# Third-party notices
## QuantLib Heston engines
The COS engine, cumulant expressions, AP control-variate extensions and
exponentially fitted quadrature engine/table are adapted from QuantLib 1.43:
`ql/pricingengines/vanilla/{coshestonengine,analytichestonengine,exponentialfittinghestonengine}.cpp`.
Copyright (C) 2017, 2020 Klaus Spanderen; Copyright (C) 2022 Ignacio Anguita.
Upstream files retain their additional notices. The complete QuantLib license
and contributor notices are included in [QUANTLIB_LICENSE.txt](QUANTLIB_LICENSE.txt).
The table preserves every source decimal token. Reproduce it with
`scripts/generate_heston_fitting_table.py QuantLib --check` from the repository
root. Its generated header records the full source SHA-256.
## QuantLib Merton jump diffusion
The Merton76 process and European pricing engine are adapted from QuantLib's
`ql/processes/merton76process.{hpp,cpp}` and
`ql/pricingengines/vanilla/jumpdiffusionengine.{hpp,cpp}`.
Copyright (C) 2001-2003 Sadruddin Rejeb; Copyright (C) 2003, 2004 Ferdinando
Ametrano; Copyright (C) 2004, 2005, 2007 StatPro Italia srl.
The complete QuantLib license and contributor notices are included above.
Cached Haug test values retain the attribution to E. G. Haug, *Option Pricing
Formulas*, McGraw-Hill 1998, page 9, from QuantLib's `test-suite/jumpdiffusion.cpp`.
## QuantLib GJR-GARCH
The daily-parameter model, analytic Edgeworth expansion and European Monte
Carlo conventions are adapted from QuantLib's `ql/models/equity/gjrgarchmodel`,
`ql/pricingengines/vanilla/{analyticgjrgarchengine,mceuropeangjrgarchengine}`
and `test-suite/gjrgarchmodel.cpp`. Copyright (C) 2008 Yee Man Chan.
The complete QuantLib license and contributor notices are included above.
The original DAX calibration data retain QuantLib's attribution to A. Sepp.
Source pins, binary provenance and fixture reproduction are recorded in
`sdk/go/testdata/gjrgarch-model-oracle.md`.
## Independent global optimizers
The bundled `itofin-optimize` DE and PSO solvers and their calibration adapters
are independently written, not adapted from QuantLib or another optimizer.
PSO follows Kennedy and Eberhart (1995), DOI
<https://doi.org/10.1109/ICNN.1995.488968>, and Shi and Eberhart (1998), DOI
<https://doi.org/10.1109/ICEC.1998.699146>. DE follows Storn and Price (1997),
DOI <https://doi.org/10.1023/A:1008202821328>. The crate's own notices document
our policies and prior design comparisons; no clean-room claim is made.
## QuantLib currency presets
The twenty additional currency presets and their six-field test fixtures are
adapted from QuantLib revision
`9863b578af0caa4cecabf697196533e84a8308b6` (local version 1.43-dev),
`ql/currencies/{africa,america,asia,europe,oceania}.cpp`.
The stored name, code, numeric code, symbol, fraction symbol and fractions per
unit are preserved. QuantLib rounding and triangulation behavior are not included.
The exact source hashes and field provenance are recorded in
`docs/docs/currency-presets.md` and the accompanying currency preset TSV fixtures.
The upstream source headers contain these notices:
- `africa.cpp`: Copyright (C) 2004, 2005 StatPro Italia srl;
Copyright (C) 2016 Quaternion Risk Management Ltd;
Copyright (C) 2023 Skandinaviska Enskilda Banken AB (publ).
- `america.cpp`: Copyright (C) 2004, 2005, 2008 StatPro Italia srl;
Copyright (C) 2016 Quaternion Risk Management Ltd.
- `asia.cpp`: Copyright (C) 2004, 2005 StatPro Italia srl;
Copyright (C) 2016 Quaternion Risk Management Ltd.
- `europe.cpp`: Copyright (C) 2004, 2005, 2006 StatPro Italia srl;
Copyright (C) 2016 Quaternion Risk Management Ltd.
- `oceania.cpp`: Copyright (C) 2004, 2005 StatPro Italia srl.
The complete QuantLib license and contributor notices are included in
[QUANTLIB_LICENSE.txt](QUANTLIB_LICENSE.txt).
## QuantLib bond risk oracle fixtures
`bond_risk_oracle.tsv` in Go testdata and Python test fixtures contains fresh
independent numerical queries to the QuantLib 1.43 Python wheel. The wheel is
not asserted to be the same binary revision as source review pin
`9863b578af0caa4cecabf697196533e84a8308b6` (1.43-dev).
No new core algorithms are introduced by these bindings. Closed-form zero-bond
derivative tests are independently derived, not copied from an upstream test.
The reviewed upstream `ql/pricingengines/bond/bondfunctions.cpp` headers retain:
Copyright (C) 2009 Nathan Abbott; Copyright (C) 2007, 2008, 2009, 2010 Ferdinando
Ametrano; Copyright (C) 2007 Chiara Fornarola; Copyright (C) 2008 Simon Ibbotson;
Copyright (C) 2004 M-Dimension Consulting Inc.; Copyright (C) 2005, 2006, 2007,
2008, 2009 StatPro Italia srl; Copyright (C) 2004 Jeff Yu.
`ql/cashflows/cashflows.cpp` retains Copyright (C) 2005, 2006 StatPro Italia srl;
Copyright (C) 2005 Charles Whitmore; Copyright (C) 2007, 2008, 2009, 2010, 2011,
2012 Ferdinando Ametrano; Copyright (C) 2008 Toyin Akin.
The complete QuantLib license and contributor notices are included in
[QUANTLIB_LICENSE.txt](QUANTLIB_LICENSE.txt).
## QuantLib price-fed bond ATM helper
The additive `BondFunctions::atm_rate_from_price` boundary adapts the explicit
price branch of QuantLib `ql/pricingengines/bond/bondfunctions.cpp`,
`BondFunctions::atmRate`, revision `9863b578af0caa4cecabf697196533e84a8308b6`.
It delegates the existing cash-flow calculation without changing its formulas.
Copyright (C) 2009 Nathan Abbott; 2007-2010 Ferdinando Ametrano; 2007 Chiara
Fornarola; 2008 Simon Ibbotson; 2004 M-Dimension Consulting Inc.; 2005-2009
StatPro Italia srl; 2004 Jeff Yu. The complete license and contributor notices
are included in `QUANTLIB_LICENSE.txt`.
## QuantLib amortizing fixed-rate bond construction
The named bounded amortizing fixed-rate factory follows the composition in
`ql/instruments/bonds/amortizingfixedratebond.{hpp,cpp}` at source revision
`9863b578af0caa4cecabf697196533e84a8308b6`: the existing fixed-rate leg and Bond
redemption machinery, without a new pricing formula.
Upstream headers retain Copyright (C) 2008 Simon Ibbotson.
The independently selected JSONL fixture queries the QuantLib 1.43 Python wheel,
not asserted to be a build of that source revision. No upstream test vectors
are copied. The complete QuantLib license and contributor notices are included
in [QUANTLIB_LICENSE.txt](QUANTLIB_LICENSE.txt).
## QuantLib CPI cash flows
The explicit-base CPI coupon, plain coupon pricer, indexed principal and CPI leg
are adapted from QuantLib revision
`9863b578af0caa4cecabf697196533e84a8308b6`,
`ql/cashflows/cpicoupon.{hpp,cpp}` and `cpicouponpricer.{hpp,cpp}`.
Copyright (C) 2009, 2011 Chris Kenyon; Copyright (C) 2022 Quaternion Risk
Management Ltd. The complete QuantLib license and contributor notices are in
`QUANTLIB_LICENSE.txt`. The bounded implementation omits base-date constructors,
CPI coupon optionlets and convexity adjustments.
## QuantLib CPI bond
The explicit-base CPI bond constructor is adapted from
`ql/instruments/bonds/cpibond.{hpp,cpp}` at QuantLib revision
`9863b578af0caa4cecabf697196533e84a8308b6`.
Copyright (C) 2010, 2011 Chris Kenyon.
The complete QuantLib license is included in `QUANTLIB_LICENSE.txt`.
## QuantLib CPI swap
The CPI-versus-Ibor swap construction and terminal exchange conventions are
adapted from `ql/instruments/cpiswap.{hpp,cpp}` at QuantLib revision
`9863b578af0caa4cecabf697196533e84a8308b6`.
Copyright (C) 2007, 2009, 2011 Chris Kenyon;
Copyright (C) 2009 StatPro Italia srl.
The complete QuantLib license is included in `QUANTLIB_LICENSE.txt`.
## QuantLib cumulative CPI quoted-price options
The cumulative CPI cap/floor instrument, quoted-price parity surface and
interpolating engine are adapted from QuantLib revision
`9863b578af0caa4cecabf697196533e84a8308b6`:
`ql/instruments/cpicapfloor.{hpp,cpp}` and
`ql/experimental/inflation/{cpicapfloortermpricesurface,cpicapfloorengines}.{hpp,cpp}`.
Copyright (C) 2010, 2011 Chris Kenyon; Copyright (C) 2021 Ralf Konrad Eckel.
The complete license is included in `QUANTLIB_LICENSE.txt` above. The bounded
immutable reference-date and whole-year-tenor contracts, plus mixed native-oracle
provenance, are documented in `docs/docs/cpi-capfloor-bindings.md` at repository
level and `sdk/go/testdata/cpi-capfloor-native.provenance.json`.