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Merge pull request #1300.
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Fix new warnings from MSVC Analysis tool
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@lballabio
lballabio committed Feb 14, 2022
2 parents f6f4f6c + 5c18cac commit 9e30955
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Showing 6 changed files with 45 additions and 57 deletions.
2 changes: 1 addition & 1 deletion .github/workflows/msvc-analysis.yml
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Original file line number Diff line number Diff line change
Expand Up @@ -9,7 +9,7 @@ env:
jobs:
analyze:
name: Analyze
runs-on: windows-2019
runs-on: windows-2022

steps:
- name: Checkout repository
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2 changes: 1 addition & 1 deletion ql/instruments/asianoption.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -58,7 +58,7 @@ namespace QuantLib {
const ext::shared_ptr<Exercise>& exercise,
std::vector<Real> allPastFixings)
: OneAssetOption(payoff, exercise), averageType_(averageType), runningAccumulator_(0.0),
pastFixings_(0), fixingDates_(std::move(std::move(fixingDates))),
pastFixings_(0), fixingDates_(std::move(fixingDates)),
allPastFixingsProvided_(true), allPastFixings_(std::move(allPastFixings)) {}

void DiscreteAveragingAsianOption::setupArguments(
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16 changes: 8 additions & 8 deletions ql/pricingengines/capfloor/gaussian1dcapfloorengine.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -99,7 +99,7 @@ namespace QuantLib {
CubicInterpolation::Lagrange, 0.0);
Real price = 0.0;
for (Size j = 0; j < z.size() - 1; j++) {
price += model_->gaussianShiftedPolynomialIntegral(
price += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff.cCoefficients()[j],
payoff.bCoefficients()[j],
payoff.aCoefficients()[j], p[j], z[j], z[j],
Expand All @@ -108,17 +108,17 @@ namespace QuantLib {
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[z.size() - 2],
z[z.size() - 2], z[z.size() - 1],
100.0);
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0,
z[0]);
} else {
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0,
payoff.cCoefficients()[z.size() - 2],
payoff.bCoefficients()[z.size() - 2],
Expand Down Expand Up @@ -171,7 +171,7 @@ namespace QuantLib {
CubicInterpolation::Lagrange, 0.0);
Real price = 0.0;
for (Size j = 0; j < z.size() - 1; j++) {
price += model_->gaussianShiftedPolynomialIntegral(
price += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff.cCoefficients()[j],
payoff.bCoefficients()[j],
payoff.aCoefficients()[j], p[j], z[j], z[j],
Expand All @@ -180,17 +180,17 @@ namespace QuantLib {
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[z.size() - 2],
z[z.size() - 2], z[z.size() - 1],
100.0);
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0,
z[0]);
} else {
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff.cCoefficients()[0],
payoff.bCoefficients()[0],
payoff.aCoefficients()[0], p[0], z[0],
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34 changes: 15 additions & 19 deletions ql/pricingengines/swaption/gaussian1dfloatfloatswaptionengine.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -259,13 +259,13 @@ namespace QuantLib {
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < z.size() - 1; i++) {
price += model_->gaussianShiftedPolynomialIntegral(
price += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[i],
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i],
z[i], z[i + 1]) *
zSpreadDf;
pricea += model_->gaussianShiftedPolynomialIntegral(
pricea += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1a.cCoefficients()[i],
payoff1a.bCoefficients()[i],
payoff1a.aCoefficients()[i], pa[i], z[i],
Expand All @@ -275,27 +275,27 @@ namespace QuantLib {
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[z.size() - 2],
z[z.size() - 2], z[z.size() - 1], 100.0) *
zSpreadDf;
price += model_->gaussianShiftedPolynomialIntegral(
price += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0,
z[0]) *
zSpreadDf;
pricea +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, pa[z.size() - 2],
z[z.size() - 2], z[z.size() - 1], 100.0) *
zSpreadDf;
pricea += model_->gaussianShiftedPolynomialIntegral(
pricea += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, pa[0], z[0],
-100.0, z[0]) *
zSpreadDf;
} else {
if (type == Option::Call)
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0,
payoff1.cCoefficients()[z.size() - 2],
payoff1.bCoefficients()[z.size() - 2],
Expand All @@ -305,15 +305,15 @@ namespace QuantLib {
zSpreadDf;
if (type == Option::Put)
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[0],
payoff1.bCoefficients()[0],
payoff1.aCoefficients()[0], p[0], z[0],
-100.0, z[0]) *
zSpreadDf;
if (type == Option::Call)
pricea +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0,
payoff1a.cCoefficients()[z.size() - 2],
payoff1a.bCoefficients()[z.size() - 2],
Expand All @@ -323,7 +323,7 @@ namespace QuantLib {
zSpreadDf;
if (type == Option::Put)
pricea +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1a.cCoefficients()[0],
payoff1a.bCoefficients()[0],
payoff1a.aCoefficients()[0], pa[0],
Expand Down Expand Up @@ -364,7 +364,7 @@ namespace QuantLib {
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < z.size() - 1; i++) {
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[i],
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i],
Expand All @@ -374,24 +374,21 @@ namespace QuantLib {
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price +=
model_
->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0,
p[z.size() - 2],
z[z.size() - 2],
z[z.size() - 1], 100.0) *
zSpreadDf;
price +=
model_
->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0],
z[0], -100.0, z[0]) *
zSpreadDf;
} else {
if (type == Option::Call)
price +=
model_
->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0,
payoff1.cCoefficients()
[z.size() - 2],
Expand All @@ -405,8 +402,7 @@ namespace QuantLib {
zSpreadDf;
if (type == Option::Put)
price +=
model_
->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0,
payoff1
.cCoefficients()[0],
Expand Down
24 changes: 10 additions & 14 deletions ql/pricingengines/swaption/gaussian1dnonstandardswaptionengine.cpp
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Original file line number Diff line number Diff line change
Expand Up @@ -227,7 +227,7 @@ namespace QuantLib {
CubicInterpolation::Lagrange, 0.0,
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < z.size() - 1; i++) {
price += model_->gaussianShiftedPolynomialIntegral(
price += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[i],
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i],
Expand All @@ -237,18 +237,18 @@ namespace QuantLib {
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[z.size() - 2],
z[z.size() - 2], z[z.size() - 1], 100.0) *
zSpreadDf;
price += model_->gaussianShiftedPolynomialIntegral(
price += Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0], z[0], -100.0,
z[0]) *
zSpreadDf;
} else {
if (type == Option::Call)
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0,
payoff1.cCoefficients()[z.size() - 2],
payoff1.bCoefficients()[z.size() - 2],
Expand All @@ -258,7 +258,7 @@ namespace QuantLib {
zSpreadDf;
if (type == Option::Put)
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[0],
payoff1.bCoefficients()[0],
payoff1.aCoefficients()[0], p[0], z[0],
Expand Down Expand Up @@ -298,7 +298,7 @@ namespace QuantLib {
CubicInterpolation::Lagrange, 0.0);
for (Size i = 0; i < z.size() - 1; i++) {
price +=
model_->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, payoff1.cCoefficients()[i],
payoff1.bCoefficients()[i],
payoff1.aCoefficients()[i], p[i], z[i],
Expand All @@ -308,24 +308,21 @@ namespace QuantLib {
if (extrapolatePayoff_) {
if (flatPayoffExtrapolation_) {
price +=
model_
->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0,
p[z.size() - 2],
z[z.size() - 2],
z[z.size() - 1], 100.0) *
zSpreadDf;
price +=
model_
->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0, 0.0, 0.0, 0.0, p[0],
z[0], -100.0, z[0]) *
zSpreadDf;
} else {
if (type == Option::Call)
price +=
model_
->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0,
payoff1.cCoefficients()
[z.size() - 2],
Expand All @@ -339,8 +336,7 @@ namespace QuantLib {
zSpreadDf;
if (type == Option::Put)
price +=
model_
->gaussianShiftedPolynomialIntegral(
Gaussian1dModel::gaussianShiftedPolynomialIntegral(
0.0,
payoff1
.cCoefficients()[0],
Expand Down
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