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The QuantLib C++ library
Home Page: http://quantlib.org
License: Other
This project forked from lballabio/quantlib
The QuantLib C++ library
Home Page: http://quantlib.org
License: Other
Currently we generate quantlib-config
as part of our CMake builds. This file doesn't get automatically installed, however, nor does the corresponding quantlib.pc
file get generated or installed except in automake builds.
Support generation and installation of both these files in CMake builds, too.
Most BondFunctions
methods are overloaded, with one version converting its arguments and chaining to a different overload where defaults are handled and then a call made to static CashFlows methods to do the actual calculations -- e.g. BondFunctions::duration()
and BondFunctions::duration()
(v1.33).
basisPointValue()
and yieldValueBasisPoint()
have similarly paired overloads, however do not follow the same trampolining pattern: both methods instead directly call upstream CashFlows
methods, which results in the settlement date not being set correctly in the overloads not taking an InterestRate
object when passed to the underlying calculations unless explicitly passed in (settlement
is defaulted in these methods’ declarations).
Make these two methods' behavior consistent with other BondFunctions
methods and add tests to assert parity.
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