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Remove features deprecated in version 1.19 #1147

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merged 1 commit into from Jul 15, 2021
Merged

Remove features deprecated in version 1.19 #1147

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12 changes: 0 additions & 12 deletions ql/cashflows/inflationcouponpricer.hpp
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Expand Up @@ -143,10 +143,6 @@ namespace QuantLib {
//! Black-formula pricer for capped/floored yoy inflation coupons
class BlackYoYInflationCouponPricer : public YoYInflationCouponPricer {
public:
/*! \deprecated Use one of the other constructors.
Deprecated in version 1.19.
*/
QL_DEPRECATED
BlackYoYInflationCouponPricer()
: YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface>(),
Handle<YieldTermStructure>()) {}
Expand All @@ -167,10 +163,6 @@ namespace QuantLib {
//! Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons
class UnitDisplacedBlackYoYInflationCouponPricer : public YoYInflationCouponPricer {
public:
/*! \deprecated Use one of the other constructors.
Deprecated in version 1.19.
*/
QL_DEPRECATED
UnitDisplacedBlackYoYInflationCouponPricer()
: YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface>(),
Handle<YieldTermStructure>()) {}
Expand All @@ -191,10 +183,6 @@ namespace QuantLib {
//! Bachelier-formula pricer for capped/floored yoy inflation coupons
class BachelierYoYInflationCouponPricer : public YoYInflationCouponPricer {
public:
/*! \deprecated Use one of the other constructors.
Deprecated in version 1.19.
*/
QL_DEPRECATED
BachelierYoYInflationCouponPricer()
: YoYInflationCouponPricer(Handle<YoYOptionletVolatilitySurface>(),
Handle<YieldTermStructure>()) {}
Expand Down
12 changes: 0 additions & 12 deletions ql/indexes/bmaindex.cpp
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Expand Up @@ -51,18 +51,6 @@ namespace QuantLib {
registerWith (h);
}

BMAIndex::BMAIndex(const Handle<YieldTermStructure>& h,
const Calendar& fixingCalendar)
: InterestRateIndex("BMA",
1 * Weeks,
1,
USDCurrency(),
fixingCalendar,
ActualActual(ActualActual::ISDA)),
termStructure_(h) {
registerWith (h);
}

bool BMAIndex::isValidFixingDate(const Date& date) const {
Calendar cal = fixingCalendar();
// either the fixing date is last Wednesday, or all days
Expand Down
6 changes: 0 additions & 6 deletions ql/indexes/bmaindex.hpp
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Expand Up @@ -41,12 +41,6 @@ namespace QuantLib {
public:
explicit BMAIndex(const Handle<YieldTermStructure>& h =
Handle<YieldTermStructure>());
/*! \deprecated Use the other constructor instead.
Deprecated in version 1.19.
*/
QL_DEPRECATED
BMAIndex(const Handle<YieldTermStructure>& h,
const Calendar& fixingCalendar);
//! \name Index interface
//@{
/*! BMA is fixed weekly on Wednesdays.
Expand Down
17 changes: 0 additions & 17 deletions ql/methods/finitedifferences/americancondition.hpp
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Expand Up @@ -41,14 +41,6 @@ namespace QuantLib {
explicit AmericanCondition(const Array& intrinsicValues)
: impl_(new ArrayImpl(intrinsicValues)) {}

/*! \deprecated Use the other constructor.
Deprecated in version 1.19.
*/
QL_DEPRECATED
AmericanCondition(Option::Type type,
Real strike)
: impl_(new PayoffImpl(type, strike)) {}

void applyTo(Array& a, Time) const override {
//#pragma omp parallel for
for (Size i = 0; i < a.size(); i++) {
Expand Down Expand Up @@ -79,15 +71,6 @@ namespace QuantLib {

Real getValue(const Array&, int i) override { return intrinsicValues_[i]; }
};

class PayoffImpl : public Impl {
private:
ext::shared_ptr<const Payoff> payoff_;
public:
PayoffImpl(Option::Type type, Real strike)
: payoff_(new PlainVanillaPayoff(type, strike)) {};
Real getValue(const Array& a, int i) override { return (*payoff_)(std::exp(a[i])); }
};
};
}

Expand Down
10 changes: 0 additions & 10 deletions ql/methods/finitedifferences/fdtypedefs.hpp
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Expand Up @@ -42,16 +42,6 @@ namespace QuantLib {
//! default choice for step condition
typedef StepCondition<Array> StandardStepCondition;

QL_DEPRECATED_DISABLE_WARNING

/*! \deprecated Inherit from StandardStepCondition directly.
Deprecated in version 1.19.
*/
QL_DEPRECATED
typedef CurveDependentStepCondition<Array> StandardCurveDependentStepCondition;

QL_DEPRECATED_ENABLE_WARNING

}


Expand Down
21 changes: 0 additions & 21 deletions ql/methods/finitedifferences/shoutcondition.hpp
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Expand Up @@ -46,17 +46,6 @@ namespace QuantLib {
: resTime_(resTime), rate_(rate),
impl_(new ArrayImpl(intrinsicValues)) {}

/*! \deprecated Use the other constructor.
Deprecated in version 1.19.
*/
QL_DEPRECATED
ShoutCondition(Option::Type type,
Real strike,
Time resTime,
Rate rate)
: resTime_(resTime), rate_(rate),
impl_(new PayoffImpl(type, strike)) {}

void applyTo(Array& a, Time t) const override {
DiscountFactor B = std::exp(-rate_ * (t - resTime_));
//#pragma omp parallel for
Expand Down Expand Up @@ -91,16 +80,6 @@ namespace QuantLib {

Real getValue(const Array&, int i) override { return intrinsicValues_[i]; }
};

class PayoffImpl : public Impl {
private:
ext::shared_ptr<const Payoff> payoff_;
public:
PayoffImpl(Option::Type type, Real strike)
: payoff_(new PlainVanillaPayoff(type, strike)) {};

Real getValue(const Array& a, int i) override { return (*payoff_)(std::exp(a[i])); }
};
};

}
Expand Down
81 changes: 0 additions & 81 deletions ql/methods/finitedifferences/stepcondition.hpp
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Expand Up @@ -38,87 +38,6 @@ namespace QuantLib {
virtual void applyTo(array_type& a, Time t) const = 0;
};

/* */
/*! Abstract base class which allows step conditions to use both
payoff and array functions.

\deprecated Inherit from StepCondition directly instead.
Deprecated in version 1.19.
*/
template <class array_type>
class QL_DEPRECATED CurveDependentStepCondition :
public StepCondition<array_type> {
public:
void applyTo(Array &a, Time) const {
//#pragma omp parallel for
for (Size i = 0; i < a.size(); i++) {
a[i] =
applyToValue(a[i], getValue(a,i));
}
}
protected:

#if defined(QL_PATCH_MSVC)
#pragma warning(push)
#pragma warning(disable:4996)
#endif

CurveDependentStepCondition(Option::Type type, Real strike)
: curveItem_(new PayoffWrapper(type, strike)) {};
CurveDependentStepCondition(const Payoff *p)
: curveItem_(new PayoffWrapper(p)) {};
CurveDependentStepCondition(const array_type & a)
: curveItem_(new ArrayWrapper(a)) {};

#if defined(QL_PATCH_MSVC)
#pragma warning(pop)
#endif

class CurveWrapper;

ext::shared_ptr<CurveWrapper> curveItem_;
Real getValue(const array_type &a, Size index) const {
return curveItem_->getValue(a, index);
}

virtual Real applyToValue(Real, Real) const {
QL_FAIL("not yet implemented");
}

class CurveWrapper {
public:
virtual ~CurveWrapper() = default;
virtual Real getValue(const array_type &a,
int i) = 0;
};

class ArrayWrapper : public CurveWrapper {
private:
array_type value_;
public:
ArrayWrapper (const array_type &a)
: value_(a) {}

Real getValue(const array_type&, int i) {
return value_[i];
}
};

class PayoffWrapper : public CurveWrapper {
private:
ext::shared_ptr<const Payoff> payoff_;
public:
PayoffWrapper (const Payoff * p)
: payoff_(p) {};
PayoffWrapper (Option::Type type, Real strike)
: payoff_(new PlainVanillaPayoff(type, strike)) {};
Real getValue(const array_type &a,
int i) {
return (*payoff_)(a[i]);
}
};
};


//! %null step condition
/*! \ingroup findiff */
Expand Down
17 changes: 0 additions & 17 deletions ql/models/calibrationhelper.hpp
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Expand Up @@ -58,23 +58,6 @@ namespace QuantLib {
registerWith(volatility_);
}

/*! \deprecated Use the other constructor. It you're
inheriting from BlackCalibrationHelper, move
`termStructure_` to your derived class.
Deprecated in version 1.19.
*/
QL_DEPRECATED
BlackCalibrationHelper(Handle<Quote> volatility,
Handle<YieldTermStructure> termStructure,
CalibrationErrorType calibrationErrorType = RelativePriceError,
const VolatilityType type = ShiftedLognormal,
const Real shift = 0.0)
: volatility_(std::move(volatility)), termStructure_(std::move(termStructure)),
volatilityType_(type), shift_(shift), calibrationErrorType_(calibrationErrorType) {
registerWith(volatility_);
registerWith(termStructure_);
}

void performCalculations() const override {
marketValue_ = blackPrice(volatility_->value());
}
Expand Down
105 changes: 0 additions & 105 deletions ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp
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Expand Up @@ -54,22 +54,6 @@ namespace QuantLib {
const std::vector<Rate>& rates,
const Interpolator& interpolator = Interpolator());

/*! \deprecated Use the constructor not taking a yield
term structure.
Deprecated in version 1.19.
*/
QL_DEPRECATED
InterpolatedYoYInflationCurve(const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
std::vector<Date> dates,
const std::vector<Rate>& rates,
const Interpolator& interpolator = Interpolator());

//! \name InflationTermStructure interface
//@{
Date baseDate() const override;
Expand Down Expand Up @@ -105,22 +89,6 @@ namespace QuantLib {
bool indexIsInterpolated,
const Interpolator& interpolator
= Interpolator());

/*! \deprecated Use the constructor not taking a yield
term structure.
Deprecated in version 1.19.
*/
QL_DEPRECATED
InterpolatedYoYInflationCurve(const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
Rate baseYoYRate,
const Period& lag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const Interpolator& interpolator
= Interpolator());
};

typedef InterpolatedYoYInflationCurve<Linear> YoYInflationCurve;
Expand Down Expand Up @@ -186,64 +154,6 @@ namespace QuantLib {
this->interpolation_.update();
}

template <class Interpolator>
InterpolatedYoYInflationCurve<Interpolator>::InterpolatedYoYInflationCurve(
const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
const Period& lag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
std::vector<Date> dates,
const std::vector<Rate>& rates,
const Interpolator& interpolator)
: YoYInflationTermStructure(
referenceDate, calendar, dayCounter, rates[0], lag, frequency, indexIsInterpolated, yTS),
InterpolatedCurve<Interpolator>(std::vector<Time>(), rates, interpolator),
dates_(std::move(dates)) {

QL_REQUIRE(dates_.size()>1, "too few dates: " << dates_.size());

// check that the data starts from the beginning,
// i.e. referenceDate - lag, at least must be in the relevant
// period
std::pair<Date,Date> lim =
inflationPeriod(referenceDate - this->observationLag(), frequency);
QL_REQUIRE(lim.first <= dates_[0] && dates_[0] <= lim.second,
"first data date is not in base period, date: " << dates_[0]
<< " not within [" << lim.first << "," << lim.second << "]");

QL_REQUIRE(this->data_.size() == dates_.size(),
"indices/dates count mismatch: "
<< this->data_.size() << " vs " << dates_.size());

this->times_.resize(dates_.size());
this->times_[0] = timeFromReference(dates_[0]);

for (Size i = 1; i < dates_.size(); i++) {
QL_REQUIRE(dates_[i] > dates_[i-1],
"dates not sorted");
// YoY inflation data may be positive or negative
// but must be greater than -1
QL_REQUIRE(this->data_[i] > -1.0,
"year-on-year inflation data < -100 %");

// this can be negative
this->times_[i] = timeFromReference(dates_[i]);

QL_REQUIRE(!close(this->times_[i],this->times_[i-1]),
"two dates correspond to the same time "
"under this curve's day count convention");
}

this->interpolation_ =
this->interpolator_.interpolate(this->times_.begin(),
this->times_.end(),
this->data_.begin());
this->interpolation_.update();
}

template <class Interpolator>
InterpolatedYoYInflationCurve<Interpolator>::
InterpolatedYoYInflationCurve(const Date& referenceDate,
Expand All @@ -258,21 +168,6 @@ namespace QuantLib {
lag, frequency, indexIsInterpolated),
InterpolatedCurve<Interpolator>(interpolator) {}

template <class Interpolator>
InterpolatedYoYInflationCurve<Interpolator>::
InterpolatedYoYInflationCurve(const Date& referenceDate,
const Calendar& calendar,
const DayCounter& dayCounter,
Rate baseYoYRate,
const Period& lag,
Frequency frequency,
bool indexIsInterpolated,
const Handle<YieldTermStructure>& yTS,
const Interpolator& interpolator)
: YoYInflationTermStructure(referenceDate, calendar, dayCounter, baseYoYRate,
lag, frequency, indexIsInterpolated, yTS),
InterpolatedCurve<Interpolator>(interpolator) {}


template <class T>
Date InterpolatedYoYInflationCurve<T>::baseDate() const{
Expand Down