lballabio / QuantLib

75%

master: 75%

LAST BUILD ON BRANCH OIS-boostrap-basis

branch: OIS-boostrap-basis

CHANGE BRANCH

x

Reset

• OIS-boostrap-basis
• 1.19
• 1.22
• 1.27.1
• 20.04
• EvalDateForced
• Latent_Model_perf_fix
• MtMCrossCurrencySwaps
• SABR_atm_fix
• SofrGsr
• VannaVolga
• VannaVolga2
• accrued-period
• accrued_amount
• actact
• add-asian-option-example
• add-continuous-asian-running-average
• add-hk-2026-holidays
• add-india-nse-2026-holidays
• add-rounding-precision-to-ois
• add-shir-overnight-index
• add_AGENTS.md_and_friends
• add_calendars_currencies_nok_indexe
• add_cmake_runners-latest_matrix_workflow
• agent/clarify-expected-tranche-loss-units
• akima-cubic-min-points
• amortizing-bonds
• appveyor-warnings-as-errors
• apt-update
• asian_basket
• assume-ublas-works
• auto_link_ql_hpp
• auto_ptr
• autotools
• avoid_div_zero
• avoid_dynamic_cast_cashflows
• basis-swap-helper
• bessel-tolerance
• black-bond-engine
• bma-index
• bond-constructors
• bond-test
• boost-1.91
• brl_cdi
• bugfix/issue-2433
• burley_skipto
• c++11-checks
• calendar/taiwan-2025-2026
• calendars
• calibration-helper
• calibration-helper-term-structure
• callable-bond-fix
• callable-implied-vol
• canada-holiday
• canadian-check
• cash_div
• cashflows-settings
• catalina-warning
• cds-isda
• china-cal-2026
• china_2025
• chrono
• ci-ccache
• clang-15
• clang-tidy-11
• clang-tidy-12
• clang-tidy-fixes-master
• clang-tidy-fixes-refs/heads/master
• clang-tidy-fixes-refs/heads/test-clang-tidy
• clang-tidy-fixes-test-msg
• clang-tidy-fixes-tidy
• clang12
• class-friend-class
• clean-break-after-return
• cmake-library-tag
• cmake-openmp
• codacy
• codeql
• codeql-v2
• colalb1/cmaes_v2
• colalb1/lbfgsb-optimizer
• colalb1/rough_heston
• config-c++11
• constexpr
• constexpr-null
• constraint-reference
• convertible-dividends
• copyright-check
• coverage
• coverall-test
• coverall-with-autotools
• coveralls
• coveralls-action
• coveralls-test
• cpi-cap-floor
• cpi-coupon
• cpi-growth-only
• cpi-interpolation
• cpi-price-surface
• cpp20
• cpp20build
• currencies
• custom_pillar_dates
• daycounters
• deferred_observer_lifetime
• deferred_observer_lifetime_02
• dependabot/github_actions/actions/cache-3
• dependabot/github_actions/actions/cache-v2.1.4
• dependabot/github_actions/actions/checkout-3
• dependabot/github_actions/actions/checkout-5
• dependabot/github_actions/actions/checkout-6
• dependabot/github_actions/actions/checkout-7
• dependabot/github_actions/actions/stale-10
• dependabot/github_actions/actions/stale-4
• dependabot/github_actions/actions/stale-5
• dependabot/github_actions/actions/stale-6
• dependabot/github_actions/actions/upload-artifact-3
• dependabot/github_actions/actions/upload-artifact-5
• dependabot/github_actions/actions/upload-artifact-6
• dependabot/github_actions/actions/upload-artifact-7
• dependabot/github_actions/docker/login-action-4
• dependabot/github_actions/github/codeql-action-4
• dependabot/github_actions/microsoft/msvc-code-analysis-action-0.1.1
• dependabot/github_actions/peter-evans/create-pull-request-4
• dependabot/github_actions/peter-evans/create-pull-request-8
• deprecate-functionals
• deprecate-nominal-curve-member
• deprecate-nominal-term-structure
• deprecate-null
• deprecate-payoff-wrapper
• deprecate-std-any-and-optional
• deprecated
• deprecated-1-22
• deprecated-1.16
• deprecated-1.19
• deprecated-1.21
• deprecated-1.23
• deprecated-1.24
• deprecated-1.33
• deprecated-1.34
• deprecated-1.35
• deprecated-1.36
• deprecated-1.37
• deprecated-1.38
• deprecated-1.39
• deprecated-headers
• deprecated-pricer-methods
• deprecation-warnings
• deprecation-warnings-vc15
• disable-disposable
• discrete-integral-small-grid
• disposable
• docs/warn-relative-helper-with-fixed-ref-date
• double-constexpr-for-generic-Real
• doxygen
• ensure-bootstrap
• eom
• eom_makevanilla
• equity-vol-surface-atmlevel
• error-macros
• evaluation-date-noop
• experimental
• experimental-fx
• failing-test
• fdm-cevop-dangling-ref
• fdm-iterator-equality
• feature/28d-freq
• feature/additional-vars
• feature/asian-exercise-date
• feature/baw-negative-rates
• feature/bermudan-ois-swaption
• feature/bessel-benchmark-tolerance
• feature/blackvol-smilesection
• feature/cached-quotes
• feature/calendar-advance-unadjusted-eom
• feature/cmake-ql-package-name
• feature/const-notional-xccy
• feature/crosscurrency-helper
• feature/cubic-unchecked-cast
• feature/custom-ibor-index
• feature/deposit-fra-for-dates
• feature/deprecate-kruger-monotonic
• feature/discount-log-interp
• feature/eurlibor
• feature/extrap-no-vtbl
• feature/fast-eval-ois-swap
• feature/fix-aad-compatibility
• feature/fix-bootstrap-vars-test
• feature/fix-extended-cir-observability
• feature/fix-matrix-const-correctness
• feature/fix-south-korea-holiday
• feature/fix-vasicek-zero-reversion-limit
• feature/fix_fx_forward_npv_reference_date
• feature/fix_fx_forward_npv_reference_date_rebased
• feature/fix_fx_fwrd_engine
• feature/fixing-convention
• feature/from-var-static-assert
• feature/fut-conv-adj-dedup
• feature/future-convadj-quote-cache
• feature/futures-conv-quote
• feature/fwd-spreaded-interpolation
• feature/fwd-zero-termstructure
• feature/fx-options-utils
• feature/fxswap-fordates
• feature/global-bootstrap-errors-fn
• feature/global-bootstrap-transform
• feature/global-guess
• feature/ho-lee
• feature/holiday-list-empty
• feature/implied-ts-cache
• feature/inflation-bootstrap-pillar
• feature/inflation-curve-lazy-base-date
• feature/inflation-helpers-fordates
• feature/inflation-helpers-swap
• feature/inflation-year-fraction
• feature/interp-impl-final
• feature/interp-no-dynamic-cast
• feature/interp-no-repeated-updates
• feature/iter-bootstrap-dates
• feature/lazyobject-failed-update
• feature/makeswap-fixedtenor
• feature/makeswap-settledays
• feature/makeswaption-calendar
• feature/math-comparison-includes
• feature/mixed-mode-cleanup
• feature/mixed-mode-pass-derivative
• feature/modernize-pointer
• feature/multi-composite-quote
• feature/multiple-resets-swap
• feature/non-deliverable-xccy-swap
• feature/null-constexpr
• feature/oas-excoupon-callable-bond
• feature/ois-rate-helper-bdc
• feature/ois-rate-helper-overnight-cal
• feature/optimize-jamshidian-rstar
• feature/optionlet-frequency
• feature/overnight-future-helper-register
• feature/overnight-future-register
• feature/paymentAdjustment
• feature/penalty-function
• feature/perform-calc-protected
• feature/piecewise-forward-spreaded-ts
• feature/pricing-engine
• feature/psyc-traits-public
• feature/ql-ore-coupons-alignment
• feature/ql-time-calendar
• feature/quote-error
• feature/quotehandle-ois-spread
• feature/ragged-vol-surface
• feature/relink-handle-reset
• feature/remove-bootstrap-error
• feature/remove-saved-eval-date
• feature/saron-index
• feature/schedule-backward-regularity
• feature/schedule-remove-null-calendar
• feature/simple-quote-final
• feature/simplify-infl-period
• feature/smile-sec-repeated-calls
• feature/smilesection-optional-forward
• feature/smilesectionutils-underflow
• feature/spread-discount-curve
• feature/spread-discount-guess
• feature/student-t-inverse-cdf-boost
• feature/swap-helper-bdc
• feature/th-holidays-2025
• feature/thirty360-us
• feature/trinomial-tree-branching
• feature/ufr-rounding
• feature/update-singapore-calendar-2025
• feature/use-make-ptr
• feature/use-make-shared-capfloor-vol-calendar
• feature/use-make-shared-constant-vol
• feature/use-make-shared-pricingengines
• feature/use-make-shared-ptr-daycounters
• feature/use-make-unique-ptr
• feature/vn-dividend-tree
• feature/zabr-swaption-volatility-cube
• feature/zc-infl-helper-refactor
• feature/zcif-leg-bps
• feature/zero-spread-no-dc
• feautre/use-make-shared-ptr-indexes
• fft-order-zero-oob
• fix-2591-comment
• fix-5yr-label-basketlosses
• fix-753-reference-date-adjustment
• fix-bondforward-spotincome-excoupon
• fix-boost-test-macros-master
• fix-callable-effective-duration
• fix-coupon-accrueddays-excoupon
• fix-ext-namespace-master
• fix-include-in-quotes-master
• fix-irr-derivative
• fix-makevanillaswap-spot-date-2546
• fix-mixedinterpolation-switch-oob
• fix-multicubicspline-reference
• fix-oic-paymentdate-check
• fix-type
• fix-vector-initialiser
• fix/AFR-constructr-segfault
• fix/aad-fxforward-blackvarsurface
• fix/aad-gaussiancopula-clamp
• fix/aad-real-accumulate
• fix/aad-real-type-in-range-for
• fix/aad-trinomialtree-constexpr
• fix/ad-compatible-overnight-pricer
• fix/ad-hook-linux/choi-asian-engine
• fix/ad-initializer-list
• fix/add_vector_header
• fix/american-exercise-earliest-date
• fix/array-constructor
• fix/auto-to-real-variance-option-upstream
• fix/burley2020-sobol-avoid-zero
• fix/gsrprocesscore-temporary-arrays
• fix/issue-2172-stc-long-first-period
• fix/linear-regression
• fix/mtm-xccy-nofreq
• fix/problematic-inheritance-in-DefaultLossModel
• fix/yield-term-structure-time-error-message
• fix/zspread-daycount
• fix_g1d_process_refs
• fixed-ibor-coupon
• fra-empty-discount
• functors
• fuzz-3
• g2bounds
• gaussian-copula-spread-engine
• global-bootstrap
• global_bootstrap_update
• gsr-notification-loop
• gsr-revert
• header-only-test
• helper-to-lambda
• himalaya
• hotfix/mxv-data-assignment
• hotfix/small-opt-vv-price
• hotfix/strike-from-delta
• hw_fix_bug
• implicit-copy-constructor
• implied-hazard-rate
• inflation-caplet-fixing
• inflation-pricer
• inflation-zero-rate
• inflationcashflows
• initialization-lists
• initializer-list-constructors
• interpolated-zero-inflation
• interpolatedfixing
• intraday-serial-number
• isnan
• israel-calendar
• issue-1695
• issue-1695-part2
• jumps-no-reference
• juneteenth
• kinetic
• kirk-theta
• lambda-return-types
• lbfgsb-ad-compat
• lcov
• lgtm
• make-cds
• makecapfloor-bacheliercapfloorengine-check-added
• master
• mexico-all-souls-day
• missing-typedef
• mixed-eol
• modernize-all
• modernize-loop-convert
• modernize-make-shared
• modernize-others
• modernize-pass-by-value
• modernize-use-auto
• modernize-use-default-member-init
• modernize-use-emplace
• modernize-use-nullptr
• modernize-use-override
• modernize-use-using
• more-checks
• more-convertible-rework
• more-ex-coupon
• move-constructors
• msvc-analysis-2022
• multicurve-example
• multicurve_bootstrap
• natural_cubic_spline_fitter
• new-fuzzing
• new-fuzzing-harnesses-1
• newfeature/fxforwardpricing
• newzealand
• no-gnu-make
• no-smart-period-string
• no-vc2012
• no-workaround
• nominal-curve
• normalized-period
• null
• null-pointer-checks
• o3-errors
• obsolete-fd
• ois-helper-pillar
• ois-sanitize
• ois_coupon_accruals
• overnight-coupon-rounding
• overnightfutures
• partial-time-barrier-put-option
• patch-1
• patch-constexpr-real
• pearson-spread-engine
• perpetual-futures-style-fix
• perpetual_futures
• piecewise-single-section-constructor
• pkg-config
• pr/gaussian2d-credit-tree
• prerelease-check/travis-nondefaultconfig
• pricing_bond_doc
• public-method
• pull-request-1183
• pull-request-1218
• qd-double-boundary
• qldev_vp1
• quantlibbenchmark_spaces
• range-accrual-schedule
• ratehelper_scale
• real-or-handle-variant
• recalculate-fix
• refs/heads/master
• refs/tags/1.22rc
• refs/tags/1.23-rc
• refs/tags/1.24rc
• refs/tags/1.25rc
• refs/tags/1.26rc
• refs/tags/1.27rc
• refs/tags/1.28-rc
• refs/tags/QuantLib-v1.19
• refs/tags/QuantLib-v1.20
• refs/tags/QuantLib-v1.21
• refs/tags/QuantLib-v1.22
• refs/tags/QuantLib-v1.23
• refs/tags/QuantLib-v1.24
• refs/tags/QuantLib-v1.25
• refs/tags/QuantLib-v1.26
• refs/tags/QuantLib-v1.27
• refs/tags/QuantLib-v1.27.1
• refs/tags/QuantLib-v1.28
• remove-deprecated
• remove_mat_date_latest_relevant_date
• replace-bind-with-lambdas
• replace-scoped-ptr
• revert-1491
• revert-985-no-vc2012
• rounding
• sabr
• sabr-guess
• sabr-ref-date
• set-to-rc-master
• shared_array
• shir-calendar
• singleton
• slow-test
• smilesection-rnd-calculator
• smilesection-rnd-explicit-forward-ctor
• sobol_speedup
• sofr-helper-defaults
• soft-barrier-impl
• soft-futures-variant
• std-any
• std-log-exp
• std_any_ON_in_CMakeLists.txt
• string-conversions
• swap-type
• test
• test-callable
• test-clang-tidy
• test-error-destructor
• test-fix
• test-msvc-warning-push
• test-noexcept-hack
• test-remove-clang-pragmas
• test-times
• test-travis-stages
• test-tuple
• thai-calendar-fixes
• thirty360
• thirty365-date-adjustment-rules
• thread-key
• thread-safe-observable-20
• tidy-fixes
• tidy-latest
• tidy-std
• tonar
• travis-matrix
• tsobs11
• typo_uniform1dmesher
• uk-spring-2022
• unique_ptr
• unused
• unused-old-fd
• unused_classes
• update-copyright-list-master
• update-generated-headers-automated-prs
• update-generated-headers-master
• update-license-links-license-url
• update-license-links-master
• update-singapore-2026
• update-tidy
• update-version-for-release-1.42.x
• update-version-for-release-master
• uscalendars
• variant-ois-helper-rate
• vc2013
• vc2026
• warning_C4702-unreachable_code
• warnings
• xabr-types
• xccy-args
• yield_overhaul
• yoy-inflation
• yoy-interpolated
• zaronia

Build # 29974475463

Build Type

Pull #2674

github

Committed by web-flow

Commit Message

Merge e51fac3fd into 6fd9bbad7

Pull Request Pull Request #2674: OIS-Ibor basis bootstrap

Coverage Stats

21 of 21 new or added lines in 1 file covered. (100.0%)

59550 of 79444 relevant lines covered (74.96%)

8626500.75 hits per line