Merge pull request #557.

lballabio · Oct 12, 2018 · e453ce9 · e453ce9
2 parents 6d08850 + 2b08913
commit e453ce9
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Showing 16 changed files with 66 additions and 31 deletions.
diff --git a/.lgtm.yml b/.lgtm.yml
@@ -0,0 +1,12 @@
+
+path_classifiers:
+    docs:
+        - Docs
+        - Examples
+    test:
+        - test-suite
+    library:
+        - tools
+queries:
+    - exclude: cpp/fixme-comment
+
diff --git a/ql/cashflows/cashflows.hpp b/ql/cashflows/cashflows.hpp
@@ -273,7 +273,7 @@ namespace QuantLib {
                           Rate guess = 0.05);
 
         template <typename Solver>
-        static Rate yield(Solver solver,
+        static Rate yield(const Solver& solver,
                           const Leg& leg,
                           Real npv,
                           const DayCounter& dayCounter,

diff --git a/ql/cashflows/conundrumpricer.cpp b/ql/cashflows/conundrumpricer.cpp
@@ -608,9 +608,9 @@ namespace QuantLib {
         Size n = fixedLeg.size();
         accruals_.reserve(n);
         for (Size i=0; i<n; ++i) {
-            ext::shared_ptr<Coupon> coupon =
+            ext::shared_ptr<Coupon> cpn =
                 ext::dynamic_pointer_cast<Coupon>(fixedLeg[i]);
-            accruals_.push_back(coupon->accrualPeriod());
+            accruals_.push_back(cpn->accrualPeriod());
         }
     }
 
@@ -711,10 +711,10 @@ namespace QuantLib {
         shapedSwapPaymentTimes_.reserve(n);
         swapPaymentDiscounts_.reserve(n);
         for(Size i=0; i<n; ++i) {
-            ext::shared_ptr<Coupon> coupon =
+            ext::shared_ptr<Coupon> cpn =
                 ext::dynamic_pointer_cast<Coupon>(fixedLeg[i]);
-            accruals_.push_back(coupon->accrualPeriod());
-            const Date paymentDate(coupon->date());
+            accruals_.push_back(cpn->accrualPeriod());
+            const Date paymentDate(cpn->date());
             const double swapPaymentTime(dc.yearFraction(rateCurve->referenceDate(), paymentDate));
             shapedSwapPaymentTimes_.push_back(shapeOfShift(swapPaymentTime));
             swapPaymentDiscounts_.push_back(rateCurve->discount(paymentDate));

diff --git a/ql/experimental/credit/homogeneouspooldef.hpp b/ql/experimental/credit/homogeneouspooldef.hpp
@@ -149,12 +149,12 @@ namespace QuantLib {
                 conditionalProbs.push_back(
                 copula_->conditionalDefaultProbabilityInvP(prob[iName], iName, 
                     mkft));
-            Distribution d = bucktLDistBuff(lgd, conditionalProbs);
+            Distribution bld = bucktLDistBuff(lgd, conditionalProbs);
             Real densitydm = delta_ * copula_->density(mkft);
             // also, instead of calling the static method it could be wrapped 
             // through an inlined call in the latent model
             for (Size j = 0; j < nBuckets_; j++)
-                dist.addDensity(j, d.density(j) * densitydm);
+                dist.addDensity(j, bld.density(j) * densitydm);
             mkft[0] += delta_;
         }
         return dist;

diff --git a/ql/experimental/credit/inhomogeneouspooldef.hpp b/ql/experimental/credit/inhomogeneouspooldef.hpp
@@ -158,12 +158,12 @@ namespace QuantLib {
                 conditionalProbs.push_back(
                 copula_->conditionalDefaultProbabilityInvP(prob[iName], iName, 
                     mkft));
-            Distribution d = bucktLDistBuff(lgd, conditionalProbs);
+            Distribution bld = bucktLDistBuff(lgd, conditionalProbs);
             Real densitydm = delta_ * copula_->density(mkft);
             // also, instead of calling the static method it could be wrapped 
             // through an inlined call in the latent model
             for (Size j = 0; j < nBuckets_; j++)
-                dist.addDensity(j, d.density(j) * densitydm);
+                dist.addDensity(j, bld.density(j) * densitydm);
             mkft[0] += delta_;
         }
         return dist;

diff --git a/ql/experimental/credit/riskybond.cpp b/ql/experimental/credit/riskybond.cpp
@@ -219,7 +219,7 @@ namespace QuantLib {
                             Currency ccy,
                             Real recoveryRate,
                             Handle<DefaultProbabilityTermStructure> defaultTS,
-                            Schedule schedule,
+                            const Schedule& schedule,
                             ext::shared_ptr<IborIndex> index,
                             Integer fixingDays,
                             Real spread,

diff --git a/ql/experimental/credit/riskybond.hpp b/ql/experimental/credit/riskybond.hpp
@@ -154,7 +154,7 @@ namespace QuantLib {
                           Currency ccy,
                           Real recoveryRate,
                           Handle<DefaultProbabilityTermStructure> defaultTS,
-                          Schedule schedule,
+                          const Schedule& schedule,
                           ext::shared_ptr<IborIndex> index,
                           Integer fixingDays,
                           Real spread,

diff --git a/ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp b/ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp
@@ -139,10 +139,10 @@ namespace QuantLib {
         QL_REQUIRE(d.size() > 1,
                    "must have at least two dates: " << d.size());
 
-        for (Size i = 0; i < d.size(); i++ ){
-            this->times_.push_back( this->timeFromReference(dates_[i]) );
-            this->data_.push_back(v[i]),
-            nodes_.push_back( std::make_pair( dates_[i], this->data_[i]) );
+        for (Size j = 0; j < d.size(); j++ ){
+            this->times_.push_back( this->timeFromReference(dates_[j]) );
+            this->data_.push_back(v[j]),
+            nodes_.push_back( std::make_pair( dates_[j], this->data_[j]) );
         }
 
         this->setupInterpolation();

diff --git a/ql/experimental/math/hybridsimulatedannealingfunctors.hpp b/ql/experimental/math/hybridsimulatedannealingfunctors.hpp
@@ -73,6 +73,12 @@ namespace QuantLib
         SamplerLogNormal(const SamplerLogNormal& sampler) : generator_(sampler.gaussian_.engine()),
             distribution_(sampler.gaussian_.distribution()),
             gaussian_(generator_, distribution_) {};
+        SamplerLogNormal& operator=(const SamplerLogNormal& sampler) {
+            generator_ = sampler.gaussian_.engine();
+            distribution_ = sampler.gaussian_.distribution();
+            gaussian_ = normal_variate(generator_, distribution_);
+            return *this;
+        }
 
         inline void operator()(Array &newPoint, const Array &currentPoint, const Array &temp) const {
             QL_REQUIRE(newPoint.size() == currentPoint.size(), "Incompatible input");
@@ -99,6 +105,12 @@ namespace QuantLib
         SamplerGaussian(const SamplerGaussian& sampler) : generator_(sampler.gaussian_.engine()),
             distribution_(sampler.gaussian_.distribution()),
             gaussian_(generator_, distribution_) {};
+        SamplerGaussian& operator=(const SamplerGaussian& sampler) {
+            generator_ = sampler.gaussian_.engine();
+            distribution_ = sampler.gaussian_.distribution();
+            gaussian_ = normal_variate(generator_, distribution_);
+            return *this;
+        }
 
         inline void operator()(Array &newPoint, const Array &currentPoint, const Array &temp) const {
             QL_REQUIRE(newPoint.size() == currentPoint.size(), "Incompatible input");
@@ -130,6 +142,14 @@ namespace QuantLib
             distribution_(sampler.gaussian_.distribution()),
             gaussian_(generator_, distribution_),
             lower_(sampler.lower_), upper_(sampler.upper_) {};
+        SamplerRingGaussian& operator=(const SamplerRingGaussian& sampler) {
+            generator_ = sampler.gaussian_.engine();
+            distribution_ = sampler.gaussian_.distribution();
+            gaussian_ = normal_variate(generator_, distribution_);
+            lower_ = sampler.lower_;
+            upper_ = sampler.upper_;
+            return *this;
+        }
 
         inline void operator()(Array &newPoint, const Array &currentPoint, const Array &temp) const {
             QL_REQUIRE(newPoint.size() == currentPoint.size(), "Incompatible input");
@@ -170,6 +190,14 @@ namespace QuantLib
             distribution_(sampler.gaussian_.distribution()),
             gaussian_(generator_, distribution_),
             lower_(sampler.lower_), upper_(sampler.upper_) {};
+        SamplerMirrorGaussian& operator=(const SamplerMirrorGaussian& sampler) {
+            generator_ = sampler.gaussian_.engine();
+            distribution_ = sampler.gaussian_.distribution();
+            gaussian_ = normal_variate(generator_, distribution_);
+            lower_ = sampler.lower_;
+            upper_ = sampler.upper_;
+            return *this;
+        }
 
         inline void operator()(Array &newPoint, const Array &currentPoint, const Array &temp) const {
             QL_REQUIRE(newPoint.size() == currentPoint.size(), "Incompatible input");

diff --git a/ql/math/sampledcurve.hpp b/ql/math/sampledcurve.hpp
@@ -36,7 +36,6 @@ namespace QuantLib {
       public:
         SampledCurve(Size gridSize = 0);
         SampledCurve(const Array &grid);
-        SampledCurve& operator=(const SampledCurve&);
 
         //! \name inspectors
         //@{
@@ -168,12 +167,6 @@ namespace QuantLib {
     inline SampledCurve::SampledCurve(const Array& grid)
         : grid_(grid), values_(grid.size()) {}
 
-    inline SampledCurve& SampledCurve::operator=(const SampledCurve& from) {
-        SampledCurve temp(from);
-        swap(temp);
-        return *this;
-    }
-
     inline Array& SampledCurve::grid() {
         return grid_;
     }

diff --git a/ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp b/ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp
@@ -71,12 +71,11 @@ namespace QuantLib {
 
             const ext::shared_ptr<FdmLinearOpLayout> layout=mesher_->layout();
             const FdmLinearOpIterator endIter = layout->end();
-            for (FdmLinearOpIterator iter = layout->begin(); iter != endIter;
-                 ++iter) {
-                const Size xn = iter.coordinates()[direction_];
+            for (FdmLinearOpIterator i = layout->begin(); i != endIter; ++i) {
+                const Size xn = i.coordinates()[direction_];
                 if (!initialized[xn]) {
                     initialized[xn]     = true;
-                    avgInnerValues_[xn] = avgInnerValueCalc(iter, t);
+                    avgInnerValues_[xn] = avgInnerValueCalc(i, t);
                 }
             }
         }

diff --git a/ql/models/volatility/garch.cpp b/ql/models/volatility/garch.cpp
@@ -283,7 +283,7 @@ namespace QuantLib {
             std::vector<std::size_t> idx;
             std::size_t nCov = acf.size() - 1;
             for (std::size_t i = 0; i <= nCov; ++i) {
-                if (i < 2 || (i > 1 && acf[i] > 0 && acf[i-1] > 0 && acf[i-1] > acf[i])) {
+                if (i < 2 || (acf[i] > 0 && acf[i-1] > 0 && acf[i-1] > acf[i])) {
                     idx.push_back(i);
                 }
             }

diff --git a/ql/pricingengines/bond/bondfunctions.hpp b/ql/pricingengines/bond/bondfunctions.hpp
@@ -156,7 +156,7 @@ namespace QuantLib {
                           Size maxIterations = 100,
                           Rate guess = 0.05);
         template <typename Solver>
-        static Rate yield(Solver solver,
+        static Rate yield(const Solver& solver,
                           const Bond& bond,
                           Real cleanPrice,
                           const DayCounter& dayCounter,

diff --git a/ql/pricingengines/credit/isdacdsengine.cpp b/ql/pricingengines/credit/isdacdsengine.cpp
@@ -117,6 +117,7 @@ namespace QuantLib {
             yDates = castY3->dates();
         } else if(ext::shared_ptr<FlatForward> castY4 =
             ext::dynamic_pointer_cast<FlatForward>(*discountCurve_)) {
+            // no dates to extract
         } else {
             QL_FAIL("Yield curve must be flat forward interpolated");
         }
@@ -134,6 +135,7 @@ namespace QuantLib {
         } else if(
         ext::shared_ptr<FlatHazardRate> castC3 =
             ext::dynamic_pointer_cast<FlatHazardRate>(*probability_)) {
+            // no dates to extract
         } else{
             QL_FAIL("Credit curve must be flat forward interpolated");
         }

diff --git a/ql/termstructures/iterativebootstrap.hpp b/ql/termstructures/iterativebootstrap.hpp
@@ -91,7 +91,8 @@ namespace QuantLib {
         while (ts_->instruments_[firstAliveHelper_]->pillarDate() <= firstDate)
             ++firstAliveHelper_;
         alive_ = n_-firstAliveHelper_;
-        QL_REQUIRE(alive_>=Interpolator::requiredPoints-1,
+        Size nodes = alive_+1;
+        QL_REQUIRE(nodes >= Interpolator::requiredPoints,
                    "not enough alive instruments: " << alive_ <<
                    " provided, " << Interpolator::requiredPoints-1 <<
                    " required");

diff --git a/ql/termstructures/volatility/atmadjustedsmilesection.hpp b/ql/termstructures/volatility/atmadjustedsmilesection.hpp
@@ -55,7 +55,7 @@ namespace QuantLib {
         }
 
         Real digitalOptionPrice(Rate strike, Option::Type type = Option::Call,
-                                Real discount = 1.0, Real gap = 1.0E-8) const {
+                                Real discount = 1.0, Real gap = 1.0e-5) const {
             return source_->digitalOptionPrice(adjustedStrike(strike), type,
                                                discount, gap);
         }