update our QuantLib-SWIG fork to v1.30, adjust ORE-SWIG

Author: rolandlichters

OREAnalytics-SWIG/SWIG/orea_app.i

@@ -112,7 +112,6 @@ public:
     void setCurvesGrid(const std::string& s);
     // Setters for sensi analytics
     void setXbsParConversion(bool b);
-    void setAnalyticFxSensis(bool b);
     void setParSensi(bool b);
     void setAlignPillars(bool b);
     void setOutputJacobi(bool b);
@@ -230,7 +229,7 @@ public:
 class OREApp {
   public:
 
-    OREApp(ext::shared_ptr<Parameters> params, bool console = false);
+    OREApp(const ext::shared_ptr<Parameters>& params, bool console = false);
 
     OREApp(const ext::shared_ptr<InputParameters>& inputs, const std::string& logFile, Size logLevel = 31,
            bool console = false);

OREData-SWIG/SWIG/ored_market.i

@@ -127,7 +127,7 @@ class MarketImpl {
     Handle<Quote> equitySpot(const std::string& eqName,
                              const std::string& configuration = Market::defaultConfiguration) const;
     %extend {
-      ext::shared_ptr<QuantExt::EquityIndex> equityCurve(const std::string& indexName,
+      ext::shared_ptr<QuantExt::EquityIndex2> equityCurve(const std::string& indexName,
                                                            const std::string& configuration =
 							   Market::defaultConfiguration) const {
           return self->equityCurve(indexName, configuration).currentLink();

QuantExt-SWIG/SWIG/qle.i

@@ -26,6 +26,7 @@
 #include <qle/quantext.hpp>
 %}
 
+%include qle_calendars.i
 %include qle_cashflows.i
 %include qle_indexes.i
 %include qle_currencies.i

QuantExt-SWIG/SWIG/qle_calendars.i

@@ -22,53 +22,40 @@
 %include calendars.i
 
 %{
-using QuantExt::Austria;
 using QuantExt::Belgium;
 using QuantExt::CME;
 using QuantExt::Colombia;
 using QuantExt::Cyprus;
-using QuantExt::France;
 using QuantExt::Greece;
 using QuantExt::ICE;
 using QuantExt::Ireland;
 using QuantExt::IslamicWeekendsOnly;
-using QuantExt::Israel;
 using QuantExt::Luxembourg;
 using QuantExt::Malaysia;
 using QuantExt::Netherlands;
 using QuantExt::Peru;
 using QuantExt::Philippines;
 using QuantExt::RussiaModified;
-using QuantExt::Switzerland;
+using QuantExt::Spain;
 using QuantExt::Wmr;
 using QuantExt::LargeJointCalendar;
 %}
 
-%shared_ptr(Austria)
-class Austria : public Calendar {
-	public:
-		enum Market {Settlement};
-		Austria(Market m = Settlement);
-};
-
-%shared_ptr(Belgium)
 class Belgium : public Calendar {
 	public:
 		enum Market {Settlement};
 		Belgium(Market m = Settlement);
 };
 
-%shared_ptr(CME)
 class CME : public Calendar {
 	public:
 		CME();
 };
 
-%shared_ptr(Colombia)
 class Colombia : public Calendar {
 	public:
 		enum Market {CSE};
-		Colombia(:Market m = CSE);
+		Colombia(Market m = CSE);
 };
 
 
@@ -105,26 +92,17 @@ class Colombia : public Calendar {
     \test the correctness of the returned results is tested
           against a list of known holidays.
 */
-%shared_ptr(Cyprus)
+
 class Cyprus : public Calendar {
 	public:
 		Cyprus();
 };
 
-%shared_ptr(France)
-class France : public Calendar {
-	public:
-        enum Market {Settlement};
-		France(Market m = Settlement);
-};
-
-%shared_ptr(Greece)
 class Greece : public Calendar {
     public:
         Greece();
 };
 
-%shared_ptr(ICE)
 class ICE : public Calendar {
     public:
         enum Market {
@@ -171,96 +149,62 @@ class ICE : public Calendar {
           against a list of known holidays.
 */
 
-%shared_ptr(Ireland)
 class Ireland : public Calendar {
     enum Market {IrishStockExchange, BankHolidays};
 
     Ireland(const Market market=IrishStockExchange);
 
 };
 
-%shared_ptr(IslamicWeekendsOnly)
 class IslamicWeekendsOnly : public Calendar {
     IslamicWeekendsOnly();
 };
 
-
-//! Israel calendar
-/*! Extend Israel calendar to cover TELBOR publication dates as described at:
-    https://www.boi.org.il/en/Markets/TelborMarket/Documents/telbordef_eng.pdf
-    Telbor holidays 2019, 2020:
-    https://www.boi.org.il/en/Markets/TelborMarket/Documents/NoTelborRates2019.pdf
-    https://www.boi.org.il/en/Markets/TelborMarket/Documents/NoTelborRates2020.pdf
-
-    \ingroup calendars
-*/
-
-%shared_ptr(Israel)
-class Israel : public Calendar {
-    enum MarketExt { Settlement, TASE, Telbor };
-    Israel(MarketExt market = Telbor);
-};
-
-%shared_ptr(Luxembourg)
 class Luxembourg : public Calendar {
     enum Market {Settlement};
     Luxembourg(Market m = Settlement);
 };
 
-
-%shared_ptr(Malaysia)
 class Malaysia : public Calendar {
     enum Market {MYX};
     Malaysia(Market m = MYX);
 };
 
-%shared_ptr(Netherlands)
 class Netherlands : public Calendar {
     enum Market {Settlement};
     Netherlands(Market m = Settlement);
 };
 
-%shared_ptr(Peru)
 class Peru : public Calendar {
     enum Market {LSE};
     Peru(Market m = LSE);
 };
 
-%shared_ptr(Philippines)
 class Philippines : public Calendar {
     enum Market {PHE};
     Philippines(Market m = PHE);
 };
 
-%shared_ptr(RussiaModified) 
 class RussiaModified : public Calendar {
     RussiaModified(Russia::Market = Russia::Settlement);
 };
 
-%shared_ptr(Spain)
 class Spain : public Calendar {
     enum Market {Settlement};
-    Spain(Market m = Settlement)
-};
-
-%shared_ptr(Switzerland)
-class Switzerland : public Calendar {
-    enum Market(Settlement, SIX);
-    Switzerland(Market matker = Settlement);
+    Spain(Market m = Settlement);
 };
 
-%shared_ptr(Wmr)
-class Wr : public Calendar {
+class Wmr : public Calendar {
     enum Market(Settlement);
     Wmr(Market market = Settlement);
 };
 
-%shared_ptr(LargeJointCalendar)
-class LargeJointCalendar : public QuantLib::Calendar {
+class LargeJointCalendar : public Calendar {
     LargeJointCalendar(const std::vector<QuantLib::Calendar>&,
                                 QuantLib::JointCalendarRule = QuantLib::JoinHolidays);
 };
 
+#endif
 
 
 

QuantExt-SWIG/SWIG/qle_currencies.i

@@ -27,9 +27,7 @@ using QuantLib::Currency;
 
 namespace QuantExt {
 	//African currencies
-	class TNDCurrency: public Currency {};
 	class EGPCurrency: public Currency {};
-	class NGNCurrency: public Currency {};
 	class MADCurrency: public Currency {};
 
 	//Asian currencies

QuantExt-SWIG/SWIG/qle_indexes.i

@@ -35,7 +35,8 @@ using QuantExt::BEHICP;
 using QuantExt::BondIndex;
 using QuantExt::BondFuturesIndex;
 using QuantExt::ConstantMaturityBondIndex;
-using QuantExt::EquityIndex;
+// QuantLib has an equity index since v1.30
+using QuantExt::EquityIndex2;
 using QuantExt::FxIndex;
 using QuantExt::BMAIndexWrapper;
 using QuantLib::BMAIndex;
@@ -127,10 +128,13 @@ class ConstantMaturityBondIndex : public InterestRateIndex {
         const ext::shared_ptr<Bond>& bond() const;
 };
 
-%shared_ptr(EquityIndex)
-class EquityIndex : public Index {
+// QuantLib has an equity index since v1.30, so we have renamed the QuantExt version to EquityIndex2 for now.
+// EquityIndex to be consolidated with QuantLib and removed from QuantExt.
+
+%shared_ptr(EquityIndex2)
+class EquityIndex2 : public Index {
     public:
-        EquityIndex(const std::string& familyName, const Calendar& fixingCalendar, const Currency& currency,
+        EquityIndex2(const std::string& familyName, const Calendar& fixingCalendar, const Currency& currency,
                 const Handle<Quote> spotQuote = Handle<Quote>(),
                 const Handle<YieldTermStructure>& rate = Handle<YieldTermStructure>(),
                 const Handle<YieldTermStructure>& dividend = Handle<YieldTermStructure>());
@@ -149,9 +153,8 @@ class EquityIndex : public Index {
         Real forecastFixing(const Date& fixingDate, bool incDividend) const;
         Real forecastFixing(const Time& fixingTime, bool incDividend) const;
         Real pastFixing(const Date& fixingDate) const override;
-        ext::shared_ptr<EquityIndex> clone(const Handle<Quote> spotQuote, const Handle<YieldTermStructure>& rate,
-                                                 const Handle<YieldTermStructure>& dividend) const;
-
+        ext::shared_ptr<EquityIndex2> clone(const Handle<Quote> spotQuote, const Handle<YieldTermStructure>& rate,
+                                            const Handle<YieldTermStructure>& dividend) const;
 
 };