Merge branch 'master' into fuzz_american_option

.github/workflows/devenv-images.yml

@@ -6,7 +6,7 @@ on:
         description: 'Boost version'
         required: true
 env:
-  ROLLING: lunar
+  ROLLING: mantic
 jobs:
   docker-images:
     runs-on: ubuntu-latest

.github/workflows/stale.yml

@@ -6,7 +6,7 @@ jobs:
   staleness-check:
     runs-on: ubuntu-latest
     steps:
-      - uses: actions/stale@v8
+      - uses: actions/stale@v9
         with:
           repo-token: ${{ secrets.GITHUB_TOKEN }}
           stale-issue-message: 'This issue was automatically marked as stale because it has been open 60 days with no activity. Remove stale label or comment, or this will be closed in two weeks.'

CMakeLists.txt

@@ -1,10 +1,8 @@
-cmake_minimum_required(VERSION 3.22.0)
+cmake_minimum_required(VERSION 3.15.0)
 
 # For MSVC RUNTIME LIBRARY, need CMP0091=NEW and cmake 3.15+
 cmake_policy(SET CMP0091 NEW)
 
-include(CMakeDependentOption)
-
 # Version info
 set(QUANTLIB_VERSION_MAJOR 1)
 set(QUANTLIB_VERSION_MINOR 33)
@@ -44,7 +42,7 @@ set(QL_INSTALL_CMAKEDIR "lib/cmake/${PACKAGE_NAME}" CACHE STRING
 option(QL_BUILD_BENCHMARK "Build benchmark" ON)
 option(QL_BUILD_EXAMPLES "Build examples" ON)
 option(QL_BUILD_TEST_SUITE "Build test suite" ON)
-cmake_dependent_option(QL_BUILD_FUZZ_TEST_SUITE "Build fuzz test suite" OFF "'${CMAKE_CXX_COMPILER_ID}' MATCHES 'Clang'"  OFF)
+option(QL_BUILD_FUZZ_TEST_SUITE "Build fuzz test suite" OFF) 
 option(QL_ENABLE_OPENMP "Detect and use OpenMP" OFF)
 option(QL_ENABLE_PARALLEL_UNIT_TEST_RUNNER "Enable the parallel unit test runner" OFF)
 option(QL_ENABLE_SESSIONS "Singletons return different instances for different sessions" OFF)
@@ -272,7 +270,7 @@ if (QL_BUILD_TEST_SUITE OR QL_BUILD_BENCHMARK)
     add_subdirectory(test-suite)
 endif()
 
-if (QL_BUILD_FUZZ_TEST_SUITE)
+if ('${CMAKE_CXX_COMPILER_ID}' MATCHES 'Clang' AND  QL_BUILD_FUZZ_TEST_SUITE)
     add_subdirectory(fuzz-test-suite)
 endif()
 

fuzz-test-suite/CMakeLists.txt

@@ -8,7 +8,6 @@ else()
     set(FUZZING_LINK_FLAGS "-fsanitize=fuzzer")
 endif()
 
-# Define the fuzz target
 add_executable(DateParserFuzzer dateparserfuzzer.cpp)
 set_target_properties(DateParserFuzzer PROPERTIES
     COMPILE_FLAGS "${FUZZING_COMPILE_FLAGS}"
@@ -22,3 +21,10 @@ set_target_properties(AmericanOptionFuzzer PROPERTIES
     LINK_FLAGS "${FUZZING_LINK_FLAGS}"
 )
 target_link_libraries(AmericanOptionFuzzer ql_library ${QL_THREAD_LIBRARIES})
+
+add_executable(AmortizedBondsFuzzer amortizedbondsfuzzer.cpp)
+set_target_properties(AmortizedBondsFuzzer PROPERTIES
+    COMPILE_FLAGS "${FUZZING_COMPILE_FLAGS}"
+    LINK_FLAGS "${FUZZING_LINK_FLAGS}"
+)
+target_link_libraries(AmortizedBondsFuzzer ql_library ${QL_THREAD_LIBRARIES})

fuzz-test-suite/amortizedbondsfuzzer.cpp

@@ -0,0 +1,80 @@
+/*
+ Copyright (C) 2023 Nathaniel Brough
+
+ This file is part of QuantLib, a free-software/open-source library
+ for financial quantitative analysts and developers - http://quantlib.org/
+
+ QuantLib is free software: you can redistribute it and/or modify it
+ under the terms of the QuantLib license.  You should have received a
+ copy of the license along with this program; if not, please email
+ <[email protected]>. The license is also available online at
+ <http://quantlib.org/license.shtml>.
+
+ This program is distributed in the hope that it will be useful, but WITHOUT
+ ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
+ FOR A PARTICULAR PURPOSE.  See the license for more details.
+*/
+#include <ql/cashflows/fixedratecoupon.hpp>
+#include <ql/instruments/bonds/amortizingfixedratebond.hpp>
+#include <ql/settings.hpp>
+#include <ql/time/calendars/brazil.hpp>
+#include <ql/time/calendars/nullcalendar.hpp>
+#include <ql/time/calendars/unitedstates.hpp>
+#include <ql/time/daycounters/actual360.hpp>
+#include <ql/time/daycounters/actualactual.hpp>
+#include <ql/time/daycounters/business252.hpp>
+#include <cassert>
+#include <fuzzer/FuzzedDataProvider.h>
+#include <limits>
+#define _unused(x) ((void)(x))
+
+using namespace QuantLib;
+
+std::vector<Real> fuzzedRates(FuzzedDataProvider& fdp, const size_t length) {
+    std::vector<Real> result;
+    for (size_t i = 0; i < length; i++) {
+        result.push_back(fdp.ConsumeProbability<Real>());
+    }
+    return result;
+}
+
+extern "C" int LLVMFuzzerTestOneInput(const uint8_t* Data, size_t Size) {
+    FuzzedDataProvider fdp(Data, Size);
+    // Ensure settings are reset each iteration of the fuzzing loop.
+    // NOTE: this class manages the settings singleton using default
+    // (con/des)tructors.
+    SavedSettings saved_settings;
+
+    constexpr size_t kMaxSize = 512;
+    auto length = fdp.ConsumeIntegralInRange<size_t>(0, kMaxSize);
+
+    Date refDate = Settings::instance().evaluationDate();
+
+    auto rates = fuzzedRates(fdp, length);
+    Frequency freq = Monthly;
+
+    for (size_t i = 0; i < length; ++i) {
+
+        auto schedule = sinkingSchedule(refDate, Period(30, Years), freq, NullCalendar());
+        auto notionals = sinkingNotionals(Period(30, Years), freq, rates[i], 100.0);
+
+        AmortizingFixedRateBond myBond(0, notionals, schedule, {rates[i]},
+                                       ActualActual(ActualActual::ISMA));
+
+        Leg cashflows = myBond.cashflows();
+
+        Real lastTotalAmount = 0.0;
+        for (size_t k = 0; k < cashflows.size() / 2; ++k) {
+            Real coupon = cashflows[2 * k]->amount();
+            Real principal = cashflows[2 * k + 1]->amount();
+            Real totalAmount = coupon + principal;
+            // Assert invariants, these should always be true.
+            assert(coupon > 0.0);
+            assert(principal > 0.0);
+            assert(totalAmout > lastTotalAmount);
+            lastTotalAmount = totalAmount;
+            _unused(lastTotalAmount);
+        }
+    }
+    return 0;
+}

ql/currency.cpp

@@ -29,6 +29,22 @@ namespace QuantLib {
             return out << "null currency";
     }
 
+    QL_DEPRECATED_DISABLE_WARNING
+
+    Currency::Data::Data(std::string name,
+                         std::string code,
+                         Integer numericCode,
+                         std::string symbol,
+                         std::string fractionSymbol,
+                         Integer fractionsPerUnit,
+                         const Rounding& rounding,
+                         Currency triangulationCurrency,
+                         std::set<std::string> minorUnitCodes)
+    : name(std::move(name)), code(std::move(code)), numeric(numericCode), symbol(std::move(symbol)),
+      fractionSymbol(std::move(fractionSymbol)), fractionsPerUnit(fractionsPerUnit),
+      rounding(rounding), triangulated(std::move(triangulationCurrency)),
+      minorUnitCodes(std::move(minorUnitCodes)) {}
+
     Currency::Data::Data(std::string name,
                          std::string code,
                          Integer numericCode,
@@ -44,6 +60,25 @@ namespace QuantLib {
       rounding(rounding), triangulated(std::move(triangulationCurrency)),
       formatString(std::move(formatString)), minorUnitCodes(std::move(minorUnitCodes)) {}
 
+    Currency::Currency(const std::string& name,
+                       const std::string& code,
+                       Integer numericCode,
+                       const std::string& symbol,
+                       const std::string& fractionSymbol,
+                       Integer fractionsPerUnit,
+                       const Rounding& rounding,
+                       const Currency& triangulationCurrency,
+                       const std::set<std::string>& minorUnitCodes)
+    : data_(ext::make_shared<Currency::Data>(name,
+                                             code,
+                                             numericCode,
+                                             symbol,
+                                             fractionSymbol,
+                                             fractionsPerUnit,
+                                             rounding,
+                                             triangulationCurrency,
+                                             minorUnitCodes)) {}
+
     Currency::Currency(const std::string& name,
                        const std::string& code,
                        Integer numericCode,
@@ -64,5 +99,7 @@ namespace QuantLib {
                                              formatString,
                                              triangulationCurrency,
                                              minorUnitCodes)) {}
-}
 
+    QL_DEPRECATED_ENABLE_WARNING
+
+}

ql/currency.hpp

@@ -44,6 +44,19 @@ namespace QuantLib {
             used.
         */
         Currency() = default;
+        Currency(const std::string& name,
+                 const std::string& code,
+                 Integer numericCode,
+                 const std::string& symbol,
+                 const std::string& fractionSymbol,
+                 Integer fractionsPerUnit,
+                 const Rounding& rounding,
+                 const Currency& triangulationCurrency = Currency(),
+                 const std::set<std::string>& minorUnitCodes = {});
+        /*! \deprecated Use the constructor without formatString.
+                        Deprecated in version 1.33.
+        */
+        QL_DEPRECATED
         Currency(const std::string& name,
                  const std::string& code,
                  Integer numericCode,
@@ -75,6 +88,10 @@ namespace QuantLib {
         /*! The format will be fed three positional parameters,
             namely, value, code, and symbol, in this order.
         */
+        /*! \deprecated Copy the formatting into your project if you need it.
+                        Deprecated in version 1.33.
+        */
+        [[deprecated("Copy the formatting into your project if you need it.")]]
         std::string format() const;
         //@}
         //! \name Other information
@@ -93,16 +110,33 @@ namespace QuantLib {
         void checkNonEmpty() const;
     };
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     struct Currency::Data {
         std::string name, code;
         Integer numeric;
         std::string symbol, fractionSymbol;
         Integer fractionsPerUnit;
         Rounding rounding;
         Currency triangulated;
+        QL_DEPRECATED
         std::string formatString;
         std::set<std::string> minorUnitCodes;
 
+        /*! \deprecated Use the constructor without formatString.
+                        Deprecated in version 1.33.
+        */
+        QL_DEPRECATED
+        Data(std::string name,
+             std::string code,
+             Integer numericCode,
+             std::string symbol,
+             std::string fractionSymbol,
+             Integer fractionsPerUnit,
+             const Rounding& rounding,
+             Currency triangulationCurrency = Currency(),
+             std::set<std::string> minorUnitCodes = {});
+
         Data(std::string name,
              std::string code,
              Integer numericCode,
@@ -115,6 +149,8 @@ namespace QuantLib {
              std::set<std::string> minorUnitCodes = {});
     };
 
+    QL_DEPRECATED_ENABLE_WARNING
+
     /*! \relates Currency */
     bool operator==(const Currency&,
                     const Currency&);
@@ -169,11 +205,15 @@ namespace QuantLib {
         return data_->rounding;
     }
 
+    QL_DEPRECATED_DISABLE_WARNING
+
     inline std::string Currency::format() const {
         checkNonEmpty();
         return data_->formatString;
     }
 
+    QL_DEPRECATED_ENABLE_WARNING
+
     inline bool Currency::empty() const {
         return !data_;
     }