Merge b4c21a2 into 7cbc755

lballabio · Feb 11, 2021 · af2e4bb · af2e4bb
2 parents 7cbc755 + b4c21a2
commit af2e4bb
Show file tree

Hide file tree

Showing 946 changed files with 9,386 additions and 10,044 deletions.
diff --git a/.clang-tidy b/.clang-tidy
@@ -1,5 +1,5 @@
 ---
-Checks:          '-*,readability-*,bugprone-*,misc-*,performance-*,modernize-redundant-void-arg,modernize-deprecated-headers,modernize-use-override,modernize-use-auto,modernize-use-nullptr,modernize-use-default-member-init,modernize-use-equals-default,modernize-use-equals-delete,-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'
+Checks:          '-*,readability-*,bugprone-*,misc-*,performance-*,modernize-redundant-void-arg,modernize-deprecated-headers,modernize-use-override,modernize-use-auto,modernize-use-nullptr,modernize-use-default-member-init,modernize-use-equals-default,modernize-use-equals-delete,modernize-pass-by-value,-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

diff --git a/Examples/GlobalOptimizer/GlobalOptimizer.cpp b/Examples/GlobalOptimizer/GlobalOptimizer.cpp
@@ -21,17 +21,16 @@
 #ifdef BOOST_MSVC
 #  include <ql/auto_link.hpp>
 #endif
-#include <ql/math/optimization/differentialevolution.hpp>
-#include <ql/math/optimization/simulatedannealing.hpp>
 #include <ql/experimental/math/fireflyalgorithm.hpp>
 #include <ql/experimental/math/hybridsimulatedannealing.hpp>
 #include <ql/experimental/math/particleswarmoptimization.hpp>
 #include <ql/functional.hpp>
-
-
+#include <ql/math/optimization/differentialevolution.hpp>
+#include <ql/math/optimization/simulatedannealing.hpp>
 #include <ql/tuple.hpp>
-#include <iostream>
 #include <iomanip>
+#include <iostream>
+#include <utility>
 
 using namespace QuantLib;
 
@@ -143,7 +142,8 @@ class TestFunction : public CostFunction {
 public:
     typedef ext::function<Real(const Array&)> RealFunc;
     typedef ext::function<Disposable<Array>(const Array&)> ArrayFunc;
-    explicit TestFunction(const RealFunc & f, const ArrayFunc & fs = ArrayFunc()) : f_(f), fs_(fs) {}
+    explicit TestFunction(RealFunc f, ArrayFunc fs = ArrayFunc())
+    : f_(std::move(f)), fs_(std::move(fs)) {}
     explicit TestFunction(Real (*f)(const Array&), Disposable<Array> (*fs)(const Array&) = nullptr)
     : f_(f), fs_(fs) {}
     ~TestFunction() override = default;

diff --git a/ql/cashflows/averagebmacoupon.cpp b/ql/cashflows/averagebmacoupon.cpp
@@ -21,6 +21,7 @@
 #include <ql/cashflows/averagebmacoupon.hpp>
 #include <ql/cashflows/couponpricer.hpp>
 #include <ql/utilities/vectors.hpp>
+#include <utility>
 
 namespace QuantLib {
 
@@ -161,10 +162,8 @@ namespace QuantLib {
     }
 
 
-
-    AverageBMALeg::AverageBMALeg(const Schedule& schedule,
-                                 const ext::shared_ptr<BMAIndex>& index)
-    : schedule_(schedule), index_(index), paymentAdjustment_(Following) {}
+    AverageBMALeg::AverageBMALeg(Schedule schedule, ext::shared_ptr<BMAIndex> index)
+    : schedule_(std::move(schedule)), index_(std::move(index)), paymentAdjustment_(Following) {}
 
     AverageBMALeg& AverageBMALeg::withNotionals(Real notional) {
         notionals_ = std::vector<Real>(1,notional);

diff --git a/ql/cashflows/averagebmacoupon.hpp b/ql/cashflows/averagebmacoupon.hpp
@@ -82,8 +82,7 @@ namespace QuantLib {
     //! helper class building a sequence of average BMA coupons
     class AverageBMALeg {
       public:
-        AverageBMALeg(const Schedule& schedule,
-                      const ext::shared_ptr<BMAIndex>& index);
+        AverageBMALeg(Schedule schedule, ext::shared_ptr<BMAIndex> index);
         AverageBMALeg& withNotionals(Real notional);
         AverageBMALeg& withNotionals(const std::vector<Real>& notionals);
         AverageBMALeg& withPaymentDayCounter(const DayCounter&);

diff --git a/ql/cashflows/cashflows.cpp b/ql/cashflows/cashflows.cpp
@@ -22,13 +22,14 @@
 
 #include <ql/cashflows/cashflows.hpp>
 #include <ql/cashflows/coupon.hpp>
-#include <ql/termstructures/yield/flatforward.hpp>
+#include <ql/cashflows/couponpricer.hpp>
 #include <ql/math/solvers1d/brent.hpp>
 #include <ql/math/solvers1d/newtonsafe.hpp>
-#include <ql/cashflows/couponpricer.hpp>
 #include <ql/patterns/visitor.hpp>
 #include <ql/quotes/simplequote.hpp>
+#include <ql/termstructures/yield/flatforward.hpp>
 #include <ql/termstructures/yield/zerospreadedtermstructure.hpp>
+#include <utility>
 
 namespace QuantLib {
 
@@ -728,17 +729,15 @@ namespace QuantLib {
 
     CashFlows::IrrFinder::IrrFinder(const Leg& leg,
                                     Real npv,
-                                    const DayCounter& dayCounter,
+                                    DayCounter dayCounter,
                                     Compounding comp,
                                     Frequency freq,
                                     bool includeSettlementDateFlows,
                                     Date settlementDate,
                                     Date npvDate)
-    : leg_(leg), npv_(npv),
-      dayCounter_(dayCounter), compounding_(comp), frequency_(freq),
-      includeSettlementDateFlows_(includeSettlementDateFlows),
-      settlementDate_(settlementDate),
-      npvDate_(npvDate) {
+    : leg_(leg), npv_(npv), dayCounter_(std::move(dayCounter)), compounding_(comp),
+      frequency_(freq), includeSettlementDateFlows_(includeSettlementDateFlows),
+      settlementDate_(settlementDate), npvDate_(npvDate) {
 
         if (settlementDate_ == Date())
             settlementDate_ = Settings::instance().evaluationDate();

diff --git a/ql/cashflows/cashflows.hpp b/ql/cashflows/cashflows.hpp
@@ -47,7 +47,7 @@ namespace QuantLib {
           public:
             IrrFinder(const Leg& leg,
                       Real npv,
-                      const DayCounter& dayCounter,
+                      DayCounter dayCounter,
                       Compounding comp,
                       Frequency freq,
                       bool includeSettlementDateFlows,

diff --git a/ql/cashflows/cmscoupon.cpp b/ql/cashflows/cmscoupon.cpp
@@ -18,10 +18,11 @@
  or FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
 */
 
-#include <ql/cashflows/cmscoupon.hpp>
-#include <ql/cashflows/cashflowvectors.hpp>
 #include <ql/cashflows/capflooredcoupon.hpp>
+#include <ql/cashflows/cashflowvectors.hpp>
+#include <ql/cashflows/cmscoupon.hpp>
 #include <ql/indexes/swapindex.hpp>
+#include <utility>
 
 namespace QuantLib {
 
@@ -53,12 +54,9 @@ namespace QuantLib {
     }
 
 
-
-    CmsLeg::CmsLeg(const Schedule& schedule,
-                   const ext::shared_ptr<SwapIndex>& swapIndex)
-    : schedule_(schedule), swapIndex_(swapIndex),
-      paymentAdjustment_(Following),
-      inArrears_(false), zeroPayments_(false) {}
+    CmsLeg::CmsLeg(Schedule schedule, ext::shared_ptr<SwapIndex> swapIndex)
+    : schedule_(std::move(schedule)), swapIndex_(std::move(swapIndex)),
+      paymentAdjustment_(Following), inArrears_(false), zeroPayments_(false) {}
 
     CmsLeg& CmsLeg::withNotionals(Real notional) {
         notionals_ = std::vector<Real>(1, notional);

diff --git a/ql/cashflows/cmscoupon.hpp b/ql/cashflows/cmscoupon.hpp
@@ -69,8 +69,7 @@ namespace QuantLib {
     //! helper class building a sequence of capped/floored cms-rate coupons
     class CmsLeg {
       public:
-        CmsLeg(const Schedule& schedule,
-               const ext::shared_ptr<SwapIndex>& swapIndex);
+        CmsLeg(Schedule schedule, ext::shared_ptr<SwapIndex> swapIndex);
         CmsLeg& withNotionals(Real notional);
         CmsLeg& withNotionals(const std::vector<Real>& notionals);
         CmsLeg& withPaymentDayCounter(const DayCounter&);

diff --git a/ql/cashflows/conundrumpricer.cpp b/ql/cashflows/conundrumpricer.cpp
@@ -21,20 +21,21 @@
     \brief
 */
 
+#include <ql/cashflows/cmscoupon.hpp>
 #include <ql/cashflows/conundrumpricer.hpp>
-#include <ql/math/integrals/kronrodintegral.hpp>
+#include <ql/functional.hpp>
+#include <ql/indexes/interestrateindex.hpp>
+#include <ql/indexes/swapindex.hpp>
+#include <ql/instruments/vanillaswap.hpp>
 #include <ql/math/distributions/normaldistribution.hpp>
-#include <ql/pricingengines/blackformula.hpp>
+#include <ql/math/integrals/kronrodintegral.hpp>
 #include <ql/math/solvers1d/newton.hpp>
+#include <ql/pricingengines/blackformula.hpp>
+#include <ql/quotes/simplequote.hpp>
 #include <ql/termstructures/volatility/smilesection.hpp>
-#include <ql/cashflows/cmscoupon.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
-#include <ql/quotes/simplequote.hpp>
-#include <ql/indexes/swapindex.hpp>
-#include <ql/indexes/interestrateindex.hpp>
 #include <ql/time/schedule.hpp>
-#include <ql/instruments/vanillaswap.hpp>
-#include <ql/functional.hpp>
+#include <utility>
 
 namespace QuantLib {
 
@@ -67,15 +68,12 @@ namespace QuantLib {
 //===========================================================================//
 //                             HaganPricer                               //
 //===========================================================================//
-    HaganPricer::HaganPricer(
-                const Handle<SwaptionVolatilityStructure>& swaptionVol,
-                GFunctionFactory::YieldCurveModel modelOfYieldCurve,
-                const Handle<Quote>& meanReversion)
-    : CmsCouponPricer(swaptionVol),
-      modelOfYieldCurve_(modelOfYieldCurve),
-      cutoffForCaplet_(2), cutoffForFloorlet_(0),
-      meanReversion_(meanReversion) {
-          registerWith(meanReversion_);
+    HaganPricer::HaganPricer(const Handle<SwaptionVolatilityStructure>& swaptionVol,
+                             GFunctionFactory::YieldCurveModel modelOfYieldCurve,
+                             Handle<Quote> meanReversion)
+    : CmsCouponPricer(swaptionVol), modelOfYieldCurve_(modelOfYieldCurve), cutoffForCaplet_(2),
+      cutoffForFloorlet_(0), meanReversion_(std::move(meanReversion)) {
+        registerWith(meanReversion_);
     }
 
     void HaganPricer::initialize(const FloatingRateCoupon& coupon){
@@ -226,7 +224,7 @@ namespace QuantLib {
 
         class Spy {
           public:
-            explicit Spy(const ext::function<Real(Real)>& f) : f_(f) {}
+            explicit Spy(ext::function<Real(Real)> f) : f_(std::move(f)) {}
             Real value(Real x){
                 abscissas.push_back(x);
                 Real value = f_(x);
@@ -394,19 +392,18 @@ namespace QuantLib {
 //===========================================================================//
 
     NumericHaganPricer::ConundrumIntegrand::ConundrumIntegrand(
-        const ext::shared_ptr<VanillaOptionPricer>& o,
+        ext::shared_ptr<VanillaOptionPricer> o,
         const ext::shared_ptr<YieldTermStructure>&,
-        const ext::shared_ptr<GFunction>& gFunction,
+        ext::shared_ptr<GFunction> gFunction,
         Date fixingDate,
         Date paymentDate,
         Real annuity,
         Real forwardValue,
         Real strike,
         Option::Type optionType)
-    : vanillaOptionPricer_(o), forwardValue_(forwardValue), annuity_(annuity),
-      fixingDate_(fixingDate), paymentDate_(paymentDate), strike_(strike),
-      optionType_(optionType),
-      gFunction_(gFunction) {}
+    : vanillaOptionPricer_(std::move(o)), forwardValue_(forwardValue), annuity_(annuity),
+      fixingDate_(fixingDate), paymentDate_(paymentDate), strike_(strike), optionType_(optionType),
+      gFunction_(std::move(gFunction)) {}
 
     void NumericHaganPricer::ConundrumIntegrand::setStrike(Real strike) {
         strike_ = strike;
@@ -668,11 +665,10 @@ namespace QuantLib {
 //                            GFunctionWithShifts                            //
 //===========================================================================//
 
-    GFunctionFactory::GFunctionWithShifts::GFunctionWithShifts(
-                    const CmsCoupon& coupon,
-                    const Handle<Quote>& meanReversion)
-    : meanReversion_(meanReversion), calibratedShift_(0.03),
-      tmpRs_(10000000.0), accuracy_( 1.0e-14) {
+    GFunctionFactory::GFunctionWithShifts::GFunctionWithShifts(const CmsCoupon& coupon,
+                                                               Handle<Quote> meanReversion)
+    : meanReversion_(std::move(meanReversion)), calibratedShift_(0.03), tmpRs_(10000000.0),
+      accuracy_(1.0e-14) {
 
         const ext::shared_ptr<SwapIndex>& swapIndex = coupon.swapIndex();
         const ext::shared_ptr<VanillaSwap>& swap = swapIndex->underlyingSwap(coupon.fixingDate());

diff --git a/ql/cashflows/conundrumpricer.hpp b/ql/cashflows/conundrumpricer.hpp
@@ -165,8 +165,7 @@ namespace QuantLib {
 
             ext::shared_ptr<ObjectiveFunction> objectiveFunction_;
           public:
-            GFunctionWithShifts(const CmsCoupon& coupon,
-                                const Handle<Quote>& meanReversion);
+            GFunctionWithShifts(const CmsCoupon& coupon, Handle<Quote> meanReversion);
             Real operator()(Real x) override;
             Real firstDerivative(Real x) override;
             Real secondDerivative(Real x) override;
@@ -213,10 +212,9 @@ namespace QuantLib {
         };
 
       protected:
-        HaganPricer(
-                const Handle<SwaptionVolatilityStructure>& swaptionVol,
-                GFunctionFactory::YieldCurveModel modelOfYieldCurve,
-                const Handle<Quote>& meanReversion);
+        HaganPricer(const Handle<SwaptionVolatilityStructure>& swaptionVol,
+                    GFunctionFactory::YieldCurveModel modelOfYieldCurve,
+                    Handle<Quote> meanReversion);
         void initialize(const FloatingRateCoupon& coupon) override;
 
         virtual Real optionletPrice(Option::Type optionType,
@@ -271,16 +269,15 @@ namespace QuantLib {
         class ConundrumIntegrand : public Function {
             friend class NumericHaganPricer;
           public:
-            ConundrumIntegrand(
-                       const ext::shared_ptr<VanillaOptionPricer>& o,
-                       const ext::shared_ptr<YieldTermStructure>& rateCurve,
-                       const ext::shared_ptr<GFunction>& gFunction,
-                       Date fixingDate,
-                       Date paymentDate,
-                       Real annuity,
-                       Real forwardValue,
-                       Real strike,
-                       Option::Type optionType);
+            ConundrumIntegrand(ext::shared_ptr<VanillaOptionPricer> o,
+                               const ext::shared_ptr<YieldTermStructure>& rateCurve,
+                               ext::shared_ptr<GFunction> gFunction,
+                               Date fixingDate,
+                               Date paymentDate,
+                               Real annuity,
+                               Real forwardValue,
+                               Real strike,
+                               Option::Type optionType);
             Real operator()(Real x) const override;
 
           protected:

diff --git a/ql/cashflows/couponpricer.cpp b/ql/cashflows/couponpricer.cpp
@@ -20,17 +20,18 @@
  FOR A PARTICULAR PURPOSE.  See the license for more details.
 */
 
-#include <ql/cashflows/couponpricer.hpp>
 #include <ql/cashflows/capflooredcoupon.hpp>
-#include <ql/cashflows/digitalcoupon.hpp>
+#include <ql/cashflows/couponpricer.hpp>
 #include <ql/cashflows/digitalcmscoupon.hpp>
+#include <ql/cashflows/digitalcoupon.hpp>
 #include <ql/cashflows/digitaliborcoupon.hpp>
 #include <ql/cashflows/rangeaccrual.hpp>
-#include <ql/experimental/coupons/subperiodcoupons.hpp> /* internal */
-#include <ql/experimental/coupons/cmsspreadcoupon.hpp>  /* internal */
-#include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp>  /* internal */
+#include <ql/experimental/coupons/cmsspreadcoupon.hpp>        /* internal */
+#include <ql/experimental/coupons/digitalcmsspreadcoupon.hpp> /* internal */
+#include <ql/experimental/coupons/subperiodcoupons.hpp>       /* internal */
 #include <ql/pricingengines/blackformula.hpp>
 #include <ql/termstructures/yieldtermstructure.hpp>
+#include <utility>
 
 namespace QuantLib {
 
@@ -188,9 +189,8 @@ namespace QuantLib {
           private:
             ext::shared_ptr<FloatingRateCouponPricer> pricer_;
           public:
-            explicit PricerSetter(
-                    const ext::shared_ptr<FloatingRateCouponPricer>& pricer)
-            : pricer_(pricer) {}
+            explicit PricerSetter(ext::shared_ptr<FloatingRateCouponPricer> pricer)
+            : pricer_(std::move(pricer)) {}
 
             void visit(CashFlow& c) override;
             void visit(Coupon& c) override;

diff --git a/ql/cashflows/couponpricer.hpp b/ql/cashflows/couponpricer.hpp
@@ -27,12 +27,13 @@
 #ifndef quantlib_coupon_pricer_hpp
 #define quantlib_coupon_pricer_hpp
 
-#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
-#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
-#include <ql/indexes/iborindex.hpp>
 #include <ql/cashflow.hpp>
+#include <ql/indexes/iborindex.hpp>
 #include <ql/option.hpp>
 #include <ql/quotes/simplequote.hpp>
+#include <ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp>
+#include <ql/termstructures/volatility/swaption/swaptionvolstructure.hpp>
+#include <utility>
 
 namespace QuantLib {
 
@@ -64,9 +65,8 @@ namespace QuantLib {
     class IborCouponPricer : public FloatingRateCouponPricer {
       public:
         explicit IborCouponPricer(
-            const Handle<OptionletVolatilityStructure>& v =
-                                       Handle<OptionletVolatilityStructure>())
-        : capletVol_(v) {
+            Handle<OptionletVolatilityStructure> v = Handle<OptionletVolatilityStructure>())
+        : capletVol_(std::move(v)) {
             registerWith(capletVol_);
         }
 
@@ -96,9 +96,9 @@ namespace QuantLib {
         BlackIborCouponPricer(
             const Handle<OptionletVolatilityStructure>& v = Handle<OptionletVolatilityStructure>(),
             const TimingAdjustment timingAdjustment = Black76,
-            const Handle<Quote>& correlation =
-                Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(1.0))))
-        : IborCouponPricer(v), timingAdjustment_(timingAdjustment), correlation_(correlation) {
+            Handle<Quote> correlation = Handle<Quote>(ext::shared_ptr<Quote>(new SimpleQuote(1.0))))
+        : IborCouponPricer(v), timingAdjustment_(timingAdjustment),
+          correlation_(std::move(correlation)) {
             { // this additional scope seems required to avoid a misleading-indentation warning
                 QL_REQUIRE(timingAdjustment_ == Black76 || timingAdjustment_ == BivariateLognormal,
                            "unknown timing adjustment (code " << timingAdjustment_ << ")");
@@ -137,9 +137,8 @@ namespace QuantLib {
     class CmsCouponPricer : public FloatingRateCouponPricer {
       public:
         explicit CmsCouponPricer(
-            const Handle<SwaptionVolatilityStructure>& v =
-                                       Handle<SwaptionVolatilityStructure>())
-        : swaptionVol_(v) {
+            Handle<SwaptionVolatilityStructure> v = Handle<SwaptionVolatilityStructure>())
+        : swaptionVol_(std::move(v)) {
             registerWith(swaptionVol_);
         }