align ql

Author: pcaspers

ORE-SWIG/Wheels/README.md

@@ -9,8 +9,10 @@
 | CPython 3.11   | ✅ | ✅  |✅  |  ✅ | 
 | CPython 3.12   | ✅ | ✅  | ✅   | ✅ |  
 | CPython 3.13   | ✅ | ✅  | ✅   | ✅ |  
-| PyPy 3.7 v7.3  | N/A | N/A | ✅  |  N/A | 
-| PyPy 3.8 v7.3  | N/A | N/A | ✅  | N/A | 
-| PyPy 3.9 v7.3  | N/A | N/A | ✅  | N/A | 
-| PyPy 3.10 v7.3 | N/A | N/A | ✅  | N/A | 
-| PyPy 3.11 v7.3 | N/A | N/A | ✅  | N/A | 
+| PyPy 3.7 v7.3  | N/A | N/A | ✅ ¹  |  N/A | 
+| PyPy 3.8 v7.3  | N/A | N/A | ✅ ¹  | N/A | 
+| PyPy 3.9 v7.3  | N/A | N/A | ✅ ¹ | N/A | 
+| PyPy 3.10 v7.3 | N/A | N/A | ✅ ¹ | N/A | 
+| PyPy 3.11 v7.3 | N/A | N/A | ✅ ¹ | N/A | 
+
+<sup>¹ PyPy wheel are built without ORE Python Integration.</sup><br>

OREData/ored/model/fxbsbuilder.cpp

@@ -16,7 +16,7 @@
  FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
 */
 
-#include <ql/experimental/fx/blackdeltacalculator.hpp>
+#include <ql/pricingengines/blackdeltacalculator.hpp>
 #include <ql/math/optimization/levenbergmarquardt.hpp>
 #include <ql/quotes/simplequote.hpp>
 #include <ql/termstructures/volatility/equityfx/blackconstantvol.hpp>

QuantExt/qle/termstructures/blackdeltautilities.cpp

@@ -17,7 +17,7 @@
 */
 
 #include <ql/experimental/fx/bachelierdeltacalculator.hpp>
-#include <ql/experimental/fx/blackdeltacalculator.hpp>
+#include <ql/pricingengines/blackdeltacalculator.hpp>
 #include <qle/termstructures/blackdeltautilities.hpp>
 
 namespace QuantExt {

QuantExt/qle/termstructures/blackvolsurfaceabsolute.cpp

@@ -19,7 +19,7 @@
 #include <qle/termstructures/blackvolsurfaceabsolute.hpp>
 #include <qle/math/flatextrapolation.hpp>
 
-#include <ql/experimental/fx/blackdeltacalculator.hpp>
+#include <ql/pricingengines/blackdeltacalculator.hpp>
 #include <ql/math/comparison.hpp>
 #include <ql/math/interpolations/cubicinterpolation.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>

QuantExt/qle/termstructures/blackvolsurfacebfrr.cpp

@@ -19,7 +19,7 @@
 #include <qle/termstructures/blackvolsurfacebfrr.hpp>
 #include <qle/utilities/time.hpp>
 
-#include <ql/experimental/fx/blackdeltacalculator.hpp>
+#include <ql/pricingengines/blackdeltacalculator.hpp>
 #include <ql/math/comparison.hpp>
 #include <ql/math/interpolations/cubicinterpolation.hpp>
 #include <ql/math/interpolations/linearinterpolation.hpp>

QuantExt/qle/termstructures/inflation/inflationtraits.hpp

@@ -36,12 +36,7 @@ class CPITraits {
     };
     typedef QuantLib::BootstrapHelper<QuantLib::ZeroInflationTermStructure> helper;
     // start of curve data
-    static QuantLib::Date initialDate(const QuantLib::ZeroInflationTermStructure* t) {
-        if (t->hasExplicitBaseDate())
-            return t->baseDate();
-        else
-            return QuantLib::inflationPeriod(t->referenceDate() - t->observationLag(), t->frequency()).first;
-    }
+    static QuantLib::Date initialDate(const QuantLib::ZeroInflationTermStructure* t) { return t->baseDate(); }
     // value at reference date
 
     static QuantLib::Rate initialValue(const CPICurve* ts) {

QuantExt/qle/termstructures/inflation/interpolatedcpiinflationcurve.hpp

@@ -106,19 +106,12 @@ InterpolatedCPIInflationCurve<Interpolator>::InterpolatedCPIInflationCurve(
       QuantLib::InterpolatedCurve<Interpolator>(interpolator) {}
 
 template <class T> QuantLib::Date InterpolatedCPIInflationCurve<T>::baseDate() const {
-    if (hasExplicitBaseDate())
-        return ZeroInflationTermStructure::baseDate();
-    else
-        return dates_.front();
-}
 
-template <class T> QuantLib::Date InterpolatedCPIInflationCurve<T>::maxDate() const {
-    if (hasExplicitBaseDate())
-        return dates_.back();
-    else
-        return QuantLib::inflationPeriod(dates_.back(), frequency()).second;
+    return ZeroInflationTermStructure::baseDate();
 }
 
+template <class T> QuantLib::Date InterpolatedCPIInflationCurve<T>::maxDate() const { return dates_.back(); }
+
 template <class T> inline QuantLib::Rate InterpolatedCPIInflationCurve<T>::forwardCPIImpl(QuantLib::Time t) const {
     return this->interpolation_(t, true);
 }

QuantExt/qle/termstructures/inflation/piecewisecpiinflationcurve.hpp

@@ -84,8 +84,6 @@ class PiecewiseCPIInflationCurve : public Traits::template curve<Interpolator>::
 
 template <class I, template <class> class B, class T>
 inline QuantLib::Date PiecewiseCPIInflationCurve<I, B, T>::baseDate() const {
-    if (!this->hasExplicitBaseDate())
-        this->calculate();
     return base_curve::baseDate();
 }
 

QuantExt/qle/termstructures/piecewiseoptionletcurve.hpp

@@ -168,7 +168,6 @@ class PiecewiseOptionletCurve : public InterpolatedOptionletCurve<Interpolator>,
 
     // Bootstrapper classes are declared as friend to manipulate the curve data
     friend class Bootstrap<this_curve>;
-    friend class PenaltyFunction<this_curve>;
 
     Bootstrap<this_curve> bootstrap_;
 };

QuantExt/qle/termstructures/piecewisepricecurve.hpp

@@ -153,7 +153,6 @@ class PiecewisePriceCurve : public InterpolatedPriceCurve<Interpolator> {
     Real accuracy_;
 
     friend class Bootstrap<this_curve>;
-    friend class PenaltyFunction<this_curve>;
     Bootstrap<this_curve> bootstrap_;
 };