpp>
 #include <orea/simm/crifloader.hpp>
 #include <orea/simm/crifrecord.hpp>
+#include <orea/simm/imschedulecalculator.hpp>
+#include <orea/simm/imscheduleresults.hpp>
 #include <orea/simm/simmbasicnamemapper.hpp>
 #include <orea/simm/simmbucketmapper.hpp>
 #include <orea/simm/simmbucketmapperbase.hpp>

OREData/ored/CMakeLists.txt

@@ -623,8 +623,8 @@ portfolio/equityfuturesoption.hpp
 portfolio/equityfxlegbuilder.hpp
 portfolio/equityfxlegdata.hpp
 portfolio/equityoption.hpp
-portfolio/equityoutperformanceoption.hpp
 portfolio/equityoptionposition.hpp
+portfolio/equityoutperformanceoption.hpp
 portfolio/equityposition.hpp
 portfolio/equityswap.hpp
 portfolio/equitytouchoption.hpp

OREData/ored/ored.hpp

@@ -34,6 +34,8 @@
 #include <ored/marketdata/adjustedinmemoryloader.hpp>
 #include <ored/marketdata/adjustmentfactors.hpp>
 #include <ored/marketdata/basecorrelationcurve.hpp>
+#include <ored/marketdata/bondspreadimply.hpp>
+#include <ored/marketdata/bondspreadimplymarket.hpp>
 #include <ored/marketdata/capfloorvolcurve.hpp>
 #include <ored/marketdata/cdsvolcurve.hpp>
 #include <ored/marketdata/clonedloader.hpp>
@@ -114,6 +116,7 @@
 #include <ored/portfolio/ascot.hpp>
 #include <ored/portfolio/asianoption.hpp>
 #include <ored/portfolio/autocallable_01.hpp>
+#include <ored/portfolio/balanceguaranteedswap.hpp>
 #include <ored/portfolio/barrierdata.hpp>
 #include <ored/portfolio/barrieroption.hpp>
 #include <ored/portfolio/barrieroptionwrapper.hpp>
@@ -130,6 +133,7 @@
 #include <ored/portfolio/bondutils.hpp>
 #include <ored/portfolio/builders/ascot.hpp>
 #include <ored/portfolio/builders/asianoption.hpp>
+#include <ored/portfolio/builders/balanceguaranteedswap.hpp>
 #include <ored/portfolio/builders/bond.hpp>
 #include <ored/portfolio/builders/bondoption.hpp>
 #include <ored/portfolio/builders/bondrepo.hpp>
@@ -162,6 +166,7 @@
 #include <ored/portfolio/builders/creditdefaultswapoption.hpp>
 #include <ored/portfolio/builders/creditlinkedswap.hpp>
 #include <ored/portfolio/builders/currencyswap.hpp>
+#include <ored/portfolio/builders/deltagammaengines.hpp>
 #include <ored/portfolio/builders/durationadjustedcms.hpp>
 #include <ored/portfolio/builders/equityasianoption.hpp>
 #include <ored/portfolio/builders/equitybarrieroption.hpp>
@@ -172,7 +177,9 @@
 #include <ored/portfolio/builders/equityforward.hpp>
 #include <ored/portfolio/builders/equityfuturesoption.hpp>
 #include <ored/portfolio/builders/equityoption.hpp>
+#include <ored/portfolio/builders/equityoutperformanceoption.hpp>
 #include <ored/portfolio/builders/equitytouchoption.hpp>
+#include <ored/portfolio/builders/flexiswap.hpp>
 #include <ored/portfolio/builders/formulabasedcoupon.hpp>
 #include <ored/portfolio/builders/forwardbond.hpp>
 #include <ored/portfolio/builders/fxasianoption.hpp>
@@ -187,6 +194,7 @@
 #include <ored/portfolio/builders/indexcreditdefaultswap.hpp>
 #include <ored/portfolio/builders/indexcreditdefaultswapoption.hpp>
 #include <ored/portfolio/builders/multilegoption.hpp>
+#include <ored/portfolio/builders/pairwisevarianceswap.hpp>
 #include <ored/portfolio/builders/quantoequityoption.hpp>
 #include <ored/portfolio/builders/quantovanillaoption.hpp>
 #include <ored/portfolio/builders/riskparticipationagreement.hpp>
@@ -196,6 +204,7 @@
 #include <ored/portfolio/builders/vanillaoption.hpp>
 #include <ored/portfolio/builders/varianceswap.hpp>
 #include <ored/portfolio/builders/yoycapfloor.hpp>
+#include <ored/portfolio/callableswap.hpp>
 #include <ored/portfolio/capfloor.hpp>
 #include <ored/portfolio/cbo.hpp>
 #include <ored/portfolio/cdo.hpp>
@@ -241,12 +250,14 @@
 #include <ored/portfolio/equityfxlegdata.hpp>
 #include <ored/portfolio/equityoption.hpp>
 #include <ored/portfolio/equityoptionposition.hpp>
+#include <ored/portfolio/equityoutperformanceoption.hpp>
 #include <ored/portfolio/equityposition.hpp>
 #include <ored/portfolio/equityswap.hpp>
 #include <ored/portfolio/equitytouchoption.hpp>
 #include <ored/portfolio/europeanoptionbarrier.hpp>
 #include <ored/portfolio/failedtrade.hpp>
 #include <ored/portfolio/fixingdates.hpp>
+#include <ored/portfolio/flexiswap.hpp>
 #include <ored/portfolio/formulabasedindexbuilder.hpp>
 #include <ored/portfolio/formulabasedlegbuilder.hpp>
 #include <ored/portfolio/formulabasedlegdata.hpp>
@@ -285,6 +296,7 @@
 #include <ored/portfolio/optionexercisedata.hpp>
 #include <ored/portfolio/optionpaymentdata.hpp>
 #include <ored/portfolio/optionwrapper.hpp>
+#include <ored/portfolio/pairwisevarianceswap.hpp>
 #include <ored/portfolio/performanceoption_01.hpp>
 #include <ored/portfolio/portfolio.hpp>
 #include <ored/portfolio/premiumdata.hpp>

QuantExt/qle/CMakeLists.txt

@@ -138,9 +138,9 @@ instruments/makeoiscapfloor.cpp
 instruments/multiccycompositeinstrument.cpp
 instruments/multilegoption.cpp
 instruments/oiccbasisswap.cpp
-instruments/payment.cpp
 instruments/outperformanceoption.cpp
 instruments/pairwisevarianceswap.cpp
+instruments/payment.cpp
 instruments/rebatedexercise.cpp
 instruments/riskparticipationagreement.cpp
 instruments/riskparticipationagreement_tlock.cpp
@@ -241,6 +241,7 @@ pricingengines/analyticdkcpicapfloorengine.cpp
 pricingengines/analyticdoublebarrierbinaryengine.cpp
 pricingengines/analyticdoublebarrierengine.cpp
 pricingengines/analyticeuropeanengine.cpp
+pricingengines/analyticeuropeanenginedeltagamma.cpp
 pricingengines/analyticeuropeanforwardengine.cpp
 pricingengines/analyticjycpicapfloorengine.cpp
 pricingengines/analyticjyyoycapfloorengine.cpp
@@ -266,7 +267,6 @@ pricingengines/cpiblackcapfloorengine.cpp
 pricingengines/cpicapfloorengines.cpp
 pricingengines/crossccyswapengine.cpp
 pricingengines/depositengine.cpp
-pricingengines/analyticeuropeanenginedeltagamma.cpp
 pricingengines/discountingbondrepoengine.cpp
 pricingengines/discountingbondtrsengine.cpp
 pricingengines/discountingcommodityforwardengine.cpp
@@ -801,8 +801,8 @@ pricingengines/discountingfxforwardengine.hpp
 pricingengines/discountingfxforwardenginedeltagamma.hpp
 pricingengines/discountingriskybondengine.hpp
 pricingengines/discountingriskybondenginemultistate.hpp
-pricingengines/discountingswapenginemulticurve.hpp
 pricingengines/discountingswapenginedeltagamma.hpp
+pricingengines/discountingswapenginemulticurve.hpp
 pricingengines/discretizedconvertible.hpp
 pricingengines/fdconvertiblebondevents.hpp
 pricingengines/fddefaultableequityjumpdiffusionconvertiblebondengine.hpp

QuantExt/qle/quantext.hpp

@@ -168,6 +168,7 @@
 #include <qle/indexes/secpi.hpp>
 #include <qle/instruments/ascot.hpp>
 #include <qle/instruments/averageois.hpp>
+#include <qle/instruments/balanceguaranteedswap.hpp>
 #include <qle/instruments/bondbasket.hpp>
 #include <qle/instruments/bondoption.hpp>
 #include <qle/instruments/bondrepo.hpp>
@@ -193,6 +194,7 @@
 #include <qle/instruments/deposit.hpp>
 #include <qle/instruments/equityforward.hpp>
 #include <qle/instruments/fixedbmaswap.hpp>
+#include <qle/instruments/flexiswap.hpp>
 #include <qle/instruments/forwardbond.hpp>
 #include <qle/instruments/fxforward.hpp>
 #include <qle/instruments/genericswaption.hpp>
@@ -206,6 +208,8 @@
 #include <qle/instruments/multilegoption.hpp>
 #include <qle/instruments/nullinstrument.hpp>
 #include <qle/instruments/oiccbasisswap.hpp>
+#include <qle/instruments/outperformanceoption.hpp>
+#include <qle/instruments/pairwisevarianceswap.hpp>
 #include <qle/instruments/payment.hpp>
 #include <qle/instruments/rebatedexercise.hpp>
 #include <qle/instruments/riskparticipationagreement.hpp>
@@ -243,6 +247,7 @@
 #include <qle/math/randomvariable_ops.hpp>
 #include <qle/math/randomvariablelsmbasissystem.hpp>
 #include <qle/math/stabilisedglls.hpp>
+#include <qle/math/stoplightbounds.hpp>
 #include <qle/math/trace.hpp>
 #include <qle/methods/brownianbridgepathinterpolator.hpp>
 #include <qle/methods/fdmblackscholesmesher.hpp>
@@ -356,18 +361,21 @@
 #include <qle/pricingengines/analyticdoublebarrierbinaryengine.hpp>
 #include <qle/pricingengines/analyticdoublebarrierengine.hpp>
 #include <qle/pricingengines/analyticeuropeanengine.hpp>
+#include <qle/pricingengines/analyticeuropeanenginedeltagamma.hpp>
 #include <qle/pricingengines/analyticeuropeanforwardengine.hpp>
 #include <qle/pricingengines/analyticjycpicapfloorengine.hpp>
 #include <qle/pricingengines/analyticjyyoycapfloorengine.hpp>
 #include <qle/pricingengines/analyticlgmcdsoptionengine.hpp>
 #include <qle/pricingengines/analyticlgmswaptionengine.hpp>
+#include <qle/pricingengines/analyticoutperformanceoptionengine.hpp>
 #include <qle/pricingengines/analyticxassetlgmeqoptionengine.hpp>
 #include <qle/pricingengines/baroneadesiwhaleyengine.hpp>
 #include <qle/pricingengines/binomialconvertibleengine.hpp>
 #include <qle/pricingengines/blackbondoptionengine.hpp>
 #include <qle/pricingengines/blackcdsoptionengine.hpp>
 #include <qle/pricingengines/blackindexcdsoptionengine.hpp>
 #include <qle/pricingengines/blackmultilegoptionengine.hpp>
+#include <qle/pricingengines/blackswaptionenginedeltagamma.hpp>
 #include <qle/pricingengines/cboengine.hpp>
 #include <qle/pricingengines/cbomcengine.hpp>
 #include <qle/pricingengines/commodityapoengine.hpp>
@@ -384,11 +392,14 @@
 #include <qle/pricingengines/discountingcommodityforwardengine.hpp>
 #include <qle/pricingengines/discountingcreditlinkedswapengine.hpp>
 #include <qle/pricingengines/discountingcurrencyswapengine.hpp>
+#include <qle/pricingengines/discountingcurrencyswapenginedeltagamma.hpp>
 #include <qle/pricingengines/discountingequityforwardengine.hpp>
 #include <qle/pricingengines/discountingforwardbondengine.hpp>
 #include <qle/pricingengines/discountingfxforwardengine.hpp>
+#include <qle/pricingengines/discountingfxforwardenginedeltagamma.hpp>
 #include <qle/pricingengines/discountingriskybondengine.hpp>
 #include <qle/pricingengines/discountingriskybondenginemultistate.hpp>
+#include <qle/pricingengines/discountingswapenginedeltagamma.hpp>
 #include <qle/pricingengines/discountingswapenginemulticurve.hpp>
 #include <qle/pricingengines/discretizedconvertible.hpp>
 #include <qle/pricingengines/fdconvertiblebondevents.hpp>
@@ -409,8 +420,11 @@
 #include <qle/pricingengines/midpointcdsenginemultistate.hpp>
 #include <qle/pricingengines/midpointindexcdsengine.hpp>
 #include <qle/pricingengines/numericalintegrationindexcdsoptionengine.hpp>
+#include <qle/pricingengines/numericlgmbgsflexiswapengine.hpp>
+#include <qle/pricingengines/numericlgmflexiswapengine.hpp>
 #include <qle/pricingengines/numericlgmmultilegoptionengine.hpp>
 #include <qle/pricingengines/oiccbasisswapengine.hpp>
+#include <qle/pricingengines/pairwisevarianceswapengine.hpp>
 #include <qle/pricingengines/paymentdiscountingengine.hpp>
 #include <qle/pricingengines/tflattice.hpp>
 #include <qle/pricingengines/varianceswapgeneralreplicationengine.hpp>

QuantExt/test/CMakeLists.txt

@@ -7,12 +7,12 @@ analyticlgmswaptionengine.cpp
 basecorrelationcurve.cpp
 bfrrvolsurface.cpp
 blackswaptionenginedeltagamma.cpp
+blacktriangulation.cpp
 blackvariancecurve.cpp
 blackvariancesurfacesparse.cpp
 blackvariancesurfacestddevs.cpp
 blackvolsurfacedelta.cpp
 blackvolsurfaceproxy.cpp
-blacktriangulation.cpp
 blockmatrixinverse.cpp
 bondoption.cpp
 bonds.cpp
@@ -78,9 +78,9 @@ quadraticinterpolation.cpp
 randomvariable.cpp
 randomvariablelsmbasissystem.cpp
 ratehelpers.cpp
-stoplightbounds.cpp
 stabilisedglls.cpp
 staticallycorrectedyieldtermstructure.cpp
+stoplightbounds.cpp
 strippedoptionletadapter.cpp
 strippedoptionletadapter2.cpp
 survivalprobabilitycurve.cpp