Tom Anderson

Using IMM-rolls swaps to build curves

5

As far as i can tell, neither SwapRateHelper nor OISRateHelper take a DateGeneration::Rule parameter, and so always default to backward date generation. This means they can't be used to incorporate...

I haven't actually tested this, but i believe this from reading the code. I will try to write a test case later, but i wanted to report this before i...

Constructing one-day swaps in the vicinity of holidays throws schedule exceptions

4

I'm not sure how much of this, if any, is a bug. One of my users tried to create a series of one-day swaps starting on each of a span...

MakeVanillaSwap / MakeOIS withSettlementDays clears an explicit effective date

3

MakeVanillaSwap and MakeOIS both allow customisation of the swap's settlement days (via withSettlementDays) and effective date (via withEffectiveDate). The settlement days is used to compute the spot date from the...

Shared library does not 'need' boost_system

4

I built QuantLib (with `--enable-thread-safe-singleton-init` configured) on Linux. The shared library declares that it needs a few other libraries: ``` $ objdump -p ql/.libs/libQuantLib.so.0.0.0 | grep NEEDED NEEDED libstdc++.so.6 NEEDED...

Updates are not propagated from a PiecewiseYieldCurve after a failed bootstrap

4

I don't know if this is a bug. If you build a curve based on some quotes, and then observe that curve, you will get an update the first time...

This relates to #1350, "Code base doesn't comply with JUnit's own coding style". It adds the Google Formatter to reformat the code, and Checkstyle to enforce compliance. It doesn't actually...

Map entry matchers

6

_This is a reboot of an earlier PR, #123. I raised that one, we discussed it, you merged it onto the 2.0.0.0 branch, but it never made it into master....

Diffing a modified HTML script element highlights its whole content

1

This is almost surely a feature request, or perhaps just an observation, rather than a bug. > (1) A description of the issue. A screenshot is often helpful too. If...

Misparsing of mapping entries containing colons

2

If i parse this: ``` root: no-colon-in-value: example.org colon-in-value: example.org:80 ``` Then the second entry inside root has a key `colon-in-value: example.org` and a value `example.org:80`. Perhaps the second entry...