Merge 7067ec8 into 256cc86

Examples/BasketLosses/BasketLosses.cpp

@@ -70,7 +70,7 @@ int main(int, char* []) {
         for(Size i=0; i<hazardRates.size(); i++)
             names.push_back(std::string("Acme") + std::to_string(i));
         std::vector<Handle<DefaultProbabilityTermStructure> > defTS;
-        for (double& hazardRate : hazardRates) {
+        for (Real& hazardRate : hazardRates) {
             defTS.emplace_back(
                 ext::make_shared<FlatHazardRate>(0, TARGET(), hazardRate, Actual365Fixed()));
             defTS.back()->enableExtrapolation();

Examples/Bonds/Bonds.cpp

@@ -163,7 +163,7 @@ int main(int, char* []) {
         };
 
         std::vector< ext::shared_ptr<SimpleQuote> > quote;
-        for (double marketQuote : marketQuotes) {
+        for (Real marketQuote : marketQuotes) {
             ext::shared_ptr<SimpleQuote> cp(new SimpleQuote(marketQuote));
             quote.push_back(cp);
         }

Examples/FittedBondCurve/FittedBondCurve.cpp

@@ -89,12 +89,12 @@ int main(int, char* []) {
         const Size numberOfBonds = 15;
         Real cleanPrice[numberOfBonds];
 
-        for (double& i : cleanPrice) {
+        for (Real& i : cleanPrice) {
             i = 100.0;
         }
 
         std::vector< ext::shared_ptr<SimpleQuote> > quote;
-        for (double i : cleanPrice) {
+        for (Real i : cleanPrice) {
             ext::shared_ptr<SimpleQuote> cp(new SimpleQuote(i));
             quote.push_back(cp);
         }
@@ -227,7 +227,7 @@ int main(int, char* []) {
                            20.0,  25.0, 30.0, 40.0, 50.0 };
 
         std::vector<Time> knotVector;
-        for (double& knot : knots) {
+        for (Real& knot : knots) {
             knotVector.push_back(knot);
         }
 

Examples/GlobalOptimizer/GlobalOptimizer.cpp

@@ -56,7 +56,7 @@ Real ackley(const Array& x) {
     //Minimum is found at 0
     Real p1 = 0.0, p2 = 0.0;
 
-    for (double i : x) {
+    for (Real i : x) {
         p1 += i * i;
         p2 += std::cos(M_TWOPI * i);
     }
@@ -103,7 +103,7 @@ Real rosenbrock(const Array& x) {
 Real easom(const Array& x) {
     //Minimum is found at f(\pi, \pi, ...)
     Real p1 = 1.0, p2 = 0.0;
-    for (double i : x) {
+    for (Real i : x) {
         p1 *= std::cos(i);
         p2 += (i - M_PI) * (i - M_PI);
     }

Examples/LatentModel/LatentModel.cpp

@@ -71,7 +71,7 @@ int main(int, char* []) {
             names.push_back(std::string("Acme") + std::to_string(i));
         std::vector<Handle<DefaultProbabilityTermStructure> > defTS;
         defTS.reserve(hazardRates.size());
-        for (double& hazardRate : hazardRates)
+        for (Real& hazardRate : hazardRates)
             defTS.emplace_back(
                 ext::make_shared<FlatHazardRate>(0, TARGET(), hazardRate, Actual365Fixed()));
         std::vector<Issuer> issuers;

Examples/MarketModels/MarketModels.cpp

@@ -322,7 +322,7 @@ int Bermudan()
 
     std::vector<Real> means(stats.mean());
 
-    for (double mean : means)
+    for (Real mean : means)
         std::cout << mean << "\n";
 
     std::cout << " time to build strategy, " << (t2-t1)/static_cast<Real>(CLOCKS_PER_SEC)<< ", seconds.\n";
@@ -655,7 +655,7 @@ int InverseFloater(Real rateLevel)
 
     std::vector<Real> means(stats.mean());
 
-    for (double mean : means)
+    for (Real mean : means)
         std::cout << mean << "\n";
 
     std::cout << " time to build strategy, " << (t2-t1)/static_cast<Real>(CLOCKS_PER_SEC)<< ", seconds.\n";

Examples/MultidimIntegral/MultidimIntegral.cpp

@@ -46,7 +46,7 @@ namespace QuantLib {
 struct integrand {
     Real operator()(const std::vector<Real>& arg) const {
         Real sum = 1.;
-        for (double i : arg)
+        for (Real i : arg)
             sum *= std::exp(-i * i) * std::cos(i);
         return sum;
     }

ql/cashflows/conundrumpricer.cpp

@@ -601,7 +601,7 @@ namespace QuantLib {
 
     Real GFunctionFactory::GFunctionExactYield::operator()(Real x) {
         Real product = 1.;
-        for (double accrual : accruals_) {
+        for (Real accrual : accruals_) {
             product *= 1. / (1. + accrual * x);
         }
         return x*std::pow(1.+ accruals_[0]*x,-delta_)*(1./(1.-product));
@@ -612,7 +612,7 @@ namespace QuantLib {
         Real derC = 0.;
         std::vector<Real> b;
         b.reserve(accruals_.size());
-        for (double accrual : accruals_) {
+        for (Real accrual : accruals_) {
             Real temp = 1.0 / (1.0 + accrual * x);
             b.push_back(temp);
             c *= temp;
@@ -634,7 +634,7 @@ namespace QuantLib {
         Real sumOfSquare = 0.;
         std::vector<Real> b;
         b.reserve(accruals_.size());
-        for (double accrual : accruals_) {
+        for (Real accrual : accruals_) {
             Real temp = 1.0 / (1.0 + accrual * x);
             b.push_back(temp);
             c *= temp;
@@ -699,7 +699,7 @@ namespace QuantLib {
                 ext::dynamic_pointer_cast<Coupon>(fixedLeg[i]);
             accruals_.push_back(cpn->accrualPeriod());
             const Date paymentDate(cpn->date());
-            const double swapPaymentTime(dc.yearFraction(rateCurve->referenceDate(), paymentDate));
+            const Real swapPaymentTime(dc.yearFraction(rateCurve->referenceDate(), paymentDate));
             shapedSwapPaymentTimes_.push_back(shapeOfShift(swapPaymentTime));
             swapPaymentDiscounts_.push_back(rateCurve->discount(paymentDate));
         }

ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp

@@ -38,8 +38,8 @@ namespace QuantLib {
                   Real xiRightLimit) : t_(0.0), T_(T), K_(K), logK_(std::log(K)), cutoff_(cutoff),
                                        parent_(parent), xiRightLimit_(xiRightLimit), i_(std::complex<Real>(0.0, 1.0)) {}
 
-        double operator()(double xi) const {
-            double xiDash = (0.5+1e-8+0.5*xi) * xiRightLimit_; // Map xi to full range
+        Real operator()(Real xi) const {
+            Real xiDash = (0.5+1e-8+0.5*xi) * xiRightLimit_; // Map xi to full range
 
             std::complex<Real> inner1 = parent_->Phi(1.0 + xiDash*i_, 0, T_, t_, cutoff_);
             std::complex<Real> inner2 = - K_*parent_->Phi(xiDash*i_, 0, T_, t_, cutoff_);
@@ -63,8 +63,8 @@ namespace QuantLib {
             denominator_ = std::log(riskFreeRate_->discount(t_)) - std::log(dividendYield_->discount(t_));
         }
 
-        double operator()(double u) const {
-            double uDash = (0.5+1e-8+0.5*u) * (T_ - t_) + t_; // Map u to full range
+        Real operator()(Real u) const {
+            Real uDash = (0.5+1e-8+0.5*u) * (T_ - t_) + t_; // Map u to full range
             return 0.5*(T_ - t_)*(-std::log(riskFreeRate_->discount(uDash))
                                + std::log(dividendYield_->discount(uDash)) + denominator_);
         }
@@ -172,7 +172,7 @@ namespace QuantLib {
         for (Size i=0; i<cutoff; i++) {
             temp = f(z1, z2, z3, z4, i, tau);
             runningSum1 += temp;
-            runningSum2 += temp*double(i)/tau;
+            runningSum2 += temp*Real(i)/tau;
         }
 
         std::pair<std::complex<Real>, std::complex<Real> > result(runningSum1, runningSum2);

ql/experimental/asian/analytic_discr_geom_av_price_heston.cpp

@@ -45,8 +45,8 @@ namespace QuantLib {
           tauK_(std::move(tauK)), parent_(parent), xiRightLimit_(xiRightLimit),
           i_(std::complex<Real>(0.0, 1.0)) {}
 
-        double operator()(double xi) const {
-            double xiDash = (0.5+1e-8+0.5*xi) * xiRightLimit_; // Map xi to full range
+        Real operator()(Real xi) const {
+            Real xiDash = (0.5+1e-8+0.5*xi) * xiRightLimit_; // Map xi to full range
 
             std::complex<Real> inner1 = parent_->Phi(1.0 + xiDash*i_, 0, t_, T_, kStar_, t_n_, tauK_);
             std::complex<Real> inner2 = -K_*parent_->Phi(xiDash*i_, 0, t_, T_, kStar_, t_n_, tauK_);
@@ -96,8 +96,8 @@ namespace QuantLib {
 
     std::complex<Real> AnalyticDiscreteGeometricAveragePriceAsianHestonEngine::z(
             const std::complex<Real>& s, const std::complex<Real>& w, Size k, Size n) const {
-        auto k_ = double(k);
-        auto n_ = double(n);
+        auto k_ = Real(k);
+        auto n_ = Real(n);
         std::complex<Real> term1 = (2*rho_*kappa_ - sigma_)*((n_-k_+1)*s + n_*w)/(2*sigma_*n_);
         std::complex<Real> term2 = (1-rho_*rho_)*pow(((n_-k_+1)*s + n_*w), 2)/(2*n_*n_);
 
@@ -120,8 +120,8 @@ namespace QuantLib {
             const std::complex<Real>& w,
             Time t, Time T, Size kStar,
             const std::vector<Time>& t_n) const {
-        auto kStar_ = double(kStar);
-        auto n_ = double(t_n.size());
+        auto kStar_ = Real(kStar);
+        auto n_ = Real(t_n.size());
         Real temp = -rho_*kappa_*theta_/sigma_;
 
         Time summation = 0.0;
@@ -262,7 +262,7 @@ namespace QuantLib {
         tkr_tk_ = std::vector<Real>();
         tr_t_ = -std::log(riskFreeRate_->discount(startTime) / dividendYield_->discount(startTime));
         Tr_T_ = -std::log(riskFreeRate_->discount(expiryTime) / dividendYield_->discount(expiryTime));
-        for (double fixingTime : fixingTimes) {
+        for (Real fixingTime : fixingTimes) {
             if (fixingTime < 0) {
                 tkr_tk_.push_back(1.0);
             } else {

ql/experimental/barrieroption/discretizeddoublebarrieroption.cpp

@@ -70,7 +70,7 @@ namespace QuantLib {
                 stoppingTime = true;
             break;
           case Exercise::Bermudan:
-              for (double i : stoppingTimes_) {
+              for (Real i : stoppingTimes_) {
                   if (isOnTime(i)) {
                       stoppingTime = true;
                       break;

ql/experimental/basismodels/tenoroptionletvts.cpp

@@ -87,7 +87,7 @@ namespace QuantLib {
 
     Volatility TenorOptionletVTS::TenorOptionletSmileSection::volatilityImpl(Rate strike) const {
         Real sum_v = 0.0;
-        for (double k : v_)
+        for (Real k : v_)
             sum_v += k;
         std::vector<Real> volBase(v_.size());
         for (Size k = 0; k < fraRateBase_.size(); ++k) {

ql/experimental/basismodels/tenorswaptionvts.cpp

@@ -91,7 +91,7 @@ namespace QuantLib {
         // calculate affine TSR model u and v
         // Sum tau_j   (fixed leg)
         Real sumTauj = 0.0;
-        for (double k : cfs.annuityWeights())
+        for (Real k : cfs.annuityWeights())
             sumTauj += k;
         // Sum tau_j (T_M - T_j)   (fixed leg)
         Real sumTaujDeltaT = 0.0;
@@ -100,7 +100,7 @@ namespace QuantLib {
                 cfs.annuityWeights()[k] * (cfs.fixedTimes().back() - cfs.fixedTimes()[k]);
         // Sum w_i   (float leg)
         Real sumWi = 0.0;
-        for (double k : cfs.floatWeights())
+        for (Real k : cfs.floatWeights())
             sumWi += k;
         // Sum w_i (T_N - T_i)    (float leg)
         Real sumWiDeltaT = 0.0;

ql/experimental/callablebonds/callablebond.cpp

@@ -154,10 +154,10 @@ namespace QuantLib {
                           Compounding compounding,
                           Frequency frequency)
     {
-        double zz=yts->zeroRate(b.maturityDate(),
-                                dayCounter,
-                                Continuous,
-                                NoFrequency);
+        Real zz=yts->zeroRate(b.maturityDate(),
+                              dayCounter,
+                              Continuous,
+                              NoFrequency);
         InterestRate baseRate(zz,
                               dayCounter,
                               Continuous,
@@ -166,16 +166,16 @@ namespace QuantLib {
                                   dayCounter,
                                   Continuous,
                                   NoFrequency);
-        double br=baseRate.equivalentRate(dayCounter,
-                                          compounding,
-                                          frequency,
-                                          yts->referenceDate(),
-                                          b.maturityDate()).rate();
-        double sr=spreadedRate.equivalentRate(dayCounter,
-                                              compounding,
-                                              frequency,
-                                              yts->referenceDate(),
-                                              b.maturityDate()).rate();
+        Real br=baseRate.equivalentRate(dayCounter,
+                                        compounding,
+                                        frequency,
+                                        yts->referenceDate(),
+                                        b.maturityDate()).rate();
+        Real sr=spreadedRate.equivalentRate(dayCounter,
+                                            compounding,
+                                            frequency,
+                                            yts->referenceDate(),
+                                            b.maturityDate()).rate();
         // Return the spread
         return sr-br;
     }
@@ -190,10 +190,10 @@ namespace QuantLib {
                           Compounding compounding,
                           Frequency frequency)
     {
-        double zz=yts->zeroRate(b.maturityDate(),
-                                dayCounter,
-                                compounding,
-                                frequency);
+        Real zz=yts->zeroRate(b.maturityDate(),
+                              dayCounter,
+                              compounding,
+                              frequency);
         InterestRate baseRate(zz,
                               dayCounter,
                               compounding,
@@ -203,16 +203,16 @@ namespace QuantLib {
                                   dayCounter,
                                   compounding,
                                   frequency);
-        double br=baseRate.equivalentRate(dayCounter,
-                                          Continuous,
-                                          NoFrequency,
-                                          yts->referenceDate(),
-                                          b.maturityDate()).rate();
-        double sr=spreadedRate.equivalentRate(dayCounter,
-                                              Continuous,
-                                              NoFrequency,
-                                              yts->referenceDate(),
-                                              b.maturityDate()).rate();
+        Real br=baseRate.equivalentRate(dayCounter,
+                                        Continuous,
+                                        NoFrequency,
+                                        yts->referenceDate(),
+                                        b.maturityDate()).rate();
+        Real sr=spreadedRate.equivalentRate(dayCounter,
+                                            Continuous,
+                                            NoFrequency,
+                                            yts->referenceDate(),
+                                            b.maturityDate()).rate();
         // Return the spread
         return sr-br;
     }

ql/experimental/credit/basket.cpp

@@ -59,7 +59,7 @@ namespace QuantLib {
         //   probability term structures for the defultKeys(eventType+
         //   currency+seniority) entering in this basket. This is not
         //   necessarily a problem.
-        for (double notional : notionals_) {
+        for (Real notional : notionals_) {
             basketNotional_ += notional;
             attachmentAmount_ += notional * attachmentRatio_;
             detachmentAmount_ += notional * detachmentRatio_;
@@ -103,7 +103,7 @@ namespace QuantLib {
     }
 
     Real Basket::notional() const {
-        return std::accumulate(notionals_.begin(), notionals_.end(), 0.0);
+        return std::accumulate(notionals_.begin(), notionals_.end(), Real(0.0));
     }
 
     vector<Real> Basket::probabilities(const Date& d) const {

ql/experimental/credit/binomiallossmodel.hpp

@@ -179,7 +179,7 @@ namespace QuantLib {
         // of full portfolio:
         Real avgProb = avgLgd <= QL_EPSILON ? 0. : // only if all are 0
                 std::inner_product(condDefProb.begin(), 
-                    condDefProb.end(), lgdsLeft.begin(), 0.)
+                    condDefProb.end(), lgdsLeft.begin(), Real(0.))
                 / (avgLgd * bsktSize);
         // model parameters:
         Real m = avgProb * bsktSize;
@@ -200,7 +200,7 @@ namespace QuantLib {
         std::transform(lgdsLeft.begin(), lgdsLeft.end(), 
             lgdsLeft.begin(), lgdsLeft.begin(), std::multiplies<Real>());
         Real variance = std::inner_product(condDefProb.begin(), 
-            condDefProb.end(), lgdsLeft.begin(), 0.);
+            condDefProb.end(), lgdsLeft.begin(), Real(0.));
 
         variance = avgLgd <= QL_EPSILON ? 0. : 
             variance / (bsktSize * bsktSize * avgLgd * avgLgd );

ql/experimental/credit/distribution.cpp

@@ -266,7 +266,7 @@ namespace QuantLib {
         dx_.erase(dx_.begin() + size_, dx_.end());
 
         // truncate
-        for (double& i : x_) {
+        for (Real& i : x_) {
             i = std::min(std::max(i - attachmentPoint, 0.), detachmentPoint - attachmentPoint);
         }
 

ql/experimental/credit/gaussianlhplossmodel.cpp

@@ -60,7 +60,7 @@ namespace QuantLib {
           beta_(sqrt(correlation)),
           biphi_(-sqrt(correlation))
         {
-        for (double recoverie : recoveries)
+        for (Real recoverie : recoveries)
             rrQuotes_.emplace_back(ext::make_shared<RecoveryRateQuote>(recoverie));
         }
 
@@ -77,7 +77,7 @@ namespace QuantLib {
           biphi_(-sqrt(correlQuote->value()))
         {
             registerWith(correl_);
-            for (double recoverie : recoveries)
+            for (Real recoverie : recoveries)
                 rrQuotes_.emplace_back(ext::make_shared<RecoveryRateQuote>(recoverie));
         }