Use available C++11 std::lround function

.clang-tidy

@@ -1,5 +1,5 @@
 ---
-Checks:          '-*,readability-*,bugprone-*,misc-*,performance-*,modernize-redundant-void-arg,modernize-deprecated-headers,-readability-else-after-return,-readability-named-parameter,-readability-braces-around-statements,-readability-inconsistent-declaration-parameter-name,-readability-isolate-declaration,-readability-magic-numbers,-readability-convert-member-functions-to-static,-bugprone-macro-parentheses,-bugprone-narrowing-conversions,-bugprone-incorrect-roundings,-bugprone-branch-clone,-misc-non-private-member-variables-in-classes,-misc-unused-parameters'
+Checks:          '-*,readability-*,bugprone-*,misc-*,performance-*,modernize-redundant-void-arg,modernize-deprecated-headers,-readability-else-after-return,-readability-named-parameter,-readability-braces-around-statements,-readability-inconsistent-declaration-parameter-name,-readability-isolate-declaration,-readability-magic-numbers,-readability-convert-member-functions-to-static,-bugprone-macro-parentheses,-bugprone-narrowing-conversions,-bugprone-branch-clone,-misc-non-private-member-variables-in-classes,-misc-unused-parameters'
 WarningsAsErrors: ''
 HeaderFilterRegex: '.*'
 AnalyzeTemporaryDtors: false

ql/experimental/asian/analytic_cont_geom_av_price_heston.cpp

@@ -135,7 +135,7 @@ namespace QuantLib {
             Real prefactor = -0.5*sigma_*sigma_*tau*tau / (n*(n-1));
 
             // For each offset, look up the value in the map and only evaluate function if it's not there
-            for (Size offset=1; offset<5; offset++) {
+            for (int offset=1; offset<5; offset++) {
                 int location = n-offset;
                 std::map<int, std::complex<Real> >::const_iterator position = fLookupTable_.find(location);
                 if (position != fLookupTable_.end()) {

ql/experimental/credit/randomlosslatentmodel.hpp

@@ -19,16 +19,15 @@
 #ifndef quantlib_randomloss_latent_model_hpp
 #define quantlib_randomloss_latent_model_hpp
 
-#include <ql/math/solvers1d/brent.hpp>
 #include <ql/experimental/credit/basket.hpp>
-#include <ql/experimental/math/latentmodel.hpp>
-#include <ql/experimental/math/gaussiancopulapolicy.hpp>
-#include <ql/experimental/math/tcopulapolicy.hpp>
-
 #include <ql/experimental/credit/randomdefaultlatentmodel.hpp>
 #include <ql/experimental/credit/spotlosslatentmodel.hpp> 
-
+#include <ql/experimental/math/gaussiancopulapolicy.hpp>
+#include <ql/experimental/math/latentmodel.hpp>
+#include <ql/experimental/math/tcopulapolicy.hpp>
 #include <ql/math/randomnumbers/mt19937uniformrng.hpp>
+#include <ql/math/solvers1d/brent.hpp>
+#include <cmath>
 
 namespace QuantLib {
 
@@ -39,7 +38,7 @@ namespace QuantLib {
             simEvent(unsigned int n, unsigned int d, Real r) 
             : nameIdx(n), dayFromRef(d), 
                 // truncates the value:
-                compactRR(static_cast<unsigned int>(r/rrGranular+.5)) {}
+              compactRR(std::lround(r/rrGranular)) {}
             unsigned int nameIdx : 12; // can index up to 4095 names
             unsigned int dayFromRef : 12; // can index up to 4095 days = 11 yrs
         private:

ql/experimental/inflation/yoycapfloortermpricesurface.hpp

@@ -29,6 +29,7 @@
 #include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp>
 #include <ql/termstructures/inflation/inflationhelpers.hpp>
 #include <ql/experimental/inflation/polynomial2Dspline.hpp>
+#include <cmath>
 
 namespace QuantLib {
 
@@ -373,7 +374,7 @@ namespace QuantLib {
         for (Size i = 0; i < cfMaturities_.size(); i++) {
             Time t = cfMaturityTimes_[i];
             // determine the sum of discount factors
-            Size numYears = (Size)(t + 0.5);
+            Size numYears = (Size)std::lround(t);
             Real sumDiscount = 0.0;
             for (Size j=0; j<numYears; ++j)
                 sumDiscount += nominalTS_->discount(j + 1.0);
@@ -509,7 +510,7 @@ namespace QuantLib {
 
         // which yoy-swap points to use in building the yoy-fwd curve?
         // for now pick every year
-        Size nYears = (Size)(0.5+timeFromReference(referenceDate()+cfMaturities_.back()));
+        Size nYears = (Size)std::lround(timeFromReference(referenceDate()+cfMaturities_.back()));
 
         std::vector<ext::shared_ptr<BootstrapHelper<YoYInflationTermStructure> > > YYhelpers;
         for (Size i=1; i<=nYears; i++) {

ql/experimental/volatility/noarbsabr.cpp

@@ -237,7 +237,7 @@ Real D0Interpolator::operator()() const {
     Real tauL = (expiryTimeTmp - tauG_[tauInd - 1]) /
                 (tauG_[tauInd] - tauG_[tauInd - 1]);
 
-    int sigmaIInd =
+    Size sigmaIInd =
         sigmaIG_.size() -
         (std::upper_bound(sigmaIG_.rbegin(), sigmaIG_.rend(), sigmaI_) -
          sigmaIG_.rbegin());
@@ -246,7 +246,7 @@ Real D0Interpolator::operator()() const {
     Real sigmaIL = (sigmaI_ - sigmaIG_[sigmaIInd - 1]) /
                    (sigmaIG_[sigmaIInd] - sigmaIG_[sigmaIInd - 1]);
 
-    int rhoInd =
+    Size rhoInd =
         rhoG_.size() -
         (std::upper_bound(rhoG_.rbegin(), rhoG_.rend(), rho_) - rhoG_.rbegin());
     if (rhoInd == 0) {

ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp

@@ -77,10 +77,9 @@ namespace QuantLib {
                 if (!close(cPoint, start) && !close(cPoint, end)) {
                     const Real z0 = -c1 / (c2 - c1);
                     const Real u0 =
-                        std::max(
-                            std::min(static_cast<int>(z0 * (size - 1) + 0.5),
-                                static_cast<int>(size) - 2),
-                            1) /
+                        std::max(std::min(std::lround(z0 * (size - 1)),
+                                          static_cast<long>(size) - 2),
+                                 1L) /
                         ((Real)(size - 1));
                     u.push_back(u0);
                     z.push_back(z0);

ql/pricingengines/swaption/basketgeneratingengine.cpp

@@ -24,6 +24,7 @@
 #include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
 #include <ql/termstructures/volatility/swaption/swaptionvolcube.hpp>
 #include <ql/quotes/simplequote.hpp>
+#include <cmath>
 
 using std::exp;
 using std::fabs;
@@ -76,7 +77,7 @@ namespace QuantLib {
                 ext::shared_ptr<SmileSection> sec =
                     swaptionVolatility->smileSection(
                         expiry,
-                        static_cast<Size>(swapLength * 12.0 + 0.5) * Months,
+                        static_cast<Size>(std::lround(swapLength * 12.0)) * Months,
                         true);
                 Real atmStrike = sec->atmLevel();
                 Real atmVol;

ql/pricingengines/vanilla/analyticgjrgarchengine.cpp

@@ -25,6 +25,7 @@
 #include <ql/pricingengines/vanilla/analyticgjrgarchengine.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
 #include <ql/instruments/payoffs.hpp>
+#include <cmath>
 
 using std::exp;
 using std::pow;
@@ -58,7 +59,7 @@ namespace QuantLib {
         QL_REQUIRE(spotPrice > 0.0, "negative or null underlying given");
         const Real strikePrice = payoff->strike();
         const Real term = process->time(arguments_.exercise->lastDate());
-        Size T = Size(process->daysPerYear()*term+0.5);
+        Size T = Size(std::lround(process->daysPerYear()*term));
         Real r = -std::log(riskFreeDiscount/dividendDiscount)/(process->daysPerYear()*term);
         Real h1 = process->v0();
         Real b0 = process->omega();

ql/time/daycounters/actual365fixed.cpp

@@ -19,6 +19,7 @@
 */
 
 #include <ql/time/daycounters/actual365fixed.hpp>
+#include <cmath>
 
 namespace QuantLib {
 
@@ -49,7 +50,7 @@ namespace QuantLib {
 
         Time dcs = daysBetween(d1,d2);
         Time dcc = daysBetween(refPeriodStart,refPeriodEnd);
-        Integer months = Integer(0.5+12*dcc/365);
+        Integer months = Integer(std::lround(12*dcc/365));
         QL_REQUIRE(months != 0,
                    "invalid reference period for Act/365 Canadian; "
                    "must be longer than a month");

ql/time/daycounters/actualactual.cpp

@@ -19,6 +19,7 @@
 
 #include <ql/time/daycounters/actualactual.hpp>
 #include <algorithm>
+#include <cmath>
 
 namespace QuantLib {
 
@@ -30,8 +31,8 @@ namespace QuantLib {
         Integer findCouponsPerYear(const T& impl,
                                    Date refStart, Date refEnd) {
             // This will only work for day counts longer than 15 days.
-            Integer months = Integer(0.5 + 12 * Real(impl.dayCount(refStart, refEnd))/365.0);
-            return (Integer)(0.5 + 12.0 / Real(months));
+            Integer months = (Integer)std::lround(12 * Real(impl.dayCount(refStart, refEnd))/365.0);
+            return (Integer)std::lround(12.0 / Real(months));
         }
 
         /* An ISMA day counter either needs a schedule or to have
@@ -172,7 +173,7 @@ namespace QuantLib {
 
         // estimate roughly the length in months of a period
         Integer months =
-            Integer(0.5+12*Real(refPeriodEnd-refPeriodStart)/365);
+            (Integer)std::lround(12*Real(refPeriodEnd-refPeriodStart)/365);
 
         // for short periods...
         if (months == 0) {

ql/timegrid.hpp

@@ -30,6 +30,7 @@
 #include <vector>
 #include <algorithm>
 #include <numeric>
+#include <cmath>
 
 namespace QuantLib {
 
@@ -121,7 +122,7 @@ namespace QuantLib {
                 Time periodEnd = *t;
                 if (periodEnd != 0.0) {
                     // the nearest integer, at least 1
-                    Size nSteps = std::max(Size((periodEnd - periodBegin)/dtMax+0.5), Size(1));
+                    Size nSteps = std::max(Size(std::lround((periodEnd - periodBegin)/dtMax)), Size(1));
                     Time dt = (periodEnd - periodBegin)/nSteps;
                     for (Size n=1; n<=nSteps; ++n)
                         times_.push_back(periodBegin + n*dt);

test-suite/americanoption.cpp

@@ -143,8 +143,7 @@ void AmericanOptionTest::testBaroneAdesiWhaleyValues() {
 
         ext::shared_ptr<StrikedTypePayoff> payoff(new
             PlainVanillaPayoff(values[i].type, values[i].strike));
-        // FLOATING_POINT_EXCEPTION
-        Date exDate = today + Integer(values[i].t*360+0.5);
+        Date exDate = today + timeToDays(values[i].t);
         ext::shared_ptr<Exercise> exercise(
                                          new AmericanExercise(today, exDate));
 
@@ -217,8 +216,7 @@ void AmericanOptionTest::testBjerksundStenslandValues() {
 
         ext::shared_ptr<StrikedTypePayoff> payoff(new
             PlainVanillaPayoff(values[i].type, values[i].strike));
-        //FLOATING_POINT_EXCEPTION
-        Date exDate = today + Integer(values[i].t*360+0.5);
+        Date exDate = today + timeToDays(values[i].t);
         ext::shared_ptr<Exercise> exercise(
                                          new AmericanExercise(today, exDate));
 
@@ -348,8 +346,7 @@ void AmericanOptionTest::testJuValues() {
 
         ext::shared_ptr<StrikedTypePayoff> payoff(new
             PlainVanillaPayoff(juValues[i].type, juValues[i].strike));
-        //FLOATING_POINT_EXCEPTION
-        Date exDate = today + Integer(juValues[i].t*360+0.5);
+        Date exDate = today + timeToDays(juValues[i].t);
         ext::shared_ptr<Exercise> exercise(
                                          new AmericanExercise(today, exDate));
 
@@ -404,7 +401,7 @@ void AmericanOptionTest::testFdValues() {
         ext::shared_ptr<StrikedTypePayoff> payoff(new
             PlainVanillaPayoff(juValues[i].type, juValues[i].strike));
 
-        Date exDate = today + Integer(juValues[i].t*360+0.5);
+        Date exDate = today + timeToDays(juValues[i].t);
         ext::shared_ptr<Exercise> exercise(
                                          new AmericanExercise(today, exDate));
 

test-suite/asianoptions.cpp

@@ -368,7 +368,7 @@ void AsianOptionTest::testAnalyticDiscreteGeometricAveragePrice() {
     ext::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
 
     std::vector<Date> fixingDates(futureFixings);
-    Integer dt = Integer(360.0/futureFixings+0.5);
+    Integer dt = (Integer)std::lround(360.0/futureFixings);
     fixingDates[0] = today + dt;
     for (Size j=1; j<futureFixings; j++)
         fixingDates[j] = fixingDates[j-1] + dt;
@@ -427,7 +427,7 @@ void AsianOptionTest::testAnalyticDiscreteGeometricAverageStrike() {
     ext::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
 
     std::vector<Date> fixingDates(futureFixings);
-    Integer dt = Integer(360.0/futureFixings+0.5);
+    Integer dt = (Integer)std::lround(360.0/futureFixings);
     fixingDates[0] = today + dt;
     for (Size j=1; j<futureFixings; j++)
         fixingDates[j] = fixingDates[j-1] + dt;
@@ -493,7 +493,7 @@ void AsianOptionTest::testMCDiscreteGeometricAveragePrice() {
     ext::shared_ptr<Exercise> exercise(new EuropeanExercise(exerciseDate));
 
     std::vector<Date> fixingDates(futureFixings);
-    Integer dt = Integer(360.0/futureFixings+0.5);
+    Integer dt = (Integer)std::lround(360.0/futureFixings);
     fixingDates[0] = today + dt;
     for (Size j=1; j<futureFixings; j++)
         fixingDates[j] = fixingDates[j-1] + dt;
@@ -773,10 +773,10 @@ void AsianOptionTest::testMCDiscreteArithmeticAveragePrice() {
         std::vector<Time> timeIncrements(cases4[l].fixings);
         std::vector<Date> fixingDates(cases4[l].fixings);
         timeIncrements[0] = cases4[l].first;
-        fixingDates[0] = today + Integer(timeIncrements[0]*360+0.5);
+        fixingDates[0] = today + timeToDays(timeIncrements[0]);
         for (Size i=1; i<cases4[l].fixings; i++) {
             timeIncrements[i] = i*dt + cases4[l].first;
-            fixingDates[i] = today + Integer(timeIncrements[i]*360+0.5);
+            fixingDates[i] = today + timeToDays(timeIncrements[i]);
         }
         ext::shared_ptr<Exercise> exercise(new
             EuropeanExercise(fixingDates[cases4[l].fixings-1]));
@@ -1119,10 +1119,10 @@ void AsianOptionTest::testMCDiscreteArithmeticAverageStrike() {
         std::vector<Time> timeIncrements(cases5[l].fixings);
         std::vector<Date> fixingDates(cases5[l].fixings);
         timeIncrements[0] = cases5[l].first;
-        fixingDates[0] = today + Integer(timeIncrements[0]*360+0.5);
+        fixingDates[0] = today + timeToDays(timeIncrements[0]);
         for (Size i=1; i<cases5[l].fixings; i++) {
             timeIncrements[i] = i*dt + cases5[l].first;
-            fixingDates[i] = today + Integer(timeIncrements[i]*360+0.5);
+            fixingDates[i] = today + timeToDays(timeIncrements[i]);
         }
         ext::shared_ptr<Exercise> exercise(new
             EuropeanExercise(fixingDates[cases5[l].fixings-1]));

test-suite/barrieroption.cpp

@@ -391,7 +391,7 @@ void BarrierOptionTest::testHaugValues() {
     ext::shared_ptr<BlackVolTermStructure> volTS = flatVol(today, vol, dc);
 
     for (Size i=0; i<LENGTH(values); i++) {
-        Date exDate = today + Integer(values[i].t*360+0.5);
+        Date exDate = today + timeToDays(values[i].t);
 
         spot ->setValue(values[i].s);
         qRate->setValue(values[i].q);
@@ -1113,9 +1113,9 @@ void BarrierOptionTest::testVannaVolgaSimpleBarrierValues() {
 
         ext::shared_ptr<StrikedTypePayoff> payoff =
             ext::make_shared<PlainVanillaPayoff>(values[i].type,
-                                                   values[i].strike);
+                                                 values[i].strike);
 
-        Date exDate = today + Integer(values[i].t*365+0.5);
+        Date exDate = today + timeToDays(values[i].t, 365);
         ext::shared_ptr<Exercise> exercise =
             ext::make_shared<EuropeanExercise>(exDate);
 

test-suite/basketoption.cpp

@@ -284,7 +284,7 @@ void BasketOptionTest::testEuroTwoValues() {
         ext::shared_ptr<PlainVanillaPayoff> payoff(new
             PlainVanillaPayoff(values[i].type, values[i].strike));
 
-        Date exDate = today + Integer(values[i].t*360+0.5);
+        Date exDate = today + timeToDays(values[i].t);
         ext::shared_ptr<Exercise> exercise(new EuropeanExercise(exDate));
 
         spot1 ->setValue(values[i].s1);
@@ -663,7 +663,7 @@ void BasketOptionTest::testTavellaValues() {
     ext::shared_ptr<PlainVanillaPayoff> payoff(new
         PlainVanillaPayoff(values[0].type, values[0].strike));
 
-    Date exDate = today + Integer(values[0].t*360+0.5);
+    Date exDate = today + timeToDays(values[0].t);
     ext::shared_ptr<Exercise> exercise(new AmericanExercise(today, exDate));
 
     spot1 ->setValue(values[0].s1);
@@ -828,7 +828,7 @@ void BasketOptionTest::testOneDAmericanValues(std::size_t from, std::size_t to)
         ext::shared_ptr<PlainVanillaPayoff> payoff(new
             PlainVanillaPayoff(oneDataValues[i].type, oneDataValues[i].strike));
 
-        Date exDate = today + Integer(oneDataValues[i].t*360+0.5);
+        Date exDate = today + timeToDays(oneDataValues[i].t);
         ext::shared_ptr<Exercise> exercise(new AmericanExercise(today,
                                                                   exDate));
 
@@ -916,7 +916,7 @@ void BasketOptionTest::testOddSamples() {
         ext::shared_ptr<PlainVanillaPayoff> payoff(new
             PlainVanillaPayoff(values[i].type, values[i].strike));
 
-        Date exDate = today + Integer(values[i].t*360+0.5);
+        Date exDate = today + timeToDays(values[i].t);
         ext::shared_ptr<Exercise> exercise(new AmericanExercise(today,
                                                                   exDate));
 

test-suite/binaryoption.cpp

@@ -156,7 +156,7 @@ void BinaryOptionTest::testCashOrNothingHaugValues() {
         ext::shared_ptr<StrikedTypePayoff> payoff(new CashOrNothingPayoff(
             values[i].type, values[i].strike, values[i].cash));
 
-        Date exDate = today + Integer(values[i].t*360+0.5);
+        Date exDate = today + timeToDays(values[i].t);
         ext::shared_ptr<Exercise> amExercise(new AmericanExercise(today,
                                                                     exDate,
                                                                     true));
@@ -244,10 +244,8 @@ void BinaryOptionTest::testAssetOrNothingHaugValues() {
         ext::shared_ptr<StrikedTypePayoff> payoff(new AssetOrNothingPayoff(
             values[i].type, values[i].strike));
 
-        Date exDate = today + Integer(values[i].t*360+0.5);
-        ext::shared_ptr<Exercise> amExercise(new AmericanExercise(today,
-                                                                    exDate,
-                                                                    true));
+        Date exDate = today + timeToDays(values[i].t);
+        ext::shared_ptr<Exercise> amExercise(new AmericanExercise(today, exDate, true));
 
         spot ->setValue(values[i].s);
         qRate->setValue(values[i].q);

test-suite/blackdeltacalculator.cpp

@@ -36,11 +36,6 @@ using std::sqrt;
 
 namespace black_delta_calculator_test {
 
-    Integer timeToDays(Time t) {
-        // FLOATING_POINT_EXCEPTION
-        return Integer(t*360+0.5);
-    }
-
     struct DeltaData {
         Option::Type ot;
         DeltaVolQuote::DeltaType dt;

test-suite/compoundoption.cpp

@@ -57,10 +57,6 @@ using namespace boost::unit_test_framework;
 
 namespace compound_option_test {
 
-    Integer timeToDays(Time t) {
-        return Integer(t*360+0.5);
-    }
-
     struct CompoundOptionData {
         Option::Type typeMother;
         Option::Type typeDaughter;