Fix AD type compatibility issues

ql/math/ode/fractionalkernelapproximation.hpp

@@ -36,7 +36,9 @@ namespace QuantLib {
 
         // (exp(y) - 1) / y, continuous at the origin
         inline Real expm1OverX(Real y) {
-            return (std::fabs(y) < 1e-8) ? 1.0 + 0.5 * y : std::expm1(y) / y;
+            if (std::fabs(y) < 1e-8)
+                return 1.0 + 0.5 * y;
+            return std::expm1(y) / y;
         }
 
         /*  sin(pi b) / (pi b), the reflection-formula rewriting of
@@ -47,7 +49,9 @@ namespace QuantLib {
         inline Real fractionalKernelNorm(Real b) {
             const Real y{M_PI * b};
 
-            return (std::fabs(y) < 1e-8) ? 1.0 - y * y / 6.0 : std::sin(y) / y;
+            if (std::fabs(y) < 1e-8)
+                return 1.0 - y * y / 6.0;
+            return std::sin(y) / y;
         }
     }
 

ql/methods/finitedifferences/operators/triplebandlinearop.cpp

@@ -279,7 +279,7 @@ namespace QuantLib {
             Array result(size);
 
             auto previous = index(0);
-            auto beta = a*dptr[previous] + b;
+            Real beta = a*dptr[previous] + b;
             QL_REQUIRE(beta != 0.0, "division by zero");
             beta = 1.0 / beta;
             result[previous] = r[previous] * beta;

ql/pricingengines/vanilla/analyticroughhestonengine.cpp

@@ -238,7 +238,7 @@ namespace QuantLib {
         const Real v0    = model_->v0();
         const Real a     = model_->hurst() + 0.5;
 
-        const std::vector<std::complex<Real>> h{solveAdamsRiccati(z, t)};
+        const std::vector<std::complex<Real>> h = solveAdamsRiccati(z, t);
 
         const Real dt{t / timeSteps_};
 

ql/termstructures/volatility/swaption/sabrswaptionvolatilitycube.hpp

@@ -968,9 +968,11 @@ namespace QuantLib {
             Matrix spreadVols(2,2,0.);
             for (Size i=0; i<2; i++){
                 for (Size j=0; j<2; j++){
-                    strikes[i][j] = volatilityType_ == VolatilityType::Normal ?
-                        atmForwards[i][j] + strike - atmForward :
-                        (atmForwards[i][j]+atmShifts[i][j])/moneyness - atmShifts[i][j];
+                    if (volatilityType_ == VolatilityType::Normal)
+                        strikes[i][j] = atmForwards[i][j] + strike - atmForward;
+                    else
+                        strikes[i][j] =
+                            (atmForwards[i][j]+atmShifts[i][j])/moneyness - atmShifts[i][j];
                     if (marketSpreads) {
                         const Size section =
                             (optionTimesPreviousIndex+i)*nSwapTenors_ +

test-suite/basisswapratehelpers.cpp

@@ -350,8 +350,8 @@ void testOvernightOvernightBootstrap(bool externalDiscountCurve,
             externalDiscountCurve ? discountCurve : bootstrappedCurveHandle));
 
         Real tolerance = 1e-8;
-        BOOST_CHECK_SMALL(swap.NPV(), tolerance);
-        BOOST_CHECK_SMALL(basisHelpers[i]->impliedQuote() - q.basis, tolerance);
+        QL_CHECK_SMALL(swap.NPV(), tolerance);
+        QL_CHECK_SMALL(basisHelpers[i]->impliedQuote() - q.basis, tolerance);
     }
 }
 
@@ -789,7 +789,7 @@ BOOST_AUTO_TEST_CASE(testOvernightOvernightTelescopicValueDatesWithSimpleAveragi
                       fullSimpleCoupon->valueDates().size());
     BOOST_CHECK_LT(telescopicCompoundedCoupon->valueDates().size(),
                    fullCompoundedCoupon->valueDates().size());
-    BOOST_CHECK_SMALL(telescopicSimpleCoupon->rate() - fullSimpleCoupon->rate(), 1.0e-14);
+    QL_CHECK_SMALL(telescopicSimpleCoupon->rate() - fullSimpleCoupon->rate(), 1.0e-14);
 }
 
 BOOST_AUTO_TEST_CASE(testOvernightIborMarginOnIborLeg) {

test-suite/crosscurrencyratehelpers.cpp

@@ -780,10 +780,10 @@ BOOST_AUTO_TEST_CASE(testMtMHelperMatchesStandaloneWithAsymmetricFxHolidays) {
     BOOST_REQUIRE(firstHelperCoupon != nullptr);
     BOOST_CHECK_EQUAL(firstHelperCoupon->fxResetDate(), expectedFxFixingDate);
     BOOST_CHECK_EQUAL(firstHelperCoupon->fxResetValueDate(), start);
-    BOOST_CHECK_SMALL(helperSwap->NPV() - standalone->NPV(), 1.0e-12);
-    BOOST_CHECK_SMALL(helperSwap->fairFxQuoteSpread() - standalone->fairFxQuoteSpread(),
+    QL_CHECK_SMALL(helperSwap->NPV() - standalone->NPV(), 1.0e-12);
+    QL_CHECK_SMALL(helperSwap->fairFxQuoteSpread() - standalone->fairFxQuoteSpread(),
                       1.0e-12);
-    BOOST_CHECK_SMALL(helperSwap->fairFxQuoteSpread() - basis, 1.0e-10);
+    QL_CHECK_SMALL(helperSwap->fairFxQuoteSpread() - basis, 1.0e-10);
 
     // Under the previous zero-day convention the first reset is still in the
     // future and is projected instead of using today's observed fixing.
@@ -1058,7 +1058,7 @@ BOOST_AUTO_TEST_CASE(testBasisHelpersWithPaymentLagMatchUnderlyingSwaps) {
         collateralCurve, false, true, std::nullopt, 2);
     constantHelper.setTermStructure(bootstrappedCurve.get());
 
-    BOOST_CHECK_SMALL(constantHelper.impliedQuote() - constantHelper.swap()->fairPaySpread(),
+    QL_CHECK_SMALL(constantHelper.impliedQuote() - constantHelper.swap()->fairPaySpread(),
                       1.0e-12);
 
     MtMCrossCurrencyBasisSwapRateHelper resettingHelper(
@@ -1067,7 +1067,7 @@ BOOST_AUTO_TEST_CASE(testBasisHelpersWithPaymentLagMatchUnderlyingSwaps) {
         collateralCurve, false, true, false, std::nullopt, 2);
     resettingHelper.setTermStructure(bootstrappedCurve.get());
 
-    BOOST_CHECK_SMALL(resettingHelper.impliedQuote() -
+    QL_CHECK_SMALL(resettingHelper.impliedQuote() -
                           resettingHelper.swap()->fairFxBaseSpread(),
                       1.0e-12);
 }

test-suite/distributions.cpp

@@ -537,7 +537,7 @@ BOOST_AUTO_TEST_CASE(testInverseCumulativeStudent) {
             Real upper = inv(1.0 - p);
             Real error = std::fabs(lower + upper);
             Real tolerance = 1.0e-8 *
-                std::max({1.0, std::fabs(lower), std::fabs(upper)});
+                std::max<Real>({1.0, std::fabs(lower), std::fabs(upper)});
             if (error > tolerance)
                 BOOST_ERROR("Inverse cumulative Student t distribution "
                             "symmetry failure:"

test-suite/gsr.cpp

@@ -1040,7 +1040,7 @@ BOOST_AUTO_TEST_CASE(testSofrSwaptionPaymentLag) {
         Swap::Payer, 1.0, schedule, probe->fairRate(), dc, sofr, 0.0, 2,
         Following, calendar);
     swap->setPricingEngine(discountingEngine);
-    BOOST_CHECK_SMALL(swap->NPV(), 1.0e-12);
+    QL_CHECK_SMALL(swap->NPV(), 1.0e-12);
 
     for (const auto& cashflow : swap->overnightLeg()) {
         auto coupon = ext::dynamic_pointer_cast<OvernightIndexedCoupon>(cashflow);
@@ -1064,19 +1064,19 @@ BOOST_AUTO_TEST_CASE(testSofrSwaptionPaymentLag) {
         ext::make_shared<Gaussian1dJamshidianSwaptionEngine>(gsr));
     Real gaussianJamshidian = swaption->NPV();
 
-    BOOST_CHECK_CLOSE(gaussianJamshidian, gaussian, 0.2);
+    QL_CHECK_CLOSE(gaussianJamshidian, gaussian, 0.2);
     // Conversion to a NonstandardSwap must preserve the payment lag, and the
     // nonstandard Gaussian engine must reproduce the standard engine.
     auto nonstandardSwap = ext::make_shared<NonstandardSwap>(*swap);
     nonstandardSwap->setPricingEngine(discountingEngine);
     BOOST_CHECK_EQUAL(nonstandardSwap->paymentLag(), 2);
-    BOOST_CHECK_SMALL(nonstandardSwap->NPV() - swap->NPV(), 1.0e-12);
+    QL_CHECK_SMALL(nonstandardSwap->NPV() - swap->NPV(), 1.0e-12);
     auto nonstandardSwaption =
         ext::make_shared<NonstandardSwaption>(nonstandardSwap, exercise);
     nonstandardSwaption->setPricingEngine(
         ext::make_shared<Gaussian1dNonstandardSwaptionEngine>(
             gsr, 128, 8.0, true, false, Handle<Quote>(), curve));
-    BOOST_CHECK_CLOSE(nonstandardSwaption->NPV(), gaussian, 0.2);
+    QL_CHECK_CLOSE(nonstandardSwaption->NPV(), gaussian, 0.2);
 
     // Exercise the same path with variable notionals and margins.
     Size coupons = schedule.size() - 1;
@@ -1129,7 +1129,7 @@ BOOST_AUTO_TEST_CASE(testSofrSwaptionPaymentLag) {
     // the variable-notional, variable-margin and payment-lag path. The two
     // prices come from separate integrations, so the check is relative but not
     // at roundoff level (BOOST_CHECK_CLOSE takes a percentage).
-    BOOST_CHECK_CLOSE(scaledSwaption->NPV(), 2.0 * payerValue, 1.0e-6);
+    QL_CHECK_CLOSE(scaledSwaption->NPV(), 2.0 * payerValue, 1.0e-6);
 }
 
 BOOST_AUTO_TEST_SUITE_END()

test-suite/mtmcrosscurrencybasisswap.cpp

@@ -341,32 +341,32 @@ BOOST_AUTO_TEST_CASE(testFxResetObservationDatesAndProjection) {
         if (auto coupon = ext::dynamic_pointer_cast<FxResetCoupon>(cf)) {
             BOOST_REQUIRE(resetNo < fxResetRates.size());
             Real expectedRate = fxResetPricer->fxRate(coupon->fxReset());
-            BOOST_CHECK_CLOSE(fxResetRates[resetNo], expectedRate, 1.0e-10);
-            BOOST_CHECK_CLOSE(fxResetNotionals[resetNo], eurNominal * expectedRate, 1.0e-10);
+            QL_CHECK_CLOSE(fxResetRates[resetNo], expectedRate, 1.0e-10);
+            QL_CHECK_CLOSE(fxResetNotionals[resetNo], eurNominal * expectedRate, 1.0e-10);
             ++resetNo;
         }
     }
     BOOST_CHECK_EQUAL(resetNo, fxResetRates.size());
-    BOOST_CHECK_CLOSE(fxResetRates.front(), expectedForward, 1.0e-10);
+    QL_CHECK_CLOSE(fxResetRates.front(), expectedForward, 1.0e-10);
 
     spotQuote->setValue(1.20);
     std::vector<Real> bumpedFxResetRates = swap->fxResetRates();
     std::vector<Real> bumpedFxResetNotionals = swap->fxResetNotionals();
-    BOOST_CHECK_CLOSE(bumpedFxResetRates.front(), fxResetRates.front() * 1.20 / spotFx,
+    QL_CHECK_CLOSE(bumpedFxResetRates.front(), fxResetRates.front() * 1.20 / spotFx,
                       1.0e-10);
-    BOOST_CHECK_CLOSE(bumpedFxResetNotionals.front(),
+    QL_CHECK_CLOSE(bumpedFxResetNotionals.front(),
                       fxResetNotionals.front() * 1.20 / spotFx, 1.0e-10);
     spotQuote->setValue(spotFx);
 
     setFxResetPricer(swap->resettingLeg(), fxResetPricer);
-    BOOST_CHECK_CLOSE(firstCoupon->nominal(), eurNominal * expectedForward, 1.0e-10);
+    QL_CHECK_CLOSE(firstCoupon->nominal(), eurNominal * expectedForward, 1.0e-10);
 
     // Omitting the engine's explicit spot settlement date must derive the same
     // date from the swap's reset convention.
     swap->setPricingEngine(ext::make_shared<DiscountingMtMCrossCurrencyBasisSwapEngine>(
         USDCurrency(), usdCurve, EURCurrency(), eurCurve, makeQuoteHandle(spotFx),
         std::nullopt, Date(), Date(), spotFxSettleDate));
-    BOOST_CHECK_SMALL(swap->NPV() - automaticallyDatedNpv, 1.0e-10 * eurNominal);
+    QL_CHECK_SMALL(swap->NPV() - automaticallyDatedNpv, 1.0e-10 * eurNominal);
 
     // The equivalent reference-date FX quote must give the same result when an
     // explicit reference-date settlement overrides the convention.
@@ -375,7 +375,7 @@ BOOST_AUTO_TEST_CASE(testFxResetObservationDatesAndProjection) {
     swap->setPricingEngine(ext::make_shared<DiscountingMtMCrossCurrencyBasisSwapEngine>(
         USDCurrency(), usdCurve, EURCurrency(), eurCurve, makeQuoteHandle(referenceDateFx),
         std::nullopt, Date(), Date(), today));
-    BOOST_CHECK_SMALL(swap->NPV() - automaticallyDatedNpv, 1.0e-10 * eurNominal);
+    QL_CHECK_SMALL(swap->NPV() - automaticallyDatedNpv, 1.0e-10 * eurNominal);
 }
 
 BOOST_AUTO_TEST_CASE(testResetFixingStateUsesEvaluationDate) {
@@ -397,12 +397,12 @@ BOOST_AUTO_TEST_CASE(testResetFixingStateUsesEvaluationDate) {
 
     // Although today's fixing precedes the curves' spot-date reference, it is
     // forecast when no fixing has been published yet.
-    BOOST_CHECK_CLOSE(pricer.fxRate(reset), spotFx, 1.0e-12);
+    QL_CHECK_CLOSE(pricer.fxRate(reset), spotFx, 1.0e-12);
 
     Real publishedFixing = 1.25;
     ExchangeRateManager::instance().add(
         ExchangeRate(EURCurrency(), USDCurrency(), publishedFixing), today, today);
-    BOOST_CHECK_CLOSE(pricer.fxRate(reset), publishedFixing, 1.0e-12);
+    QL_CHECK_CLOSE(pricer.fxRate(reset), publishedFixing, 1.0e-12);
 
     ExchangeRateManager::instance().clear();
     Settings::instance().enforcesTodaysHistoricFixings() = true;
@@ -512,7 +512,7 @@ BOOST_AUTO_TEST_CASE(testKnownFxResetBeforeAccrualStart) {
         swap->resettingLeg(),
         ext::make_shared<DiscountingFxResetPricer>(
             EURCurrency(), USDCurrency(), eurCurve, usdCurve, makeQuoteHandle(1.10), true));
-    BOOST_CHECK_CLOSE(firstCoupon->nominal(), eurNominal * fixedFx, 1.0e-10);
+    QL_CHECK_CLOSE(firstCoupon->nominal(), eurNominal * fixedFx, 1.0e-10);
 }
 
 BOOST_AUTO_TEST_CASE(testResettableLegCashFlowsMatchLegResults) {
@@ -566,7 +566,7 @@ BOOST_AUTO_TEST_CASE(testResettableLegCashFlowsMatchLegResults) {
             Date reset = coupon->fxResetDate();
             Real expected = usdNominal * (1.0 / spotFx) * usdCurve->discount(reset) /
                             eurCurve->discount(reset);
-            BOOST_CHECK_CLOSE(coupon->nominal(), expected, 1.0e-8);
+            QL_CHECK_CLOSE(coupon->nominal(), expected, 1.0e-8);
         } else if (ext::dynamic_pointer_cast<FxResetNotionalExchange>(cf)) {
             ++exchangeCount;
         } else {
@@ -575,7 +575,7 @@ BOOST_AUTO_TEST_CASE(testResettableLegCashFlowsMatchLegResults) {
     }
 
     BOOST_CHECK_EQUAL(exchangeCount, couponCount + 1);
-    BOOST_CHECK_SMALL(npv - legNpv, 1.0e-8 * usdNominal);
+    QL_CHECK_SMALL(npv - legNpv, 1.0e-8 * usdNominal);
 }
 
 BOOST_AUTO_TEST_CASE(testSameDayResetUsesSpot) {
@@ -655,7 +655,7 @@ BOOST_AUTO_TEST_CASE(testFxSettlementAndNpvDateConsistency) {
             std::nullopt, Date(), Date(), fxSettlementDate));
 
     Real tolerance = 1.0e-10 * usdNominal;
-    BOOST_CHECK_SMALL(settlementSwap->NPV() - referenceNpv, tolerance);
+    QL_CHECK_SMALL(settlementSwap->NPV() - referenceNpv, tolerance);
 
     Date npvDate = cal.advance(today, 9 * Months);
     auto forwardNpvSwap = makeSwap();
@@ -664,9 +664,9 @@ BOOST_AUTO_TEST_CASE(testFxSettlementAndNpvDateConsistency) {
             USDCurrency(), usdCurve, EURCurrency(), eurCurve, makeQuoteHandle(referenceSpot),
             std::nullopt, Date(), npvDate));
     DiscountFactor domesticNpvDateDiscount = usdCurve->discount(npvDate);
-    BOOST_CHECK_SMALL(forwardNpvSwap->NPV() * domesticNpvDateDiscount - referenceNpv,
+    QL_CHECK_SMALL(forwardNpvSwap->NPV() * domesticNpvDateDiscount - referenceNpv,
                       tolerance);
-    BOOST_CHECK_CLOSE(forwardNpvSwap->npvDateDiscount(), domesticNpvDateDiscount, 1.0e-10);
+    QL_CHECK_CLOSE(forwardNpvSwap->npvDateDiscount(), domesticNpvDateDiscount, 1.0e-10);
 }
 
 BOOST_AUTO_TEST_CASE(testSeasonedResetPeriodNeedsExchangeRate) {
@@ -963,7 +963,7 @@ BOOST_AUTO_TEST_CASE(testSeasonedOvernightLegsMatchConstantNotional) {
         USDCurrency(), usdCurve, EURCurrency(), eurCurve, spot));
 
     Real tol = 1.0e-6 * usdNominal;
-    BOOST_CHECK_SMALL(mtm->NPV() - ref->NPV(), tol);
+    QL_CHECK_SMALL(mtm->NPV() - ref->NPV(), tol);
 
     // The FX-resetting coupon must accrue like the reference constant-notional
     // coupon built on the realised reset notional: only the overnight fixings
@@ -981,9 +981,9 @@ BOOST_AUTO_TEST_CASE(testSeasonedOvernightLegsMatchConstantNotional) {
         mtm->resettingLeg(),
         ext::make_shared<DiscountingFxResetPricer>(
             USDCurrency(), EURCurrency(), usdCurve, eurCurve, spot, false));
-    BOOST_CHECK_CLOSE(mtmCoupon->nominal(), refCoupon->nominal(), 1.0e-8);
-    BOOST_CHECK_CLOSE(mtmCoupon->accruedAmount(today), refCoupon->accruedAmount(today), 1.0e-8);
-    BOOST_CHECK_CLOSE(mtmCoupon->amount(), refCoupon->amount(), 1.0e-8);
+    QL_CHECK_CLOSE(mtmCoupon->nominal(), refCoupon->nominal(), 1.0e-8);
+    QL_CHECK_CLOSE(mtmCoupon->accruedAmount(today), refCoupon->accruedAmount(today), 1.0e-8);
+    QL_CHECK_CLOSE(mtmCoupon->amount(), refCoupon->amount(), 1.0e-8);
 }
 
 BOOST_AUTO_TEST_CASE(testResetExchangePaymentDates) {

test-suite/optionletstripper.cpp

@@ -1097,7 +1097,7 @@ namespace {
         // The flat ATM curve and flat surface imply an exact zero adjustment;
         // the tight price tolerance below therefore isolates leg conventions.
         for (Volatility spread : stripper2->spreadsVol())
-            BOOST_CHECK_SMALL(spread, 1.0e-12);
+            QL_CHECK_SMALL(spread, 1.0e-12);
 
         Handle<OptionletVolatilityStructure> vol(
             ext::make_shared<StrippedOptionletAdapter>(stripper2));
@@ -1245,7 +1245,7 @@ namespace {
             MakeCapFloor(CapFloor::Cap, tenors.front(), iborIndex,
                          strikes.front(), 0 * Days)
                 .withPricingEngine(engine);
-        BOOST_CHECK_SMALL(cap->NPV() - targetPrices.front(), vars.tolerance);
+        QL_CHECK_SMALL(cap->NPV() - targetPrices.front(), vars.tolerance);
     }
 
 }
@@ -1311,7 +1311,7 @@ BOOST_AUTO_TEST_CASE(testIborReferenceDateCompatibility) {
             ext::shared_ptr<CapFloor> legacyCap =
                 MakeCapFloor(type, capFloorLength, iborIndex, vars.strikes[j], 0 * Days)
                     .withPricingEngine(legacyEngine);
-            BOOST_CHECK_SMALL(
+            QL_CHECK_SMALL(
                 capFloorPrices[i][j] - legacyCap->NPV(), 1.0e-12);
         }
         capFloorLength += iborIndex->tenor();
@@ -1333,7 +1333,7 @@ BOOST_AUTO_TEST_CASE(testIborReferenceDateCompatibility) {
             MakeCapFloor(CapFloor::Cap, vars.optionTenors[i], iborIndex,
                          atmStrikes[i], 0 * Days)
                 .withPricingEngine(legacyEngine);
-        BOOST_CHECK_SMALL(atmPrices[i] - legacyCap->NPV(), 1.0e-12);
+        QL_CHECK_SMALL(atmPrices[i] - legacyCap->NPV(), 1.0e-12);
     }
 }
 

test-suite/overnightindexedswap.cpp

@@ -1108,8 +1108,8 @@ BOOST_AUTO_TEST_CASE(testNonstandardSwapConversionPreservesObservationConvention
     converted->setPricingEngine(engine);
     simpleSource->setPricingEngine(engine);
     simpleConverted->setPricingEngine(engine);
-    BOOST_CHECK_SMALL(converted->NPV() - source->NPV(), 1.0e-12);
-    BOOST_CHECK_SMALL(simpleConverted->NPV() - simpleSource->NPV(), 1.0e-12);
+    QL_CHECK_SMALL(converted->NPV() - source->NPV(), 1.0e-12);
+    QL_CHECK_SMALL(simpleConverted->NPV() - simpleSource->NPV(), 1.0e-12);
 }
 
 BOOST_AUTO_TEST_CASE(testSettlementDaysEffectiveDateConflict) {

test-suite/roughhestonmodel.cpp

@@ -123,10 +123,10 @@ BOOST_AUTO_TEST_CASE(testFractionalAdamsScheme) {
         return sum;
     }();
 
-    const std::vector<std::complex<Real>> wc{
+    const std::vector<std::complex<Real>> wc =
         FractionalAdams<std::complex<Real>>(alpha).solve(
             [lambda](Real, const std::complex<Real>& x) { return lambda * x; },
-            std::complex<Real>(1.0), 1.0, 400)};
+            std::complex<Real>(1.0), 1.0, 400);
 
     if (std::abs(wc.back() - mittagLefflerComplexRef) > mlTol)
         BOOST_ERROR("failed to reproduce complex Mittag-Leffler solution of "