Merge branch 'master' into test-tuple

lballabio · Oct 5, 2020 · 8a807c5 · 8a807c5
2 parents 0e64cfa + 0bd3150
commit 8a807c5
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Showing 4 changed files with 14 additions and 2 deletions.
diff --git a/.github/workflows/tidy.yml b/.github/workflows/tidy.yml
@@ -10,7 +10,8 @@ jobs:
     - uses: actions/checkout@v2
     - name: Setup
       run: |
-        sudo apt-get install -y clang-tidy libboost-dev
+        sudo apt-get update
+        sudo apt-get install -y clang-tidy-9 libboost-dev
     - name: Check
       run: |
         find . -name *.[hc]pp -not -name config.*.hpp -not -name all.hpp -not -name quantlib.hpp -not -name paralleltestrunner.hpp | sort | xargs -n 1 ./tools/run_tidy.sh

diff --git a/ql/pricingengines/swaption/blackswaptionengine.hpp b/ql/pricingengines/swaption/blackswaptionengine.hpp
@@ -307,6 +307,8 @@ namespace QuantLib {
             strike, atmForward, stdDev, exerciseTime, annuity, displacement);
         results_.additionalResults["delta"] = Spec().delta(
             w, strike, atmForward, stdDev, annuity, displacement);
+        results_.additionalResults["timeToExpiry"] = exerciseTime;
+        results_.additionalResults["impliedVolatility"] = stdDev / std::sqrt(exerciseTime);
     }
 
     }  // namespace detail

diff --git a/ql/pricingengines/vanilla/analyticeuropeanengine.cpp b/ql/pricingengines/vanilla/analyticeuropeanengine.cpp
@@ -102,6 +102,15 @@ namespace QuantLib {
 
         results_.strikeSensitivity  = black.strikeSensitivity();
         results_.itmCashProbability = black.itmCashProbability();
+
+        Real tte = process_->blackVolatility()->timeFromReference(arguments_.exercise->lastDate());
+        results_.additionalResults["spot"] = spot;
+        results_.additionalResults["dividendDiscount"] = dividendDiscount;
+        results_.additionalResults["riskFreeDiscount"] = riskFreeDiscountForFwdEstimation;
+        results_.additionalResults["forward"] = forwardPrice;
+        results_.additionalResults["strike"] = payoff->strike();
+        results_.additionalResults["volatility"] = std::sqrt(variance / tte);
+        results_.additionalResults["timeToExpiry"] = tte;
     }
 
 }

diff --git a/tools/run_tidy.sh b/tools/run_tidy.sh
@@ -1,5 +1,5 @@
 #!/bin/bash
 
 echo Checking $1
-clang-tidy -quiet -fix $1 -- -std=c++03 -I$PWD
+clang-tidy-9 -quiet -fix $1 -- -std=c++03 -I$PWD