2006-07-26 09:37 Luigi Ballabio
* ql/capvolstructures.hpp (1.20.2.1), ql/Instruments/capfloor.cpp
(1.69.2.1), ql/Instruments/capfloor.hpp (1.60.2.1),
ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.9.2.1),
ql/PricingEngines/CapFloor/blackcapfloorengine.hpp (1.7.2.2),
test-suite/capfloor.cpp (1.57.2.2), test-suite/libormarketmodel.cpp
(1.7.2.1):
Fixes for cap/floor parity
2006-07-24 16:51 Luigi Ballabio
* ql/calendar.cpp (1.36.2.4):
ISDA-compliant strings
2006-07-24 16:51 Luigi Ballabio
* ql/: calendar.hpp (1.53.2.3), daycounter.hpp (1.34.2.2):
Added operator relationships in docs
2006-07-24 16:50 Luigi Ballabio
* ql/exercise.cpp (1.13.8.1):
Allowed degenerate American exercise
2006-07-24 16:49 Luigi Ballabio
* ql/Indexes/indexmanager.hpp (1.6.2.2):
Changed warning to note
2006-07-24 16:49 Luigi Ballabio
* ql/Indexes/euribor.hpp (1.30.2.4):
Removed non-quoted indices; changed capitalization in family name
2006-07-24 16:48 Luigi Ballabio
* ql/PricingEngines/CapFloor/blackcapfloorengine.hpp (1.7.2.1):
Added warning on day-counter consistency
2006-07-19 14:20 Eric Ehlers
* ql/calendar.cpp (1.36.2.3):
consolidate variable declaration
2006-07-19 12:47 Eric Ehlers
* ql/: calendar.cpp (1.36.2.2), calendar.hpp (1.53.2.2):
overload stream operator
2006-07-19 10:38 Eric Ehlers
* ql/: calendar.hpp (1.53.2.1), daycounter.hpp (1.34.2.1):
overload stream operator
2006-07-17 12:45 Ferdinando Ametrano
* ql/Indexes/: euribor.hpp (1.30.2.3), indexmanager.cpp (1.6.2.3):
restoring back lost changes
2006-07-17 12:13 Ferdinando Ametrano
* ql/Indexes/: euribor.hpp (1.30.2.2), indexmanager.cpp (1.6.2.2),
indexmanager.hpp (1.6.2.1):
case insensitive IndexManager
2006-07-13 15:09 Luigi Ballabio
* ql/TermStructures/: ratehelpers.cpp (1.75.2.2), ratehelpers.hpp
(1.67.2.2):
Removed possible ambiguity in constructor call
2006-07-12 17:08 Ferdinando Ametrano
* ql/Math/pseudosqrt.cpp (1.13.8.3):
(one more) bug fix
2006-07-12 16:26 Ferdinando Ametrano
* ql/Math/pseudosqrt.cpp (1.13.8.2):
(one more) bug fix
2006-07-12 10:32 Luigi Ballabio
* ChangeLog.txt (1.51.2.1), Contributors.txt (1.37.2.2),
LICENSE.TXT (1.29.2.2), News.txt (1.122.2.1),
Docs/pages/authors.docs (1.45.2.2), Docs/pages/history.docs
(1.27.2.1), Docs/pages/license.docs (1.24.2.2),
dev_tools/developers (1.4.4.1), dev_tools/update_changelog.py
(1.1.18.1):
Updated ChangeLog, news, and list of contributors
2006-07-12 09:40 Luigi Ballabio
* Authors.txt (1.16.8.1), Contributors.txt (1.37.2.1), LICENSE.TXT
(1.29.2.1), Docs/pages/authors.docs (1.45.2.1),
Docs/pages/license.docs (1.24.2.1), ql/cashflow.hpp (1.23.4.1),
ql/config.msvc.hpp (1.74.2.2), ql/errors.hpp (1.23.8.1),
ql/qldefines.hpp (1.101.2.2), ql/quantlib.hpp (1.154.2.1),
ql/types.hpp (1.20.6.1), ql/userconfig.hpp (1.23.2.1),
ql/CashFlows/cashflowvectors.cpp (1.48.2.1),
ql/CashFlows/cashflowvectors.hpp (1.35.2.1),
ql/CashFlows/coupon.hpp (1.24.8.1),
ql/CashFlows/fixedratecoupon.hpp (1.26.8.1),
ql/CashFlows/floatingratecoupon.hpp (1.40.2.1),
ql/FiniteDifferences/americancondition.hpp (1.30.4.1),
ql/FiniteDifferences/bsmoperator.cpp (1.26.2.1),
ql/FiniteDifferences/bsmoperator.hpp (1.22.2.1),
ql/FiniteDifferences/shoutcondition.hpp (1.28.4.1),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.43.2.1),
ql/FiniteDifferences/zerocondition.hpp (1.2.4.1),
ql/Indexes/jibar.hpp (1.6.2.1), ql/Instruments/swap.cpp (1.49.2.1),
ql/Instruments/vanillaswap.cpp (1.3.2.1),
ql/Instruments/vanillaswap.hpp (1.3.2.1),
ql/Math/bivariatenormaldistribution.cpp (1.13.6.1),
ql/Math/linearinterpolation.hpp (1.36.2.1),
ql/MonteCarlo/mctraits.hpp (1.22.4.1),
ql/MonteCarlo/multipathgenerator.hpp (1.69.6.1),
ql/MonteCarlo/pathgenerator.hpp (1.75.4.1),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.17.4.1),
ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp (1.6.8.1),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.30.2.1),
ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.15.2.1),
ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.17.2.1),
ql/PricingEngines/Vanilla/integralengine.hpp (1.6.4.1),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.31.2.1),
ql/TermStructures/flatforward.hpp (1.54.2.1),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.37.2.1),
ql/TermStructures/forwardstructure.hpp (1.9.8.1),
ql/TermStructures/ratehelpers.cpp (1.75.2.1),
ql/TermStructures/ratehelpers.hpp (1.67.2.1),
ql/TermStructures/zeroyieldstructure.hpp (1.8.8.1),
ql/Utilities/null.hpp (1.2.8.1),
ql/Volatilities/capflatvolvector.hpp (1.28.6.1):
Copyrights fixed
2006-07-12 09:10 Luigi Ballabio
* ql/: Math/interpolation2D.hpp (1.29.2.2),
PricingEngines/Forward/replicatingvarianceswapengine.hpp (1.1.2.2):
Enforced self-consistency of headers
2006-07-11 11:08 Luigi Ballabio
* ql/TermStructures/: discountcurve.hpp (1.47.2.1),
forwardcurve.hpp (1.2.8.1), zerocurve.hpp (1.21.8.1):
Added node inspectors to interpolated curves
2006-07-10 20:05 Ferdinando Ametrano
* ql/Math/: pseudosqrt.cpp (1.13.8.1), pseudosqrt.hpp (1.8.8.1):
bug fix
2006-07-10 15:53 Luigi Ballabio
* Examples/BermudanSwaption/makefile.mak (1.21.6.1),
Examples/ConvertibleBonds/makefile.mak (1.2.2.1),
Examples/DiscreteHedging/makefile.mak (1.24.6.1),
Examples/EquityOption/makefile.mak (1.1.4.1),
Examples/FRA/makefile.mak (1.1.2.1),
Examples/Replication/makefile.mak (1.1.2.1), makefile.mak
(1.64.2.1), Examples/Repo/makefile.mak (1.1.2.1),
Examples/Swap/makefile.mak (1.24.6.1),
functions/ql/Functions/makefile.mak (1.9.6.1),
ql/Calendars/makefile.mak (1.36.4.1), ql/CashFlows/makefile.mak
(1.28.2.1), ql/FiniteDifferences/pdeshortrate.hpp (1.4.4.1),
ql/Instruments/makefile.mak (1.41.2.1), ql/Math/makefile.mak
(1.42.4.1), ql/PricingEngines/CapFloor/makefile.mak (1.11.6.1),
ql/PricingEngines/CapFloor/mchullwhiteengine.cpp (1.2.2.1),
ql/PricingEngines/CapFloor/mchullwhiteengine.hpp (1.1.2.1),
ql/PricingEngines/Lookback/makefile.mak (1.4.16.1),
ql/PricingEngines/makefile.mak (1.38.4.1),
ql/Processes/makefile.mak (1.6.4.1),
ql/ShortRateModels/makefile.mak (1.20.4.1),
ql/ShortRateModels/LiborMarketModels/makefile.mak (1.1.4.1),
ql/TermStructures/makefile.mak (1.29.6.1),
ql/Volatilities/makefile.mak (1.12.6.1), ql/date.cpp (1.55.2.1),
ql/makefile.mak (1.75.2.1), ql/VolatilityModels/makefile.mak
(1.1.2.1), test-suite/makefile.mak (1.61.2.1):
Fixes for Borland free compiler
2006-07-10 14:34 Luigi Ballabio
* QuantLib.dev (1.22.2.1),
functions/ql/Functions/QuantLibFunctions.dev (1.11.2.1),
test-suite/testsuite.dev (1.9.2.1):
Fixes for MinGW
2006-07-10 12:37 Luigi Ballabio
* QuantLib_vc8.sln (1.12.2.1), QuantLib_vc8.vcproj (1.29.2.1),
test-suite/testsuite_vc8.vcproj (1.17.2.1):
Fixes for VC++8
2006-07-10 10:14 Luigi Ballabio
* ql/Math/normaldistribution.cpp (1.30.8.1),
test-suite/distributions.cpp (1.30.6.1),
test-suite/pathgenerator.cpp (1.13.2.1):
Speeded up inverse-cumulative normal by disabling Halley's
correction
2006-07-10 09:19 Luigi Ballabio
* QuantLib.sln (1.15.2.1), QuantLib.vcproj (1.76.2.1),
functions/ql/Functions/QuantLibFunctions.vcproj (1.20.2.1),
ql/Math/linearleastsquaresregression.hpp (1.1.2.1),
test-suite/testsuite.vcproj (1.46.2.1):
Fixes for VC++7.1
2006-07-08 14:30 Luigi Ballabio
* test-suite/varianceswaps.cpp (1.1.2.3):
Increased tolerance
2006-07-07 09:30 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.84.2.1),
Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.16.2.1),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.60.2.1),
Examples/EquityOption/EquityOption.cpp (1.3.2.1),
Examples/FRA/FRA.cpp (1.4.2.3),
Examples/Replication/Replication.cpp (1.2.2.2),
Examples/Repo/Repo.cpp (1.4.2.1), Examples/Swap/swapvaluation.cpp
(1.72.2.1), ql/config.msvc.hpp (1.74.2.1),
test-suite/quantlibtestsuite.cpp (1.120.2.1):
Moved (commented) floating-point run-time settings to executables
2006-07-06 18:42 Luigi Ballabio
* QuantLib.dsp (1.273.2.1), QuantLib.dsw (1.18.2.1),
Examples/FRA/FRA.cpp (1.4.2.2),
Examples/Replication/Replication.cpp (1.2.2.1),
functions/ql/Functions/QuantLibFunctions.dsp (1.16.2.1),
ql/Indexes/indexmanager.cpp (1.6.2.1), ql/Math/interpolation2D.hpp
(1.29.2.1), ql/Math/linearleastsquaresregression.cpp (1.1.2.1),
ql/PricingEngines/Forward/replicatingvarianceswapengine.hpp
(1.1.2.1), ql/PricingEngines/Swaption/blackswaptionengine.cpp
(1.9.2.1), ql/calendar.cpp (1.36.2.1),
ql/Utilities/observablevalue.hpp (1.2.2.1),
ql/VolatilityModels/garmanklass.hpp (1.6.2.1),
ql/VolatilityModels/simplelocalestimator.hpp (1.5.2.1),
test-suite/swaption.cpp (1.53.2.1), test-suite/testsuite.dsp
(1.60.2.1), test-suite/varianceswaps.cpp (1.1.2.2):
Fixes for VC++6
2006-07-05 18:08 Luigi Ballabio
* ql/qldefines.hpp (1.101.2.1):
Enabled extra checks in debug mode
2006-07-05 13:29 Luigi Ballabio
* ql/: solver1d.hpp (1.34.4.1), Volatilities/swaptionvolmatrix.hpp
(1.36.2.1):
Documentation fixes
2006-07-05 08:30 Luigi Ballabio
* ql/Indexes/: audlibor.hpp (1.29.2.1), cadlibor.hpp (1.29.2.1),
chflibor.hpp (1.26.2.1), dkklibor.hpp (1.6.2.1), euribor.hpp
(1.30.2.1), eurlibor.hpp (1.4.2.1), gbplibor.hpp (1.32.2.1),
jpylibor.hpp (1.27.2.1), nzdlibor.hpp (1.6.2.1), usdlibor.hpp
(1.33.2.1):
Fixed business-day conventions for Euribor and LIBOR indices
(following below one month, month-end from one month onwards)
2006-07-04 08:51 Luigi Ballabio
* test-suite/piecewiseyieldcurve.cpp (1.23.2.2):
Enforced use of index conventions
2006-07-04 08:32 Luigi Ballabio
* Examples/FRA/FRA.cpp (1.4.2.1),
ql/Instruments/forwardrateagreement.cpp (1.4.2.1),
ql/Instruments/forwardrateagreement.hpp (1.5.2.1),
test-suite/piecewiseyieldcurve.cpp (1.23.2.1):
Enforced FRA constructor taking an index
2006-07-04 08:32 Luigi Ballabio
* test-suite/varianceswaps.cpp (1.1.2.1):
Removed spurious output
2006-06-29 09:28 Luigi Ballabio
* News.txt (1.122), ql/Instruments/Makefile.am (1.39),
ql/Instruments/all.hpp (1.19), ql/Instruments/varianceswap.cpp
(1.1), ql/Instruments/varianceswap.hpp (1.1),
ql/PricingEngines/Forward/Makefile.am (1.5),
ql/PricingEngines/Forward/all.hpp (1.3),
ql/PricingEngines/Forward/mcvarianceswapengine.hpp (1.1),
ql/PricingEngines/Forward/replicatingvarianceswapengine.hpp (1.1),
test-suite/Makefile.am (1.72), test-suite/quantlibtestsuite.cpp
(1.120), test-suite/varianceswaps.cpp (1.1),
test-suite/varianceswaps.hpp (1.1):
Added variance swaps (thanks to Warren Chou)
2006-06-29 09:24 Luigi Ballabio
* ql/ShortRateModels/LiborMarketModels/lmconstwrappervolmodel.hpp
(1.2):
Fixed autoinclusion
2006-06-29 09:22 Luigi Ballabio
* ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.9):
avoiding deprecated features
2006-06-29 09:21 Luigi Ballabio
* ql/PricingEngines/CapFloor/blackcapfloorengine.hpp (1.7):
re-reformatting
2006-06-29 09:17 Luigi Ballabio
* ql/Instruments/: swap.cpp (1.49), swap.hpp (1.41):
Removed redundancy in inner-type name
2006-06-29 09:13 Luigi Ballabio
* ql/: date.hpp (1.58), Indexes/xibor.cpp (1.34), Indexes/xibor.hpp
(1.46):
Change temporarily reverted
2006-06-29 01:00 Luigi Ballabio
* ql/Instruments/swaption.cpp (1.59), ql/Instruments/swaption.hpp
(1.56), ql/PricingEngines/Swaption/blackswaptionengine.cpp (1.9),
ql/PricingEngines/Swaption/g2swaptionengine.hpp (1.10),
ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.9),
ql/PricingEngines/Swaption/lfmswaptionengine.cpp (1.7),
ql/PricingEngines/Swaption/treeswaptionengine.cpp (1.13),
test-suite/swaption.cpp (1.53):
The Settlement struct is back
2006-06-28 13:45 Ferdinando Ametrano
* ql/Instruments/swaption.cpp (1.58), ql/Instruments/swaption.hpp
(1.55), ql/PricingEngines/Swaption/blackswaptionengine.cpp (1.8),
ql/PricingEngines/Swaption/blackswaptionengine.hpp (1.7),
ql/PricingEngines/Swaption/g2swaptionengine.hpp (1.9),
ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.8),
ql/PricingEngines/Swaption/lfmswaptionengine.cpp (1.6),
ql/PricingEngines/Swaption/treeswaptionengine.cpp (1.12),
test-suite/swaption.cpp (1.52):
refactored swaption
2006-06-28 13:18 Ferdinando Ametrano
* ql/PricingEngines/CapFloor/: blackcapfloorengine.cpp (1.8),
blackcapfloorengine.hpp (1.6):
formatting
2006-06-27 00:20 Ferdinando Ametrano
* ql/Volatilities/capletconstantvol.hpp (1.12):
deprecated constructors
2006-06-26 23:30 Ferdinando Ametrano
* ql/Instruments/capfloor.hpp (1.60):
inspector added
2006-06-26 02:36 Joseph Wang
* ql/Volatilities/Makefile.am (1.20):
add missing .cpp file to compile list
2006-06-25 23:59 Ferdinando Ametrano
* ql/CashFlows/floatingratecoupon.hpp (1.40):
enforcing constness
2006-06-23 20:38 Ferdinando Ametrano
* QuantLib.vcproj (1.76), test-suite/testsuite.vcproj (1.46):
VC7 catching up
2006-06-23 19:52 Ferdinando Ametrano
* ql/: ShortRateModels/LiborMarketModels/liborforwardmodel.cpp
(1.3), Volatilities/swaptionvolmatrix.cpp (1.1),
Volatilities/swaptionvolmatrix.hpp (1.36):
more constructors added to SwaptionVolMatrix. WARNING: The
volatility matrix must have: a) increasing exercise dates or
periods from top to bottom b) increasing lenghts from left to right
2006-06-23 19:00 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.29), test-suite/testsuite_vc8.vcproj
(1.17):
VC8 catching up
2006-06-23 18:59 Ferdinando Ametrano
* ql/Math/interpolation2D.hpp (1.29):
more inspectors added
2006-06-23 18:57 Ferdinando Ametrano
* ql/Math/symmetriceigenvalues.hpp (1.14):
deprecating useless functions
2006-06-23 13:18 Luigi Ballabio
* ql/Math/functional.hpp (1.8), ql/Processes/lfmprocess.cpp (1.3),
ql/Processes/lfmprocess.hpp (1.4),
ql/ShortRateModels/LiborMarketModels/Makefile.am (1.2),
ql/ShortRateModels/LiborMarketModels/all.hpp (1.2),
ql/ShortRateModels/LiborMarketModels/lmconstwrappercorrmodel.hpp
(1.1),
ql/ShortRateModels/LiborMarketModels/lmconstwrappervolmodel.hpp
(1.1), ql/ShortRateModels/LiborMarketModels/lmextlinexpvolmodel.cpp
(1.1), ql/ShortRateModels/LiborMarketModels/lmextlinexpvolmodel.hpp
(1.1), ql/ShortRateModels/LiborMarketModels/lmlinexpcorrmodel.cpp
(1.1), ql/ShortRateModels/LiborMarketModels/lmlinexpcorrmodel.hpp
(1.1), test-suite/libormarketmodel.cpp (1.7):
More complex market parameterizations and performance improvements
for Libor market model (thanks to Klaus Spanderen)
2006-06-23 13:15 Luigi Ballabio
* ql/Math/linearleastsquaresregression.cpp (1.1),
ql/Math/linearleastsquaresregression.hpp (1.1), News.txt (1.121),
test-suite/linearleastsquaresregression.cpp (1.1),
test-suite/linearleastsquaresregression.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.119), ql/Math/Makefile.am
(1.52), test-suite/Makefile.am (1.71), ql/Math/all.hpp (1.12):
Added general linear least-squares regression (thanks to Klaus
Spanderen
2006-06-23 09:26 Ferdinando Ametrano
* ql/CashFlows/parcoupon.cpp (1.27):
reverting change...
2006-06-23 00:21 Ferdinando Ametrano
* ql/: CashFlows/parcoupon.cpp (1.26),
TermStructures/piecewiseyieldcurve.hpp (1.21):
removing leftovers
2006-06-22 22:11 Ferdinando Ametrano
* ql/CashFlows/parcoupon.cpp (1.25):
true index fixing: it doesn't affect NPV
2006-06-22 20:47 Ferdinando Ametrano
* QuantLib.vcproj (1.75):
VC7 catching up
2006-06-22 20:14 Ferdinando Ametrano
* ql/TermStructures/piecewiseyieldcurve.hpp (1.20):
added preventive check with explicative error message
2006-06-22 20:14 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.28):
missing file included
2006-06-22 20:13 Ferdinando Ametrano
* ql/Volatilities/swaptionconstantvol.hpp (1.2):
formatting
2006-06-22 18:29 Luigi Ballabio
* test-suite/: bonds.cpp (1.25), convertiblebonds.cpp (1.6):
Removed deprecated calls
2006-06-22 16:36 Ferdinando Ametrano
* Examples/EquityOption/EquityOption_vc8.vcproj (1.5),
Examples/FRA/FRA_vc8.vcproj (1.3),
Examples/Replication/Replication_vc8.vcproj (1.3),
Examples/Repo/Repo_vc8.vcproj (1.4), Examples/Swap/Swap_vc8.vcproj
(1.6), ql/userconfig.hpp (1.23):
defined QL_DISABLE_DEPRECATED in Examples' compilation
2006-06-22 13:43 Luigi Ballabio
* ql/Instruments/swaption.cpp (1.57), test-suite/swaption.cpp
(1.51):
Avoided use of deprecated BlackModel class
2006-06-22 12:51 Cristina Duminuco
* Examples/: BermudanSwaption/BermudanSwaption_vc8.vcproj (1.7),
ConvertibleBonds/ConvertibleBonds_vc8.vcproj (1.6):
QL_DISABLE_DEPRECATED defined when compiling Examples
2006-06-22 12:30 Cristina Duminuco
* ql/exercise.hpp (1.35):
comment added
2006-06-22 11:40 Cristina Duminuco
* test-suite/: swaption.cpp (1.50), swaption.hpp (1.10):
added test for calculation of Implied Volatility
2006-06-22 11:37 Cristina Duminuco
* ql/Instruments/: swaption.cpp (1.56), swaption.hpp (1.54):
added calculation of Implied Volatility
2006-06-22 08:48 Luigi Ballabio
* ql/Instruments/capfloor.cpp (1.69),
ql/PricingEngines/blackmodel.hpp (1.15),
ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.7),
ql/PricingEngines/CapFloor/blackcapfloorengine.hpp (1.5),
ql/PricingEngines/Swaption/blackswaptionengine.cpp (1.7),
ql/PricingEngines/Swaption/blackswaptionengine.hpp (1.6),
ql/PricingEngines/Swaption/lfmswaptionengine.cpp (1.5),
ql/ShortRateModels/calibrationhelper.hpp (1.29),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.53),
ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp (1.5),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.49),
ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp (1.2),
ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.30),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.17),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.30),
ql/Volatilities/Makefile.am (1.19), ql/Volatilities/all.hpp (1.5),
ql/Volatilities/swaptionconstantvol.hpp (1.1),
test-suite/capfloor.cpp (1.57), test-suite/swaption.cpp (1.49):
Deprecated BlackModel class; Black engines for caps/floors and
swaption are now passed the corresponding volatility directly
2006-06-21 17:13 Luigi Ballabio
* ql/: Instruments/capfloor.cpp (1.68), Instruments/capfloor.hpp
(1.59), PricingEngines/CapFloor/analyticcapfloorengine.cpp (1.4),
PricingEngines/CapFloor/blackcapfloorengine.cpp (1.6),
PricingEngines/CapFloor/discretizedcapfloor.cpp (1.8),
PricingEngines/CapFloor/mchullwhiteengine.cpp (1.2):
Fixed cap/floor engines so that they now account for gearing
2006-06-21 15:55 Luigi Ballabio
* ql/history.hpp (1.35), ql/index.cpp (1.5), ql/prices.cpp (1.2),
ql/timeseries.hpp (1.11), ql/Indexes/indexmanager.cpp (1.6),
ql/Indexes/indexmanager.hpp (1.6), ql/PricingEngines/blackmodel.hpp
(1.14), ql/VolatilityModels/constantestimator.cpp (1.8),
ql/VolatilityModels/garch.cpp (1.2),
ql/VolatilityModels/garmanklass.hpp (1.6),
ql/VolatilityModels/simplelocalestimator.hpp (1.5),
test-suite/shortratemodels.cpp (1.18), test-suite/timeseries.cpp
(1.6), test-suite/volatilitymodels.cpp (1.6):
TimeSeries class modified and used for storing index fixings;
History class deprecated
2006-06-21 15:45 Luigi Ballabio
* ql/index.hpp (1.23):
Added method for storing multiple fixings
2006-06-21 14:48 Ferdinando Ametrano
* ql/CashFlows/parcoupon.cpp (1.24):
gearing bug fix
2006-06-20 19:33 Ferdinando Ametrano
* ql/Instruments/capfloor.cpp (1.67), ql/Instruments/capfloor.hpp
(1.58), ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.5),
ql/userconfig.hpp (1.22), ql/PricingEngines/blackmodel.hpp (1.13),
ql/ShortRateModels/calibrationhelper.hpp (1.28),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.52),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.48),
ql/TermStructures/ratehelpers.cpp (1.75),
ql/TermStructures/ratehelpers.hpp (1.67), test-suite/capfloor.cpp
(1.56), test-suite/swaption.cpp (1.48):
deprecated BlackModel constructor with TermStructure input
parameter
2006-06-20 15:10 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.27):
added missing files
2006-06-20 12:17 Luigi Ballabio
* ql/Makefile.am (1.91), ql/core.hpp (1.18), ql/prices.cpp (1.1),
ql/prices.hpp (1.1), ql/timeseries.hpp (1.10),
ql/VolatilityModels/garmanklass.hpp (1.5),
test-suite/timeseries.cpp (1.5):
Moved IntervalPrice into its own files
2006-06-20 12:09 Cristina Duminuco
* test-suite/capfloor.cpp (1.55):
Added null strike in testParity().
2006-06-20 11:18 Luigi Ballabio
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.16),
ql/Instruments/callabilityschedule.hpp (1.9),
ql/Instruments/convertiblebond.cpp (1.19):
Moved callability price class into callability class
2006-06-20 08:59 Luigi Ballabio
* ql/Instruments/capfloor.cpp (1.66):
Added correct treatment of coupon spread in caps and floors
2006-06-19 19:06 Silvia Frasson
* ql/Volatilities/swaptionvolmatrix.hpp (1.35):
comment added
2006-06-19 18:36 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.26):
VC8 catching up
2006-06-19 17:20 Luigi Ballabio
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.15),
ql/Instruments/callabilityschedule.hpp (1.8),
ql/Instruments/convertiblebond.cpp (1.18),
ql/Instruments/convertiblebond.hpp (1.17),
ql/PricingEngines/Hybrid/discretizedconvertible.cpp (1.9),
ql/PricingEngines/Hybrid/discretizedconvertible.hpp (1.8):
Added soft callability to convertible bonds
2006-06-19 16:09 Luigi Ballabio
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.14),
ql/CashFlows/Makefile.am (1.21), ql/CashFlows/cashflowvectors.cpp
(1.48), ql/CashFlows/cashflowvectors.hpp (1.35),
ql/CashFlows/dividend.cpp (1.1), ql/CashFlows/dividend.hpp (1.4),
ql/Instruments/dividendschedule.hpp (1.13),
ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp (1.11),
ql/PricingEngines/Hybrid/discretizedconvertible.cpp (1.8),
ql/PricingEngines/Hybrid/discretizedconvertible.hpp (1.7),
ql/PricingEngines/Vanilla/fddividendengine.cpp (1.13):
Added treatment of discrete dividends to convertible bonds
2006-06-19 14:07 Luigi Ballabio
* ql/Math/backwardflatinterpolation.hpp (1.5),
ql/Math/forwardflatinterpolation.hpp (1.4),
test-suite/interpolations.cpp (1.33), test-suite/interpolations.hpp
(1.12):
Fixes for backward/forward flat interpolation (thanks to Fabio
Ramponi)
2006-06-18 21:44 Ferdinando Ametrano
* ql/CashFlows/cashflowvectors.cpp (1.47),
ql/CashFlows/cashflowvectors.hpp (1.34),
ql/CashFlows/floatingratecoupon.hpp (1.39),
ql/CashFlows/inarrearindexedcoupon.hpp (1.17),
ql/CashFlows/indexedcashflowvectors.hpp (1.4),
ql/CashFlows/indexedcoupon.hpp (1.22), ql/CashFlows/parcoupon.cpp
(1.23), ql/CashFlows/parcoupon.hpp (1.18),
ql/CashFlows/shortfloatingcoupon.cpp (1.23),
ql/CashFlows/shortfloatingcoupon.hpp (1.22),
ql/CashFlows/shortindexedcoupon.hpp (1.17),
ql/CashFlows/upfrontindexedcoupon.hpp (1.15),
ql/Instruments/convertiblebond.cpp (1.17),
ql/Instruments/floatingratebond.cpp (1.9),
ql/Instruments/floatingratebond.hpp (1.5),
ql/Instruments/vanillaswap.cpp (1.3), ql/Processes/lfmprocess.cpp
(1.2), ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.51),
test-suite/capfloor.cpp (1.54), test-suite/swap.cpp (1.50),
Examples/Swap/swapvaluation.cpp (1.72):
introduced gearing (i.e. the multiplicative coefficients of the
floating rate index) in floating rate coupons, coupon vectors,
bonds, etc
2006-06-18 20:56 Ferdinando Ametrano
* ql/errors.cpp (1.14):
no message
2006-06-18 17:06 Ferdinando Ametrano
* ql/interestrate.hpp (1.19):
more explicative comment
2006-06-18 14:53 Ferdinando Ametrano
* ql/TermStructures/: ratehelpers.cpp (1.74), ratehelpers.hpp
(1.66):
Futures convexity adjustment added
2006-06-18 14:51 Ferdinando Ametrano
* ql/Instruments/swap.hpp (1.40):
more explicative deprecation message
2006-06-18 14:50 Ferdinando Ametrano
* functions/ql/Functions/prices.cpp (1.7):
no message
2006-06-17 09:46 Ferdinando Ametrano
* functions/ql/Functions/: prices.cpp (1.6), prices.hpp (1.4):
no message
2006-06-16 22:02 Katiuscia Manzoni
* functions/ql/Functions/: prices.cpp (1.5), prices.hpp (1.3):
added midRobust enum & function to return mid only if both bid and
ask are available
2006-06-16 21:01 Ferdinando Ametrano
* ql/Math/sabrinterpolation.hpp (1.7):
maxInterpolationError added
2006-06-16 18:15 Luigi Ballabio
* ql/index.cpp (1.3), ql/index.hpp (1.21),
ql/Indexes/indexmanager.cpp (1.5), ql/Indexes/indexmanager.hpp
(1.5), ql/Indexes/xibor.cpp (1.33),
ql/TermStructures/ratehelpers.hpp (1.65),
ql/Utilities/observablevalue.hpp (1.2),
test-suite/piecewiseyieldcurve.cpp (1.23):
Made history of past fixings observable; removed limitation on swap
helper
2006-06-16 18:14 Luigi Ballabio
* ql/history.hpp (1.34):
Fix for addLastValues when history is empty
2006-06-16 13:42 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.84),
Examples/Swap/swapvaluation.cpp (1.71), ql/Indexes/audlibor.hpp
(1.29), ql/Indexes/cadlibor.hpp (1.29), ql/Indexes/cdor.hpp (1.7),
ql/Indexes/chflibor.hpp (1.26), ql/Indexes/dkklibor.hpp (1.6),
ql/Indexes/euribor.hpp (1.30), ql/Indexes/eurlibor.hpp (1.4),
ql/Indexes/gbplibor.hpp (1.32), ql/Indexes/jibar.hpp (1.6),
ql/Indexes/jpylibor.hpp (1.27), ql/Indexes/libor.cpp (1.4),
ql/Indexes/nzdlibor.hpp (1.6), ql/Indexes/tibor.hpp (1.7),
ql/Indexes/trlibor.hpp (1.7), ql/Indexes/usdlibor.hpp (1.33),
ql/Indexes/xibor.cpp (1.32), ql/Indexes/xibor.hpp (1.45),
ql/Indexes/zibor.hpp (1.7),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.50),
ql/TermStructures/ratehelpers.cpp (1.72),
ql/TermStructures/ratehelpers.hpp (1.64),
test-suite/bermudanswaption.cpp (1.9), test-suite/bonds.cpp (1.24),
test-suite/capfloor.cpp (1.53), test-suite/compoundforward.cpp
(1.41), test-suite/convertiblebonds.cpp (1.5),
test-suite/libormarketmodel.cpp (1.6),
test-suite/libormarketmodelprocess.cpp (1.5),
test-suite/piecewiseflatforward.cpp (1.39),
test-suite/piecewiseyieldcurve.cpp (1.22),
test-suite/shortratemodels.cpp (1.17), test-suite/swap.cpp (1.49),
test-suite/swaption.cpp (1.47), test-suite/termstructures.cpp
(1.44):
Deprecated (n,units) constructors for libors and rate helpers
2006-06-16 12:10 Marco Bianchetti
* QuantLib.vcproj (1.74):
VC7 catching up
2006-06-15 22:28 Katiuscia Manzoni
* ql/Indexes/euribor.hpp (1.29):
added whole family of Euribor Indexes
2006-06-15 21:14 Ferdinando Ametrano
* ql/TermStructures/: ratehelpers.cpp (1.71), ratehelpers.hpp
(1.63):
bug fix: initialize date at constructor time, so that the
RateHelper is valid even if a term structure is not set
2006-06-15 19:28 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.25):
VC8 catching up
2006-06-15 18:26 Ferdinando Ametrano
* ql/TermStructures/ratehelpers.cpp (1.70),
ql/TermStructures/ratehelpers.hpp (1.62),
test-suite/piecewiseyieldcurve.cpp (1.21):
1) using Period as input parameter instead of (int, TimeUnit)
to do: fix testsuite for new Xibor parameter in SwapRateHelper
2006-06-15 17:38 Ferdinando Ametrano
* ql/: Indexes/libor.cpp (1.3), Indexes/xibor.cpp (1.31), date.hpp
(1.57), Indexes/xibor.hpp (1.44), TermStructures/ratehelpers.cpp
(1.69), TermStructures/ratehelpers.hpp (1.61),
Volatilities/swaptionvolmatrix.hpp (1.34):
1) using Period as input parameter instead of (int, TimeUnit) 2)
extending Period interface with frequency method (original code
from Xibor)
2006-06-15 17:29 Luigi Ballabio
* ql/TermStructures/ratehelpers.cpp (1.68),
ql/TermStructures/ratehelpers.hpp (1.60),
test-suite/piecewiseyieldcurve.cpp (1.20),
test-suite/piecewiseyieldcurve.hpp (1.6):
Modified SwapRateHelper so that it can take a Xibor (thus ensuring
that today's fixing is used in pricing the underlying swap)
2006-06-15 16:35 Luigi Ballabio
* test-suite/swaption.cpp (1.46):
Removed gcc warning
2006-06-15 16:35 Luigi Ballabio
* test-suite/shortratemodels.cpp (1.16):
Proper tear-down of test case
2006-06-15 16:34 Luigi Ballabio
* ql/Indexes/: indexmanager.cpp (1.4), indexmanager.hpp (1.4):
Added convenience method to clear all histories
2006-06-15 15:02 Cristina Duminuco
* test-suite/: swaption.cpp (1.45), swaption.hpp (1.9):
Added a new test unit for cash settled swaptions. Updated old
tests: cash settled swaptions are tested too.
2006-06-15 14:59 Cristina Duminuco
* ql/Instruments/swaption.hpp (1.53):
Updated tests in the Doxygen comment block.
2006-06-15 14:54 Luigi Ballabio
* ql/Indexes/: libor.cpp (1.2), libor.hpp (1.2), xibor.cpp (1.30),
xibor.hpp (1.43):
Added constructor taking a tenor
2006-06-15 13:27 Luigi Ballabio
* ql/: index.cpp (1.2), index.hpp (1.20):
Added notification to observers when a fixing is added
2006-06-15 10:29 Luigi Ballabio
* ql/TermStructures/: ratehelpers.cpp (1.67), ratehelpers.hpp
(1.59):
Reworked date calculation
2006-06-15 10:28 Luigi Ballabio
* test-suite/calendars.cpp (1.31):
Fixed test messages
2006-06-15 08:42 Luigi Ballabio
* ql/: Instruments/swaption.cpp (1.55), Instruments/swaption.hpp
(1.52), PricingEngines/Swaption/blackswaptionengine.cpp (1.6),
PricingEngines/Swaption/g2swaptionengine.hpp (1.8),
PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.7),
PricingEngines/Swaption/lfmswaptionengine.cpp (1.4),
PricingEngines/Swaption/treeswaptionengine.cpp (1.11):
Renamed settlement struct to avoid SettlementType::Type redundancy
2006-06-15 08:42 Luigi Ballabio
* ql/: Makefile.am (1.90), history.hpp (1.33), index.cpp (1.1),
index.hpp (1.19):
Added addFixing() method to Index
2006-06-14 17:49 Luigi Ballabio
* Docs/: quantlib.css (1.15), quantlib.doxy (1.102):
Upgraded to Doxygen 1.4.7
2006-06-14 17:49 Luigi Ballabio
* ql/Instruments/vanillaswap.hpp (1.3):
Fix for documentation
2006-06-14 17:17 Cristina Duminuco
* ql/PricingEngines/Swaption/: g2swaptionengine.hpp (1.7),
jamshidianswaptionengine.cpp (1.6), lfmswaptionengine.cpp (1.3),
treeswaptionengine.cpp (1.10):
Introduced a control that block the pricing of cash settled
swaptions.
2006-06-14 17:13 Cristina Duminuco
* ql/PricingEngines/Swaption/blackswaptionengine.cpp (1.5):
Added the possibility to price cash settled swaptions: introduced a
switch on the settlement type.
2006-06-14 17:11 Cristina Duminuco
* ql/Instruments/: swaption.cpp (1.54), swaption.hpp (1.51):
Added Physical Settlement feature introducing the structure
SettlementType (enum Type).
2006-06-14 15:51 Luigi Ballabio
* News.txt (1.118), ql/Math/sabrinterpolation.hpp (1.6):
Added interpolation error and modifiable optimization method to
SABR
2006-06-14 12:51 Luigi Ballabio
* ql/capvolstructures.hpp (1.20), ql/swaptionvolstructure.hpp
(1.21), ql/termstructure.hpp (1.68), ql/voltermstructure.hpp
(1.38), ql/yieldtermstructure.hpp (1.5),
ql/Processes/blackscholesprocess.hpp (1.8),
ql/TermStructures/flatforward.hpp (1.54),
ql/Volatilities/blackconstantvol.hpp (1.35),
ql/Volatilities/localconstantvol.hpp (1.31),
ql/Volatilities/localvolsurface.hpp (1.29),
test-suite/utilities.hpp (1.27):
Moved a few methods upwards to TermStructure and a few inclusions
downward when they are needed
2006-06-14 12:50 Luigi Ballabio
* ql/Math/extrapolation.hpp (1.4):
Same functionality, slimmer interface
2006-06-14 12:49 Luigi Ballabio
* ql/Math/sabrinterpolation.hpp (1.5):
Fix for gcc
2006-06-13 20:41 Ferdinando Ametrano
* ql/Math/sabrinterpolation.hpp (1.4):
formatting
2006-06-13 20:15 Ferdinando Ametrano
* ql/Math/sabrinterpolation.hpp (1.3):
SABR fit added
2006-06-13 20:15 Ferdinando Ametrano
* ql/Math/: extrapolation.hpp (1.3), interpolation.hpp (1.41):
virtual Extrapolator and Interpolation
2006-06-13 20:07 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj (1.6):
lost example restored
2006-06-13 19:54 Ferdinando Ametrano
* QuantLib_vc8.sln (1.12):
lost example restored
2006-06-13 18:49 Katiuscia Manzoni
* ql/Instruments/: forwardrateagreement.cpp (1.4),
forwardrateagreement.hpp (1.5):
added third FRA constructor using Index
2006-06-12 18:41 Luigi Ballabio
* ql/Math/interpolation.hpp (1.40):
Using floating-point comparison functions instead of QL_EPSILON
2006-06-12 16:54 Luigi Ballabio
* Examples/FRA/FRA.cpp (1.4), Examples/Repo/Repo.cpp (1.4),
ql/Makefile.am (1.89), ql/core.hpp (1.17), ql/instrument.hpp
(1.43), ql/position.hpp (1.1),
ql/Instruments/fixedcouponbondforward.cpp (1.3),
ql/Instruments/fixedcouponbondforward.hpp (1.4),
ql/Instruments/forward.hpp (1.4),
ql/Instruments/forwardrateagreement.cpp (1.3),
ql/Instruments/forwardrateagreement.hpp (1.4),
test-suite/piecewiseyieldcurve.cpp (1.19):
Introduced standalone position struct for holding short/long
enumeration (and maybe more information in the future)
2006-06-12 16:51 Luigi Ballabio
* functions/ql/Functions/Makefile.am (1.14), ql/Math/Makefile.am
(1.51):
Updated makefiles
2006-06-12 16:48 Luigi Ballabio
* ql/Math/: cubicspline.hpp (1.62), sabrinterpolation.hpp (1.2):
Restored useful code
2006-06-12 15:41 Silvia Frasson
* ql/: swaptionvolstructure.hpp (1.20),
Volatilities/swaptionvolmatrix.hpp (1.33):
using Rate where appropriate instead of Real
2006-06-11 20:15 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.24),
Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj (1.5),
Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj (1.5),
Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj (1.5),
Examples/EquityOption/EquityOption_vc8.vcproj (1.4),
Examples/FRA/FRA_vc8.vcproj (1.2),
Examples/Replication/Replication_vc8.vcproj (1.2),
Examples/Repo/Repo_vc8.vcproj (1.3), Examples/Swap/Swap_vc8.vcproj
(1.5), functions/ql/Functions/QuantLibFunctions_vc8.vcproj (1.13),
test-suite/testsuite_vc8.vcproj (1.16):
adopting vc80\$(ConfigurationName) in *_vc8.proj files
2006-06-11 15:33 Ferdinando Ametrano
* QuantLib.vcproj (1.73):
VC71 catching up
2006-06-11 15:30 Ferdinando Ametrano
* QuantLib.vcproj (1.72),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.15),
Examples/ConvertibleBonds/ConvertibleBonds.vcproj (1.4),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.15),
Examples/EquityOption/EquityOption.vcproj (1.3),
Examples/FRA/FRA.vcproj (1.2),
Examples/Replication/Replication.vcproj (1.2),
Examples/Repo/Repo.vcproj (1.2), Examples/Swap/Swap.vcproj (1.15),
functions/ql/Functions/QuantLibFunctions.vcproj (1.20),
test-suite/testsuite.vcproj (1.45):
adopting vc71\$(ConfigurationName) in proj files
2006-06-09 20:45 Ferdinando Ametrano
* QuantLib.vcproj (1.71):
VC71 catching up
2006-06-09 15:12 Ferdinando Ametrano
* ql/Math/interpolation.hpp (1.39):
avoiding floating point comparison glitches
2006-06-09 15:03 Katiuscia Manzoni
* Examples/FRA/FRA.cpp (1.3):
FRA example modified to account for change in enum
Instrument::Position
2006-06-08 23:10 Ferdinando Ametrano
* Examples/Repo/Repo.cpp (1.3):
moving {Long, Short} enumeration from Forward into Instrument.
Renamed as enum Position {Long, Short};
2006-06-08 21:41 Ferdinando Ametrano
* ql/Math/linearinterpolation.hpp (1.35):
added LinearInterpolationType enumeration
2006-06-08 21:41 Ferdinando Ametrano
* ql/Math/cubicspline.hpp (1.61):
removed useless code
2006-06-08 21:40 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.23), ql/Math/all.hpp (1.11),
ql/Math/sabrinterpolation.hpp (1.1):
SABR interpolation added. To do: add unit test
2006-06-08 21:39 Ferdinando Ametrano
* ql/Instruments/: swap.cpp (1.48), swap.hpp (1.39):
copyright
2006-06-08 21:38 Ferdinando Ametrano
* ql/: CashFlows/floatingratecoupon.hpp (1.38),
Instruments/fixedcouponbondforward.cpp (1.2),
Instruments/fixedcouponbondforward.hpp (1.3),
Instruments/forward.hpp (1.3), Instruments/forwardrateagreement.cpp
(1.2), Instruments/forwardrateagreement.hpp (1.3):
moving {Long, Short} enumeration from Forward into Instrument.
Renamed as enum Position {Long, Short};
2006-06-08 21:27 Ferdinando Ametrano
* ql/: instrument.hpp (1.42), Instruments/forward.hpp (1.2):
moving {Long, Short} enumeration from Forward into Instrument.
Renamed as enum Position {Long, Short};
2006-06-08 21:24 Ferdinando Ametrano
* ql/schedule.hpp (1.10):
formatting
2006-06-08 17:08 Marco Bianchetti
* QuantLib.vcproj (1.70):
update VC7 workspaces
2006-06-08 15:59 Cristina Duminuco
* ql/schedule.cpp (1.10):
bug fix
2006-06-06 20:01 Ferdinando Ametrano
* ql/Instruments/swap.cpp (1.47):
implementing multi leg Swap
2006-06-06 19:50 Ferdinando Ametrano
* ql/userconfig.hpp (1.21):
avoid warning if already defined
2006-06-06 18:53 Ferdinando Ametrano
* ql/Instruments/swap.cpp (1.46), ql/Instruments/swap.hpp (1.38),
ql/Instruments/vanillaswap.cpp (1.2),
ql/Instruments/vanillaswap.hpp (1.2),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.49),
test-suite/swap.cpp (1.48):
implementing multi leg Swap
2006-06-06 09:58 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.22), ql/Instruments/Makefile.am (1.38),
ql/Instruments/all.hpp (1.18), ql/Instruments/makefile.mak (1.41),
ql/Instruments/swaption.hpp (1.50), ql/Instruments/vanillaswap.cpp
(1.1), ql/Instruments/vanillaswap.hpp (1.1),
ql/TermStructures/ratehelpers.hpp (1.58), test-suite/capfloor.cpp
(1.52), test-suite/compoundforward.cpp (1.40), test-suite/swap.cpp
(1.47):
renaming simpleswap.*pp files as vanillaswap.*pp, according to the
actual class name
2006-06-05 15:28 Ferdinando Ametrano
* functions/ql/Functions/QuantLibFunctions_vc8.vcproj (1.12),
functions/ql/Functions/calendars.hpp (1.10),
functions/ql/Functions/daycounters.cpp (1.7),
functions/ql/Functions/daycounters.hpp (1.9),
functions/ql/Functions/mathf.cpp (1.6),
functions/ql/Functions/mathf.hpp (1.11),
functions/ql/Functions/calendars.cpp (1.9), ql/userconfig.hpp
(1.20):
deprecating some QuantLibFunctions' functions
2006-05-31 20:26 Ferdinando Ametrano
* ql/: auto_link.hpp (1.3), quantlib.hpp (1.154):
proper auto_linking
2006-05-31 16:46 Luigi Ballabio
* functions/ql/Functions/Makefile.am (1.13), ql/auto_link.hpp
(1.2), ql/quantlib.hpp (1.153), test-suite/Makefile.am (1.70):
Fixes for Linux compilation
2006-05-31 13:08 Ferdinando Ametrano
* functions/ql/Functions/: QuantLibFunctions_vc8.vcproj (1.11),
calendars.cpp (1.8):
removing obsolete file (and gradually getting rid of
QuantLibFunctions)
2006-05-31 12:51 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.21):
catching up with new files
2006-05-31 12:50 Ferdinando Ametrano
* QuantLib_vc8.sln (1.11):
addin back project dependencies
2006-05-31 12:49 Ferdinando Ametrano
* ql/: Indexes/xibor.cpp (1.29), Indexes/xibor.hpp (1.42),
index.hpp (1.18):
added boolean with default value: Rate fixing(const Date&
fixingDate, bool forecastTodaysFixing = false) const;
2006-05-31 12:44 Ferdinando Ametrano
* functions/ql/Functions/calendars.hpp (1.8), ql/calendar.cpp
(1.36), ql/calendar.hpp (1.53), test-suite/calendars.cpp (1.30),
test-suite/quantlibtestsuite.cpp (1.118):
1) holidayList as static membre function of the class Calendar 2)
testsuite not linking QuantLibFunctions anymore
2006-05-31 11:25 Ferdinando Ametrano
* functions/ql/Functions/auto_link.hpp (1.3):
proper auto_linking
2006-05-31 11:21 Ferdinando Ametrano
* functions/ql/Functions/auto_link.hpp (1.2),
test-suite/quantlibtestsuite.cpp (1.117):
proper auto_linking
2006-05-31 11:07 Ferdinando Ametrano
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.13),
Examples/EquityOption/EquityOption.cpp (1.3), Examples/FRA/FRA.cpp
(1.2), Examples/Replication/Replication.cpp (1.2),
Examples/Repo/Repo.cpp (1.2), QuantLib_vc8.sln (1.10),
QuantLib_vc8.vcproj (1.20), Examples/Swap/swapvaluation.cpp (1.70),
functions/ql/Functions/QuantLibFunctions_vc8.vcproj (1.10),
functions/ql/Functions/auto_link.hpp (1.1),
functions/ql/Functions/calendars.hpp (1.7),
functions/ql/Functions/daycounters.hpp (1.8),
functions/ql/Functions/mathf.hpp (1.10),
functions/ql/Functions/vols.hpp (1.8), ql/auto_link.hpp (1.1),
ql/config.msvc.hpp (1.74), ql/quantlib.hpp (1.152),
test-suite/quantlibtestsuite.cpp (1.116):
proper auto_linking
2006-05-30 11:11 Luigi Ballabio
* Examples/makefile.mak (1.28), QuantLib.dsw (1.18), QuantLib.sln
(1.15), QuantLib_vc8.sln (1.9),
Examples/Replication/Replication_vc8.vcproj (1.1):
Added new projects to workspaces
2006-05-30 11:01 Luigi Ballabio
* News.txt (1.117), configure.ac (1.82), Docs/pages/examples.docs
(1.12), Examples/Makefile.am (1.30),
Examples/Replication/.cvsignore (1.1),
Examples/Replication/Makefile.am (1.1),
Examples/Replication/ReadMe.txt (1.1),
Examples/Replication/Replication.cpp (1.1),
Examples/Replication/Replication.dev (1.1),
Examples/Replication/Replication.dsp (1.1),
Examples/Replication/Replication.vcproj (1.1),
Examples/Replication/makefile.mak (1.1), ql/Instruments/Makefile.am
(1.37), ql/Instruments/all.hpp (1.17),
ql/Instruments/compositeinstrument.cpp (1.1),
ql/Instruments/compositeinstrument.hpp (1.1):
Added composite instrument; example provided
2006-05-30 11:01 Ferdinando Ametrano
* functions/ql/Functions/calendars.cpp (1.7):
more explicit error message
2006-05-30 10:04 Luigi Ballabio
* ql/Instruments/fixedcouponbondforward.hpp (1.2),
Docs/pages/examples.docs (1.11),
ql/Instruments/forwardrateagreement.hpp (1.2):
Added link to examples in documentation
2006-05-29 19:40 Ferdinando Ametrano
* ql/history.hpp (1.32):
typo fixed
2006-05-29 19:33 Ferdinando Ametrano
* ql/history.hpp (1.31):
1) added support for updating the history with the last fixing 2)
added support for std::vector in reverse order (but it costs a
vector copy... Luigi could you help?)
2006-05-26 18:14 Luigi Ballabio
* functions/ql/Functions/calendars.cpp (1.6), ql/calendar.cpp
(1.35), ql/calendar.hpp (1.52), ql/Calendars/argentina.cpp (1.4),
ql/Calendars/australia.cpp (1.2), ql/Calendars/brazil.cpp (1.2),
ql/Calendars/canada.cpp (1.2), ql/Calendars/china.cpp (1.2),
ql/Calendars/china.hpp (1.2), ql/Calendars/czechrepublic.cpp (1.2),
ql/Calendars/denmark.cpp (1.2), ql/Calendars/finland.cpp (1.2),
ql/Calendars/germany.cpp (1.3), ql/Calendars/hongkong.cpp (1.5),
ql/Calendars/hungary.cpp (1.2), ql/Calendars/iceland.cpp (1.4),
ql/Calendars/india.cpp (1.2), ql/Calendars/indonesia.cpp (1.3),
ql/Calendars/italy.cpp (1.4), ql/Calendars/japan.cpp (1.2),
ql/Calendars/japan.hpp (1.2), ql/Calendars/jointcalendar.cpp
(1.11), ql/Calendars/jointcalendar.hpp (1.9),
ql/Calendars/mexico.cpp (1.4), ql/Calendars/newzealand.cpp (1.2),
ql/Calendars/norway.cpp (1.2), ql/Calendars/nullcalendar.hpp (1.8),
ql/Calendars/poland.cpp (1.2), ql/Calendars/saudiarabia.cpp (1.2),
ql/Calendars/saudiarabia.hpp (1.2), ql/Calendars/singapore.cpp
(1.4), ql/Calendars/slovakia.cpp (1.2),
ql/Calendars/southafrica.cpp (1.2), ql/Calendars/southkorea.cpp
(1.2), ql/Calendars/southkorea.hpp (1.2), ql/Calendars/sweden.cpp
(1.2), ql/Calendars/switzerland.cpp (1.2), ql/Calendars/taiwan.cpp
(1.7), ql/Calendars/taiwan.hpp (1.6), ql/Calendars/target.cpp
(1.20), ql/Calendars/turkey.cpp (1.2), ql/Calendars/turkey.hpp
(1.2), ql/Calendars/ukraine.cpp (1.4),
ql/Calendars/unitedkingdom.cpp (1.3), ql/Calendars/unitedstates.cpp
(1.9):
Added weekend specification to calendars
2006-05-25 18:06 Luigi Ballabio
* ql/: Instruments/convertiblebond.cpp (1.16),
Instruments/convertiblebond.hpp (1.16),
PricingEngines/Hybrid/binomialconvertibleengine.hpp (1.10):
Added dividend times to arguments; still not used by engine
2006-05-25 16:19 Luigi Ballabio
* ql/CashFlows/dividend.hpp (1.3):
Added check for missing notional
2006-05-24 16:25 Ferdinando Ametrano
* QuantLib.nsi (1.116):
timestamp added
2006-05-24 11:48 Luigi Ballabio
* ql/PricingEngines/mcsimulation.hpp (1.17):
Removed check for min samples when the number of samples is passed
explicitly (the user probably knows better)
2006-05-23 19:04 Ferdinando Ametrano
* ql/calendar.hpp (1.51), test-suite/calendars.cpp (1.29),
test-suite/calendars.hpp (1.15):
adding endOfMonth method
2006-05-23 15:54 Luigi Ballabio
* QuantLib.dsp (1.273), Examples/Repo/Repo_vc8.vcproj (1.2),
QuantLib.dsw (1.17), QuantLib.sln (1.14), QuantLib.vcproj (1.69),
QuantLib_vc8.sln (1.8), QuantLib_vc8.vcproj (1.19):
Added new files and projects to workspaces
2006-05-23 13:12 Luigi Ballabio
* Contributors.txt (1.37), News.txt (1.116), configure.ac (1.81),
Docs/pages/authors.docs (1.45), Examples/Makefile.am (1.29),
Examples/makefile.mak (1.27), Examples/FRA/.cvsignore (1.1),
Examples/FRA/FRA.cpp (1.1), Examples/FRA/FRA.dev (1.1),
Examples/FRA/FRA.dsp (1.1), Examples/FRA/FRA.vcproj (1.1),
Examples/FRA/FRA_vc8.vcproj (1.1), Examples/FRA/Makefile.am (1.1),
Examples/FRA/ReadMe.txt (1.1), Examples/FRA/makefile.mak (1.1),
Examples/Repo/.cvsignore (1.1), Examples/Repo/Makefile.am (1.1),
Examples/Repo/ReadMe.txt (1.1), Examples/Repo/Repo.cpp (1.1),
Examples/Repo/Repo.dev (1.1), Examples/Repo/Repo.dsp (1.1),
Examples/Repo/Repo.vcproj (1.1), Examples/Repo/Repo_vc8.vcproj
(1.1), Examples/Repo/makefile.mak (1.1), ql/Instruments/Makefile.am
(1.36), ql/Instruments/all.hpp (1.16),
ql/Instruments/fixedcouponbondforward.cpp (1.1),
ql/Instruments/fixedcouponbondforward.hpp (1.1),
ql/Instruments/forward.cpp (1.1), ql/Instruments/forward.hpp (1.1),
ql/Instruments/forwardrateagreement.cpp (1.1),
ql/Instruments/forwardrateagreement.hpp (1.1),
test-suite/piecewiseyieldcurve.cpp (1.18):
Added FRA and forward fixed-coupon bonds (thanks to Allen Kuo)
2006-05-22 12:22 Ferdinando Ametrano
* ql/Volatilities/swaptionvolmatrix.hpp (1.32):
formatting
2006-05-22 12:22 Ferdinando Ametrano
* QuantLib.nsi (1.115):
updated
2006-05-22 11:39 Mario Pucci
* Readme.txt (1.29):
test
2006-05-18 16:48 Luigi Ballabio
* ql/DayCounters/: actualactual.cpp (1.38), actualactual.hpp
(1.31):
Removed redundant abbreviations
2006-05-18 14:50 Eric Ehlers
* functions/ql/Functions/prices.cpp (1.4):
for insufficient inputs to qlMidEquivalent() - throw exception
rather than returning DBL_MIN
2006-05-18 13:14 Ferdinando Ametrano
* ql/: calendar.hpp (1.50), DayCounters/actualactual.cpp (1.37),
DayCounters/actualactual.hpp (1.30), DayCounters/thirty360.hpp
(1.25):
ISDA standards adopted
2006-05-18 11:35 Luigi Ballabio
* Contributors.txt (1.36), LICENSE.TXT (1.29), News.txt (1.115),
ql/RandomNumbers/sobolrsg.cpp (1.42), ql/RandomNumbers/sobolrsg.hpp
(1.27), test-suite/lowdiscrepancysequences.cpp (1.77),
test-suite/lowdiscrepancysequences.hpp (1.19):
Added possibility to skip directly to the n-th item in a Sobol
sequence (thanks to Richard Gould)
2006-05-17 14:57 Luigi Ballabio
* ql/Patterns/observable.hpp (1.28):
Better copy behavior for observables
2006-05-16 19:05 Ferdinando Ametrano
* QuantLib.vcproj (1.68),
functions/ql/Functions/QuantLibFunctions.vcproj (1.19):
1) 1 function removed 2) added 2 temporary functions
2006-05-16 16:18 Luigi Ballabio
* functions/ql/Functions/Makefile.am (1.12):
Removed deleted files from Makefile
2006-05-16 16:13 Luigi Ballabio
* ql/RandomNumbers/: primitivepolynomials.c (1.12),
primitivepolynomials.h (1.7):
Removed // comments in C files (thanks to Eugene Shevkoplyas)
2006-05-16 15:19 Ferdinando Ametrano
* functions/ql/Functions/: QuantLibFunctions_vc8.vcproj (1.9),
calendars.hpp (1.6):
1) 1 function removed 2) added 2 temporary functions
2006-05-15 17:05 Ferdinando Ametrano
* ql/VolatilityModels/garmanklass.hpp (1.4):
VC8 error avoided
2006-05-15 10:27 Luigi Ballabio
* Docs/pages/processes.docs (1.1),
ql/Processes/blackscholesprocess.hpp (1.7),
ql/Processes/eulerdiscretization.hpp (1.6),
ql/Processes/forwardmeasureprocess.hpp (1.2),
ql/Processes/g2process.hpp (1.2),
ql/Processes/geometricbrownianprocess.hpp (1.4),
ql/Processes/hestonprocess.hpp (1.6),
ql/Processes/hullwhiteprocess.hpp (1.2),
ql/Processes/lfmprocess.hpp (1.3), ql/Processes/merton76process.hpp
(1.7), ql/Processes/ornsteinuhlenbeckprocess.hpp (1.5),
ql/Processes/squarerootprocess.hpp (1.4),
ql/Processes/stochasticprocessarray.hpp (1.6):
Added processes module to docs
2006-05-15 10:25 Luigi Ballabio
* Docs/: Makefile.am (1.80), quantlib.css (1.14),
quantlibheader.html (1.31), quantlibheaderonline.html (1.1),
images/QL-title.jpg (1.1), images/favicon.ico (1.2),
pages/findiff.docs (1.14), pages/index.docs (1.12),
pages/mcarlo.docs (1.18):
Docs restyling
2006-05-15 10:21 Luigi Ballabio
* ql/CashFlows/: timebasket.cpp (1.9), timebasket.hpp (1.10):
Fix for C++/CLI (thanks to Athletico)
2006-05-15 06:40 Joseph Wang
* ql/VolatilityModels/: Makefile.am (1.5), garch.cpp (1.1),
garch.hpp (1.3):
More work on garch.cpp
2006-05-13 19:08 Joseph Wang
* ql/VolatilityModels/garmanklass.hpp (1.3):
Add more notes
2006-05-13 08:24 Joseph Wang
* ql/VolatilityModels/garmanklass.hpp (1.2):
Fix typo
2006-05-13 06:46 Joseph Wang
* ql/VolatilityModels/Makefile.am (1.4),
ql/VolatilityModels/all.hpp (1.4),
ql/VolatilityModels/garmanklass.hpp (1.1),
ql/VolatilityModels/simplelocalestimator.hpp (1.4),
test-suite/volatilitymodels.cpp (1.5):
Add garman klass estimators
2006-05-07 14:29 Eric Ehlers
* QuantLib_vc8.vcproj (1.18):
remove ql\TermStructures\affinetermstructure.cpp, ql\ratehelper.?pp
- add ql\TermStructures\piecewiseyieldcurve.?pp
2006-05-07 13:43 Luigi Ballabio
* ql/Math/array.hpp (1.27):
bug fix (thanks to Klaus Spanderen)
2006-05-07 06:57 Joseph Wang
* ql/timeseries.hpp (1.9):
Add some more functions involving interval prices
2006-05-07 03:50 Joseph Wang
* ql/timeseries.hpp (1.8):
Add default constructor for interval price. Without it time series
syntax is rather painful.
2006-05-06 16:58 Joseph Wang
* ql/quote.hpp (1.11), ql/timeseries.hpp (1.7),
ql/Utilities/Makefile.am (1.19), ql/Utilities/all.hpp (1.9),
test-suite/timeseries.cpp (1.4), test-suite/timeseries.hpp (1.4):
Moved the interval pricing structure out of quote. When I started
to write swig interfaces it become obvious how much extra code
trying to make the interval prices a quote was, so I'm rewriting it
as a class that isn't linked into to the quote syste,
2006-05-06 09:30 Joseph Wang
* ql/quote.hpp (1.10), ql/timeseries.hpp (1.6),
ql/Utilities/Makefile.am (1.18), ql/Utilities/all.hpp (1.8),
test-suite/timeseries.cpp (1.3), test-suite/timeseries.hpp (1.3):
add some helpers to create time series of interval quotes
2006-05-05 16:49 Luigi Ballabio
* ql/: Makefile.am (1.88), TermStructures/Makefile.am (1.27),
TermStructures/all.hpp (1.8), TermStructures/bondhelpers.hpp (1.5),
TermStructures/piecewiseflatforward.hpp (1.58),
TermStructures/piecewiseyieldcurve.cpp (1.1),
TermStructures/piecewiseyieldcurve.hpp (1.19),
TermStructures/ratehelpers.hpp (1.57):
Moved base rate-helper class together with piecewise yield curve
2006-05-05 14:50 Ferdinando Ametrano
* functions/ql/Functions/: calendars.cpp (1.5), calendars.hpp
(1.5), daycounters.cpp (1.6), daycounters.hpp (1.7), mathf.cpp
(1.5), mathf.hpp (1.9):
gradually empting functions folder
2006-05-05 10:45 Ferdinando Ametrano
* ql/date.cpp (1.52), ql/date.hpp (1.55), test-suite/dates.cpp
(1.18), ql/date.cpp (1.53):
adding 1) std::string Date::IMMcode(const Date& date) 2) Date
Date::IMMdate(const std::string& IMMcode, const Date&
referenceDate) and associated tests (thanks to Katiuscia Manzoni)
2006-05-05 09:54 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.37),
test-suite/jumpdiffusion.cpp (1.42):
vega is now working (thanks to Nicola Jean)
2006-05-04 14:48 Luigi Ballabio
* ql/: calendar.cpp (1.34), calendar.hpp (1.49):
Added unadjusted end-of-month convention (thanks to an anonymous
contributor)
2006-05-04 05:41 Joseph Wang
* ql/Calendars/Makefile.am (1.35):
fix for new country-based calendar conventions
2006-05-03 20:50 Ferdinando Ametrano
* test-suite/calendars.cpp (1.28):
calandar files renamed accordingly to the class they're defining
2006-05-03 20:32 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.17), ql/Calendars/all.hpp (1.18),
ql/Calendars/australia.cpp (1.1), ql/Calendars/australia.hpp (1.1),
ql/Calendars/canada.cpp (1.1), ql/Calendars/canada.hpp (1.1),
ql/Calendars/china.cpp (1.1), ql/Calendars/china.hpp (1.1),
ql/Calendars/czechrepublic.cpp (1.1),
ql/Calendars/czechrepublic.hpp (1.1), ql/Calendars/denmark.cpp
(1.1), ql/Calendars/denmark.hpp (1.1), ql/Calendars/finland.cpp
(1.1), ql/Calendars/finland.hpp (1.1), ql/Calendars/hungary.cpp
(1.1), ql/Calendars/hungary.hpp (1.1), ql/Calendars/india.cpp
(1.1), ql/Calendars/india.hpp (1.1), ql/Calendars/japan.cpp (1.1),
ql/Calendars/japan.hpp (1.1), ql/Calendars/newzealand.cpp (1.1),
ql/Calendars/newzealand.hpp (1.1), ql/Calendars/norway.cpp (1.1),
ql/Calendars/norway.hpp (1.1), ql/Calendars/poland.cpp (1.1),
ql/Calendars/poland.hpp (1.1), ql/Calendars/saudiarabia.cpp (1.1),
ql/Calendars/saudiarabia.hpp (1.1), ql/Calendars/slovakia.cpp
(1.1), ql/Calendars/slovakia.hpp (1.1),
ql/Calendars/southafrica.cpp (1.1), ql/Calendars/southafrica.hpp
(1.1), ql/Calendars/southkorea.cpp (1.1),
ql/Calendars/southkorea.hpp (1.1), ql/Calendars/sweden.cpp (1.1),
ql/Calendars/sweden.hpp (1.1), ql/Calendars/switzerland.cpp (1.1),
ql/Calendars/switzerland.hpp (1.1), ql/Calendars/turkey.cpp (1.1),
ql/Calendars/turkey.hpp (1.1), ql/Indexes/audlibor.hpp (1.28),
ql/Indexes/cadlibor.hpp (1.28), ql/Indexes/cdor.hpp (1.6),
ql/Indexes/chflibor.hpp (1.25), ql/Indexes/dkklibor.hpp (1.5),
ql/Indexes/jibar.hpp (1.5), ql/Indexes/jpylibor.hpp (1.26),
ql/Indexes/nzdlibor.hpp (1.5), ql/Indexes/tibor.hpp (1.6),
ql/Indexes/trlibor.hpp (1.6), ql/Indexes/zibor.hpp (1.6):
calandar files renamed accordingly to the class they're defining
2006-05-03 20:16 Ferdinando Ametrano
* ql/Calendars/all.hpp (1.17):
calandar files renamed accordingly to the class they're defining
2006-05-03 15:50 Luigi Ballabio
* test-suite/hestonmodel.cpp (1.15):
Increased tolerance
2006-05-02 19:57 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.16), functions/ql/Functions/mathf.hpp
(1.8):
exposing also normSdist and normSinv
2006-05-01 20:35 Ferdinando Ametrano
* ql/TermStructures/: piecewiseflatforward.hpp (1.57),
piecewiseyieldcurve.hpp (1.18):
removing (just included) typedef
2006-05-01 02:30 Joseph Wang
* ql/VolatilityModels/simplelocalestimator.hpp (1.3):
missing fragment
2006-04-30 22:44 Joseph Wang
* ql/VolatilityModels/constantestimator.cpp (1.7),
ql/VolatilityModels/constantestimator.hpp (1.5),
ql/VolatilityModels/simplelocalestimator.hpp (1.2),
test-suite/volatilitymodels.cpp (1.4):
insert absolute value in local estimator move year fraction divisor
from constant estimator to the local estimator
2006-04-30 18:18 Eric Ehlers
* functions/ql/Functions/: Makefile.am (1.11), calendars.cpp (1.4),
calendars.hpp (1.4), prices.cpp (1.3), prices.hpp (1.2):
transfer QuantLibAddin procedural functions into QuantLibFunctions
2006-04-30 16:35 Ferdinando Ametrano
* QuantLib.vcproj (1.66),
functions/ql/Functions/QuantLibFunctions.vcproj (1.18),
functions/ql/Functions/prices.cpp (1.2),
ql/TermStructures/piecewiseyieldcurve.hpp (1.17):
added rateHelperSelection function
2006-04-30 11:45 Joseph Wang
* ql/volatilitymodel.hpp (1.4), ql/VolatilityModels/Makefile.am
(1.3), ql/VolatilityModels/all.hpp (1.3),
ql/VolatilityModels/constantestimator.cpp (1.6),
ql/VolatilityModels/constantestimator.hpp (1.4),
ql/VolatilityModels/simplelocalestimator.hpp (1.1),
test-suite/volatilitymodels.cpp (1.3):
Split volatility model into two parts. One is the daily estimator.
One composites the daily estimations.
2006-04-30 11:24 Joseph Wang
* ql/quote.hpp (1.9):
Add structure for interval quotes
2006-04-30 10:34 Joseph Wang
* ql/Makefile.am (1.87):
Add missing ratehelper.cpp and .hpp
2006-04-30 00:31 Ferdinando Ametrano
* ql/TermStructures/: ratehelpers.cpp (1.66), ratehelpers.hpp
(1.56):
RelativeDateRateHelper introduced. It is a rate helper cless where
the date schedule is relative to the global evaluation date: the
class takes care of rebuilding the date schedule when the global
evaluation date changes, not when a YieldTermStructure is setted
2006-04-29 15:57 Ferdinando Ametrano
* ql/TermStructures/piecewiseyieldcurve.hpp (1.16):
RateHelper moved in its own file in the root folder. RateHelper's
interface extended with earliestDate()
2006-04-29 15:48 Ferdinando Ametrano
* ql/TermStructures/bondhelpers.hpp (1.4),
ql/TermStructures/piecewiseflatforward.hpp (1.56),
ql/TermStructures/piecewiseyieldcurve.hpp (1.15),
test-suite/piecewiseflatforward.cpp (1.38),
test-suite/piecewiseyieldcurve.cpp (1.17),
test-suite/termstructures.cpp (1.43), QuantLib.vcproj (1.65):
RateHelper moved in its own file in the root folder. RateHelper's
interface extended with earliestDate()
2006-04-29 15:43 Ferdinando Ametrano
* ql/TermStructures/: ratehelpers.cpp (1.65), ratehelpers.hpp
(1.55):
RateHelper moved in its own file in the root folder. RateHelper's
interface extended with earliestDate()
2006-04-29 14:41 Ferdinando Ametrano
* ql/TermStructures/: ratehelpers.cpp (1.64), ratehelpers.hpp
(1.54):
removing unnecessary private data members
2006-04-29 13:24 Ferdinando Ametrano
* QuantLib.vcproj (1.64),
functions/ql/Functions/QuantLibFunctions.vcproj (1.17),
test-suite/testsuite.vcproj (1.44):
VC71 catching up
2006-04-29 13:23 Ferdinando Ametrano
* ql/date.hpp (1.54):
typo fixed
2006-04-29 07:56 Joseph Wang
* ql/timeseries.hpp (1.5):
add const qualifiers to methods that extract date and value vectors
2006-04-28 12:49 Luigi Ballabio
* LICENSE.TXT (1.28), News.txt (1.114), Docs/pages/license.docs
(1.24), ql/Instruments/capfloor.hpp (1.57),
ql/PricingEngines/CapFloor/Makefile.am (1.6),
ql/PricingEngines/CapFloor/all.hpp (1.5),
ql/PricingEngines/CapFloor/mchullwhiteengine.cpp (1.1),
ql/PricingEngines/CapFloor/mchullwhiteengine.hpp (1.1),
ql/Processes/Makefile.am (1.9), ql/Processes/all.hpp (1.6),
ql/Processes/forwardmeasureprocess.cpp (1.1),
ql/Processes/forwardmeasureprocess.hpp (1.1),
ql/Processes/g2process.cpp (1.1), ql/Processes/g2process.hpp (1.1),
ql/Processes/hullwhiteprocess.cpp (1.1),
ql/Processes/hullwhiteprocess.hpp (1.1),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.25),
ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.29),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.29):
Added Hull-White and G2 processes for Monte Carlo simulation
(thanks to Banca Profilo)
2006-04-27 20:00 Ferdinando Ametrano
* functions/ql/Functions/mathf.cpp (1.4),
functions/ql/Functions/mathf.hpp (1.7),
ql/TermStructures/ratehelpers.hpp (1.53):
typo fixed
2006-04-26 19:03 Ferdinando Ametrano
* functions/ql/Functions/: QuantLibFunctions_vc8.vcproj (1.7),
prices.cpp (1.1), prices.hpp (1.1):
midEquivalent function added: it returns the mid price if
available, or a suitable substitute (thanks to Katiuscia Manzoni)
2006-04-25 12:20 Ferdinando Ametrano
* test-suite/hestonmodel.cpp (1.14):
VC8 tolerance
2006-04-25 10:43 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.14), test-suite/testsuite_vc8.vcproj
(1.15):
VC8 catching up
2006-04-24 14:07 Luigi Ballabio
* ql/handle.hpp (1.26):
Added comparison, weak ordering and swap to Handle
2006-04-20 10:13 Luigi Ballabio
* LICENSE.TXT (1.27), News.txt (1.113), configure.ac (1.80),
Docs/pages/license.docs (1.23), ql/Instruments/Makefile.am (1.35),
ql/Instruments/all.hpp (1.15), ql/Instruments/lookbackoption.cpp
(1.1), ql/Instruments/lookbackoption.hpp (1.1),
ql/Instruments/payoffs.hpp (1.18), ql/PricingEngines/Makefile.am
(1.46), ql/PricingEngines/all.hpp (1.13),
ql/PricingEngines/Lookback/.cvsignore (1.3),
ql/PricingEngines/Lookback/Makefile.am (1.3),
ql/PricingEngines/Lookback/all.hpp (1.1),
ql/PricingEngines/Lookback/analyticcontinuousfixedlookback.cpp
(1.1),
ql/PricingEngines/Lookback/analyticcontinuousfixedlookback.hpp
(1.1),
ql/PricingEngines/Lookback/analyticcontinuousfloatinglookback.cpp
(1.1),
ql/PricingEngines/Lookback/analyticcontinuousfloatinglookback.hpp
(1.1), test-suite/Makefile.am (1.69),
test-suite/lookbackoptions.cpp (1.1),
test-suite/lookbackoptions.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.115):
Added continuous fixed and floating lookback options (thanks to
Warren Chou)
2006-04-19 15:50 Luigi Ballabio
* Examples/Swap/swapvaluation.cpp (1.69),
ql/TermStructures/ratehelpers.cpp (1.63),
test-suite/piecewiseflatforward.cpp (1.37),
test-suite/piecewiseyieldcurve.cpp (1.16):
Fixed schedule for swap-rate helpers (thanks to Toyin Akin)
2006-04-19 13:53 Luigi Ballabio
* News.txt (1.112), ql/Calendars/unitedstates.cpp (1.8),
ql/Calendars/unitedstates.hpp (1.10), ql/Indexes/usdlibor.hpp
(1.32), test-suite/bonds.cpp (1.23), test-suite/calendars.cpp
(1.27), test-suite/quantlibtestsuite.cpp (1.114):
Added NERC calendar (thanks to Joe Byers)
2006-04-19 09:13 Joseph Wang
* ql/VolatilityModels/constantestimator.cpp (1.5):
fix off by one error and some typos
2006-04-13 15:22 Luigi Ballabio
* ql/: calendar.hpp (1.48), daycounter.hpp (1.34),
CashFlows/cashflowvectors.cpp (1.46), CashFlows/indexedcoupon.hpp
(1.21), CashFlows/parcoupon.hpp (1.17), Patterns/bridge.hpp (1.15),
PricingEngines/Cliquet/mccliquetengine.hpp (1.11),
ShortRateModels/model.cpp (1.28):
Renamed Bridge::isNull() to empty() for uniformity
2006-04-13 12:56 Luigi Ballabio
* ql/exercise.hpp (1.34):
Deprecated default initialization
2006-04-07 11:41 Luigi Ballabio
* ql/FiniteDifferences/tridiagonaloperator.cpp (1.37):
Bug fixed (thanks to Klaus Spanderen)
2006-04-06 15:38 Eric Ehlers
* Docs/pages/faq.docs (1.26):
rename QuantLibAddin file troubleshooting.html to faq.html
2006-04-06 13:07 Luigi Ballabio
* ql/: handle.hpp (1.25), CashFlows/inarrearindexedcoupon.cpp
(1.6), Instruments/quantoforwardvanillaoption.cpp (1.32),
Instruments/quantovanillaoption.cpp (1.40), Patterns/observable.hpp
(1.27):
Handle no longer inherits from shared_ptr
2006-04-06 10:58 Luigi Ballabio
* ql/Makefile.am (1.86), ql/timeseries.hpp (1.4),
ql/volatilitymodel.hpp (1.3), ql/CashFlows/all.hpp (1.5),
ql/CashFlows/core.hpp (1.5), ql/VolatilityModels/all.hpp (1.2),
ql/VolatilityModels/constantestimator.cpp (1.3),
ql/VolatilityModels/constantestimator.hpp (1.3),
ql/VolatilityModels/garch.hpp (1.2), test-suite/timeseries.cpp
(1.2), test-suite/timeseries.hpp (1.2),
test-suite/volatilitymodels.cpp (1.2),
test-suite/volatilitymodels.hpp (1.2):
Fixed copyrights---they're of Joseph's
2006-04-05 18:25 Joseph Wang
* ql/VolatilityModels/: all.hpp (1.1), garch.hpp (1.1):
Need to check in
2006-04-05 12:24 Luigi Ballabio
* ql/: schedule.hpp (1.9), timegrid.hpp (1.12), Math/array.hpp
(1.26), Math/lexicographicalview.hpp (1.17), Math/matrix.hpp
(1.46), MonteCarlo/multipath.hpp (1.28), MonteCarlo/path.hpp
(1.32):
Added checked at() method besides operator[]
2006-04-05 10:30 Luigi Ballabio
* News.txt (1.111), Examples/ConvertibleBonds/ConvertibleBonds.cpp
(1.12), Examples/DiscreteHedging/DiscreteHedging.cpp (1.60),
Examples/EquityOption/EquityOption.cpp (1.2),
ql/FiniteDifferences/bsmoperator.cpp (1.26),
ql/FiniteDifferences/bsmoperator.hpp (1.22),
ql/FiniteDifferences/operatorfactory.hpp (1.4),
ql/FiniteDifferences/pdebsm.hpp (1.7),
ql/Instruments/convertiblebond.cpp (1.15),
ql/Instruments/oneassetoption.cpp (1.28),
ql/Pricers/mccliquetoption.cpp (1.43),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.46),
ql/Pricers/mceverest.cpp (1.52), ql/Pricers/mchimalaya.cpp (1.57),
ql/Pricers/mcmaxbasket.cpp (1.53), ql/Pricers/mcpagoda.cpp (1.56),
ql/Pricers/mcperformanceoption.cpp (1.38),
ql/PricingEngines/greeks.cpp (1.5), ql/PricingEngines/greeks.hpp
(1.5), ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp
(1.11), ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp
(1.16), ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.15),
ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.14),
ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.13),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.24),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.38),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.42),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.39),
ql/PricingEngines/Basket/stulzengine.cpp (1.23),
ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.11),
ql/PricingEngines/Cliquet/analyticperformanceengine.cpp (1.10),
ql/PricingEngines/Forward/forwardengine.hpp (1.27),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.18),
ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp (1.9),
ql/PricingEngines/Hybrid/discretizedconvertible.cpp (1.7),
ql/PricingEngines/Quanto/quantoengine.hpp (1.21),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.14),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp
(1.14), ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp
(1.24), ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp
(1.23), ql/PricingEngines/Vanilla/binomialengine.hpp (1.30),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.24),
ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.15),
ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.17),
ql/PricingEngines/Vanilla/integralengine.cpp (1.12),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.36),
ql/PricingEngines/Vanilla/juquadraticengine.cpp (1.10),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.44),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.44),
ql/Processes/blackscholesprocess.cpp (1.6),
ql/Processes/blackscholesprocess.hpp (1.6),
ql/Processes/merton76process.cpp (1.4),
ql/Processes/merton76process.hpp (1.6),
ql/VolatilityModels/.cvsignore (1.1), test-suite/americanoption.cpp
(1.40), test-suite/asianoptions.cpp (1.55),
test-suite/barrieroption.cpp (1.50), test-suite/basketoption.cpp
(1.51), test-suite/cliquetoption.cpp (1.30),
test-suite/convertiblebonds.cpp (1.4), test-suite/digitaloption.cpp
(1.57), test-suite/dividendoption.cpp (1.13),
test-suite/europeanoption.cpp (1.94), test-suite/forwardoption.cpp
(1.24), test-suite/operators.cpp (1.17),
test-suite/pathgenerator.cpp (1.13), test-suite/quantooption.cpp
(1.26):
Reorganized BS-like processes
2006-04-05 06:43 Joseph Wang
* ql/Makefile.am (1.85):
Add time series to Makefile.am
2006-04-05 05:52 Joseph Wang
* ql/: core.hpp (1.16), quantlib.hpp (1.151),
VolatilityModels/Makefile.am (1.2):
Add in time series and volatility models to the distribution.
2006-04-05 02:30 Joseph Wang
* ql/timeseries.hpp (1.3), ql/CashFlows/core.hpp (1.4),
ql/VolatilityModels/constantestimator.cpp (1.2),
test-suite/Makefile.am (1.68), test-suite/quantlibtestsuite.cpp
(1.113), test-suite/timeseries.cpp (1.1), test-suite/timeseries.hpp
(1.1), test-suite/volatilitymodels.cpp (1.1),
test-suite/volatilitymodels.hpp (1.1):
Add tests for volatility models and time series Redo time series to
add iterators Add timebasket to CashFlow/core.hpp
2006-03-30 09:22 Joseph Wang
* configure.ac (1.79), ql/Makefile.am (1.84), ql/makefile.mak
(1.75), ql/timeseries.hpp (1.2), ql/volatilitymodel.hpp (1.2),
ql/VolatilityModels/Makefile.am (1.1),
ql/VolatilityModels/constantestimator.cpp (1.1),
ql/VolatilityModels/constantestimator.hpp (1.2),
ql/VolatilityModels/makefile.mak (1.1):
Commit compilable version of volatility model files. Need more
work to integrate history with time series.
2006-03-28 13:02 Luigi Ballabio
* ql/date.cpp (1.51), ql/date.hpp (1.53),
ql/Utilities/dataparsers.cpp (1.4), ql/Utilities/dataparsers.hpp
(1.3), test-suite/dates.cpp (1.17):
Moved ISO date parsing to data-parser classes
2006-03-27 17:12 Luigi Ballabio
* ql/: timegrid.cpp (1.6), timegrid.hpp (1.11),
Calendars/Makefile.am (1.34), Calendars/all.hpp (1.16),
CashFlows/Makefile.am (1.20), CashFlows/all.hpp (1.4),
FiniteDifferences/Makefile.am (1.26), FiniteDifferences/all.hpp
(1.5), Instruments/bond.cpp (1.16), Instruments/bond.hpp (1.16),
Instruments/fixedcouponbond.cpp (1.14),
Instruments/fixedcouponbond.hpp (1.10),
Instruments/floatingratebond.cpp (1.8),
Instruments/floatingratebond.hpp (1.4), Instruments/swap.cpp
(1.45), Instruments/swap.hpp (1.37),
PricingEngines/Swaption/treeswaptionengine.hpp (1.9),
PricingEngines/Vanilla/fdeuropeanengine.cpp (1.12),
PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.13),
PricingEngines/Vanilla/fdstepconditionengine.cpp (1.12),
ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.47),
ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.22),
TermStructures/bondhelpers.cpp (1.3),
TermStructures/bondhelpers.hpp (1.3),
TermStructures/ratehelpers.cpp (1.62),
TermStructures/ratehelpers.hpp (1.52):
Removed deprecated features
2006-03-27 14:03 Luigi Ballabio
* Announce.txt (1.6), ChangeLog.txt (1.51), LICENSE.TXT (1.26),
News.txt (1.110), QuantLib.dev (1.21), QuantLib.dsp (1.271),
QuantLib.dsw (1.16), QuantLib.nsi (1.114), QuantLib.sln (1.13),
QuantLib.vcproj (1.62), QuantLib_vc8.sln (1.6), QuantLib_vc8.vcproj
(1.12), Readme.txt (1.28), configure.ac (1.77), makefile.mak
(1.64), quantlib-config.in (1.8), Docs/Makefile.am (1.78),
Docs/makefile.mak (1.41), Docs/quantlib.doxy (1.101),
Docs/quantlibheader.html (1.30), Docs/pages/examples.docs (1.10),
Docs/pages/faq.docs (1.23), Docs/pages/history.docs (1.27),
Docs/pages/install.docs (1.17), Docs/pages/license.docs (1.22),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.83),
Examples/BermudanSwaption/BermudanSwaption.dev (1.7),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.21),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.14),
Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj (1.4),
Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.11),
Examples/ConvertibleBonds/ConvertibleBonds.dev (1.2),
Examples/ConvertibleBonds/ConvertibleBonds.dsp (1.2),
Examples/ConvertibleBonds/ConvertibleBonds.vcproj (1.3),
Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj (1.4),
Examples/ConvertibleBonds/Makefile.am (1.4),
Examples/DiscreteHedging/DiscreteHedging.dev (1.7),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.23),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.14),
Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj (1.4),
Examples/EquityOption/EquityOption.dev (1.2),
Examples/EquityOption/EquityOption.dsp (1.2),
Examples/EquityOption/EquityOption.vcproj (1.2),
Examples/EquityOption/EquityOption_vc8.vcproj (1.3),
Examples/Swap/Swap.dev (1.7), Examples/Swap/Swap.dsp (1.22),
Examples/Swap/Swap.vcproj (1.14), Examples/Swap/Swap_vc8.vcproj
(1.4), Examples/Swap/swapvaluation.cpp (1.68),
dev_tools/check_copyrights.sh (1.2),
dev_tools/collect_copyrights.py (1.2), dev_tools/version_number.txt
(1.49), functions/ql/Functions/QuantLibFunctions.dev (1.11),
functions/ql/Functions/QuantLibFunctions.dsp (1.16),
functions/ql/Functions/QuantLibFunctions.vcproj (1.16),
functions/ql/Functions/QuantLibFunctions_vc8.vcproj (1.6),
man/BermudanSwaption.1 (1.3), man/ConvertibleBonds.1 (1.2),
man/DiscreteHedging.1 (1.4), man/EquityOption.1 (1.2),
man/Makefile.am (1.6), man/SwapValuation.1 (1.4),
man/quantlib-config.1 (1.2), man/quantlib-test-suite.1 (1.4),
ql/date.hpp (1.52), ql/money.hpp (1.12), ql/qldefines.hpp (1.101),
ql/Calendars/argentina.cpp (1.3), ql/Calendars/argentina.hpp (1.3),
ql/Calendars/iceland.cpp (1.3), ql/Calendars/iceland.hpp (1.3),
ql/Calendars/indonesia.hpp (1.3), ql/Calendars/mexico.cpp (1.3),
ql/Calendars/mexico.hpp (1.3), ql/Calendars/ukraine.cpp (1.3),
ql/Calendars/ukraine.hpp (1.3), ql/CashFlows/analysis.cpp (1.5),
ql/CashFlows/analysis.hpp (1.3), ql/Currencies/africa.hpp (1.6),
ql/Currencies/america.hpp (1.7), ql/Currencies/asia.hpp (1.8),
ql/Currencies/europe.hpp (1.9),
ql/Currencies/exchangeratemanager.cpp (1.11),
ql/Currencies/oceania.hpp (1.7),
ql/FiniteDifferences/bsmoperator.cpp (1.25),
ql/FiniteDifferences/bsmoperator.hpp (1.21),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.43),
ql/Indexes/audlibor.hpp (1.27), ql/Indexes/cadlibor.hpp (1.27),
ql/Indexes/cdor.hpp (1.5), ql/Indexes/chflibor.hpp (1.24),
ql/Indexes/dkklibor.hpp (1.4), ql/Indexes/euribor.hpp (1.28),
ql/Indexes/eurlibor.hpp (1.3), ql/Indexes/gbplibor.hpp (1.31),
ql/Indexes/jibar.hpp (1.4), ql/Indexes/jpylibor.hpp (1.25),
ql/Indexes/nzdlibor.hpp (1.4), ql/Indexes/tibor.hpp (1.5),
ql/Indexes/trlibor.hpp (1.5), ql/Indexes/usdlibor.hpp (1.31),
ql/Indexes/zibor.hpp (1.5), ql/Instruments/bond.cpp (1.15),
ql/Instruments/bond.hpp (1.15),
ql/Instruments/callabilityschedule.hpp (1.7),
ql/Instruments/convertiblebond.cpp (1.14),
ql/Instruments/convertiblebond.hpp (1.15),
ql/Instruments/fixedcouponbond.cpp (1.13),
ql/Instruments/floatingratebond.cpp (1.7),
ql/Instruments/zerocouponbond.cpp (1.6),
ql/Math/chisquaredistribution.cpp (1.16),
ql/Math/chisquaredistribution.hpp (1.14),
ql/Math/gammadistribution.cpp (1.16), ql/Math/gammadistribution.hpp
(1.13), ql/Math/incrementalstatistics.hpp (1.16),
ql/Math/rounding.hpp (1.13), ql/Math/simpsonintegral.hpp (1.12),
ql/Math/trapezoidintegral.hpp (1.14), ql/Patterns/observable.hpp
(1.26), ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.12),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.37),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.38),
ql/PricingEngines/Hybrid/discretizedconvertible.cpp (1.6),
ql/PricingEngines/Hybrid/discretizedconvertible.hpp (1.6),
ql/PricingEngines/Vanilla/fdamericanengine.hpp (1.10),
ql/PricingEngines/Vanilla/fdbermudanengine.hpp (1.13),
ql/PricingEngines/Vanilla/fdconditions.hpp (1.2),
ql/PricingEngines/Vanilla/fddividendamericanengine.hpp (1.12),
ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp (1.11),
ql/PricingEngines/Vanilla/fddividendshoutengine.hpp (1.13),
ql/PricingEngines/Vanilla/juquadraticengine.hpp (1.6),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.31),
ql/Processes/defaultable.hpp (1.4),
ql/Processes/lfmhullwhiteparam.cpp (1.2),
ql/Processes/lfmhullwhiteparam.hpp (1.2),
ql/Processes/lfmprocess.hpp (1.2),
ql/RandomNumbers/randomizedlds.hpp (1.11),
ql/RandomNumbers/randomsequencegenerator.hpp (1.15),
ql/ShortRateModels/LiborMarketModels/lmlinexpvolmodel.cpp (1.2),
ql/TermStructures/compoundforward.cpp (1.55),
ql/TermStructures/compoundforward.hpp (1.46),
ql/TermStructures/discountcurve.hpp (1.47),
ql/TermStructures/extendeddiscountcurve.hpp (1.27),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.37),
ql/TermStructures/zerospreadedtermstructure.hpp (1.38),
ql/Volatilities/blackvariancecurve.cpp (1.21),
ql/Volatilities/blackvariancecurve.hpp (1.40),
ql/Volatilities/capletvariancecurve.hpp (1.4),
ql/Volatilities/impliedvoltermstructure.hpp (1.20),
test-suite/compoundforward.cpp (1.39),
test-suite/convertiblebonds.cpp (1.3), test-suite/exchangerate.cpp
(1.6), test-suite/libormarketmodel.cpp (1.5),
test-suite/lowdiscrepancysequences.cpp (1.76),
test-suite/makefile.mak (1.60), test-suite/money.cpp (1.6),
test-suite/piecewiseyieldcurve.cpp (1.15),
test-suite/shortratemodels.cpp (1.15), test-suite/swap.cpp (1.46),
test-suite/testsuite.dev (1.8), test-suite/testsuite.dsp (1.59),
test-suite/testsuite.vcproj (1.42), test-suite/testsuite_vc8.vcproj
(1.13):
Merged 0.3.12 branch; increased version number
2006-03-27 07:07 Joseph Wang
* ql/: Makefile.am (1.83), timeseries.hpp (1.1),
volatilitymodel.hpp (1.1), VolatilityModels/constantestimator.hpp
(1.1):
Add template for time series and constant esimator volatility
models. Add fixes for other files.
2006-03-14 05:59 Joseph Wang
* test-suite/: dates.cpp (1.16), dates.hpp (1.10):
Add item for ISO date converter
2006-03-14 05:59 Joseph Wang
* ql/: date.cpp (1.50), date.hpp (1.51):
Add converter from iso format
2006-02-27 12:09 Luigi Ballabio
* man/ConvertibleBonds.1 (1.1):
file ConvertibleBonds.1 was initially added on branch
R000312f0-branch.
2006-02-27 12:09 Luigi Ballabio
* man/EquityOption.1 (1.1):
file EquityOption.1 was initially added on branch R000312f0-branch.
2006-02-21 15:09 Luigi Ballabio
* dev_tools/check_copyrights.sh (1.1):
file check_copyrights.sh was initially added on branch
R000312f0-branch.
2006-02-21 15:09 Luigi Ballabio
* dev_tools/collect_copyrights.py (1.1):
file collect_copyrights.py was initially added on branch
R000312f0-branch.
2006-02-14 18:15 Luigi Ballabio
* Examples/ConvertibleBonds/makefile.mak (1.1):
file makefile.mak was initially added on branch R000312f0-branch.
2006-02-10 16:55 Luigi Ballabio
* ql/Calendars/makefile.mak (1.36),
ql/FiniteDifferences/operatorfactory.hpp (1.3),
ql/FiniteDifferences/pde.hpp (1.11),
ql/Instruments/convertiblebond.cpp (1.13),
ql/Instruments/makefile.mak (1.40), ql/Math/makefile.mak (1.42),
ql/Optimization/levenbergmarquardt.cpp (1.5),
ql/Optimization/lmdif.cpp (1.4), ql/Optimization/makefile.mak
(1.23), ql/PricingEngines/makefile.mak (1.38),
ql/PricingEngines/Swaption/makefile.mak (1.14),
ql/Processes/makefile.mak (1.6), ql/ShortRateModels/makefile.mak
(1.20), ql/ShortRateModels/TwoFactorModels/makefile.mak (1.19),
ql/Utilities/makefile.mak (1.6), test-suite/makefile.mak (1.59),
ql/PricingEngines/Hybrid/makefile.mak (1.1),
ql/ShortRateModels/LiborMarketModels/makefile.mak (1.1):
Fixes (?) for Borland
2006-02-10 14:51 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj (1.3),
Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj (1.3),
Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj (1.3),
Examples/EquityOption/EquityOption_vc8.vcproj (1.2), QuantLib.dsp
(1.270), Examples/Swap/Swap_vc8.vcproj (1.3), QuantLib.vcproj
(1.61), QuantLib_vc8.vcproj (1.11),
functions/ql/Functions/QuantLibFunctions_vc8.vcproj (1.5),
ql/Instruments/convertiblebond.cpp (1.12),
ql/Optimization/levenbergmarquardt.cpp (1.4),
ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.cpp (1.2),
ql/config.msvc.hpp (1.73),
ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.hpp (1.2),
test-suite/libormarketmodel.cpp (1.4),
test-suite/libormarketmodelprocess.cpp (1.4),
test-suite/testsuite.dsp (1.57), test-suite/testsuite.vcproj
(1.40), test-suite/testsuite_vc8.vcproj (1.11):
Fixes for VC++
2006-02-07 17:19 Luigi Ballabio
* News.txt (1.108), ql/CashFlows/analysis.cpp (1.4),
ql/Instruments/swaption.cpp (1.53), ql/Instruments/swaption.hpp
(1.49), ql/PricingEngines/Swaption/blackswaptionengine.cpp (1.4),
ql/PricingEngines/Swaption/lfmswaptionengine.cpp (1.2),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.48):
Modified basis-point sensitivity calculation so that it returns the
cash variation for a basis-point change in rate
2006-02-07 12:50 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.82),
Examples/Swap/swapvaluation.cpp (1.67), ql/Instruments/swaption.cpp
(1.52), ql/Instruments/swaption.hpp (1.48),
ql/PricingEngines/Swaption/discretizedswaption.cpp (1.10),
ql/PricingEngines/Swaption/discretizedswaption.hpp (1.11),
ql/PricingEngines/Swaption/treeswaptionengine.cpp (1.9),
ql/PricingEngines/Swaption/treeswaptionengine.hpp (1.8),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.23),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.46),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.21),
ql/TermStructures/ratehelpers.cpp (1.61),
ql/TermStructures/ratehelpers.hpp (1.51),
test-suite/bermudanswaption.cpp (1.8), test-suite/capfloor.cpp
(1.51), test-suite/compoundforward.cpp (1.38),
test-suite/libormarketmodel.cpp (1.3),
test-suite/piecewiseflatforward.cpp (1.36),
test-suite/piecewiseyieldcurve.cpp (1.14),
test-suite/shortratemodels.cpp (1.14), test-suite/swap.cpp (1.45),
test-suite/swaption.cpp (1.44), test-suite/termstructures.cpp
(1.42):
Added floating-leg day counter to simple swap (renamed to
VanillaSwap in the meantime)
2006-02-03 17:12 Luigi Ballabio
* News.txt (1.107), Examples/BermudanSwaption/BermudanSwaption.cpp
(1.80), ql/Optimization/Makefile.am (1.11), ql/Optimization/all.hpp
(1.3), ql/Optimization/costfunction.hpp (1.22),
ql/Optimization/levenbergmarquardt.cpp (1.1),
ql/Optimization/levenbergmarquardt.hpp (1.1),
ql/Optimization/lmdif.cpp (1.1), ql/Optimization/lmdif.hpp (1.1),
ql/Optimization/problem.hpp (1.13), ql/ShortRateModels/model.cpp
(1.27):
Added Levenberg-Marquardt optimization method (thanks to Klaus
Spanderen)
2006-02-03 11:49 Luigi Ballabio
* test-suite/lowdiscrepancysequences.cpp (1.75):
Fix for 64-bit systems (thanks to Tamas Sashalmi)
2006-02-02 16:44 Luigi Ballabio
* Docs/pages/faq.docs (1.22), ql/Processes/lfmcovarparam.hpp (1.2):
FAQ for Solaris
2006-02-02 12:38 Luigi Ballabio
* ql/Math/generalstatistics.hpp (1.21):
Fix for Solaris
2006-02-02 09:37 Luigi Ballabio
* ql/: instrument.hpp (1.41), Instruments/barrieroption.cpp (1.37),
Instruments/barrieroption.hpp (1.33),
Instruments/forwardvanillaoption.cpp (1.34),
Instruments/forwardvanillaoption.hpp (1.34),
Instruments/multiassetoption.cpp (1.20),
Instruments/multiassetoption.hpp (1.16),
Instruments/oneassetoption.cpp (1.27),
Instruments/oneassetoption.hpp (1.20),
Instruments/oneassetstrikedoption.cpp (1.21),
Instruments/oneassetstrikedoption.hpp (1.19),
Instruments/quantovanillaoption.cpp (1.39),
Instruments/quantovanillaoption.hpp (1.36):
Refactored engine-results extraction into its own method
2006-02-01 13:43 Luigi Ballabio
* LICENSE.TXT (1.25), News.txt (1.106), configure.ac (1.76),
Docs/pages/license.docs (1.21),
ql/PricingEngines/Swaption/Makefile.am (1.8),
ql/PricingEngines/Swaption/all.hpp (1.6),
ql/PricingEngines/Swaption/lfmswaptionengine.cpp (1.1),
ql/PricingEngines/Swaption/lfmswaptionengine.hpp (1.1),
ql/Processes/Makefile.am (1.8), ql/Processes/all.hpp (1.5),
ql/Processes/lfmcovarparam.cpp (1.1),
ql/Processes/lfmcovarparam.hpp (1.1),
ql/Processes/lfmhullwhiteparam.cpp (1.1),
ql/Processes/lfmhullwhiteparam.hpp (1.1),
ql/Processes/lfmprocess.cpp (1.1), ql/Processes/lfmprocess.hpp
(1.1), ql/ShortRateModels/Makefile.am (1.8),
ql/ShortRateModels/all.hpp (1.4),
ql/ShortRateModels/calibrationhelper.cpp (1.12),
ql/ShortRateModels/calibrationhelper.hpp (1.27),
ql/ShortRateModels/model.hpp (1.36),
ql/ShortRateModels/CalibrationHelpers/Makefile.am (1.7),
ql/ShortRateModels/CalibrationHelpers/all.hpp (1.1),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.47),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.22),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.45),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.20),
ql/ShortRateModels/LiborMarketModels/.cvsignore (1.1),
ql/ShortRateModels/LiborMarketModels/Makefile.am (1.1),
ql/ShortRateModels/LiborMarketModels/all.hpp (1.1),
ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.cpp (1.1),
ql/ShortRateModels/LiborMarketModels/lfmcovarproxy.hpp (1.1),
ql/ShortRateModels/LiborMarketModels/liborforwardmodel.cpp (1.1),
ql/ShortRateModels/LiborMarketModels/liborforwardmodel.hpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmcorrmodel.cpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmcorrmodel.hpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmexpcorrmodel.cpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmexpcorrmodel.hpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmfixedvolmodel.cpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmfixedvolmodel.hpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmlinexpvolmodel.cpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmlinexpvolmodel.hpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmvolmodel.cpp (1.1),
ql/ShortRateModels/LiborMarketModels/lmvolmodel.hpp (1.1),
ql/ShortRateModels/OneFactorModels/Makefile.am (1.6),
ql/ShortRateModels/OneFactorModels/all.hpp (1.1),
ql/ShortRateModels/TwoFactorModels/Makefile.am (1.8),
ql/ShortRateModels/TwoFactorModels/all.hpp (1.1),
test-suite/Makefile.am (1.67), test-suite/libormarketmodel.cpp
(1.1), test-suite/libormarketmodel.hpp (1.1),
test-suite/libormarketmodelprocess.cpp (1.3),
test-suite/libormarketmodelprocess.hpp (1.2),
test-suite/quantlibtestsuite.cpp (1.112):
Added Libor market model (thanks to Klaus Spanderen)
2006-02-01 07:20 Joseph Wang
* ql/Instruments/dividendschedule.hpp (1.12):
Remove unneeded include
2006-01-30 17:53 Luigi Ballabio
* Contributors.txt (1.35), LICENSE.TXT (1.24), News.txt (1.105),
Docs/pages/authors.docs (1.43), Docs/pages/license.docs (1.20),
Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.9),
ql/Instruments/callabilityschedule.hpp (1.6),
ql/Instruments/convertiblebond.cpp (1.11),
ql/Instruments/convertiblebond.hpp (1.14),
ql/Instruments/dividendschedule.hpp (1.11),
ql/Lattices/tflattice.hpp (1.6),
ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp (1.8),
ql/PricingEngines/Hybrid/discretizedconvertible.cpp (1.5),
ql/PricingEngines/Hybrid/discretizedconvertible.hpp (1.5):
Attributions
2006-01-30 15:50 Luigi Ballabio
* ql/Instruments/convertiblebond.cpp (1.10),
ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp (1.6),
test-suite/Makefile.am (1.66), test-suite/convertiblebonds.cpp
(1.1), test-suite/convertiblebonds.hpp (1.1),
test-suite/makefile.mak (1.58), test-suite/quantlibtestsuite.cpp
(1.111), test-suite/testsuite.vcproj (1.39):
More fixes; tests added
2006-01-30 14:03 Luigi Ballabio
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.8),
ql/Instruments/convertiblebond.cpp (1.9),
ql/Instruments/convertiblebond.hpp (1.12):
More fixes for convertibles
2006-01-30 12:37 Luigi Ballabio
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.7),
ql/Instruments/convertiblebond.cpp (1.8),
ql/Instruments/convertiblebond.hpp (1.11):
Separate classes for zero-coupon, fixed-coupon, and floating-rate
convertibles
2006-01-30 12:02 Luigi Ballabio
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.6),
ql/Instruments/convertiblebond.cpp (1.7),
ql/Instruments/convertiblebond.hpp (1.10),
ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp (1.5):
Removed a few unused arguments
2006-01-28 14:39 Luigi Ballabio
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.5),
ql/Instruments/convertiblebond.cpp (1.6), ql/Lattices/tflattice.hpp
(1.5), ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp
(1.4), test-suite/quantlibtestsuite.cpp (1.110):
Extended convertible-bond example, misc. fixes
2006-01-28 14:39 Luigi Ballabio
* ql/Math/sampledcurve.cpp (1.4), ql/Math/sampledcurve.hpp (1.13),
test-suite/sampledcurve.cpp (1.5):
Fix for regriding
2006-01-26 14:23 Luigi Ballabio
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.4),
ql/discretizedasset.hpp (1.24), ql/Instruments/convertiblebond.cpp
(1.5), ql/Instruments/convertiblebond.hpp (1.9),
ql/Lattices/binomialtree.cpp (1.33), ql/Lattices/binomialtree.hpp
(1.26), ql/Lattices/tflattice.hpp (1.4),
ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp (1.3),
ql/PricingEngines/Hybrid/discretizedconvertible.cpp (1.4),
ql/PricingEngines/Hybrid/discretizedconvertible.hpp (1.4):
More work on convertibles. Still to do: - work out how to manage
discrete dividends - write tests
2006-01-24 07:46 Joseph Wang
* ql/Lattices/tflattice.hpp (1.3):
Change to allow it to compile.
2006-01-23 18:12 Luigi Ballabio
* Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.3),
ql/Instruments/convertiblebond.cpp (1.3),
ql/Instruments/convertiblebond.hpp (1.8), ql/Lattices/tflattice.hpp
(1.2), ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp
(1.2), ql/PricingEngines/Hybrid/discretizedconvertible.cpp (1.2),
ql/PricingEngines/Hybrid/discretizedconvertible.hpp (1.3):
Working on convertible bonds; got the instrument to actually call
the engine. Still some work to do in order to have it run
correctly.
2006-01-23 06:31 Joseph Wang
* ql/Instruments/convertiblebond.cpp (1.1):
add one more file from tboafo
2006-01-23 05:07 Joseph Wang
* configure.ac (1.75), Examples/Makefile.am (1.27),
Examples/ConvertibleBonds/ConvertibleBonds.cpp (1.1),
Examples/ConvertibleBonds/ConvertibleBonds.vcproj (1.1),
Examples/ConvertibleBonds/Makefile.am (1.1), ql/schedule.hpp (1.7),
ql/Instruments/Makefile.am (1.34), ql/Instruments/all.hpp (1.14),
ql/Instruments/convertiblebond.hpp (1.6), ql/Lattices/Makefile.am
(1.14), ql/Lattices/all.hpp (1.3), ql/Lattices/binomialtree.cpp
(1.32), ql/Lattices/binomialtree.hpp (1.25),
ql/Lattices/tflattice.hpp (1.1), ql/PricingEngines/Makefile.am
(1.44), ql/PricingEngines/all.hpp (1.11),
ql/PricingEngines/Hybrid/Makefile.am (1.1),
ql/PricingEngines/Hybrid/all.hpp (1.1),
ql/PricingEngines/Hybrid/binomialconvertibleengine.hpp (1.1),
ql/PricingEngines/Hybrid/discretizedconvertible.cpp (1.1),
ql/PricingEngines/Hybrid/discretizedconvertible.hpp (1.1):
Add tboafo's convertible bond changes.
2006-01-13 15:40 Joseph Wang
* ql/: Instruments/dividendschedule.hpp (1.10),
Instruments/dividendvanillaoption.hpp (1.11),
PricingEngines/Vanilla/fddividendengine.cpp (1.12):
Restructure dividend schedule to remove an unnecessary field. This
will make it easier to integrate Theo's convertible bond code.
2006-01-11 04:37 Joseph Wang
* ql/Instruments/callabilityschedule.hpp (1.4):
const-ize to implement pure virtual in event
2006-01-09 13:10 Marco Marchioro
* QuantLib.dsp (1.269), QuantLib.dsw (1.14),
ql/Instruments/dividendschedule.hpp (1.8),
test-suite/interpolations.cpp (1.32), test-suite/testsuite.dsp
(1.56):
Fixes for VC6
2006-01-03 16:04 Luigi Ballabio
* ql/PricingEngines/: blackformula.cpp (1.12), blackformula.hpp
(1.20):
Switch-on-payoff in Black formula is now hidden behind a visitor
2006-01-03 11:55 Luigi Ballabio
* ql/: cashflow.hpp (1.23), payoff.hpp (1.14),
Instruments/payoffs.hpp (1.17):
Added visitability to payoffs
2006-01-03 10:51 Luigi Ballabio
* Docs/quantlib.doxy (1.100), Docs/pages/examples.docs (1.9),
ql/Calendars/brazil.hpp (1.3):
Doc fixes
2005-12-27 02:43 Joseph Wang
* ql/PricingEngines/Vanilla/: fddividendamericanengine.hpp (1.11),
fddividendengine.cpp (1.11), fddividendengine.hpp (1.16),
fddividendeuropeanengine.hpp (1.10), fddividendshoutengine.hpp
(1.12):
Add new dividend engines. Make shift/scale engine work with fixed
and fractional dividends.
2005-12-26 08:42 Joseph Wang
* ql/PricingEngines/Vanilla/: fdamericanengine.hpp (1.9),
fddividendamericanengine.hpp (1.10), fddividendengine.hpp (1.15),
fddividendeuropeanengine.hpp (1.9), fddividendshoutengine.hpp
(1.11), fdshoutengine.hpp (1.10), fdvanillaengine.hpp (1.16):
Use template to remove a lot of redundant code in the FD engines.
2005-12-24 05:22 Joseph Wang
* ql/CashFlows/: cashflowvectors.cpp (1.45), dividend.hpp (1.2):
Create two new subclasses. Fixed and fractional dividends.
2005-12-23 05:41 Joseph Wang
* ql/PricingEngines/Vanilla/: Makefile.am (1.25),
fdamericanengine.hpp (1.8), fdconditions.hpp (1.1),
fddividendamericanengine.hpp (1.9), fddividendshoutengine.hpp
(1.10), fdshoutengine.hpp (1.9):
Refactor some common code into a template.
2005-12-22 08:41 Joseph Wang
* ql/PricingEngines/Vanilla/: fddividendengine.cpp (1.10),
fddividendengine.hpp (1.14), fdmultiperiodengine.cpp (1.12),
fdmultiperiodengine.hpp (1.12), fdstepconditionengine.cpp (1.11),
fdstepconditionengine.hpp (1.8), fdvanillaengine.cpp (1.14),
fdvanillaengine.hpp (1.15):
Change some of the arguments to more generic types to avoid
exposing implementation details in the header.
2005-12-21 13:13 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.59),
ql/Pricers/mcmaxbasket.cpp (1.52),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.17),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.36),
ql/PricingEngines/Basket/mcbasketengine.cpp (1.12),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.37),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.17),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.43),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.43),
ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp (1.8):
Removed now unnecessary parameters from path-pricer constructors
2005-12-21 11:21 Luigi Ballabio
* ql/PricingEngines/Vanilla/fddividendengine.hpp (1.13):
Replaced #define with typedef
2005-12-21 08:18 Joseph Wang
* ql/PricingEngines/Vanilla/: fddividendamericanengine.hpp (1.8),
fddividendeuropeanengine.hpp (1.8), fddividendshoutengine.hpp
(1.9):
change calling method in fd dividend methods
2005-12-21 07:58 Joseph Wang
* ql/PricingEngines/Vanilla/: fddividendengine.cpp (1.9),
fddividendengine.hpp (1.12):
Refactoring to allow for several types of dividend engines.
2005-12-21 07:06 Joseph Wang
* ql/Instruments/dividendschedule.hpp (1.7):
Set event list to const
2005-12-20 09:35 Joseph Wang
* test-suite/dividendoption.cpp (1.12),
test-suite/dividendoption.hpp (1.4),
ql/PricingEngines/Vanilla/fddividendengine.cpp (1.8),
ql/PricingEngines/Vanilla/fddividendengine.hpp (1.11):
Fix finite difference dividend engine. Had to do some calculations
from scratch, but finally concluded that the correct way to do the
calculation was to scale the grid by the discounted dividend value
rather than to shift it by the undiscounted dividend.
2005-12-20 09:33 Joseph Wang
* ql/Math/sampledcurve.hpp (1.12):
Add in new method to scale the grid. This is used in rewrite of
fddividendengine.cpp
2005-12-20 09:32 Joseph Wang
* ql/FiniteDifferences/pdebsm.hpp (1.6):
Change interest rate counter to be consistent with definition in
other parts of quantlib.
2005-12-19 14:29 Luigi Ballabio
* ql/Calendars/argentina.cpp (1.2), ql/Calendars/argentina.hpp
(1.2), ql/Calendars/brazil.hpp (1.2), ql/Calendars/germany.hpp
(1.6), ql/Calendars/hongkong.cpp (1.4), ql/Calendars/hongkong.hpp
(1.4), ql/Calendars/iceland.cpp (1.2), ql/Calendars/iceland.hpp
(1.2), ql/Calendars/indonesia.cpp (1.2), ql/Calendars/indonesia.hpp
(1.2), ql/Calendars/mexico.cpp (1.2), ql/Calendars/mexico.hpp
(1.2), ql/Calendars/singapore.cpp (1.3), ql/Calendars/singapore.hpp
(1.3), ql/Calendars/taiwan.cpp (1.6), ql/Calendars/taiwan.hpp
(1.5), ql/Calendars/ukraine.cpp (1.2), ql/Calendars/ukraine.hpp
(1.2), ql/Calendars/unitedstates.cpp (1.7),
ql/Calendars/unitedstates.hpp (1.8), ql/Indexes/audlibor.hpp
(1.26), ql/Indexes/cadlibor.hpp (1.26), ql/Indexes/cdor.hpp (1.4),
ql/Indexes/chflibor.hpp (1.23), ql/Indexes/dkklibor.hpp (1.3),
ql/Indexes/jibar.hpp (1.3), ql/Indexes/jpylibor.hpp (1.24),
ql/Indexes/nzdlibor.hpp (1.3), ql/Indexes/tibor.hpp (1.4),
ql/Indexes/trlibor.hpp (1.4), ql/Indexes/zibor.hpp (1.4),
test-suite/calendars.cpp (1.26), test-suite/compoundforward.cpp
(1.37):
Moved more calendars from city to country and market
2005-12-16 14:32 Luigi Ballabio
* ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.16),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.35),
test-suite/barrieroption.cpp (1.49):
Fixed MC barrier engine (thanks to Toyin Akin)
2005-12-16 05:12 Joseph Wang
* test-suite/dividendoption.cpp (1.11),
ql/PricingEngines/Vanilla/fddividendengine.cpp (1.7),
ql/PricingEngines/Vanilla/fddividendengine.hpp (1.10),
ql/PricingEngines/Vanilla/fdeuropeanengine.cpp (1.11),
ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.11),
ql/PricingEngines/Vanilla/fdstepconditionengine.cpp (1.10),
ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.13),
ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.14):
Some refactoring in order to reduce the test failure with the
dividend engine. With this change the Greeks are reasonable and
there are no obvious problems with the price curve, but the value
is still different from the one calculated by the analytic engine.
The greek test has been activated, but the values test is still
deactivated.
2005-12-16 05:09 Joseph Wang
* ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp
(1.13):
use time method of process.
2005-12-15 17:09 Luigi Ballabio
* News.txt (1.104), ql/calendar.cpp (1.33), ql/calendar.hpp (1.47),
ql/Calendars/Makefile.am (1.33), ql/Calendars/all.hpp (1.15),
ql/Calendars/argentina.cpp (1.1), ql/Calendars/argentina.hpp (1.1),
ql/Calendars/iceland.cpp (1.1), ql/Calendars/iceland.hpp (1.1),
ql/Calendars/indonesia.cpp (1.1), ql/Calendars/indonesia.hpp (1.1),
ql/Calendars/mexico.cpp (1.1), ql/Calendars/mexico.hpp (1.1),
ql/Calendars/ukraine.cpp (1.1), ql/Calendars/ukraine.hpp (1.1):
Added Argentinian, Icelandic, Indonesian, Mexican, and Ukrainian
calendars
2005-12-14 16:49 Luigi Ballabio
* News.txt (1.103), ql/Instruments/bond.cpp (1.14),
ql/Instruments/bond.hpp (1.14), ql/Instruments/fixedcouponbond.cpp
(1.12), ql/Instruments/fixedcouponbond.hpp (1.9),
ql/Instruments/floatingratebond.cpp (1.6),
ql/Instruments/floatingratebond.hpp (1.3),
ql/Instruments/zerocouponbond.cpp (1.5),
ql/Instruments/zerocouponbond.hpp (1.3),
ql/TermStructures/bondhelpers.cpp (1.2),
ql/TermStructures/bondhelpers.hpp (1.2), test-suite/bonds.cpp
(1.22), test-suite/piecewiseyieldcurve.cpp (1.13):
Separated accrual and payment conventions for bonds
2005-12-14 12:58 Luigi Ballabio
* ql/PricingEngines/Vanilla/fddividendamericanengine.hpp (1.7),
ql/PricingEngines/Vanilla/fddividendengine.cpp (1.6),
ql/PricingEngines/Vanilla/fddividendengine.hpp (1.9),
ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp (1.7),
ql/PricingEngines/Vanilla/fddividendshoutengine.hpp (1.8),
ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp (1.11),
ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.12),
ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.13),
test-suite/dividendoption.cpp (1.10), test-suite/dividendoption.hpp
(1.3):
Fixed a bug with FD dividend options; there are still problems
though
2005-12-12 14:44 Luigi Ballabio
* Contributors.txt (1.34), LICENSE.TXT (1.23), News.txt (1.102),
Docs/pages/authors.docs (1.42), Docs/pages/license.docs (1.19),
ql/Calendars/Makefile.am (1.32), ql/Calendars/all.hpp (1.14),
ql/Calendars/brazil.cpp (1.1), ql/Calendars/brazil.hpp (1.1),
test-suite/calendars.cpp (1.25), test-suite/calendars.hpp (1.14),
test-suite/dividendoption.cpp (1.9):
Added Brazil calendar (thanks to Piter Dias)
2005-12-12 11:48 Luigi Ballabio
* ql/: event.hpp (1.5), Instruments/bond.cpp (1.13),
Instruments/bond.hpp (1.13), Instruments/swap.cpp (1.44):
Removed unnecessary DateEvent class
2005-12-11 05:29 Joseph Wang
* ql/: event.hpp (1.4), CashFlows/analysis.cpp (1.3),
Instruments/bond.cpp (1.12), Instruments/bond.hpp (1.12),
Instruments/swap.cpp (1.43):
Refactored cashflows so that large numbers of QL_TODAYS_PAYMENT
defines are replaced by a single method and a single define.
2005-12-10 11:15 Joseph Wang
* ql/event.hpp (1.3):
improved SimpleEvent by making it DateEvent and a subclass of Date
to inherit the Date functions.
2005-12-09 16:04 Luigi Ballabio
* ql/Instruments/fixedcouponbond.cpp (1.11),
ql/Instruments/floatingratebond.cpp (1.5),
ql/Instruments/zerocouponbond.cpp (1.4), test-suite/bonds.cpp
(1.21):
Fix for bond redemption on holiday
2005-12-09 14:15 Luigi Ballabio
* ql/Instruments/swap.cpp (1.42):
Correct management of errorEstimate_
2005-12-09 13:06 Luigi Ballabio
* ql/: CashFlows/analysis.cpp (1.2), CashFlows/analysis.hpp (1.2),
Instruments/swap.cpp (1.41), Instruments/swap.hpp (1.36):
BPS calculation moved together with the other cash-flow analyses
2005-12-06 12:13 Ferdinando Ametrano
* QuantLib_vc8.sln (1.4):
VC8 catching up
2005-12-06 12:07 Ferdinando Ametrano
* test-suite/bonds.cpp (1.20):
ql/Instruments/convertiblebond.hpp does NOT compile with VC8
Boost1.33 and it is not needed anyway
2005-12-06 10:36 Luigi Ballabio
* News.txt (1.101), configure.ac (1.73), Examples/Makefile.am
(1.26), Examples/EquityOption/.cvsignore (1.1),
Examples/EquityOption/EquityOption.cpp (1.1),
Examples/EquityOption/EquityOption.dev (1.1),
Examples/EquityOption/EquityOption.dsp (1.1),
Examples/EquityOption/EquityOption.vcproj (1.1),
Examples/EquityOption/EquityOption_vc8.vcproj (1.1),
Examples/EquityOption/Makefile.am (1.1),
Examples/EquityOption/ReadMe.txt (1.1),
Examples/EquityOption/makefile.mak (1.1):
Merged American and European option examples; added Bermudan option
2005-12-06 10:19 Luigi Ballabio
* ql/PricingEngines/Vanilla/: fdbermudanengine.hpp (1.12),
fddividendengine.hpp (1.8), fdmultiperiodengine.cpp (1.10),
fdmultiperiodengine.hpp (1.10):
Fixes for Bermudan options
2005-11-30 19:21 Ferdinando Ametrano
* QuantLib_vc8.vcproj (1.10), ql/Instruments/convertiblebond.hpp
(1.5), test-suite/testsuite_vc8.vcproj (1.10):
VC8 catching up
2005-11-30 18:46 Ferdinando Ametrano
* ql/grid.hpp (1.28):
VC8 compile error (typo) fixed
2005-11-30 12:11 Luigi Ballabio
* Docs/quantlib.css (1.13), Docs/quantlibfooter.html (1.15),
Docs/quantlibfooteronline.html (1.8), Docs/quantlibheader.html
(1.29), ql/FiniteDifferences/pdebsm.hpp (1.5):
Using CSS for layout in HTML docs
2005-11-29 09:07 Luigi Ballabio
* News.txt (1.100), ql/PricingEngines/Vanilla/binomialengine.hpp
(1.28):
Added pricing of Bermudan options on binomial trees (thanks to
Enrico Michelotti)
2005-11-22 07:33 Joseph Wang
* ql/PricingEngines/Vanilla/integralengine.hpp (1.6),
test-suite/europeanoption.cpp (1.93), test-suite/europeanoption.hpp
(1.22):
Generalized integral engine to striked options. Added test for
integral engine.
2005-11-21 17:26 Luigi Ballabio
* ql/Calendars/: Makefile.am (1.31), taiwan.cpp (1.5), taiwan.hpp
(1.4):
Merged redundant Taipei calendar into Taiwan
2005-11-21 17:24 Luigi Ballabio
* ql/PricingEngines/Vanilla/fdbermudanengine.hpp (1.11):
Fix for compilation of examples
2005-11-20 23:21 Joseph Wang
* ql/Instruments/callabilityschedule.hpp (1.3),
test-suite/bonds.cpp (1.19):
Include convertible bond into bond unit test Redo callability
schedule so that it uses event structure
2005-11-20 20:57 Joseph Wang
* ql/CashFlows/dividend.hpp (1.1):
Add dividend
2005-11-20 17:47 Joseph Wang
* ql/: event.hpp (1.2), Instruments/dividendschedule.hpp (1.6),
PricingEngines/Vanilla/fddividendamericanengine.hpp (1.6),
PricingEngines/Vanilla/fddividendengine.hpp (1.7),
PricingEngines/Vanilla/fddividendeuropeanengine.hpp (1.6),
PricingEngines/Vanilla/fddividendshoutengine.hpp (1.7),
PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.9),
PricingEngines/Vanilla/fdmultiperiodengine.hpp (1.9):
Changed the finite difference methods so that they take an array of
events rather than a dividend schedule object. This decouples the
finite difference from the details of the instrument
implementation. The next step is to create bermudan and shout
instruments.
2005-11-20 08:12 Joseph Wang
* ql/: CashFlows/cashflowvectors.cpp (1.44),
CashFlows/cashflowvectors.hpp (1.33),
Instruments/dividendschedule.hpp (1.5),
Instruments/dividendvanillaoption.cpp (1.11),
Instruments/dividendvanillaoption.hpp (1.10),
PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.12),
PricingEngines/Vanilla/fddividendengine.hpp (1.6),
PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.8),
PricingEngines/Vanilla/fdmultiperiodengine.hpp (1.8):
Implement dividends as cash flows.
2005-11-19 05:39 Joseph Wang
* ql/: Makefile.am (1.82), cashflow.hpp (1.22), event.hpp (1.1):
Add event parent of cashflow
2005-11-18 15:36 Luigi Ballabio
* ql/: FiniteDifferences/pde.hpp (1.10),
FiniteDifferences/pdebsm.hpp (1.4),
FiniteDifferences/pdeshortrate.hpp (1.4),
FiniteDifferences/zerocondition.hpp (1.2),
PricingEngines/Vanilla/mceuropeanhestonengine.hpp (1.7):
Checked headers for self-consistency
2005-11-16 12:39 Luigi Ballabio
* ql/Math/interpolation.hpp (1.38), ql/Math/interpolation2D.hpp
(1.28), test-suite/interpolations.cpp (1.31),
test-suite/interpolations.hpp (1.11):
Enabled interpolations to extrapolate by default
2005-11-16 06:22 Joseph Wang
* ql/Math/sampledcurve.hpp (1.10):
replace with iterators
2005-11-16 04:29 Joseph Wang
* ql/FiniteDifferences/Makefile.am (1.25),
ql/FiniteDifferences/zerocondition.hpp (1.1), ql/Math/array.hpp
(1.24), ql/Math/sampledcurve.cpp (1.3), ql/Math/sampledcurve.hpp
(1.9), ql/PricingEngines/Vanilla/fddividendengine.cpp (1.5),
ql/PricingEngines/Vanilla/fdeuropeanengine.cpp (1.10),
ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.7),
ql/PricingEngines/Vanilla/fdstepconditionengine.cpp (1.9),
ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.11),
ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.12),
test-suite/array.cpp (1.2), test-suite/dividendoption.cpp (1.8),
test-suite/sampledcurve.cpp (1.4):
Combined initializeGrid into initializeInitialValue Major rework of
dividend engine with new unit test. Previous engine was busted.
Added support functions to support major rework of dividend engine.
2005-11-15 02:57 Joseph Wang
* ql/FiniteDifferences/pde.hpp (1.9):
Make doxygen documentation match class
2005-11-14 17:10 Luigi Ballabio
* ql/DayCounters/actualactual.cpp (1.36):
Allowed negative year fractions in actual/actual day counters
2005-11-14 15:16 Luigi Ballabio
* News.txt (1.99), ql/ShortRateModels/model.cpp (1.26),
ql/ShortRateModels/model.hpp (1.35),
ql/ShortRateModels/onefactormodel.hpp (1.25),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.28),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.33):
Added weight to short-rate model calibration and generic
discount-bond method to affine models (thanks to Enrico Michelotti)
2005-11-14 11:47 Luigi Ballabio
* News.txt (1.98), ql/MonteCarlo/mctraits.hpp (1.22),
ql/MonteCarlo/pathgenerator.hpp (1.75),
ql/PricingEngines/mcsimulation.hpp (1.16),
ql/PricingEngines/Vanilla/Makefile.am (1.24),
ql/PricingEngines/Vanilla/all.hpp (1.12),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.42),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.42),
ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp (1.6),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.30):
Generalized McVanillaEngine to n-dimensional processes
2005-11-13 01:30 Joseph Wang
* ql/grid.hpp (1.27):
forward declare BoundedLogGrid
2005-11-12 06:55 Joseph Wang
* ql/FiniteDifferences/: americancondition.hpp (1.30),
fdtypedefs.hpp (1.14), shoutcondition.hpp (1.28), stepcondition.hpp
(1.20):
major refactor of step condition classes to use dynamic
polymorphism for internal representation of intrinsic curve.
2005-11-10 17:17 Luigi Ballabio
* ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.23):
Added check for values invalidating the Bjerksund-Stensland
approximation
2005-11-07 16:55 Luigi Ballabio
* test-suite/americanoption.cpp (1.39):
Lowered tolerance after Barone-Adesi-Whaley bug fix (but not as
much as I would have liked)
2005-11-07 11:38 Luigi Ballabio
* ql/FiniteDifferences/pde.hpp (1.8):
Fix for gcc 4.0.2
2005-11-07 11:36 Joseph Wang
* test-suite/shortratemodels.cpp (1.11):
Adjust current day so that test will work on weekends.
2005-11-06 00:06 Joseph Wang
* ql/: quote.hpp (1.8), FiniteDifferences/pde.hpp (1.7):
Templatize constructor Fix compile error in gcc 4.0.2
2005-11-03 16:58 Joseph Wang
* ql/FiniteDifferences/: bsmoperator.cpp (1.24), pde.hpp (1.6):
Modify constant coefficent pde to use static binding.
2005-11-03 11:53 Luigi Ballabio
* ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.22):
Bug fix (thanks to feynman44)
2005-11-02 14:28 Luigi Ballabio
* ql/Currencies/africa.hpp (1.5), ql/Currencies/america.hpp (1.6),
ql/Currencies/asia.hpp (1.7), ql/Currencies/europe.hpp (1.7),
ql/Currencies/exchangeratemanager.cpp (1.10),
ql/Currencies/oceania.hpp (1.6), ql/Indexes/audlibor.hpp (1.25),
ql/Indexes/cadlibor.hpp (1.25), ql/Indexes/cdor.hpp (1.3),
ql/Indexes/chflibor.hpp (1.22), ql/Indexes/dkklibor.hpp (1.2),
ql/Indexes/euribor.hpp (1.27), ql/Indexes/eurlibor.hpp (1.2),
ql/Indexes/gbplibor.hpp (1.30), ql/Indexes/jibar.hpp (1.2),
ql/Indexes/jpylibor.hpp (1.23), ql/Indexes/nzdlibor.hpp (1.2),
ql/Indexes/tibor.hpp (1.3), ql/Indexes/trlibor.hpp (1.3),
ql/Indexes/usdlibor.hpp (1.30), ql/Indexes/zibor.hpp (1.3),
test-suite/exchangerate.cpp (1.5), test-suite/money.cpp (1.5),
test-suite/swap.cpp (1.44):
Shortened currency names
2005-11-02 09:55 Luigi Ballabio
* ql/FiniteDifferences/pde.hpp (1.5),
ql/FiniteDifferences/pdebsm.hpp (1.3),
ql/FiniteDifferences/pdeshortrate.hpp (1.3),
ql/Math/transformedgrid.hpp (1.3), test-suite/transformedgrid.cpp
(1.2), test-suite/transformedgrid.hpp (1.2):
Given Joseph his copyrights
2005-11-02 08:38 Joseph Wang
* ql/FiniteDifferences/: Makefile.am (1.24), bsmoperator.cpp
(1.23), bsmtermoperator.hpp (1.7), onefactoroperator.hpp (1.24),
pde.hpp (1.4), pdebsm.hpp (1.2), pdeshortrate.hpp (1.2):
Move grid information into PDE traits
2005-11-02 06:33 Joseph Wang
* ql/: FiniteDifferences/Makefile.am (1.23),
FiniteDifferences/bsmoperator.cpp (1.22),
FiniteDifferences/bsmtermoperator.hpp (1.6),
FiniteDifferences/onefactoroperator.hpp (1.23),
FiniteDifferences/pde.hpp (1.3), FiniteDifferences/pdebsm.hpp
(1.1), FiniteDifferences/pdeshortrate.hpp (1.1),
Math/transformedgrid.hpp (1.2):
More refactoring. Unify bsmoperator and onefactoroperator code.
2005-11-02 02:04 Joseph Wang
* ql/FiniteDifferences/: bsmoperator.cpp (1.21), bsmoperator.hpp
(1.20), operatorfactory.hpp (1.2), pde.hpp (1.2):
Added onefactoroperator to operator factory. More refactoring of
bsm operators.
2005-11-01 08:09 Joseph Wang
* ql/FiniteDifferences/: bsmtermoperator.hpp (1.5), pde.hpp (1.1):
More BSM refactoring. Where I'm going with this is to turn
bsmtermoperator and bsmoperator into "generic" parabolic PDE
operators.
2005-11-01 05:56 Joseph Wang
* ql/grid.hpp (1.26), ql/FiniteDifferences/bsmoperator.cpp (1.20),
ql/FiniteDifferences/bsmtermoperator.hpp (1.4),
ql/Math/sampledcurve.cpp (1.2), ql/Math/sampledcurve.hpp (1.8),
ql/Math/transformedgrid.hpp (1.1),
ql/PricingEngines/Vanilla/fddividendengine.cpp (1.4),
ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.10),
test-suite/Makefile.am (1.65), test-suite/quantlibtestsuite.cpp
(1.109), test-suite/sampledcurve.cpp (1.3),
test-suite/transformedgrid.cpp (1.1),
test-suite/transformedgrid.hpp (1.1):
Refactored so that operators use transformed grid Refactored to
move things from sampled curve to grid.hpp
2005-10-31 16:35 Luigi Ballabio
* News.txt (1.97), ql/Instruments/swap.cpp (1.40),
ql/PricingEngines/Swaption/treeswaptionengine.cpp (1.8),
ql/PricingEngines/Swaption/treeswaptionengine.hpp (1.6),
test-suite/shortratemodels.cpp (1.10),
test-suite/shortratemodels.hpp (1.3):
SimpleSwap can now be set an engine. If none was set, the old
cash-flow-based calculation is used.
2005-10-27 03:33 Joseph Wang
* ql/: FiniteDifferences/operatorfactory.hpp (1.1),
PricingEngines/Vanilla/fdvanillaengine.cpp (1.9),
PricingEngines/Vanilla/fdvanillaengine.hpp (1.11):
Abstracted operator creation into operator factory class.
2005-10-27 01:52 Joseph Wang
* ql/Math/sampledcurve.hpp (1.7):
Put in a ostream << operator
2005-10-25 17:23 Luigi Ballabio
* ql/FiniteDifferences/: tridiagonaloperator.cpp (1.36),
tridiagonaloperator.hpp (1.42):
Back to Array to make it explicit that we're in the linear algebra
domain (Disposable just works with Array anyway)
2005-10-25 17:20 Luigi Ballabio
* ql/FiniteDifferences/Makefile.am (1.21):
Deprecated in favour of SampledCurve
2005-10-25 17:18 Luigi Ballabio
* ql/: instrument.hpp (1.40), option.hpp (1.39):
Moved declarations down the Instrument hierarchy to reduce
dependencies
2005-10-25 17:17 Luigi Ballabio
* ql/Math/sampledcurve.cpp (1.1), ql/Math/sampledcurve.hpp (1.6),
test-suite/sampledcurve.cpp (1.2):
Added constness specification to methods; formatted for Doxygen
2005-10-24 12:47 Luigi Ballabio
* ql/: date.hpp (1.50), stochasticprocess.hpp (1.31),
yieldtermstructure.hpp (1.4), MonteCarlo/mctraits.hpp (1.21):
Removed deprecated features
2005-10-24 04:59 Joseph Wang
* ql/FiniteDifferences/bsmoperator.cpp (1.19):
Use the process abstractions to pull out diffusion and drift
2005-10-21 14:20 Luigi Ballabio
* Examples/: BermudanSwaption/BermudanSwaption.cpp (1.79),
DiscreteHedging/DiscreteHedging.cpp (1.58), Swap/swapvaluation.cpp
(1.66):
Added timing to examples
2005-10-21 13:37 Eric Ehlers
* Docs/pages/faq.docs (1.20):
update faq
2005-10-21 13:15 Luigi Ballabio
* test-suite/: batesmodel.cpp (1.7), bermudanswaption.cpp (1.7),
hestonmodel.cpp (1.11), interpolations.cpp (1.30),
piecewiseyieldcurve.cpp (1.12), shortratemodels.cpp (1.9):
More accurate count of performed tests
2005-10-21 11:16 Luigi Ballabio
* Makefile.am (1.99), Examples/Makefile.am (1.25),
Examples/BermudanSwaption/Makefile.am (1.15),
Examples/DiscreteHedging/Makefile.am (1.22),
Examples/Swap/Makefile.am (1.17):
Added check-examples target to makefiles
2005-10-21 09:46 Luigi Ballabio
* Announce.txt (1.5), ChangeLog.txt (1.50), Contributors.txt
(1.33), LICENSE.TXT (1.22), News.txt (1.96), QuantLib.dev (1.18),
QuantLib.dsp (1.268), QuantLib.vcproj (1.58), QuantLib_vc8.vcproj
(1.9), Readme.txt (1.27), configure.ac (1.72), Docs/quantlib.doxy
(1.99), Docs/pages/authors.docs (1.41), Docs/pages/faq.docs (1.19),
Docs/pages/history.docs (1.26), Docs/pages/install.docs (1.16),
Docs/pages/license.docs (1.18), Docs/pages/overview.docs (1.21),
Examples/makefile.mak (1.24), dev_tools/developers (1.4),
ql/Makefile.am (1.81), ql/capvolstructures.hpp (1.19),
ql/solver1d.hpp (1.34), ql/swaptionvolstructure.hpp (1.19),
ql/DayCounters/actualactual.cpp (1.35), ql/Indexes/Makefile.am
(1.18), ql/Indexes/all.hpp (1.6), ql/Indexes/trlibor.hpp (1.2),
ql/Math/choleskydecomposition.cpp (1.9),
ql/Math/multicubicspline.hpp (1.11), ql/Math/trapezoidintegral.hpp
(1.13), ql/Patterns/singleton.hpp (1.11),
ql/PricingEngines/Vanilla/fdshoutengine.hpp (1.8),
ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp (1.5),
ql/Volatilities/capletvariancecurve.hpp (1.3),
test-suite/batesmodel.cpp (1.6), test-suite/interpolations.cpp
(1.29), test-suite/testsuite.dsp (1.55),
test-suite/testsuite.vcproj (1.37):
Merged 0.3.11 branch
2005-10-21 02:26 Joseph Wang
* ql/PricingEngines/Vanilla/fdbermudanengine.hpp (1.9):
Simplify syntax.
2005-10-20 16:39 Luigi Ballabio
* QuantLib.dev (1.17), QuantLib.dsp (1.267), QuantLib.nsi (1.113),
QuantLib.vcproj (1.57), QuantLib_vc8.vcproj (1.8), configure.ac
(1.71), makefile.mak (1.63),
Examples/BermudanSwaption/BermudanSwaption.dev (1.6),
Examples/DiscreteHedging/DiscreteHedging.dev (1.6),
Examples/Swap/Swap.dev (1.6), dev_tools/version_number.txt (1.48),
functions/ql/Functions/QuantLibFunctions.dev (1.10),
functions/ql/Functions/QuantLibFunctions.dsp (1.15),
functions/ql/Functions/QuantLibFunctions.vcproj (1.15),
functions/ql/Functions/QuantLibFunctions_vc8.vcproj (1.4),
ql/qldefines.hpp (1.100), test-suite/testsuite.dev (1.5),
test-suite/testsuite.dsp (1.54), test-suite/testsuite.vcproj
(1.36), test-suite/testsuite_vc8.vcproj (1.9):
Bumped version number to 0.3.12
2005-10-20 16:39 Luigi Ballabio
* ql/: Math/sampledcurve.hpp (1.5),
PricingEngines/Vanilla/fdbermudanengine.hpp (1.8):
Fixes for gcc4
2005-10-18 07:56 Joseph Wang
* ql/: Math/sampledcurve.hpp (1.4),
PricingEngines/Vanilla/fdeuropeanengine.cpp (1.9),
PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.6),
PricingEngines/Vanilla/fdstepconditionengine.cpp (1.8):
encapsulate center at value item in sampled curve
2005-10-17 11:06 Joseph Wang
* ql/instrument.hpp (1.39), ql/Instruments/oneassetoption.cpp
(1.26), ql/Instruments/oneassetoption.hpp (1.19),
ql/Math/sampledcurve.hpp (1.3),
ql/PricingEngines/Vanilla/fdamericanengine.hpp (1.7),
ql/PricingEngines/Vanilla/fddividendamericanengine.hpp (1.5),
ql/PricingEngines/Vanilla/fddividendengine.cpp (1.3),
ql/PricingEngines/Vanilla/fddividendshoutengine.hpp (1.6),
ql/PricingEngines/Vanilla/fdeuropeanengine.cpp (1.8),
ql/PricingEngines/Vanilla/fdeuropeanengine.hpp (1.8),
ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.5),
ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp (1.7),
ql/PricingEngines/Vanilla/fdshoutengine.hpp (1.7),
ql/PricingEngines/Vanilla/fdstepconditionengine.cpp (1.7),
ql/PricingEngines/Vanilla/fdstepconditionengine.hpp (1.7),
ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.8),
ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.10),
test-suite/europeanoption.cpp (1.92), test-suite/europeanoption.hpp
(1.21):
Major rework of finite difference engines to use sampled curve
class which will allow users to get price curve information.
2005-10-14 08:42 Joseph Wang
* ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.41),
ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.16),
test-suite/basketoption.cpp (1.49):
add option to turn off antithetic variates in
mcamericanbasketengine
2005-10-14 08:41 Joseph Wang
* ql/Math/sampledcurve.hpp (1.2):
more methods for SampledCurve object
2005-10-11 03:09 Joseph Wang
* ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.40),
test-suite/basketoption.cpp (1.48), test-suite/basketoption.hpp
(1.9):
Fix crash in mcamericanbasketengine.cpp due to odd required
samples. Added unit test to check fix.
2005-10-10 11:51 Luigi Ballabio
* ql/Indexes/trlibor.hpp (1.1):
file trlibor.hpp was initially added on branch R000311f0-branch.
2005-10-08 06:19 Joseph Wang
* ql/FiniteDifferences/: tridiagonaloperator.cpp (1.35),
tridiagonaloperator.hpp (1.40):
Convert some functions into function templates so that it is less
dependent on array.
2005-10-03 14:46 Luigi Ballabio
* makefile.mak (1.61), ql/Calendars/makefile.mak (1.33),
ql/CashFlows/makefile.mak (1.26), ql/Currencies/makefile.mak (1.3),
ql/DayCounters/makefile.mak (1.23),
ql/FiniteDifferences/onefactoroperator.hpp (1.22),
ql/Indexes/makefile.mak (1.23), ql/Lattices/makefile.mak (1.29),
ql/Math/gaussianorthogonalpolynomial.cpp (1.2),
ql/Math/makefile.mak (1.40), ql/MonteCarlo/makefile.mak (1.32),
ql/Optimization/makefile.mak (1.21), ql/Pricers/makefile.mak
(1.49), ql/PricingEngines/makefile.mak (1.36),
ql/PricingEngines/Asian/makefile.mak (1.11),
ql/PricingEngines/Barrier/makefile.mak (1.11),
ql/PricingEngines/Basket/makefile.mak (1.10),
ql/PricingEngines/CapFloor/makefile.mak (1.10),
ql/PricingEngines/CapFloor/treecapfloorengine.cpp (1.8),
ql/PricingEngines/CapFloor/treecapfloorengine.hpp (1.7),
ql/PricingEngines/Cliquet/makefile.mak (1.13),
ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.5),
ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp (1.5),
ql/PricingEngines/Swaption/makefile.mak (1.12),
ql/PricingEngines/Vanilla/analytichestonengine.cpp (1.4),
ql/PricingEngines/Vanilla/analytichestonengine.hpp (1.6),
ql/PricingEngines/Vanilla/batesengine.cpp (1.3),
ql/PricingEngines/Vanilla/batesengine.hpp (1.4),
ql/PricingEngines/Vanilla/makefile.mak (1.18), ql/makefile.mak
(1.72), ql/Processes/hestonprocess.cpp (1.6),
ql/Processes/makefile.mak (1.4), ql/ShortRateModels/makefile.mak
(1.18), ql/ShortRateModels/onefactormodel.cpp (1.20),
ql/ShortRateModels/onefactormodel.hpp (1.23),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.17),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.24),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.24),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.31),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.28),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.32),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.29), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.28),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.30),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.16),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.20),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.17),
ql/TermStructures/makefile.mak (1.28), test-suite/batesmodel.cpp
(1.5), test-suite/bermudanswaption.cpp (1.6),
test-suite/distributions.cpp (1.30), test-suite/hestonmodel.cpp
(1.10), test-suite/makefile.mak (1.55),
test-suite/shortratemodels.cpp (1.8):
Some fixes for Borland
2005-10-03 11:06 Luigi Ballabio
* QuantLib.vcproj (1.56), ql/config.msvc.hpp (1.72),
ql/Math/array.hpp (1.23), test-suite/testsuite.vcproj (1.35):
Fixes for VC++7.1
2005-10-03 04:47 Joseph Wang
* ql/Math/sampledcurve.hpp (1.1):
Add sampledcurve.hpp
2005-10-02 08:10 Joseph Wang
* test-suite/: Makefile.am (1.63), quantlibtestsuite.cpp (1.107),
sampledcurve.cpp (1.1), sampledcurve.hpp (1.1), testsuite.dsp
(1.53), testsuite.vcproj (1.34):
Added sampled curve tests
2005-09-30 17:45 Luigi Ballabio
* QuantLib.dsp (1.266), ql/qldefines.hpp (1.99), ql/settings.hpp
(1.15), ql/Patterns/singleton.hpp (1.10),
ql/PricingEngines/Vanilla/analytichestonengine.cpp (1.3),
ql/PricingEngines/Vanilla/analytichestonengine.hpp (1.5),
ql/PricingEngines/Vanilla/batesengine.cpp (1.2),
ql/PricingEngines/Vanilla/batesengine.hpp (1.3),
ql/Utilities/strings.hpp (1.5), test-suite/batesmodel.cpp (1.4),
test-suite/hestonmodel.cpp (1.9),
test-suite/libormarketmodelprocess.cpp (1.2),
test-suite/testsuite.dsp (1.52):
Fixes for VC++6
2005-09-30 13:39 Luigi Ballabio
* ql/PricingEngines/Vanilla/fdbermudanengine.hpp (1.7):
Fixed signature mismatch in virtual method (thanks to Enrico
Michelotti)
2005-09-29 10:37 Luigi Ballabio
* News.txt (1.95), configure.ac (1.70), Docs/pages/config.docs
(1.6), Examples/BermudanSwaption/BermudanSwaption.cpp (1.78),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.57),
Examples/Swap/swapvaluation.cpp (1.65), ql/settings.hpp (1.14),
ql/userconfig.hpp (1.19), ql/Patterns/singleton.hpp (1.9),
test-suite/quantlibtestsuite.cpp (1.106):
Added hook for multiple sessions to Singleton
2005-09-27 09:19 Luigi Ballabio
* News.txt (1.94), ql/types.hpp (1.20), ql/Currencies/america.hpp
(1.5), ql/Currencies/asia.hpp (1.6), ql/Currencies/europe.hpp
(1.6), ql/Currencies/exchangeratemanager.cpp (1.9),
ql/Currencies/exchangeratemanager.hpp (1.7),
ql/Currencies/oceania.hpp (1.5):
New Turkish lira added
2005-09-23 16:38 Luigi Ballabio
* News.txt (1.93), ql/Processes/Makefile.am (1.6),
ql/Processes/all.hpp (1.4), ql/Volatilities/capletvariancecurve.hpp
(1.2), test-suite/Makefile.am (1.62),
test-suite/libormarketmodelprocess.cpp (1.1),
test-suite/libormarketmodelprocess.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.105):
Added stochastic process for caplet Libor market model (thanks to
Klaus Spanderen)
2005-09-23 09:55 Luigi Ballabio
* ql/: capvolstructures.hpp (1.18), swaptionvolstructure.hpp
(1.18), voltermstructure.hpp (1.37), Volatilities/Makefile.am
(1.17), Volatilities/all.hpp (1.4),
Volatilities/capflatvolvector.hpp (1.28),
Volatilities/capletconstantvol.hpp (1.11),
Volatilities/capletvariancecurve.hpp (1.1),
Volatilities/swaptionvolmatrix.hpp (1.31):
Added extrapolation to swaption, cap and caplet volatility
structures
2005-09-22 09:02 Luigi Ballabio
* News.txt (1.92),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.15),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp (1.6),
test-suite/asianoptions.cpp (1.54):
Added vega to analytic discrete-averaging Asian engine (thanks to
Gary Kennedy)
2005-09-19 13:55 Luigi Ballabio
* ql/PricingEngines/Vanilla/batesengine.hpp (1.2):
Documentation fix (thanks to Gary Kennedy)
2005-09-19 02:22 Joseph Wang
* ql/Processes/defaultable.hpp (1.3):
Add new defaultable types
2005-09-18 08:21 Joseph Wang
* ql/Processes/defaultable.hpp (1.2):
On second thought. Use multi-interheritance for defaultable
processes rather than templating.
2005-09-18 08:14 Joseph Wang
* ql/FiniteDifferences/parallelevolver.hpp (1.4),
ql/Processes/defaultable.hpp (1.1), test-suite/Makefile.am (1.60),
test-suite/defaultable.cpp (1.1):
Add defaultable process
2005-09-15 11:45 Luigi Ballabio
* ql/Math/bivariatenormaldistribution.hpp (1.13),
test-suite/basketoption.cpp (1.47):
Switched to new bivariate implementation
2005-09-13 15:34 Joseph Wang
* ql/: Instruments/oneassetoption.hpp (1.18),
Instruments/oneassetstrikedoption.hpp (1.18),
Instruments/vanillaoption.hpp (1.51),
PricingEngines/Vanilla/fdamericanengine.hpp (1.6),
PricingEngines/Vanilla/fddividendshoutengine.hpp (1.5),
PricingEngines/Vanilla/fdeuropeanengine.cpp (1.7),
PricingEngines/Vanilla/fdeuropeanengine.hpp (1.7),
PricingEngines/Vanilla/fdmultiperiodengine.hpp (1.6),
PricingEngines/Vanilla/fdshoutengine.hpp (1.6),
PricingEngines/Vanilla/fdstepconditionengine.cpp (1.6),
PricingEngines/Vanilla/fdvanillaengine.cpp (1.7),
PricingEngines/Vanilla/fdvanillaengine.hpp (1.9):
Added oneassetoption and oneassetstriked option engine.
Some more refactoring of the fd classes. Trying to remove as much
references to the option arguments.
2005-09-13 08:56 Joseph Wang
* ql/PricingEngines/Vanilla/: fdamericanengine.hpp (1.5),
fdbermudanengine.hpp (1.6), fddividendamericanengine.hpp (1.4),
fddividendengine.hpp (1.5), fddividendeuropeanengine.hpp (1.5),
fddividendshoutengine.hpp (1.4), fdeuropeanengine.cpp (1.6),
fdeuropeanengine.hpp (1.6), fdmultiperiodengine.cpp (1.4),
fdmultiperiodengine.hpp (1.5), fdshoutengine.hpp (1.5),
fdstepconditionengine.hpp (1.6), fdvanillaengine.hpp (1.8):
Start of general refactoring of fd files. This moves the
definition of the argument pointer out of the constructor.
2005-09-08 10:56 Luigi Ballabio
* ql/Instruments/: fixedcouponbond.cpp (1.10), fixedcouponbond.hpp
(1.8):
Added optional longFinal flag to FixedCouponBond (thanks to Plamen
Neykov)
2005-09-07 17:05 Luigi Ballabio
* LICENSE.TXT (1.21), News.txt (1.91),
ql/TermStructures/Makefile.am (1.25), ql/TermStructures/all.hpp
(1.7), ql/TermStructures/bondhelpers.cpp (1.1),
ql/TermStructures/bondhelpers.hpp (1.1),
ql/TermStructures/ratehelpers.hpp (1.50),
test-suite/piecewiseyieldcurve.cpp (1.11):
Added fixed-coupon bond helper for curve bootstrapping (thanks to
Toyin Akin)
2005-09-04 18:25 Joseph Wang
* ql/Instruments/convertiblebond.hpp (1.4):
add in tboafo's changes
2005-08-29 15:29 Luigi Ballabio
* News.txt (1.90), ql/Math/bivariatenormaldistribution.cpp (1.13),
ql/Math/bivariatenormaldistribution.hpp (1.12),
ql/Math/gaussianquadratures.cpp (1.3),
ql/Math/gaussianquadratures.hpp (1.3), test-suite/distributions.cpp
(1.29), test-suite/gaussianquadratures.cpp (1.3),
test-suite/gaussianquadratures.hpp (1.2):
Added tabulated Gauss-Legendre quadratures and more precise
implementation of bivariate cumulative normal distribution (thanks
to Gary Kennedy)
2005-08-26 15:04 Luigi Ballabio
* ql/TermStructures/piecewiseyieldcurve.hpp (1.14):
Fix for evaluation date change (thanks to Aurelien Chanudet)
2005-08-26 05:32 Joseph Wang
* ql/PricingEngines/Vanilla/: fdmultiperiodengine.hpp (1.4),
fdvanillaengine.cpp (1.6), fdvanillaengine.hpp (1.7):
Replaced getYearFraction with method from process
2005-08-23 16:05 Luigi Ballabio
* ql/: date.cpp (1.49), qldefines.hpp (1.98),
RandomNumbers/seedgenerator.cpp (1.7), Utilities/Makefile.am
(1.16), Utilities/dataparsers.cpp (1.3), Utilities/strings.cpp
(1.1), Utilities/strings.hpp (1.4):
Include a few system headers only when needed
2005-08-21 17:01 Plamen Neykov
* ql/schedule.cpp (1.8):
Fix of a possible crash if the schdule has only one period
2005-08-19 16:42 Luigi Ballabio
* Contributors.txt (1.32), configure.ac (1.69),
Docs/pages/authors.docs (1.40):
Added support for relative paths in configure options (thanks to
Antoine Cellerier)
2005-08-19 15:41 Luigi Ballabio
* acinclude.m4 (1.18), configure.ac (1.68), ql/Makefile.am (1.79),
ql/config.ansi.hpp (1.35), ql/config.bcc.hpp (1.36),
ql/config.mingw.hpp (1.8), ql/config.msvc.hpp (1.71),
ql/config.mwcw.hpp (1.32), ql/qldefines.hpp (1.97):
Rename conflicting autoconf defines when installing config.hpp
2005-08-18 19:21 Luigi Ballabio
* ql/timegrid.hpp (1.8), ql/CashFlows/cashflowvectors.cpp (1.43),
ql/CashFlows/indexedcashflowvectors.hpp (1.3),
ql/FiniteDifferences/americancondition.hpp (1.29),
ql/FiniteDifferences/shoutcondition.hpp (1.27), ql/Math/array.hpp
(1.22), ql/Math/matrix.hpp (1.45), ql/MonteCarlo/path.hpp (1.31),
ql/Optimization/armijo.cpp (1.22), ql/Patterns/singleton.hpp (1.8),
test-suite/Makefile.am (1.59), test-suite/array.cpp (1.1),
test-suite/array.hpp (1.1), test-suite/quantlibtestsuite.cpp
(1.104):
A couple more Boost facilities used instead of homegrown code
2005-07-28 15:16 Luigi Ballabio
* ql/TermStructures/piecewiseyieldcurve.hpp (1.13),
test-suite/piecewiseyieldcurve.cpp (1.10):
Fixed PiecewiseYieldCurve recalculation (thanks to Plamen Neykov)
2005-07-27 23:01 Eric Ehlers
* Docs/pages/faq.docs (1.18):
add FAQ for .NET support
2005-07-27 15:20 Luigi Ballabio
* News.txt (1.89), ql/PricingEngines/Vanilla/Makefile.am (1.22),
ql/PricingEngines/Vanilla/all.hpp (1.11),
ql/PricingEngines/Vanilla/analytichestonengine.cpp (1.2),
ql/PricingEngines/Vanilla/analytichestonengine.hpp (1.3),
ql/PricingEngines/Vanilla/batesengine.cpp (1.1),
ql/PricingEngines/Vanilla/batesengine.hpp (1.1),
ql/ShortRateModels/all.hpp (1.3),
ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp (1.3),
ql/ShortRateModels/TwoFactorModels/Makefile.am (1.6),
ql/ShortRateModels/TwoFactorModels/batesmodel.cpp (1.1),
ql/ShortRateModels/TwoFactorModels/batesmodel.hpp (1.1),
ql/ShortRateModels/TwoFactorModels/hestonmodel.cpp (1.2),
ql/ShortRateModels/TwoFactorModels/hestonmodel.hpp (1.2),
test-suite/Makefile.am (1.57), test-suite/batesmodel.cpp (1.1),
test-suite/batesmodel.hpp (1.1), test-suite/hestonmodel.cpp (1.6),
test-suite/quantlibtestsuite.cpp (1.103):
Added Bates stochastic-volatility model thanks to Klaus Spanderen)
2005-07-21 17:05 Luigi Ballabio
* Contributors.txt (1.31), Docs/pages/authors.docs (1.39),
ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.4),
ql/ShortRateModels/twofactormodel.hpp (1.20),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.43),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.27),
test-suite/shortratemodels.cpp (1.7):
Fixes for G2 model (thanks to Marco Tarenghi)
2005-07-21 16:53 Ferdinando Ametrano
* QuantLib.nsi (1.112):
no message
2005-07-21 16:27 Ferdinando Ametrano
* QuantLib.nsi (1.111), QuantLib.vcproj (1.55):
VC7.1 catching up
2005-07-20 17:45 Luigi Ballabio
* News.txt (1.88), configure.ac (1.67), ql/errors.cpp (1.13),
ql/userconfig.hpp (1.18):
Added configuration option for adding current function information
to error messages
2005-07-20 14:55 Luigi Ballabio
* ql/date.hpp (1.49):
Encapsulated IMM enumeration into struct scope
2005-07-20 09:07 Luigi Ballabio
* ql/yieldtermstructure.hpp (1.3):
Changed par-rate interface
2005-07-19 11:13 Luigi Ballabio
* ql/Optimization/leastsquare.hpp (1.30):
Missing virtual destructor added
2005-07-13 12:37 Luigi Ballabio
* Announce.txt (1.4), Makefile.am (1.97), Docs/Makefile.am (1.76),
Docs/pages/faq.docs (1.17), Examples/Makefile.am (1.23),
Examples/BermudanSwaption/Makefile.am (1.13),
Examples/DiscreteHedging/Makefile.am (1.20),
Examples/Swap/Makefile.am (1.15),
functions/ql/Functions/Makefile.am (1.9), ql/Makefile.am (1.78),
ql/config.msvc.hpp (1.70), ql/Calendars/Makefile.am (1.29),
ql/CashFlows/Makefile.am (1.17), ql/Currencies/Makefile.am (1.6),
ql/DayCounters/Makefile.am (1.12), ql/FiniteDifferences/Makefile.am
(1.19), ql/Indexes/Makefile.am (1.16), ql/Instruments/Makefile.am
(1.31), ql/Lattices/Makefile.am (1.12), ql/Math/Makefile.am (1.47),
ql/MonteCarlo/Makefile.am (1.33), ql/Optimization/Makefile.am
(1.9), ql/Pricers/Makefile.am (1.46), ql/PricingEngines/Makefile.am
(1.42), ql/PricingEngines/Asian/Makefile.am (1.8),
ql/PricingEngines/Barrier/Makefile.am (1.7),
ql/PricingEngines/Basket/Makefile.am (1.5),
ql/PricingEngines/CapFloor/Makefile.am (1.4),
ql/PricingEngines/Cliquet/Makefile.am (1.8),
ql/PricingEngines/Forward/Makefile.am (1.4),
ql/PricingEngines/Quanto/Makefile.am (1.4),
ql/PricingEngines/Swaption/Makefile.am (1.6),
ql/PricingEngines/Vanilla/Makefile.am (1.21),
ql/Processes/Makefile.am (1.5), ql/RandomNumbers/Makefile.am
(1.23), ql/ShortRateModels/Makefile.am (1.6),
ql/ShortRateModels/CalibrationHelpers/Makefile.am (1.5),
ql/ShortRateModels/OneFactorModels/Makefile.am (1.4),
ql/ShortRateModels/TwoFactorModels/Makefile.am (1.5),
ql/TermStructures/Makefile.am (1.24),
ql/TermStructures/piecewiseyieldcurve.hpp (1.12),
ql/Utilities/Makefile.am (1.15), ql/Volatilities/Makefile.am
(1.16), test-suite/Makefile.am (1.56),
test-suite/piecewiseyieldcurve.cpp (1.9):
Merged 0.3.10 branch
2005-07-07 09:24 Luigi Ballabio
* ChangeLog.txt (1.49), Contributors.txt (1.30), LICENSE.TXT
(1.20), QuantLib.dev (1.14), QuantLib.dsp (1.265), QuantLib.vcproj
(1.54), QuantLib_vc8.sln (1.2), QuantLib_vc8.vcproj (1.4),
acinclude.m4 (1.17), Docs/pages/authors.docs (1.38),
Docs/pages/faq.docs (1.16), Docs/pages/history.docs (1.23),
Docs/pages/license.docs (1.17), Docs/pages/overview.docs (1.20),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.77),
Examples/BermudanSwaption/BermudanSwaption.dev (1.4),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.20),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.13),
Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj (1.2),
Examples/DiscreteHedging/DiscreteHedging.dev (1.4),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.22),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.13),
Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj (1.2),
Examples/Swap/Swap.dev (1.4), Examples/Swap/Swap.dsp (1.21),
Examples/Swap/Swap.vcproj (1.13), Examples/Swap/Swap_vc8.vcproj
(1.2), dev_tools/version_number.txt (1.47),
functions/ql/Functions/QuantLibFunctions_vc8.vcproj (1.3),
ql/config.msvc.hpp (1.69), ql/qldefines.hpp (1.96), ql/timegrid.hpp
(1.7), ql/Calendars/Makefile.am (1.28), ql/Calendars/all.hpp
(1.13), ql/FiniteDifferences/operatortraits.hpp (1.6),
ql/FiniteDifferences/parallelevolver.hpp (1.3),
ql/Instruments/bond.hpp (1.11), ql/Instruments/fixedcouponbond.cpp
(1.9), ql/Instruments/floatingratebond.cpp (1.4),
ql/Instruments/zerocouponbond.cpp (1.3),
ql/Math/gaussianquadratures.cpp (1.2), ql/Math/multicubicspline.hpp
(1.10), ql/Math/tqreigendecomposition.cpp (1.2),
ql/Patterns/observable.hpp (1.25),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.23),
ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.9),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.37),
ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp (1.4),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.41),
ql/TermStructures/piecewiseyieldcurve.hpp (1.11),
test-suite/Makefile.am (1.55), test-suite/americanoption.hpp
(1.10), test-suite/bonds.cpp (1.17), test-suite/covariance.cpp
(1.31), test-suite/distributions.cpp (1.28),
test-suite/factorial.cpp (1.22), test-suite/gaussianquadratures.cpp
(1.2), test-suite/hestonmodel.cpp (1.5),
test-suite/interpolations.cpp (1.28),
test-suite/lowdiscrepancysequences.cpp (1.74),
test-suite/pathgenerator.cpp (1.11), test-suite/rounding.cpp (1.8),
test-suite/swap.cpp (1.43), test-suite/swaption.cpp (1.43),
test-suite/termstructures.cpp (1.41), test-suite/testsuite.dsp
(1.51), test-suite/testsuite.vcproj (1.33),
test-suite/testsuite_vc8.vcproj (1.4), test-suite/utilities.hpp
(1.26):
Merged 0.3.10 branch
2005-07-03 09:55 Joseph Wang
* ql/Patterns/observable.hpp (1.24):
Add forward declaration for Observer to allow compile.
2005-06-24 09:26 Luigi Ballabio
* News.txt (1.87), ql/Calendars/Makefile.am (1.27),
ql/Calendars/all.hpp (1.12):
Bombay and Taipei calendars added
2005-06-08 16:05 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.56),
ql/MonteCarlo/mctraits.hpp (1.19), ql/MonteCarlo/mctypedefs.hpp
(1.38), ql/Pricers/mccliquetoption.cpp (1.42),
ql/Pricers/mccliquetoption.hpp (1.27),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.45),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.29),
ql/Pricers/mceverest.cpp (1.51), ql/Pricers/mceverest.hpp (1.31),
ql/Pricers/mchimalaya.cpp (1.56), ql/Pricers/mchimalaya.hpp (1.29),
ql/Pricers/mcmaxbasket.cpp (1.51), ql/Pricers/mcmaxbasket.hpp
(1.31), ql/Pricers/mcpagoda.cpp (1.55), ql/Pricers/mcpagoda.hpp
(1.32), ql/Pricers/mcperformanceoption.cpp (1.37),
ql/Pricers/mcperformanceoption.hpp (1.24),
ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.11),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.34),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.36),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.29):
Renamed Single/MultiAsset traits to Single/MultiVariate
2005-06-08 12:35 Luigi Ballabio
* News.txt (1.86), ql/Indexes/Makefile.am (1.15),
ql/Indexes/all.hpp (1.5), ql/Indexes/dkklibor.hpp (1.1),
ql/Indexes/euribor.hpp (1.26), ql/Indexes/eurlibor.hpp (1.1),
ql/Indexes/nzdlibor.hpp (1.1), ql/Indexes/usdlibor.hpp (1.29):
Added DKKLibor, EURLibor, NZDLibor
2005-06-07 17:55 Luigi Ballabio
* News.txt (1.85), ql/Indexes/Makefile.am (1.14),
ql/Indexes/audlibor.hpp (1.24), ql/Indexes/cadlibor.hpp (1.24),
ql/Indexes/chflibor.hpp (1.21), ql/Indexes/core.hpp (1.5),
ql/Indexes/gbplibor.hpp (1.29), ql/Indexes/jpylibor.hpp (1.22),
ql/Indexes/libor.cpp (1.1), ql/Indexes/libor.hpp (1.1),
ql/Indexes/usdlibor.hpp (1.28), ql/Indexes/xibor.cpp (1.28),
ql/Indexes/xibor.hpp (1.41), test-suite/bermudanswaption.cpp (1.5),
test-suite/shortratemodels.cpp (1.6):
More accurate LIBOR calendars (thanks to Daniele de Francesco)
2005-06-06 11:44 Luigi Ballabio
* ql/Indexes/Makefile.am (1.13), ql/Indexes/all.hpp (1.4),
ql/Indexes/jibar.hpp (1.1), test-suite/compoundforward.cpp (1.36):
File renamed
2005-06-03 09:46 Luigi Ballabio
* ql/stochasticprocess.cpp (1.20), ql/stochasticprocess.hpp (1.29),
ql/Instruments/asianoption.cpp (1.25),
ql/Instruments/asianoption.hpp (1.25),
ql/Instruments/barrieroption.cpp (1.36),
ql/Instruments/barrieroption.hpp (1.32),
ql/Instruments/basketoption.cpp (1.15),
ql/Instruments/basketoption.hpp (1.19),
ql/Instruments/cliquetoption.cpp (1.7),
ql/Instruments/cliquetoption.hpp (1.20),
ql/Instruments/convertiblebond.hpp (1.3),
ql/Instruments/dividendvanillaoption.cpp (1.10),
ql/Instruments/dividendvanillaoption.hpp (1.9),
ql/Instruments/europeanoption.cpp (1.6),
ql/Instruments/europeanoption.hpp (1.9),
ql/Instruments/forwardvanillaoption.cpp (1.33),
ql/Instruments/forwardvanillaoption.hpp (1.33),
ql/Instruments/multiassetoption.cpp (1.19),
ql/Instruments/multiassetoption.hpp (1.15),
ql/Instruments/oneassetoption.cpp (1.25),
ql/Instruments/oneassetoption.hpp (1.17),
ql/Instruments/oneassetstrikedoption.cpp (1.20),
ql/Instruments/oneassetstrikedoption.hpp (1.17),
ql/Instruments/quantoforwardvanillaoption.cpp (1.31),
ql/Instruments/quantoforwardvanillaoption.hpp (1.27),
ql/Instruments/quantovanillaoption.cpp (1.38),
ql/Instruments/quantovanillaoption.hpp (1.35),
ql/Instruments/vanillaoption.cpp (1.50),
ql/Instruments/vanillaoption.hpp (1.50),
ql/MonteCarlo/multipathgenerator.hpp (1.68),
ql/Pricers/mceverest.cpp (1.50), ql/Pricers/mchimalaya.cpp (1.55),
ql/Pricers/mcmaxbasket.cpp (1.50), ql/Pricers/mcpagoda.cpp (1.54),
ql/PricingEngines/Forward/forwardengine.hpp (1.26),
ql/PricingEngines/Quanto/quantoengine.hpp (1.20),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.35),
ql/Processes/eulerdiscretization.cpp (1.5),
ql/Processes/eulerdiscretization.hpp (1.5),
ql/Processes/hestonprocess.cpp (1.5),
ql/Processes/hestonprocess.hpp (1.5),
ql/Processes/stochasticprocessarray.hpp (1.5),
ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp (1.2),
test-suite/basketoption.cpp (1.46), test-suite/cliquetoption.cpp
(1.29), test-suite/digitaloption.cpp (1.56),
test-suite/jumpdiffusion.cpp (1.41), test-suite/pathgenerator.cpp
(1.10):
Renamed GenericStochasticProcess to StochasticProcess (not
specifying is generic enough.)
2005-06-01 10:19 Luigi Ballabio
* ql/Instruments/: callabilityschedule.hpp (1.2),
convertiblebond.hpp (1.2), dividendschedule.hpp (1.4):
Fixed copyright
2005-06-01 05:07 Joseph Wang
* test-suite/bonds.cpp (1.16),
ql/Instruments/callabilityschedule.hpp (1.1),
ql/Instruments/convertiblebond.hpp (1.1),
ql/Instruments/dividendschedule.hpp (1.3):
Add convertible bond class
2005-05-30 09:14 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.55),
ql/MonteCarlo/multipath.hpp (1.27),
ql/MonteCarlo/multipathgenerator.hpp (1.67), ql/MonteCarlo/path.hpp
(1.30), ql/MonteCarlo/pathgenerator.hpp (1.74),
ql/Pricers/mccliquetoption.cpp (1.41),
ql/Pricers/mccliquetoption.hpp (1.26),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.44),
ql/Pricers/mchimalaya.cpp (1.54), ql/Pricers/mcpagoda.cpp (1.53),
ql/Pricers/mcperformanceoption.cpp (1.36),
ql/PricingEngines/Asian/mc_discr_arith_av_price.cpp (1.4),
ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.14),
ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp (1.6),
ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.13),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.15),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.36),
ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.15),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.16):
Restored Path::operator[]
2005-05-27 13:22 Luigi Ballabio
* QuantLib.dev (1.13), QuantLib.dsp (1.264), QuantLib.nsi (1.110),
QuantLib.vcproj (1.53), QuantLib_vc8.vcproj (1.3), configure.ac
(1.66), Examples/DiscreteHedging/DiscreteHedging.cpp (1.54),
dev_tools/version_number.txt (1.46),
functions/ql/Functions/QuantLibFunctions.dev (1.9),
functions/ql/Functions/QuantLibFunctions.dsp (1.14),
functions/ql/Functions/QuantLibFunctions.vcproj (1.14),
functions/ql/Functions/QuantLibFunctions_vc8.vcproj (1.2),
ql/qldefines.hpp (1.95), ql/settings.hpp (1.13),
ql/stochasticprocess.cpp (1.19), ql/stochasticprocess.hpp (1.28),
ql/Instruments/basketoption.cpp (1.14),
ql/Instruments/basketoption.hpp (1.18),
ql/Instruments/multiassetoption.cpp (1.18),
ql/Instruments/multiassetoption.hpp (1.14), ql/Lattices/tree.hpp
(1.27), ql/MonteCarlo/mctraits.hpp (1.18),
ql/MonteCarlo/multipath.hpp (1.26),
ql/MonteCarlo/multipathgenerator.hpp (1.66), ql/MonteCarlo/path.hpp
(1.29), ql/MonteCarlo/pathgenerator.hpp (1.73),
ql/Pricers/mccliquetoption.cpp (1.40),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.43),
ql/Pricers/mceverest.cpp (1.49), ql/Pricers/mchimalaya.cpp (1.53),
ql/Pricers/mcmaxbasket.cpp (1.49), ql/Pricers/mcpagoda.cpp (1.52),
ql/Pricers/mcperformanceoption.cpp (1.35),
ql/PricingEngines/greeks.cpp (1.4), ql/PricingEngines/greeks.hpp
(1.4), ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.13),
ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.12),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.14),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.35),
ql/PricingEngines/Basket/mcbasketengine.cpp (1.11),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.15),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.41),
ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp (1.4),
ql/Processes/blackscholesprocess.cpp (1.5),
ql/Processes/blackscholesprocess.hpp (1.5),
ql/Processes/eulerdiscretization.cpp (1.4),
ql/Processes/eulerdiscretization.hpp (1.4),
ql/Processes/hestonprocess.cpp (1.4),
ql/Processes/hestonprocess.hpp (1.4),
ql/Processes/merton76process.hpp (1.5),
ql/Processes/stochasticprocessarray.cpp (1.4),
ql/Processes/stochasticprocessarray.hpp (1.4),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.46),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.21),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.42),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.19),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.30),
test-suite/pathgenerator.cpp (1.9), test-suite/testsuite.dev (1.2),
test-suite/testsuite.vcproj (1.32), test-suite/testsuite_vc8.vcproj
(1.3):
Bumped version number and removed deprecated code
2005-05-23 17:05 Luigi Ballabio
* Contributors.txt (1.29), News.txt (1.84), Docs/pages/authors.docs
(1.37), ql/CashFlows/Makefile.am (1.16), ql/CashFlows/analysis.cpp
(1.1), ql/CashFlows/analysis.hpp (1.1), ql/CashFlows/core.hpp
(1.3):
Cash-flow analyses added (thanks to Charles Whitmore)
2005-05-20 14:53 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.75),
ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.3),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.45),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.20),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.41),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.18),
test-suite/shortratemodels.cpp (1.5):
Fixes for short-rate model calibration helpers (thanks to Enrico
Michelotti)
2005-05-20 13:10 Luigi Ballabio
* ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.29):
Fixed volatility constraint (thanks to Klaus Spanderen.)
2005-05-20 11:12 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.53),
ql/MonteCarlo/mctraits.hpp (1.16), ql/MonteCarlo/multipath.hpp
(1.24), ql/MonteCarlo/multipathgenerator.hpp (1.64),
ql/MonteCarlo/path.hpp (1.27), ql/MonteCarlo/pathgenerator.hpp
(1.71), ql/Pricers/mccliquetoption.cpp (1.39),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.42),
ql/Pricers/mceverest.cpp (1.48), ql/Pricers/mchimalaya.cpp (1.52),
ql/Pricers/mcmaxbasket.cpp (1.48), ql/Pricers/mcpagoda.cpp (1.51),
ql/Pricers/mcperformanceoption.cpp (1.34),
ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.12),
ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp (1.5),
ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.11),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.13),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.34),
ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.13),
ql/PricingEngines/Basket/mcbasketengine.cpp (1.10),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.14),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.40),
ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp (1.3),
test-suite/Makefile.am (1.54), test-suite/asianoptions.cpp (1.53),
test-suite/old_pricers.cpp (1.76), test-suite/pathgenerator.cpp
(1.7):
New path class storing the asset values
2005-05-20 09:28 Joseph Wang
* ql/PricingEngines/Vanilla/: fdamericanengine.hpp (1.4),
fdshoutengine.hpp (1.4), fdstepconditionengine.cpp (1.5),
fdstepconditionengine.hpp (1.5):
modify step condition pricing engines so that the engine interface
is in the concrete class rather than in the abstract class.
2005-05-20 08:59 Joseph Wang
* ql/PricingEngines/Vanilla/fddividendshoutengine.hpp (1.3),
test-suite/dividendoption.cpp (1.7):
move engine definition to concrete class.
2005-05-20 08:38 Joseph Wang
* ql/: schedule.hpp (1.6),
PricingEngines/Vanilla/fdbermudanengine.hpp (1.4),
PricingEngines/Vanilla/fddividendamericanengine.hpp (1.3),
PricingEngines/Vanilla/fddividendengine.hpp (1.4),
PricingEngines/Vanilla/fddividendeuropeanengine.hpp (1.3),
PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.3),
PricingEngines/Vanilla/fdmultiperiodengine.hpp (1.3):
Move the argument defintion to the concrete class rather than the
abstract class. This is intended to make the abstract classes much
more portable.
2005-05-19 16:13 Luigi Ballabio
* ql/Instruments/dividendschedule.hpp (1.2):
Fixed copyright
2005-05-19 07:29 Joseph Wang
* ql/Instruments/: dividendschedule.hpp (1.1),
dividendvanillaoption.hpp (1.7):
Move out dividend schedule to its own class.
2005-05-17 12:43 Luigi Ballabio
* test-suite/pathgenerator.cpp (1.6):
Improved test
2005-05-17 09:49 Luigi Ballabio
* Docs/quantlib.doxy (1.98):
Upgraded to Doxygen 1.4.3
2005-05-16 17:12 Luigi Ballabio
* ql/: stochasticprocess.cpp (1.18), stochasticprocess.hpp (1.26),
MonteCarlo/multipathgenerator.hpp (1.63),
MonteCarlo/pathgenerator.hpp (1.70),
Processes/blackscholesprocess.cpp (1.4),
Processes/blackscholesprocess.hpp (1.4),
Processes/eulerdiscretization.cpp (1.3),
Processes/eulerdiscretization.hpp (1.3),
Processes/hestonprocess.cpp (1.3), Processes/hestonprocess.hpp
(1.3), Processes/merton76process.hpp (1.4),
Processes/stochasticprocessarray.cpp (1.3),
Processes/stochasticprocessarray.hpp (1.3):
Added higher-level evolve() method
2005-05-12 21:23 Luigi Ballabio
* test-suite/hestonmodel.cpp (1.4):
Increased tolerance for Mac OS X
2005-05-11 17:43 Luigi Ballabio
* Docs/quantlib.doxy (1.97), functions/ql/Functions/calendars.hpp
(1.3), functions/ql/Functions/daycounters.hpp (1.6),
functions/ql/Functions/mathf.hpp (1.6),
functions/ql/Functions/vols.hpp (1.7), ql/exchangerate.hpp (1.7),
ql/money.hpp (1.11), ql/Instruments/barrieroption.hpp (1.31),
ql/Instruments/basketoption.hpp (1.17), ql/Instruments/capfloor.hpp
(1.56), ql/Instruments/cliquetoption.hpp (1.19),
ql/Instruments/europeanoption.hpp (1.8), ql/Instruments/swap.hpp
(1.35), ql/Instruments/swaption.hpp (1.47),
ql/Math/convergencestatistics.hpp (1.3), ql/Math/factorial.hpp
(1.8), ql/Math/gaussianquadratures.hpp (1.2), ql/Math/rounding.hpp
(1.12), ql/PricingEngines/Vanilla/analytichestonengine.hpp (1.2),
ql/Processes/hestonprocess.hpp (1.2),
ql/RandomNumbers/rngtraits.hpp (1.13),
ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.hpp (1.2),
ql/TermStructures/compoundforward.hpp (1.45),
ql/TermStructures/piecewiseflatforward.hpp (1.55),
ql/TermStructures/piecewiseyieldcurve.hpp (1.10),
ql/Utilities/tracing.hpp (1.9):
Clean-up of Doxygen comments
2005-05-08 21:33 Joseph Wang
* ql/PricingEngines/Vanilla/: fdvanillaengine.cpp (1.5),
fdvanillaengine.hpp (1.6):
Generalize a bit. Make this work for all OneAssetOptions, not
merely Vanilla options.
2005-05-07 05:25 Joseph Wang
* ql/Patterns/visitor.hpp (1.10):
Classes with virtual functions should have virtual destructors.
2005-05-06 14:36 Luigi Ballabio
* ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp (1.2),
ql/Processes/hestonprocess.cpp (1.2), test-suite/hestonmodel.cpp
(1.2):
Fixes for Heston-model path generation
2005-05-06 14:36 Luigi Ballabio
* ql/: Math/convergencestatistics.hpp (1.2),
PricingEngines/Vanilla/mcdigitalengine.hpp (1.40):
Fixes for gcc 3.4
2005-05-05 18:24 Luigi Ballabio
* News.txt (1.82), ql/PricingEngines/Vanilla/Makefile.am (1.20),
ql/PricingEngines/Vanilla/analytichestonengine.cpp (1.1),
ql/PricingEngines/Vanilla/analytichestonengine.hpp (1.1),
ql/PricingEngines/Vanilla/mceuropeanhestonengine.hpp (1.1),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.28),
ql/Processes/Makefile.am (1.4), ql/Processes/hestonprocess.cpp
(1.1), ql/Processes/hestonprocess.hpp (1.1),
ql/ShortRateModels/CalibrationHelpers/Makefile.am (1.4),
ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.cpp (1.1),
ql/ShortRateModels/CalibrationHelpers/hestonmodelhelper.hpp (1.1),
ql/ShortRateModels/TwoFactorModels/Makefile.am (1.4),
ql/ShortRateModels/TwoFactorModels/hestonmodel.cpp (1.1),
ql/ShortRateModels/TwoFactorModels/hestonmodel.hpp (1.1),
test-suite/Makefile.am (1.53), test-suite/hestonmodel.cpp (1.1),
test-suite/hestonmodel.hpp (1.1), test-suite/quantlibtestsuite.cpp
(1.102):
Added Heston stochastic-volatility model (thanks to Klaus
Spanderen.)
2005-05-05 10:56 Luigi Ballabio
* ql/MonteCarlo/multipathgenerator.hpp (1.62):
Added antithetic path generation to multi-path generator
2005-05-03 16:04 Luigi Ballabio
* News.txt (1.81), ql/Math/Makefile.am (1.46),
ql/Math/convergencestatistics.hpp (1.1), test-suite/stats.cpp
(1.30), test-suite/stats.hpp (1.16):
Convergence statistics added (thanks to Gary Kennedy)
2005-05-03 13:03 Luigi Ballabio
* News.txt (1.80), ql/Instruments/basketoption.cpp (1.13),
ql/Instruments/basketoption.hpp (1.16),
ql/Instruments/multiassetoption.cpp (1.17),
ql/Instruments/multiassetoption.hpp (1.13),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.33),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.35),
ql/PricingEngines/Basket/stulzengine.cpp (1.22),
test-suite/basketoption.cpp (1.45):
Multi-asset option takes a generic stochastic process
2005-05-03 13:01 Luigi Ballabio
* ql/Processes/: stochasticprocessarray.cpp (1.2),
stochasticprocessarray.hpp (1.2):
Allowed access to underlying processes
2005-05-02 17:27 Luigi Ballabio
* Docs/pages/history.docs (1.22),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.32):
Merged latest changes from 0.3.9
2005-04-29 17:35 Luigi Ballabio
* ql/MonteCarlo/brownianbridge.hpp (1.30),
ql/MonteCarlo/multipathgenerator.hpp (1.61),
ql/MonteCarlo/pathgenerator.hpp (1.69),
test-suite/pathgenerator.cpp (1.5):
Fixes for path generation
2005-04-29 16:07 Luigi Ballabio
* News.txt (1.79), ql/Lattices/binomialtree.cpp (1.31),
ql/MonteCarlo/multipathgenerator.hpp (1.60),
ql/MonteCarlo/pathgenerator.hpp (1.68), ql/Pricers/mceverest.cpp
(1.47), ql/Pricers/mchimalaya.cpp (1.51),
ql/Pricers/mcmaxbasket.cpp (1.47), ql/Pricers/mcpagoda.cpp (1.50),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.31),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.34),
test-suite/pathgenerator.cpp (1.4):
Multi-path generator now takes a generic stochastic process
2005-04-29 16:05 Luigi Ballabio
* ql/Processes/: stochasticprocessarray.cpp (1.1),
stochasticprocessarray.hpp (1.1), Makefile.am (1.3), all.hpp (1.3):
Added stochastic process array (thanks to Klaus Spanderen.)
2005-04-29 14:11 Luigi Ballabio
* ql/MonteCarlo/multipathgenerator.hpp (1.59),
test-suite/pathgenerator.cpp (1.3):
Fix for non-logarithmic processes
2005-04-27 17:37 Luigi Ballabio
* ql/MonteCarlo/brownianbridge.hpp (1.29),
ql/MonteCarlo/pathgenerator.hpp (1.67),
test-suite/pathgenerator.cpp (1.2):
Added word of warning wrt the use of Brownian bridge---it will have
to be fixed somehow
2005-04-26 14:51 Luigi Ballabio
* ql/: stochasticprocess.cpp (1.17), stochasticprocess.hpp (1.25),
Processes/eulerdiscretization.cpp (1.2),
Processes/eulerdiscretization.hpp (1.2),
Processes/ornsteinuhlenbeckprocess.cpp (1.3),
Processes/ornsteinuhlenbeckprocess.hpp (1.4):
Extended stochastic process interface
2005-04-26 12:04 Luigi Ballabio
* ql/MonteCarlo/multipathgenerator.hpp (1.58),
ql/MonteCarlo/pathgenerator.hpp (1.66), test-suite/Makefile.am
(1.52), test-suite/pathgenerator.cpp (1.1),
test-suite/pathgenerator.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.101):
Added path-generation tests
2005-04-22 14:45 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.52),
ql/stochasticprocess.cpp (1.16), ql/stochasticprocess.hpp (1.24),
ql/Instruments/asianoption.cpp (1.24),
ql/Instruments/asianoption.hpp (1.24),
ql/Instruments/barrieroption.cpp (1.35),
ql/Instruments/barrieroption.hpp (1.30),
ql/Instruments/basketoption.cpp (1.12),
ql/Instruments/basketoption.hpp (1.15),
ql/Instruments/cliquetoption.cpp (1.6),
ql/Instruments/cliquetoption.hpp (1.18),
ql/Instruments/dividendvanillaoption.cpp (1.9),
ql/Instruments/dividendvanillaoption.hpp (1.6),
ql/Instruments/europeanoption.cpp (1.5),
ql/Instruments/europeanoption.hpp (1.7),
ql/Instruments/forwardvanillaoption.cpp (1.32),
ql/Instruments/forwardvanillaoption.hpp (1.32),
ql/Instruments/multiassetoption.cpp (1.16),
ql/Instruments/multiassetoption.hpp (1.12),
ql/Instruments/oneassetoption.cpp (1.24),
ql/Instruments/oneassetoption.hpp (1.16),
ql/Instruments/oneassetstrikedoption.cpp (1.19),
ql/Instruments/oneassetstrikedoption.hpp (1.16),
ql/Instruments/quantoforwardvanillaoption.cpp (1.30),
ql/Instruments/quantoforwardvanillaoption.hpp (1.26),
ql/Instruments/quantovanillaoption.cpp (1.37),
ql/Instruments/quantovanillaoption.hpp (1.34),
ql/Instruments/vanillaoption.cpp (1.49),
ql/Instruments/vanillaoption.hpp (1.49),
ql/Lattices/binomialtree.cpp (1.30), ql/Lattices/binomialtree.hpp
(1.24), ql/Lattices/trinomialtree.cpp (1.26),
ql/Lattices/trinomialtree.hpp (1.18),
ql/MonteCarlo/brownianbridge.hpp (1.28),
ql/MonteCarlo/multipathgenerator.hpp (1.57),
ql/MonteCarlo/pathgenerator.hpp (1.65),
ql/Pricers/mccliquetoption.cpp (1.38),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.41),
ql/Pricers/mceverest.cpp (1.46), ql/Pricers/mchimalaya.cpp (1.50),
ql/Pricers/mcmaxbasket.cpp (1.46), ql/Pricers/mcpagoda.cpp (1.49),
ql/Pricers/mcperformanceoption.cpp (1.33),
ql/PricingEngines/greeks.cpp (1.3), ql/PricingEngines/greeks.hpp
(1.3), ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp
(1.14), ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.10),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.22),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.12),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.33),
ql/PricingEngines/Forward/forwardengine.hpp (1.25),
ql/PricingEngines/Quanto/quantoengine.hpp (1.19),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.27),
ql/PricingEngines/Vanilla/fdeuropeanengine.cpp (1.5),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.34),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.13),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.38),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.26),
ql/Processes/Makefile.am (1.2),
ql/Processes/blackscholesprocess.cpp (1.3),
ql/Processes/blackscholesprocess.hpp (1.3),
ql/Processes/eulerdiscretization.cpp (1.1),
ql/Processes/eulerdiscretization.hpp (1.1),
ql/Processes/geometricbrownianprocess.cpp (1.3),
ql/Processes/geometricbrownianprocess.hpp (1.3),
ql/Processes/merton76process.cpp (1.3),
ql/Processes/merton76process.hpp (1.3),
ql/Processes/ornsteinuhlenbeckprocess.hpp (1.3),
ql/Processes/squarerootprocess.cpp (1.3),
ql/Processes/squarerootprocess.hpp (1.3),
ql/ShortRateModels/onefactormodel.hpp (1.22),
ql/ShortRateModels/twofactormodel.hpp (1.19),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.23),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.27),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.29),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.19),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.32),
test-suite/basketoption.cpp (1.44), test-suite/cliquetoption.cpp
(1.28), test-suite/digitaloption.cpp (1.54),
test-suite/jumpdiffusion.cpp (1.40):
Added generic multi-dimensional stochastic process
2005-04-19 16:46 Luigi Ballabio
* News.txt (1.78), ql/Math/Makefile.am (1.45),
ql/Math/gaussianorthogonalpolynomial.cpp (1.1),
ql/Math/gaussianorthogonalpolynomial.hpp (1.1),
ql/Math/gaussianquadratures.cpp (1.1),
ql/Math/gaussianquadratures.hpp (1.1),
ql/Math/tqreigendecomposition.cpp (1.1),
ql/Math/tqreigendecomposition.hpp (1.1),
ql/Optimization/simplex.cpp (1.15), test-suite/Makefile.am (1.51),
test-suite/gaussianquadratures.cpp (1.1),
test-suite/gaussianquadratures.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.100),
test-suite/tqreigendecomposition.cpp (1.1),
test-suite/tqreigendecomposition.hpp (1.1):
Added Gaussian quadratures (thanks to Klaus Spanderen.)
2005-04-12 16:40 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.dev (1.3),
Examples/DiscreteHedging/DiscreteHedging.dev (1.3),
Examples/Swap/Swap.dev (1.3), QuantLib.dev (1.11),
functions/ql/Functions/QuantLibFunctions.dev (1.7):
Upgraded Dev-C++ projects
2005-04-12 15:56 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.73),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.19),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.21),
Examples/Swap/Swap.dsp (1.20), QuantLib.dsp (1.263),
ql/Lattices/Makefile.am (1.11), ql/Lattices/binomialtree.cpp
(1.29), ql/Lattices/binomialtree.hpp (1.23),
ql/Lattices/bsmlattice.hpp (1.14), ql/Lattices/lattice.hpp (1.20),
ql/Lattices/lattice2d.hpp (1.14), ql/Lattices/tree.hpp (1.26),
ql/Lattices/lattice1d.hpp (1.1), ql/Lattices/trinomialtree.cpp
(1.25), ql/Lattices/trinomialtree.hpp (1.17),
ql/PricingEngines/CapFloor/treecapfloorengine.cpp (1.7),
ql/PricingEngines/Swaption/treeswaptionengine.cpp (1.7),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.26),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.14),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.11),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.23),
ql/discretizedasset.hpp (1.22), ql/ShortRateModels/model.hpp
(1.34), ql/ShortRateModels/onefactormodel.cpp (1.19),
ql/ShortRateModels/onefactormodel.hpp (1.21),
ql/ShortRateModels/twofactormodel.cpp (1.14),
ql/ShortRateModels/twofactormodel.hpp (1.18),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.22),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.28),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.26),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.31),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.28), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.27),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.28),
ql/numericalmethod.hpp (1.21):
Faster implementation of binomial/trinomial trees and lattices
2005-04-11 14:32 Luigi Ballabio
* Authors.txt (1.15), ChangeLog.txt (1.48), Makefile.am (1.96),
News.txt (1.77), QuantLib.dev (1.10), QuantLib.dsp (1.261),
QuantLib_vc8.vcproj (1.2), Docs/Makefile.am (1.75),
Docs/pages/authors.docs (1.35), Docs/pages/faq.docs (1.15),
Docs/pages/history.docs (1.21),
Examples/BermudanSwaption/BermudanSwaption.dev (1.2),
Examples/BermudanSwaption/Makefile.am (1.12),
Examples/BermudanSwaption/makefile.mak (1.20),
Examples/DiscreteHedging/DiscreteHedging.dev (1.2),
Examples/DiscreteHedging/Makefile.am (1.19),
Examples/DiscreteHedging/makefile.mak (1.23),
Examples/Swap/Makefile.am (1.14), Examples/Swap/Swap.dev (1.2),
Examples/Swap/makefile.mak (1.23),
functions/ql/Functions/Makefile.am (1.8),
functions/ql/Functions/makefile.mak (1.8), ql/config.msvc.hpp
(1.68), ql/discretizedasset.hpp (1.21), ql/errors.cpp (1.12),
ql/makefile.mak (1.71), ql/money.hpp (1.10),
ql/stochasticprocess.cpp (1.15), ql/Calendars/makefile.mak (1.32),
ql/CashFlows/makefile.mak (1.25), ql/Currencies/makefile.mak (1.2),
ql/DayCounters/makefile.mak (1.22),
ql/FiniteDifferences/makefile.mak (1.23),
ql/FiniteDifferences/stepcondition.hpp (1.19),
ql/Indexes/Makefile.am (1.12), ql/Indexes/all.hpp (1.3),
ql/Indexes/audlibor.hpp (1.23), ql/Indexes/cadlibor.hpp (1.23),
ql/Indexes/cdor.hpp (1.2), ql/Indexes/chflibor.hpp (1.20),
ql/Indexes/euribor.hpp (1.25), ql/Indexes/gbplibor.hpp (1.28),
ql/Indexes/jpylibor.hpp (1.21), ql/Indexes/makefile.mak (1.22),
ql/Indexes/tibor.hpp (1.2), ql/Indexes/usdlibor.hpp (1.27),
ql/Indexes/zibor.hpp (1.2), ql/Instruments/makefile.mak (1.38),
ql/Lattices/makefile.mak (1.28), ql/Math/array.hpp (1.21),
ql/Math/backwardflatinterpolation.hpp (1.4), ql/Math/comparison.hpp
(1.9), ql/Math/makefile.mak (1.39), ql/Math/matrix.hpp (1.44),
ql/Math/primenumbers.cpp (1.16), ql/Math/primenumbers.hpp (1.12),
ql/MonteCarlo/brownianbridge.hpp (1.27), ql/MonteCarlo/makefile.mak
(1.31), ql/Optimization/makefile.mak (1.20),
ql/Pricers/makefile.mak (1.48), ql/PricingEngines/makefile.mak
(1.35), ql/PricingEngines/Asian/makefile.mak (1.10),
ql/PricingEngines/Barrier/makefile.mak (1.10),
ql/PricingEngines/Basket/makefile.mak (1.9),
ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp (1.3),
ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp (1.7),
ql/PricingEngines/CapFloor/makefile.mak (1.9),
ql/PricingEngines/Cliquet/makefile.mak (1.12),
ql/PricingEngines/Swaption/makefile.mak (1.11),
ql/PricingEngines/Vanilla/makefile.mak (1.17),
ql/Processes/makefile.mak (1.3), ql/RandomNumbers/haltonrsg.cpp
(1.16), ql/RandomNumbers/makefile.mak (1.30),
ql/RandomNumbers/primitivepolynomials.c (1.10),
ql/RandomNumbers/primitivepolynomials.h (1.6),
ql/ShortRateModels/makefile.mak (1.17),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.16),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.16),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.16),
ql/TermStructures/bootstraptraits.hpp (1.6),
ql/TermStructures/makefile.mak (1.27),
ql/TermStructures/piecewiseyieldcurve.hpp (1.9),
ql/Utilities/disposable.hpp (1.3), ql/Utilities/makefile.mak (1.4),
ql/Volatilities/makefile.mak (1.11), test-suite/Makefile.am (1.50),
test-suite/americanoption.cpp (1.38), test-suite/asianoptions.cpp
(1.52), test-suite/barrieroption.cpp (1.48),
test-suite/basketoption.cpp (1.43), test-suite/bermudanswaption.cpp
(1.4), test-suite/bonds.cpp (1.15), test-suite/capfloor.cpp (1.50),
test-suite/cliquetoption.cpp (1.27), test-suite/compoundforward.cpp
(1.34), test-suite/covariance.cpp (1.30),
test-suite/daycounters.cpp (1.19), test-suite/digitaloption.cpp
(1.53), test-suite/distributions.cpp (1.27),
test-suite/dividendoption.cpp (1.6), test-suite/europeanoption.cpp
(1.90), test-suite/factorial.cpp (1.21),
test-suite/forwardoption.cpp (1.23), test-suite/integrals.cpp
(1.14), test-suite/interestrates.cpp (1.19),
test-suite/interpolations.cpp (1.27), test-suite/jumpdiffusion.cpp
(1.39), test-suite/lowdiscrepancysequences.cpp (1.73),
test-suite/makefile.mak (1.54), test-suite/matrices.cpp (1.32),
test-suite/old_pricers.cpp (1.75), test-suite/operators.cpp (1.16),
test-suite/piecewiseflatforward.cpp (1.35),
test-suite/piecewiseyieldcurve.cpp (1.8),
test-suite/quantooption.cpp (1.25), test-suite/quotes.cpp (1.10),
test-suite/rounding.cpp (1.7), test-suite/shortratemodels.cpp
(1.4), test-suite/solvers.cpp (1.15), test-suite/stats.cpp (1.29),
test-suite/swap.cpp (1.42), test-suite/swaption.cpp (1.42),
test-suite/termstructures.cpp (1.40), test-suite/testsuite.vcproj
(1.31), test-suite/testsuite_vc8.vcproj (1.2),
test-suite/tracing.cpp (1.6), test-suite/utilities.hpp (1.25):
Merged 0.3.9 branch
2005-04-01 16:58 Luigi Ballabio
* ql/Indexes/tibor.hpp (1.1):
file tibor.hpp was initially added on branch R000309f0-branch.
2005-04-01 16:58 Luigi Ballabio
* ql/Indexes/zibor.hpp (1.1):
file zibor.hpp was initially added on branch R000309f0-branch.
2005-04-01 16:58 Luigi Ballabio
* ql/Indexes/cdor.hpp (1.1):
file cdor.hpp was initially added on branch R000309f0-branch.
2005-03-28 21:59 Ferdinando Ametrano
* QuantLib.dsp (1.260), QuantLib.vcproj (1.52):
catching up
2005-03-25 15:58 Luigi Ballabio
* News.txt (1.76), ql/ShortRateModels/OneFactorModels/hullwhite.cpp
(1.26), ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.15),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.18),
test-suite/bonds.cpp (1.14):
Added risk premium to Vasicek model (thanks to Aurelien Chanudet.)
2005-03-23 12:15 Luigi Ballabio
* ql/: timegrid.cpp (1.3), timegrid.hpp (1.6), Math/comparison.hpp
(1.8):
Avoid very small time steps due to numerical differences
2005-03-18 16:09 Luigi Ballabio
* News.txt (1.75), Examples/BermudanSwaption/BermudanSwaption.cpp
(1.72), Examples/Swap/swapvaluation.cpp (1.64), ql/settings.hpp
(1.11), ql/termstructure.hpp (1.67), ql/CashFlows/parcoupon.cpp
(1.22), ql/Indexes/xibor.hpp (1.40), ql/Instruments/bond.cpp
(1.10), ql/Instruments/capfloor.cpp (1.65),
ql/TermStructures/ratehelpers.cpp (1.60), ql/Utilities/Makefile.am
(1.14), ql/Utilities/all.hpp (1.7),
ql/Utilities/observablevalue.hpp (1.1),
test-suite/americanoption.cpp (1.37), test-suite/asianoptions.cpp
(1.51), test-suite/bermudanswaption.cpp (1.3), test-suite/bonds.cpp
(1.13), test-suite/capfloor.cpp (1.49),
test-suite/cliquetoption.cpp (1.26), test-suite/compoundforward.cpp
(1.33), test-suite/digitaloption.cpp (1.52),
test-suite/dividendoption.cpp (1.5), test-suite/europeanoption.cpp
(1.89), test-suite/forwardoption.cpp (1.22),
test-suite/jumpdiffusion.cpp (1.38),
test-suite/piecewiseflatforward.cpp (1.34),
test-suite/piecewiseyieldcurve.cpp (1.7),
test-suite/quantooption.cpp (1.24), test-suite/shortratemodels.cpp
(1.3), test-suite/swap.cpp (1.41), test-suite/swaption.cpp (1.41),
test-suite/termstructures.cpp (1.39):
Added evaluation-date proxy to Settings
2005-03-18 10:13 Luigi Ballabio
* Announce.txt (1.3), QuantLib.dev (1.9), QuantLib.dsp (1.259),
configure.ac (1.65), quantlib.el (1.16), Docs/pages/authors.docs
(1.34), Docs/pages/config.docs (1.4), Docs/pages/coreclasses.docs
(1.11), Docs/pages/currencies.docs (1.9), Docs/pages/datetime.docs
(1.10), Docs/pages/engines.docs (1.2), Docs/pages/examples.docs
(1.8), Docs/pages/faq.docs (1.14), Docs/pages/findiff.docs (1.13),
Docs/pages/fixedincome.docs (1.13), Docs/pages/history.docs (1.20),
Docs/pages/index.docs (1.11), Docs/pages/install.docs (1.15),
Docs/pages/instruments.docs (1.12), Docs/pages/lattices.docs (1.9),
Docs/pages/math.docs (1.12), Docs/pages/mcarlo.docs (1.17),
Docs/pages/overview.docs (1.19), Docs/pages/patterns.docs (1.8),
Docs/pages/resources.docs (1.10), Docs/pages/termstructures.docs
(1.9), Docs/pages/usage.docs (1.19), Docs/pages/utilities.docs
(1.10), Docs/pages/where.docs (1.10),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.71),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.51),
Examples/Swap/swapvaluation.cpp (1.63),
dev_tools/version_number.txt (1.45),
functions/ql/Functions/QuantLibFunctions.dev (1.6),
functions/ql/Functions/calendars.cpp (1.3),
functions/ql/Functions/calendars.hpp (1.2),
functions/ql/Functions/daycounters.cpp (1.5),
functions/ql/Functions/daycounters.hpp (1.5),
functions/ql/Functions/mathf.cpp (1.3),
functions/ql/Functions/mathf.hpp (1.5),
functions/ql/Functions/vols.cpp (1.5),
functions/ql/Functions/vols.hpp (1.6), ql/argsandresults.hpp
(1.19), ql/calendar.cpp (1.32), ql/calendar.hpp (1.46),
ql/capvolstructures.hpp (1.17), ql/cashflow.hpp (1.21),
ql/config.ansi.hpp (1.34), ql/config.bcc.hpp (1.35),
ql/config.mingw.hpp (1.7), ql/config.msvc.hpp (1.67),
ql/config.mwcw.hpp (1.31), ql/core.hpp (1.15), ql/currency.cpp
(1.7), ql/currency.hpp (1.30), ql/date.cpp (1.48), ql/date.hpp
(1.48), ql/daycounter.hpp (1.33), ql/discretizedasset.cpp (1.11),
ql/discretizedasset.hpp (1.20), ql/errors.cpp (1.11), ql/errors.hpp
(1.23), ql/exchangerate.cpp (1.5), ql/exchangerate.hpp (1.6),
ql/exercise.cpp (1.13), ql/exercise.hpp (1.33), ql/grid.hpp (1.25),
ql/handle.hpp (1.24), ql/history.hpp (1.30), ql/index.hpp (1.17),
ql/instrument.hpp (1.38), ql/interestrate.cpp (1.19),
ql/interestrate.hpp (1.18), ql/makefile.mak (1.70), ql/money.cpp
(1.8), ql/money.hpp (1.9), ql/numericalmethod.hpp (1.20),
ql/option.hpp (1.38), ql/payoff.hpp (1.13), ql/pricingengine.hpp
(1.15), ql/qldefines.hpp (1.94), ql/quantlib.hpp (1.150),
ql/quote.hpp (1.7), ql/schedule.cpp (1.7), ql/schedule.hpp (1.5),
ql/settings.hpp (1.10), ql/solver1d.hpp (1.33),
ql/stochasticprocess.cpp (1.14), ql/stochasticprocess.hpp (1.23),
ql/swaptionvolstructure.hpp (1.17), ql/termstructure.hpp (1.66),
ql/timegrid.cpp (1.2), ql/timegrid.hpp (1.5), ql/types.hpp (1.19),
ql/userconfig.hpp (1.17), ql/voltermstructure.cpp (1.26),
ql/voltermstructure.hpp (1.36), ql/yieldtermstructure.hpp (1.2),
ql/Calendars/all.hpp (1.11), ql/Calendars/germany.cpp (1.2),
ql/Calendars/germany.hpp (1.5), ql/Calendars/hongkong.cpp (1.3),
ql/Calendars/hongkong.hpp (1.3), ql/Calendars/italy.cpp (1.3),
ql/Calendars/italy.hpp (1.4), ql/Calendars/jointcalendar.cpp
(1.10), ql/Calendars/jointcalendar.hpp (1.8),
ql/Calendars/makefile.mak (1.31), ql/Calendars/nullcalendar.hpp
(1.7), ql/Calendars/singapore.cpp (1.2), ql/Calendars/singapore.hpp
(1.2), ql/Calendars/taiwan.cpp (1.4), ql/Calendars/taiwan.hpp
(1.3), ql/Calendars/target.cpp (1.19), ql/Calendars/target.hpp
(1.22), ql/Calendars/unitedkingdom.cpp (1.2),
ql/Calendars/unitedkingdom.hpp (1.4), ql/Calendars/unitedstates.cpp
(1.6), ql/Calendars/unitedstates.hpp (1.7), ql/CashFlows/all.hpp
(1.3), ql/CashFlows/cashflowvectors.cpp (1.42),
ql/CashFlows/cashflowvectors.hpp (1.32), ql/CashFlows/core.hpp
(1.2), ql/CashFlows/coupon.hpp (1.24),
ql/CashFlows/fixedratecoupon.hpp (1.26),
ql/CashFlows/floatingratecoupon.hpp (1.37),
ql/CashFlows/inarrearindexedcoupon.cpp (1.5),
ql/CashFlows/inarrearindexedcoupon.hpp (1.16),
ql/CashFlows/indexedcashflowvectors.hpp (1.2),
ql/CashFlows/indexedcoupon.hpp (1.20), ql/CashFlows/parcoupon.cpp
(1.21), ql/CashFlows/parcoupon.hpp (1.16),
ql/CashFlows/shortfloatingcoupon.cpp (1.22),
ql/CashFlows/shortfloatingcoupon.hpp (1.21),
ql/CashFlows/shortindexedcoupon.hpp (1.16),
ql/CashFlows/simplecashflow.hpp (1.15), ql/CashFlows/timebasket.cpp
(1.8), ql/CashFlows/timebasket.hpp (1.9),
ql/CashFlows/upfrontindexedcoupon.hpp (1.14),
ql/Currencies/africa.hpp (1.4), ql/Currencies/all.hpp (1.6),
ql/Currencies/america.hpp (1.4), ql/Currencies/asia.hpp (1.5),
ql/Currencies/europe.hpp (1.5),
ql/Currencies/exchangeratemanager.cpp (1.8),
ql/Currencies/exchangeratemanager.hpp (1.6),
ql/Currencies/oceania.hpp (1.4), ql/DayCounters/actual360.hpp
(1.21), ql/DayCounters/actual365fixed.hpp (1.3),
ql/DayCounters/actualactual.cpp (1.34),
ql/DayCounters/actualactual.hpp (1.29), ql/DayCounters/all.hpp
(1.4), ql/DayCounters/one.hpp (1.4),
ql/DayCounters/simpledaycounter.cpp (1.7),
ql/DayCounters/simpledaycounter.hpp (1.8),
ql/DayCounters/thirty360.cpp (1.22), ql/DayCounters/thirty360.hpp
(1.24), ql/FiniteDifferences/all.hpp (1.3),
ql/FiniteDifferences/americancondition.hpp (1.28),
ql/FiniteDifferences/boundarycondition.cpp (1.11),
ql/FiniteDifferences/boundarycondition.hpp (1.18),
ql/FiniteDifferences/bsmoperator.cpp (1.18),
ql/FiniteDifferences/bsmoperator.hpp (1.19),
ql/FiniteDifferences/bsmtermoperator.hpp (1.3),
ql/FiniteDifferences/core.hpp (1.3),
ql/FiniteDifferences/cranknicolson.hpp (1.23),
ql/FiniteDifferences/dminus.hpp (1.16),
ql/FiniteDifferences/dplus.hpp (1.16),
ql/FiniteDifferences/dplusdminus.hpp (1.18),
ql/FiniteDifferences/dzero.hpp (1.17),
ql/FiniteDifferences/expliciteuler.hpp (1.19),
ql/FiniteDifferences/fdtypedefs.hpp (1.13),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.34),
ql/FiniteDifferences/impliciteuler.hpp (1.18),
ql/FiniteDifferences/makefile.mak (1.22),
ql/FiniteDifferences/mixedscheme.hpp (1.20),
ql/FiniteDifferences/onefactoroperator.hpp (1.21),
ql/FiniteDifferences/operatortraits.hpp (1.5),
ql/FiniteDifferences/parallelevolver.hpp (1.2),
ql/FiniteDifferences/shoutcondition.hpp (1.26),
ql/FiniteDifferences/stepcondition.hpp (1.18),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.34),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.38),
ql/Indexes/all.hpp (1.2), ql/Indexes/audlibor.hpp (1.22),
ql/Indexes/cadlibor.hpp (1.22), ql/Indexes/chflibor.hpp (1.19),
ql/Indexes/core.hpp (1.4), ql/Indexes/euribor.hpp (1.24),
ql/Indexes/gbplibor.hpp (1.27), ql/Indexes/indexmanager.cpp (1.3),
ql/Indexes/indexmanager.hpp (1.3), ql/Indexes/jpylibor.hpp (1.20),
ql/Indexes/usdlibor.hpp (1.26), ql/Indexes/xibor.cpp (1.27),
ql/Indexes/xibor.hpp (1.39), ql/Instruments/all.hpp (1.11),
ql/Instruments/asianoption.cpp (1.23),
ql/Instruments/asianoption.hpp (1.23),
ql/Instruments/barrieroption.cpp (1.34),
ql/Instruments/barrieroption.hpp (1.29),
ql/Instruments/basketoption.cpp (1.11),
ql/Instruments/basketoption.hpp (1.14), ql/Instruments/bond.cpp
(1.9), ql/Instruments/bond.hpp (1.9), ql/Instruments/capfloor.cpp
(1.64), ql/Instruments/capfloor.hpp (1.55),
ql/Instruments/cliquetoption.cpp (1.5),
ql/Instruments/cliquetoption.hpp (1.17), ql/Instruments/core.hpp
(1.2), ql/Instruments/dividendvanillaoption.cpp (1.8),
ql/Instruments/dividendvanillaoption.hpp (1.5),
ql/Instruments/europeanoption.cpp (1.4),
ql/Instruments/europeanoption.hpp (1.6),
ql/Instruments/fixedcouponbond.cpp (1.8),
ql/Instruments/fixedcouponbond.hpp (1.7),
ql/Instruments/floatingratebond.cpp (1.3),
ql/Instruments/floatingratebond.hpp (1.2),
ql/Instruments/forwardvanillaoption.cpp (1.31),
ql/Instruments/forwardvanillaoption.hpp (1.31),
ql/Instruments/makefile.mak (1.37),
ql/Instruments/multiassetoption.cpp (1.15),
ql/Instruments/multiassetoption.hpp (1.11),
ql/Instruments/oneassetoption.cpp (1.23),
ql/Instruments/oneassetoption.hpp (1.15),
ql/Instruments/oneassetstrikedoption.cpp (1.18),
ql/Instruments/oneassetstrikedoption.hpp (1.15),
ql/Instruments/payoffs.hpp (1.16),
ql/Instruments/quantoforwardvanillaoption.cpp (1.29),
ql/Instruments/quantoforwardvanillaoption.hpp (1.25),
ql/Instruments/quantovanillaoption.cpp (1.36),
ql/Instruments/quantovanillaoption.hpp (1.33),
ql/Instruments/stock.cpp (1.20), ql/Instruments/stock.hpp (1.18),
ql/Instruments/swap.cpp (1.39), ql/Instruments/swap.hpp (1.34),
ql/Instruments/swaption.cpp (1.51), ql/Instruments/swaption.hpp
(1.46), ql/Instruments/vanillaoption.cpp (1.48),
ql/Instruments/vanillaoption.hpp (1.48),
ql/Instruments/zerocouponbond.cpp (1.2),
ql/Instruments/zerocouponbond.hpp (1.2), ql/Lattices/all.hpp (1.2),
ql/Lattices/binomialtree.cpp (1.28), ql/Lattices/binomialtree.hpp
(1.22), ql/Lattices/bsmlattice.hpp (1.13), ql/Lattices/core.hpp
(1.2), ql/Lattices/lattice.hpp (1.19), ql/Lattices/lattice2d.hpp
(1.13), ql/Lattices/tree.hpp (1.25), ql/Lattices/trinomialtree.cpp
(1.24), ql/Lattices/trinomialtree.hpp (1.16), ql/Math/all.hpp
(1.8), ql/Math/array.hpp (1.20),
ql/Math/backwardflatinterpolation.hpp (1.3), ql/Math/beta.cpp
(1.8), ql/Math/beta.hpp (1.5),
ql/Math/bicubicsplineinterpolation.hpp (1.23),
ql/Math/bilinearinterpolation.hpp (1.28),
ql/Math/binomialdistribution.hpp (1.10),
ql/Math/bivariatenormaldistribution.cpp (1.12),
ql/Math/bivariatenormaldistribution.hpp (1.11),
ql/Math/chisquaredistribution.cpp (1.15),
ql/Math/chisquaredistribution.hpp (1.13),
ql/Math/choleskydecomposition.cpp (1.8),
ql/Math/choleskydecomposition.hpp (1.2), ql/Math/comparison.hpp
(1.7), ql/Math/core.hpp (1.2), ql/Math/cubicspline.hpp (1.60),
ql/Math/discrepancystatistics.cpp (1.11),
ql/Math/discrepancystatistics.hpp (1.16), ql/Math/errorfunction.cpp
(1.9), ql/Math/errorfunction.hpp (1.8), ql/Math/extrapolation.hpp
(1.2), ql/Math/factorial.cpp (1.7), ql/Math/factorial.hpp (1.7),
ql/Math/forwardflatinterpolation.hpp (1.3), ql/Math/functional.hpp
(1.7), ql/Math/gammadistribution.cpp (1.15),
ql/Math/gammadistribution.hpp (1.12),
ql/Math/gaussianstatistics.hpp (1.27),
ql/Math/generalstatistics.cpp (1.18), ql/Math/generalstatistics.hpp
(1.20), ql/Math/incompletegamma.cpp (1.7),
ql/Math/incompletegamma.hpp (1.3),
ql/Math/incrementalstatistics.cpp (1.17),
ql/Math/incrementalstatistics.hpp (1.15), ql/Math/interpolation.hpp
(1.37), ql/Math/interpolation2D.hpp (1.27),
ql/Math/kronrodintegral.hpp (1.17), ql/Math/lexicographicalview.hpp
(1.16), ql/Math/linearinterpolation.hpp (1.34),
ql/Math/loglinearinterpolation.hpp (1.34), ql/Math/matrix.hpp
(1.43), ql/Math/multicubicspline.hpp (1.9),
ql/Math/normaldistribution.cpp (1.30),
ql/Math/normaldistribution.hpp (1.34),
ql/Math/poissondistribution.hpp (1.13), ql/Math/primenumbers.cpp
(1.15), ql/Math/primenumbers.hpp (1.11), ql/Math/pseudosqrt.cpp
(1.13), ql/Math/pseudosqrt.hpp (1.8), ql/Math/riskstatistics.hpp
(1.21), ql/Math/rounding.cpp (1.6), ql/Math/rounding.hpp (1.11),
ql/Math/segmentintegral.hpp (1.24), ql/Math/sequencestatistics.hpp
(1.29), ql/Math/simpsonintegral.hpp (1.11), ql/Math/statistics.hpp
(1.31), ql/Math/svd.cpp (1.12), ql/Math/svd.hpp (1.12),
ql/Math/symmetriceigenvalues.hpp (1.13),
ql/Math/symmetricschurdecomposition.cpp (1.23),
ql/Math/symmetricschurdecomposition.hpp (1.18),
ql/Math/trapezoidintegral.hpp (1.12), ql/MonteCarlo/all.hpp (1.6),
ql/MonteCarlo/brownianbridge.hpp (1.26), ql/MonteCarlo/core.hpp
(1.3), ql/MonteCarlo/getcovariance.cpp (1.16),
ql/MonteCarlo/getcovariance.hpp (1.25), ql/MonteCarlo/mctraits.hpp
(1.15), ql/MonteCarlo/mctypedefs.hpp (1.37),
ql/MonteCarlo/montecarlomodel.hpp (1.34),
ql/MonteCarlo/multipath.hpp (1.23),
ql/MonteCarlo/multipathgenerator.hpp (1.56), ql/MonteCarlo/path.hpp
(1.26), ql/MonteCarlo/pathgenerator.hpp (1.64),
ql/MonteCarlo/pathpricer.hpp (1.25), ql/MonteCarlo/sample.hpp
(1.14), ql/Optimization/all.hpp (1.2), ql/Optimization/armijo.cpp
(1.21), ql/Optimization/armijo.hpp (1.21),
ql/Optimization/conjugategradient.cpp (1.24),
ql/Optimization/conjugategradient.hpp (1.19),
ql/Optimization/constraint.hpp (1.24), ql/Optimization/core.hpp
(1.2), ql/Optimization/costfunction.hpp (1.21),
ql/Optimization/criteria.hpp (1.22),
ql/Optimization/leastsquare.hpp (1.29),
ql/Optimization/linesearch.hpp (1.20), ql/Optimization/method.hpp
(1.15), ql/Optimization/problem.hpp (1.12),
ql/Optimization/simplex.cpp (1.14), ql/Optimization/simplex.hpp
(1.18), ql/Optimization/steepestdescent.cpp (1.21),
ql/Optimization/steepestdescent.hpp (1.20), ql/Patterns/all.hpp
(1.3), ql/Patterns/bridge.hpp (1.14), ql/Patterns/composite.hpp
(1.9), ql/Patterns/curiouslyrecurring.hpp (1.5),
ql/Patterns/lazyobject.hpp (1.9), ql/Patterns/observable.hpp
(1.23), ql/Patterns/singleton.hpp (1.7), ql/Patterns/visitor.hpp
(1.9), ql/Pricers/all.hpp (1.9), ql/Pricers/core.hpp (1.3),
ql/Pricers/discretegeometricaso.cpp (1.20),
ql/Pricers/discretegeometricaso.hpp (1.16),
ql/Pricers/mccliquetoption.cpp (1.37),
ql/Pricers/mccliquetoption.hpp (1.25),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.40),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.28),
ql/Pricers/mceverest.cpp (1.45), ql/Pricers/mceverest.hpp (1.30),
ql/Pricers/mchimalaya.cpp (1.49), ql/Pricers/mchimalaya.hpp (1.28),
ql/Pricers/mcmaxbasket.cpp (1.45), ql/Pricers/mcmaxbasket.hpp
(1.30), ql/Pricers/mcpagoda.cpp (1.48), ql/Pricers/mcpagoda.hpp
(1.31), ql/Pricers/mcperformanceoption.cpp (1.32),
ql/Pricers/mcperformanceoption.hpp (1.23), ql/Pricers/mcpricer.hpp
(1.37), ql/Pricers/singleassetoption.cpp (1.32),
ql/Pricers/singleassetoption.hpp (1.36), ql/PricingEngines/all.hpp
(1.10), ql/PricingEngines/americanpayoffatexpiry.cpp (1.5),
ql/PricingEngines/americanpayoffatexpiry.hpp (1.9),
ql/PricingEngines/americanpayoffathit.cpp (1.5),
ql/PricingEngines/americanpayoffathit.hpp (1.11),
ql/PricingEngines/blackformula.cpp (1.11),
ql/PricingEngines/blackformula.hpp (1.19),
ql/PricingEngines/blackmodel.hpp (1.11), ql/PricingEngines/core.hpp
(1.7), ql/PricingEngines/genericmodelengine.hpp (1.8),
ql/PricingEngines/greeks.cpp (1.2), ql/PricingEngines/greeks.hpp
(1.2), ql/PricingEngines/latticeshortratemodelengine.hpp (1.13),
ql/PricingEngines/makefile.mak (1.34),
ql/PricingEngines/mcsimulation.hpp (1.15),
ql/PricingEngines/Asian/all.hpp (1.4),
ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.10),
ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp (1.5),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.13),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp (1.5),
ql/PricingEngines/Asian/mc_discr_arith_av_price.cpp (1.3),
ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.11),
ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp (1.4),
ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.10),
ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.9),
ql/PricingEngines/Barrier/all.hpp (1.3),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.21),
ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.8),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.11),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.32),
ql/PricingEngines/Basket/all.hpp (1.4),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.30),
ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.12),
ql/PricingEngines/Basket/mcbasketengine.cpp (1.9),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.33),
ql/PricingEngines/Basket/stulzengine.cpp (1.21),
ql/PricingEngines/Basket/stulzengine.hpp (1.7),
ql/PricingEngines/CapFloor/all.hpp (1.4),
ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp (1.2),
ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp (1.6),
ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.4),
ql/PricingEngines/CapFloor/blackcapfloorengine.hpp (1.4),
ql/PricingEngines/CapFloor/discretizedcapfloor.cpp (1.7),
ql/PricingEngines/CapFloor/discretizedcapfloor.hpp (1.7),
ql/PricingEngines/CapFloor/treecapfloorengine.cpp (1.6),
ql/PricingEngines/CapFloor/treecapfloorengine.hpp (1.6),
ql/PricingEngines/Cliquet/all.hpp (1.4),
ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.10),
ql/PricingEngines/Cliquet/analyticcliquetengine.hpp (1.5),
ql/PricingEngines/Cliquet/analyticperformanceengine.cpp (1.9),
ql/PricingEngines/Cliquet/analyticperformanceengine.hpp (1.4),
ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.11),
ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.10),
ql/PricingEngines/Forward/all.hpp (1.2),
ql/PricingEngines/Forward/forwardengine.hpp (1.24),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.17),
ql/PricingEngines/Quanto/all.hpp (1.2),
ql/PricingEngines/Quanto/quantoengine.hpp (1.18),
ql/PricingEngines/Swaption/all.hpp (1.5),
ql/PricingEngines/Swaption/blackswaptionengine.cpp (1.3),
ql/PricingEngines/Swaption/blackswaptionengine.hpp (1.4),
ql/PricingEngines/Swaption/discretizedswaption.cpp (1.9),
ql/PricingEngines/Swaption/discretizedswaption.hpp (1.10),
ql/PricingEngines/Swaption/g2swaptionengine.hpp (1.5),
ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.2),
ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp (1.4),
ql/PricingEngines/Swaption/treeswaptionengine.cpp (1.6),
ql/PricingEngines/Swaption/treeswaptionengine.hpp (1.5),
ql/PricingEngines/Vanilla/all.hpp (1.10),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.13),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp (1.6),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp
(1.11),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp (1.4),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.23),
ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp (1.6),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.21),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp (1.6),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.25),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.22),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.7),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.10),
ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.8),
ql/PricingEngines/Vanilla/fdamericanengine.hpp (1.3),
ql/PricingEngines/Vanilla/fdbermudanengine.hpp (1.3),
ql/PricingEngines/Vanilla/fddividendamericanengine.hpp (1.2),
ql/PricingEngines/Vanilla/fddividendengine.cpp (1.2),
ql/PricingEngines/Vanilla/fddividendengine.hpp (1.3),
ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp (1.2),
ql/PricingEngines/Vanilla/fddividendshoutengine.hpp (1.2),
ql/PricingEngines/Vanilla/fdeuropeanengine.cpp (1.4),
ql/PricingEngines/Vanilla/fdeuropeanengine.hpp (1.5),
ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.2),
ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp (1.2),
ql/PricingEngines/Vanilla/fdshoutengine.hpp (1.3),
ql/PricingEngines/Vanilla/fdstepconditionengine.cpp (1.4),
ql/PricingEngines/Vanilla/fdstepconditionengine.hpp (1.4),
ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.4),
ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.5),
ql/PricingEngines/Vanilla/integralengine.cpp (1.11),
ql/PricingEngines/Vanilla/integralengine.hpp (1.5),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.33),
ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.12),
ql/PricingEngines/Vanilla/juquadraticengine.cpp (1.9),
ql/PricingEngines/Vanilla/juquadraticengine.hpp (1.5),
ql/PricingEngines/Vanilla/makefile.mak (1.16),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.12),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.37),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.38),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.25),
ql/Processes/all.hpp (1.2), ql/Processes/blackscholesprocess.cpp
(1.2), ql/Processes/blackscholesprocess.hpp (1.2),
ql/Processes/geometricbrownianprocess.cpp (1.2),
ql/Processes/geometricbrownianprocess.hpp (1.2),
ql/Processes/makefile.mak (1.2), ql/Processes/merton76process.cpp
(1.2), ql/Processes/merton76process.hpp (1.2),
ql/Processes/ornsteinuhlenbeckprocess.cpp (1.2),
ql/Processes/ornsteinuhlenbeckprocess.hpp (1.2),
ql/Processes/squarerootprocess.cpp (1.2),
ql/Processes/squarerootprocess.hpp (1.2), ql/RandomNumbers/all.hpp
(1.10), ql/RandomNumbers/boxmullergaussianrng.hpp (1.17),
ql/RandomNumbers/centrallimitgaussianrng.hpp (1.16),
ql/RandomNumbers/core.hpp (1.3), ql/RandomNumbers/faurersg.cpp
(1.6), ql/RandomNumbers/faurersg.hpp (1.4),
ql/RandomNumbers/haltonrsg.cpp (1.15),
ql/RandomNumbers/haltonrsg.hpp (1.15),
ql/RandomNumbers/inversecumulativerng.hpp (1.3),
ql/RandomNumbers/inversecumulativersg.hpp (1.3),
ql/RandomNumbers/knuthuniformrng.cpp (1.14),
ql/RandomNumbers/knuthuniformrng.hpp (1.17),
ql/RandomNumbers/lecuyeruniformrng.cpp (1.13),
ql/RandomNumbers/lecuyeruniformrng.hpp (1.16),
ql/RandomNumbers/mt19937uniformrng.cpp (1.13),
ql/RandomNumbers/mt19937uniformrng.hpp (1.16),
ql/RandomNumbers/primitivepolynomials.c (1.9),
ql/RandomNumbers/primitivepolynomials.h (1.5),
ql/RandomNumbers/randomizedlds.hpp (1.10),
ql/RandomNumbers/randomsequencegenerator.hpp (1.14),
ql/RandomNumbers/rngtraits.hpp (1.12),
ql/RandomNumbers/seedgenerator.cpp (1.6),
ql/RandomNumbers/seedgenerator.hpp (1.5),
ql/RandomNumbers/sobolrsg.cpp (1.41), ql/RandomNumbers/sobolrsg.hpp
(1.25), ql/ShortRateModels/all.hpp (1.2),
ql/ShortRateModels/calibrationhelper.cpp (1.11),
ql/ShortRateModels/calibrationhelper.hpp (1.26),
ql/ShortRateModels/core.hpp (1.2), ql/ShortRateModels/model.cpp
(1.25), ql/ShortRateModels/model.hpp (1.33),
ql/ShortRateModels/onefactormodel.cpp (1.18),
ql/ShortRateModels/onefactormodel.hpp (1.20),
ql/ShortRateModels/parameter.hpp (1.25),
ql/ShortRateModels/twofactormodel.cpp (1.13),
ql/ShortRateModels/twofactormodel.hpp (1.17),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.44),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.19),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.40),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.17),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.22),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.21),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.27),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.25),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.30),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.27), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.25),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.27),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.14),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.17),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.26),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.31),
ql/Solvers1D/all.hpp (1.2), ql/Solvers1D/bisection.hpp (1.21),
ql/Solvers1D/brent.hpp (1.21), ql/Solvers1D/falseposition.hpp
(1.20), ql/Solvers1D/newton.hpp (1.22), ql/Solvers1D/newtonsafe.hpp
(1.22), ql/Solvers1D/ridder.hpp (1.21), ql/Solvers1D/secant.hpp
(1.21), ql/TermStructures/all.hpp (1.6),
ql/TermStructures/bootstraptraits.hpp (1.5),
ql/TermStructures/compoundforward.cpp (1.54),
ql/TermStructures/compoundforward.hpp (1.44),
ql/TermStructures/discountcurve.hpp (1.46),
ql/TermStructures/drifttermstructure.hpp (1.21),
ql/TermStructures/extendeddiscountcurve.cpp (1.28),
ql/TermStructures/extendeddiscountcurve.hpp (1.26),
ql/TermStructures/flatforward.hpp (1.53),
ql/TermStructures/forwardcurve.hpp (1.2),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.36),
ql/TermStructures/forwardstructure.hpp (1.9),
ql/TermStructures/impliedtermstructure.hpp (1.30),
ql/TermStructures/makefile.mak (1.26),
ql/TermStructures/piecewiseflatforward.cpp (1.62),
ql/TermStructures/piecewiseflatforward.hpp (1.53),
ql/TermStructures/piecewiseyieldcurve.hpp (1.8),
ql/TermStructures/quantotermstructure.hpp (1.24),
ql/TermStructures/ratehelpers.cpp (1.59),
ql/TermStructures/ratehelpers.hpp (1.49),
ql/TermStructures/zerocurve.hpp (1.21),
ql/TermStructures/zerospreadedtermstructure.hpp (1.37),
ql/TermStructures/zeroyieldstructure.hpp (1.8),
ql/Utilities/all.hpp (1.6), ql/Utilities/dataformatters.cpp (1.2),
ql/Utilities/dataformatters.hpp (1.4), ql/Utilities/dataparsers.cpp
(1.2), ql/Utilities/dataparsers.hpp (1.2),
ql/Utilities/disposable.hpp (1.2), ql/Utilities/makefile.mak (1.3),
ql/Utilities/null.hpp (1.2), ql/Utilities/steppingiterator.hpp
(1.20), ql/Utilities/strings.hpp (1.3), ql/Utilities/tracing.cpp
(1.3), ql/Utilities/tracing.hpp (1.8), ql/Volatilities/all.hpp
(1.3), ql/Volatilities/blackconstantvol.hpp (1.34),
ql/Volatilities/blackvariancecurve.cpp (1.20),
ql/Volatilities/blackvariancecurve.hpp (1.39),
ql/Volatilities/blackvariancesurface.cpp (1.20),
ql/Volatilities/blackvariancesurface.hpp (1.40),
ql/Volatilities/capflatvolvector.hpp (1.27),
ql/Volatilities/capletconstantvol.hpp (1.10),
ql/Volatilities/impliedvoltermstructure.hpp (1.19),
ql/Volatilities/localconstantvol.hpp (1.30),
ql/Volatilities/localvolcurve.hpp (1.19),
ql/Volatilities/localvolsurface.cpp (1.21),
ql/Volatilities/localvolsurface.hpp (1.28),
ql/Volatilities/swaptionvolmatrix.hpp (1.30),
test-suite/americanoption.cpp (1.36), test-suite/americanoption.hpp
(1.9), test-suite/asianoptions.cpp (1.50),
test-suite/asianoptions.hpp (1.8), test-suite/barrieroption.cpp
(1.47), test-suite/barrieroption.hpp (1.6),
test-suite/basketoption.cpp (1.42), test-suite/basketoption.hpp
(1.8), test-suite/bermudanswaption.cpp (1.2),
test-suite/bermudanswaption.hpp (1.2), test-suite/bonds.cpp (1.12),
test-suite/bonds.hpp (1.6), test-suite/calendars.cpp (1.24),
test-suite/calendars.hpp (1.13), test-suite/capfloor.cpp (1.48),
test-suite/capfloor.hpp (1.10), test-suite/cliquetoption.cpp
(1.25), test-suite/cliquetoption.hpp (1.5),
test-suite/compoundforward.cpp (1.32),
test-suite/compoundforward.hpp (1.7), test-suite/covariance.cpp
(1.29), test-suite/covariance.hpp (1.10), test-suite/dates.cpp
(1.15), test-suite/dates.hpp (1.9), test-suite/daycounters.cpp
(1.18), test-suite/daycounters.hpp (1.10),
test-suite/digitaloption.cpp (1.51), test-suite/digitaloption.hpp
(1.9), test-suite/distributions.cpp (1.26),
test-suite/distributions.hpp (1.10), test-suite/dividendoption.cpp
(1.4), test-suite/dividendoption.hpp (1.2),
test-suite/europeanoption.cpp (1.88), test-suite/europeanoption.hpp
(1.20), test-suite/exchangerate.cpp (1.4),
test-suite/exchangerate.hpp (1.3), test-suite/factorial.cpp (1.20),
test-suite/factorial.hpp (1.7), test-suite/forwardoption.cpp
(1.21), test-suite/forwardoption.hpp (1.4),
test-suite/instruments.cpp (1.13), test-suite/instruments.hpp
(1.8), test-suite/integrals.cpp (1.13), test-suite/integrals.hpp
(1.9), test-suite/interestrates.cpp (1.18),
test-suite/interestrates.hpp (1.3), test-suite/interpolations.cpp
(1.26), test-suite/interpolations.hpp (1.10),
test-suite/jumpdiffusion.cpp (1.37), test-suite/jumpdiffusion.hpp
(1.7), test-suite/lowdiscrepancysequences.cpp (1.72),
test-suite/lowdiscrepancysequences.hpp (1.18),
test-suite/makefile.mak (1.53), test-suite/matrices.cpp (1.31),
test-suite/matrices.hpp (1.11), test-suite/mersennetwister.cpp
(1.19), test-suite/mersennetwister.hpp (1.9), test-suite/money.cpp
(1.4), test-suite/money.hpp (1.3), test-suite/old_pricers.cpp
(1.74), test-suite/old_pricers.hpp (1.17), test-suite/operators.cpp
(1.15), test-suite/operators.hpp (1.9),
test-suite/piecewiseflatforward.cpp (1.33),
test-suite/piecewiseflatforward.hpp (1.9),
test-suite/piecewiseyieldcurve.cpp (1.6),
test-suite/piecewiseyieldcurve.hpp (1.5),
test-suite/quantlibtestsuite.cpp (1.99),
test-suite/quantooption.cpp (1.23), test-suite/quantooption.hpp
(1.5), test-suite/quotes.cpp (1.9), test-suite/quotes.hpp (1.5),
test-suite/riskstats.cpp (1.40), test-suite/riskstats.hpp (1.12),
test-suite/rngtraits.cpp (1.4), test-suite/rngtraits.hpp (1.2),
test-suite/rounding.cpp (1.6), test-suite/rounding.hpp (1.5),
test-suite/shortratemodels.cpp (1.2),
test-suite/shortratemodels.hpp (1.2), test-suite/solvers.cpp
(1.14), test-suite/solvers.hpp (1.8), test-suite/stats.cpp (1.28),
test-suite/stats.hpp (1.15), test-suite/swap.cpp (1.40),
test-suite/swap.hpp (1.9), test-suite/swaption.cpp (1.40),
test-suite/swaption.hpp (1.8), test-suite/termstructures.cpp
(1.38), test-suite/termstructures.hpp (1.10),
test-suite/testsuite.dsp (1.50), test-suite/tracing.cpp (1.5),
test-suite/tracing.hpp (1.2), test-suite/utilities.cpp (1.18),
test-suite/utilities.hpp (1.24):
Merged 0.3.9 branch to allow compilation with gcc 3.4
2005-03-17 05:02 Joseph Wang
* ql/timegrid.hpp (1.4):
Add include file which is necessary for STL
2005-03-16 14:15 Luigi Ballabio
* ql/Makefile.am (1.77), ql/core.hpp (1.14),
ql/discretizedasset.hpp (1.19), ql/grid.hpp (1.24),
ql/numericalmethod.hpp (1.19), ql/timegrid.cpp (1.1),
ql/timegrid.hpp (1.3), ql/Lattices/lattice.hpp (1.18),
ql/MonteCarlo/path.hpp (1.25), test-suite/capfloor.cpp (1.47),
test-suite/swaption.cpp (1.39):
TimeGrid implemented by using std::vector instead of inheriting it
2005-03-08 11:00 Luigi Ballabio
* configure.ac (1.64), dev_tools/version_number.txt (1.44),
ql/Makefile.am (1.76), ql/core.hpp (1.13), ql/currency.cpp (1.6),
ql/currency.hpp (1.29), ql/date.cpp (1.47), ql/date.hpp (1.47),
ql/interestrate.cpp (1.18), ql/interestrate.hpp (1.17),
ql/money.cpp (1.7), ql/money.hpp (1.8), ql/option.hpp (1.37),
ql/qldefines.hpp (1.93), ql/termstructure.hpp (1.65),
ql/Instruments/bond.hpp (1.8), ql/Instruments/fixedcouponbond.cpp
(1.7), ql/Instruments/fixedcouponbond.hpp (1.6), ql/Math/array.hpp
(1.19), ql/Math/matrix.hpp (1.42), ql/Pricers/Makefile.am (1.45),
ql/Pricers/all.hpp (1.8),
ql/TermStructures/piecewiseflatforward.cpp (1.61),
ql/TermStructures/piecewiseflatforward.hpp (1.52),
test-suite/old_pricers.cpp (1.73), test-suite/old_pricers.hpp
(1.16):
Version number up one tick; removed deprecated features
2005-03-07 10:15 Luigi Ballabio
* News.txt (1.73), ql/Instruments/swaption.cpp (1.50),
ql/Instruments/swaption.hpp (1.45),
ql/PricingEngines/Swaption/discretizedswaption.cpp (1.8),
ql/PricingEngines/Swaption/discretizedswaption.hpp (1.9),
ql/PricingEngines/Swaption/treeswaptionengine.hpp (1.4),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.26),
test-suite/Makefile.am (1.49), test-suite/bermudanswaption.cpp
(1.1), test-suite/bermudanswaption.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.98),
test-suite/shortratemodels.cpp (1.1),
test-suite/shortratemodels.hpp (1.1):
Partial fix for Bermudan swaptions with exercise lag (thanks to
Luca Berardi)
2005-03-04 17:58 Luigi Ballabio
* ql/PricingEngines/Makefile.am (1.41), ql/PricingEngines/all.hpp
(1.9), ql/PricingEngines/core.hpp (1.6),
ql/PricingEngines/greeks.cpp (1.1), ql/PricingEngines/greeks.hpp
(1.1), ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp
(1.12), ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp
(1.12), ql/PricingEngines/Vanilla/fdeuropeanengine.cpp (1.3),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.35),
ql/TermStructures/zerospreadedtermstructure.hpp (1.36),
test-suite/americanoption.cpp (1.35), test-suite/asianoptions.cpp
(1.49), test-suite/digitaloption.cpp (1.50),
test-suite/dividendoption.cpp (1.3), test-suite/europeanoption.cpp
(1.87), test-suite/europeanoption.hpp (1.19):
Added default theta calculation for B-S processes; can be added to
engines which don't provide it (but check them against numerical
results first)
2005-03-04 10:09 Luigi Ballabio
* News.txt (1.72), configure.ac (1.63), ql/Makefile.am (1.75),
ql/quantlib.hpp (1.149), ql/stochasticprocess.cpp (1.13),
ql/stochasticprocess.hpp (1.22),
ql/FiniteDifferences/bsmoperator.hpp (1.18),
ql/FiniteDifferences/bsmtermoperator.hpp (1.2),
ql/Instruments/asianoption.cpp (1.22),
ql/Instruments/asianoption.hpp (1.22),
ql/Instruments/barrieroption.cpp (1.33),
ql/Instruments/barrieroption.hpp (1.28),
ql/Instruments/basketoption.cpp (1.10),
ql/Instruments/basketoption.hpp (1.13),
ql/Instruments/cliquetoption.cpp (1.4),
ql/Instruments/cliquetoption.hpp (1.16),
ql/Instruments/dividendvanillaoption.cpp (1.7),
ql/Instruments/dividendvanillaoption.hpp (1.4),
ql/Instruments/europeanoption.cpp (1.3),
ql/Instruments/europeanoption.hpp (1.5),
ql/Instruments/forwardvanillaoption.cpp (1.30),
ql/Instruments/forwardvanillaoption.hpp (1.30),
ql/Instruments/multiassetoption.cpp (1.14),
ql/Instruments/multiassetoption.hpp (1.10),
ql/Instruments/oneassetoption.cpp (1.22),
ql/Instruments/oneassetoption.hpp (1.14),
ql/Instruments/oneassetstrikedoption.cpp (1.17),
ql/Instruments/oneassetstrikedoption.hpp (1.14),
ql/Instruments/quantoforwardvanillaoption.cpp (1.28),
ql/Instruments/quantoforwardvanillaoption.hpp (1.24),
ql/Instruments/quantovanillaoption.cpp (1.35),
ql/Instruments/quantovanillaoption.hpp (1.32),
ql/Instruments/vanillaoption.cpp (1.47),
ql/Instruments/vanillaoption.hpp (1.47),
ql/Pricers/mccliquetoption.cpp (1.36),
ql/Pricers/mccliquetoption.hpp (1.24),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.39),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.27),
ql/Pricers/mceverest.cpp (1.44), ql/Pricers/mceverest.hpp (1.29),
ql/Pricers/mchimalaya.cpp (1.48), ql/Pricers/mchimalaya.hpp (1.27),
ql/Pricers/mcmaxbasket.cpp (1.44), ql/Pricers/mcmaxbasket.hpp
(1.29), ql/Pricers/mcpagoda.cpp (1.47), ql/Pricers/mcpagoda.hpp
(1.30), ql/Pricers/mcperformanceoption.cpp (1.31),
ql/Pricers/mcperformanceoption.hpp (1.22),
ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.9),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.11),
ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.10),
ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.9),
ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.8),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.20),
ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.7),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.31),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.29),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.32),
ql/PricingEngines/Basket/stulzengine.cpp (1.20),
ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.9),
ql/PricingEngines/Cliquet/analyticperformanceengine.cpp (1.8),
ql/PricingEngines/Forward/forwardengine.hpp (1.23),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.16),
ql/PricingEngines/Quanto/quantoengine.hpp (1.17),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.11),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp
(1.10), ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp
(1.22), ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp
(1.20), ql/PricingEngines/Vanilla/binomialengine.hpp (1.24),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.21),
ql/PricingEngines/Vanilla/fdstepconditionengine.cpp (1.3),
ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.4),
ql/PricingEngines/Vanilla/integralengine.cpp (1.10),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.32),
ql/PricingEngines/Vanilla/juquadraticengine.cpp (1.8),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.36),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.37),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.24),
ql/Processes/.cvsignore (1.1), ql/Processes/Makefile.am (1.1),
ql/Processes/all.hpp (1.1), ql/Processes/blackscholesprocess.cpp
(1.1), ql/Processes/blackscholesprocess.hpp (1.1),
ql/Processes/geometricbrownianprocess.cpp (1.1),
ql/Processes/geometricbrownianprocess.hpp (1.1),
ql/Processes/makefile.mak (1.1), ql/Processes/merton76process.cpp
(1.1), ql/Processes/merton76process.hpp (1.1),
ql/Processes/ornsteinuhlenbeckprocess.cpp (1.1),
ql/Processes/ornsteinuhlenbeckprocess.hpp (1.1),
ql/Processes/squarerootprocess.cpp (1.1),
ql/Processes/squarerootprocess.hpp (1.1),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.20),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.16),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.30),
test-suite/basketoption.cpp (1.41), test-suite/cliquetoption.cpp
(1.24), test-suite/digitaloption.cpp (1.49),
test-suite/jumpdiffusion.cpp (1.36):
Option instruments now take a generic StochasticProcess;
Merton76Process no longer inherits from BlackScholesProcess.
2005-03-01 17:00 Luigi Ballabio
* ql/PricingEngines/Swaption/: discretizedswaption.cpp (1.7),
discretizedswaption.hpp (1.8):
Fix for out-of-synch dates
2005-02-28 17:49 Luigi Ballabio
* ql/PricingEngines/Vanilla/Makefile.am (1.19),
ql/PricingEngines/Vanilla/all.hpp (1.9),
ql/PricingEngines/Vanilla/fddividendengine.hpp (1.2),
ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp (1.1),
test-suite/dividendoption.cpp (1.2):
Added explicitly-named FD dividend European engine
2005-02-28 12:35 Luigi Ballabio
* ql/PricingEngines/Vanilla/: fdstepconditionengine.hpp (1.3),
fdvanillaengine.cpp (1.3), fdvanillaengine.hpp (1.3):
Changed confusing typedef
2005-02-28 11:47 Luigi Ballabio
* test-suite/old_pricers.cpp (1.72):
Deprecated old FD pricers
2005-02-28 09:46 Luigi Ballabio
* News.txt (1.71), ql/PricingEngines/Vanilla/Makefile.am (1.18),
ql/PricingEngines/Vanilla/all.hpp (1.8),
ql/PricingEngines/Vanilla/fdamericanengine.hpp (1.2),
ql/PricingEngines/Vanilla/fdbermudanengine.hpp (1.1),
ql/PricingEngines/Vanilla/fddividendamericanengine.hpp (1.1),
ql/PricingEngines/Vanilla/fddividendengine.cpp (1.1),
ql/PricingEngines/Vanilla/fddividendengine.hpp (1.1),
ql/PricingEngines/Vanilla/fddividendshoutengine.hpp (1.1),
ql/PricingEngines/Vanilla/fdeuropeanengine.hpp (1.4),
ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.1),
ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp (1.1),
ql/PricingEngines/Vanilla/fdshoutengine.hpp (1.2),
ql/PricingEngines/Vanilla/fdstepconditionengine.cpp (1.2),
ql/PricingEngines/Vanilla/fdstepconditionengine.hpp (1.2),
ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.2),
ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.2),
ql/TermStructures/piecewiseyieldcurve.hpp (1.7),
test-suite/Makefile.am (1.48), test-suite/americanoption.cpp
(1.34), test-suite/americanoption.hpp (1.8),
test-suite/dividendoption.cpp (1.1), test-suite/dividendoption.hpp
(1.1), test-suite/quantlibtestsuite.cpp (1.97):
Moved more fd pricers to pricing-engine framework (thnks to Joseph
Wang)
2005-02-25 17:36 Luigi Ballabio
* ql/: discretizedasset.hpp (1.18), numericalmethod.hpp (1.18),
DayCounters/actual365fixed.hpp (1.2), DayCounters/actualactual.hpp
(1.28):
Hopefully improved docs
2005-02-25 17:35 Luigi Ballabio
* ql/TermStructures/piecewiseyieldcurve.hpp (1.6):
Fix for Doxygen
2005-02-22 14:12 Luigi Ballabio
* ql/FiniteDifferences/Makefile.am (1.18),
ql/FiniteDifferences/all.hpp (1.2),
ql/FiniteDifferences/boundarycondition.hpp (1.17),
ql/FiniteDifferences/core.hpp (1.2),
ql/FiniteDifferences/cranknicolson.hpp (1.22),
ql/FiniteDifferences/expliciteuler.hpp (1.18),
ql/FiniteDifferences/fdtypedefs.hpp (1.12),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.33),
ql/FiniteDifferences/impliciteuler.hpp (1.17),
ql/FiniteDifferences/mixedscheme.hpp (1.19),
ql/FiniteDifferences/operatortraits.hpp (1.4),
ql/FiniteDifferences/parallelevolver.hpp (1.1),
ql/FiniteDifferences/stepcondition.hpp (1.17),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.37),
ql/PricingEngines/Vanilla/Makefile.am (1.17),
ql/PricingEngines/Vanilla/all.hpp (1.7),
ql/PricingEngines/Vanilla/fdamericanengine.hpp (1.1),
ql/PricingEngines/Vanilla/fdeuropeanengine.hpp (1.3),
ql/PricingEngines/Vanilla/fdshoutengine.hpp (1.1),
ql/PricingEngines/Vanilla/fdstepconditionengine.cpp (1.1),
ql/PricingEngines/Vanilla/fdstepconditionengine.hpp (1.1),
test-suite/americanoption.cpp (1.33), test-suite/americanoption.hpp
(1.7), test-suite/quantlibtestsuite.cpp (1.95):
Added FD engines for American and Shout options (thanks to Joseph
Wang)
2005-02-21 10:32 Luigi Ballabio
* ql/PricingEngines/Vanilla/: Makefile.am (1.16), all.hpp (1.6),
fdeuropeanengine.cpp (1.2), fdeuropeanengine.hpp (1.2),
fdvanillaengine.cpp (1.1), fdvanillaengine.hpp (1.1):
Added generic FD vanilla engine and derived FD European engine
(again, thanks to Joseph)
2005-02-21 10:09 Luigi Ballabio
* ql/FiniteDifferences/bsmtermoperator.hpp (1.1):
Time-dependent BSM operato added (thanks to Joseph Wang)
2005-02-21 09:28 Luigi Ballabio
* ql/FiniteDifferences/Makefile.am (1.17),
ql/FiniteDifferences/bsmoperator.cpp (1.17),
ql/FiniteDifferences/bsmoperator.hpp (1.17),
test-suite/operators.cpp (1.13), test-suite/operators.hpp (1.8):
Time-dependent BSM operato added (thanks to Joseph Wang)
2005-02-19 15:42 Luigi Ballabio
* News.txt (1.70), ql/Math/backwardflatinterpolation.hpp (1.2),
ql/Math/cubicspline.hpp (1.59),
ql/Math/forwardflatinterpolation.hpp (1.2),
ql/Math/linearinterpolation.hpp (1.33),
ql/Math/loglinearinterpolation.hpp (1.33),
ql/TermStructures/bootstraptraits.hpp (1.4),
ql/TermStructures/piecewiseyieldcurve.hpp (1.5),
test-suite/piecewiseyieldcurve.cpp (1.5),
test-suite/piecewiseyieldcurve.hpp (1.4):
Added convergence cycle to piecewise yield curve
2005-02-17 17:02 Luigi Ballabio
* ql/Calendars/: Makefile.am (1.26), all.hpp (1.10):
Added Bratislava and Prague calendars
2005-02-17 09:10 Luigi Ballabio
* News.txt (1.68), ql/TermStructures/bootstraptraits.hpp (1.3),
ql/TermStructures/forwardcurve.hpp (1.1),
ql/TermStructures/piecewiseyieldcurve.hpp (1.4),
test-suite/piecewiseyieldcurve.cpp (1.4),
test-suite/piecewiseyieldcurve.hpp (1.3):
Added support for forward-rate interpolation to PiecewiseYieldCurve
2005-02-16 12:34 Luigi Ballabio
* News.txt (1.67), ql/Math/Makefile.am (1.44), ql/Math/all.hpp
(1.7), ql/Math/backwardflatinterpolation.hpp (1.1),
ql/Math/forwardflatinterpolation.hpp (1.1):
Added backward- and forward-flat interpolations
2005-02-16 09:42 Ferdinando Ametrano
* Docs/pages/: history.docs (1.19), where.docs (1.9), authors.docs
(1.33):
updating links NOTICE: we need to have license.html on the web
site, besides license.shtml
2005-02-15 18:11 Luigi Ballabio
* ql/TermStructures/Makefile.am (1.22),
ql/TermStructures/bootstraptraits.hpp (1.2),
ql/TermStructures/discountcurve.hpp (1.45),
ql/TermStructures/zerocurve.hpp (1.20),
test-suite/piecewiseyieldcurve.cpp (1.3),
test-suite/piecewiseyieldcurve.hpp (1.2):
Added support for zero-yield interpolation to PiecewiseYieldCurve
2005-02-15 16:49 Luigi Ballabio
* ql/TermStructures/Makefile.am (1.21),
ql/TermStructures/bootstraptraits.hpp (1.1),
ql/TermStructures/discountcurve.hpp (1.44),
ql/TermStructures/extendeddiscountcurve.cpp (1.27),
ql/TermStructures/piecewiseyieldcurve.hpp (1.2),
test-suite/piecewiseyieldcurve.cpp (1.2):
Added choice of underlying data to PiecewiseYieldCurve
2005-02-15 14:46 Luigi Ballabio
* ql/TermStructures/Makefile.am (1.20), ql/TermStructures/all.hpp
(1.4), ql/TermStructures/discountcurve.hpp (1.43),
ql/TermStructures/piecewiseyieldcurve.hpp (1.1),
test-suite/Makefile.am (1.47), test-suite/piecewiseyieldcurve.cpp
(1.1), test-suite/piecewiseyieldcurve.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.94):
First version of generic piecewise yield curve
2005-02-14 10:31 Luigi Ballabio
* News.txt (1.66), quantlib.el (1.15),
ql/TermStructures/flatforward.hpp (1.52),
test-suite/digitaloption.cpp (1.48):
FlatForward can now take compounded rates
2005-02-12 17:46 Luigi Ballabio
* ql/Math/bicubicsplineinterpolation.hpp (1.22),
ql/Math/bilinearinterpolation.hpp (1.27), ql/Math/cubicspline.hpp
(1.58), ql/Math/linearinterpolation.hpp (1.32),
ql/Math/loglinearinterpolation.hpp (1.32),
ql/TermStructures/discountcurve.hpp (1.42),
ql/Volatilities/blackvariancecurve.cpp (1.19),
ql/Volatilities/blackvariancecurve.hpp (1.38),
ql/Volatilities/blackvariancesurface.cpp (1.19),
ql/Volatilities/blackvariancesurface.hpp (1.39),
ql/Volatilities/capflatvolvector.hpp (1.26),
ql/Volatilities/swaptionvolmatrix.hpp (1.29),
test-suite/compoundforward.cpp (1.31):
Replaced interpolation traits by interpolator objects
2005-02-11 13:02 Luigi Ballabio
* dev_tools/check_all_headers.sh (1.1), dev_tools/check_header.py
(1.1), ql/payoff.hpp (1.12),
ql/FiniteDifferences/shoutcondition.hpp (1.25),
ql/Math/comparison.hpp (1.6), ql/Math/functional.hpp (1.6),
ql/Math/interpolation.hpp (1.36), ql/Math/interpolation2D.hpp
(1.26), ql/Math/kronrodintegral.hpp (1.16),
ql/Math/multicubicspline.hpp (1.8),
ql/MonteCarlo/brownianbridge.hpp (1.25),
ql/Optimization/criteria.hpp (1.21), ql/Patterns/composite.hpp
(1.8), ql/PricingEngines/Forward/forwardengine.hpp (1.22),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.15),
ql/PricingEngines/Quanto/quantoengine.hpp (1.16),
ql/RandomNumbers/randomizedlds.hpp (1.9),
ql/RandomNumbers/randomsequencegenerator.hpp (1.13),
ql/ShortRateModels/parameter.hpp (1.24),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.34),
ql/TermStructures/zerospreadedtermstructure.hpp (1.35),
ql/Utilities/steppingiterator.hpp (1.19), ql/Utilities/strings.hpp
(1.2), ql/Volatilities/capletconstantvol.hpp (1.9):
Enforced self-sufficient headers
2005-02-10 16:34 Luigi Ballabio
* ql/Makefile.am (1.74), ql/argsandresults.hpp (1.18),
ql/capvolstructures.hpp (1.16), ql/core.hpp (1.12),
ql/exchangerate.hpp (1.5), ql/handle.hpp (1.23), ql/history.hpp
(1.29), ql/instrument.hpp (1.37), ql/interestrate.cpp (1.17),
ql/quote.hpp (1.6), ql/schedule.cpp (1.6), ql/schedule.hpp (1.4),
ql/solver1d.hpp (1.32), ql/stochasticprocess.hpp (1.21),
ql/swaptionvolstructure.hpp (1.16), ql/termstructure.hpp (1.63),
ql/voltermstructure.hpp (1.35), ql/yieldtermstructure.hpp (1.1),
ql/CashFlows/Makefile.am (1.15), ql/CashFlows/all.hpp (1.2),
ql/CashFlows/cashflowvectors.cpp (1.41),
ql/CashFlows/floatingratecoupon.hpp (1.36),
ql/CashFlows/indexedcashflowvectors.hpp (1.1),
ql/CashFlows/timebasket.hpp (1.8),
ql/FiniteDifferences/boundarycondition.hpp (1.16),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.33),
ql/Indexes/xibor.hpp (1.38), ql/Instruments/bond.hpp (1.7),
ql/Instruments/capfloor.hpp (1.54),
ql/Instruments/floatingratebond.cpp (1.2), ql/Instruments/swap.hpp
(1.33), ql/Math/array.hpp (1.18),
ql/Math/bivariatenormaldistribution.hpp (1.10),
ql/Math/cubicspline.hpp (1.57), ql/Math/generalstatistics.cpp
(1.17), ql/Math/generalstatistics.hpp (1.19),
ql/Math/incrementalstatistics.cpp (1.16),
ql/Math/incrementalstatistics.hpp (1.14), ql/Math/interpolation.hpp
(1.35), ql/Math/interpolation2D.hpp (1.25),
ql/Math/kronrodintegral.hpp (1.15), ql/Math/multicubicspline.hpp
(1.7), ql/Math/normaldistribution.hpp (1.33),
ql/Math/poissondistribution.hpp (1.12), ql/Math/pseudosqrt.cpp
(1.12), ql/Math/trapezoidintegral.hpp (1.11),
ql/MonteCarlo/pathpricer.hpp (1.24), ql/Pricers/mcpricer.hpp
(1.36), ql/PricingEngines/blackmodel.hpp (1.10),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.35),
ql/RandomNumbers/randomizedlds.hpp (1.8),
ql/RandomNumbers/sobolrsg.cpp (1.40),
ql/ShortRateModels/parameter.hpp (1.23),
ql/TermStructures/discountcurve.hpp (1.41),
ql/TermStructures/flatforward.hpp (1.51),
ql/TermStructures/forwardstructure.hpp (1.8),
ql/TermStructures/impliedtermstructure.hpp (1.29),
ql/TermStructures/zeroyieldstructure.hpp (1.7),
ql/Utilities/Makefile.am (1.13), ql/Utilities/all.hpp (1.5),
ql/Utilities/dataformatters.hpp (1.3), ql/Utilities/dataparsers.cpp
(1.1), ql/Utilities/dataparsers.hpp (1.1),
ql/Utilities/disposable.hpp (1.1), ql/Utilities/null.hpp (1.1),
ql/Volatilities/capletconstantvol.hpp (1.8),
ql/Volatilities/localvolsurface.hpp (1.27), test-suite/bonds.cpp
(1.11), test-suite/calendars.cpp (1.23), test-suite/capfloor.cpp
(1.46), test-suite/dates.cpp (1.14), test-suite/daycounters.cpp
(1.17), test-suite/distributions.cpp (1.25),
test-suite/factorial.cpp (1.19), test-suite/interestrates.cpp
(1.17), test-suite/interpolations.cpp (1.25),
test-suite/mersennetwister.cpp (1.18),
test-suite/piecewiseflatforward.cpp (1.32), test-suite/rounding.cpp
(1.5), test-suite/swap.cpp (1.39), test-suite/termstructures.cpp
(1.37), test-suite/utilities.hpp (1.23), ql/termstructure.hpp
(1.64):
Renamed headers of renamed classes (and wished that Sourceforge
provided Subversion support)
2005-02-10 11:04 Luigi Ballabio
* ql/Instruments/: floatingratebond.cpp (1.1), floatingratebond.hpp
(1.1):
Added zero-coupon and floating-rate bonds
2005-02-10 10:56 Luigi Ballabio
* News.txt (1.65), ql/Instruments/Makefile.am (1.28),
ql/Instruments/all.hpp (1.10), ql/Instruments/fixedcouponbond.cpp
(1.6), ql/Instruments/fixedcouponbond.hpp (1.5),
ql/Instruments/zerocouponbond.cpp (1.1),
ql/Instruments/zerocouponbond.hpp (1.1), test-suite/bonds.cpp
(1.10), test-suite/bonds.hpp (1.5):
Added zero-coupon and floating-rate bonds
2005-02-09 15:49 Luigi Ballabio
* ql/Instruments/fixedcouponbond.cpp (1.5),
ql/Instruments/fixedcouponbond.hpp (1.4), test-suite/bonds.cpp
(1.9):
Allowed different rates for coupons
2005-02-09 15:13 Luigi Ballabio
* test-suite/quantlibtestsuite.cpp (1.93):
More human-readable timing
2005-02-09 13:13 Luigi Ballabio
* ql/Instruments/bond.cpp (1.8), ql/Instruments/bond.hpp (1.6),
ql/Instruments/fixedcouponbond.cpp (1.4),
ql/Instruments/fixedcouponbond.hpp (1.3), test-suite/bonds.cpp
(1.8), test-suite/bonds.hpp (1.4):
Added theoretical bond price calculation
2005-02-08 18:04 Luigi Ballabio
* ql/Instruments/bond.cpp (1.7), ql/Instruments/bond.hpp (1.5),
test-suite/bonds.cpp (1.7):
Bond yield/price calculations can be performed with different
compounding rules
2005-02-08 15:52 Ferdinando Ametrano
* QuantLib.vcproj (1.51), ql/Utilities/tracing.hpp (1.7),
test-suite/testsuite.vcproj (1.30):
VC7 catching up
2005-02-08 12:58 Ferdinando Ametrano
* QuantLib.dsp (1.258), ql/makefile.mak (1.69),
ql/Calendars/makefile.mak (1.30), ql/CashFlows/makefile.mak (1.24),
ql/PricingEngines/Vanilla/makefile.mak (1.15),
ql/TermStructures/makefile.mak (1.25), ql/Utilities/makefile.mak
(1.2), test-suite/testsuite.dsp (1.49):
VC6/Borland catching up
2005-02-07 15:19 Ferdinando Ametrano
* ql/config.msvc.hpp (1.66):
fix (thanks to Philip Craig)
2005-02-06 14:53 Luigi Ballabio
* Docs/Examples/tracing_example.cpp (1.2), ql/Utilities/tracing.cpp
(1.2), ql/Utilities/tracing.hpp (1.6), test-suite/tracing.cpp
(1.4):
Simplified tracing
2005-02-05 17:40 Luigi Ballabio
* News.txt (1.64), ql/TermStructures/Makefile.am (1.19),
ql/TermStructures/discountcurve.hpp (1.40):
Interpolated discount curve with default log-linear instantiation
2005-02-04 13:23 Luigi Ballabio
* News.txt (1.63), ql/date.cpp (1.46), ql/date.hpp (1.46),
ql/Utilities/all.hpp (1.4):
More manipulators
2005-02-04 10:07 Luigi Ballabio
* configure.ac (1.62), ql/userconfig.hpp (1.16):
line number in errors must be explicitly enabled
2005-02-03 14:51 Luigi Ballabio
* Contributors.txt (1.26), Docs/pages/authors.docs (1.32),
ql/PricingEngines/Vanilla/Makefile.am (1.15),
ql/PricingEngines/Vanilla/all.hpp (1.5),
ql/PricingEngines/Vanilla/fdeuropeanengine.cpp (1.1),
ql/PricingEngines/Vanilla/fdeuropeanengine.hpp (1.1),
test-suite/europeanoption.cpp (1.86), test-suite/europeanoption.hpp
(1.18):
FD European engine added (thanks to Joseph Wang)
2005-02-03 11:41 Luigi Ballabio
* ql/: date.cpp (1.45), date.hpp (1.45),
Utilities/dataformatters.hpp (1.2):
Fixes for old compilers
2005-02-03 09:28 Luigi Ballabio
* Docs/Examples/tracing_example.cpp (1.1), ql/history.hpp (1.28),
ql/Utilities/tracing.hpp (1.4):
More tracing macros
2005-02-02 17:06 Luigi Ballabio
* ql/FiniteDifferences/: finitedifferencemodel.hpp (1.32),
mixedscheme.hpp (1.18):
Improved type encapsulation (thanks to Joseph Wang)
2005-02-02 16:25 Luigi Ballabio
* Docs/quantlibfooteronline.html (1.7):
New sf logo address
2005-02-02 14:21 Luigi Ballabio
* ql/currency.hpp (1.28), test-suite/americanoption.cpp (1.32),
test-suite/barrieroption.cpp (1.46), test-suite/basketoption.cpp
(1.40), test-suite/cliquetoption.cpp (1.23),
test-suite/covariance.cpp (1.28), test-suite/digitaloption.cpp
(1.47), test-suite/europeanoption.cpp (1.85),
test-suite/exchangerate.cpp (1.3), test-suite/forwardoption.cpp
(1.20), test-suite/interestrates.cpp (1.16),
test-suite/jumpdiffusion.cpp (1.35), test-suite/matrices.cpp
(1.30), test-suite/money.cpp (1.3), test-suite/old_pricers.cpp
(1.69), test-suite/quantooption.cpp (1.22):
Replaced remaining formatters
2005-02-01 18:51 Luigi Ballabio
* Examples/Swap/swapvaluation.cpp (1.62),
functions/ql/Functions/daycounters.cpp (1.4), ql/currency.cpp
(1.4), ql/currency.hpp (1.26), ql/date.cpp (1.43), ql/date.hpp
(1.43), ql/history.hpp (1.27), ql/interestrate.cpp (1.14),
ql/interestrate.hpp (1.14), ql/schedule.cpp (1.5),
ql/termstructure.hpp (1.62), ql/voltermstructure.cpp (1.25),
ql/CashFlows/parcoupon.cpp (1.20),
ql/CashFlows/shortfloatingcoupon.cpp (1.21),
ql/CashFlows/shortindexedcoupon.hpp (1.15),
ql/Currencies/exchangeratemanager.cpp (1.7),
ql/DayCounters/actualactual.cpp (1.33), ql/Indexes/xibor.cpp
(1.26), ql/Instruments/dividendvanillaoption.cpp (1.6),
ql/Math/array.hpp (1.15), ql/Math/matrix.hpp (1.39),
ql/TermStructures/piecewiseflatforward.cpp (1.59),
ql/Utilities/Makefile.am (1.12), test-suite/americanoption.cpp
(1.31), test-suite/asianoptions.cpp (1.48),
test-suite/barrieroption.cpp (1.45), test-suite/basketoption.cpp
(1.39), test-suite/bonds.cpp (1.6), test-suite/calendars.cpp
(1.22), test-suite/cliquetoption.cpp (1.22), test-suite/dates.cpp
(1.13), test-suite/daycounters.cpp (1.16),
test-suite/digitaloption.cpp (1.46), test-suite/europeanoption.cpp
(1.84), test-suite/forwardoption.cpp (1.19),
test-suite/jumpdiffusion.cpp (1.34), test-suite/quantooption.cpp
(1.21), test-suite/swaption.cpp (1.38):
Replaced more formatters
2005-02-01 12:22 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.70),
Examples/Swap/swapvaluation.cpp (1.61),
functions/ql/Functions/mathf.hpp (1.4), ql/Makefile.am (1.73),
ql/core.hpp (1.11), ql/interestrate.cpp (1.13),
ql/Instruments/dividendvanillaoption.cpp (1.5), ql/Math/array.hpp
(1.14), ql/Math/matrix.hpp (1.38), ql/MonteCarlo/brownianbridge.hpp
(1.24), ql/MonteCarlo/getcovariance.hpp (1.24),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.31),
ql/RandomNumbers/sobolrsg.cpp (1.39), ql/Utilities/Makefile.am
(1.11), ql/Utilities/all.hpp (1.3), ql/Utilities/dataformatters.cpp
(1.1), ql/Utilities/dataformatters.hpp (1.1),
test-suite/americanoption.cpp (1.30), test-suite/asianoptions.cpp
(1.47), test-suite/barrieroption.cpp (1.44),
test-suite/basketoption.cpp (1.38), test-suite/bonds.cpp (1.5),
test-suite/capfloor.cpp (1.45), test-suite/cliquetoption.cpp
(1.21), test-suite/compoundforward.cpp (1.30),
test-suite/digitaloption.cpp (1.45), test-suite/europeanoption.cpp
(1.83), test-suite/forwardoption.cpp (1.18),
test-suite/interestrates.cpp (1.15), test-suite/jumpdiffusion.cpp
(1.33), test-suite/lowdiscrepancysequences.cpp (1.71),
test-suite/old_pricers.cpp (1.68),
test-suite/piecewiseflatforward.cpp (1.31),
test-suite/quantooption.cpp (1.20), test-suite/stats.cpp (1.27),
test-suite/swap.cpp (1.38), test-suite/swaption.cpp (1.37),
test-suite/termstructures.cpp (1.36):
More formatters replaced
2005-01-27 20:05 Eric Ehlers
* Docs/pages/install.docs (1.14):
fix broken link
2005-01-26 18:41 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.69),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.50),
Examples/Swap/swapvaluation.cpp (1.60), ql/Makefile.am (1.72),
ql/core.hpp (1.10), ql/date.cpp (1.42), ql/interestrate.cpp (1.12),
ql/schedule.cpp (1.4), ql/solver1d.hpp (1.31), ql/termstructure.hpp
(1.61), ql/voltermstructure.cpp (1.24), ql/voltermstructure.hpp
(1.34), ql/FiniteDifferences/tridiagonaloperator.cpp (1.32),
ql/Indexes/xibor.cpp (1.25), ql/Instruments/asianoption.cpp (1.21),
ql/Instruments/barrieroption.cpp (1.32),
ql/Instruments/capfloor.cpp (1.63), ql/Math/array.hpp (1.13),
ql/Math/binomialdistribution.hpp (1.9),
ql/Math/bivariatenormaldistribution.hpp (1.9),
ql/Math/gaussianstatistics.hpp (1.26),
ql/Math/generalstatistics.cpp (1.16),
ql/Math/incrementalstatistics.cpp (1.15),
ql/Math/incrementalstatistics.hpp (1.13), ql/Math/interpolation.hpp
(1.34), ql/Math/interpolation2D.hpp (1.24),
ql/Math/kronrodintegral.hpp (1.14), ql/Math/multicubicspline.hpp
(1.6), ql/Math/normaldistribution.cpp (1.29),
ql/Math/normaldistribution.hpp (1.32),
ql/Math/poissondistribution.hpp (1.11), ql/Math/pseudosqrt.cpp
(1.11), ql/Math/riskstatistics.hpp (1.20),
ql/MonteCarlo/brownianbridge.hpp (1.23),
ql/MonteCarlo/getcovariance.cpp (1.15),
ql/MonteCarlo/getcovariance.hpp (1.23),
ql/MonteCarlo/multipathgenerator.hpp (1.55),
ql/MonteCarlo/pathgenerator.hpp (1.63), ql/Pricers/mchimalaya.cpp
(1.47), ql/Pricers/mcmaxbasket.cpp (1.43), ql/Pricers/mcpagoda.cpp
(1.46), ql/Pricers/mcpricer.hpp (1.35),
ql/Pricers/singleassetoption.cpp (1.31),
ql/PricingEngines/blackformula.cpp (1.10),
ql/PricingEngines/mcsimulation.hpp (1.14),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.10),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.30),
ql/RandomNumbers/randomizedlds.hpp (1.7),
ql/RandomNumbers/sobolrsg.cpp (1.38),
ql/ShortRateModels/parameter.hpp (1.22), ql/Solvers1D/bisection.hpp
(1.20), ql/Solvers1D/brent.hpp (1.20),
ql/Solvers1D/falseposition.hpp (1.19), ql/Solvers1D/newton.hpp
(1.21), ql/Solvers1D/newtonsafe.hpp (1.21), ql/Solvers1D/ridder.hpp
(1.20), ql/Solvers1D/secant.hpp (1.20),
ql/TermStructures/compoundforward.hpp (1.43),
ql/TermStructures/extendeddiscountcurve.hpp (1.25),
ql/Volatilities/localvolsurface.cpp (1.20),
test-suite/americanoption.cpp (1.29), test-suite/asianoptions.cpp
(1.46), test-suite/barrieroption.cpp (1.43),
test-suite/basketoption.cpp (1.37), test-suite/bonds.cpp (1.4),
test-suite/calendars.cpp (1.21), test-suite/capfloor.cpp (1.44),
test-suite/cliquetoption.cpp (1.20), test-suite/compoundforward.cpp
(1.29), test-suite/covariance.cpp (1.27), test-suite/dates.cpp
(1.12), test-suite/daycounters.cpp (1.15),
test-suite/digitaloption.cpp (1.44), test-suite/distributions.cpp
(1.24), test-suite/europeanoption.cpp (1.82),
test-suite/factorial.cpp (1.18), test-suite/forwardoption.cpp
(1.17), test-suite/integrals.cpp (1.12),
test-suite/interestrates.cpp (1.14), test-suite/interpolations.cpp
(1.24), test-suite/jumpdiffusion.cpp (1.32),
test-suite/lowdiscrepancysequences.cpp (1.70),
test-suite/matrices.cpp (1.29), test-suite/mersennetwister.cpp
(1.17), test-suite/old_pricers.cpp (1.67), test-suite/operators.cpp
(1.12), test-suite/piecewiseflatforward.cpp (1.30),
test-suite/quantooption.cpp (1.19), test-suite/quotes.cpp (1.8),
test-suite/riskstats.cpp (1.39), test-suite/rngtraits.cpp (1.3),
test-suite/rounding.cpp (1.4), test-suite/solvers.cpp (1.13),
test-suite/stats.cpp (1.26), test-suite/swap.cpp (1.37),
test-suite/swaption.cpp (1.36), test-suite/termstructures.cpp
(1.35):
Started to replace formatters with stream manipulators
2005-01-24 17:03 Luigi Ballabio
* ql/Makefile.am (1.71), ql/settings.hpp (1.9),
ql/Utilities/.cvsignore (1.3), ql/Utilities/Makefile.am (1.10),
ql/Utilities/makefile.mak (1.1), ql/Utilities/tracing.cpp (1.1),
ql/Utilities/tracing.hpp (1.3), test-suite/tracing.cpp (1.3):
Moved tracing interface to a less visible place
2005-01-24 16:54 Luigi Ballabio
* ql/RandomNumbers/sobolrsg.cpp (1.37):
Removed unneeded #include
2005-01-24 14:33 Luigi Ballabio
* ql/: errors.cpp (1.10), errors.hpp (1.22):
Allowed QL_REQUIRE(cond, x << y << z) syntax
2005-01-23 19:27 Ferdinando Ametrano
* ql/makefile.mak (1.68), ql/Calendars/unitedstates.hpp (1.6),
test-suite/makefile.mak (1.52):
Borland catching up
2005-01-23 19:21 Ferdinando Ametrano
* ql/Calendars/unitedstates.cpp (1.5),
ql/Calendars/unitedstates.hpp (1.5), test-suite/calendars.cpp
(1.20):
NYSE holiday rule fixed, and special closings added. Thanks to
Hasmet Akgun
2005-01-23 19:12 Ferdinando Ametrano
* ql/date.hpp (1.42):
short names allowed
2005-01-20 14:41 Luigi Ballabio
* ql/Utilities/tracing.hpp (1.2), test-suite/tracing.cpp (1.2):
Modified tracing levels
2005-01-20 14:18 Luigi Ballabio
* test-suite/: old_pricers.cpp (1.66), old_pricers.hpp (1.15):
Added test for FD American options with dividends (thanks to Joseph
Wang)
2005-01-19 18:10 Luigi Ballabio
* News.txt (1.62), configure.ac (1.61), Docs/pages/config.docs
(1.3), ql/Makefile.am (1.70), ql/settings.hpp (1.8),
ql/userconfig.hpp (1.15), ql/Utilities/Makefile.am (1.9),
ql/Utilities/tracing.hpp (1.1), test-suite/Makefile.am (1.46),
test-suite/quantlibtestsuite.cpp (1.92), test-suite/tracing.cpp
(1.1), test-suite/tracing.hpp (1.1):
First try at tracing facility
2005-01-18 16:50 Luigi Ballabio
* ql/: settings.hpp (1.7), Currencies/exchangeratemanager.cpp
(1.6), Currencies/exchangeratemanager.hpp (1.5),
Patterns/singleton.hpp (1.6), RandomNumbers/seedgenerator.cpp
(1.5):
Removed explicit initialization method from singletons
2005-01-17 20:01 Ferdinando Ametrano
* QuantLib.nsi (1.109):
VC8 link
2005-01-17 19:35 Ferdinando Ametrano
* QuantLib.nsi (1.108):
more specific
2005-01-14 20:42 Ferdinando Ametrano
* Makefile.am (1.94), Examples/BermudanSwaption/Makefile.am (1.11),
Examples/DiscreteHedging/Makefile.am (1.18),
Examples/Swap/Makefile.am (1.13),
functions/ql/Functions/Makefile.am (1.7), test-suite/Makefile.am
(1.45):
distributing VC8 project files too
2005-01-14 17:09 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.68),
ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp (1.4),
ql/PricingEngines/CapFloor/treecapfloorengine.hpp (1.5):
Re-enabled volatility print-out for Darwin (thanks to Aurelien
Chanudet)
2005-01-14 16:37 Luigi Ballabio
* ql/discretizedasset.cpp (1.10):
Bug fix
2005-01-12 12:49 Luigi Ballabio
* ql/: option.hpp (1.34), solver1d.hpp (1.30),
FiniteDifferences/mixedscheme.hpp (1.17), Instruments/bond.hpp
(1.3), Instruments/capfloor.hpp (1.53),
Instruments/cliquetoption.hpp (1.15), Instruments/swaption.hpp
(1.44), Math/pseudosqrt.hpp (1.7),
PricingEngines/Asian/analytic_cont_geom_av_price.hpp (1.4),
PricingEngines/Asian/analytic_discr_geom_av_price.hpp (1.4),
PricingEngines/Cliquet/analyticcliquetengine.hpp (1.4),
PricingEngines/Forward/forwardengine.hpp (1.21),
PricingEngines/Forward/forwardperformanceengine.hpp (1.14),
PricingEngines/Quanto/quantoengine.hpp (1.15),
PricingEngines/Vanilla/analyticdigitalamericanengine.hpp (1.5),
PricingEngines/Vanilla/analyticeuropeanengine.hpp (1.5),
PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.11),
RandomNumbers/haltonrsg.hpp (1.14), RandomNumbers/sobolrsg.hpp
(1.24), TermStructures/compoundforward.hpp (1.42),
TermStructures/forwardspreadedtermstructure.hpp (1.33),
TermStructures/impliedtermstructure.hpp (1.28),
TermStructures/piecewiseflatforward.hpp (1.49),
TermStructures/zerospreadedtermstructure.hpp (1.34):
Docs formatting
2005-01-12 11:21 Ferdinando Ametrano
* ql/Math/multicubicspline.hpp (1.5):
doc formatting
2005-01-12 11:21 Ferdinando Ametrano
* QuantLib.nsi (1.107):
installer new name
2005-01-11 20:09 Ferdinando Ametrano
* .cvsignore (1.13), QuantLib.dsp (1.257), QuantLib.vcproj (1.50),
QuantLib_vc8.sln (1.1), QuantLib_vc8.vcproj (1.1),
Examples/BermudanSwaption/.cvsignore (1.15),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.18),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.12),
Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj (1.1),
Examples/DiscreteHedging/.cvsignore (1.15),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.20),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.12),
Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj (1.1),
Examples/Swap/.cvsignore (1.15), Examples/Swap/Swap.dsp (1.19),
Examples/Swap/Swap.vcproj (1.12), Examples/Swap/Swap_vc8.vcproj
(1.1), functions/ql/Functions/.cvsignore (1.6),
functions/ql/Functions/QuantLibFunctions.dsp (1.12),
functions/ql/Functions/QuantLibFunctions.vcproj (1.13),
functions/ql/Functions/QuantLibFunctions_vc8.vcproj (1.1),
ql/config.msvc.hpp (1.65), test-suite/.cvsignore (1.20),
test-suite/testsuite.dsp (1.48), test-suite/testsuite.vcproj
(1.29), test-suite/testsuite_vc8.vcproj (1.1):
VC8 early support
2005-01-11 18:27 Ferdinando Ametrano
* QuantLib.vcproj (1.49), ql/config.msvc.hpp (1.64),
test-suite/testsuite.vcproj (1.28):
NOMINMAX handling
2005-01-11 13:10 Ferdinando Ametrano
* ql/Math/matrix.hpp (1.37):
fix
2005-01-10 20:56 Ferdinando Ametrano
* Examples/BermudanSwaption/.cvsignore (1.13),
Examples/DiscreteHedging/.cvsignore (1.13),
Examples/Swap/.cvsignore (1.13), test-suite/makefile.mak (1.51):
no message
2005-01-10 20:52 Ferdinando Ametrano
* Examples/: BermudanSwaption/BermudanSwaption.dsp (1.17),
DiscreteHedging/DiscreteHedging.dsp (1.19), Swap/Swap.dsp (1.18):
all the binaries in the same folder
2005-01-10 20:45 Ferdinando Ametrano
* Examples/: BermudanSwaption/.cvsignore (1.12),
BermudanSwaption/BermudanSwaption.vcproj (1.11),
BermudanSwaption/makefile.mak (1.19), DiscreteHedging/.cvsignore
(1.12), DiscreteHedging/DiscreteHedging.vcproj (1.11),
DiscreteHedging/makefile.mak (1.22), Swap/.cvsignore (1.12),
Swap/Swap.vcproj (1.11), Swap/makefile.mak (1.22):
all the binaries in the same folder
2005-01-10 19:56 Ferdinando Ametrano
* QuantLib.dsp (1.256), QuantLib.vcproj (1.48),
Docs/pages/usage.docs (1.18),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.16),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.10),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.18),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.10),
Examples/Swap/Swap.dsp (1.17), Examples/Swap/Swap.vcproj (1.10),
functions/ql/Functions/QuantLibFunctions.dsp (1.11),
functions/ql/Functions/QuantLibFunctions.vcproj (1.12),
ql/config.msvc.hpp (1.63), test-suite/testsuite.dsp (1.47),
test-suite/testsuite.vcproj (1.27):
NOMINMAX preprocessor define removed
2005-01-10 19:46 Ferdinando Ametrano
* Examples/: BermudanSwaption/.cvsignore (1.11),
BermudanSwaption/BermudanSwaption.dev (1.1),
DiscreteHedging/.cvsignore (1.11),
DiscreteHedging/DiscreteHedging.dev (1.1), Swap/.cvsignore (1.11),
Swap/Swap.dev (1.1):
added Dev-C++ project files. Some investigation is needed: a)
DiscreteHedging, BermudanSwaption, and Swap have many compilation
warnings b) BermudanSwaption fails compilation c) Swap executable
crashes
2005-01-10 19:27 Ferdinando Ametrano
* ql/Pricers/singleassetoption.hpp (1.35):
fix
2005-01-10 15:47 Luigi Ballabio
* News.txt (1.61), ql/TermStructures/discountcurve.hpp (1.39):
DiscountCurve with settable interpolation
2005-01-10 14:49 Ferdinando Ametrano
* makefile.mak (1.60), Docs/makefile.mak (1.39),
functions/ql/Functions/makefile.mak (1.7), ql/makefile.mak (1.67),
test-suite/makefile.mak (1.50):
Borland version handling improved
2005-01-10 14:41 Ferdinando Ametrano
* Docs/: .cvsignore (1.7), README.txt (1.27), makefile.mak (1.38),
quantlib.doxy (1.94):
more fixes for Win32
2005-01-10 12:54 Luigi Ballabio
* Docs/Makefile.am (1.74):
Didn't work
2005-01-07 19:09 Ferdinando Ametrano
* Docs/: .cvsignore (1.6), Makefile.am (1.73), makefile.mak (1.37),
quantlib.doxy (1.93):
doc generation makefiles refactored to allow more modularity and
Win32 generation.
Luigi: please check that makefile.am is still working ;-) I edited
it but I couldn't test it
2005-01-07 18:20 Ferdinando Ametrano
* QuantLib.nsi (1.106), Readme.txt (1.25), makefile.mak (1.59):
updated
2005-01-05 12:42 Ferdinando Ametrano
* QuantLib.dsp (1.255):
catching up
2005-01-05 12:04 Ferdinando Ametrano
* QuantLib.vcproj (1.47):
catching up
2005-01-04 18:27 Luigi Ballabio
* Docs/: quantlibheader.html (1.28), pages/faq.docs (1.12):
Moved developer intro to ql-site
2005-01-03 13:31 Luigi Ballabio
* Docs/: quantlib.css (1.12), quantlib.doxy (1.92):
Upgraded to Doxygen 1.4.0
2004-12-31 09:08 Luigi Ballabio
* configure.ac (1.60), ql/config.ansi.hpp (1.33), ql/config.bcc.hpp
(1.34), ql/config.mingw.hpp (1.6), ql/config.msvc.hpp (1.62),
ql/config.mwcw.hpp (1.30), ql/discretizedasset.hpp (1.17),
ql/qldefines.hpp (1.92), ql/solver1d.hpp (1.29),
ql/voltermstructure.cpp (1.23), ql/CashFlows/fixedratecoupon.hpp
(1.25), ql/CashFlows/floatingratecoupon.hpp (1.35),
ql/Currencies/exchangeratemanager.cpp (1.5),
ql/DayCounters/thirty360.cpp (1.21),
ql/FiniteDifferences/americancondition.hpp (1.27),
ql/FiniteDifferences/shoutcondition.hpp (1.24),
ql/Instruments/bond.cpp (1.4), ql/Instruments/capfloor.cpp (1.62),
ql/Instruments/payoffs.hpp (1.15), ql/Instruments/swap.cpp (1.38),
ql/Math/bivariatenormaldistribution.cpp (1.11),
ql/Math/choleskydecomposition.cpp (1.7), ql/Math/cubicspline.hpp
(1.56), ql/Math/discrepancystatistics.cpp (1.10),
ql/Math/discrepancystatistics.hpp (1.15),
ql/Math/gaussianstatistics.hpp (1.25),
ql/Math/incrementalstatistics.cpp (1.14), ql/Math/matrix.hpp
(1.36), ql/Math/pseudosqrt.cpp (1.10), ql/Math/riskstatistics.hpp
(1.19), ql/Math/svd.cpp (1.11), ql/Pricers/mccliquetoption.cpp
(1.35), ql/Pricers/mceverest.cpp (1.43), ql/Pricers/mchimalaya.cpp
(1.46), ql/Pricers/mcmaxbasket.cpp (1.42), ql/Pricers/mcpagoda.cpp
(1.45), ql/Pricers/mcpricer.hpp (1.34),
ql/PricingEngines/blackmodel.hpp (1.9),
ql/PricingEngines/mcsimulation.hpp (1.13),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.30),
ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.3),
ql/PricingEngines/CapFloor/discretizedcapfloor.cpp (1.6),
ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.10),
ql/PricingEngines/Swaption/discretizedswaption.cpp (1.6),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.20),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.9),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.29),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.34),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.36),
ql/RandomNumbers/sobolrsg.cpp (1.36),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.26),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.29), ql/TermStructures/drifttermstructure.hpp (1.20),
ql/TermStructures/quantotermstructure.hpp (1.23),
ql/TermStructures/ratehelpers.cpp (1.58),
ql/Volatilities/localvolsurface.cpp (1.19),
test-suite/calendars.cpp (1.19),
test-suite/lowdiscrepancysequences.cpp (1.69),
test-suite/old_pricers.cpp (1.65), test-suite/riskstats.cpp (1.38):
removed two more macros
2004-12-30 16:40 Luigi Ballabio
* configure.ac (1.59), ql/config.ansi.hpp (1.32), ql/config.bcc.hpp
(1.33), ql/config.mingw.hpp (1.5), ql/config.msvc.hpp (1.61),
ql/config.mwcw.hpp (1.29), ql/date.cpp (1.41), ql/qldefines.hpp
(1.91), ql/types.hpp (1.18), ql/RandomNumbers/seedgenerator.cpp
(1.4):
Removed a few more macros
2004-12-30 12:44 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.49),
Examples/Swap/swapvaluation.cpp (1.59), ql/interestrate.cpp (1.11),
ql/solver1d.hpp (1.28), ql/stochasticprocess.cpp (1.12),
ql/voltermstructure.cpp (1.22), ql/voltermstructure.hpp (1.33),
ql/FiniteDifferences/shoutcondition.hpp (1.23),
ql/Instruments/bond.cpp (1.3), ql/Instruments/swaption.cpp (1.49),
ql/Lattices/binomialtree.cpp (1.27), ql/Lattices/trinomialtree.cpp
(1.23), ql/Math/array.hpp (1.12), ql/Math/beta.cpp (1.7),
ql/Math/beta.hpp (1.4), ql/Math/binomialdistribution.hpp (1.8),
ql/Math/bivariatenormaldistribution.cpp (1.10),
ql/Math/chisquaredistribution.cpp (1.14),
ql/Math/choleskydecomposition.cpp (1.6), ql/Math/comparison.hpp
(1.5), ql/Math/cubicspline.hpp (1.55),
ql/Math/discrepancystatistics.cpp (1.9),
ql/Math/discrepancystatistics.hpp (1.14), ql/Math/errorfunction.cpp
(1.8), ql/Math/factorial.cpp (1.6), ql/Math/gammadistribution.cpp
(1.14), ql/Math/gaussianstatistics.hpp (1.24),
ql/Math/generalstatistics.hpp (1.18), ql/Math/incompletegamma.cpp
(1.6), ql/Math/incrementalstatistics.hpp (1.12),
ql/Math/kronrodintegral.hpp (1.13),
ql/Math/loglinearinterpolation.hpp (1.31),
ql/Math/normaldistribution.cpp (1.28),
ql/Math/normaldistribution.hpp (1.31),
ql/Math/poissondistribution.hpp (1.10), ql/Math/primenumbers.cpp
(1.14), ql/Math/pseudosqrt.cpp (1.9), ql/Math/riskstatistics.hpp
(1.18), ql/Math/rounding.cpp (1.5), ql/Math/sequencestatistics.hpp
(1.28), ql/Math/simpsonintegral.hpp (1.10), ql/Math/svd.cpp (1.10),
ql/Math/symmetricschurdecomposition.cpp (1.22),
ql/Math/trapezoidintegral.hpp (1.10),
ql/MonteCarlo/brownianbridge.hpp (1.22),
ql/MonteCarlo/getcovariance.cpp (1.14),
ql/MonteCarlo/getcovariance.hpp (1.22),
ql/MonteCarlo/multipathgenerator.hpp (1.54),
ql/MonteCarlo/pathgenerator.hpp (1.62),
ql/Optimization/conjugategradient.cpp (1.23),
ql/Optimization/criteria.hpp (1.20), ql/Optimization/simplex.cpp
(1.13), ql/Optimization/steepestdescent.cpp (1.20),
ql/Pricers/discretegeometricaso.cpp (1.19),
ql/Pricers/mccliquetoption.cpp (1.34),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.38),
ql/Pricers/mceverest.cpp (1.42), ql/Pricers/mchimalaya.cpp (1.45),
ql/Pricers/mcmaxbasket.cpp (1.41), ql/Pricers/mcpagoda.cpp (1.44),
ql/Pricers/mcperformanceoption.cpp (1.30),
ql/PricingEngines/americanpayoffatexpiry.cpp (1.4),
ql/PricingEngines/americanpayoffathit.cpp (1.4),
ql/PricingEngines/blackformula.cpp (1.9),
ql/PricingEngines/blackmodel.hpp (1.8),
ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.8),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.9),
ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.9),
ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp (1.3),
ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.8),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.19),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.10),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.28),
ql/PricingEngines/Basket/mcbasketengine.cpp (1.8),
ql/PricingEngines/Basket/stulzengine.cpp (1.19),
ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.2),
ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.9),
ql/PricingEngines/Swaption/blackswaptionengine.cpp (1.2),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.19),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.19),
ql/PricingEngines/Vanilla/integralengine.cpp (1.9),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.28),
ql/PricingEngines/Vanilla/juquadraticengine.cpp (1.7),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.11),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.35),
ql/RandomNumbers/boxmullergaussianrng.hpp (1.16),
ql/RandomNumbers/faurersg.cpp (1.5),
ql/ShortRateModels/calibrationhelper.hpp (1.25),
ql/ShortRateModels/model.cpp (1.24),
ql/ShortRateModels/onefactormodel.hpp (1.19),
ql/ShortRateModels/twofactormodel.hpp (1.16),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.21),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.19),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.25),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.24),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.28),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.26), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.24),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.25),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.13),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.25),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.29),
ql/Solvers1D/bisection.hpp (1.19), ql/Solvers1D/brent.hpp (1.19),
ql/Solvers1D/falseposition.hpp (1.18), ql/Solvers1D/newton.hpp
(1.20), ql/Solvers1D/newtonsafe.hpp (1.20), ql/Solvers1D/ridder.hpp
(1.19), ql/Solvers1D/secant.hpp (1.19),
ql/TermStructures/extendeddiscountcurve.cpp (1.25),
ql/TermStructures/flatforward.hpp (1.49),
ql/TermStructures/forwardstructure.hpp (1.7),
ql/TermStructures/piecewiseflatforward.cpp (1.58),
ql/TermStructures/zeroyieldstructure.hpp (1.6),
ql/Volatilities/localvolcurve.hpp (1.18),
ql/Volatilities/localvolsurface.cpp (1.18),
test-suite/americanoption.cpp (1.28), test-suite/asianoptions.cpp
(1.45), test-suite/barrieroption.cpp (1.42),
test-suite/basketoption.cpp (1.36), test-suite/bonds.cpp (1.3),
test-suite/capfloor.cpp (1.43), test-suite/cliquetoption.cpp
(1.19), test-suite/compoundforward.cpp (1.27),
test-suite/covariance.cpp (1.26), test-suite/daycounters.cpp
(1.14), test-suite/digitaloption.cpp (1.43),
test-suite/distributions.cpp (1.23), test-suite/europeanoption.cpp
(1.81), test-suite/factorial.cpp (1.17),
test-suite/forwardoption.cpp (1.16), test-suite/integrals.cpp
(1.11), test-suite/interestrates.cpp (1.13),
test-suite/interpolations.cpp (1.23), test-suite/jumpdiffusion.cpp
(1.31), test-suite/lowdiscrepancysequences.cpp (1.68),
test-suite/matrices.cpp (1.28), test-suite/mersennetwister.cpp
(1.16), test-suite/old_pricers.cpp (1.64),
test-suite/piecewiseflatforward.cpp (1.29),
test-suite/quantooption.cpp (1.18), test-suite/quotes.cpp (1.7),
test-suite/riskstats.cpp (1.37), test-suite/rngtraits.cpp (1.2),
test-suite/solvers.cpp (1.12), test-suite/stats.cpp (1.25),
test-suite/swap.cpp (1.36), test-suite/swaption.cpp (1.35),
test-suite/termstructures.cpp (1.34), test-suite/utilities.cpp
(1.17), test-suite/utilities.hpp (1.22):
removing macros
2004-12-29 13:13 Luigi Ballabio
* ql/discretizedasset.cpp (1.9):
Fix for VC6 'for' scope
2004-12-29 13:10 Luigi Ballabio
* configure.ac (1.58), ql/config.ansi.hpp (1.31), ql/config.bcc.hpp
(1.32), ql/config.mingw.hpp (1.4), ql/config.msvc.hpp (1.60),
ql/config.mwcw.hpp (1.28), ql/qldefines.hpp (1.90):
Using Boost to remove a few portability checks and macros
2004-12-28 16:20 Luigi Ballabio
* ql/: errors.cpp (1.9), errors.hpp (1.21):
Error class safe from terminate()
2004-12-16 16:17 Luigi Ballabio
* ql/: discretizedasset.cpp (1.8), exercise.cpp (1.12),
exercise.hpp (1.32):
Cosmetic changes and one better check
2004-12-13 12:49 Luigi Ballabio
* ql/Math/: bicubicsplineinterpolation.hpp (1.21),
bilinearinterpolation.hpp (1.26), cubicspline.hpp (1.54),
interpolation.hpp (1.33), interpolation2D.hpp (1.23),
linearinterpolation.hpp (1.31), loglinearinterpolation.hpp (1.30):
Added manual method for updating interpolation when underlying data
change
2004-12-09 12:46 Luigi Ballabio
* QuantLib.dev (1.8):
Merged 0.3.8 branch
2004-12-09 11:29 Ferdinando Ametrano
* functions/ql/Functions/QuantLibFunctions.vcproj (1.11):
fix for Boost 1.32
2004-12-08 14:13 Luigi Ballabio
* Announce.txt (1.2), Contributors.txt (1.25), LICENSE.TXT (1.19),
Makefile.am (1.93), QuantLib.dsp (1.254), QuantLib.nsi (1.105),
QuantLib.vcproj (1.46), Readme.txt (1.23), acinclude.m4 (1.16),
autogen.sh (1.2), configure.ac (1.57), makefile.mak (1.58),
Docs/Makefile.am (1.71), Docs/pages/authors.docs (1.31),
Docs/pages/faq.docs (1.9), Docs/pages/history.docs (1.18),
Docs/pages/install.docs (1.13), Docs/pages/overview.docs (1.18),
Docs/pages/resources.docs (1.9), Docs/pages/usage.docs (1.17),
dev_tools/windist (1.2),
functions/ql/Functions/QuantLibFunctions.dsp (1.10),
functions/ql/Functions/QuantLibFunctions.vcproj (1.10),
ql/calendar.hpp (1.45), ql/config.ansi.hpp (1.30),
ql/config.bcc.hpp (1.31), ql/config.mingw.hpp (1.3),
ql/config.msvc.hpp (1.59), ql/config.mwcw.hpp (1.27),
ql/currency.hpp (1.25), ql/interestrate.cpp (1.10),
ql/interestrate.hpp (1.13), ql/qldefines.hpp (1.89),
ql/termstructure.hpp (1.60), ql/CashFlows/cashflowvectors.cpp
(1.40), ql/CashFlows/indexedcoupon.hpp (1.19),
ql/Instruments/Makefile.am (1.27), ql/Instruments/all.hpp (1.9),
ql/Instruments/asianoption.hpp (1.21),
ql/Instruments/basketoption.hpp (1.12), ql/Instruments/bond.cpp
(1.2), ql/Instruments/bond.hpp (1.2),
ql/Instruments/fixedcouponbond.cpp (1.2),
ql/Instruments/fixedcouponbond.hpp (1.2),
ql/Instruments/makefile.mak (1.36), ql/Math/array.hpp (1.11),
ql/Math/bicubicsplineinterpolation.hpp (1.20),
ql/Math/bilinearinterpolation.hpp (1.25), ql/Math/cubicspline.hpp
(1.53), ql/Math/generalstatistics.hpp (1.17),
ql/Math/incrementalstatistics.hpp (1.11), ql/Math/interpolation.hpp
(1.32), ql/Math/interpolation2D.hpp (1.22),
ql/Math/linearinterpolation.hpp (1.30),
ql/Math/loglinearinterpolation.hpp (1.29), ql/Math/matrix.hpp
(1.35), ql/Math/multicubicspline.hpp (1.4),
ql/MonteCarlo/mctraits.hpp (1.14), ql/Optimization/armijo.cpp
(1.20), ql/Optimization/armijo.hpp (1.20),
ql/Pricers/mccliquetoption.hpp (1.23),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.26),
ql/Pricers/mceverest.hpp (1.28), ql/Pricers/mcmaxbasket.hpp (1.28),
ql/Pricers/mcpagoda.hpp (1.29), ql/Pricers/mcperformanceoption.hpp
(1.21), ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp
(1.8), ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp
(1.3), ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.8),
ql/PricingEngines/Swaption/g2swaptionengine.hpp (1.4),
ql/RandomNumbers/faurersg.cpp (1.4),
ql/RandomNumbers/mt19937uniformrng.cpp (1.12),
ql/RandomNumbers/mt19937uniformrng.hpp (1.15),
ql/RandomNumbers/randomizedlds.hpp (1.6),
ql/RandomNumbers/sobolrsg.hpp (1.23), test-suite/.cvsignore (1.19),
test-suite/Makefile.am (1.44), test-suite/asianoptions.cpp (1.44),
test-suite/bonds.cpp (1.2), test-suite/bonds.hpp (1.2),
test-suite/digitaloption.cpp (1.42), test-suite/interestrates.cpp
(1.12), test-suite/makefile.mak (1.49),
test-suite/mersennetwister.cpp (1.15),
test-suite/quantlibtestsuite.cpp (1.91), test-suite/testsuite.dsp
(1.46), test-suite/testsuite.vcproj (1.26):
Merged 0.3.8 branch
2004-12-06 14:05 Ferdinando Ametrano
* test-suite/distributions.cpp (1.22):
test large values
2004-12-06 14:04 Ferdinando Ametrano
* ql/Math/bivariatenormaldistribution.cpp (1.9):
fix for large numbers
2004-11-19 18:59 Ferdinando Ametrano
* dev_tools/windist (1.1):
file windist was initially added on branch R000308f0-branch.
2004-11-19 11:32 Luigi Ballabio
* Announce.txt (1.1):
file Announce.txt was initially added on branch R000308f0-branch.
2004-11-08 11:20 Luigi Ballabio
* autogen.sh (1.1):
file autogen.sh was initially added on branch R000308f0-branch.
2004-11-08 09:31 Luigi Ballabio
* ql/Instruments/bond.cpp (1.1):
file bond.cpp was initially added on branch R000308f0-branch.
2004-11-08 09:31 Luigi Ballabio
* ql/Instruments/bond.hpp (1.1):
file bond.hpp was initially added on branch R000308f0-branch.
2004-11-08 09:31 Luigi Ballabio
* test-suite/bonds.cpp (1.1):
file bonds.cpp was initially added on branch R000308f0-branch.
2004-11-08 09:31 Luigi Ballabio
* test-suite/bonds.hpp (1.1):
file bonds.hpp was initially added on branch R000308f0-branch.
2004-11-08 09:31 Luigi Ballabio
* ql/Instruments/fixedcouponbond.cpp (1.1):
file fixedcouponbond.cpp was initially added on branch
R000308f0-branch.
2004-11-08 09:31 Luigi Ballabio
* ql/Instruments/fixedcouponbond.hpp (1.1):
file fixedcouponbond.hpp was initially added on branch
R000308f0-branch.
2004-11-04 21:29 Ferdinando Ametrano
* ql/config.msvc.hpp (1.58), ql/qldefines.hpp (1.88),
test-suite/quantlibtestsuite.cpp (1.90),
test-suite/testsuite.vcproj (1.25):
version number bumping, VC settings
2004-11-03 20:54 Ferdinando Ametrano
* functions/ql/Functions/QuantLibFunctions.dsp (1.9),
functions/ql/Functions/makefile.mak (1.6), ql/makefile.mak (1.66),
test-suite/makefile.mak (1.48):
catching up
2004-11-03 20:03 Ferdinando Ametrano
* QuantLib.vcproj (1.45), ql/makefile.mak (1.65),
ql/Indexes/makefile.mak (1.21), ql/Pricers/makefile.mak (1.47):
catching up
2004-11-03 19:56 Ferdinando Ametrano
* test-suite/bin/.cvsignore (1.3):
no message
2004-11-03 11:39 Luigi Ballabio
* QuantLib.dev (1.7), QuantLib.dsp (1.253),
functions/ql/Functions/QuantLibFunctions.dev (1.5),
functions/ql/Functions/QuantLibFunctions.dsp (1.8):
Bumped version number
2004-10-27 16:46 Luigi Ballabio
* configure.ac (1.56), ql/Makefile.am (1.69),
ql/capvolstructures.hpp (1.15), ql/config.ansi.hpp (1.29),
ql/config.bcc.hpp (1.30), ql/config.mingw.hpp (1.2),
ql/config.msvc.hpp (1.57), ql/config.mwcw.hpp (1.26), ql/core.hpp
(1.9), ql/currency.cpp (1.3), ql/currency.hpp (1.24), ql/date.hpp
(1.41), ql/discretizedasset.hpp (1.16), ql/qldefines.hpp (1.87),
ql/swaptionvolstructure.hpp (1.15), ql/termstructure.hpp (1.59),
ql/voltermstructure.hpp (1.32), ql/CashFlows/floatingratecoupon.hpp
(1.34), ql/CashFlows/indexedcoupon.hpp (1.18),
ql/CashFlows/parcoupon.cpp (1.19), ql/CashFlows/parcoupon.hpp
(1.15), ql/CashFlows/shortfloatingcoupon.cpp (1.20),
ql/CashFlows/shortfloatingcoupon.hpp (1.20),
ql/DayCounters/Makefile.am (1.11), ql/DayCounters/all.hpp (1.3),
ql/FiniteDifferences/americancondition.hpp (1.26),
ql/FiniteDifferences/shoutcondition.hpp (1.22),
ql/FiniteDifferences/stepcondition.hpp (1.16),
ql/Indexes/Makefile.am (1.11), ql/Indexes/core.hpp (1.3),
ql/Indexes/xibor.cpp (1.24), ql/Indexes/xibor.hpp (1.37),
ql/Pricers/Makefile.am (1.44), ql/Pricers/all.hpp (1.7),
ql/PricingEngines/CapFloor/discretizedcapfloor.hpp (1.6),
ql/PricingEngines/Swaption/discretizedswaption.hpp (1.6),
ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.7),
ql/RandomNumbers/Makefile.am (1.22), ql/RandomNumbers/all.hpp
(1.8), ql/TermStructures/Makefile.am (1.18),
ql/TermStructures/all.hpp (1.3),
ql/TermStructures/compoundforward.cpp (1.52),
ql/TermStructures/compoundforward.hpp (1.40),
ql/TermStructures/discountcurve.hpp (1.38),
ql/TermStructures/drifttermstructure.hpp (1.19),
ql/TermStructures/extendeddiscountcurve.cpp (1.23),
ql/TermStructures/extendeddiscountcurve.hpp (1.23),
ql/TermStructures/flatforward.hpp (1.48),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.32),
ql/TermStructures/forwardstructure.hpp (1.6),
ql/TermStructures/impliedtermstructure.hpp (1.27),
ql/TermStructures/piecewiseflatforward.cpp (1.57),
ql/TermStructures/piecewiseflatforward.hpp (1.48),
ql/TermStructures/quantotermstructure.hpp (1.22),
ql/TermStructures/ratehelpers.hpp (1.48),
ql/TermStructures/zerocurve.hpp (1.19),
ql/TermStructures/zerospreadedtermstructure.hpp (1.33),
ql/TermStructures/zeroyieldstructure.hpp (1.5),
ql/Utilities/Makefile.am (1.8), ql/Utilities/all.hpp (1.2),
ql/Utilities/steppingiterator.hpp (1.18),
ql/Volatilities/blackvariancesurface.cpp (1.18),
ql/Volatilities/blackvariancesurface.hpp (1.38),
ql/Volatilities/capflatvolvector.hpp (1.25),
test-suite/compoundforward.cpp (1.26), test-suite/old_pricers.cpp
(1.63):
Removed deprecated code (except for some compound-forward stuff
that still needs to be investigated)
2004-10-27 12:35 Luigi Ballabio
* News.txt (1.60), QuantLib.dsp (1.252), QuantLib.nsi (1.104),
QuantLib.vcproj (1.44), configure.ac (1.55), Docs/quantlib.doxy
(1.91), functions/ql/Functions/QuantLibFunctions.vcproj (1.9),
ql/qldefines.hpp (1.86):
Bumped version number
2004-10-27 09:41 Luigi Ballabio
* ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.7):
Fixed (as in: "runs with limited functionality") MC discrete Asian
engine on VC6
2004-10-26 17:19 Ferdinando Ametrano
* ql/errors.hpp (1.20):
no message
2004-10-26 10:06 Luigi Ballabio
* ql/TermStructures/compoundforward.cpp (1.51),
ql/TermStructures/compoundforward.hpp (1.39),
ql/TermStructures/extendeddiscountcurve.cpp (1.22),
test-suite/compoundforward.cpp (1.25):
Partial fixes for CompoundForward
2004-10-25 17:54 Luigi Ballabio
* ql/TermStructures/compoundforward.cpp (1.50):
Fix for bootstrapping
2004-10-25 15:00 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.47),
Examples/Swap/swapvaluation.cpp (1.57),
functions/ql/Functions/vols.cpp (1.4),
functions/ql/Functions/vols.hpp (1.5), ql/settings.hpp (1.6),
ql/stochasticprocess.cpp (1.11), ql/termstructure.hpp (1.58),
ql/CashFlows/inarrearindexedcoupon.cpp (1.4),
ql/CashFlows/parcoupon.cpp (1.18), ql/Instruments/capfloor.cpp
(1.61), ql/Instruments/multiassetoption.cpp (1.13),
ql/Instruments/oneassetoption.cpp (1.21),
ql/Instruments/swaption.cpp (1.48),
ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.7),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.7),
ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.6),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.18),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.29),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.27),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.31),
ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.8),
ql/PricingEngines/Cliquet/analyticperformanceengine.cpp (1.7),
ql/PricingEngines/Forward/forwardengine.hpp (1.20),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.13),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.10),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.9),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.21),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.18),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.23),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.18),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.27),
ql/PricingEngines/Vanilla/juquadraticengine.cpp (1.6),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.33),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.34),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.43),
ql/TermStructures/compoundforward.cpp (1.49),
ql/TermStructures/compoundforward.hpp (1.38),
ql/TermStructures/discountcurve.hpp (1.37),
ql/TermStructures/drifttermstructure.hpp (1.18),
ql/TermStructures/extendeddiscountcurve.cpp (1.21),
ql/TermStructures/extendeddiscountcurve.hpp (1.22),
ql/TermStructures/flatforward.hpp (1.47),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.31),
ql/TermStructures/forwardstructure.hpp (1.5),
ql/TermStructures/impliedtermstructure.hpp (1.26),
ql/TermStructures/piecewiseflatforward.cpp (1.56),
ql/TermStructures/piecewiseflatforward.hpp (1.47),
ql/TermStructures/quantotermstructure.hpp (1.21),
ql/TermStructures/zerocurve.hpp (1.18),
ql/TermStructures/zerospreadedtermstructure.hpp (1.32),
ql/Volatilities/blackconstantvol.hpp (1.32),
ql/Volatilities/blackvariancecurve.cpp (1.17),
ql/Volatilities/blackvariancecurve.hpp (1.36),
ql/Volatilities/blackvariancesurface.cpp (1.17),
ql/Volatilities/blackvariancesurface.hpp (1.37),
ql/Volatilities/capflatvolvector.hpp (1.24),
ql/Volatilities/capletconstantvol.hpp (1.6),
ql/Volatilities/impliedvoltermstructure.hpp (1.18),
ql/Volatilities/localconstantvol.hpp (1.28),
ql/Volatilities/localvolcurve.hpp (1.17),
ql/Volatilities/localvolsurface.hpp (1.26),
ql/Volatilities/swaptionvolmatrix.hpp (1.27),
test-suite/americanoption.cpp (1.27), test-suite/asianoptions.cpp
(1.43), test-suite/barrieroption.cpp (1.41),
test-suite/basketoption.cpp (1.35), test-suite/cliquetoption.cpp
(1.18), test-suite/compoundforward.cpp (1.24),
test-suite/digitaloption.cpp (1.41), test-suite/europeanoption.cpp
(1.80), test-suite/forwardoption.cpp (1.15),
test-suite/interestrates.cpp (1.11), test-suite/jumpdiffusion.cpp
(1.30), test-suite/old_pricers.cpp (1.62),
test-suite/piecewiseflatforward.cpp (1.28),
test-suite/quantooption.cpp (1.17), test-suite/swap.cpp (1.35),
test-suite/termstructures.cpp (1.33), test-suite/utilities.cpp
(1.16), test-suite/utilities.hpp (1.21):
TermStructure::dayCounter() reborn
2004-10-22 16:24 Luigi Ballabio
* ql/TermStructures/: discountcurve.hpp (1.36),
impliedtermstructure.hpp (1.25):
Completely deprecated DiscountStructure
2004-10-22 16:21 Luigi Ballabio
* test-suite/quantlibtestsuite.cpp (1.89):
Dealing out information on a need-to-know basis
2004-10-22 15:26 Luigi Ballabio
* ql/TermStructures/: forwardspreadedtermstructure.hpp (1.30),
forwardstructure.hpp (1.4):
Fixes for compiling without deprecated code
2004-10-21 14:27 Ferdinando Ametrano
* test-suite/bin/: .cvsignore (1.2), runtest.bat (1.3):
no message
2004-10-21 11:03 Ferdinando Ametrano
* ql/termstructure.hpp (1.56), test-suite/quantlibtestsuite.cpp
(1.88), test-suite/bin/runtest.bat (1.2):
no message
2004-10-21 10:52 Ferdinando Ametrano
* ql/termstructure.hpp (1.55),
ql/TermStructures/extendeddiscountcurve.cpp (1.20),
ql/TermStructures/extendeddiscountcurve.hpp (1.21),
ql/TermStructures/forwardstructure.hpp (1.3),
ql/TermStructures/zeroyieldstructure.hpp (1.4),
test-suite/makefile.mak (1.47):
added parRate method.
YieldTermStructure::zeroImpl and YieldTermStructure::forwardImpl
deprecated.
2004-10-21 10:50 Ferdinando Ametrano
* test-suite/: bin/.cvsignore (1.1), .cvsignore (1.18):
run test options
2004-10-21 10:34 Ferdinando Ametrano
* test-suite/bin/runtest.bat (1.1):
run test options
2004-10-21 10:26 Ferdinando Ametrano
* QuantLib.dev (1.6), functions/ql/Functions/QuantLibFunctions.dev
(1.4):
higher optimazation level
2004-10-20 15:43 Ferdinando Ametrano
* ql/config.ansi.hpp (1.28):
no message
2004-10-20 14:24 Ferdinando Ametrano
* QuantLib.dev (1.5):
updated
2004-10-20 14:11 Ferdinando Ametrano
* ql/config.ansi.hpp (1.27):
using mingw32 as ansi proxy (ansi is used with Dev-C++ without
mingw with cygwin)
2004-10-20 12:20 Luigi Ballabio
* test-suite/quantlibtestsuite.cpp (1.87):
Actual test time measured (program initialization not included.)
This also fixes VC6 timing.
2004-10-20 10:24 Luigi Ballabio
* ql/: RandomNumbers/inversecumulativerng.hpp (1.2),
RandomNumbers/inversecumulativersg.hpp (1.2),
RandomNumbers/rngtraits.hpp (1.11),
TermStructures/zeroyieldstructure.hpp (1.3):
Removed Doxygen warnings
2004-10-19 19:18 Ferdinando Ametrano
* ql/makefile.mak (1.64):
updated
2004-10-19 19:07 Ferdinando Ametrano
* test-suite/testsuite.vcproj (1.24):
updated
2004-10-19 18:53 Ferdinando Ametrano
* test-suite/: .cvsignore (1.17), makefile.mak (1.46):
updated (boost linking needs to be solved)
2004-10-19 18:34 Ferdinando Ametrano
* QuantLib.dev (1.3), functions/ql/Functions/.cvsignore (1.5),
functions/ql/Functions/QuantLibFunctions.dev (1.3):
updated
2004-10-19 16:42 Ferdinando Ametrano
* functions/ql/Functions/QuantLibFunctions.dev (1.2):
added header files (at least for CSV syncronization)
2004-10-19 15:33 Ferdinando Ametrano
* QuantLib.dev (1.2):
added header files (at least for CSV syncronization)
2004-10-19 15:31 Ferdinando Ametrano
* QuantLib.vcproj (1.43):
updated
2004-10-19 12:51 Ferdinando Ametrano
* test-suite/testsuite.dsp (1.45), QuantLib.dsp (1.251):
added missing files
2004-10-19 12:29 Luigi Ballabio
* Docs/pages/faq.docs (1.8):
Anchors added to single items
2004-10-19 11:40 Luigi Ballabio
* .cvsignore (1.12), QuantLib.dev (1.1),
functions/ql/Functions/.cvsignore (1.4),
functions/ql/Functions/QuantLibFunctions.dev (1.1),
ql/config.mingw.hpp (1.1), ql/qldefines.hpp (1.85),
test-suite/.cvsignore (1.16):
Added support for Dev-C++
2004-10-19 11:39 Luigi Ballabio
* test-suite/: distributions.cpp (1.21), testsuite.dsp (1.44):
Fixes for VC++6
2004-10-18 13:13 Ferdinando Ametrano
* QuantLib.vcproj (1.42),
ql/PricingEngines/Vanilla/juquadraticengine.hpp (1.4),
ql/RandomNumbers/Makefile.am (1.21), ql/RandomNumbers/all.hpp
(1.7), ql/RandomNumbers/inversecumulativerng.hpp (1.1),
ql/RandomNumbers/inversecumulativersg.hpp (1.1),
ql/RandomNumbers/rngtraits.hpp (1.10), test-suite/makefile.mak
(1.45), test-suite/testsuite.vcproj (1.23):
obsolete references to gaussian/normal deprecated
2004-10-18 11:43 Luigi Ballabio
* ql/Math/poissondistribution.hpp (1.9),
ql/RandomNumbers/rngtraits.hpp (1.9), test-suite/Makefile.am
(1.42), test-suite/distributions.cpp (1.20),
test-suite/distributions.hpp (1.9), test-suite/factorial.cpp
(1.16), test-suite/factorial.hpp (1.6),
test-suite/quantlibtestsuite.cpp (1.86), test-suite/rngtraits.cpp
(1.1), test-suite/rngtraits.hpp (1.1):
Added support for Poisson-distributed random numbers (thanks to
Walter Penschke)
2004-10-15 19:05 Ferdinando Ametrano
* ql/TermStructures/: extendeddiscountcurve.cpp (1.19),
extendeddiscountcurve.hpp (1.20):
removing compoundForwardImpl where it is allowed
2004-10-15 18:45 Ferdinando Ametrano
* ql/TermStructures/: flatforward.hpp (1.46), forwardstructure.hpp
(1.2), piecewiseflatforward.cpp (1.55), piecewiseflatforward.hpp
(1.46), zeroyieldstructure.hpp (1.2):
removing compoundForwardImpl where it is allowed
2004-10-15 18:28 Ferdinando Ametrano
* ql/termstructure.hpp (1.54),
ql/TermStructures/compoundforward.cpp (1.48),
ql/TermStructures/extendeddiscountcurve.cpp (1.18),
test-suite/compoundforward.cpp (1.23):
YieldTermStructure::compoundForward(...) deprecated
2004-10-15 17:51 Ferdinando Ametrano
* ql/termstructure.hpp (1.53),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.27),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.25), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.23),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.24),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.28),
ql/TermStructures/compoundforward.cpp (1.47),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.29),
ql/TermStructures/zerospreadedtermstructure.hpp (1.31),
test-suite/termstructures.cpp (1.32):
YieldTermStructure::instantaneousForward(...) deprecated
2004-10-15 17:22 Ferdinando Ametrano
* ql/stochasticprocess.cpp (1.10), ql/termstructure.hpp (1.52),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.37),
ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.6),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.6),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.17),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.26),
ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.7),
ql/PricingEngines/Cliquet/analyticperformanceengine.cpp (1.6),
ql/PricingEngines/Forward/forwardengine.hpp (1.19),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.12),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.22),
ql/TermStructures/compoundforward.cpp (1.46),
ql/TermStructures/drifttermstructure.hpp (1.17),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.28),
ql/TermStructures/quantotermstructure.hpp (1.20),
ql/TermStructures/zerospreadedtermstructure.hpp (1.30),
test-suite/termstructures.cpp (1.31):
YieldTermStructure::forward(...) deprecated
2004-10-15 17:20 Ferdinando Ametrano
* test-suite/interestrates.cpp (1.10):
higher tolerance for Borland
2004-10-15 15:18 Ferdinando Ametrano
* ql/termstructure.hpp (1.51), ql/userconfig.hpp (1.14),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.36),
ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.5),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.5),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.16),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.25),
ql/PricingEngines/Forward/forwardengine.hpp (1.18),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.11),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.8),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.21),
ql/TermStructures/compoundforward.cpp (1.45),
ql/TermStructures/drifttermstructure.hpp (1.16),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.27),
ql/TermStructures/quantotermstructure.hpp (1.19),
ql/TermStructures/zerospreadedtermstructure.hpp (1.29),
test-suite/termstructures.cpp (1.30):
zeroYield and zeroCoupon deprecated
2004-10-15 14:42 Ferdinando Ametrano
* ql/interestrate.hpp (1.12):
more checks
2004-10-14 16:03 Ferdinando Ametrano
* test-suite/interestrates.cpp (1.9):
more tests
2004-10-14 15:26 Ferdinando Ametrano
* test-suite/interestrates.cpp (1.8):
more tests
2004-10-14 15:26 Ferdinando Ametrano
* ql/interestrate.hpp (1.10):
updated and fixed
2004-10-13 17:28 Luigi Ballabio
* ql/interestrate.cpp (1.9):
Fixed formatter bugs
2004-10-13 15:44 Luigi Ballabio
* ql/interestrate.hpp (1.9):
Added constness to inspectors
2004-10-13 14:24 Luigi Ballabio
* ql/: CashFlows/parcoupon.hpp (1.14),
TermStructures/piecewiseflatforward.cpp (1.54):
Resolved some ???
2004-10-13 14:22 Luigi Ballabio
* ql/: TermStructures/ratehelpers.hpp (1.47),
Instruments/capfloor.hpp (1.52), PricingEngines/blackmodel.hpp
(1.7), termstructure.hpp (1.50), quote.hpp (1.5):
Fixed header inclusions
2004-10-12 19:06 Ferdinando Ametrano
* ql/: interestrate.cpp (1.8), interestrate.hpp (1.8):
SimpleThenCompounded Compounding added. Simple up to
t<=1.0/frequency, then compounded To be tested
2004-10-12 16:41 Luigi Ballabio
* ql/: interestrate.cpp (1.7), interestrate.hpp (1.7):
Correct precondition
2004-10-12 14:32 Ferdinando Ametrano
* QuantLib.vcproj (1.41), ql/termstructure.hpp (1.49),
ql/TermStructures/Makefile.am (1.17), ql/TermStructures/all.hpp
(1.2), ql/TermStructures/compoundforward.hpp (1.37),
ql/TermStructures/discountcurve.hpp (1.35),
ql/TermStructures/drifttermstructure.hpp (1.15),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.26),
ql/TermStructures/forwardstructure.hpp (1.1),
ql/TermStructures/impliedtermstructure.hpp (1.24),
ql/TermStructures/quantotermstructure.hpp (1.18),
ql/TermStructures/zerocurve.hpp (1.17),
ql/TermStructures/zerospreadedtermstructure.hpp (1.28),
ql/TermStructures/zeroyieldstructure.hpp (1.1):
YieldTermStructure interface extended: now it should be cleaned up
of redundancies from previous less general implementations
Zero, Discount, and Forward TermStructures moved into their own
files in the TermStructures folder
2004-10-12 14:30 Ferdinando Ametrano
* test-suite/interestrates.cpp (1.7):
improved/extended interface
2004-10-12 13:34 Ferdinando Ametrano
* ql/: interestrate.cpp (1.6), interestrate.hpp (1.6):
improved/extended interface
2004-10-12 10:12 Ferdinando Ametrano
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.46),
functions/ql/Functions/vols.cpp (1.3),
functions/ql/Functions/vols.hpp (1.4), ql/capvolstructures.hpp
(1.14), ql/schedule.hpp (1.3), ql/settings.hpp (1.5),
ql/stochasticprocess.cpp (1.9), ql/userconfig.hpp (1.13),
ql/CashFlows/inarrearindexedcoupon.cpp (1.3),
ql/Instruments/oneassetoption.cpp (1.20),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.20),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.26),
ql/TermStructures/discountcurve.hpp (1.34),
ql/TermStructures/extendeddiscountcurve.hpp (1.19),
ql/TermStructures/flatforward.hpp (1.45),
ql/TermStructures/zerocurve.hpp (1.16),
ql/Volatilities/blackconstantvol.hpp (1.31),
ql/Volatilities/blackvariancecurve.cpp (1.16),
ql/Volatilities/blackvariancecurve.hpp (1.35),
ql/Volatilities/blackvariancesurface.cpp (1.16),
ql/Volatilities/blackvariancesurface.hpp (1.36),
ql/Volatilities/capflatvolvector.hpp (1.23),
ql/Volatilities/capletconstantvol.hpp (1.5),
ql/Volatilities/localconstantvol.hpp (1.27),
ql/Volatilities/swaptionvolmatrix.hpp (1.26),
test-suite/americanoption.cpp (1.26), test-suite/asianoptions.cpp
(1.42), test-suite/barrieroption.cpp (1.40),
test-suite/basketoption.cpp (1.34), test-suite/cliquetoption.cpp
(1.17), test-suite/digitaloption.cpp (1.40),
test-suite/europeanoption.cpp (1.79), test-suite/forwardoption.cpp
(1.14), test-suite/interestrates.cpp (1.6),
test-suite/jumpdiffusion.cpp (1.29), test-suite/old_pricers.cpp
(1.61), test-suite/quantooption.cpp (1.16), test-suite/swap.cpp
(1.34), test-suite/utilities.cpp (1.15), test-suite/utilities.hpp
(1.20):
more dayCounter() deprecated, few tests to be fixed
2004-10-11 18:29 Ferdinando Ametrano
* ql/: voltermstructure.hpp (1.31), Instruments/oneassetoption.cpp
(1.19), PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.4),
PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.4),
PricingEngines/Asian/mcdiscreteasianengine.hpp (1.5),
PricingEngines/Cliquet/analyticcliquetengine.cpp (1.6),
PricingEngines/Cliquet/analyticperformanceengine.cpp (1.5),
PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.7),
PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.20),
PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.17),
PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.17),
PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.25),
PricingEngines/Vanilla/juquadraticengine.cpp (1.5),
Volatilities/impliedvoltermstructure.hpp (1.17),
Volatilities/localconstantvol.hpp (1.26),
Volatilities/localvolcurve.hpp (1.16),
Volatilities/localvolsurface.hpp (1.25):
BlackVolTermStructure::dayCounter() and
LocalVolTermStructure::dayCounter() deprecated
2004-10-11 17:47 Ferdinando Ametrano
* Examples/Swap/swapvaluation.cpp (1.56), ql/capvolstructures.hpp
(1.13), ql/settings.hpp (1.4), ql/swaptionvolstructure.hpp (1.14),
ql/termstructure.hpp (1.48), ql/voltermstructure.hpp (1.30),
ql/CashFlows/parcoupon.cpp (1.17), ql/CashFlows/parcoupon.hpp
(1.13), ql/Instruments/capfloor.cpp (1.60),
ql/Instruments/multiassetoption.cpp (1.12),
ql/Instruments/oneassetoption.cpp (1.18),
ql/Instruments/swaption.cpp (1.47),
ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.3),
ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.3),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.15),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.28),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.24),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.30),
ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.5),
ql/PricingEngines/Cliquet/analyticperformanceengine.cpp (1.4),
ql/PricingEngines/Forward/forwardengine.hpp (1.17),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.10),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.9),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.6),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.19),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.16),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.19),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.16),
ql/PricingEngines/Vanilla/juquadraticengine.cpp (1.4),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.32),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.33),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.42),
ql/TermStructures/compoundforward.cpp (1.44),
ql/TermStructures/compoundforward.hpp (1.36),
ql/TermStructures/discountcurve.hpp (1.33),
ql/TermStructures/drifttermstructure.hpp (1.14),
ql/TermStructures/extendeddiscountcurve.cpp (1.17),
ql/TermStructures/extendeddiscountcurve.hpp (1.18),
ql/TermStructures/flatforward.hpp (1.44),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.25),
ql/TermStructures/impliedtermstructure.hpp (1.23),
ql/TermStructures/piecewiseflatforward.cpp (1.53),
ql/TermStructures/piecewiseflatforward.hpp (1.45),
ql/TermStructures/quantotermstructure.hpp (1.17),
ql/TermStructures/zerocurve.hpp (1.15),
ql/TermStructures/zerospreadedtermstructure.hpp (1.27),
test-suite/piecewiseflatforward.cpp (1.27),
test-suite/termstructures.cpp (1.29):
using Settings::instance().dayCounter as global time measure, in
order to avoid mismatch between dayCounters when time
discretization is needed.
YieldTermStructure::dayCounter() deprecated.
VolTermStructure::dayCounter() will be deprecated shortly.
#ifndef QL_DISABLE_DEPRECATED 2 CompoundForward tests fail (will
be fixed later) #else 2 CompoundForward tests fail (will be fixed
later) 3 Swap/swaption test fails (need investigation asap)
#endif
2004-10-11 17:24 Ferdinando Ametrano
* test-suite/barrieroption.cpp (1.39):
no message
2004-10-11 14:22 Ferdinando Ametrano
* test-suite/swap.cpp (1.33):
no message
2004-10-11 14:02 Luigi Ballabio
* ql/money.cpp (1.4), ql/money.hpp (1.6),
test-suite/exchangerate.cpp (1.2), test-suite/money.cpp (1.2):
More explicit convention names
2004-10-11 14:02 Luigi Ballabio
* test-suite/cliquetoption.cpp (1.16):
Missing inclusion
2004-10-11 13:39 Ferdinando Ametrano
* test-suite/cliquetoption.cpp (1.15):
using (explicit, not default) daycounter for theta calculation
2004-10-11 12:59 Ferdinando Ametrano
* test-suite/: asianoptions.cpp (1.41), cliquetoption.cpp (1.14),
digitaloption.cpp (1.39), europeanoption.cpp (1.78),
forwardoption.cpp (1.13), quantooption.cpp (1.15):
using (explicit, not default) daycounter for theta calculation
2004-10-11 12:21 Luigi Ballabio
* News.txt (1.57), ql/interestrate.cpp (1.5), ql/interestrate.hpp
(1.5), test-suite/interestrates.cpp (1.5):
The difference between adjectives and nouns is beyond the scope of
a commit log :)
2004-10-11 12:21 Luigi Ballabio
* ql/settings.hpp (1.3):
Definitely not virtual
2004-10-11 12:17 Ferdinando Ametrano
* test-suite/cliquetoption.cpp (1.13):
no message
2004-10-11 11:08 Ferdinando Ametrano
* ql/TermStructures/zerospreadedtermstructure.hpp (1.26):
compacted code (easier to deprecate if needed)
2004-10-11 10:06 Ferdinando Ametrano
* ql/interestrate.hpp (1.4):
comment added
2004-10-11 10:03 Ferdinando Ametrano
* ql/: CashFlows/fixedratecoupon.hpp (1.24),
CashFlows/indexedcoupon.hpp (1.17), Indexes/xibor.hpp (1.36),
TermStructures/drifttermstructure.hpp (1.13),
TermStructures/flatforward.hpp (1.43),
TermStructures/forwardspreadedtermstructure.hpp (1.24),
TermStructures/impliedtermstructure.hpp (1.22),
TermStructures/piecewiseflatforward.hpp (1.44),
TermStructures/quantotermstructure.hpp (1.16),
TermStructures/zerocurve.hpp (1.14),
TermStructures/zerospreadedtermstructure.hpp (1.25),
Volatilities/blackconstantvol.hpp (1.30),
Volatilities/blackvariancecurve.hpp (1.34),
Volatilities/blackvariancesurface.hpp (1.35),
Volatilities/capflatvolvector.hpp (1.22),
Volatilities/capletconstantvol.hpp (1.4),
Volatilities/impliedvoltermstructure.hpp (1.16),
Volatilities/swaptionvolmatrix.hpp (1.25):
compacted code (easier to deprecate if needed)
2004-10-08 18:40 Ferdinando Ametrano
* ql/settings.hpp (1.2):
global daycounter added. It will be used later
2004-10-08 18:21 Ferdinando Ametrano
* ql/DayCounters/one.hpp (1.3):
bug fix (?)
2004-10-08 18:13 Ferdinando Ametrano
* ql/interestrate.cpp (1.4), ql/interestrate.hpp (1.3),
test-suite/interestrates.cpp (1.4), News.txt (1.56), QuantLib.dsp
(1.250):
compound factor, not accrual factor
2004-10-08 14:16 Luigi Ballabio
* ql/interestrate.cpp (1.3), ql/interestrate.hpp (1.2),
test-suite/interestrates.cpp (1.3), test-suite/interestrates.hpp
(1.2):
Test tolerance, 80-columns wrap and stuff
2004-10-08 10:23 Ferdinando Ametrano
* ql/daycounter.hpp (1.32):
requirements added
2004-10-08 10:12 Ferdinando Ametrano
* ql/interestrate.cpp (1.2):
Borland warnings avoided
2004-10-07 20:14 Ferdinando Ametrano
* test-suite/interestrates.cpp (1.2):
avoiding usage of deprecated features
2004-10-07 20:03 Ferdinando Ametrano
* test-suite/testsuite.dsp (1.43):
VC6 catching up
2004-10-07 20:02 Ferdinando Ametrano
* ql/date.cpp (1.40):
avoiding Borland warnings
2004-10-07 19:58 Ferdinando Ametrano
* QuantLib.dsp (1.249):
VC6 catching up
2004-10-07 19:56 Ferdinando Ametrano
* News.txt (1.55), QuantLib.vcproj (1.40), ql/Makefile.am (1.67),
ql/interestrate.cpp (1.1), ql/interestrate.hpp (1.1),
ql/makefile.mak (1.63), test-suite/Makefile.am (1.41),
test-suite/interestrates.cpp (1.1), test-suite/interestrates.hpp
(1.1), test-suite/makefile.mak (1.44),
test-suite/quantlibtestsuite.cpp (1.85),
test-suite/testsuite.vcproj (1.22):
added InterestRate class, which encapsulate the interest rate
compounding algebra. It manages daycounting convention, compounding
convention, conversion between different conventions, and discount
and accrual calculations. It also has its own formatter.
2004-10-07 19:47 Ferdinando Ametrano
* ql/: date.cpp (1.39), date.hpp (1.40):
added FrequencyFormatter
2004-10-07 18:30 Ferdinando Ametrano
* ql/date.hpp (1.39):
more frequencies added
2004-10-07 15:31 Ferdinando Ametrano
* ql/date.hpp (1.38):
Borland/Visual palatable code
2004-10-07 13:01 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.66),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.45),
Examples/Swap/swapvaluation.cpp (1.55),
functions/ql/Functions/calendars.cpp (1.2), ql/calendar.cpp (1.31),
ql/capvolstructures.hpp (1.12), ql/date.cpp (1.38), ql/date.hpp
(1.36), ql/history.hpp (1.26), ql/swaptionvolstructure.hpp (1.13),
ql/CashFlows/cashflowvectors.cpp (1.39),
ql/DayCounters/actualactual.cpp (1.32),
ql/DayCounters/simpledaycounter.cpp (1.6),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.41),
ql/Volatilities/capflatvolvector.hpp (1.21),
ql/Volatilities/swaptionvolmatrix.hpp (1.24),
test-suite/americanoption.cpp (1.25), test-suite/asianoptions.cpp
(1.40), test-suite/barrieroption.cpp (1.38),
test-suite/basketoption.cpp (1.33), test-suite/calendars.cpp
(1.18), test-suite/cliquetoption.cpp (1.12), test-suite/dates.cpp
(1.11), test-suite/daycounters.cpp (1.13),
test-suite/digitaloption.cpp (1.38), test-suite/europeanoption.cpp
(1.77), test-suite/forwardoption.cpp (1.12),
test-suite/jumpdiffusion.cpp (1.28), test-suite/quantooption.cpp
(1.14), test-suite/swap.cpp (1.32), test-suite/termstructures.cpp
(1.28):
Reorganization of date functions
2004-10-07 09:36 Ferdinando Ametrano
* ql/TermStructures/flatforward.hpp (1.42):
dangerous default dayCounter, you must specify the daycount of your
forward rate (you should also specify the compounding rule...)
2004-10-06 17:53 Ferdinando Ametrano
* News.txt (1.54):
updated
2004-10-06 17:29 Ferdinando Ametrano
* functions/ql/Functions/daycounters.cpp (1.3),
functions/ql/Functions/daycounters.hpp (1.4), News.txt (1.53):
added dayCounterFromString(std::string)
2004-10-06 17:28 Ferdinando Ametrano
* ql/DayCounters/: actualactual.hpp (1.27), thirty360.cpp (1.20),
thirty360.hpp (1.23):
no message
2004-10-06 15:08 Ferdinando Ametrano
* Examples/Swap/swapvaluation.cpp (1.54):
swap mispriced with Tokyo() calendar when using September 22, 2004
as settlement date...tolerance didn't help... it puzzles me!
2004-10-06 12:49 Luigi Ballabio
* Docs/quantlib.doxy (1.90):
Upgraded to Doxygen 1.3.9
2004-10-06 11:56 Ferdinando Ametrano
* test-suite/dates.cpp (1.10):
improved test
2004-10-06 11:49 Ferdinando Ametrano
* ql/: date.cpp (1.37), date.hpp (1.35):
isIMMdate() added
2004-10-06 11:18 Luigi Ballabio
* ql/Math/bilinearinterpolation.hpp (1.24):
Not really a fix, but it compiles
2004-10-06 09:48 Ferdinando Ametrano
* QuantLib.dsp (1.248):
VC6 catching up
2004-10-05 19:04 Ferdinando Ametrano
* ql/: date.cpp (1.36), date.hpp (1.34):
nextDayOfWeekAfterDate() added
2004-10-05 19:03 Ferdinando Ametrano
* News.txt (1.52):
updated
2004-10-05 18:33 Ferdinando Ametrano
* Examples/Swap/swapvaluation.cpp (1.53):
the example is now always placed in the future. Still it fails
with Tokyo() calendar when using September 22, 2004 as settlement
date...it puzzles me!
2004-10-05 18:11 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.84):
suite global timing always displayed (is it ok Luigi?)
2004-10-05 18:10 Ferdinando Ametrano
* test-suite/: dates.cpp (1.9), dates.hpp (1.8):
nextIMM() test added
2004-10-05 18:06 Ferdinando Ametrano
* ql/: date.cpp (1.35), date.hpp (1.33):
added nthDayOfWeekForMonthAndYear, nextIMM(), and WeekdayFormatter
2004-10-05 17:55 Luigi Ballabio
* ql/: daycounter.hpp (1.31), DayCounters/actualactual.cpp (1.31),
DayCounters/one.hpp (1.2):
Some nitpicking
2004-10-05 17:53 Luigi Ballabio
* ql/CashFlows/inarrearindexedcoupon.cpp (1.2), test-suite/swap.cpp
(1.31):
Corrected reference
2004-10-05 16:20 Ferdinando Ametrano
* ql/: Volatilities/blackconstantvol.hpp (1.29),
Volatilities/blackvariancecurve.hpp (1.33),
Volatilities/blackvariancesurface.hpp (1.34),
Volatilities/capletconstantvol.hpp (1.2),
Volatilities/localconstantvol.hpp (1.25),
TermStructures/discountcurve.hpp (1.32),
TermStructures/extendeddiscountcurve.hpp (1.17),
TermStructures/flatforward.hpp (1.41), TermStructures/zerocurve.hpp
(1.13):
Actual365 is deprecated in favour of Actual365Fixed
2004-10-05 16:19 Ferdinando Ametrano
* ql/Indexes/: audlibor.hpp (1.21), cadlibor.hpp (1.21),
gbplibor.hpp (1.26):
in accord with 2000 ISDA definitions
2004-10-05 16:11 Ferdinando Ametrano
* test-suite/: utilities.hpp (1.19), cliquetoption.cpp (1.11),
compoundforward.cpp (1.22), daycounters.cpp (1.12), daycounters.hpp
(1.9), old_pricers.cpp (1.60), swap.cpp (1.30), swaption.cpp
(1.34):
in accord to ISDA documentation. Added "1/1" convention
2004-10-05 15:10 Ferdinando Ametrano
* ql/DayCounters/Makefile.am (1.10), ql/DayCounters/actual360.hpp
(1.20), ql/DayCounters/actual365fixed.hpp (1.1),
ql/DayCounters/all.hpp (1.2), ql/DayCounters/one.hpp (1.1),
QuantLib.vcproj (1.39), test-suite/utilities.hpp (1.18):
in accord to ISDA documentation. Added "1/1" convention
2004-10-05 14:52 Ferdinando Ametrano
* ql/DayCounters/thirty360.hpp (1.22):
in accord to ISDA documentation
2004-10-05 14:42 Ferdinando Ametrano
* ql/DayCounters/actualactual.hpp (1.26):
more comments and warnings
2004-10-05 14:37 Ferdinando Ametrano
* ql/DayCounters/actualactual.hpp (1.25):
changing the default
2004-10-05 14:00 Ferdinando Ametrano
* ql/daycounter.hpp (1.30):
adding the implementation of BigInteger dayCount(const Date& d1,
const Date& d2) const in the base class.
2004-10-05 14:00 Ferdinando Ametrano
* ql/DayCounters/: actual360.hpp (1.19), actualactual.cpp (1.30),
actualactual.hpp (1.24):
adding the implementation of BigInteger dayCount(const Date& d1,
const Date& d2) const in the base class. Improved error messages
2004-10-05 12:12 Ferdinando Ametrano
* QuantLib.sln (1.10), QuantLib.vcproj (1.38),
ql/CashFlows/makefile.mak (1.23):
updated
2004-10-04 13:49 Luigi Ballabio
* News.txt (1.51), ql/capvolstructures.hpp (1.11), ql/cashflow.hpp
(1.20), ql/CashFlows/Makefile.am (1.14), ql/CashFlows/coupon.hpp
(1.23), ql/CashFlows/fixedratecoupon.hpp (1.23),
ql/CashFlows/floatingratecoupon.hpp (1.33),
ql/CashFlows/inarrearindexedcoupon.cpp (1.1),
ql/CashFlows/inarrearindexedcoupon.hpp (1.15),
ql/CashFlows/indexedcoupon.hpp (1.16), ql/CashFlows/parcoupon.cpp
(1.16), ql/CashFlows/parcoupon.hpp (1.12),
ql/Instruments/capfloor.cpp (1.59), ql/Volatilities/Makefile.am
(1.15), ql/Volatilities/all.hpp (1.2),
ql/Volatilities/capflatvolvector.hpp (1.20),
ql/Volatilities/capletconstantvol.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.83), test-suite/swap.cpp
(1.29), test-suite/swap.hpp (1.8):
Added hooks for convexity adjustment in floating-rate coupons;
implemented adjustment for InArrearIndexedCoupon.
2004-10-04 13:48 Luigi Ballabio
* ql/Instruments/swap.hpp (1.32):
Typo
2004-10-01 11:27 Ferdinando Ametrano
* ql/PricingEngines/mcsimulation.hpp (1.12):
needless result variable removed
2004-09-30 18:43 Ferdinando Ametrano
* ql/DayCounters/actualactual.cpp (1.29):
using January and February instead of (Month)1 and (Month)2. Was
there any reason for (Month)1 ?
2004-09-30 18:41 Ferdinando Ametrano
* ql/Math/symmetricschurdecomposition.cpp (1.21):
Using Boost iterators Borland patch is not needed anymore
2004-09-30 17:22 Luigi Ballabio
* ql/Math/symmetricschurdecomposition.cpp (1.20):
Added check for null matrix
2004-09-30 17:20 Luigi Ballabio
* ql/CashFlows/: inarrearindexedcoupon.hpp (1.14),
indexedcoupon.hpp (1.15), upfrontindexedcoupon.hpp (1.13):
Let indexed coupons take an Index (thanks to Daniele De Francesco
2004-09-30 17:16 Luigi Ballabio
* ql/: Makefile.am (1.66), MonteCarlo/.cvsignore (1.10):
Added new library
2004-09-30 17:13 Luigi Ballabio
* ql/: date.hpp (1.32), Currencies/exchangeratemanager.cpp (1.4):
Removed newly introduced method (it seemed a good idea a few days
ago, but not now)
2004-09-30 17:12 Luigi Ballabio
* ql/TermStructures/piecewiseflatforward.cpp (1.52):
Allowed increasing discounts when QL_NEGATIVE_RATES is defined
2004-09-30 13:12 Ferdinando Ametrano
* test-suite/covariance.cpp (1.25), ql/MonteCarlo/getcovariance.hpp
(1.21):
added (correlation, vols) calculation from covariance matrix
2004-09-30 13:09 Ferdinando Ametrano
* ql/MonteCarlo/Makefile.am (1.32), ql/MonteCarlo/getcovariance.cpp
(1.13), ql/MonteCarlo/getcovariance.hpp (1.20),
ql/MonteCarlo/makefile.mak (1.30), ql/makefile.mak (1.62),
QuantLib.vcproj (1.37):
added (correlation, vols) calculation from covariance matrix
2004-09-30 13:08 Ferdinando Ametrano
* ql/Math/symmetricschurdecomposition.hpp (1.17):
no message
2004-09-30 12:42 Luigi Ballabio
* ql/: history.hpp (1.25), qldefines.hpp (1.84), Math/array.hpp
(1.10), Math/lexicographicalview.hpp (1.15), Math/matrix.hpp
(1.34), Utilities/steppingiterator.hpp (1.17):
Using Boost iterator library (Boost 1.31.0 or later is now required
2004-09-30 12:41 Luigi Ballabio
* acinclude.m4 (1.15), configure.ac (1.54):
Added check for Boost version
2004-09-30 12:32 Luigi Ballabio
* ql/RandomNumbers/: Makefile.am (1.20), all.hpp (1.6):
Missing file added
2004-09-28 14:22 Luigi Ballabio
* test-suite/: asianoptions.cpp (1.39), basketoption.cpp (1.32),
digitaloption.cpp (1.37), europeanoption.cpp (1.76),
lowdiscrepancysequences.cpp (1.67), old_pricers.cpp (1.59),
quantlibtestsuite.cpp (1.82), utilities.hpp (1.17):
define QL_DISPLAY_TEST_TIME to display execution time
2004-09-28 12:06 Luigi Ballabio
* test-suite/utilities.hpp (1.16):
Fixed teardown macro
2004-09-28 10:23 Ferdinando Ametrano
* ql/CashFlows/cashflowvectors.cpp (1.38):
Borland warning avoided
2004-09-28 10:06 Ferdinando Ametrano
* test-suite/old_pricers.cpp (1.58):
warning avoided #ifdef QL_DISABLE_DEPRECATED
2004-09-27 19:06 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.81):
timing added
2004-09-27 18:53 Ferdinando Ametrano
* test-suite/: asianoptions.cpp (1.38), basketoption.cpp (1.31),
digitaloption.cpp (1.36), europeanoption.cpp (1.75),
europeanoption.hpp (1.17), lowdiscrepancysequences.cpp (1.66),
old_pricers.cpp (1.57):
timing added
2004-09-27 16:48 Ferdinando Ametrano
* ql/PricingEngines/mcsimulation.hpp (1.11),
test-suite/asianoptions.cpp (1.37), test-suite/barrieroption.cpp
(1.37), test-suite/basketoption.cpp (1.30),
test-suite/digitaloption.cpp (1.35), test-suite/europeanoption.cpp
(1.74), test-suite/europeanoption.hpp (1.16):
Monte Carlo simulation's convergence criterium is now absolute
(dollar value) tolerance instead of relative tolerance.
2004-09-27 15:02 Luigi Ballabio
* acinclude.m4 (1.14), configure.ac (1.53):
Allow passing info on Bost installation
2004-09-27 14:55 Luigi Ballabio
* ql/TermStructures/: compoundforward.hpp (1.35),
piecewiseflatforward.cpp (1.51), ratehelpers.cpp (1.57),
ratehelpers.hpp (1.46):
Fixes for indexed coupons
2004-09-24 19:20 Ferdinando Ametrano
* ql/Patterns/singleton.hpp (1.5):
VC7.1 doesn't need the patch
2004-09-24 18:30 Ferdinando Ametrano
* ql/Math/all.hpp (1.6):
allowing gracefull Borland failure
2004-09-24 18:04 Ferdinando Ametrano
* test-suite/testsuite.vcproj (1.21):
boost test suite --report_level=short
2004-09-24 16:55 Ferdinando Ametrano
* test-suite/testsuite.dsp (1.42):
boost test suite report_level=short
2004-09-23 17:52 Luigi Ballabio
* test-suite/: americanoption.cpp (1.24), asianoptions.cpp (1.36),
cliquetoption.cpp (1.10), digitaloption.cpp (1.34),
europeanoption.cpp (1.73), forwardoption.cpp (1.11),
jumpdiffusion.cpp (1.27), quantooption.cpp (1.13), utilities.cpp
(1.14), utilities.hpp (1.15):
Using evaluation date to check theta
2004-09-22 12:57 Ferdinando Ametrano
* ql/Math/multicubicspline.hpp (1.3):
\todo and \bug comments added
2004-09-22 12:43 Ferdinando Ametrano
* test-suite/interpolations.cpp (1.22):
grid points recalculation check added: memory access error!
2004-09-22 12:38 Ferdinando Ametrano
* test-suite/interpolations.hpp (1.8):
allowing gracefull Borland failure
2004-09-22 10:46 Ferdinando Ametrano
* ql/errors.cpp (1.8):
VC 6 integration
2004-09-22 10:36 Ferdinando Ametrano
* test-suite/termstructures.cpp (1.26):
more readable error message. This test currently fails with VC 6:
termstructures.cpp(132): fatal error in
"TermStructureTest::testReferenceChange": Discount at 10days:
before date change: 0.999333555506 after date change:
0.996838341934
2004-09-21 17:31 Luigi Ballabio
* test-suite/: interpolations.cpp (1.21), interpolations.hpp (1.7):
Disabled multispline test on Borland
2004-09-21 17:31 Luigi Ballabio
* ql/: qldefines.hpp (1.83), Math/multicubicspline.hpp (1.2):
Removed Doxygen warnings
2004-09-21 15:50 Luigi Ballabio
* configure.ac (1.52), ql/config.ansi.hpp (1.26), ql/config.bcc.hpp
(1.29), ql/config.msvc.hpp (1.56), ql/config.mwcw.hpp (1.25),
test-suite/interpolations.cpp (1.20), test-suite/interpolations.hpp
(1.6):
Test for multispline
2004-09-21 15:50 Luigi Ballabio
* ql/Optimization/constraint.hpp (1.23):
Fix for VC++
2004-09-21 15:22 Ferdinando Ametrano
* ql/PricingEngines/: Vanilla/mcdigitalengine.hpp (1.31),
Vanilla/mceuropeanengine.hpp (1.32), Vanilla/mcvanillaengine.hpp
(1.23), Basket/mcbasketengine.hpp (1.29):
removing default parameters
2004-09-21 15:08 Ferdinando Ametrano
* ql/PricingEngines/: Asian/mc_discr_arith_av_price.hpp (1.7),
Asian/mc_discr_geom_av_price.hpp (1.7),
Asian/mcdiscreteasianengine.hpp (1.4), Barrier/mcbarrierengine.hpp
(1.27):
removing default parameters
2004-09-21 15:03 Ferdinando Ametrano
* ql/stochasticprocess.cpp (1.8):
avoid Borland warning
2004-09-21 10:00 Ferdinando Ametrano
* QuantLib.dsp (1.247):
catching up
2004-09-21 09:31 Ferdinando Ametrano
* test-suite/asianoptions.cpp (1.35):
speeded up using variance reduction tecniques
2004-09-21 09:27 Ferdinando Ametrano
* test-suite/digitaloption.cpp (1.33):
explicit brownianBridge variable
2004-09-21 08:27 Ferdinando Ametrano
* QuantLib.vcproj (1.36):
catching up
2004-09-20 17:41 Luigi Ballabio
* News.txt (1.49), ql/Math/Makefile.am (1.42), ql/Math/all.hpp
(1.5), ql/Math/multicubicspline.hpp (1.1):
Added N-dimensional cubic spline (thanks to Roman Gitlin)
2004-09-20 15:57 Luigi Ballabio
* News.txt (1.48), ql/stochasticprocess.cpp (1.7),
ql/stochasticprocess.hpp (1.20), ql/MonteCarlo/pathgenerator.hpp
(1.61):
Path generator working with generic stochastic process (thanks to
W. Penschke)
2004-09-20 15:18 Ferdinando Ametrano
* test-suite/barrieroption.cpp (1.36):
seed variable introduced
2004-09-20 12:06 Luigi Ballabio
* ql/PricingEngines/mcsimulation.hpp (1.10),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.26),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.28),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.31),
test-suite/barrieroption.cpp (1.35), test-suite/basketoption.cpp
(1.29), test-suite/digitaloption.cpp (1.32):
Fixed tests
2004-09-17 19:12 Ferdinando Ametrano
* ql/PricingEngines/: Asian/mc_discr_arith_av_price.hpp (1.6),
Asian/mc_discr_geom_av_price.hpp (1.6),
Asian/mcdiscreteasianengine.hpp (1.3), Barrier/mcbarrierengine.hpp
(1.25), Basket/mcbasketengine.hpp (1.27),
Vanilla/mcdigitalengine.hpp (1.30), Vanilla/mceuropeanengine.hpp
(1.30), Vanilla/mcvanillaengine.hpp (1.22):
1) calculate method introduced, which encapsulates common code 2)
controlVariateValue() introduced 3) brownianBridge explicit
parameter introduced
2004-09-17 19:11 Ferdinando Ametrano
* ql/PricingEngines/mcsimulation.hpp (1.9):
1) calculate method introduced, which encapsulates common code 2)
controlVariateValue() introduced
2004-09-17 18:59 Ferdinando Ametrano
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.44):
no message
2004-09-17 17:23 Ferdinando Ametrano
* ql/MonteCarlo/multipathgenerator.hpp (1.53):
default value added (Warning: true case is not implemented)
2004-09-17 17:21 Ferdinando Ametrano
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.43):
implied boleean meaning revealed
2004-09-17 17:13 Ferdinando Ametrano
* ql/Pricers/: mccliquetoption.cpp (1.33),
mcdiscretearithmeticaso.cpp (1.35), mceverest.cpp (1.41),
mchimalaya.cpp (1.44), mcmaxbasket.cpp (1.40), mcpagoda.cpp (1.43),
mcperformanceoption.cpp (1.29):
implied boleean meaning revealed
2004-09-17 14:15 Luigi Ballabio
* ql/discretizedasset.hpp (1.15), test-suite/basketoption.cpp
(1.28), test-suite/europeanoption.cpp (1.72),
test-suite/lowdiscrepancysequences.cpp (1.65),
test-suite/termstructures.cpp (1.25):
Removed gcc warnings
2004-09-17 11:05 Luigi Ballabio
* Makefile.am (1.91), ql/calendar.hpp (1.44), ql/currency.hpp
(1.22), ql/date.hpp (1.31), ql/exchangerate.hpp (1.4),
ql/instrument.hpp (1.36), ql/money.hpp (1.5), ql/qldefines.hpp
(1.82), ql/quote.hpp (1.4), ql/termstructure.hpp (1.47),
ql/Calendars/germany.hpp (1.4), ql/Calendars/italy.hpp (1.3),
ql/Calendars/jointcalendar.hpp (1.7), ql/Calendars/target.hpp
(1.21), ql/Calendars/unitedkingdom.hpp (1.3),
ql/Calendars/unitedstates.hpp (1.4),
ql/Currencies/exchangeratemanager.hpp (1.4),
ql/DayCounters/actualactual.hpp (1.23),
ql/DayCounters/simpledaycounter.hpp (1.7),
ql/FiniteDifferences/dplusdminus.hpp (1.17),
ql/FiniteDifferences/dzero.hpp (1.16),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.31),
ql/Instruments/capfloor.hpp (1.51), ql/Instruments/swaption.hpp
(1.43), ql/Math/bivariatenormaldistribution.hpp (1.8),
ql/Math/cubicspline.hpp (1.52), ql/Math/factorial.hpp (1.6),
ql/Math/gammadistribution.hpp (1.11), ql/Math/kronrodintegral.hpp
(1.12), ql/Math/normaldistribution.hpp (1.30),
ql/Math/poissondistribution.hpp (1.8), ql/Math/pseudosqrt.hpp
(1.6), ql/Math/riskstatistics.hpp (1.17), ql/Math/rounding.hpp
(1.10), ql/Math/segmentintegral.hpp (1.23),
ql/Math/sequencestatistics.hpp (1.27), ql/Math/simpsonintegral.hpp
(1.9), ql/Math/statistics.hpp (1.30), ql/Math/svd.hpp (1.11),
ql/Math/symmetricschurdecomposition.hpp (1.16),
ql/Math/trapezoidintegral.hpp (1.9), ql/Optimization/constraint.hpp
(1.22), ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp
(1.3), ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp
(1.2), ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.5),
ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.5),
ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.6),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.24),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.26),
ql/PricingEngines/Basket/stulzengine.hpp (1.6),
ql/PricingEngines/Cliquet/analyticcliquetengine.hpp (1.3),
ql/PricingEngines/Cliquet/analyticperformanceengine.hpp (1.3),
ql/PricingEngines/Forward/forwardengine.hpp (1.16),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.9),
ql/PricingEngines/Quanto/quantoengine.hpp (1.14),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp (1.4),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp (1.3),
ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp (1.4),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp (1.5),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.18),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.6),
ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.10),
ql/PricingEngines/Vanilla/juquadraticengine.hpp (1.3),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.29),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.29),
ql/RandomNumbers/faurersg.hpp (1.3), ql/RandomNumbers/haltonrsg.hpp
(1.13), ql/RandomNumbers/mt19937uniformrng.hpp (1.14),
ql/RandomNumbers/randomizedlds.hpp (1.5),
ql/RandomNumbers/seedgenerator.hpp (1.4),
ql/RandomNumbers/sobolrsg.hpp (1.22), ql/Solvers1D/bisection.hpp
(1.18), ql/Solvers1D/brent.hpp (1.18),
ql/Solvers1D/falseposition.hpp (1.17), ql/Solvers1D/newton.hpp
(1.19), ql/Solvers1D/newtonsafe.hpp (1.19), ql/Solvers1D/ridder.hpp
(1.18), ql/Solvers1D/secant.hpp (1.18),
ql/TermStructures/compoundforward.hpp (1.34),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.23),
ql/TermStructures/impliedtermstructure.hpp (1.21),
ql/TermStructures/piecewiseflatforward.hpp (1.43),
ql/TermStructures/zerospreadedtermstructure.hpp (1.24),
test-suite/americanoption.hpp (1.6), test-suite/asianoptions.hpp
(1.7), test-suite/barrieroption.hpp (1.5),
test-suite/basketoption.hpp (1.7), test-suite/calendars.hpp (1.12),
test-suite/capfloor.hpp (1.9), test-suite/cliquetoption.hpp (1.4),
test-suite/compoundforward.hpp (1.6), test-suite/covariance.hpp
(1.9), test-suite/dates.hpp (1.7), test-suite/daycounters.hpp
(1.8), test-suite/digitaloption.hpp (1.8),
test-suite/distributions.hpp (1.8), test-suite/europeanoption.hpp
(1.15), test-suite/exchangerate.hpp (1.2), test-suite/factorial.hpp
(1.5), test-suite/forwardoption.hpp (1.3),
test-suite/instruments.hpp (1.7), test-suite/integrals.hpp (1.8),
test-suite/interpolations.hpp (1.5), test-suite/jumpdiffusion.hpp
(1.6), test-suite/lowdiscrepancysequences.hpp (1.17),
test-suite/matrices.hpp (1.10), test-suite/mersennetwister.hpp
(1.8), test-suite/money.hpp (1.2), test-suite/operators.hpp (1.7),
test-suite/piecewiseflatforward.hpp (1.8),
test-suite/quantooption.hpp (1.4), test-suite/quotes.hpp (1.4),
test-suite/riskstats.hpp (1.11), test-suite/rounding.hpp (1.4),
test-suite/solvers.hpp (1.7), test-suite/stats.hpp (1.14),
test-suite/swap.hpp (1.7), test-suite/swaption.hpp (1.7),
test-suite/termstructures.hpp (1.9):
Removed Doxygen warnings
2004-09-16 17:17 Luigi Ballabio
* test-suite/: capfloor.cpp (1.42), compoundforward.cpp (1.21),
matrices.cpp (1.27), piecewiseflatforward.cpp (1.26), swap.cpp
(1.28), swaption.cpp (1.33), termstructures.cpp (1.24),
utilities.hpp (1.14):
Added some support for teardown function in test cases
2004-09-16 15:02 Luigi Ballabio
* ql/RandomNumbers/sobolrsg.hpp (1.21):
Removed Cantor-like diagonal selection
2004-09-16 15:01 Luigi Ballabio
* ql/errors.cpp (1.7):
Added gcc format for errors (better, although not perfect,
integration with Emacs)
2004-09-16 12:14 Ferdinando Ametrano
* ql/RandomNumbers/randomizedlds.hpp (1.4):
no message
2004-09-16 12:13 Ferdinando Ametrano
* ql/RandomNumbers/: sobolrsg.cpp (1.35), sobolrsg.hpp (1.20):
intSequence() method exposed
2004-09-16 11:49 Luigi Ballabio
* ql/RandomNumbers/randomizedlds.hpp (1.3):
Made some justice to hyphens and such
2004-09-16 11:37 Luigi Ballabio
* ql/FiniteDifferences/finitedifferencemodel.hpp (1.30):
Fixed bug which caused only one stopping time per FD step to be
used
2004-09-16 11:37 Luigi Ballabio
* Docs/pages/findiff.docs (1.12):
Tagged doc page as outdated
2004-09-16 10:16 Luigi Ballabio
* News.txt (1.47), ql/capvolstructures.hpp (1.10),
ql/swaptionvolstructure.hpp (1.12), ql/voltermstructure.cpp (1.21),
ql/voltermstructure.hpp (1.29),
ql/Volatilities/blackconstantvol.hpp (1.28),
ql/Volatilities/blackvariancecurve.cpp (1.15),
ql/Volatilities/blackvariancecurve.hpp (1.32),
ql/Volatilities/blackvariancesurface.cpp (1.15),
ql/Volatilities/blackvariancesurface.hpp (1.33),
ql/Volatilities/capflatvolvector.hpp (1.19),
ql/Volatilities/impliedvoltermstructure.hpp (1.15),
ql/Volatilities/localconstantvol.hpp (1.24),
ql/Volatilities/localvolcurve.hpp (1.15),
ql/Volatilities/localvolsurface.cpp (1.17),
ql/Volatilities/localvolsurface.hpp (1.24),
ql/Volatilities/swaptionvolmatrix.hpp (1.23),
test-suite/quantlibtestsuite.cpp (1.79):
Derived volatility term structures from BaseTermStructure
2004-09-15 17:00 Luigi Ballabio
* ql/RandomNumbers/knuthuniformrng.cpp (1.13),
ql/RandomNumbers/lecuyeruniformrng.cpp (1.12),
ql/RandomNumbers/lecuyeruniformrng.hpp (1.15),
ql/RandomNumbers/mt19937uniformrng.cpp (1.11),
ql/RandomNumbers/seedgenerator.cpp (1.3),
ql/RandomNumbers/seedgenerator.hpp (1.3),
test-suite/lowdiscrepancysequences.cpp (1.64):
Re-implemented seed generator as singleton
2004-09-15 16:57 Luigi Ballabio
* ql/Patterns/singleton.hpp (1.3):
Addressed quirks of both gcc and vc
2004-09-15 13:13 Ferdinando Ametrano
* test-suite/: lowdiscrepancysequences.cpp (1.63),
lowdiscrepancysequences.hpp (1.16):
added random seed generator test
2004-09-15 13:10 Ferdinando Ametrano
* ql/RandomNumbers/: seedgenerator.cpp (1.2), seedgenerator.hpp
(1.2):
added random seed generator
2004-09-15 11:27 Ferdinando Ametrano
* test-suite/: lowdiscrepancysequences.cpp (1.62),
lowdiscrepancysequences.hpp (1.15):
clean up
2004-09-15 11:24 Ferdinando Ametrano
* ql/errors.cpp (1.6):
file name and line number on a new line with Boost-like formatting.
This allows improved integration in Visual Studio: a double click
on the message will jump to the correct file and line
2004-09-14 18:36 Ferdinando Ametrano
* News.txt (1.46):
updated
2004-09-14 18:29 Ferdinando Ametrano
* ql/RandomNumbers/randomizedlds.hpp (1.2),
test-suite/lowdiscrepancysequences.cpp (1.61):
typo fixed
2004-09-14 18:23 Ferdinando Ametrano
* QuantLib.vcproj (1.35), ql/RandomNumbers/randomizedlds.hpp (1.1),
test-suite/lowdiscrepancysequences.cpp (1.60),
test-suite/lowdiscrepancysequences.hpp (1.14):
added randomized low discrepancy sequence generator
2004-09-14 15:43 Ferdinando Ametrano
* ql/RandomNumbers/: Makefile.am (1.19), knuthuniformrng.cpp
(1.12), lecuyeruniformrng.hpp (1.14), makefile.mak (1.29),
mt19937uniformrng.cpp (1.10), seedgenerator.cpp (1.1),
seedgenerator.hpp (1.1):
added random seed generator
2004-09-14 15:39 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.28):
removed code already commented out
2004-09-14 11:22 Ferdinando Ametrano
* test-suite/asianoptions.cpp (1.34):
no message
2004-09-14 11:15 Ferdinando Ametrano
* test-suite/asianoptions.cpp (1.33):
using control variation to speed up discrete arithmetic average
price test
2004-09-14 11:08 Ferdinando Ametrano
* QuantLib.vcproj (1.34):
catching up
2004-09-14 11:05 Ferdinando Ametrano
* ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.4):
control variation added
2004-09-14 11:04 Ferdinando Ametrano
* ql/PricingEngines/Asian/: mc_discr_geom_av_price.cpp (1.2),
mc_discr_geom_av_price.hpp (1.4), mc_discr_arith_av_price.cpp
(1.2):
handle seasoned options
2004-09-14 10:53 Ferdinando Ametrano
* ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp (1.2):
comment added
2004-09-14 10:53 Ferdinando Ametrano
* ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.2):
now it can be used as control variate for arithmetic average
2004-09-13 19:17 Ferdinando Ametrano
* ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.2):
formatting
2004-09-13 19:05 Luigi Ballabio
* News.txt (1.45), Docs/pages/termstructures.docs (1.8),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.65),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.42),
Examples/Swap/swapvaluation.cpp (1.52), ql/Makefile.am (1.65),
ql/core.hpp (1.8), ql/stochasticprocess.cpp (1.6),
ql/stochasticprocess.hpp (1.19), ql/termstructure.hpp (1.46),
ql/CashFlows/parcoupon.cpp (1.15), ql/Indexes/audlibor.hpp (1.20),
ql/Indexes/cadlibor.hpp (1.20), ql/Indexes/chflibor.hpp (1.18),
ql/Indexes/euribor.hpp (1.23), ql/Indexes/gbplibor.hpp (1.25),
ql/Indexes/jpylibor.hpp (1.19), ql/Indexes/usdlibor.hpp (1.25),
ql/Indexes/xibor.hpp (1.35), ql/Instruments/capfloor.cpp (1.58),
ql/Instruments/capfloor.hpp (1.50),
ql/Instruments/oneassetoption.cpp (1.17),
ql/Instruments/quantoforwardvanillaoption.cpp (1.27),
ql/Instruments/quantoforwardvanillaoption.hpp (1.23),
ql/Instruments/quantovanillaoption.cpp (1.34),
ql/Instruments/quantovanillaoption.hpp (1.31),
ql/Instruments/swap.cpp (1.37), ql/Instruments/swap.hpp (1.31),
ql/Instruments/swaption.cpp (1.46), ql/Instruments/swaption.hpp
(1.42), ql/Pricers/mccliquetoption.cpp (1.32),
ql/Pricers/mccliquetoption.hpp (1.22),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.34),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.25),
ql/Pricers/mceverest.cpp (1.40), ql/Pricers/mceverest.hpp (1.27),
ql/Pricers/mchimalaya.cpp (1.43), ql/Pricers/mchimalaya.hpp (1.26),
ql/Pricers/mcmaxbasket.cpp (1.39), ql/Pricers/mcmaxbasket.hpp
(1.27), ql/Pricers/mcpagoda.cpp (1.42), ql/Pricers/mcpagoda.hpp
(1.28), ql/Pricers/mcperformanceoption.cpp (1.28),
ql/Pricers/mcperformanceoption.hpp (1.20),
ql/PricingEngines/blackmodel.hpp (1.6),
ql/PricingEngines/Asian/Makefile.am (1.7),
ql/PricingEngines/Forward/forwardengine.hpp (1.15),
ql/PricingEngines/Quanto/quantoengine.hpp (1.13),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.17),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.24),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.10),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.27),
ql/ShortRateModels/calibrationhelper.hpp (1.24),
ql/ShortRateModels/model.hpp (1.32),
ql/ShortRateModels/parameter.hpp (1.21),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.40),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.18),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.39),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.16),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.20),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.18),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.26),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.24), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.22),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.23),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.24),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.27),
ql/TermStructures/compoundforward.cpp (1.43),
ql/TermStructures/compoundforward.hpp (1.33),
ql/TermStructures/discountcurve.hpp (1.31),
ql/TermStructures/drifttermstructure.hpp (1.12),
ql/TermStructures/extendeddiscountcurve.cpp (1.16),
ql/TermStructures/extendeddiscountcurve.hpp (1.16),
ql/TermStructures/flatforward.hpp (1.40),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.22),
ql/TermStructures/impliedtermstructure.hpp (1.20),
ql/TermStructures/piecewiseflatforward.cpp (1.50),
ql/TermStructures/piecewiseflatforward.hpp (1.42),
ql/TermStructures/quantotermstructure.hpp (1.15),
ql/TermStructures/ratehelpers.cpp (1.56),
ql/TermStructures/ratehelpers.hpp (1.45),
ql/TermStructures/zerocurve.hpp (1.12),
ql/TermStructures/zerospreadedtermstructure.hpp (1.23),
ql/Volatilities/localvolsurface.cpp (1.16),
ql/Volatilities/localvolsurface.hpp (1.23),
test-suite/americanoption.cpp (1.23), test-suite/asianoptions.cpp
(1.32), test-suite/barrieroption.cpp (1.34),
test-suite/basketoption.cpp (1.27), test-suite/capfloor.cpp (1.41),
test-suite/cliquetoption.cpp (1.9), test-suite/compoundforward.cpp
(1.20), test-suite/digitaloption.cpp (1.31),
test-suite/europeanoption.cpp (1.71), test-suite/forwardoption.cpp
(1.10), test-suite/jumpdiffusion.cpp (1.26),
test-suite/old_pricers.cpp (1.56),
test-suite/piecewiseflatforward.cpp (1.25),
test-suite/quantooption.cpp (1.12), test-suite/swap.cpp (1.27),
test-suite/swaption.cpp (1.32), test-suite/termstructures.cpp
(1.23), test-suite/utilities.cpp (1.13), test-suite/utilities.hpp
(1.13):
TermStructure renamed to YieldTermStructure and derived from
BaseTermStructure to provide reference-date calculation
2004-09-13 18:59 Luigi Ballabio
* Docs/quantlib.doxy (1.89), Docs/pages/config.docs (1.2),
ql/exchangerate.hpp (1.3), ql/money.hpp (1.4),
ql/Instruments/barrieroption.hpp (1.27),
ql/Instruments/basketoption.hpp (1.11),
ql/Instruments/cliquetoption.hpp (1.14),
ql/Instruments/europeanoption.hpp (1.3), ql/Math/factorial.hpp
(1.5), ql/Math/rounding.hpp (1.9), ql/Optimization/leastsquare.hpp
(1.28), ql/Optimization/simplex.hpp (1.17),
ql/PricingEngines/Swaption/g2swaptionengine.hpp (1.3),
ql/RandomNumbers/sobolrsg.hpp (1.19):
Removed a few Doxygen warnings
2004-09-13 15:16 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/: baroneadesiwhaleyengine.cpp (1.15),
baroneadesiwhaleyengine.hpp (1.4), juquadraticengine.cpp (1.3),
juquadraticengine.hpp (1.2):
removing duplicated code
2004-09-13 14:42 Ferdinando Ametrano
* test-suite/asianoptions.cpp (1.31):
purged unused stuff
2004-09-13 14:34 Ferdinando Ametrano
* ql/PricingEngines/Cliquet/makefile.mak (1.11):
formatting
2004-09-13 14:33 Ferdinando Ametrano
* ql/makefile.mak (1.61):
forgotten folder
2004-09-13 14:03 Ferdinando Ametrano
* ql/PricingEngines/Asian/: mc_discr_arith_av_price.hpp (1.3),
mc_discr_geom_av_price.hpp (1.3):
default constructor
2004-09-13 13:57 Ferdinando Ametrano
* ql/: Instruments/asianoption.cpp (1.20),
PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.2),
PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.2),
PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.2):
updated
2004-09-13 13:36 Ferdinando Ametrano
* test-suite/asianoptions.cpp (1.30):
VC6 patch
2004-09-13 13:31 Luigi Ballabio
* ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.28):
Arguments cannot be checked in engine constructor---they are not
yet set.
2004-09-13 13:20 Ferdinando Ametrano
* QuantLib.dsp (1.246), test-suite/asianoptions.cpp (1.29),
test-suite/asianoptions.hpp (1.6):
updated
2004-09-13 13:14 Ferdinando Ametrano
* News.txt (1.44), QuantLib.vcproj (1.33):
updated
2004-09-13 13:10 Ferdinando Ametrano
* test-suite/: asianoptions.cpp (1.28), asianoptions.hpp (1.5),
old_pricers.cpp (1.55):
tests for new engines: a) Monte Carlo discrete geometric average
price b) Monte Carlo discrete arithmetic average price
2004-09-13 13:09 Ferdinando Ametrano
* ql/PricingEngines/Asian/: Makefile.am (1.6), all.hpp (1.3),
makefile.mak (1.9), mc_discr_arith_av_price.cpp (1.1),
mc_discr_arith_av_price.hpp (1.1), mc_discr_geom_av_price.cpp
(1.1), mc_discr_geom_av_price.hpp (1.1), mcdiscreteasianengine.hpp
(1.1):
new pricing engines: a) Monte Carlo discrete geometric average
price b) Monte Carlo discrete arithmetic average price
2004-09-13 13:09 Ferdinando Ametrano
* ql/PricingEngines/Asian/: analytic_cont_geom_av_price.cpp (1.1),
analytic_cont_geom_av_price.hpp (1.1),
analytic_discr_geom_av_price.cpp (1.1),
analytic_discr_geom_av_price.hpp (1.1):
consistent file/class names
2004-09-13 13:03 Ferdinando Ametrano
* ql/Instruments/: asianoption.cpp (1.19), asianoption.hpp (1.20):
handling both running sum (arithmetic average) and running product
(geometric average)
2004-09-10 19:17 Luigi Ballabio
* ql/Makefile.am (1.64), ql/core.hpp (1.7), ql/date.hpp (1.30),
ql/money.cpp (1.3), ql/settings.hpp (1.1), ql/termstructure.hpp
(1.45), ql/CashFlows/parcoupon.cpp (1.14),
ql/CashFlows/shortfloatingcoupon.cpp (1.19),
ql/Currencies/exchangeratemanager.cpp (1.3),
ql/Currencies/exchangeratemanager.hpp (1.3), ql/Indexes/xibor.cpp
(1.23), ql/Indexes/xibor.hpp (1.34), ql/Instruments/capfloor.cpp
(1.57), ql/Patterns/observable.hpp (1.22),
ql/PricingEngines/Forward/forwardengine.hpp (1.14),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.16),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.23),
ql/TermStructures/compoundforward.cpp (1.42),
ql/TermStructures/compoundforward.hpp (1.32),
ql/TermStructures/discountcurve.hpp (1.30),
ql/TermStructures/drifttermstructure.hpp (1.11),
ql/TermStructures/extendeddiscountcurve.cpp (1.15),
ql/TermStructures/extendeddiscountcurve.hpp (1.15),
ql/TermStructures/flatforward.hpp (1.39),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.21),
ql/TermStructures/impliedtermstructure.hpp (1.19),
ql/TermStructures/piecewiseflatforward.cpp (1.49),
ql/TermStructures/piecewiseflatforward.hpp (1.41),
ql/TermStructures/quantotermstructure.hpp (1.14),
ql/TermStructures/ratehelpers.cpp (1.55),
ql/TermStructures/zerocurve.hpp (1.11),
ql/TermStructures/zerospreadedtermstructure.hpp (1.22),
test-suite/capfloor.cpp (1.40), test-suite/compoundforward.cpp
(1.19), test-suite/piecewiseflatforward.cpp (1.24),
test-suite/swap.cpp (1.26), test-suite/swaption.cpp (1.31),
test-suite/termstructures.cpp (1.22), test-suite/termstructures.hpp
(1.8), test-suite/utilities.cpp (1.12):
Added global evaluation date - used for exchange-rate lookup; -
used for past coupon-fixing lookup; - possibly used for determining
the reference date of a yield term structure. Still to do: - use
it for determining the reference date of volatility term
structures.
2004-09-10 14:28 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.21):
typo fixed
2004-09-10 14:07 Ferdinando Ametrano
* ql/Instruments/asianoption.hpp (1.19):
more comments
2004-09-10 13:37 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.27):
Luigi: how could I check for European exercise? Both solutions
crash or fail the check... :-(
2004-09-10 13:32 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.26):
no message
2004-09-10 13:19 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.25):
redundant calculate() method removed
2004-09-10 13:18 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.20):
check removed
2004-09-10 13:17 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.26):
check added
2004-09-09 09:49 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.59):
a) discrepancy assignment mismatch fixed. b) removed redundant
data: for low dimensions all Sobol' implementation are identical
2004-09-08 09:50 Ferdinando Ametrano
* News.txt (1.43):
updated
2004-09-08 09:43 Ferdinando Ametrano
* test-suite/: lowdiscrepancysequences.cpp (1.58),
lowdiscrepancysequences.hpp (1.13):
Sobol' Levitan Lemieux direction numbers tested
2004-09-08 00:19 Ferdinando Ametrano
* ql/RandomNumbers/: sobolrsg.cpp (1.34), sobolrsg.hpp (1.18):
documentation improved
2004-09-07 21:30 Ferdinando Ametrano
* ql/RandomNumbers/: sobolrsg.cpp (1.33), sobolrsg.hpp (1.17):
Sobol' Levitan Lemiuex initialized Sobol sequences can be used
2004-09-07 10:01 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.57):
Sobol' Levitan direction numbers tested
2004-09-07 09:09 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.56):
Sobol' Levitan direction numbers tested
2004-09-06 20:19 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.55):
typo fixed
2004-09-06 19:44 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.54):
Sobol' Levitan direction numbers tested
2004-09-06 17:07 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.53):
Sobol' Levitan direction numbers tested
2004-09-06 15:14 Ferdinando Ametrano
* test-suite/: lowdiscrepancysequences.cpp (1.51),
lowdiscrepancysequences.hpp (1.12), lowdiscrepancysequences.cpp
(1.52):
Sobol' Levitan direction numbers tested
2004-09-06 15:14 Ferdinando Ametrano
* ql/RandomNumbers/: sobolrsg.cpp (1.32), sobolrsg.hpp (1.16):
Sobol' Levitan direction numbers can be used
2004-09-06 11:46 Ferdinando Ametrano
* ql/RandomNumbers/sobolrsg.cpp (1.31):
typos fixed
2004-09-06 11:44 Ferdinando Ametrano
* ql/RandomNumbers/sobolrsg.cpp (1.30):
adding Sobol' Levitan coefficients of the free direction integers
as given by Bratley and Fox. Not used in the code yet.
2004-09-03 11:16 Ferdinando Ametrano
* test-suite/distributions.cpp (1.19):
one more check added
2004-09-01 16:44 Ferdinando Ametrano
* ql/Math/: gaussianstatistics.hpp (1.23), riskstatistics.hpp
(1.16):
typo fixed
2004-09-01 16:01 Ferdinando Ametrano
* ql/Math/gaussianstatistics.hpp (1.22):
added gaussianTopPercentile method (topPercentile for empirical
distribution was already available)
2004-09-01 09:32 Ferdinando Ametrano
* test-suite/asianoptions.cpp (1.27):
test bug fixed
2004-09-01 09:22 Luigi Ballabio
* Docs/: Makefile.am (1.70), qlintro.tex (1.3), quantlibheader.html
(1.26), pages/config.docs (1.1), pages/index.docs (1.10),
pages/install.docs (1.12):
Documented user configuration
2004-09-01 09:22 Ferdinando Ametrano
* test-suite/asianoptions.cpp (1.26):
test bug fixed
2004-08-31 14:42 Ferdinando Ametrano
* test-suite/covariance.cpp (1.24):
using MatrixFormatter instead of SequanceFormatter (the latter is
not available for VC6)
2004-08-31 12:52 Ferdinando Ametrano
* test-suite/covariance.cpp (1.23):
Extended test: it now tests a covariance matrix too.
2004-08-31 12:43 Ferdinando Ametrano
* test-suite/covariance.cpp (1.22):
Extended test: it now tests a covariance matrix too.
2004-08-31 11:24 Ferdinando Ametrano
* test-suite/covariance.cpp (1.21):
Extended test: it now tests a covariance matrix too.
2004-08-31 11:22 Ferdinando Ametrano
* ql/Math/pseudosqrt.cpp (1.8):
bug fix
2004-08-31 11:21 Ferdinando Ametrano
* ql/config.msvc.hpp (1.55):
improved message
2004-08-31 10:36 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.50):
page reference added
2004-08-30 15:31 Ferdinando Ametrano
* ql/RandomNumbers/faurersg.hpp (1.2):
this include order avoids VC6 warnings
2004-08-30 15:08 Ferdinando Ametrano
* Contributors.txt (1.24), Docs/pages/authors.docs (1.30):
Faure tests documented
2004-08-30 14:53 Luigi Ballabio
* Makefile.am (1.90), News.txt (1.42), Readme.txt (1.22):
Pruned text files
2004-08-30 14:40 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.49):
Faure tests documented
2004-08-30 12:11 Ferdinando Ametrano
* ql/config.msvc.hpp (1.54):
updated error message for VC7
2004-08-26 18:50 Luigi Ballabio
* ql/RandomNumbers/faurersg.cpp (1.3):
Fix for Faure rsg
2004-08-26 13:55 Luigi Ballabio
* ql/Patterns/singleton.hpp (1.2):
Modified to work (more) reliably with VC++6
2004-08-25 13:21 Ferdinando Ametrano
* ql/RandomNumbers/primitivepolynomials.c (1.8):
more comments
2004-08-25 13:09 Ferdinando Ametrano
* ql/RandomNumbers/primitivepolynomials.c (1.7):
more comments
2004-08-24 19:59 Ferdinando Ametrano
* QuantLib.dsp (1.245), ql/RandomNumbers/faurersg.cpp (1.2):
VC6 catching up
2004-08-24 19:48 Ferdinando Ametrano
* QuantLib.vcproj (1.32), ql/RandomNumbers/Makefile.am (1.18),
ql/RandomNumbers/all.hpp (1.5), ql/RandomNumbers/makefile.mak
(1.28), ql/RandomNumbers/sobolrsg.hpp (1.15),
test-suite/lowdiscrepancysequences.cpp (1.48),
test-suite/lowdiscrepancysequences.hpp (1.11),
ql/RandomNumbers/faurersg.cpp (1.1), ql/RandomNumbers/faurersg.hpp
(1.1):
added Faure low discrepancy sequences, thanks to Gianni Piolanti
2004-08-24 15:16 Ferdinando Ametrano
* ql/config.msvc.hpp (1.53):
VC 7.1 doesn't need HAVE_INCOMPLETE_ITERATOR_SUPPORT and
REQUIRES_DUMMY_RETURN
2004-08-23 18:17 Luigi Ballabio
* Docs/pages/faq.docs (1.3):
More general section title
2004-08-23 17:56 Ferdinando Ametrano
* Docs/pages/faq.docs (1.2):
added VC link FAQ
2004-08-23 16:15 Luigi Ballabio
* Docs/: Makefile.am (1.69), makefile.mak (1.36), qlintro.tex
(1.2), quantlibheader.html (1.25), pages/faq.docs (1.1):
Moved FAQ into manual
2004-08-23 12:01 Luigi Ballabio
* ql/Math/array.hpp (1.9), ql/Math/matrix.hpp (1.33),
test-suite/matrices.cpp (1.26):
Re-enabled ArrayFormatter and MatrixFormatter for VC6
2004-08-23 11:59 Luigi Ballabio
* ql/PricingEngines/: Barrier/mcbarrierengine.hpp (1.23),
Basket/mcbasketengine.hpp (1.25), Vanilla/mcdigitalengine.hpp
(1.24), Vanilla/mceuropeanengine.hpp (1.25):
selectively added typename keyword
2004-08-20 19:41 Ferdinando Ametrano
* ql/PricingEngines/: Barrier/mcbarrierengine.hpp (1.22),
Basket/mcbasketengine.hpp (1.24), Vanilla/mcdigitalengine.hpp
(1.23), Vanilla/mceuropeanengine.hpp (1.24):
typename removed (VC6 fix) Luigi: if needed by gcc we'll need a VC6
patch
2004-08-20 19:38 Ferdinando Ametrano
* ql/currency.hpp (1.21):
fixed for Borland too
2004-08-20 17:49 Ferdinando Ametrano
* QuantLib.vcproj (1.31),
functions/ql/Functions/QuantLibFunctions.vcproj (1.8):
Language extensions disabled for all projects but test-suite (boost
lib linkage would fail, I don't know why)
2004-08-20 15:36 Ferdinando Ametrano
* Examples/DiscreteHedging/: DiscreteHedging.cpp (1.41), ReadMe.txt
(1.3):
link updated
2004-08-20 11:53 Luigi Ballabio
* ql/: Math/bicubicsplineinterpolation.hpp (1.19),
Math/bilinearinterpolation.hpp (1.23), Math/cubicspline.hpp (1.51),
Math/gaussianstatistics.hpp (1.21), Math/riskstatistics.hpp (1.15),
PricingEngines/genericmodelengine.hpp (1.7),
PricingEngines/latticeshortratemodelengine.hpp (1.12),
PricingEngines/Barrier/mcbarrierengine.hpp (1.21),
PricingEngines/Basket/mcbasketengine.hpp (1.23),
PricingEngines/Forward/forwardengine.hpp (1.13),
PricingEngines/Forward/forwardperformanceengine.hpp (1.8),
PricingEngines/Quanto/quantoengine.hpp (1.12),
PricingEngines/Vanilla/mcdigitalengine.hpp (1.22),
PricingEngines/Vanilla/mceuropeanengine.hpp (1.23),
PricingEngines/Vanilla/mcvanillaengine.hpp (1.19):
Fixes for gcc 3.4 (thanks to Andreas Jochens)
2004-08-20 10:43 Luigi Ballabio
* ql/: config.msvc.hpp (1.52), currency.hpp (1.20), money.hpp
(1.3):
Moved header inclusion where it belongs
2004-08-20 10:42 Luigi Ballabio
* ql/CashFlows/cashflowvectors.hpp (1.31),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.39),
test-suite/capfloor.cpp (1.39):
Fix for VC6
2004-08-20 09:55 Luigi Ballabio
* test-suite/matrices.cpp (1.25):
Fixed typo
2004-08-20 09:53 Luigi Ballabio
* ql/CashFlows/cashflowvectors.cpp (1.37),
ql/CashFlows/cashflowvectors.hpp (1.30), test-suite/swap.cpp
(1.25):
moved the QL_USE_INDEXED_COUPON switch into
FloatingRateCouponVector (which is now a proxy to
IndexedCouponVector)
2004-08-20 09:51 Luigi Ballabio
* ql/CashFlows/: indexedcoupon.hpp (1.14), shortfloatingcoupon.cpp
(1.18), shortfloatingcoupon.hpp (1.19), shortindexedcoupon.hpp
(1.13):
Specialized Short<> for ParCoupon
2004-08-19 19:09 Ferdinando Ametrano
* test-suite/matrices.cpp (1.24):
typo fixed
2004-08-19 19:06 Ferdinando Ametrano
* test-suite/matrices.cpp (1.23):
less info for VC6 only
2004-08-19 18:52 Ferdinando Ametrano
* ql/config.msvc.hpp (1.51):
QL_PATCH_MICROSOFT renamed as QL_PATCH_MSVC6 and applied only to
Microsoft Visual C++ 6
2004-08-19 18:24 Ferdinando Ametrano
* QuantLib.vcproj (1.30),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.9),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.9),
Examples/Swap/Swap.vcproj (1.9),
functions/ql/Functions/QuantLibFunctions.vcproj (1.7),
ql/config.msvc.hpp (1.50),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.36),
ql/Instruments/asianoption.cpp (1.18),
ql/Instruments/barrieroption.cpp (1.31),
ql/Instruments/basketoption.cpp (1.9),
ql/Instruments/cliquetoption.cpp (1.3),
ql/Instruments/dividendvanillaoption.cpp (1.4),
ql/Instruments/multiassetoption.cpp (1.11),
ql/Instruments/oneassetoption.cpp (1.16),
ql/Instruments/swaption.cpp (1.45), ql/Math/array.hpp (1.8),
ql/Math/interpolation.hpp (1.31), ql/Math/interpolation2D.hpp
(1.21), ql/Math/matrix.hpp (1.32),
ql/Volatilities/blackvariancecurve.cpp (1.14),
ql/Volatilities/blackvariancecurve.hpp (1.31),
ql/Volatilities/blackvariancesurface.cpp (1.14),
ql/Volatilities/blackvariancesurface.hpp (1.32),
test-suite/testsuite.vcproj (1.20):
QL_PATCH_MICROSOFT renamed as QL_PATCH_MSVC6 and applied only to
Microsoft Visual C++ 6
2004-08-19 17:07 Luigi Ballabio
* ql/Math/array.hpp (1.7), ql/Math/matrix.hpp (1.31),
test-suite/matrices.cpp (1.22):
Disabled problematic (for VC6) code
2004-08-19 16:23 Ferdinando Ametrano
* ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.7):
fixed for VC7.1 with Language Extensions disabled
2004-08-19 16:18 Ferdinando Ametrano
* ql/PricingEngines/Forward/forwardengine.hpp (1.12):
fixed for VC7.1 with Language Extensions disabled
2004-08-19 16:11 Ferdinando Ametrano
* ql/PricingEngines/Forward/forwardengine.hpp (1.11):
fixed for VC7.1 with Language Extensions disabled
2004-08-19 16:02 Ferdinando Ametrano
* ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.6):
fixed for VC7.1 with Language Extensions disabled
2004-08-19 15:35 Ferdinando Ametrano
* ql/PricingEngines/Quanto/quantoengine.hpp (1.11):
fixed for VC7.1 with Language Extensions disabled
2004-08-19 15:23 Ferdinando Ametrano
* QuantLib.vcproj (1.29),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.8),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.8),
Examples/Swap/Swap.vcproj (1.8),
functions/ql/Functions/QuantLibFunctions.vcproj (1.6), ql/money.hpp
(1.2), ql/solver1d.hpp (1.27),
ql/Math/bicubicsplineinterpolation.hpp (1.18),
ql/Math/bilinearinterpolation.hpp (1.22), ql/Math/cubicspline.hpp
(1.50), ql/Math/gaussianstatistics.hpp (1.20),
ql/Math/linearinterpolation.hpp (1.29), ql/Math/riskstatistics.hpp
(1.14), ql/PricingEngines/genericmodelengine.hpp (1.6),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.11),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.20),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.22),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.21),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.22),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.18),
test-suite/interpolations.cpp (1.19), test-suite/testsuite.vcproj
(1.19):
fixed for VC7.1 with Language Extensions disabled
2004-08-19 12:33 Luigi Ballabio
* configure.ac (1.51), ql/userconfig.hpp (1.12):
Add par/indexed coupon configuration option to ./configure
2004-08-19 12:32 Luigi Ballabio
* ql/Currencies/: asia.hpp (1.4), europe.hpp (1.4):
Added missing data
2004-08-19 08:38 Nicolas Di Césaré
* ql/TermStructures/: ratehelpers.cpp (1.54), ratehelpers.hpp
(1.44):
replace dayCounter of dummyIndex with the correct one for Euribor
index (Act360)
2004-08-19 08:27 Nicolas Di Césaré
* test-suite/: capfloor.cpp (1.38), swap.cpp (1.24), swaption.cpp
(1.30):
Add QL_USE_INDEXED_COUPON flag to switch between ParCoupon and
UpFrontIndexedCoupon in SimpleSwap. Default is undefined
2004-08-19 08:24 Nicolas Di Césaré
* ql/userconfig.hpp (1.11):
Add QL_USE_INDEXED_COUPON flag to switch between ParCoupon and
UpFrontIndexedCoupon in SimpleSwap. Default is undefined
2004-08-17 17:48 Ferdinando Ametrano
* ql/PricingEngines/Forward/forwardengine.hpp (1.10):
more palatable to VC7 (if correct: Luigi?)
2004-08-17 17:44 Luigi Ballabio
* quantlib.el (1.13), ql/currency.hpp (1.19), ql/money.cpp (1.2),
ql/Currencies/africa.hpp (1.3), ql/Currencies/america.hpp (1.3),
ql/Currencies/asia.hpp (1.3), ql/Currencies/europe.hpp (1.3),
ql/Currencies/oceania.hpp (1.3):
Added format string to currency specification
2004-08-17 17:30 Ferdinando Ametrano
* ql/solver1d.hpp (1.26):
more palatable to VC7 (if correct: Luigi?)
2004-08-17 15:48 Luigi Ballabio
* configure.ac (1.50), ql/config.ansi.hpp (1.25), ql/config.bcc.hpp
(1.28), ql/config.msvc.hpp (1.49), ql/config.mwcw.hpp (1.24),
ql/qldefines.hpp (1.81), test-suite/distributions.cpp (1.18),
test-suite/operators.cpp (1.11):
C functions replaced with C++ streams
2004-08-17 15:47 Luigi Ballabio
* ql/Volatilities/localvolsurface.hpp (1.22):
Typos fixed
2004-08-17 15:11 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption.vcproj (1.7),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.7),
Examples/Swap/Swap.vcproj (1.7), test-suite/testsuite.vcproj
(1.18):
warning avoided ("edit and continue" is now enabled)
2004-08-17 13:53 Ferdinando Ametrano
* QuantLib.vcproj (1.28),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.6),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.6),
Examples/Swap/Swap.vcproj (1.6),
functions/ql/Functions/QuantLibFunctions.vcproj (1.5),
test-suite/testsuite.vcproj (1.17):
few more optimizations enabled
2004-08-17 11:34 Luigi Ballabio
* ql/CashFlows/: parcoupon.cpp (1.13), parcoupon.hpp (1.11):
day counter added (to be used for spread and past fixings)
2004-08-17 11:29 Luigi Ballabio
* ql/exercise.cpp (1.11):
Added check for null date vector
2004-08-17 11:00 Ferdinando Ametrano
* Docs/pages/usage.docs (1.16):
updated for VC7 (.NET)
2004-08-17 10:01 Ferdinando Ametrano
* ql/exchangerate.cpp (1.3):
Borland warning avoided
2004-08-17 09:47 Luigi Ballabio
* ql/: exchangerate.cpp (1.2), exchangerate.hpp (1.2),
Currencies/exchangeratemanager.hpp (1.2):
Fix for incomplete data type in ExchangeRate
2004-08-17 09:45 Luigi Ballabio
* ql/Currencies/exchangeratemanager.cpp (1.2):
Fix for triangulated lookup
2004-08-17 09:44 Luigi Ballabio
* ql/Indexes/: indexmanager.cpp (1.2), indexmanager.hpp (1.2):
Added correct constness to methods
2004-08-17 09:41 Luigi Ballabio
* ql/: Instruments/stock.cpp (1.19), Instruments/swap.cpp (1.36),
Indexes/xibor.cpp (1.22), PricingEngines/Quanto/quantoengine.hpp
(1.10), quote.hpp (1.3):
Fixed Handle documentation; deprecated isNull() in favor of empty()
2004-08-17 09:37 Luigi Ballabio
* Docs/pages/resources.docs (1.8):
Links fixed
2004-08-17 09:27 Ferdinando Ametrano
* QuantLib.dsp (1.244), QuantLib.dsw (1.13),
test-suite/testsuite.dsp (1.41):
VC6 catching up
2004-08-17 09:18 Ferdinando Ametrano
* ql/makefile.mak (1.60), ql/Currencies/makefile.mak (1.1),
ql/Indexes/makefile.mak (1.20), test-suite/makefile.mak (1.43):
Borland catching up
2004-08-17 09:08 Ferdinando Ametrano
* ql/Math/chisquaredistribution.hpp (1.12):
VC7 catching up
2004-08-16 18:16 Ferdinando Ametrano
* QuantLib.vcproj (1.27), test-suite/testsuite.vcproj (1.16):
VC7 catching up
2004-08-16 13:23 Luigi Ballabio
* ql/: Indexes/audlibor.hpp (1.19), Indexes/cadlibor.hpp (1.19),
Indexes/chflibor.hpp (1.17), Indexes/euribor.hpp (1.22),
Indexes/gbplibor.hpp (1.24), Indexes/jpylibor.hpp (1.18),
Indexes/usdlibor.hpp (1.24), Indexes/xibor.hpp (1.33),
TermStructures/ratehelpers.cpp (1.53):
Using new currency objects
2004-08-16 13:23 Luigi Ballabio
* ql/: CashFlows/parcoupon.cpp (1.12), Indexes/xibor.cpp (1.21):
Using new index manager
2004-08-16 13:22 Luigi Ballabio
* ql/Indexes/core.hpp (1.2):
New index manager added
2004-08-16 13:18 Luigi Ballabio
* ql/Indexes/: Makefile.am (1.10), indexmanager.cpp (1.1),
indexmanager.hpp (1.1):
New index manager added
2004-08-16 13:16 Luigi Ballabio
* ql/: Currencies/.cvsignore (1.2), Currencies/Makefile.am (1.5),
Currencies/all.hpp (1.5), Currencies/exchangeratemanager.cpp (1.1),
Currencies/exchangeratemanager.hpp (1.1), Patterns/Makefile.am
(1.15), Patterns/all.hpp (1.2), Patterns/singleton.hpp (1.1):
Exchange-rate manager added (with smart lookup)
2004-08-16 13:14 Luigi Ballabio
* ql/exchangerate.cpp (1.1), ql/exchangerate.hpp (1.1),
ql/money.cpp (1.1), ql/money.hpp (1.1), test-suite/Makefile.am
(1.40), test-suite/exchangerate.cpp (1.1),
test-suite/exchangerate.hpp (1.1), test-suite/money.cpp (1.1),
test-suite/money.hpp (1.1), test-suite/quantlibtestsuite.cpp
(1.78), ql/Makefile.am (1.63), ql/core.hpp (1.6):
Money and ExchangeRate classes added
2004-08-16 13:13 Luigi Ballabio
* ql/: currency.cpp (1.2), currency.hpp (1.18),
Currencies/africa.hpp (1.2), Currencies/america.hpp (1.2),
Currencies/asia.hpp (1.2), Currencies/europe.hpp (1.2),
Currencies/oceania.hpp (1.2):
A currency object is now less expensive to create or copy
2004-08-03 21:46 Nicolas Di Césaré
* ql/exercise.cpp (1.10):
Type for BermudanExercise is "Bermudan" and not "American".
2004-07-20 17:45 Luigi Ballabio
* ql/Makefile.am (1.62), ql/currency.cpp (1.1), ql/currency.hpp
(1.17), ql/date.cpp (1.34), ql/date.hpp (1.29),
ql/discretizedasset.hpp (1.14), ql/grid.hpp (1.23), ql/history.hpp
(1.24), ql/option.hpp (1.33), ql/schedule.cpp (1.3),
ql/solver1d.hpp (1.25), ql/termstructure.hpp (1.44),
ql/voltermstructure.hpp (1.28), ql/DayCounters/actualactual.cpp
(1.28), ql/FiniteDifferences/tridiagonaloperator.cpp (1.31),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.35),
ql/Instruments/basketoption.cpp (1.8),
ql/Instruments/basketoption.hpp (1.10),
ql/Instruments/multiassetoption.hpp (1.9), ql/Math/array.hpp (1.6),
ql/Math/bivariatenormaldistribution.hpp (1.7),
ql/Math/chisquaredistribution.hpp (1.11),
ql/Math/generalstatistics.cpp (1.15), ql/Math/generalstatistics.hpp
(1.16), ql/Math/incrementalstatistics.cpp (1.13),
ql/Math/incrementalstatistics.hpp (1.10), ql/Math/interpolation.hpp
(1.30), ql/Math/interpolation2D.hpp (1.20),
ql/Math/kronrodintegral.hpp (1.11), ql/Math/linearinterpolation.hpp
(1.28), ql/Math/loglinearinterpolation.hpp (1.28),
ql/Math/matrix.hpp (1.30), ql/Math/normaldistribution.hpp (1.29),
ql/Math/poissondistribution.hpp (1.7), ql/Math/pseudosqrt.cpp
(1.7), ql/Math/sequencestatistics.hpp (1.26),
ql/Pricers/mcpricer.hpp (1.33), ql/RandomNumbers/sobolrsg.cpp
(1.29), ql/Volatilities/blackconstantvol.hpp (1.27),
ql/Volatilities/blackvariancecurve.cpp (1.13),
ql/Volatilities/blackvariancesurface.cpp (1.13),
test-suite/americanoption.cpp (1.22), test-suite/barrieroption.cpp
(1.33), test-suite/calendars.cpp (1.17), test-suite/capfloor.cpp
(1.37), test-suite/cliquetoption.cpp (1.8), test-suite/dates.cpp
(1.8), test-suite/daycounters.cpp (1.11),
test-suite/digitaloption.cpp (1.30), test-suite/europeanoption.cpp
(1.70), test-suite/factorial.cpp (1.15),
test-suite/forwardoption.cpp (1.9), test-suite/jumpdiffusion.cpp
(1.25), test-suite/matrices.cpp (1.21),
test-suite/mersennetwister.cpp (1.14), test-suite/old_pricers.cpp
(1.54), test-suite/piecewiseflatforward.cpp (1.23),
test-suite/quantooption.cpp (1.11), test-suite/quotes.cpp (1.6),
test-suite/swap.cpp (1.23), test-suite/swaption.cpp (1.29),
test-suite/termstructures.cpp (1.21):
Moved data formatters with their classes (which tries to minimize
coupling between headers)
2004-07-19 17:54 Luigi Ballabio
* ql/Currencies/: Makefile.am (1.4), africa.hpp (1.1), all.hpp
(1.4), america.hpp (1.1), asia.hpp (1.1), europe.hpp (1.1),
oceania.hpp (1.1):
More currencies added; partitioned by continent
2004-07-16 17:55 Luigi Ballabio
* configure.ac (1.49), quantlib.el (1.11), ql/Makefile.am (1.61),
ql/currency.hpp (1.16), ql/quantlib.hpp (1.148),
ql/Currencies/.cvsignore (1.1), ql/Currencies/Makefile.am (1.3),
ql/Currencies/all.hpp (1.3), ql/Math/rounding.cpp (1.4),
ql/Math/rounding.hpp (1.8), test-suite/rounding.cpp (1.3):
Added a few currency classes
2004-07-15 11:42 Luigi Ballabio
* ql/: MonteCarlo/pathpricer.hpp (1.23),
Pricers/mcdiscretearithmeticaso.cpp (1.33), Pricers/mceverest.cpp
(1.39), Pricers/mchimalaya.cpp (1.42), Pricers/mcmaxbasket.cpp
(1.38), Pricers/mcpagoda.cpp (1.41),
PricingEngines/Barrier/mcbarrierengine.cpp (1.9),
PricingEngines/Barrier/mcbarrierengine.hpp (1.19),
PricingEngines/Basket/mcbasketengine.cpp (1.7),
PricingEngines/Basket/mcbasketengine.hpp (1.21),
PricingEngines/Vanilla/mcdigitalengine.cpp (1.9),
PricingEngines/Vanilla/mcdigitalengine.hpp (1.20),
PricingEngines/Vanilla/mceuropeanengine.hpp (1.21):
path pricers can choose how to discount payoff
2004-07-12 15:09 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.64):
Using G2 for pricing (slowish--number of steps was reduced)
2004-07-07 19:09 Ferdinando Ametrano
* QuantLib.dsp (1.243),
functions/ql/Functions/QuantLibFunctions.dsp (1.7):
catching up
2004-07-07 19:00 Ferdinando Ametrano
* QuantLib.sln (1.9), QuantLib.vcproj (1.26), makefile.mak (1.57),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.5),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.5),
Examples/Swap/Swap.vcproj (1.5),
functions/ql/Functions/makefile.mak (1.5), ql/makefile.mak (1.59),
ql/Pricers/makefile.mak (1.46),
ql/PricingEngines/Vanilla/juquadraticengine.cpp (1.2),
ql/PricingEngines/Vanilla/makefile.mak (1.14):
catching up
2004-07-07 18:49 Luigi Ballabio
* QuantLib.nsi (1.103), QuantLib.sln (1.8), Docs/pages/install.docs
(1.11), functions/ql/Functions/Makefile.am (1.5):
Merged 0.3.7 branch
2004-07-07 16:36 Luigi Ballabio
* .cvsignore (1.11), Authors.txt (1.14), ChangeLog.txt (1.46),
Contributors.txt (1.23), Makefile.am (1.89), News.txt (1.40),
QuantLib.nsi (1.102), QuantLib.sln (1.7), Readme.txt (1.21),
acinclude.m4 (1.12), configure.ac (1.47), quantlib-config.in (1.7),
Docs/.cvsignore (1.5), Docs/Makefile.am (1.68), Docs/quantlib.doxy
(1.88), Docs/Examples/.cvsignore (1.2), Docs/images/.cvsignore
(1.2), Docs/images/QL.eps (1.2), Docs/pages/.cvsignore (1.2),
Docs/pages/authors.docs (1.29), Docs/pages/history.docs (1.16),
Docs/pages/overview.docs (1.17), Docs/pages/usage.docs (1.15),
Examples/.cvsignore (1.2), Examples/Makefile.am (1.22),
Examples/BermudanSwaption/.cvsignore (1.10),
Examples/DiscreteHedging/.cvsignore (1.10),
Examples/Swap/.cvsignore (1.10), config/.cvsignore (1.4),
dev_tools/tgz2zip (1.4), functions/.cvsignore (1.2),
functions/ql/.cvsignore (1.2), functions/ql/Functions/.cvsignore
(1.3), man/.cvsignore (1.2), ql/.cvsignore (1.13), ql/Makefile.am
(1.60), ql/calendar.cpp (1.30), ql/Calendars/.cvsignore (1.9),
ql/CashFlows/.cvsignore (1.9), ql/DayCounters/.cvsignore (1.9),
ql/FiniteDifferences/.cvsignore (1.9), ql/Indexes/.cvsignore (1.9),
ql/Instruments/.cvsignore (1.9), ql/Lattices/.cvsignore (1.9),
ql/Math/.cvsignore (1.9), ql/MonteCarlo/.cvsignore (1.9),
ql/Optimization/.cvsignore (1.9), ql/Patterns/.cvsignore (1.2),
ql/Pricers/.cvsignore (1.9), ql/PricingEngines/.cvsignore (1.9),
ql/PricingEngines/Asian/.cvsignore (1.3),
ql/PricingEngines/Barrier/.cvsignore (1.3),
ql/PricingEngines/Basket/.cvsignore (1.3),
ql/PricingEngines/CapFloor/.cvsignore (1.4),
ql/PricingEngines/CapFloor/treecapfloorengine.hpp (1.4),
ql/PricingEngines/Cliquet/.cvsignore (1.3),
ql/PricingEngines/Forward/.cvsignore (1.3),
ql/PricingEngines/Quanto/.cvsignore (1.3),
ql/PricingEngines/Swaption/.cvsignore (1.4),
ql/PricingEngines/Swaption/discretizedswaption.hpp (1.5),
ql/PricingEngines/Vanilla/.cvsignore (1.3),
ql/RandomNumbers/.cvsignore (1.9), ql/ShortRateModels/.cvsignore
(1.9), ql/ShortRateModels/CalibrationHelpers/.cvsignore (1.9),
ql/ShortRateModels/OneFactorModels/.cvsignore (1.9),
ql/ShortRateModels/TwoFactorModels/.cvsignore (1.9),
ql/Solvers1D/.cvsignore (1.9), ql/TermStructures/.cvsignore (1.9),
ql/Utilities/.cvsignore (1.2), ql/Volatilities/.cvsignore (1.4),
test-suite/.cvsignore (1.15), test-suite/Makefile.am (1.39):
Merged 0.3.7 branch
2004-06-28 18:00 Luigi Ballabio
* Docs/Examples/.cvsignore (1.1), Docs/images/.cvsignore (1.1),
Docs/pages/.cvsignore (1.1), functions/.cvsignore (1.1),
functions/ql/.cvsignore (1.1), man/.cvsignore (1.1),
ql/Patterns/.cvsignore (1.1), ql/Utilities/.cvsignore (1.1):
file .cvsignore was initially added on branch R000307f0-branch.
2004-06-28 17:38 Luigi Ballabio
* quantlib.el (1.10),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.63),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.40),
Examples/Swap/swapvaluation.cpp (1.51), ql/quote.hpp (1.2),
ql/stochasticprocess.cpp (1.5), ql/stochasticprocess.hpp (1.18),
ql/Indexes/audlibor.hpp (1.18), ql/Indexes/cadlibor.hpp (1.18),
ql/Indexes/chflibor.hpp (1.16), ql/Indexes/euribor.hpp (1.21),
ql/Indexes/gbplibor.hpp (1.23), ql/Indexes/jpylibor.hpp (1.17),
ql/Indexes/usdlibor.hpp (1.23), ql/Indexes/xibor.hpp (1.32),
ql/Instruments/capfloor.cpp (1.56), ql/Instruments/capfloor.hpp
(1.49), ql/Instruments/oneassetoption.cpp (1.15),
ql/Instruments/quantoforwardvanillaoption.cpp (1.26),
ql/Instruments/quantoforwardvanillaoption.hpp (1.22),
ql/Instruments/quantovanillaoption.cpp (1.33),
ql/Instruments/quantovanillaoption.hpp (1.30),
ql/Instruments/stock.cpp (1.18), ql/Instruments/stock.hpp (1.17),
ql/Instruments/swap.cpp (1.35), ql/Instruments/swap.hpp (1.30),
ql/Instruments/swaption.cpp (1.44), ql/Instruments/swaption.hpp
(1.41), ql/MonteCarlo/pathpricer.hpp (1.22),
ql/Pricers/mccliquetoption.cpp (1.31),
ql/Pricers/mccliquetoption.hpp (1.21),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.32),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.24),
ql/Pricers/mceverest.cpp (1.38), ql/Pricers/mceverest.hpp (1.26),
ql/Pricers/mchimalaya.cpp (1.41), ql/Pricers/mchimalaya.hpp (1.25),
ql/Pricers/mcmaxbasket.cpp (1.37), ql/Pricers/mcmaxbasket.hpp
(1.26), ql/Pricers/mcpagoda.cpp (1.40), ql/Pricers/mcpagoda.hpp
(1.27), ql/Pricers/mcperformanceoption.cpp (1.27),
ql/Pricers/mcperformanceoption.hpp (1.19),
ql/PricingEngines/blackmodel.hpp (1.5),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.8),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.18),
ql/PricingEngines/Basket/mcbasketengine.cpp (1.6),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.20),
ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.8),
ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.9),
ql/PricingEngines/Forward/forwardengine.hpp (1.9),
ql/PricingEngines/Quanto/quantoengine.hpp (1.9),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.15),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.22),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.8),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.19),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.20),
ql/ShortRateModels/calibrationhelper.hpp (1.23),
ql/ShortRateModels/model.hpp (1.31),
ql/ShortRateModels/parameter.hpp (1.20),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.38),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.17),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.38),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.15),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.19),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.17),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.25),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.23), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.21),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.22),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.23),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.26),
ql/TermStructures/drifttermstructure.hpp (1.10),
ql/TermStructures/flatforward.hpp (1.38),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.20),
ql/TermStructures/impliedtermstructure.hpp (1.18),
ql/TermStructures/quantotermstructure.hpp (1.13),
ql/TermStructures/ratehelpers.cpp (1.52),
ql/TermStructures/ratehelpers.hpp (1.43),
ql/TermStructures/zerospreadedtermstructure.hpp (1.21),
ql/Volatilities/blackconstantvol.hpp (1.26),
ql/Volatilities/impliedvoltermstructure.hpp (1.14),
ql/Volatilities/localconstantvol.hpp (1.23),
ql/Volatilities/localvolcurve.hpp (1.14),
ql/Volatilities/localvolsurface.cpp (1.15),
ql/Volatilities/localvolsurface.hpp (1.21),
test-suite/americanoption.cpp (1.21), test-suite/asianoptions.cpp
(1.25), test-suite/barrieroption.cpp (1.32),
test-suite/basketoption.cpp (1.26), test-suite/capfloor.cpp (1.36),
test-suite/cliquetoption.cpp (1.7), test-suite/compoundforward.cpp
(1.18), test-suite/digitaloption.cpp (1.29),
test-suite/europeanoption.cpp (1.69), test-suite/forwardoption.cpp
(1.8), test-suite/instruments.cpp (1.12),
test-suite/jumpdiffusion.cpp (1.24), test-suite/old_pricers.cpp
(1.53), test-suite/piecewiseflatforward.cpp (1.22),
test-suite/quantooption.cpp (1.10), test-suite/quotes.cpp (1.5),
test-suite/swap.cpp (1.22), test-suite/swaption.cpp (1.28),
test-suite/termstructures.cpp (1.20), test-suite/utilities.cpp
(1.11):
Renamed RelinkableHandle to Handle (it is now available and it's
shorter)
2004-06-17 18:50 Luigi Ballabio
* ql/PricingEngines/: CapFloor/discretizedcapfloor.cpp (1.5),
CapFloor/discretizedcapfloor.hpp (1.5),
Swaption/discretizedswaption.cpp (1.5):
Added current coupon to discretized swap and cap/floor
2004-06-16 18:26 Luigi Ballabio
* ql/: discretizedasset.hpp (1.12),
PricingEngines/CapFloor/discretizedcapfloor.hpp (1.4),
PricingEngines/CapFloor/treecapfloorengine.cpp (1.5),
PricingEngines/Swaption/discretizedswaption.hpp (1.4),
PricingEngines/Swaption/treeswaptionengine.cpp (1.5),
PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.6),
ShortRateModels/CalibrationHelpers/caphelper.cpp (1.37),
ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.37):
Completed reworking (for the time being)
2004-06-16 16:28 Luigi Ballabio
* ql/FiniteDifferences/: americancondition.hpp (1.25),
shoutcondition.hpp (1.21), stepcondition.hpp (1.15):
Some more discretized-asset reworking
2004-06-16 15:58 Luigi Ballabio
* ql/: discretizedasset.hpp (1.11),
PricingEngines/CapFloor/discretizedcapfloor.cpp (1.4),
PricingEngines/CapFloor/discretizedcapfloor.hpp (1.3),
PricingEngines/CapFloor/treecapfloorengine.cpp (1.4),
PricingEngines/Swaption/discretizedswaption.cpp (1.4),
PricingEngines/Swaption/discretizedswaption.hpp (1.3),
PricingEngines/Swaption/treeswaptionengine.cpp (1.4),
PricingEngines/Vanilla/binomialengine.hpp (1.14),
PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.5):
Some more reworking
2004-06-16 09:26 Luigi Ballabio
* ql/: discretizedasset.cpp (1.7), discretizedasset.hpp (1.10),
numericalmethod.hpp (1.17),
PricingEngines/CapFloor/discretizedcapfloor.cpp (1.3),
PricingEngines/CapFloor/treecapfloorengine.cpp (1.3),
PricingEngines/Swaption/discretizedswaption.cpp (1.3),
PricingEngines/Swaption/treeswaptionengine.cpp (1.3),
PricingEngines/Vanilla/binomialengine.hpp (1.13):
Some more reworking
2004-06-15 16:30 Luigi Ballabio
* ql/: discretizedasset.cpp (1.6), discretizedasset.hpp (1.9),
numericalmethod.hpp (1.16), Lattices/lattice.hpp (1.17),
PricingEngines/CapFloor/discretizedcapfloor.cpp (1.2),
PricingEngines/CapFloor/discretizedcapfloor.hpp (1.2),
PricingEngines/CapFloor/treecapfloorengine.cpp (1.2),
PricingEngines/Swaption/discretizedswaption.cpp (1.2),
PricingEngines/Swaption/discretizedswaption.hpp (1.2),
PricingEngines/Swaption/treeswaptionengine.cpp (1.2),
PricingEngines/Vanilla/binomialengine.hpp (1.12),
PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.8),
PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.4):
Partial reworking of discretized assets and numerical methods
2004-06-11 23:16 Neil Firth
* test-suite/: americanoption.cpp (1.20), americanoption.hpp (1.5):
Implemented Ju 1999 "An Approximate Formula For Pricing American
Option" Journal of Derivatives, Winter 1999 This is a more accurate
quadratic style approximation, like BAW. Note that the critical
stock price routine is identical. I haven't implemented the
equation in Ju yet, but the BAW routine seems to work fine. Type
in Exhbits 4 and 5 if you have some spare time...
2004-06-11 23:15 Neil Firth
* ql/PricingEngines/Vanilla/: juquadraticengine.cpp (1.1),
juquadraticengine.hpp (1.1):
Implemented Ju 1999 "An Approximate Formula For Pricing American
Option" Journal of Derivatives, Winter 1999 This is a more accurate
quadratic style approximation, like BAW. Note that the critical
stock price routine is identical. I haven't implemented the
equation in Ju yet, but the BAW routine seems to work fine.
2004-06-10 15:09 Luigi Ballabio
* QuantLib.dsp (1.242), QuantLib.nsi (1.101), QuantLib.vcproj
(1.25), configure.ac (1.46), Docs/quantlib.doxy (1.87),
dev_tools/version_number.txt (1.43),
functions/ql/Functions/QuantLibFunctions.vcproj (1.4),
ql/Makefile.am (1.59), ql/calendar.hpp (1.43), ql/core.hpp (1.5),
ql/currency.hpp (1.15), ql/handle.hpp (1.22), ql/instrument.hpp
(1.35), ql/numericalmethod.hpp (1.15), ql/option.hpp (1.32),
ql/qldefines.hpp (1.79), ql/schedule.cpp (1.2), ql/schedule.hpp
(1.2), ql/stochasticprocess.hpp (1.17), ql/Calendars/Makefile.am
(1.25), ql/Calendars/all.hpp (1.8),
ql/CashFlows/cashflowvectors.cpp (1.36),
ql/CashFlows/cashflowvectors.hpp (1.29),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.34),
ql/Indexes/xibor.hpp (1.31), ql/Instruments/payoffs.hpp (1.14),
ql/MonteCarlo/mctypedefs.hpp (1.36),
ql/MonteCarlo/montecarlomodel.hpp (1.33), ql/MonteCarlo/path.hpp
(1.24), ql/Patterns/bridge.hpp (1.12), ql/Patterns/composite.hpp
(1.7), ql/Patterns/observable.hpp (1.21), ql/Pricers/Makefile.am
(1.43), ql/Pricers/all.hpp (1.6), ql/Pricers/mcpagoda.cpp (1.39),
ql/PricingEngines/americanpayoffatexpiry.cpp (1.3),
ql/PricingEngines/americanpayoffathit.cpp (1.3),
ql/PricingEngines/blackformula.cpp (1.8),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.14),
ql/PricingEngines/Basket/stulzengine.cpp (1.18),
ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp (1.3),
ql/PricingEngines/CapFloor/blackcapfloorengine.hpp (1.3),
ql/PricingEngines/CapFloor/treecapfloorengine.hpp (1.3),
ql/PricingEngines/Swaption/blackswaptionengine.hpp (1.3),
ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp (1.3),
ql/PricingEngines/Swaption/treeswaptionengine.hpp (1.3),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.18),
ql/RandomNumbers/Makefile.am (1.17), ql/RandomNumbers/all.hpp
(1.4), ql/RandomNumbers/core.hpp (1.2),
ql/ShortRateModels/calibrationhelper.hpp (1.22),
ql/TermStructures/compoundforward.hpp (1.31),
ql/TermStructures/extendeddiscountcurve.hpp (1.14),
ql/TermStructures/ratehelpers.cpp (1.51),
ql/TermStructures/ratehelpers.hpp (1.42),
test-suite/digitaloption.cpp (1.28), test-suite/europeanoption.cpp
(1.68), test-suite/forwardoption.cpp (1.7),
test-suite/jumpdiffusion.cpp (1.23), test-suite/old_pricers.cpp
(1.52), test-suite/old_pricers.hpp (1.14),
test-suite/quantooption.cpp (1.9):
Increased version number and removed deprecated stuff
2004-06-09 18:16 Ferdinando Ametrano
* QuantLib.dsp (1.241):
catching up
2004-06-09 17:26 Ferdinando Ametrano
* QuantLib.sln (1.6), QuantLib.vcproj (1.24), ql/makefile.mak
(1.58):
catching up
2004-06-09 10:43 Luigi Ballabio
* ql/: PricingEngines/blackformula.hpp (1.18),
ShortRateModels/OneFactorModels/hullwhite.hpp (1.21):
Added known bugs to docs
2004-06-08 16:33 Luigi Ballabio
* ql/Makefile.am (1.58), ql/core.hpp (1.4), ql/quote.hpp (1.1),
ql/schedule.cpp (1.1), ql/schedule.hpp (1.1), ql/termstructure.hpp
(1.43), ql/voltermstructure.hpp (1.27),
ql/CashFlows/cashflowvectors.hpp (1.28), ql/Instruments/stock.hpp
(1.16), test-suite/quotes.cpp (1.4), test-suite/quotes.hpp (1.3):
Renamed files named after obsolete classes
2004-06-08 15:50 Luigi Ballabio
* ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.19),
test-suite/europeanoption.cpp (1.67):
Made syntax palatable to VC6
2004-06-08 11:31 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.62):
lighter and easier example
2004-06-08 11:28 Ferdinando Ametrano
* ql/PricingEngines/Swaption/makefile.mak (1.10), QuantLib.vcproj
(1.23):
catching up
2004-06-08 11:28 Ferdinando Ametrano
* ql/ShortRateModels/TwoFactorModels/g2.cpp (1.22):
(-1.0, 1.0) constraint for rho
2004-06-08 11:26 Ferdinando Ametrano
* ql/Optimization/criteria.hpp (1.19):
no message
2004-06-07 18:32 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.61):
more readable inputs
2004-06-07 17:54 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.60):
more readable inputs
2004-06-07 17:41 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.59):
using G2 (with unsatisfactory results...)
2004-06-07 17:39 Ferdinando Ametrano
* ql/ShortRateModels/TwoFactorModels/: g2.cpp (1.21), g2.hpp
(1.25):
default value for rho (-0.75) acceptable given the bounday
constraint on rho (-1.0, -0.65)
2004-06-07 14:31 Luigi Ballabio
* ql/PricingEngines/Swaption/: Makefile.am (1.5),
g2swaptionengine.hpp (1.2):
Saved a file (it was but one line after all)
2004-06-07 14:30 Luigi Ballabio
* ql/ShortRateModels/TwoFactorModels/: g2.cpp (1.20), g2.hpp
(1.24):
untabified
2004-06-07 14:04 Ferdinando Ametrano
* QuantLib.nsi (1.100):
updated
2004-06-07 12:49 Ferdinando Ametrano
* QuantLib.vcproj (1.22), ql/PricingEngines/Swaption/Makefile.am
(1.4), ql/PricingEngines/Swaption/all.hpp (1.4),
ql/PricingEngines/Swaption/g2swaptionengine.hpp (1.1),
ql/PricingEngines/Swaption/makefile.mak (1.9),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.19),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.23):
Mike Parker's G2 contribution added
2004-06-07 12:48 Ferdinando Ametrano
* ql/ShortRateModels/parameter.hpp (1.19):
richer error message
2004-06-07 12:18 Ferdinando Ametrano
* ql/Calendars/unitedstates.cpp (1.4):
removing unused variables
2004-06-07 11:27 Luigi Ballabio
* test-suite/calendars.hpp (1.11):
Added test description
2004-06-04 19:49 Ferdinando Ametrano
* test-suite/: calendars.cpp (1.16), calendars.hpp (1.10):
more tests added
2004-06-04 19:49 Ferdinando Ametrano
* ql/Calendars/unitedkingdom.hpp (1.2):
to do
2004-06-04 19:48 Ferdinando Ametrano
* ql/Calendars/: unitedstates.cpp (1.3), unitedstates.hpp (1.3):
bug fix
2004-06-04 19:41 Ferdinando Ametrano
* ql/makefile.mak (1.57):
it doesn't purge VC files anymore
2004-06-04 18:50 Luigi Ballabio
* functions/ql/Functions/Makefile.am (1.3),
ql/Calendars/Makefile.am (1.24), test-suite/.cvsignore (1.14),
test-suite/Makefile.am (1.38):
Fixes for autotools
2004-06-04 18:43 Luigi Ballabio
* ql/calendar.cpp (1.29), ql/calendar.hpp (1.42),
test-suite/calendars.cpp (1.15):
Removed function reading from file
2004-06-04 17:49 Ferdinando Ametrano
* QuantLib.dsp (1.240), QuantLib.dsw (1.12),
functions/ql/Functions/QuantLibFunctions.dsp (1.6),
test-suite/testsuite.dsp (1.40):
VC6 catching up
2004-06-04 17:46 Ferdinando Ametrano
* test-suite/calendars.cpp (1.14), test-suite/calendars.hpp (1.9),
QuantLib.sln (1.5), QuantLib.vcproj (1.21),
ql/Calendars/germany.hpp (1.2):
Frankfurt calendar deprecated. Germany calendars added: public,
Frankfurt Stock Exchange, Xetra, Eurex
2004-06-04 17:35 Ferdinando Ametrano
* ql/Calendars/: Makefile.am (1.23), all.hpp (1.7), germany.cpp
(1.1), germany.hpp (1.1), makefile.mak (1.29):
Frankfurt calendar deprecated. Germany calendars added: public,
Frankfurt Stock Exchange, Xetra, Eurex
2004-06-04 13:42 Ferdinando Ametrano
* test-suite/: calendars.cpp (1.13), calendars.hpp (1.8),
makefile.mak (1.42), testsuite.vcproj (1.15):
added check for TARGET and US calendars. Test-suite now also
depends on QuantLibFunctions
2004-06-04 13:40 Ferdinando Ametrano
* functions/ql/Functions/: QuantLibFunctions.vcproj (1.3),
calendars.cpp (1.1), calendars.hpp (1.1), daycounters.hpp (1.3),
makefile.mak (1.4), mathf.hpp (1.3), vols.hpp (1.3):
added holidayList as non-member, non-friend Calendar function
2004-06-04 12:54 Ferdinando Ametrano
* ql/Calendars/: target.cpp (1.18), target.hpp (1.20):
more info
2004-06-04 10:33 Ferdinando Ametrano
* Docs/pages/overview.docs (1.16):
updated
2004-06-04 10:27 Ferdinando Ametrano
* ql/Calendars/: unitedstates.cpp (1.2), unitedstates.hpp (1.2):
bug Fix: new year's eve is not holiday, even if January 1st is on
Saturday
2004-06-03 11:14 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.58),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.15),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.17),
Examples/Swap/Swap.dsp (1.16),
functions/ql/Functions/QuantLibFunctions.dsp (1.5):
Disabled code causing internal compiler error (not essential
anyway--just an operator <<)
2004-05-31 16:42 Luigi Ballabio
* Docs/Makefile.am (1.67), Docs/quantlib.doxy (1.86),
Docs/quantlibheader.html (1.24), test-suite/americanoption.hpp
(1.4), test-suite/asianoptions.cpp (1.24),
test-suite/asianoptions.hpp (1.4), test-suite/barrieroption.hpp
(1.4), test-suite/basketoption.hpp (1.6), test-suite/calendars.hpp
(1.7), test-suite/capfloor.hpp (1.8), test-suite/cliquetoption.hpp
(1.3), test-suite/compoundforward.hpp (1.5),
test-suite/covariance.hpp (1.8), test-suite/dates.hpp (1.6),
test-suite/daycounters.hpp (1.7), test-suite/digitaloption.hpp
(1.7), test-suite/distributions.hpp (1.7),
test-suite/europeanoption.hpp (1.14), test-suite/factorial.hpp
(1.4), test-suite/forwardoption.hpp (1.2),
test-suite/instruments.hpp (1.6), test-suite/integrals.hpp (1.7),
test-suite/interpolations.hpp (1.4), test-suite/jumpdiffusion.hpp
(1.5), test-suite/lowdiscrepancysequences.cpp (1.47),
test-suite/lowdiscrepancysequences.hpp (1.10),
test-suite/matrices.hpp (1.9), test-suite/mersennetwister.hpp
(1.7), test-suite/operators.hpp (1.6),
test-suite/piecewiseflatforward.hpp (1.7),
test-suite/quantooption.hpp (1.3), test-suite/quotes.hpp (1.2),
test-suite/riskstats.hpp (1.10), test-suite/rounding.hpp (1.3),
test-suite/solvers.hpp (1.6), test-suite/stats.hpp (1.13),
test-suite/swap.hpp (1.6), test-suite/swaption.hpp (1.6),
test-suite/termstructures.hpp (1.7):
Documented test suite
2004-05-28 16:08 Luigi Ballabio
* ql/calendar.cpp (1.28),
ql/TermStructures/extendeddiscountcurve.hpp (1.13),
test-suite/compoundforward.cpp (1.17),
test-suite/piecewiseflatforward.cpp (1.21):
Removed last traces of 'rolling convention'
2004-05-28 15:10 Luigi Ballabio
* ql/: exercise.hpp (1.31), grid.hpp (1.22), option.hpp (1.31),
solver1d.hpp (1.24), FiniteDifferences/americancondition.hpp
(1.24), FiniteDifferences/mixedscheme.hpp (1.16),
FiniteDifferences/shoutcondition.hpp (1.20), Indexes/xibor.hpp
(1.30), Instruments/swap.hpp (1.29),
Math/loglinearinterpolation.hpp (1.27), Math/pseudosqrt.hpp (1.5),
MonteCarlo/multipath.hpp (1.22),
PricingEngines/Basket/mcamericanbasketengine.hpp (1.11),
ShortRateModels/OneFactorModels/coxingersollross.hpp (1.23),
ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.22), ShortRateModels/TwoFactorModels/g2.hpp (1.22),
Volatilities/capflatvolvector.hpp (1.18),
Volatilities/localvolsurface.hpp (1.20),
Volatilities/swaptionvolmatrix.hpp (1.22):
Documentation clean-up
2004-05-28 15:09 Luigi Ballabio
* Examples/: BermudanSwaption/BermudanSwaption.cpp (1.57),
Swap/swapvaluation.cpp (1.50):
Removed dependency from deprecated features
2004-05-28 14:00 Luigi Ballabio
* ql/CashFlows/cashflowvectors.cpp (1.35),
ql/CashFlows/cashflowvectors.hpp (1.27), ql/Indexes/audlibor.hpp
(1.17), ql/Indexes/cadlibor.hpp (1.17), ql/Indexes/chflibor.hpp
(1.15), ql/Indexes/euribor.hpp (1.20), ql/Indexes/gbplibor.hpp
(1.22), ql/Indexes/jpylibor.hpp (1.16), ql/Indexes/usdlibor.hpp
(1.22), ql/Indexes/xibor.cpp (1.20), ql/Indexes/xibor.hpp (1.29),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.36),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.36),
ql/TermStructures/ratehelpers.cpp (1.50),
ql/TermStructures/ratehelpers.hpp (1.41), test-suite/capfloor.cpp
(1.35), test-suite/compoundforward.cpp (1.16),
test-suite/piecewiseflatforward.cpp (1.20), test-suite/swap.cpp
(1.21), test-suite/swaption.cpp (1.27),
test-suite/termstructures.cpp (1.19):
Removed some redudant 'isAdjusted' parameter---Unadjusted can be
used instead
2004-05-27 14:11 Luigi Ballabio
* ql/: currency.hpp (1.14), Indexes/xibor.hpp (1.28):
Renamed Currency to CurrencyTag in order to free the name for after
next release
2004-05-27 11:59 Luigi Ballabio
* quantlib.el (1.9), ql/calendar.cpp (1.27), ql/calendar.hpp
(1.41):
QuantLib::None is too general a name for a business day convention
2004-05-26 16:18 Ferdinando Ametrano
* ql/: calendar.cpp (1.26), calendar.hpp (1.40):
RollingConvention has been renamed BusinessDayConvention, as in
ISDA definitions.
2004-05-26 16:03 Ferdinando Ametrano
* News.txt (1.39), Examples/BermudanSwaption/BermudanSwaption.cpp
(1.56), Examples/Swap/swapvaluation.cpp (1.49), ql/calendar.cpp
(1.25), ql/calendar.hpp (1.39), ql/CashFlows/cashflowvectors.cpp
(1.34), ql/CashFlows/coupon.hpp (1.21), ql/Indexes/xibor.hpp
(1.27), ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp
(1.35), ql/TermStructures/compoundforward.cpp (1.41),
ql/TermStructures/compoundforward.hpp (1.30),
ql/TermStructures/extendeddiscountcurve.cpp (1.14),
ql/TermStructures/extendeddiscountcurve.hpp (1.12),
ql/TermStructures/ratehelpers.cpp (1.49),
ql/TermStructures/ratehelpers.hpp (1.40), test-suite/capfloor.cpp
(1.34), test-suite/compoundforward.cpp (1.15),
test-suite/piecewiseflatforward.cpp (1.19), test-suite/swap.cpp
(1.20), test-suite/swaption.cpp (1.26),
test-suite/termstructures.cpp (1.18):
RollingConvention has been renamed BusinessDayConvention, as in
ISDA definitions.
2004-05-26 14:38 Ferdinando Ametrano
* ql/option.hpp (1.30), ql/Instruments/payoffs.hpp (1.13),
ql/PricingEngines/americanpayoffatexpiry.cpp (1.2),
ql/PricingEngines/americanpayoffathit.cpp (1.2),
ql/PricingEngines/blackformula.cpp (1.7),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.13),
ql/PricingEngines/Basket/stulzengine.cpp (1.17),
test-suite/digitaloption.cpp (1.27), test-suite/europeanoption.cpp
(1.66), test-suite/forwardoption.cpp (1.6),
test-suite/jumpdiffusion.cpp (1.22), test-suite/old_pricers.cpp
(1.51), test-suite/quantooption.cpp (1.8):
deprecating Straddle in {Call, Put, Straddle} enum
2004-05-26 14:35 Ferdinando Ametrano
* QuantLib.vcproj (1.20):
missing file
2004-05-26 14:34 Ferdinando Ametrano
* News.txt (1.38), Docs/pages/overview.docs (1.15):
updated
2004-05-25 18:41 Luigi Ballabio
* ql/Math/rounding.cpp (1.3), ql/Math/rounding.hpp (1.7),
test-suite/rounding.cpp (1.2), test-suite/rounding.hpp (1.2):
Fixed test (and docs) for rounding
2004-05-25 15:09 Luigi Ballabio
* ql/: currency.hpp (1.13), Currencies/Makefile.am (1.2),
Currencies/all.hpp (1.2), Indexes/audlibor.hpp (1.16),
Indexes/cadlibor.hpp (1.16), Indexes/chflibor.hpp (1.14),
Indexes/euribor.hpp (1.19), Indexes/gbplibor.hpp (1.21),
Indexes/jpylibor.hpp (1.15), Indexes/usdlibor.hpp (1.21),
Indexes/xibor.hpp (1.26), TermStructures/ratehelpers.cpp (1.48):
Moved QUEP 6 implementation to its own branch
2004-05-25 14:12 André Louw
* ql/TermStructures/ratehelpers.cpp (1.47):
Implementation of QUEP 6
2004-05-25 14:03 André Louw
* ql/Indexes/: audlibor.hpp (1.15), cadlibor.hpp (1.15),
chflibor.hpp (1.13), euribor.hpp (1.18), gbplibor.hpp (1.20),
jpylibor.hpp (1.14), usdlibor.hpp (1.20), xibor.hpp (1.25):
Implementation of QUEP 6
2004-05-25 12:49 André Louw
* ql/Currencies/: Makefile.am (1.1), all.hpp (1.1):
Implementation of QUEP 6
2004-05-25 12:46 André Louw
* ql/currency.hpp (1.12):
Implementation of QUEP 6
2004-05-25 12:11 André Louw
* ql/Math/: rounding.cpp (1.2), rounding.hpp (1.6):
Added 'Closest' to round depending on rounding digit, changed
'Up'/'Down' to round up or down regardless of rounding digit.
2004-05-25 11:03 Ferdinando Ametrano
* test-suite/: forwardoption.cpp (1.5), quantooption.cpp (1.7),
quantooption.hpp (1.2):
added QuantoForwardPerformance tests
2004-05-24 19:37 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.77):
no message
2004-05-24 19:35 Ferdinando Ametrano
* test-suite/quantooption.cpp (1.6):
more QuantoForward test cases
2004-05-24 19:27 Ferdinando Ametrano
* test-suite/quantooption.cpp (1.5):
QuantoForward is ok
2004-05-24 19:04 Ferdinando Ametrano
* test-suite/matrices.cpp (1.20):
checking ordered eigenvalues
2004-05-24 16:16 Ferdinando Ametrano
* test-suite/: forwardoption.cpp (1.4), quantooption.cpp (1.4):
real test cases added. QuantoForward test fails and should be
investigated/debugged
2004-05-24 12:17 Ferdinando Ametrano
* QuantLib.vcproj (1.19):
catching up
2004-05-24 11:21 Ferdinando Ametrano
* QuantLib.dsp (1.239), ql/Calendars/makefile.mak (1.28):
catching up
2004-05-21 13:45 Luigi Ballabio
* ql/Indexes/: gbplibor.hpp (1.19), usdlibor.hpp (1.19):
Grouped calendars with same country
2004-05-21 13:12 Luigi Ballabio
* ql/Calendars/Makefile.am (1.22), ql/Calendars/all.hpp (1.6),
ql/Calendars/italy.cpp (1.2), ql/Calendars/italy.hpp (1.2),
ql/Calendars/unitedkingdom.cpp (1.1),
ql/Calendars/unitedkingdom.hpp (1.1), ql/Calendars/unitedstates.cpp
(1.1), ql/Calendars/unitedstates.hpp (1.1),
ql/TermStructures/discountcurve.hpp (1.29),
test-suite/calendars.cpp (1.12):
Grouped calendars with same country
2004-05-20 18:32 Ferdinando Ametrano
* ql/Indexes/: gbplibor.hpp (1.18), usdlibor.hpp (1.18):
catching up
2004-05-20 18:24 Ferdinando Ametrano
* test-suite/calendars.cpp (1.11):
catching up
2004-05-20 18:12 Ferdinando Ametrano
* QuantLib.vcproj (1.18):
catching up
2004-05-20 18:00 Ferdinando Ametrano
* QuantLib.dsp (1.238), Docs/pages/datetime.docs (1.9),
Docs/pages/overview.docs (1.14), ql/calendar.hpp (1.38),
ql/Calendars/Makefile.am (1.21), ql/Calendars/all.hpp (1.5),
ql/Calendars/italy.cpp (1.1), ql/Calendars/italy.hpp (1.1),
ql/Calendars/makefile.mak (1.27):
adding Xetra calendar. Moving Milan, London, and NewYork to the
exchange and/or country approach
2004-05-20 14:12 Luigi Ballabio
* ql/: stochasticprocess.cpp (1.4), stochasticprocess.hpp (1.16):
Separated discretization from stochastic process
2004-05-19 13:48 Luigi Ballabio
* quantlib-config.in (1.6):
Required library added to reported options
2004-05-19 12:56 Ferdinando Ametrano
* QuantLib.dsp (1.237):
catching up
2004-05-19 12:21 Ferdinando Ametrano
* QuantLib.vcproj (1.17), ql/PricingEngines/CapFloor/makefile.mak
(1.8), ql/PricingEngines/Swaption/makefile.mak (1.8):
catching up
2004-05-19 11:39 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.55),
ql/PricingEngines/Swaption/Makefile.am (1.3),
ql/PricingEngines/Swaption/all.hpp (1.3),
ql/PricingEngines/Swaption/blackswaptionengine.cpp (1.1),
ql/PricingEngines/Swaption/blackswaptionengine.hpp (1.1),
ql/PricingEngines/Swaption/discretizedswaption.cpp (1.1),
ql/PricingEngines/Swaption/discretizedswaption.hpp (1.1),
ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.1),
ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp (1.1),
ql/PricingEngines/Swaption/treeswaptionengine.cpp (1.1),
ql/PricingEngines/Swaption/treeswaptionengine.hpp (1.1),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.34),
test-suite/swaption.cpp (1.25):
Renamed swaption engines
2004-05-19 10:53 Luigi Ballabio
* ql/Instruments/capfloor.cpp (1.55),
ql/PricingEngines/genericmodelengine.hpp (1.5),
ql/PricingEngines/CapFloor/Makefile.am (1.3),
ql/PricingEngines/CapFloor/all.hpp (1.3),
ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp (1.1),
ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp (1.1),
ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.1),
ql/PricingEngines/CapFloor/blackcapfloorengine.hpp (1.1),
ql/PricingEngines/CapFloor/discretizedcapfloor.cpp (1.1),
ql/PricingEngines/CapFloor/discretizedcapfloor.hpp (1.1),
ql/PricingEngines/CapFloor/treecapfloorengine.cpp (1.1),
ql/PricingEngines/CapFloor/treecapfloorengine.hpp (1.1),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.35),
test-suite/capfloor.cpp (1.33):
Renamed cap-floor engines to reflect the fact that, well, they are
engines
2004-05-18 16:53 Luigi Ballabio
* configure.ac (1.45), ql/qldefines.hpp (1.77), ql/userconfig.hpp
(1.9):
Temporarily disabled user choice of Real type: * choosing Real =
float causes quite a few tests to fail due to unsufficient
accuracy (maybe tolerances could be made dependent on the chosen
type?) * choosing Real = long double causes a few tests to fail for
an unknown reason. Investigation is required.
2004-05-18 16:49 Luigi Ballabio
* ql/: stochasticprocess.cpp (1.3), stochasticprocess.hpp (1.15):
Moved observability upwards
2004-05-18 15:39 Luigi Ballabio
* News.txt (1.37), Docs/pages/history.docs (1.15):
Rewriting history
2004-05-18 15:05 Ferdinando Ametrano
* ql/Math/: gaussianstatistics.hpp (1.19), riskstatistics.hpp
(1.13):
typo fixed and comments added/improved
2004-05-18 14:42 Ferdinando Ametrano
* ql/Instruments/oneassetoption.cpp (1.14),
ql/Instruments/oneassetoption.hpp (1.13),
test-suite/europeanoption.cpp (1.65):
Borland test doesn't fail anymore
2004-05-18 12:43 Luigi Ballabio
* ql/Math/linearinterpolation.hpp (1.27):
Answer: the check was already performed by the base class
2004-05-18 12:39 Ferdinando Ametrano
* QuantLib.dsp (1.236), ql/PricingEngines/Cliquet/makefile.mak
(1.10), QuantLib.vcproj (1.16):
catching up
2004-05-18 12:22 Ferdinando Ametrano
* ql/Math/: linearinterpolation.hpp (1.26), svd.cpp (1.9), svd.hpp
(1.10):
warning avoided
2004-05-18 12:02 Ferdinando Ametrano
* QuantLib.dsp (1.235), test-suite/testsuite.dsp (1.39):
catching up
2004-05-18 11:40 Ferdinando Ametrano
* QuantLib.vcproj (1.15), ql/Math/makefile.mak (1.38),
ql/PricingEngines/makefile.mak (1.33), test-suite/makefile.mak
(1.41), test-suite/testsuite.vcproj (1.14):
catching up
2004-05-18 10:56 Luigi Ballabio
* ql/PricingEngines/Makefile.am (1.40):
Moved ridiculously long inline methods into cpp files
2004-05-17 18:39 Luigi Ballabio
* ql/voltermstructure.cpp (1.20), ql/Instruments/payoffs.hpp
(1.12), ql/Math/choleskydecomposition.cpp (1.5),
ql/Math/cubicspline.hpp (1.49), ql/Math/gaussianstatistics.hpp
(1.18), ql/Math/pseudosqrt.cpp (1.6), ql/Math/riskstatistics.hpp
(1.12), ql/Pricers/mchimalaya.cpp (1.40), ql/Pricers/mcpagoda.cpp
(1.38), ql/Pricers/mcpricer.hpp (1.32),
ql/PricingEngines/americanpayoffatexpiry.cpp (1.1),
ql/PricingEngines/americanpayoffatexpiry.hpp (1.8),
ql/PricingEngines/americanpayoffathit.cpp (1.1),
ql/PricingEngines/americanpayoffathit.hpp (1.10),
ql/PricingEngines/blackmodel.hpp (1.4),
ql/PricingEngines/mcsimulation.hpp (1.8),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.17),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.15),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.21),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.17),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.18),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.24),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.24), ql/Volatilities/localvolsurface.cpp (1.14),
test-suite/lowdiscrepancysequences.cpp (1.46),
test-suite/old_pricers.cpp (1.50), test-suite/riskstats.cpp (1.36):
Removed ambiguities when Real != double
2004-05-17 09:26 Luigi Ballabio
* acinclude.m4 (1.11), configure.ac (1.44), ql/qldefines.hpp
(1.76), ql/types.hpp (1.17), ql/userconfig.hpp (1.8),
ql/Math/gammadistribution.cpp (1.13),
ql/Math/incrementalstatistics.cpp (1.12),
ql/Math/normaldistribution.cpp (1.27),
ql/Pricers/mccliquetoption.cpp (1.30), ql/Pricers/mceverest.cpp
(1.37), ql/Pricers/mcmaxbasket.cpp (1.36), ql/Pricers/mcpricer.hpp
(1.31), ql/PricingEngines/blackformula.cpp (1.6),
ql/PricingEngines/mcsimulation.hpp (1.7),
ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.7),
ql/Solvers1D/ridder.hpp (1.17),
ql/Volatilities/blackconstantvol.hpp (1.25),
ql/Volatilities/blackvariancecurve.hpp (1.30),
ql/Volatilities/localconstantvol.hpp (1.22),
ql/Volatilities/localvolcurve.hpp (1.13), test-suite/riskstats.cpp
(1.35):
It is now possible to choose which built-in type to use for real
and integer quantities
2004-05-14 14:08 Luigi Ballabio
* Examples/: BermudanSwaption/BermudanSwaption.cpp (1.54),
DiscreteHedging/DiscreteHedging.cpp (1.39), Swap/swapvaluation.cpp
(1.48):
Real, Integer and such are now used throughout the library
2004-05-14 13:37 Luigi Ballabio
* test-suite/: americanoption.cpp (1.19), asianoptions.cpp (1.23),
barrieroption.cpp (1.31), basketoption.cpp (1.25), capfloor.cpp
(1.32), cliquetoption.cpp (1.6), compoundforward.cpp (1.14),
covariance.cpp (1.20), dates.cpp (1.7), daycounters.cpp (1.10),
digitaloption.cpp (1.26), distributions.cpp (1.17),
europeanoption.cpp (1.64), factorial.cpp (1.14), forwardoption.cpp
(1.3), integrals.cpp (1.10), interpolations.cpp (1.18),
jumpdiffusion.cpp (1.21), lowdiscrepancysequences.cpp (1.45),
matrices.cpp (1.19), mersennetwister.cpp (1.13), old_pricers.cpp
(1.49), operators.cpp (1.10), piecewiseflatforward.cpp (1.18),
quantooption.cpp (1.3), quotes.cpp (1.3), riskstats.cpp (1.34),
solvers.cpp (1.11), stats.cpp (1.24), swap.cpp (1.19), swaption.cpp
(1.24), termstructures.cpp (1.17), utilities.cpp (1.10),
utilities.hpp (1.12):
More Reals and stuff
2004-05-14 11:49 Luigi Ballabio
* functions/ql/Functions/: daycounters.cpp (1.2), daycounters.hpp
(1.2), mathf.cpp (1.2), mathf.hpp (1.2), vols.cpp (1.2), vols.hpp
(1.2):
More Reals and stuff
2004-05-14 11:16 Luigi Ballabio
* ql/: Solvers1D/bisection.hpp (1.17), Solvers1D/brent.hpp (1.17),
Solvers1D/falseposition.hpp (1.16), Solvers1D/newton.hpp (1.18),
Solvers1D/newtonsafe.hpp (1.18), Solvers1D/ridder.hpp (1.16),
Solvers1D/secant.hpp (1.17), TermStructures/compoundforward.cpp
(1.40), TermStructures/drifttermstructure.hpp (1.9),
TermStructures/extendeddiscountcurve.cpp (1.13),
TermStructures/flatforward.hpp (1.37),
TermStructures/piecewiseflatforward.cpp (1.48),
TermStructures/piecewiseflatforward.hpp (1.40),
TermStructures/quantotermstructure.hpp (1.12),
TermStructures/ratehelpers.cpp (1.46),
TermStructures/ratehelpers.hpp (1.39),
Utilities/steppingiterator.hpp (1.16),
Volatilities/blackconstantvol.hpp (1.24),
Volatilities/blackvariancecurve.cpp (1.12),
Volatilities/blackvariancecurve.hpp (1.29),
Volatilities/blackvariancesurface.cpp (1.12),
Volatilities/blackvariancesurface.hpp (1.31),
Volatilities/capflatvolvector.hpp (1.17),
Volatilities/impliedvoltermstructure.hpp (1.13),
Volatilities/localconstantvol.hpp (1.21),
Volatilities/localvolcurve.hpp (1.12),
Volatilities/localvolsurface.cpp (1.13),
Volatilities/localvolsurface.hpp (1.19),
Volatilities/swaptionvolmatrix.hpp (1.21):
More Reals and stuff
2004-05-13 18:30 Luigi Ballabio
* ql/: Pricers/mccliquetoption.cpp (1.29),
Pricers/mccliquetoption.hpp (1.20),
Pricers/mcdiscretearithmeticaso.cpp (1.31),
Pricers/mcdiscretearithmeticaso.hpp (1.23), Pricers/mceverest.cpp
(1.36), Pricers/mceverest.hpp (1.25), Pricers/mchimalaya.cpp
(1.39), Pricers/mchimalaya.hpp (1.24), Pricers/mcmaxbasket.cpp
(1.35), Pricers/mcmaxbasket.hpp (1.25), Pricers/mcpagoda.cpp
(1.37), Pricers/mcpagoda.hpp (1.26),
Pricers/mcperformanceoption.cpp (1.26),
Pricers/mcperformanceoption.hpp (1.18),
PricingEngines/Barrier/mcbarrierengine.hpp (1.16),
PricingEngines/Basket/mcamericanbasketengine.hpp (1.10),
PricingEngines/Basket/mcbasketengine.hpp (1.19),
PricingEngines/Vanilla/mcdigitalengine.hpp (1.16),
PricingEngines/Vanilla/mceuropeanengine.hpp (1.17),
PricingEngines/Vanilla/mcvanillaengine.hpp (1.17),
RandomNumbers/lecuyeruniformrng.hpp (1.13),
ShortRateModels/calibrationhelper.cpp (1.10),
ShortRateModels/calibrationhelper.hpp (1.21),
ShortRateModels/model.cpp (1.23), ShortRateModels/model.hpp (1.30),
ShortRateModels/onefactormodel.cpp (1.17),
ShortRateModels/onefactormodel.hpp (1.18),
ShortRateModels/parameter.hpp (1.18),
ShortRateModels/twofactormodel.hpp (1.15),
ShortRateModels/CalibrationHelpers/caphelper.cpp (1.34),
ShortRateModels/CalibrationHelpers/caphelper.hpp (1.16),
ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.33),
ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.14),
ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.18),
ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.16),
ShortRateModels/OneFactorModels/coxingersollross.cpp (1.23),
ShortRateModels/OneFactorModels/coxingersollross.hpp (1.22),
ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.23),
ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.21), ShortRateModels/OneFactorModels/hullwhite.cpp (1.20),
ShortRateModels/OneFactorModels/hullwhite.hpp (1.20),
ShortRateModels/OneFactorModels/vasicek.cpp (1.12),
ShortRateModels/OneFactorModels/vasicek.hpp (1.15),
ShortRateModels/TwoFactorModels/g2.cpp (1.18),
ShortRateModels/TwoFactorModels/g2.hpp (1.21):
More Reals and stuff
2004-05-13 16:53 Luigi Ballabio
* ql/: PricingEngines/americanpayoffatexpiry.hpp (1.7),
PricingEngines/americanpayoffathit.hpp (1.9),
PricingEngines/blackformula.cpp (1.5),
PricingEngines/blackformula.hpp (1.17),
PricingEngines/blackmodel.hpp (1.3),
PricingEngines/mcsimulation.hpp (1.6),
PricingEngines/Barrier/analyticbarrierengine.cpp (1.12),
PricingEngines/Barrier/analyticbarrierengine.hpp (1.5),
PricingEngines/Barrier/mcbarrierengine.cpp (1.7),
PricingEngines/Barrier/mcbarrierengine.hpp (1.15),
PricingEngines/Basket/mcamericanbasketengine.cpp (1.23),
PricingEngines/Basket/mcamericanbasketengine.hpp (1.9),
PricingEngines/Basket/mcbasketengine.cpp (1.5),
PricingEngines/Basket/mcbasketengine.hpp (1.18),
PricingEngines/Basket/stulzengine.cpp (1.16),
PricingEngines/Cliquet/analyticcliquetengine.cpp (1.4),
PricingEngines/Cliquet/analyticperformanceengine.cpp (1.3),
PricingEngines/Cliquet/mccliquetengine.cpp (1.6),
PricingEngines/Cliquet/mccliquetengine.hpp (1.8),
PricingEngines/Forward/forwardengine.hpp (1.8),
PricingEngines/Forward/forwardperformanceengine.hpp (1.5),
PricingEngines/Quanto/quantoengine.hpp (1.8),
PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.8),
PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.5),
PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.18),
PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.14),
PricingEngines/Vanilla/binomialengine.hpp (1.11),
PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.14),
PricingEngines/Vanilla/integralengine.cpp (1.8),
PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.20),
PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.9),
PricingEngines/Vanilla/mcdigitalengine.cpp (1.7),
PricingEngines/Vanilla/mcdigitalengine.hpp (1.15),
PricingEngines/Vanilla/mceuropeanengine.hpp (1.16),
PricingEngines/Vanilla/mcvanillaengine.hpp (1.16),
RandomNumbers/boxmullergaussianrng.hpp (1.15),
RandomNumbers/centrallimitgaussianrng.hpp (1.15),
RandomNumbers/knuthuniformrng.hpp (1.16),
RandomNumbers/mt19937uniformrng.hpp (1.13),
RandomNumbers/randomsequencegenerator.hpp (1.12),
RandomNumbers/rngtraits.hpp (1.8):
Some more Real and stuff (but the inner workings of random
generators were NOT touched)
2004-05-13 13:41 Luigi Ballabio
* ql/Pricers/: discretegeometricaso.cpp (1.18),
discretegeometricaso.hpp (1.15), mccliquetoption.cpp (1.28),
mccliquetoption.hpp (1.19), mcdiscretearithmeticaso.cpp (1.30),
mcdiscretearithmeticaso.hpp (1.22), mceverest.cpp (1.35),
mceverest.hpp (1.24), mchimalaya.cpp (1.38), mchimalaya.hpp (1.23),
mcmaxbasket.cpp (1.34), mcmaxbasket.hpp (1.24), mcpagoda.cpp
(1.36), mcpagoda.hpp (1.25), mcperformanceoption.cpp (1.25),
mcperformanceoption.hpp (1.17), mcpricer.hpp (1.30),
singleassetoption.cpp (1.30), singleassetoption.hpp (1.34):
More Reals and stuff
2004-05-13 12:34 Luigi Ballabio
* ql/Math/Makefile.am (1.41), ql/Math/rounding.cpp (1.1),
ql/Math/rounding.hpp (1.5), test-suite/Makefile.am (1.37),
test-suite/quantlibtestsuite.cpp (1.76), test-suite/rounding.cpp
(1.1), test-suite/rounding.hpp (1.1):
Rounding quantlibified and tested
2004-05-13 12:32 Luigi Ballabio
* ql/Math/comparison.hpp (1.3):
Fixed formula
2004-05-13 09:31 Luigi Ballabio
* ql/Optimization/: armijo.cpp (1.19), armijo.hpp (1.19),
conjugategradient.cpp (1.22), constraint.hpp (1.21),
costfunction.hpp (1.20), criteria.hpp (1.18), leastsquare.hpp
(1.27), linesearch.hpp (1.19), method.hpp (1.14), problem.hpp
(1.11), simplex.cpp (1.12), simplex.hpp (1.16), steepestdescent.cpp
(1.19):
Still more Reals and stuff
2004-05-12 18:16 Luigi Ballabio
* quantlib.el (1.8), ql/Math/array.hpp (1.5), ql/Math/beta.cpp
(1.6), ql/Math/beta.hpp (1.3),
ql/Math/bicubicsplineinterpolation.hpp (1.17),
ql/Math/bilinearinterpolation.hpp (1.21),
ql/Math/binomialdistribution.hpp (1.7),
ql/Math/bivariatenormaldistribution.cpp (1.8),
ql/Math/bivariatenormaldistribution.hpp (1.6),
ql/Math/chisquaredistribution.cpp (1.13),
ql/Math/chisquaredistribution.hpp (1.10),
ql/Math/choleskydecomposition.cpp (1.4), ql/Math/comparison.hpp
(1.2), ql/Math/cubicspline.hpp (1.48),
ql/Math/discrepancystatistics.cpp (1.8),
ql/Math/discrepancystatistics.hpp (1.13), ql/Math/errorfunction.cpp
(1.7), ql/Math/errorfunction.hpp (1.7), ql/Math/factorial.cpp
(1.5), ql/Math/factorial.hpp (1.4), ql/Math/functional.hpp (1.5),
ql/Math/gammadistribution.cpp (1.12), ql/Math/gammadistribution.hpp
(1.10), ql/Math/gaussianstatistics.hpp (1.17),
ql/Math/generalstatistics.cpp (1.14), ql/Math/generalstatistics.hpp
(1.15), ql/Math/incompletegamma.cpp (1.5),
ql/Math/incompletegamma.hpp (1.2),
ql/Math/incrementalstatistics.cpp (1.11),
ql/Math/incrementalstatistics.hpp (1.9), ql/Math/interpolation.hpp
(1.29), ql/Math/interpolation2D.hpp (1.19),
ql/Math/kronrodintegral.hpp (1.10), ql/Math/lexicographicalview.hpp
(1.14), ql/Math/linearinterpolation.hpp (1.25),
ql/Math/loglinearinterpolation.hpp (1.26), ql/Math/matrix.hpp
(1.29), ql/Math/normaldistribution.cpp (1.26),
ql/Math/normaldistribution.hpp (1.28),
ql/Math/poissondistribution.hpp (1.6), ql/Math/primenumbers.cpp
(1.13), ql/Math/primenumbers.hpp (1.10), ql/Math/pseudosqrt.cpp
(1.5), ql/Math/pseudosqrt.hpp (1.4), ql/Math/riskstatistics.hpp
(1.11), ql/Math/rounding.hpp (1.4), ql/Math/segmentintegral.hpp
(1.22), ql/Math/sequencestatistics.hpp (1.25),
ql/Math/simpsonintegral.hpp (1.8), ql/Math/svd.cpp (1.8),
ql/Math/svd.hpp (1.9), ql/Math/symmetricschurdecomposition.cpp
(1.19), ql/Math/symmetricschurdecomposition.hpp (1.15),
ql/Math/trapezoidintegral.hpp (1.8),
ql/MonteCarlo/brownianbridge.hpp (1.21),
ql/MonteCarlo/multipathgenerator.hpp (1.52), ql/MonteCarlo/path.hpp
(1.23), ql/MonteCarlo/pathgenerator.hpp (1.60),
ql/MonteCarlo/pathpricer.hpp (1.21), ql/MonteCarlo/sample.hpp
(1.13):
Still more Reals and stuff
2004-05-12 14:17 Luigi Ballabio
* ql/types.hpp (1.16):
More types
2004-05-12 13:57 Luigi Ballabio
* ql/qldefines.hpp (1.75):
Compliant with section 17.4.3.1.2 of the C++ standard
2004-05-12 13:41 Luigi Ballabio
* ql/: Indexes/audlibor.hpp (1.14), Indexes/cadlibor.hpp (1.14),
Indexes/chflibor.hpp (1.12), Indexes/euribor.hpp (1.17),
Indexes/gbplibor.hpp (1.17), Indexes/jpylibor.hpp (1.13),
Indexes/usdlibor.hpp (1.17), Indexes/xibor.cpp (1.19),
Indexes/xibor.hpp (1.24), Instruments/asianoption.cpp (1.17),
Instruments/asianoption.hpp (1.18), Instruments/barrieroption.cpp
(1.30), Instruments/barrieroption.hpp (1.26),
Instruments/capfloor.cpp (1.54), Instruments/capfloor.hpp (1.48),
Instruments/cliquetoption.hpp (1.13),
Instruments/dividendvanillaoption.cpp (1.3),
Instruments/dividendvanillaoption.hpp (1.3),
Instruments/forwardvanillaoption.cpp (1.29),
Instruments/forwardvanillaoption.hpp (1.29),
Instruments/multiassetoption.cpp (1.10),
Instruments/multiassetoption.hpp (1.8),
Instruments/oneassetoption.cpp (1.13),
Instruments/oneassetoption.hpp (1.12),
Instruments/oneassetstrikedoption.cpp (1.16),
Instruments/oneassetstrikedoption.hpp (1.13),
Instruments/payoffs.hpp (1.11),
Instruments/quantoforwardvanillaoption.cpp (1.25),
Instruments/quantoforwardvanillaoption.hpp (1.21),
Instruments/quantovanillaoption.cpp (1.32),
Instruments/quantovanillaoption.hpp (1.29), Instruments/swap.cpp
(1.34), Instruments/swap.hpp (1.28), Instruments/swaption.hpp
(1.40), Lattices/binomialtree.cpp (1.26), Lattices/binomialtree.hpp
(1.21), Lattices/bsmlattice.hpp (1.12), Lattices/lattice.hpp
(1.16), Lattices/lattice2d.hpp (1.12), Lattices/tree.hpp (1.24),
Lattices/trinomialtree.cpp (1.22), Lattices/trinomialtree.hpp
(1.15):
Some more Reals and Integers
2004-05-12 11:46 Luigi Ballabio
* quantlib.el (1.7), ql/CashFlows/cashflowvectors.cpp (1.33),
ql/CashFlows/cashflowvectors.hpp (1.26), ql/CashFlows/coupon.hpp
(1.20), ql/CashFlows/fixedratecoupon.hpp (1.22),
ql/CashFlows/floatingratecoupon.hpp (1.31),
ql/CashFlows/inarrearindexedcoupon.hpp (1.13),
ql/CashFlows/indexedcoupon.hpp (1.13), ql/CashFlows/parcoupon.cpp
(1.11), ql/CashFlows/parcoupon.hpp (1.10),
ql/CashFlows/shortfloatingcoupon.cpp (1.17),
ql/CashFlows/shortfloatingcoupon.hpp (1.18),
ql/CashFlows/shortindexedcoupon.hpp (1.12),
ql/CashFlows/simplecashflow.hpp (1.14), ql/CashFlows/timebasket.cpp
(1.7), ql/CashFlows/timebasket.hpp (1.7),
ql/CashFlows/upfrontindexedcoupon.hpp (1.12),
ql/DayCounters/actualactual.cpp (1.27),
ql/FiniteDifferences/americancondition.hpp (1.23),
ql/FiniteDifferences/boundarycondition.cpp (1.10),
ql/FiniteDifferences/boundarycondition.hpp (1.15),
ql/FiniteDifferences/bsmoperator.cpp (1.16),
ql/FiniteDifferences/bsmoperator.hpp (1.16),
ql/FiniteDifferences/cranknicolson.hpp (1.21),
ql/FiniteDifferences/dminus.hpp (1.15),
ql/FiniteDifferences/dplus.hpp (1.15),
ql/FiniteDifferences/dplusdminus.hpp (1.16),
ql/FiniteDifferences/dzero.hpp (1.15),
ql/FiniteDifferences/expliciteuler.hpp (1.17),
ql/FiniteDifferences/impliciteuler.hpp (1.16),
ql/FiniteDifferences/mixedscheme.hpp (1.15),
ql/FiniteDifferences/onefactoroperator.hpp (1.20),
ql/FiniteDifferences/shoutcondition.hpp (1.19),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.30),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.33):
Some more Reals and Integers
2004-05-11 16:19 Luigi Ballabio
* acinclude.m4 (1.10), configure.ac (1.43), quantlib.el (1.6),
ql/calendar.cpp (1.24), ql/calendar.hpp (1.37),
ql/capvolstructures.hpp (1.9), ql/cashflow.hpp (1.19), ql/date.cpp
(1.33), ql/date.hpp (1.28), ql/daycounter.hpp (1.28), ql/errors.cpp
(1.4), ql/errors.hpp (1.19), ql/grid.hpp (1.21), ql/history.hpp
(1.23), ql/instrument.hpp (1.34), ql/option.hpp (1.29),
ql/payoff.hpp (1.11), ql/solver1d.hpp (1.23),
ql/stochasticprocess.cpp (1.2), ql/stochasticprocess.hpp (1.14),
ql/swaptionvolstructure.hpp (1.11), ql/termstructure.hpp (1.42),
ql/types.hpp (1.14), ql/voltermstructure.cpp (1.19),
ql/voltermstructure.hpp (1.26), ql/CashFlows/parcoupon.cpp (1.10),
ql/DayCounters/actual360.hpp (1.18),
ql/DayCounters/actualactual.cpp (1.26),
ql/DayCounters/actualactual.hpp (1.22),
ql/DayCounters/simpledaycounter.cpp (1.5),
ql/DayCounters/simpledaycounter.hpp (1.6),
ql/DayCounters/thirty360.cpp (1.19), ql/DayCounters/thirty360.hpp
(1.21), ql/FiniteDifferences/tridiagonaloperator.cpp (1.29),
ql/Indexes/xibor.cpp (1.18), ql/Indexes/xibor.hpp (1.23),
ql/Instruments/asianoption.cpp (1.16),
ql/Instruments/asianoption.hpp (1.17),
ql/Instruments/barrieroption.cpp (1.29),
ql/Instruments/cliquetoption.cpp (1.2),
ql/Instruments/cliquetoption.hpp (1.12),
ql/Instruments/multiassetoption.cpp (1.9),
ql/Instruments/oneassetoption.cpp (1.12),
ql/Instruments/oneassetstrikedoption.cpp (1.15),
ql/Instruments/quantovanillaoption.cpp (1.31),
ql/Instruments/swaption.cpp (1.43), ql/Instruments/swaption.hpp
(1.39), ql/Math/bivariatenormaldistribution.hpp (1.5),
ql/Math/gaussianstatistics.hpp (1.16),
ql/Math/generalstatistics.cpp (1.13), ql/Math/generalstatistics.hpp
(1.14), ql/Math/incrementalstatistics.cpp (1.10),
ql/Math/interpolation.hpp (1.28), ql/Math/interpolation2D.hpp
(1.18), ql/Math/kronrodintegral.hpp (1.9),
ql/Math/normaldistribution.cpp (1.25),
ql/Math/normaldistribution.hpp (1.27),
ql/Math/poissondistribution.hpp (1.5), ql/Math/pseudosqrt.cpp
(1.4), ql/Math/riskstatistics.hpp (1.10),
ql/Math/simpsonintegral.hpp (1.7), ql/Math/trapezoidintegral.hpp
(1.7), ql/MonteCarlo/getcovariance.hpp (1.19),
ql/Pricers/mccliquetoption.cpp (1.27),
ql/Pricers/singleassetoption.cpp (1.29),
ql/PricingEngines/blackformula.cpp (1.4),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.14),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.17),
ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.3),
ql/PricingEngines/Cliquet/analyticperformanceengine.cpp (1.2),
ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.5),
ql/PricingEngines/Forward/forwardengine.hpp (1.7),
ql/PricingEngines/Quanto/quantoengine.hpp (1.7),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.4),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.17),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.19),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.14),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.15),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.15),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.33),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.32),
ql/Solvers1D/newton.hpp (1.17), ql/Solvers1D/newtonsafe.hpp (1.17),
ql/TermStructures/compoundforward.cpp (1.39),
ql/TermStructures/compoundforward.hpp (1.29),
ql/TermStructures/extendeddiscountcurve.cpp (1.12),
ql/TermStructures/extendeddiscountcurve.hpp (1.11),
ql/TermStructures/flatforward.hpp (1.36),
ql/TermStructures/piecewiseflatforward.cpp (1.47),
ql/TermStructures/piecewiseflatforward.hpp (1.39),
ql/TermStructures/ratehelpers.cpp (1.45),
ql/TermStructures/ratehelpers.hpp (1.38),
ql/Volatilities/localvolsurface.cpp (1.12),
test-suite/americanoption.cpp (1.18), test-suite/asianoptions.cpp
(1.22), test-suite/barrieroption.cpp (1.30),
test-suite/basketoption.cpp (1.24), test-suite/capfloor.cpp (1.31),
test-suite/cliquetoption.cpp (1.5), test-suite/compoundforward.cpp
(1.13), test-suite/covariance.cpp (1.19),
test-suite/daycounters.cpp (1.9), test-suite/digitaloption.cpp
(1.25), test-suite/distributions.cpp (1.16),
test-suite/europeanoption.cpp (1.63), test-suite/factorial.cpp
(1.13), test-suite/forwardoption.cpp (1.2),
test-suite/integrals.cpp (1.9), test-suite/interpolations.cpp
(1.17), test-suite/jumpdiffusion.cpp (1.20),
test-suite/lowdiscrepancysequences.cpp (1.44),
test-suite/matrices.cpp (1.18), test-suite/mersennetwister.cpp
(1.12), test-suite/old_pricers.cpp (1.48),
test-suite/piecewiseflatforward.cpp (1.17),
test-suite/quantooption.cpp (1.2), test-suite/quotes.cpp (1.2),
test-suite/riskstats.cpp (1.33), test-suite/solvers.cpp (1.10),
test-suite/stats.cpp (1.23), test-suite/swap.cpp (1.18),
test-suite/swaption.cpp (1.23), test-suite/termstructures.cpp
(1.16):
Started using Real, Integer and such
2004-05-10 18:48 Ferdinando Ametrano
* test-suite/old_pricers.cpp (1.47):
catching up
2004-05-10 18:40 Ferdinando Ametrano
* QuantLib.vcproj (1.14):
catching up
2004-05-10 18:30 Ferdinando Ametrano
* test-suite/testsuite.vcproj (1.13):
catching up
2004-05-10 18:22 Ferdinando Ametrano
* test-suite/calendars.cpp (1.10), test-suite/europeanoption.cpp
(1.62), QuantLib.vcproj (1.13), test-suite/testsuite.vcproj (1.12):
catching up
2004-05-10 17:54 Ferdinando Ametrano
* ql/: calendar.cpp (1.23), makefile.mak (1.56),
Calendars/taiwan.cpp (1.3), Instruments/asianoption.cpp (1.15),
PricingEngines/Cliquet/makefile.mak (1.9):
catching up
2004-05-10 17:13 Ferdinando Ametrano
* QuantLib.vcproj (1.12), ql/calendar.cpp (1.22), ql/calendar.hpp
(1.36), ql/config.msvc.hpp (1.48), test-suite/calendars.cpp (1.9):
catching up
2004-05-10 11:28 Luigi Ballabio
* Docs/pages/engines.docs (1.1),
ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.4),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.13),
ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.8),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.16),
ql/PricingEngines/Basket/stulzengine.hpp (1.5),
ql/PricingEngines/Cliquet/analyticcliquetengine.hpp (1.2),
ql/PricingEngines/Cliquet/analyticperformanceengine.hpp (1.2),
ql/PricingEngines/Forward/forwardengine.hpp (1.6),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.4),
ql/PricingEngines/Quanto/quantoengine.hpp (1.6),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp (1.3),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp (1.2),
ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp (1.3),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp (1.3),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.10),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.5),
ql/PricingEngines/Vanilla/integralengine.hpp (1.4),
ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.8),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.13),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.14),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.14):
Added pricing engine groups to docs
2004-05-10 11:27 Luigi Ballabio
* Docs/: Makefile.am (1.66), quantlib.css (1.11), quantlib.doxy
(1.85):
Upgraded to Doxygen 1.3.7
2004-05-10 10:49 Ferdinando Ametrano
* QuantLib.dsp (1.234), ql/Calendars/makefile.mak (1.26),
ql/Instruments/makefile.mak (1.35), ql/Math/rounding.hpp (1.3),
ql/PricingEngines/Asian/makefile.mak (1.8),
ql/PricingEngines/Cliquet/makefile.mak (1.8),
test-suite/makefile.mak (1.40), test-suite/testsuite.dsp (1.38),
QuantLib.nsi (1.99), QuantLib.vcproj (1.11),
functions/ql/Functions/makefile.mak (1.3),
test-suite/testsuite.vcproj (1.11):
catching up
2004-05-06 14:26 Luigi Ballabio
* ql/Instruments/forwardvanillaoption.hpp (1.28),
ql/Instruments/quantoforwardvanillaoption.cpp (1.24),
ql/Instruments/quantoforwardvanillaoption.hpp (1.20),
ql/Instruments/quantovanillaoption.hpp (1.28),
ql/PricingEngines/Forward/forwardengine.hpp (1.5),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.3),
ql/PricingEngines/Quanto/quantoengine.hpp (1.5),
test-suite/Makefile.am (1.36), test-suite/forwardoption.cpp (1.1),
test-suite/forwardoption.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.75),
test-suite/quantooption.cpp (1.1), test-suite/quantooption.hpp
(1.1):
Quanto/forward tests added -- real test cases needed
2004-05-05 14:10 Luigi Ballabio
* test-suite/: digitaloption.cpp (1.24), europeanoption.cpp (1.61),
jumpdiffusion.cpp (1.19):
theta calculated by moving today's date
2004-05-05 12:47 Luigi Ballabio
* test-suite/: americanoption.cpp (1.17), asianoptions.cpp (1.21),
barrieroption.cpp (1.29), basketoption.cpp (1.23),
cliquetoption.cpp (1.4), digitaloption.cpp (1.23),
europeanoption.cpp (1.60), jumpdiffusion.cpp (1.18),
old_pricers.cpp (1.46), utilities.cpp (1.9), utilities.hpp (1.11):
Unified a few flat curve factories
2004-05-05 12:47 Luigi Ballabio
* quantlib.el (1.5), ql/types.hpp (1.13):
Rationalized types a bit
2004-05-05 07:58 André Louw
* ql/types.hpp (1.12):
Decimal type added as typedef to double.
2004-05-04 15:46 André Louw
* ql/Math/rounding.hpp (1.2):
Changed sub constructors to public.
2004-05-04 15:16 Luigi Ballabio
* QuantLib.dsp (1.233), ql/Instruments/cliquetoption.hpp (1.11),
ql/calendar.cpp (1.21), ql/calendar.hpp (1.35), ql/config.msvc.hpp
(1.47), ql/Pricers/Makefile.am (1.42), ql/Pricers/all.hpp (1.5),
ql/Pricers/makefile.mak (1.45), test-suite/calendars.cpp (1.8),
test-suite/old_pricers.cpp (1.45), test-suite/testsuite.dsp (1.37):
Fixes for VC++6
2004-05-04 14:34 André Louw
* ql/Math/: Makefile.am (1.40), all.hpp (1.4), rounding.hpp (1.1):
Added first cut of rounding implementation.
2004-05-04 10:39 Luigi Ballabio
* ql/TermStructures/: compoundforward.cpp (1.38),
compoundforward.hpp (1.28), discountcurve.hpp (1.28),
extendeddiscountcurve.cpp (1.11), extendeddiscountcurve.hpp (1.10):
Reverting
2004-05-04 10:36 Luigi Ballabio
* ql/ShortRateModels/: calibrationhelper.hpp (1.20),
CalibrationHelpers/caphelper.cpp (1.32),
CalibrationHelpers/caphelper.hpp (1.15),
CalibrationHelpers/swaptionhelper.cpp (1.31),
CalibrationHelpers/swaptionhelper.hpp (1.13):
Constness added
2004-05-04 06:32 André Louw
* ql/TermStructures/: discountcurve.hpp (1.27),
extendeddiscountcurve.cpp (1.10), extendeddiscountcurve.hpp (1.9):
Changed interpolation to be changeable by sub classes.
2004-05-04 06:31 André Louw
* ql/TermStructures/: compoundforward.cpp (1.37),
compoundforward.hpp (1.27):
Added granularity parameter to specify the granularity of the
bootstrapped discount factor curve (defaults to same as compounding
frequency). Changed interpolation to be changeable by sub classes.
2004-05-03 11:11 Luigi Ballabio
* test-suite/asianoptions.cpp (1.20):
Fixed greeks for geometric continuous-averaging Asian
2004-04-30 19:04 Luigi Ballabio
* ql/Instruments/asianoption.cpp (1.14),
ql/Instruments/asianoption.hpp (1.16),
ql/PricingEngines/Asian/Makefile.am (1.5),
ql/PricingEngines/Asian/all.hpp (1.2), test-suite/asianoptions.cpp
(1.19), test-suite/asianoptions.hpp (1.3),
test-suite/cliquetoption.cpp (1.3), test-suite/old_pricers.cpp
(1.44):
Enginified ContinuousGeometricAPO
2004-04-30 15:33 Luigi Ballabio
* Docs/Makefile.am (1.65), Docs/makefile.mak (1.35),
Docs/qlintro.tex (1.1), Docs/quantlibheader.html (1.23),
Docs/quantlibheader.tex (1.19), Docs/pages/findiff.docs (1.11),
Docs/pages/fixedincome.docs (1.12), Docs/pages/math.docs (1.11),
Docs/pages/mcarlo.docs (1.16), Docs/pages/termstructures.docs
(1.7), Docs/pages/utilities.docs (1.9), ql/termstructure.hpp
(1.41), ql/MonteCarlo/brownianbridge.hpp (1.20),
ql/MonteCarlo/montecarlomodel.hpp (1.32),
ql/MonteCarlo/multipath.hpp (1.21),
ql/MonteCarlo/multipathgenerator.hpp (1.51), ql/MonteCarlo/path.hpp
(1.22), ql/MonteCarlo/pathgenerator.hpp (1.59),
ql/MonteCarlo/pathpricer.hpp (1.20), ql/MonteCarlo/sample.hpp
(1.12), ql/ShortRateModels/model.hpp (1.29),
ql/ShortRateModels/onefactormodel.hpp (1.17),
ql/ShortRateModels/twofactormodel.hpp (1.14),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.15),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.21),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.20), ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.19),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.14),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.20),
ql/TermStructures/discountcurve.hpp (1.26),
ql/TermStructures/flatforward.hpp (1.35),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.19),
ql/TermStructures/impliedtermstructure.hpp (1.17),
ql/TermStructures/piecewiseflatforward.hpp (1.38),
ql/TermStructures/zerocurve.hpp (1.10),
ql/TermStructures/zerospreadedtermstructure.hpp (1.20):
Reorganized Doxygen documentation
2004-04-30 13:15 Luigi Ballabio
* Docs/Makefile.am (1.64), Docs/quantlibheader.html (1.22),
Docs/pages/coreclasses.docs (1.10), Docs/pages/currencies.docs
(1.8), Docs/pages/findiff.docs (1.10), Docs/pages/lattices.docs
(1.8), Docs/pages/patterns.docs (1.7), ql/currency.hpp (1.11),
ql/types.hpp (1.11), ql/FiniteDifferences/boundarycondition.hpp
(1.14), ql/FiniteDifferences/bsmoperator.hpp (1.15),
ql/FiniteDifferences/cranknicolson.hpp (1.20),
ql/FiniteDifferences/dminus.hpp (1.14),
ql/FiniteDifferences/dplus.hpp (1.14),
ql/FiniteDifferences/dplusdminus.hpp (1.15),
ql/FiniteDifferences/dzero.hpp (1.14),
ql/FiniteDifferences/expliciteuler.hpp (1.16),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.29),
ql/FiniteDifferences/impliciteuler.hpp (1.15),
ql/FiniteDifferences/mixedscheme.hpp (1.14),
ql/FiniteDifferences/onefactoroperator.hpp (1.19),
ql/FiniteDifferences/stepcondition.hpp (1.14),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.32),
ql/Lattices/binomialtree.hpp (1.20), ql/Lattices/bsmlattice.hpp
(1.11), ql/Lattices/lattice.hpp (1.15), ql/Lattices/lattice2d.hpp
(1.11), ql/Lattices/tree.hpp (1.23), ql/Lattices/trinomialtree.hpp
(1.14), ql/Patterns/bridge.hpp (1.11), ql/Patterns/composite.hpp
(1.6), ql/Patterns/curiouslyrecurring.hpp (1.4),
ql/Patterns/lazyobject.hpp (1.8), ql/Patterns/observable.hpp
(1.20), ql/Patterns/visitor.hpp (1.8):
Ongoing docs reorganization
2004-04-30 13:15 Luigi Ballabio
* Docs/quantlib.css (1.10):
More recent Doxygen stylesheet
2004-04-30 10:20 Luigi Ballabio
* ql/Calendars/: Makefile.am (1.20), all.hpp (1.4):
Added Beijing and Riyadh calendars (thanks to Xavier Abulker)
2004-04-29 14:50 Luigi Ballabio
* ql/PricingEngines/Cliquet/Makefile.am (1.7),
ql/PricingEngines/Cliquet/all.hpp (1.3),
ql/PricingEngines/Cliquet/analyticperformanceengine.cpp (1.1),
ql/PricingEngines/Cliquet/analyticperformanceengine.hpp (1.1),
test-suite/cliquetoption.cpp (1.2), test-suite/cliquetoption.hpp
(1.2):
Enginified performance pricer
2004-04-29 13:51 Luigi Ballabio
* ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.2):
Removed leftover code
2004-04-29 13:46 Luigi Ballabio
* configure.ac (1.42), ql/Instruments/Makefile.am (1.26),
ql/Instruments/all.hpp (1.8), ql/Instruments/cliquetoption.cpp
(1.1), ql/Instruments/cliquetoption.hpp (1.10),
ql/Instruments/payoffs.hpp (1.10), ql/PricingEngines/Makefile.am
(1.39), ql/PricingEngines/all.hpp (1.8),
ql/PricingEngines/Cliquet/Makefile.am (1.6),
ql/PricingEngines/Cliquet/all.hpp (1.2),
ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.1),
ql/PricingEngines/Cliquet/analyticcliquetengine.hpp (1.1),
ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.4),
ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.7),
test-suite/Makefile.am (1.35), test-suite/cliquetoption.cpp (1.1),
test-suite/cliquetoption.hpp (1.1), test-suite/old_pricers.cpp
(1.43), test-suite/old_pricers.hpp (1.13),
test-suite/quantlibtestsuite.cpp (1.74):
Enginified Cliquet pricer
2004-04-27 11:51 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.53),
ql/instrument.hpp (1.33), ql/ShortRateModels/calibrationhelper.hpp
(1.19), ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.31),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.30):
Calibration helpers are no longer set a default Black engine
2004-04-27 11:49 Luigi Ballabio
* ql/Calendars/: singapore.cpp (1.1), singapore.hpp (1.1):
Singapore calendar added (thanks to Xavier Abulker)
2004-04-26 17:53 Luigi Ballabio
* ql/Calendars/: Makefile.am (1.19), all.hpp (1.3):
Singapore calendar added (thanks to Xavier Abulker)
2004-04-26 16:55 Luigi Ballabio
* Docs/pages/authors.docs (1.28), ql/Makefile.am (1.57),
ql/calendar.cpp (1.20), ql/calendar.hpp (1.34),
ql/Calendars/hongkong.cpp (1.2), ql/Calendars/hongkong.hpp (1.2),
ql/Calendars/taiwan.cpp (1.2), ql/Calendars/taiwan.hpp (1.2),
ql/Calendars/target.cpp (1.17), ql/Calendars/target.hpp (1.19),
test-suite/.cvsignore (1.13), test-suite/calendars.cpp (1.7),
test-suite/calendars.hpp (1.6):
Added methods for adding/removing holidays from calendars (thanks
to Jeff Yu)
2004-04-23 11:12 Luigi Ballabio
* Docs/pages/authors.docs (1.27), ql/Calendars/Makefile.am (1.18),
ql/Calendars/all.hpp (1.2), ql/Calendars/hongkong.cpp (1.1),
ql/Calendars/hongkong.hpp (1.1), ql/Calendars/taiwan.cpp (1.1),
ql/Calendars/taiwan.hpp (1.1):
Added Hong Kong, Seoul and Taiwan calendars (thanks to Xavier
Abulker)
2004-04-23 10:58 Luigi Ballabio
* dev_tools/developers (1.3):
any reason for e-mail addresses in ChangeLog?
2004-04-22 17:40 Luigi Ballabio
* ql/PricingEngines/blackformula.cpp (1.3):
Clarified a bit execution flow
2004-04-22 15:24 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.38),
ql/Makefile.am (1.56), ql/stochasticprocess.cpp (1.1),
ql/stochasticprocess.hpp (1.13),
ql/Instruments/multiassetoption.hpp (1.7),
ql/Instruments/oneassetoption.hpp (1.11),
ql/Lattices/binomialtree.cpp (1.25), ql/Lattices/binomialtree.hpp
(1.19), ql/Lattices/trinomialtree.cpp (1.21),
ql/Lattices/trinomialtree.hpp (1.13),
ql/MonteCarlo/brownianbridge.hpp (1.19),
ql/MonteCarlo/multipathgenerator.hpp (1.50),
ql/MonteCarlo/pathgenerator.hpp (1.58),
ql/Pricers/mccliquetoption.cpp (1.26),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.29),
ql/Pricers/mceverest.cpp (1.34), ql/Pricers/mchimalaya.cpp (1.37),
ql/Pricers/mcmaxbasket.cpp (1.33), ql/Pricers/mcpagoda.cpp (1.35),
ql/Pricers/mcperformanceoption.cpp (1.24),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.6),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.12),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.22),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.15),
ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.6),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.9),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.6),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.12),
ql/ShortRateModels/onefactormodel.hpp (1.16),
ql/ShortRateModels/twofactormodel.hpp (1.13),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.14),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.20),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.18),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.13),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.19):
DiffusionProcess renamed as StochasticProcess; Merton76
stochastic-process methods inhibited
2004-04-22 11:17 Luigi Ballabio
* test-suite/europeanoption.cpp (1.59):
More exhaustive test
2004-04-22 10:41 Luigi Ballabio
* ql/TermStructures/: piecewiseflatforward.cpp (1.46),
piecewiseflatforward.hpp (1.37):
Hidden a few implementation details from header
2004-04-22 09:56 Luigi Ballabio
* ql/handle.hpp (1.21), ql/stochasticprocess.hpp (1.12),
ql/userconfig.hpp (1.7), ql/MonteCarlo/mctypedefs.hpp (1.35),
test-suite/old_pricers.cpp (1.42), test-suite/old_pricers.hpp
(1.12):
Sounds better, but maybe it's just me
2004-04-22 09:55 Luigi Ballabio
* configure.ac (1.41):
Saner command-line option name
2004-04-22 09:53 Luigi Ballabio
* ql/RandomNumbers/rngtraits.hpp (1.7):
Consistent name for template argument
2004-04-22 09:49 Luigi Ballabio
* ql/: voltermstructure.cpp (1.18), voltermstructure.hpp (1.25),
Volatilities/impliedvoltermstructure.hpp (1.12):
My fault--the parameter had to be used
2004-04-22 09:18 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.37),
ql/MonteCarlo/mctypedefs.hpp (1.34), test-suite/old_pricers.cpp
(1.41), test-suite/old_pricers.hpp (1.11):
Works without deprecated stuff (not that it bothered me much,
though)
2004-04-21 16:00 Luigi Ballabio
* ql/argsandresults.hpp (1.17):
Fix for implied volatility in old pricers
2004-04-21 15:55 Ferdinando Ametrano
* ql/: MonteCarlo/mctypedefs.hpp (1.33),
Pricers/mccliquetoption.hpp (1.18),
Pricers/mcdiscretearithmeticaso.hpp (1.21), Pricers/mceverest.hpp
(1.23), Pricers/mchimalaya.cpp (1.36), Pricers/mcmaxbasket.hpp
(1.23), Pricers/mcpagoda.hpp (1.24),
Pricers/mcperformanceoption.hpp (1.16),
PricingEngines/Basket/mcamericanbasketengine.cpp (1.21):
using QL_DEPRECATED_DISABLED to disable deprecated code.
2004-04-21 15:28 Ferdinando Ametrano
* configure.ac (1.40), ql/handle.hpp (1.20),
ql/stochasticprocess.hpp (1.11), ql/MonteCarlo/mctypedefs.hpp
(1.32), test-suite/old_pricers.cpp (1.40),
test-suite/old_pricers.hpp (1.10):
using QL_DEPRECATED_DISABLED to disable deprecated code.
2004-04-21 15:13 Ferdinando Ametrano
* configure.ac (1.39), ql/userconfig.hpp (1.6):
define QL_DEPRECATED_DISABLED if you want to disable deprecated
code.
2004-04-21 15:03 Ferdinando Ametrano
* QuantLib.vcproj (1.10):
updated
2004-04-21 14:55 Ferdinando Ametrano
* ql/Volatilities/impliedvoltermstructure.hpp (1.11):
unused parameter removed
2004-04-21 14:51 Ferdinando Ametrano
* ql/: voltermstructure.cpp (1.17), voltermstructure.hpp (1.24):
unused parameter removed
2004-04-21 13:14 Ferdinando Ametrano
* ql/RandomNumbers/haltonrsg.cpp (1.14):
avoid usage of deprecated code
2004-04-21 13:02 Luigi Ballabio
* ql/: voltermstructure.cpp (1.16), voltermstructure.hpp (1.23),
Volatilities/blackconstantvol.hpp (1.23),
Volatilities/blackvariancecurve.cpp (1.11),
Volatilities/blackvariancecurve.hpp (1.28),
Volatilities/blackvariancesurface.cpp (1.11),
Volatilities/blackvariancesurface.hpp (1.30),
Volatilities/impliedvoltermstructure.hpp (1.10),
Volatilities/localconstantvol.hpp (1.20),
Volatilities/localvolcurve.hpp (1.11),
Volatilities/localvolsurface.cpp (1.11),
Volatilities/localvolsurface.hpp (1.18):
Added persistent extrapolation setting to volatility term
structures
2004-04-21 13:02 Ferdinando Ametrano
* ql/Pricers/: mceverest.cpp (1.33), mchimalaya.cpp (1.35),
mcmaxbasket.cpp (1.32), mcpagoda.cpp (1.34):
avoid usage of deprecated code
2004-04-21 12:26 Luigi Ballabio
* ql/termstructure.hpp (1.40):
Removed unneeded reference
2004-04-21 12:24 Luigi Ballabio
* QuantLib.spec.in (1.7), dev_tools/version_number.txt (1.41):
Removed the need for bumping version number
2004-04-21 11:51 Ferdinando Ametrano
* dev_tools/version_number.txt (1.40):
updated
2004-04-21 11:51 Ferdinando Ametrano
* ql/makefile.mak (1.55):
bumping up version number
2004-04-21 11:41 Ferdinando Ametrano
* functions/ql/Functions/: Makefile.am (1.2), QuantLibFunctions.dsp
(1.4), QuantLibFunctions.vcproj (1.2):
bumping up version number
2004-04-21 11:39 Ferdinando Ametrano
* Examples/: BermudanSwaption/BermudanSwaption.vcproj (1.4),
DiscreteHedging/DiscreteHedging.vcproj (1.4), Swap/Swap.vcproj
(1.4):
updated
2004-04-21 11:37 Ferdinando Ametrano
* test-suite/testsuite.vcproj (1.10):
missing file added
2004-04-21 11:18 Ferdinando Ametrano
* QuantLib.vcproj (1.9):
header file added
2004-04-21 11:18 Ferdinando Ametrano
* ql/RandomNumbers/rngtraits.hpp (1.6):
more traits
2004-04-21 11:16 Ferdinando Ametrano
* QuantLib.dsp (1.232), QuantLib.vcproj (1.8):
bumping up version number
2004-04-21 11:13 Ferdinando Ametrano
* QuantLib.spec.in (1.6):
bumping up version number
2004-04-20 18:00 Luigi Ballabio
* ql/: termstructure.hpp (1.39), Math/Makefile.am (1.39),
Math/all.hpp (1.3), Math/extrapolation.hpp (1.1),
TermStructures/compoundforward.cpp (1.36),
TermStructures/compoundforward.hpp (1.26),
TermStructures/discountcurve.hpp (1.25),
TermStructures/drifttermstructure.hpp (1.8),
TermStructures/extendeddiscountcurve.cpp (1.9),
TermStructures/extendeddiscountcurve.hpp (1.8),
TermStructures/flatforward.hpp (1.34),
TermStructures/forwardspreadedtermstructure.hpp (1.18),
TermStructures/impliedtermstructure.hpp (1.16),
TermStructures/piecewiseflatforward.cpp (1.45),
TermStructures/piecewiseflatforward.hpp (1.36),
TermStructures/quantotermstructure.hpp (1.11),
TermStructures/zerocurve.hpp (1.9),
TermStructures/zerospreadedtermstructure.hpp (1.19):
Added persistent extrapolation setting to term structures
2004-04-19 19:01 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.36),
ql/stochasticprocess.hpp (1.10), ql/Instruments/asianoption.cpp
(1.13), ql/Instruments/asianoption.hpp (1.15),
ql/Instruments/barrieroption.cpp (1.28),
ql/Instruments/barrieroption.hpp (1.25),
ql/Instruments/basketoption.cpp (1.7),
ql/Instruments/basketoption.hpp (1.9),
ql/Instruments/dividendvanillaoption.cpp (1.2),
ql/Instruments/dividendvanillaoption.hpp (1.2),
ql/Instruments/europeanoption.cpp (1.2),
ql/Instruments/europeanoption.hpp (1.2),
ql/Instruments/forwardvanillaoption.cpp (1.28),
ql/Instruments/forwardvanillaoption.hpp (1.27),
ql/Instruments/multiassetoption.cpp (1.8),
ql/Instruments/multiassetoption.hpp (1.6),
ql/Instruments/oneassetoption.cpp (1.11),
ql/Instruments/oneassetoption.hpp (1.10),
ql/Instruments/oneassetstrikedoption.cpp (1.14),
ql/Instruments/oneassetstrikedoption.hpp (1.12),
ql/Instruments/quantoforwardvanillaoption.cpp (1.23),
ql/Instruments/quantoforwardvanillaoption.hpp (1.19),
ql/Instruments/quantovanillaoption.cpp (1.30),
ql/Instruments/quantovanillaoption.hpp (1.27),
ql/Instruments/vanillaoption.cpp (1.46),
ql/Instruments/vanillaoption.hpp (1.46),
ql/Pricers/mccliquetoption.cpp (1.25),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.28),
ql/Pricers/mceverest.cpp (1.32), ql/Pricers/mchimalaya.cpp (1.34),
ql/Pricers/mcmaxbasket.cpp (1.31), ql/Pricers/mcpagoda.cpp (1.33),
ql/Pricers/mcperformanceoption.cpp (1.23),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.11),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.11),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.20),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.14),
ql/PricingEngines/Basket/stulzengine.cpp (1.15),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.7),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.3),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.16),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.13),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.8),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.13),
ql/PricingEngines/Vanilla/integralengine.cpp (1.7),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.18),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.11),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.13),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.13),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.19),
test-suite/americanoption.cpp (1.16), test-suite/asianoptions.cpp
(1.18), test-suite/barrieroption.cpp (1.28),
test-suite/basketoption.cpp (1.22), test-suite/digitaloption.cpp
(1.22), test-suite/europeanoption.cpp (1.58),
test-suite/jumpdiffusion.cpp (1.17):
Transplanted stochastic processes in the DiffusionProcess hierarchy
2004-04-15 18:02 Luigi Ballabio
* QuantLib.dsp (1.231),
functions/ql/Functions/QuantLibFunctions.dsp (1.3):
This is automatic on Linux :)
2004-04-15 17:16 Luigi Ballabio
* ql/: stochasticprocess.hpp (1.9), Indexes/xibor.hpp (1.22),
Instruments/barrieroption.cpp (1.27),
Instruments/multiassetoption.cpp (1.7),
Instruments/oneassetoption.cpp (1.10),
PricingEngines/Barrier/analyticbarrierengine.cpp (1.10),
PricingEngines/Barrier/mcbarrierengine.hpp (1.10),
PricingEngines/Basket/mcamericanbasketengine.cpp (1.19),
PricingEngines/Basket/mcbasketengine.hpp (1.13),
PricingEngines/Basket/stulzengine.cpp (1.14),
PricingEngines/Cliquet/mccliquetengine.hpp (1.5),
PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.6),
PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.2),
PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.15),
PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.12),
PricingEngines/Vanilla/binomialengine.hpp (1.7),
PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.12),
PricingEngines/Vanilla/integralengine.cpp (1.6),
PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.17),
PricingEngines/Vanilla/mcdigitalengine.hpp (1.10),
PricingEngines/Vanilla/mceuropeanengine.hpp (1.12),
PricingEngines/Vanilla/mcvanillaengine.hpp (1.12):
Somewhat safer StochasticProcesses
2004-04-15 17:15 Luigi Ballabio
* ql/: config.ansi.hpp (1.24), config.msvc.hpp (1.46),
config.mwcw.hpp (1.23), qldefines.hpp (1.74):
Removed old macros
2004-04-15 14:07 Luigi Ballabio
* QuantLib.nsi (1.98), configure.ac (1.38), Docs/quantlib.doxy
(1.84), dev_tools/version_number.txt (1.39), ql/qldefines.hpp
(1.73), test-suite/europeanoption.cpp (1.57):
Bumped version number
2004-04-14 16:57 Luigi Ballabio
* ql/stochasticprocess.hpp (1.8), ql/Instruments/oneassetoption.cpp
(1.9), ql/Instruments/oneassetoption.hpp (1.9),
test-suite/europeanoption.cpp (1.56), test-suite/europeanoption.hpp
(1.13), test-suite/quantlibtestsuite.cpp (1.73):
Fixed bug where calls to impliedVolatility() were breaking the
option state. Potentially very dangerous. We might consider a
bug-fix release soonish.
2004-04-13 19:34 Ferdinando Ametrano
* Docs/pages/overview.docs (1.13):
updated
2004-04-13 16:46 Ferdinando Ametrano
* functions/ql/Functions/QuantLibFunctions.dsp (1.2):
VC6 catching up
2004-04-13 16:46 Ferdinando Ametrano
* QuantLib.sln (1.4),
functions/ql/Functions/QuantLibFunctions.vcproj (1.1):
VC71 catching up
2004-04-13 15:57 Ferdinando Ametrano
* QuantLib.dsp (1.230), QuantLib.dsw (1.11),
functions/ql/Functions/.cvsignore (1.2),
functions/ql/Functions/QuantLibFunctions.dsp (1.1),
test-suite/testsuite.dsp (1.36):
VC6 catching up
2004-04-13 15:43 Ferdinando Ametrano
* makefile.mak (1.56):
Borland catching up
2004-04-13 15:16 Ferdinando Ametrano
* QuantLib.vcproj (1.7), makefile.mak (1.55),
Examples/BermudanSwaption/makefile.mak (1.18),
Examples/DiscreteHedging/makefile.mak (1.21),
Examples/Swap/makefile.mak (1.21),
functions/ql/Functions/makefile.mak (1.2), ql/makefile.mak (1.54),
ql/Calendars/makefile.mak (1.25), ql/CashFlows/makefile.mak (1.22),
ql/DayCounters/makefile.mak (1.21),
ql/FiniteDifferences/makefile.mak (1.21), ql/Indexes/makefile.mak
(1.19), ql/Instruments/makefile.mak (1.34),
ql/Lattices/makefile.mak (1.27), ql/Math/makefile.mak (1.37),
ql/Optimization/makefile.mak (1.19), ql/Pricers/makefile.mak
(1.44), ql/PricingEngines/makefile.mak (1.32),
ql/PricingEngines/Asian/makefile.mak (1.7),
ql/PricingEngines/Barrier/makefile.mak (1.9),
ql/PricingEngines/Basket/makefile.mak (1.8),
ql/PricingEngines/CapFloor/makefile.mak (1.7),
ql/PricingEngines/Cliquet/makefile.mak (1.7),
ql/PricingEngines/Swaption/makefile.mak (1.7),
ql/PricingEngines/Vanilla/makefile.mak (1.13),
ql/RandomNumbers/makefile.mak (1.27),
ql/ShortRateModels/makefile.mak (1.16),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.15),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.15),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.15),
ql/TermStructures/compoundforward.cpp (1.35),
ql/TermStructures/makefile.mak (1.24), ql/Volatilities/makefile.mak
(1.10), test-suite/makefile.mak (1.39), test-suite/testsuite.vcproj
(1.9):
Borland and VC71 catching up
2004-04-13 15:15 Ferdinando Ametrano
* ql/Instruments/all.hpp (1.7):
fix
2004-04-13 14:39 Luigi Ballabio
* ql/Instruments/Makefile.am (1.25), ql/Instruments/all.hpp (1.6),
ql/Instruments/dividendvanillaoption.cpp (1.1),
ql/Instruments/dividendvanillaoption.hpp (1.1),
ql/Instruments/vanillaoption.cpp (1.45),
ql/Instruments/vanillaoption.hpp (1.45),
ql/PricingEngines/Vanilla/Makefile.am (1.13),
ql/PricingEngines/Vanilla/all.hpp (1.4),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.1),
ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp (1.1),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.14),
test-suite/Makefile.am (1.34), test-suite/quantlibtestsuite.cpp
(1.72):
Enginified dividend European option pricer
2004-04-13 10:43 Luigi Ballabio
* Makefile.am (1.87), configure.ac (1.37), functions/Makefile.am
(1.1), functions/ql/Makefile.am (1.1),
functions/ql/Functions/.cvsignore (1.1),
functions/ql/Functions/Makefile.am (1.1),
functions/ql/Functions/daycounters.cpp (1.1),
functions/ql/Functions/daycounters.hpp (1.1),
functions/ql/Functions/makefile.mak (1.1),
functions/ql/Functions/mathf.cpp (1.1),
functions/ql/Functions/mathf.hpp (1.1),
functions/ql/Functions/vols.cpp (1.1),
functions/ql/Functions/vols.hpp (1.1), ql/Makefile.am (1.55),
ql/quantlib.hpp (1.147):
Moved functions into a separate library
2004-04-09 16:10 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.35),
ql/calendar.cpp (1.19), ql/cashflow.hpp (1.18), ql/date.cpp (1.32),
ql/errors.cpp (1.3), ql/errors.hpp (1.18), ql/exercise.cpp (1.9),
ql/grid.hpp (1.20), ql/history.hpp (1.22), ql/instrument.hpp
(1.32), ql/option.hpp (1.28), ql/solver1d.hpp (1.22),
ql/voltermstructure.cpp (1.15), ql/voltermstructure.hpp (1.22),
ql/CashFlows/cashflowvectors.cpp (1.32),
ql/CashFlows/timebasket.cpp (1.5), ql/DayCounters/actualactual.cpp
(1.25), ql/DayCounters/thirty360.cpp (1.18),
ql/FiniteDifferences/americancondition.hpp (1.22),
ql/FiniteDifferences/boundarycondition.cpp (1.9),
ql/FiniteDifferences/shoutcondition.hpp (1.18),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.28),
ql/Instruments/asianoption.cpp (1.12),
ql/Instruments/asianoption.hpp (1.14),
ql/Instruments/barrieroption.cpp (1.26),
ql/Instruments/basketoption.cpp (1.6),
ql/Instruments/basketoption.hpp (1.8), ql/Instruments/capfloor.cpp
(1.53), ql/Instruments/cliquetoption.hpp (1.9),
ql/Instruments/forwardvanillaoption.cpp (1.27),
ql/Instruments/forwardvanillaoption.hpp (1.25),
ql/Instruments/multiassetoption.cpp (1.6),
ql/Instruments/oneassetoption.cpp (1.8),
ql/Instruments/oneassetstrikedoption.cpp (1.13),
ql/Instruments/payoffs.hpp (1.9),
ql/Instruments/quantoforwardvanillaoption.cpp (1.22),
ql/Instruments/quantovanillaoption.cpp (1.29),
ql/Instruments/quantovanillaoption.hpp (1.26),
ql/Instruments/stock.cpp (1.17), ql/Instruments/swap.cpp (1.33),
ql/Instruments/swaption.cpp (1.42), ql/Instruments/swaption.hpp
(1.38), ql/Lattices/binomialtree.cpp (1.24),
ql/Lattices/lattice.hpp (1.14), ql/Math/beta.cpp (1.5),
ql/Math/binomialdistribution.hpp (1.6),
ql/Math/bivariatenormaldistribution.cpp (1.7),
ql/Math/bivariatenormaldistribution.hpp (1.4),
ql/Math/chisquaredistribution.cpp (1.12),
ql/Math/choleskydecomposition.cpp (1.3), ql/Math/cubicspline.hpp
(1.47), ql/Math/discrepancystatistics.hpp (1.12),
ql/Math/gammadistribution.cpp (1.11), ql/Math/gammadistribution.hpp
(1.9), ql/Math/gaussianstatistics.hpp (1.15),
ql/Math/generalstatistics.cpp (1.12), ql/Math/generalstatistics.hpp
(1.13), ql/Math/incompletegamma.cpp (1.4),
ql/Math/incrementalstatistics.cpp (1.9),
ql/Math/incrementalstatistics.hpp (1.8), ql/Math/interpolation.hpp
(1.27), ql/Math/interpolation2D.hpp (1.17),
ql/Math/kronrodintegral.hpp (1.8),
ql/Math/loglinearinterpolation.hpp (1.25), ql/Math/matrix.hpp
(1.28), ql/Math/normaldistribution.cpp (1.24),
ql/Math/normaldistribution.hpp (1.26),
ql/Math/poissondistribution.hpp (1.4), ql/Math/pseudosqrt.cpp
(1.3), ql/Math/riskstatistics.hpp (1.9),
ql/Math/sequencestatistics.hpp (1.24), ql/Math/simpsonintegral.hpp
(1.6), ql/Math/symmetricschurdecomposition.cpp (1.18),
ql/Math/trapezoidintegral.hpp (1.6),
ql/MonteCarlo/brownianbridge.hpp (1.18),
ql/MonteCarlo/getcovariance.hpp (1.18), ql/MonteCarlo/multipath.hpp
(1.20), ql/MonteCarlo/multipathgenerator.hpp (1.49),
ql/MonteCarlo/path.hpp (1.21), ql/MonteCarlo/pathgenerator.hpp
(1.57), ql/Optimization/conjugategradient.cpp (1.21),
ql/Optimization/constraint.hpp (1.20),
ql/Optimization/linesearch.hpp (1.18),
ql/Optimization/steepestdescent.cpp (1.18),
ql/Pricers/discretegeometricaso.cpp (1.17),
ql/Pricers/mccliquetoption.cpp (1.24),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.27),
ql/Pricers/mceverest.cpp (1.31), ql/Pricers/mchimalaya.cpp (1.33),
ql/Pricers/mcmaxbasket.cpp (1.30), ql/Pricers/mcpagoda.cpp (1.32),
ql/Pricers/mcperformanceoption.cpp (1.22),
ql/Pricers/singleassetoption.cpp (1.28),
ql/PricingEngines/americanpayoffatexpiry.hpp (1.6),
ql/PricingEngines/americanpayoffathit.hpp (1.8),
ql/PricingEngines/blackformula.cpp (1.2),
ql/PricingEngines/genericmodelengine.hpp (1.4),
ql/PricingEngines/mcsimulation.hpp (1.5),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.9),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.5),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.9),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.18),
ql/PricingEngines/Basket/mcbasketengine.cpp (1.4),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.12),
ql/PricingEngines/Basket/stulzengine.cpp (1.13),
ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.3),
ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.4),
ql/PricingEngines/Forward/forwardengine.hpp (1.4),
ql/PricingEngines/Quanto/quantoengine.hpp (1.4),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.5),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.13),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.11),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.6),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.11),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.7),
ql/PricingEngines/Vanilla/integralengine.cpp (1.5),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.16),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.5),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.9),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.11),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.11),
ql/RandomNumbers/sobolrsg.cpp (1.28), ql/ShortRateModels/model.cpp
(1.22), ql/ShortRateModels/parameter.hpp (1.17),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.30),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.29),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.13),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.22),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.22), ql/Solvers1D/bisection.hpp (1.16), ql/Solvers1D/brent.hpp
(1.16), ql/Solvers1D/falseposition.hpp (1.15),
ql/Solvers1D/newton.hpp (1.16), ql/Solvers1D/newtonsafe.hpp (1.16),
ql/Solvers1D/ridder.hpp (1.15), ql/Solvers1D/secant.hpp (1.16),
ql/TermStructures/compoundforward.cpp (1.34),
ql/TermStructures/flatforward.hpp (1.33),
ql/TermStructures/piecewiseflatforward.cpp (1.44),
ql/TermStructures/ratehelpers.cpp (1.44),
ql/Utilities/steppingiterator.hpp (1.15),
ql/Volatilities/blackconstantvol.hpp (1.22),
ql/Volatilities/blackvariancecurve.cpp (1.10),
ql/Volatilities/blackvariancesurface.cpp (1.10),
ql/Volatilities/capflatvolvector.hpp (1.16),
ql/Volatilities/localconstantvol.hpp (1.19),
ql/Volatilities/localvolsurface.cpp (1.10),
test-suite/barrieroption.cpp (1.27), test-suite/basketoption.cpp
(1.21), test-suite/europeanoption.cpp (1.55),
test-suite/jumpdiffusion.cpp (1.16), test-suite/utilities.cpp
(1.8):
Reworked error classes. Error instances should not be created
manually. The QL_FAIL, QL_ASSERT, QL_REQUIRE, and QL_ENSURE macro
now add file, line, and (when the compiler supports it) function
information. This means that the "Foo::bar(): " bit must NOT be
explicitly added to error messages.
2004-04-08 18:51 Ferdinando Ametrano
* ql/ShortRateModels/twofactormodel.hpp (1.12):
formatting
2004-04-08 18:47 Ferdinando Ametrano
* ql/ShortRateModels/model.hpp (1.28):
formatting
2004-04-08 17:53 Ferdinando Ametrano
* ql/Lattices/: lattice.hpp (1.13), lattice2d.hpp (1.10):
formatting
2004-04-08 15:27 Ferdinando Ametrano
* ql/Instruments/makefile.mak (1.33):
Borland catching up
2004-04-08 15:27 Ferdinando Ametrano
* test-suite/testsuite.dsp (1.35), QuantLib.dsp (1.229):
VC6 catching up
2004-04-08 15:01 Luigi Ballabio
* ql/Instruments/Makefile.am (1.24), ql/Instruments/all.hpp (1.5),
ql/Instruments/europeanoption.cpp (1.1),
ql/Instruments/europeanoption.hpp (1.1),
test-suite/europeanoption.cpp (1.54), test-suite/jumpdiffusion.cpp
(1.15):
Added EuropeanOption (a vanilla option with a default engine)
2004-04-08 12:21 Ferdinando Ametrano
* Examples/: BermudanSwaption/BermudanSwaption.dsp (1.14),
DiscreteHedging/DiscreteHedging.dsp (1.16), Swap/Swap.dsp (1.15):
VC6 catching up
2004-04-08 12:17 Ferdinando Ametrano
* QuantLib.dsp (1.228):
VC6 catching up
2004-04-08 12:15 Luigi Ballabio
* ql/Makefile.am (1.54), QuantLib.spec.in (1.5):
Added version number to shared library
2004-04-08 10:14 Luigi Ballabio
* ql/: Pricers/mchimalaya.cpp (1.32), Pricers/mcmaxbasket.cpp
(1.29), Pricers/mcpagoda.cpp (1.31),
PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.15):
Some more cast removed
2004-04-08 10:13 Luigi Ballabio
* ql/Lattices/binomialtree.cpp (1.23):
Removed ambiguity in pow() overloading
2004-04-08 10:10 Luigi Ballabio
* ql/MonteCarlo/pathgenerator.hpp (1.56):
More concise expressions
2004-04-07 17:27 Ferdinando Ametrano
* ql/Math/array.hpp (1.4):
now the basic data formatters can be used
2004-04-07 17:26 Ferdinando Ametrano
* ql/: Makefile.am (1.53), makefile.mak (1.53):
dataformatters splitted in two files: basic and advanced.
2004-04-07 16:34 Ferdinando Ametrano
* ql/Lattices/binomialtree.cpp (1.22):
more robust code
2004-04-07 15:44 Ferdinando Ametrano
* Docs/pages/lattices.docs (1.7), ql/Lattices/binomialtree.hpp
(1.18), ql/Lattices/lattice.hpp (1.12), ql/Lattices/tree.hpp
(1.22):
formatting
2004-04-07 13:07 Ferdinando Ametrano
* QuantLib.vcproj (1.6), ql/solver1d.hpp (1.21),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.27),
ql/Instruments/capfloor.cpp (1.52),
ql/MonteCarlo/brownianbridge.hpp (1.17),
ql/MonteCarlo/getcovariance.hpp (1.17),
ql/MonteCarlo/multipathgenerator.hpp (1.48),
ql/MonteCarlo/pathgenerator.hpp (1.55), ql/Pricers/makefile.mak
(1.43), ql/Pricers/mcpricer.hpp (1.29),
ql/PricingEngines/mcsimulation.hpp (1.4),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.14),
ql/RandomNumbers/sobolrsg.cpp (1.27), ql/Solvers1D/bisection.hpp
(1.15), ql/Solvers1D/brent.hpp (1.15),
ql/Solvers1D/falseposition.hpp (1.14), ql/Solvers1D/newton.hpp
(1.15), ql/Solvers1D/newtonsafe.hpp (1.15), ql/Solvers1D/ridder.hpp
(1.14), ql/Solvers1D/secant.hpp (1.15),
ql/TermStructures/piecewiseflatforward.cpp (1.43),
test-suite/asianoptions.cpp (1.17), test-suite/barrieroption.cpp
(1.26), test-suite/covariance.cpp (1.18),
test-suite/distributions.cpp (1.15), test-suite/factorial.cpp
(1.12), test-suite/interpolations.cpp (1.16),
test-suite/lowdiscrepancysequences.cpp (1.43),
test-suite/old_pricers.cpp (1.39), test-suite/riskstats.cpp (1.32),
test-suite/stats.cpp (1.22):
warning avoided
2004-04-07 11:27 Luigi Ballabio
* ql/Pricers/Makefile.am (1.41), ql/Pricers/all.hpp (1.4),
test-suite/old_pricers.cpp (1.38):
FdDividendEuropeanOption wasn't Fd after all
2004-04-07 09:32 Ferdinando Ametrano
* Examples/: Swap/makefile.mak (1.20), DiscreteHedging/makefile.mak
(1.20), BermudanSwaption/makefile.mak (1.17):
removing unnecessary warning suppression
2004-04-07 09:31 Luigi Ballabio
* ql/: MonteCarlo/mctypedefs.hpp (1.31),
Pricers/mccliquetoption.cpp (1.23),
Pricers/mcdiscretearithmeticaso.cpp (1.26), Pricers/mceverest.cpp
(1.30), Pricers/mchimalaya.cpp (1.31), Pricers/mcmaxbasket.cpp
(1.28), Pricers/mcpagoda.cpp (1.30),
Pricers/mcperformanceoption.cpp (1.21),
PricingEngines/Basket/mcamericanbasketengine.cpp (1.17):
Deprecated RNG and MC typedefs
2004-04-06 18:25 Ferdinando Ametrano
* QuantLib.vcproj (1.5), ql/discretizedasset.hpp (1.8),
ql/FiniteDifferences/americancondition.hpp (1.21),
ql/FiniteDifferences/boundarycondition.hpp (1.13),
ql/Lattices/binomialtree.hpp (1.17), ql/Lattices/bsmlattice.hpp
(1.10), ql/Optimization/criteria.hpp (1.17),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.16),
ql/ShortRateModels/parameter.hpp (1.16),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.18),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.19), ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.12),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.18),
ql/Volatilities/localconstantvol.hpp (1.18),
test-suite/testsuite.vcproj (1.8):
warning avoided
2004-04-06 17:58 Ferdinando Ametrano
* QuantLib.vcproj (1.4),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.26),
ql/Instruments/capfloor.cpp (1.51),
ql/MonteCarlo/brownianbridge.hpp (1.16),
ql/MonteCarlo/multipathgenerator.hpp (1.47),
ql/MonteCarlo/pathgenerator.hpp (1.54), ql/Pricers/mchimalaya.cpp
(1.30), ql/Pricers/mcmaxbasket.cpp (1.27), ql/Pricers/mcpagoda.cpp
(1.29), ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.15),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.13),
ql/RandomNumbers/sobolrsg.cpp (1.26), ql/Solvers1D/brent.hpp
(1.14), ql/TermStructures/piecewiseflatforward.cpp (1.42),
test-suite/testsuite.vcproj (1.7):
warning avoided
2004-04-06 17:43 Ferdinando Ametrano
* ql/history.hpp (1.21):
warning avoided
2004-04-06 17:27 Ferdinando Ametrano
* test-suite/: asianoptions.cpp (1.16), capfloor.cpp (1.30),
factorial.cpp (1.11), old_pricers.cpp (1.37), swap.cpp (1.17),
swaption.cpp (1.22):
warning avoided
2004-04-06 17:22 Ferdinando Ametrano
* ql/: Lattices/binomialtree.cpp (1.21), Lattices/binomialtree.hpp
(1.16), PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.12):
warning avoided
2004-04-06 17:16 Ferdinando Ametrano
* ql/Pricers/makefile.mak (1.42):
catching up
2004-04-06 17:03 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.34),
ql/Pricers/Makefile.am (1.40), ql/Pricers/all.hpp (1.3),
test-suite/old_pricers.cpp (1.36):
Removed deprecated EuropeanOption
2004-04-06 17:02 Ferdinando Ametrano
* ql/RandomNumbers/: sobolrsg.cpp (1.25), sobolrsg.hpp (1.14):
warning avoided
2004-04-06 13:05 Ferdinando Ametrano
* ql/: history.hpp (1.20), Lattices/binomialtree.cpp (1.20),
Optimization/conjugategradient.cpp (1.20),
PricingEngines/Basket/mcamericanbasketengine.cpp (1.14):
warning avoided
2004-04-06 10:51 Ferdinando Ametrano
* ql/RandomNumbers/rngtraits.hpp (1.5):
warning avoided
2004-04-06 10:47 Ferdinando Ametrano
* ql/: TermStructures/compoundforward.cpp (1.33),
TermStructures/compoundforward.hpp (1.25),
TermStructures/discountcurve.hpp (1.24),
TermStructures/extendeddiscountcurve.cpp (1.8),
TermStructures/piecewiseflatforward.cpp (1.41),
TermStructures/piecewiseflatforward.hpp (1.35), MonteCarlo/path.hpp
(1.20):
warning avoided
2004-04-06 09:34 Ferdinando Ametrano
* QuantLib.sln (1.3),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.3),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.3),
Examples/Swap/Swap.vcproj (1.3), test-suite/testsuite.vcproj (1.6):
VC71 linking warning avoided
2004-04-05 17:52 Ferdinando Ametrano
* QuantLib.sln (1.2), QuantLib.vcproj (1.3),
Examples/BermudanSwaption/BermudanSwaption.vcproj (1.2),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.2),
Examples/Swap/Swap.vcproj (1.2), test-suite/makefile.mak (1.38),
test-suite/testsuite.vcproj (1.5):
updating VC71 files
2004-04-05 17:17 Ferdinando Ametrano
* ql/config.msvc.hpp (1.45):
typo-bug fixed
2004-04-05 17:12 Ferdinando Ametrano
* ql/makefile.mak (1.52):
wrapping text
2004-04-05 16:39 Ferdinando Ametrano
* QuantLib.dsp (1.227),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.13),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.15),
Examples/Swap/Swap.dsp (1.14):
Visual C++: added single thread configurations
2004-04-05 16:14 Ferdinando Ametrano
* QuantLib.dsp (1.226), makefile.mak (1.54), Examples/makefile.mak
(1.22), Examples/BermudanSwaption/BermudanSwaption.dsp (1.12),
Examples/BermudanSwaption/makefile.mak (1.16),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.14),
Examples/DiscreteHedging/makefile.mak (1.19),
Examples/Swap/Swap.dsp (1.13), Examples/Swap/makefile.mak (1.19),
ql/makefile.mak (1.51), ql/Calendars/makefile.mak (1.24),
ql/CashFlows/makefile.mak (1.21), ql/DayCounters/makefile.mak
(1.20), ql/FiniteDifferences/makefile.mak (1.20),
ql/Indexes/makefile.mak (1.18), ql/Instruments/makefile.mak (1.32),
ql/Lattices/makefile.mak (1.26), ql/Math/makefile.mak (1.36),
ql/Optimization/makefile.mak (1.18), ql/Pricers/makefile.mak
(1.41), ql/PricingEngines/makefile.mak (1.31),
ql/PricingEngines/Asian/makefile.mak (1.6),
ql/PricingEngines/Barrier/makefile.mak (1.8),
ql/PricingEngines/Basket/makefile.mak (1.7),
ql/PricingEngines/CapFloor/makefile.mak (1.6),
ql/PricingEngines/Cliquet/makefile.mak (1.6),
ql/PricingEngines/Swaption/makefile.mak (1.6),
ql/PricingEngines/Vanilla/makefile.mak (1.12),
ql/RandomNumbers/makefile.mak (1.26),
ql/ShortRateModels/makefile.mak (1.15),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.14),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.14),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.14),
ql/TermStructures/makefile.mak (1.23), ql/Volatilities/makefile.mak
(1.9), test-suite/europeanoption.cpp (1.53),
test-suite/makefile.mak (1.37), test-suite/testsuite.dsp (1.34):
1) Borland: ifndef _DEBUG define NDEBUG 2) Visual C++: added single
thread configurations
2004-04-05 14:48 Ferdinando Ametrano
* test-suite/interpolations.cpp (1.15):
please don't use error (and probably warning) in
BOOST_MESSAGE("..."): Visual C++ counts the "error" string in the
compilation output and reports non-existant errors.
2004-04-05 14:45 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.71):
Borland warning avoided
2004-04-05 14:42 Ferdinando Ametrano
* test-suite/interpolations.cpp (1.14):
please don't use error (and probably warning) in
BOOST_MESSAGE("..."): Visual C++ counts the "error" string in the
compilation output and reports non-existant errors.
2004-04-05 14:33 Ferdinando Ametrano
* ql/makefile.mak (1.50), makefile.mak (1.53):
ifndef _DEBUG define NDEBUG
2004-04-05 12:59 Luigi Ballabio
* Docs/Makefile.am (1.63), Docs/quantlibheader.html (1.21),
Docs/pages/datetime.docs (1.8), ql/calendar.hpp (1.33), ql/date.hpp
(1.27), ql/daycounter.hpp (1.27), ql/Calendars/jointcalendar.hpp
(1.6), ql/Calendars/nullcalendar.hpp (1.6), ql/Calendars/target.hpp
(1.18), ql/DayCounters/actual360.hpp (1.17),
ql/DayCounters/actualactual.hpp (1.21),
ql/DayCounters/simpledaycounter.hpp (1.5),
ql/DayCounters/thirty360.hpp (1.20):
Reworking documentation
2004-04-05 12:49 Ferdinando Ametrano
* Examples/: makefile.mak (1.21),
BermudanSwaption/BermudanSwaption.cpp (1.52),
DiscreteHedging/DiscreteHedging.cpp (1.33), Swap/swapvaluation.cpp
(1.47):
Borland warning avoided
2004-04-05 11:52 Luigi Ballabio
* ql/Instruments/asianoption.hpp (1.13),
ql/Instruments/barrieroption.hpp (1.24),
ql/Instruments/basketoption.hpp (1.7),
ql/Instruments/cliquetoption.hpp (1.8),
ql/Instruments/vanillaoption.hpp (1.44),
ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.3),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.8),
ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.7),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.11),
ql/PricingEngines/Basket/stulzengine.hpp (1.4),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp (1.2),
ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp (1.2),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp (1.2),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.5),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.4),
ql/PricingEngines/Vanilla/integralengine.hpp (1.3),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.11),
ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.7),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.10),
test-suite/jumpdiffusion.cpp (1.14):
Renamed some FooEngine to Foo::engine
2004-04-04 20:42 Ferdinando Ametrano
* ql/config.bcc.hpp (1.27):
working toward multiple Borland configuration support
2004-04-04 20:24 Ferdinando Ametrano
* makefile.mak (1.52), test-suite/makefile.mak (1.36):
setting test suite default parameters
2004-04-04 20:04 Ferdinando Ametrano
* test-suite/testsuite.dsp (1.33):
auto run providing: a) test failure handling similar to the
compilation error handling b) debugger break at the point of fatal
or system error failures
2004-04-04 19:54 Ferdinando Ametrano
* test-suite/Makefile.am (1.32):
old suggestion :-)
2004-04-04 19:27 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.70):
Visual C++ auto-link support
2004-04-04 18:28 Ferdinando Ametrano
* Examples/: makefile.mak (1.20),
BermudanSwaption/BermudanSwaption.dsp (1.11),
BermudanSwaption/makefile.mak (1.15),
DiscreteHedging/DiscreteHedging.dsp (1.13),
DiscreteHedging/makefile.mak (1.18), Swap/Swap.dsp (1.12),
Swap/makefile.mak (1.18):
a) working toward multiple Borland configuration support. b)
library created in the lib dir (no subfolder anymore).
2004-04-04 18:15 Ferdinando Ametrano
* QuantLib.dsp (1.225), test-suite/testsuite.dsp (1.32):
library created in the lib dir (no subfolder anymore)
2004-04-04 18:13 Ferdinando Ametrano
* makefile.mak (1.51):
working toward multiple Borland configuration support
2004-04-04 18:08 Ferdinando Ametrano
* ql/: .cvsignore (1.12), makefile.mak (1.49), Calendars/.cvsignore
(1.8), Calendars/makefile.mak (1.23), CashFlows/.cvsignore (1.8),
CashFlows/makefile.mak (1.20), DayCounters/.cvsignore (1.8),
DayCounters/makefile.mak (1.19), FiniteDifferences/.cvsignore
(1.8), FiniteDifferences/makefile.mak (1.19), Indexes/.cvsignore
(1.8), Indexes/makefile.mak (1.17), Instruments/.cvsignore (1.8),
Instruments/makefile.mak (1.31), Lattices/.cvsignore (1.8),
Lattices/makefile.mak (1.25), Math/.cvsignore (1.8),
Math/makefile.mak (1.35), MonteCarlo/.cvsignore (1.8),
Optimization/.cvsignore (1.8), Optimization/makefile.mak (1.17),
Pricers/.cvsignore (1.8), Pricers/makefile.mak (1.40),
PricingEngines/.cvsignore (1.8), PricingEngines/makefile.mak
(1.30), PricingEngines/Asian/.cvsignore (1.2),
PricingEngines/Asian/makefile.mak (1.5),
PricingEngines/Barrier/.cvsignore (1.2),
PricingEngines/Barrier/makefile.mak (1.7),
PricingEngines/Basket/.cvsignore (1.2),
PricingEngines/Basket/makefile.mak (1.6),
PricingEngines/CapFloor/.cvsignore (1.3),
PricingEngines/CapFloor/makefile.mak (1.5),
PricingEngines/Cliquet/.cvsignore (1.2),
PricingEngines/Cliquet/makefile.mak (1.5),
PricingEngines/Forward/.cvsignore (1.2),
PricingEngines/Forward/makefile.mak (1.4),
PricingEngines/Lookback/.cvsignore (1.2),
PricingEngines/Lookback/makefile.mak (1.4),
PricingEngines/Quanto/.cvsignore (1.2),
PricingEngines/Quanto/makefile.mak (1.4),
PricingEngines/Swaption/.cvsignore (1.3),
PricingEngines/Swaption/makefile.mak (1.5),
PricingEngines/Vanilla/.cvsignore (1.2),
PricingEngines/Vanilla/makefile.mak (1.11),
RandomNumbers/.cvsignore (1.8), RandomNumbers/makefile.mak (1.25),
ShortRateModels/.cvsignore (1.8), ShortRateModels/makefile.mak
(1.14), ShortRateModels/CalibrationHelpers/.cvsignore (1.8),
ShortRateModels/CalibrationHelpers/makefile.mak (1.13),
ShortRateModels/OneFactorModels/.cvsignore (1.8),
ShortRateModels/OneFactorModels/makefile.mak (1.13),
ShortRateModels/TwoFactorModels/.cvsignore (1.8),
ShortRateModels/TwoFactorModels/makefile.mak (1.13),
Solvers1D/.cvsignore (1.8), TermStructures/.cvsignore (1.8),
TermStructures/makefile.mak (1.22), Volatilities/.cvsignore (1.3),
Volatilities/makefile.mak (1.8):
working toward multiple Borland configuration support
2004-04-04 18:07 Ferdinando Ametrano
* ql/: config.msvc.hpp (1.44), config.bcc.hpp (1.26):
auto-link support
2004-04-04 18:04 Ferdinando Ametrano
* ql/qldefines.hpp (1.72):
code re-ordered. QL_LIB_NAME added (version string for output lib
name)
2004-04-04 17:59 Ferdinando Ametrano
* test-suite/: .cvsignore (1.12), makefile.mak (1.35):
working toward multiple Borland configuration support
2004-04-02 18:18 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.69):
Boost autolink not working on Borland (yet).
2004-04-02 18:02 Ferdinando Ametrano
* test-suite/: quantlibtestsuite.cpp (1.67), testsuite.vcproj
(1.4):
Boost autolink
2004-04-02 17:46 Ferdinando Ametrano
* test-suite/: quantlibtestsuite.cpp (1.66), testsuite.dsp (1.31):
Boost autolink
2004-04-02 16:23 Luigi Ballabio
* Docs/Makefile.am (1.62), Docs/quantlib.doxy (1.83),
Docs/pages/instruments.docs (1.11), ql/Instruments/asianoption.hpp
(1.12), ql/Instruments/barrieroption.hpp (1.23),
ql/Instruments/basketoption.hpp (1.6), ql/Instruments/capfloor.hpp
(1.47), ql/Instruments/forwardvanillaoption.hpp (1.24),
ql/Instruments/quantoforwardvanillaoption.hpp (1.18),
ql/Instruments/quantovanillaoption.hpp (1.25),
ql/Instruments/stock.hpp (1.15), ql/Instruments/swap.hpp (1.27),
ql/Instruments/swaption.hpp (1.37),
ql/Instruments/vanillaoption.hpp (1.43):
Reworking documentation
2004-04-02 14:38 Luigi Ballabio
* ql/PricingEngines/blackformula.hpp (1.16):
Removed dependency of CliquetOptionPricer from EuropeanOption
2004-04-01 17:56 Ferdinando Ametrano
* QuantLib.vcproj (1.2), ql/makefile.mak (1.48),
ql/PricingEngines/makefile.mak (1.29):
catching up
2004-04-01 17:16 Luigi Ballabio
* ql/qldefines.hpp (1.71):
Docs tweaked
2004-04-01 15:55 Luigi Ballabio
* ql/: Makefile.am (1.52), PricingEngines/Makefile.am (1.38),
PricingEngines/blackformula.cpp (1.1),
PricingEngines/blackformula.hpp (1.15),
PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.10),
PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.10),
ShortRateModels/Makefile.am (1.5):
Moved longish methods to cpp file
2004-04-01 14:13 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.32),
ql/MonteCarlo/multipathgenerator.hpp (1.46),
ql/MonteCarlo/pathgenerator.hpp (1.53),
ql/RandomNumbers/Makefile.am (1.16), ql/RandomNumbers/all.hpp
(1.3):
Removed deprecated RandomArrayGenerator
2004-04-01 12:12 Luigi Ballabio
* ql/MonteCarlo/mctraits.hpp (1.13), ql/MonteCarlo/mctypedefs.hpp
(1.30), ql/MonteCarlo/multipathgenerator.hpp (1.45),
ql/Pricers/mceverest.cpp (1.29), ql/Pricers/mceverest.hpp (1.22),
ql/Pricers/mchimalaya.cpp (1.29), ql/Pricers/mchimalaya.hpp (1.22),
ql/Pricers/mcmaxbasket.cpp (1.26), ql/Pricers/mcmaxbasket.hpp
(1.22), ql/Pricers/mcpagoda.cpp (1.28), ql/Pricers/mcpagoda.hpp
(1.23), ql/RandomNumbers/rngtraits.hpp (1.4),
test-suite/old_pricers.cpp (1.35):
Removed MultiPathGenerator_old
2004-03-31 16:48 Ferdinando Ametrano
* News.txt (1.36):
updated (too late...)
2004-03-31 13:25 Luigi Ballabio
* ql/Pricers/mccliquetoption.cpp (1.22):
Removed warning
2004-03-31 13:02 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.31),
ql/MonteCarlo/mctraits.hpp (1.12), ql/MonteCarlo/mctypedefs.hpp
(1.29), ql/MonteCarlo/pathgenerator.hpp (1.52),
ql/Pricers/mccliquetoption.cpp (1.21),
ql/Pricers/mccliquetoption.hpp (1.17),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.25),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.20),
ql/Pricers/mcperformanceoption.cpp (1.20),
ql/Pricers/mcperformanceoption.hpp (1.15),
ql/RandomNumbers/rngtraits.hpp (1.3), test-suite/old_pricers.cpp
(1.34), test-suite/utilities.cpp (1.7), test-suite/utilities.hpp
(1.10):
Removed deprecated PathGenerator_old
2004-03-30 17:46 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.30),
ql/MonteCarlo/mctraits.hpp (1.11), ql/MonteCarlo/pathpricer.hpp
(1.19), ql/Pricers/mccliquetoption.cpp (1.20),
ql/Pricers/mccliquetoption.hpp (1.16),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.24),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.19),
ql/Pricers/mceverest.cpp (1.28), ql/Pricers/mceverest.hpp (1.21),
ql/Pricers/mchimalaya.cpp (1.28), ql/Pricers/mchimalaya.hpp (1.21),
ql/Pricers/mcmaxbasket.cpp (1.25), ql/Pricers/mcmaxbasket.hpp
(1.21), ql/Pricers/mcpagoda.cpp (1.27), ql/Pricers/mcpagoda.hpp
(1.22), ql/Pricers/mcperformanceoption.cpp (1.19),
ql/Pricers/mcperformanceoption.hpp (1.14),
test-suite/old_pricers.cpp (1.33):
Removed deprecated PathPricer_old
2004-03-30 12:59 Luigi Ballabio
* ql/: MonteCarlo/pathpricer.hpp (1.18),
PricingEngines/Barrier/mcbarrierengine.cpp (1.4),
PricingEngines/Barrier/mcbarrierengine.hpp (1.7),
PricingEngines/Basket/mcbasketengine.cpp (1.3),
PricingEngines/Basket/mcbasketengine.hpp (1.10),
PricingEngines/Vanilla/mcdigitalengine.cpp (1.4),
PricingEngines/Vanilla/mcdigitalengine.hpp (1.8),
PricingEngines/Vanilla/mceuropeanengine.hpp (1.10):
Renamed argument and relaxed requirement
2004-03-30 12:58 Luigi Ballabio
* ql/: MonteCarlo/multipathgenerator.hpp (1.44),
RandomNumbers/boxmullergaussianrng.hpp (1.14),
RandomNumbers/centrallimitgaussianrng.hpp (1.14):
Removed deprecated constructors
2004-03-30 11:55 Ferdinando Ametrano
* ChangeLog.txt (1.44), News.txt (1.35), Docs/pages/overview.docs
(1.12):
updated
2004-03-30 11:02 Luigi Ballabio
* configure.ac (1.36), ql/userconfig.hpp (1.5):
File and line info in error messages is now the default
2004-03-30 10:50 Ferdinando Ametrano
* Examples/BermudanSwaption/makefile.mak (1.14),
Examples/DiscreteHedging/makefile.mak (1.17),
Examples/Swap/makefile.mak (1.17), ql/makefile.mak (1.47),
ql/Calendars/makefile.mak (1.22), ql/CashFlows/makefile.mak (1.19),
ql/DayCounters/makefile.mak (1.18),
ql/FiniteDifferences/makefile.mak (1.18), ql/Indexes/makefile.mak
(1.16), ql/Instruments/makefile.mak (1.30),
ql/Lattices/makefile.mak (1.24), ql/Math/makefile.mak (1.34),
ql/Optimization/makefile.mak (1.16), ql/Pricers/makefile.mak
(1.39), ql/PricingEngines/Asian/makefile.mak (1.4),
ql/PricingEngines/Barrier/makefile.mak (1.6),
ql/PricingEngines/Basket/makefile.mak (1.5),
ql/PricingEngines/CapFloor/makefile.mak (1.4),
ql/PricingEngines/Cliquet/makefile.mak (1.4),
ql/PricingEngines/Forward/makefile.mak (1.3),
ql/PricingEngines/Lookback/makefile.mak (1.3),
ql/PricingEngines/Quanto/makefile.mak (1.3),
ql/PricingEngines/Swaption/makefile.mak (1.4),
ql/PricingEngines/Vanilla/makefile.mak (1.10),
ql/RandomNumbers/makefile.mak (1.24),
ql/ShortRateModels/makefile.mak (1.13),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.12),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.12),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.12),
ql/TermStructures/makefile.mak (1.21), ql/Volatilities/makefile.mak
(1.7), test-suite/makefile.mak (1.34):
Boost test-suite for Borland
2004-03-29 18:50 Ferdinando Ametrano
* test-suite/makefile.mak (1.33):
Boost test-suite for Visual
2004-03-29 18:17 Ferdinando Ametrano
* Examples/BermudanSwaption/makefile.mak (1.13),
Examples/DiscreteHedging/makefile.mak (1.16),
Examples/Swap/makefile.mak (1.16), ql/makefile.mak (1.46),
ql/Calendars/makefile.mak (1.21), ql/CashFlows/makefile.mak (1.18),
ql/DayCounters/makefile.mak (1.17),
ql/FiniteDifferences/makefile.mak (1.17), ql/Indexes/makefile.mak
(1.15), ql/Instruments/makefile.mak (1.29),
ql/Lattices/makefile.mak (1.23), ql/Math/makefile.mak (1.33),
ql/Optimization/makefile.mak (1.15), ql/Pricers/makefile.mak
(1.38), ql/PricingEngines/Asian/makefile.mak (1.3),
ql/PricingEngines/Barrier/makefile.mak (1.5),
ql/PricingEngines/Basket/makefile.mak (1.4),
ql/PricingEngines/CapFloor/makefile.mak (1.3),
ql/PricingEngines/Cliquet/makefile.mak (1.3),
ql/PricingEngines/Forward/makefile.mak (1.2),
ql/PricingEngines/Lookback/makefile.mak (1.2),
ql/PricingEngines/Quanto/makefile.mak (1.2),
ql/PricingEngines/Swaption/makefile.mak (1.3),
ql/PricingEngines/Vanilla/makefile.mak (1.9),
ql/RandomNumbers/makefile.mak (1.23),
ql/ShortRateModels/makefile.mak (1.12),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.11),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.11),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.11),
ql/TermStructures/makefile.mak (1.20), ql/Volatilities/makefile.mak
(1.6), test-suite/makefile.mak (1.32), test-suite/testsuite.vcproj
(1.3):
Boost test-suite for Borland
2004-03-29 16:59 Luigi Ballabio
* test-suite/testsuite.dsp (1.30):
Boost libraries added to project
2004-03-29 15:57 Ferdinando Ametrano
* test-suite/testsuite.vcproj (1.2):
adding new files, removing old files
2004-03-29 15:56 Ferdinando Ametrano
* test-suite/: basketoption.cpp (1.20), lowdiscrepancysequences.cpp
(1.42):
avoiding Borland warnings
2004-03-29 15:11 Ferdinando Ametrano
* Readme.txt (1.20):
updated (especially with Boost info)
2004-03-29 14:45 Ferdinando Ametrano
* Examples/.cvsignore (1.1):
added support for VC 7
2004-03-29 14:15 Luigi Ballabio
* QuantLib.nsi (1.97), QuantLib.spec.in (1.4), configure.ac (1.35),
Docs/pages/install.docs (1.10), Docs/pages/overview.docs (1.11),
man/quantlib-test-suite.1 (1.3), test-suite/Makefile.am (1.31),
test-suite/README.txt (1.4), test-suite/americanoption.cpp (1.15),
test-suite/americanoption.hpp (1.3), test-suite/asianoptions.cpp
(1.15), test-suite/asianoptions.hpp (1.2),
test-suite/barrieroption.cpp (1.25), test-suite/barrieroption.hpp
(1.3), test-suite/basketoption.cpp (1.19),
test-suite/basketoption.hpp (1.5), test-suite/calendars.cpp (1.6),
test-suite/calendars.hpp (1.5), test-suite/capfloor.cpp (1.29),
test-suite/capfloor.hpp (1.7), test-suite/compoundforward.cpp
(1.12), test-suite/compoundforward.hpp (1.4),
test-suite/covariance.cpp (1.17), test-suite/covariance.hpp (1.7),
test-suite/dates.cpp (1.6), test-suite/dates.hpp (1.5),
test-suite/daycounters.cpp (1.8), test-suite/daycounters.hpp (1.6),
test-suite/digitaloption.cpp (1.21), test-suite/digitaloption.hpp
(1.6), test-suite/distributions.cpp (1.14),
test-suite/distributions.hpp (1.6), test-suite/europeanoption.cpp
(1.52), test-suite/europeanoption.hpp (1.12),
test-suite/factorial.cpp (1.10), test-suite/factorial.hpp (1.3),
test-suite/instruments.cpp (1.11), test-suite/instruments.hpp
(1.5), test-suite/integrals.cpp (1.8), test-suite/integrals.hpp
(1.6), test-suite/interpolations.cpp (1.13),
test-suite/interpolations.hpp (1.3), test-suite/jumpdiffusion.cpp
(1.13), test-suite/jumpdiffusion.hpp (1.4),
test-suite/lowdiscrepancysequences.cpp (1.41),
test-suite/lowdiscrepancysequences.hpp (1.9),
test-suite/makefile.mak (1.31), test-suite/matrices.cpp (1.17),
test-suite/matrices.hpp (1.8), test-suite/mersennetwister.cpp
(1.11), test-suite/mersennetwister.hpp (1.6),
test-suite/old_pricers.cpp (1.32), test-suite/old_pricers.hpp
(1.9), test-suite/operators.cpp (1.9), test-suite/operators.hpp
(1.5), test-suite/piecewiseflatforward.cpp (1.16),
test-suite/piecewiseflatforward.hpp (1.6),
test-suite/quantlibtestsuite.cpp (1.65), test-suite/quotes.cpp
(1.1), test-suite/quotes.hpp (1.1), test-suite/riskstats.cpp
(1.31), test-suite/riskstats.hpp (1.9), test-suite/solvers.cpp
(1.9), test-suite/solvers.hpp (1.5), test-suite/stats.cpp (1.21),
test-suite/stats.hpp (1.12), test-suite/swap.cpp (1.16),
test-suite/swap.hpp (1.5), test-suite/swaption.cpp (1.21),
test-suite/swaption.hpp (1.5), test-suite/termstructures.cpp
(1.15), test-suite/termstructures.hpp (1.6),
test-suite/utilities.cpp (1.6), test-suite/utilities.hpp (1.9):
Migrated test suite to Boost unit-test framework
2004-03-29 12:30 Ferdinando Ametrano
* .cvsignore (1.10), Makefile.am (1.86), QuantLib.nsi (1.96),
QuantLib.sln (1.1), QuantLib.vcproj (1.1), Examples/Makefile.am
(1.21), Examples/BermudanSwaption/BermudanSwaption.vcproj (1.1),
Examples/BermudanSwaption/Makefile.am (1.10),
Examples/DiscreteHedging/DiscreteHedging.vcproj (1.1),
Examples/DiscreteHedging/Makefile.am (1.17),
Examples/Swap/Makefile.am (1.12), Examples/Swap/Swap.vcproj (1.1),
test-suite/Makefile.am (1.30), test-suite/testsuite.vcproj (1.1):
added support for VC 7
2004-03-29 12:13 Ferdinando Ametrano
* test-suite/interpolations.cpp (1.12):
higher tolerance required for VC 7 + boost on my dual processor
Win2000
2004-03-26 10:59 Luigi Ballabio
* dev_tools/version_number.txt (1.38):
Added missing files
2004-03-25 17:52 Luigi Ballabio
* quantlib.el (1.4), Docs/pages/coreclasses.docs (1.9),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.51),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.29),
Examples/Swap/swapvaluation.cpp (1.46), ql/calendar.hpp (1.32),
ql/daycounter.hpp (1.26), ql/discretizedasset.hpp (1.7),
ql/instrument.hpp (1.31), ql/numericalmethod.hpp (1.14),
ql/option.hpp (1.27), ql/qldefines.hpp (1.70),
ql/Calendars/jointcalendar.cpp (1.9), ql/Calendars/nullcalendar.hpp
(1.5), ql/Calendars/target.hpp (1.17),
ql/CashFlows/cashflowvectors.cpp (1.31),
ql/CashFlows/cashflowvectors.hpp (1.25),
ql/CashFlows/inarrearindexedcoupon.hpp (1.12),
ql/CashFlows/indexedcoupon.hpp (1.12), ql/CashFlows/parcoupon.cpp
(1.9), ql/CashFlows/parcoupon.hpp (1.9),
ql/CashFlows/shortfloatingcoupon.cpp (1.16),
ql/CashFlows/shortfloatingcoupon.hpp (1.17),
ql/CashFlows/shortindexedcoupon.hpp (1.11),
ql/CashFlows/upfrontindexedcoupon.hpp (1.11),
ql/DayCounters/actual360.hpp (1.16),
ql/DayCounters/actualactual.cpp (1.24),
ql/DayCounters/actualactual.hpp (1.20),
ql/DayCounters/simpledaycounter.hpp (1.4),
ql/DayCounters/thirty360.cpp (1.17), ql/DayCounters/thirty360.hpp
(1.19), ql/FiniteDifferences/americancondition.hpp (1.20),
ql/FiniteDifferences/cranknicolson.hpp (1.19),
ql/FiniteDifferences/expliciteuler.hpp (1.15),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.28),
ql/FiniteDifferences/impliciteuler.hpp (1.14),
ql/FiniteDifferences/mixedscheme.hpp (1.13),
ql/FiniteDifferences/onefactoroperator.hpp (1.18),
ql/FiniteDifferences/shoutcondition.hpp (1.17),
ql/FiniteDifferences/stepcondition.hpp (1.13),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.31),
ql/Indexes/xibor.hpp (1.21), ql/Instruments/asianoption.cpp (1.11),
ql/Instruments/asianoption.hpp (1.11),
ql/Instruments/barrieroption.cpp (1.25),
ql/Instruments/barrieroption.hpp (1.22),
ql/Instruments/basketoption.cpp (1.5),
ql/Instruments/basketoption.hpp (1.5), ql/Instruments/capfloor.cpp
(1.50), ql/Instruments/capfloor.hpp (1.46),
ql/Instruments/forwardvanillaoption.cpp (1.26),
ql/Instruments/forwardvanillaoption.hpp (1.23),
ql/Instruments/multiassetoption.cpp (1.5),
ql/Instruments/multiassetoption.hpp (1.5),
ql/Instruments/oneassetoption.cpp (1.7),
ql/Instruments/oneassetoption.hpp (1.8),
ql/Instruments/oneassetstrikedoption.cpp (1.12),
ql/Instruments/oneassetstrikedoption.hpp (1.11),
ql/Instruments/quantoforwardvanillaoption.cpp (1.21),
ql/Instruments/quantoforwardvanillaoption.hpp (1.17),
ql/Instruments/quantovanillaoption.cpp (1.28),
ql/Instruments/quantovanillaoption.hpp (1.24),
ql/Instruments/swap.cpp (1.32), ql/Instruments/swap.hpp (1.26),
ql/Instruments/swaption.cpp (1.41), ql/Instruments/swaption.hpp
(1.36), ql/Instruments/vanillaoption.cpp (1.44),
ql/Instruments/vanillaoption.hpp (1.42),
ql/Lattices/binomialtree.cpp (1.19), ql/Lattices/binomialtree.hpp
(1.15), ql/Lattices/bsmlattice.hpp (1.9), ql/Lattices/lattice.hpp
(1.11), ql/Lattices/lattice2d.hpp (1.9),
ql/Lattices/trinomialtree.cpp (1.20), ql/Lattices/trinomialtree.hpp
(1.12), ql/Math/bicubicsplineinterpolation.hpp (1.16),
ql/Math/bilinearinterpolation.hpp (1.20), ql/Math/cubicspline.hpp
(1.46), ql/Math/linearinterpolation.hpp (1.24),
ql/Math/loglinearinterpolation.hpp (1.24),
ql/MonteCarlo/brownianbridge.hpp (1.15),
ql/MonteCarlo/montecarlomodel.hpp (1.31),
ql/MonteCarlo/multipathgenerator.hpp (1.43),
ql/MonteCarlo/pathgenerator.hpp (1.51),
ql/Optimization/conjugategradient.hpp (1.18),
ql/Optimization/constraint.hpp (1.19),
ql/Optimization/leastsquare.hpp (1.26),
ql/Optimization/steepestdescent.hpp (1.19), ql/Patterns/bridge.hpp
(1.10), ql/Patterns/composite.hpp (1.5), ql/Patterns/observable.hpp
(1.19), ql/Pricers/discretegeometricaso.hpp (1.14),
ql/Pricers/mccliquetoption.cpp (1.19),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.23),
ql/Pricers/mceverest.cpp (1.27), ql/Pricers/mchimalaya.cpp (1.27),
ql/Pricers/mcmaxbasket.cpp (1.24), ql/Pricers/mcpagoda.cpp (1.26),
ql/Pricers/mcperformanceoption.cpp (1.18), ql/Pricers/mcpricer.hpp
(1.28), ql/Pricers/singleassetoption.cpp (1.27),
ql/Pricers/singleassetoption.hpp (1.33),
ql/PricingEngines/americanpayoffatexpiry.hpp (1.5),
ql/PricingEngines/americanpayoffathit.hpp (1.7),
ql/PricingEngines/blackformula.hpp (1.14),
ql/PricingEngines/genericmodelengine.hpp (1.3),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.10),
ql/PricingEngines/mcsimulation.hpp (1.3),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.8),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.3),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.6),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.13),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.9),
ql/PricingEngines/Basket/stulzengine.cpp (1.12),
ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.3),
ql/PricingEngines/Forward/forwardengine.hpp (1.3),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.2),
ql/PricingEngines/Quanto/quantoengine.hpp (1.3),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.4),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.12),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.9),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.4),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.9),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.6),
ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.3),
ql/PricingEngines/Vanilla/integralengine.cpp (1.4),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.10),
ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.6),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.3),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.7),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.9),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.9),
ql/ShortRateModels/calibrationhelper.hpp (1.18),
ql/ShortRateModels/model.cpp (1.21), ql/ShortRateModels/model.hpp
(1.27), ql/ShortRateModels/onefactormodel.cpp (1.16),
ql/ShortRateModels/onefactormodel.hpp (1.15),
ql/ShortRateModels/parameter.hpp (1.15),
ql/ShortRateModels/twofactormodel.cpp (1.12),
ql/ShortRateModels/twofactormodel.hpp (1.11),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.29),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.14),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.28),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.12),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.17),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.12),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.21),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.17),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.21),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.18), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.19),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.17),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.11),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.17),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.17),
ql/TermStructures/compoundforward.cpp (1.32),
ql/TermStructures/compoundforward.hpp (1.24),
ql/TermStructures/extendeddiscountcurve.cpp (1.7),
ql/TermStructures/extendeddiscountcurve.hpp (1.7),
ql/TermStructures/flatforward.hpp (1.32),
ql/TermStructures/piecewiseflatforward.cpp (1.40),
ql/TermStructures/piecewiseflatforward.hpp (1.34),
ql/TermStructures/ratehelpers.cpp (1.43),
ql/TermStructures/ratehelpers.hpp (1.37),
ql/Volatilities/blackconstantvol.hpp (1.21),
ql/Volatilities/localconstantvol.hpp (1.17),
ql/Volatilities/localvolsurface.cpp (1.9),
test-suite/americanoption.cpp (1.14), test-suite/asianoptions.cpp
(1.14), test-suite/barrieroption.cpp (1.24),
test-suite/basketoption.cpp (1.18), test-suite/capfloor.cpp (1.28),
test-suite/compoundforward.cpp (1.11), test-suite/digitaloption.cpp
(1.20), test-suite/europeanoption.cpp (1.51),
test-suite/instruments.cpp (1.10), test-suite/jumpdiffusion.cpp
(1.12), test-suite/piecewiseflatforward.cpp (1.15),
test-suite/swap.cpp (1.15), test-suite/swaption.cpp (1.20),
test-suite/termstructures.cpp (1.14), test-suite/utilities.cpp
(1.5), test-suite/utilities.hpp (1.8):
boost::shared_ptr used throughout instead of Handle
2004-03-24 12:55 Ferdinando Ametrano
* QuantLib.nsi (1.95), configure.ac (1.34), Docs/quantlib.doxy
(1.82), dev_tools/version_number.txt (1.37):
bumping up version number
2004-03-24 11:53 Luigi Ballabio
* acinclude.m4 (1.9),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.50),
Examples/Swap/swapvaluation.cpp (1.45), ql/errors.cpp (1.2),
ql/errors.hpp (1.17), ql/handle.hpp (1.19), ql/qldefines.hpp
(1.69), ql/userconfig.hpp (1.4), ql/Instruments/capfloor.cpp
(1.49), ql/Instruments/swap.cpp (1.31), ql/Math/cubicspline.hpp
(1.45), ql/PricingEngines/americanpayoffatexpiry.hpp (1.4),
ql/PricingEngines/americanpayoffathit.hpp (1.6),
ql/PricingEngines/blackformula.hpp (1.13),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.7),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.5),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.12),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.8),
ql/PricingEngines/Basket/stulzengine.cpp (1.11),
ql/PricingEngines/Forward/forwardengine.hpp (1.2),
ql/PricingEngines/Quanto/quantoengine.hpp (1.2),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.3),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.11),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.8),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.3),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.8),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.5),
ql/PricingEngines/Vanilla/integralengine.cpp (1.3),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.9),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.6),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.8),
ql/ShortRateModels/model.cpp (1.20),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.16),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.20), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.18),
ql/TermStructures/ratehelpers.cpp (1.42), test-suite/utilities.cpp
(1.4):
Boost is now mandatory
2004-03-24 11:43 Ferdinando Ametrano
* Docs/pages/overview.docs (1.10):
updated
2004-03-24 10:54 Ferdinando Ametrano
* dev_tools/tgz2zip (1.3):
doesn't convert Unix files anymore
2004-03-22 10:57 Ferdinando Ametrano
* ql/: qldefines.hpp (1.68), quantlib.hpp (1.146), userconfig.hpp
(1.3), Math/pseudosqrt.hpp (1.3), MonteCarlo/multipathgenerator.hpp
(1.42), Optimization/method.hpp (1.13), ShortRateModels/model.hpp
(1.26):
removing some deprecated stuff
2004-03-22 10:13 Ferdinando Ametrano
* dev_tools/branching_and_merging.txt (1.3):
error fixed
2004-03-22 10:11 Ferdinando Ametrano
* ChangeLog.txt (1.43), News.txt (1.34), QuantLib.dsp (1.223),
QuantLib.nsi (1.94), QuantLib.spec.in (1.3), configure.ac (1.33):
R000305f0-branch-merge1 merged into trunk
2004-03-22 10:07 Ferdinando Ametrano
* test-suite/americanoption.cpp (1.13), test-suite/basketoption.cpp
(1.17), test-suite/capfloor.cpp (1.27),
test-suite/compoundforward.cpp (1.10),
test-suite/europeanoption.cpp (1.50), test-suite/factorial.cpp
(1.9), test-suite/interpolations.cpp (1.11),
test-suite/interpolations.hpp (1.2), test-suite/jumpdiffusion.cpp
(1.11), test-suite/lowdiscrepancysequences.cpp (1.40),
test-suite/old_pricers.cpp (1.31), test-suite/quantlibtestsuite.cpp
(1.64), test-suite/swaption.cpp (1.19),
Examples/Swap/swapvaluation.cpp (1.44), Docs/.cvsignore (1.4),
Docs/Makefile.am (1.61), Docs/README.txt (1.26), Docs/quantlib.doxy
(1.81), Docs/quantlibheader.html (1.20), Docs/pages/authors.docs
(1.26), Docs/pages/coreclasses.docs (1.8),
Docs/pages/currencies.docs (1.7), Docs/pages/datetime.docs (1.7),
Docs/pages/findiff.docs (1.9), Docs/pages/fixedincome.docs (1.11),
Docs/pages/history.docs (1.14), Docs/pages/index.docs (1.9),
Docs/pages/install.docs (1.9), Docs/pages/instruments.docs (1.10),
Docs/pages/lattices.docs (1.6), Docs/pages/license.docs (1.16),
Docs/pages/math.docs (1.10), Docs/pages/mcarlo.docs (1.15),
Docs/pages/overview.docs (1.9), Docs/pages/patterns.docs (1.6),
Docs/pages/resources.docs (1.7), Docs/pages/termstructures.docs
(1.6), Docs/pages/usage.docs (1.14), Docs/pages/utilities.docs
(1.8), Docs/pages/where.docs (1.8), dev_tools/developers (1.2),
ql/Makefile.am (1.51), ql/calendar.cpp (1.18), ql/calendar.hpp
(1.31), ql/config.bcc.hpp (1.25), ql/config.msvc.hpp (1.43),
ql/core.hpp (1.3), ql/date.cpp (1.31), ql/discretizedasset.cpp
(1.5), ql/exercise.cpp (1.8), ql/exercise.hpp (1.30),
ql/makefile.mak (1.45), ql/numericalmethod.hpp (1.13),
ql/option.hpp (1.26), ql/payoff.hpp (1.10), ql/qldefines.hpp
(1.67), ql/quantlib.hpp (1.145), ql/solver1d.hpp (1.20),
ql/swaptionvolstructure.hpp (1.10), ql/termstructure.hpp (1.38),
ql/voltermstructure.cpp (1.14), ql/voltermstructure.hpp (1.21),
ql/Calendars/jointcalendar.cpp (1.8), ql/Calendars/nullcalendar.hpp
(1.4), ql/Calendars/target.cpp (1.16),
ql/CashFlows/cashflowvectors.cpp (1.30),
ql/CashFlows/fixedratecoupon.hpp (1.21),
ql/CashFlows/floatingratecoupon.hpp (1.30),
ql/CashFlows/inarrearindexedcoupon.hpp (1.11),
ql/CashFlows/indexedcoupon.hpp (1.11), ql/CashFlows/parcoupon.cpp
(1.8), ql/CashFlows/shortfloatingcoupon.cpp (1.15),
ql/CashFlows/shortfloatingcoupon.hpp (1.16),
ql/CashFlows/shortindexedcoupon.hpp (1.10),
ql/CashFlows/timebasket.cpp (1.4), ql/DayCounters/actualactual.cpp
(1.23), ql/DayCounters/simpledaycounter.cpp (1.4),
ql/DayCounters/thirty360.cpp (1.16),
ql/FiniteDifferences/americancondition.hpp (1.19),
ql/FiniteDifferences/boundarycondition.cpp (1.8),
ql/FiniteDifferences/bsmoperator.cpp (1.15),
ql/FiniteDifferences/mixedscheme.hpp (1.12),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.25),
ql/Indexes/audlibor.hpp (1.13), ql/Indexes/cadlibor.hpp (1.13),
ql/Indexes/chflibor.hpp (1.11), ql/Indexes/jpylibor.hpp (1.12),
ql/Indexes/xibor.cpp (1.17), ql/Instruments/asianoption.cpp (1.10),
ql/Instruments/barrieroption.cpp (1.24),
ql/Instruments/barrieroption.hpp (1.21),
ql/Instruments/basketoption.cpp (1.4),
ql/Instruments/basketoption.hpp (1.4), ql/Instruments/capfloor.cpp
(1.48), ql/Instruments/capfloor.hpp (1.45),
ql/Instruments/cliquetoption.hpp (1.7),
ql/Instruments/forwardvanillaoption.cpp (1.25),
ql/Instruments/forwardvanillaoption.hpp (1.22),
ql/Instruments/multiassetoption.cpp (1.4),
ql/Instruments/multiassetoption.hpp (1.4),
ql/Instruments/oneassetoption.cpp (1.6),
ql/Instruments/oneassetoption.hpp (1.7),
ql/Instruments/oneassetstrikedoption.cpp (1.11),
ql/Instruments/payoffs.hpp (1.8),
ql/Instruments/quantoforwardvanillaoption.cpp (1.20),
ql/Instruments/quantovanillaoption.cpp (1.27),
ql/Instruments/quantovanillaoption.hpp (1.23),
ql/Instruments/stock.cpp (1.16), ql/Instruments/swap.cpp (1.30),
ql/Instruments/swaption.cpp (1.40), ql/Instruments/swaption.hpp
(1.35), ql/Instruments/vanillaoption.cpp (1.43),
ql/Lattices/binomialtree.cpp (1.18), ql/Lattices/binomialtree.hpp
(1.14), ql/Lattices/tree.hpp (1.21), ql/Lattices/trinomialtree.cpp
(1.19), ql/Math/beta.cpp (1.4),
ql/Math/bicubicsplineinterpolation.hpp (1.15),
ql/Math/bilinearinterpolation.hpp (1.19),
ql/Math/binomialdistribution.hpp (1.5),
ql/Math/bivariatenormaldistribution.cpp (1.6),
ql/Math/bivariatenormaldistribution.hpp (1.3),
ql/Math/chisquaredistribution.cpp (1.11),
ql/Math/choleskydecomposition.cpp (1.2), ql/Math/cubicspline.hpp
(1.44), ql/Math/discrepancystatistics.cpp (1.7),
ql/Math/errorfunction.cpp (1.6), ql/Math/errorfunction.hpp (1.6),
ql/Math/factorial.cpp (1.4), ql/Math/factorial.hpp (1.3),
ql/Math/gammadistribution.cpp (1.10),
ql/Math/gaussianstatistics.hpp (1.14),
ql/Math/generalstatistics.cpp (1.11), ql/Math/generalstatistics.hpp
(1.12), ql/Math/incompletegamma.cpp (1.3),
ql/Math/incrementalstatistics.cpp (1.8),
ql/Math/incrementalstatistics.hpp (1.7), ql/Math/interpolation.hpp
(1.26), ql/Math/interpolation2D.hpp (1.16),
ql/Math/linearinterpolation.hpp (1.23),
ql/Math/loglinearinterpolation.hpp (1.23), ql/Math/makefile.mak
(1.32), ql/Math/matrix.hpp (1.27), ql/Math/normaldistribution.cpp
(1.23), ql/Math/primenumbers.cpp (1.12), ql/Math/pseudosqrt.cpp
(1.2), ql/Math/pseudosqrt.hpp (1.2), ql/Math/riskstatistics.hpp
(1.8), ql/Math/simpsonintegral.hpp (1.5), ql/Math/svd.cpp (1.7),
ql/Math/svd.hpp (1.8), ql/Math/symmetricschurdecomposition.cpp
(1.17), ql/MonteCarlo/Makefile.am (1.31), ql/MonteCarlo/all.hpp
(1.4), ql/MonteCarlo/getcovariance.hpp (1.16),
ql/MonteCarlo/makefile.mak (1.29), ql/MonteCarlo/mctraits.hpp
(1.10), ql/MonteCarlo/multipath.hpp (1.19),
ql/MonteCarlo/multipathgenerator.hpp (1.41), ql/MonteCarlo/path.hpp
(1.19), ql/Optimization/armijo.cpp (1.18),
ql/Optimization/armijo.hpp (1.18),
ql/Optimization/conjugategradient.cpp (1.19),
ql/Optimization/constraint.hpp (1.18), ql/Optimization/criteria.hpp
(1.16), ql/Optimization/leastsquare.hpp (1.25),
ql/Optimization/method.hpp (1.12), ql/Optimization/simplex.cpp
(1.11), ql/Optimization/simplex.hpp (1.15),
ql/Optimization/steepestdescent.cpp (1.17), ql/Patterns/bridge.hpp
(1.9), ql/Patterns/composite.hpp (1.4), ql/Patterns/visitor.hpp
(1.7), ql/Pricers/Makefile.am (1.39), ql/Pricers/all.hpp (1.2),
ql/Pricers/core.hpp (1.2), ql/Pricers/discretegeometricaso.cpp
(1.16), ql/Pricers/discretegeometricaso.hpp (1.13),
ql/Pricers/makefile.mak (1.37), ql/Pricers/mccliquetoption.cpp
(1.18), ql/Pricers/mcdiscretearithmeticaso.cpp (1.22),
ql/Pricers/mceverest.cpp (1.26), ql/Pricers/mchimalaya.cpp (1.26),
ql/Pricers/mcmaxbasket.cpp (1.23), ql/Pricers/mcpagoda.cpp (1.25),
ql/Pricers/mcperformanceoption.cpp (1.17),
ql/Pricers/singleassetoption.cpp (1.26),
ql/PricingEngines/Makefile.am (1.37), ql/PricingEngines/all.hpp
(1.7), ql/PricingEngines/americanpayoffatexpiry.hpp (1.3),
ql/PricingEngines/americanpayoffathit.hpp (1.5),
ql/PricingEngines/blackformula.hpp (1.12),
ql/PricingEngines/blackmodel.hpp (1.2), ql/PricingEngines/core.hpp
(1.5), ql/PricingEngines/genericmodelengine.hpp (1.2),
ql/PricingEngines/mcsimulation.hpp (1.2),
ql/PricingEngines/Barrier/Makefile.am (1.6),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.6),
ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.2),
ql/PricingEngines/Barrier/makefile.mak (1.4),
ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.2),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.4),
ql/PricingEngines/Basket/Makefile.am (1.4),
ql/PricingEngines/Basket/makefile.mak (1.3),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.11),
ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.6),
ql/PricingEngines/Basket/mcbasketengine.cpp (1.2),
ql/PricingEngines/Basket/mcbasketengine.hpp (1.7),
ql/PricingEngines/Basket/stulzengine.cpp (1.10),
ql/PricingEngines/Basket/stulzengine.hpp (1.3),
ql/PricingEngines/CapFloor/.cvsignore (1.2),
ql/PricingEngines/CapFloor/Makefile.am (1.2),
ql/PricingEngines/CapFloor/all.hpp (1.2),
ql/PricingEngines/CapFloor/makefile.mak (1.2),
ql/PricingEngines/Cliquet/Makefile.am (1.5),
ql/PricingEngines/Cliquet/makefile.mak (1.2),
ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.2),
ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.2),
ql/PricingEngines/Swaption/.cvsignore (1.2),
ql/PricingEngines/Swaption/Makefile.am (1.2),
ql/PricingEngines/Swaption/all.hpp (1.2),
ql/PricingEngines/Swaption/makefile.mak (1.2),
ql/PricingEngines/Vanilla/Makefile.am (1.12),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.2),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.10),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.7),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.7),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.3),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.4),
ql/PricingEngines/Vanilla/integralengine.cpp (1.2),
ql/PricingEngines/Vanilla/integralengine.hpp (1.2),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.8),
ql/PricingEngines/Vanilla/makefile.mak (1.8),
ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.2),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.5),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.7),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.8),
ql/RandomNumbers/Makefile.am (1.15), ql/RandomNumbers/all.hpp
(1.2), ql/RandomNumbers/haltonrsg.cpp (1.13),
ql/RandomNumbers/knuthuniformrng.cpp (1.11),
ql/RandomNumbers/lecuyeruniformrng.cpp (1.11),
ql/RandomNumbers/mt19937uniformrng.cpp (1.9),
ql/RandomNumbers/rngtraits.hpp (1.2), ql/RandomNumbers/sobolrsg.cpp
(1.24), ql/ShortRateModels/calibrationhelper.cpp (1.9),
ql/ShortRateModels/calibrationhelper.hpp (1.17),
ql/ShortRateModels/model.cpp (1.19),
ql/ShortRateModels/onefactormodel.cpp (1.15),
ql/ShortRateModels/parameter.hpp (1.14),
ql/ShortRateModels/twofactormodel.cpp (1.11),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.28),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.27),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.15),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.20),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.16),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.19), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.17),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.16),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.11),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.10),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.16),
ql/Solvers1D/bisection.hpp (1.14), ql/Solvers1D/secant.hpp (1.14),
ql/TermStructures/compoundforward.cpp (1.31),
ql/TermStructures/extendeddiscountcurve.cpp (1.6),
ql/TermStructures/piecewiseflatforward.cpp (1.39),
ql/TermStructures/ratehelpers.cpp (1.41),
ql/TermStructures/ratehelpers.hpp (1.36),
ql/Utilities/steppingiterator.hpp (1.14),
ql/Volatilities/blackvariancecurve.cpp (1.9),
ql/Volatilities/blackvariancecurve.hpp (1.27),
ql/Volatilities/blackvariancesurface.cpp (1.9),
ql/Volatilities/blackvariancesurface.hpp (1.29),
ql/Volatilities/localvolsurface.cpp (1.8),
ql/Volatilities/localvolsurface.hpp (1.17),
ql/Volatilities/swaptionvolmatrix.hpp (1.20):
R000305f0-branch-merge1 merged into trunk
2004-03-21 17:18 Luigi Ballabio
* ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.1):
file mcbarrierengine.cpp was initially added on branch
R000305f0-branch.
2004-03-21 17:18 Luigi Ballabio
* ql/PricingEngines/Basket/mcbasketengine.cpp (1.1):
file mcbasketengine.cpp was initially added on branch
R000305f0-branch.
2004-03-21 17:18 Luigi Ballabio
* ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.1):
file mccliquetengine.cpp was initially added on branch
R000305f0-branch.
2004-03-21 17:18 Luigi Ballabio
* ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.1):
file mcdigitalengine.cpp was initially added on branch
R000305f0-branch.
2004-03-18 18:14 Ferdinando Ametrano
* ql/RandomNumbers/rngtraits.hpp (1.1):
file rngtraits.hpp was initially added on branch R000305f0-branch.
2004-03-18 13:03 Ferdinando Ametrano
* ql/PricingEngines/: CapFloor/makefile.mak (1.1),
Swaption/makefile.mak (1.1):
file makefile.mak was initially added on branch R000305f0-branch.
2004-03-18 13:03 Ferdinando Ametrano
* ql/PricingEngines/: CapFloor/.cvsignore (1.1),
Swaption/.cvsignore (1.1):
file .cvsignore was initially added on branch R000305f0-branch.
2004-03-18 13:03 Ferdinando Ametrano
* ql/PricingEngines/: CapFloor/Makefile.am (1.1),
Swaption/Makefile.am (1.1):
file Makefile.am was initially added on branch R000305f0-branch.
2004-03-18 13:03 Ferdinando Ametrano
* ql/PricingEngines/: CapFloor/all.hpp (1.1), Swaption/all.hpp
(1.1):
file all.hpp was initially added on branch R000305f0-branch.
2004-03-18 13:03 Ferdinando Ametrano
* ql/PricingEngines/blackmodel.hpp (1.1):
file blackmodel.hpp was initially added on branch R000305f0-branch.
2004-03-11 11:42 Luigi Ballabio
* QuantLib.nsi (1.93), configure.ac (1.32), Docs/quantlib.doxy
(1.80), dev_tools/version_number.txt (1.36), ql/qldefines.hpp
(1.66), ql/Instruments/oneassetstrikedoption.cpp (1.10),
ql/Instruments/oneassetstrikedoption.hpp (1.10),
ql/Math/Makefile.am (1.38), ql/Math/all.hpp (1.2),
ql/Math/choleskydecomposition.cpp (1.1),
ql/Math/choleskydecomposition.hpp (1.1), ql/Math/cubicspline.hpp
(1.43), ql/Math/matrix.hpp (1.26), ql/Math/pseudosqrt.cpp (1.1),
ql/Math/pseudosqrt.hpp (1.1),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.9),
ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.5),
ql/PricingEngines/Vanilla/Makefile.am (1.11),
ql/PricingEngines/Vanilla/all.hpp (1.3),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.1),
ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp (1.1),
test-suite/covariance.cpp (1.16), test-suite/digitaloption.cpp
(1.19), test-suite/matrices.cpp (1.16):
Preparing for branch
2004-03-11 10:52 Ferdinando Ametrano
* ql/Math/cubicspline.hpp (1.42), test-suite/interpolations.cpp
(1.10):
more references for the spline interpolation
2004-03-10 19:21 Neil Firth
* ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.8):
bug fixes for laguerre and legendre basis functions not in test
cases
2004-03-10 15:22 Ferdinando Ametrano
* ql/Math/cubicspline.hpp (1.41):
final touches for (cubic) interpolation
2004-03-09 13:39 Luigi Ballabio
* ql/: Math/bicubicsplineinterpolation.hpp (1.14),
Math/bilinearinterpolation.hpp (1.18), Math/cubicspline.hpp (1.40),
Math/interpolation.hpp (1.25), Math/interpolation2D.hpp (1.15),
Math/linearinterpolation.hpp (1.22),
Math/loglinearinterpolation.hpp (1.22),
Volatilities/blackvariancesurface.cpp (1.8),
Volatilities/blackvariancesurface.hpp (1.28),
Volatilities/swaptionvolmatrix.hpp (1.19):
Hidden templatization in 2-D interpolations
2004-03-08 16:45 Luigi Ballabio
* ql/Math/interpolation.hpp (1.23):
Workaround for VC++
2004-03-08 16:27 Luigi Ballabio
* ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.7),
test-suite/basketoption.cpp (1.16):
Fixes for g++
2004-03-08 14:32 Ferdinando Ametrano
* test-suite/: basketoption.cpp (1.15), interpolations.cpp (1.9):
commenting out unused variable, in order to avoid Borland warning
2004-03-08 14:26 Ferdinando Ametrano
* ql/Math/linearinterpolation.hpp (1.21):
commenting out unused variable, in order to avoid Borland warning
2004-03-08 13:26 Neil Firth
* ql/PricingEngines/Basket/: mcamericanbasketengine.cpp (1.6),
mcamericanbasketengine.hpp (1.4):
simplified class and increased number of types of basis function
2004-03-08 13:21 Neil Firth
* test-suite/: basketoption.cpp (1.14), basketoption.hpp (1.4):
included some additional tests
2004-03-08 12:12 Luigi Ballabio
* ql/Math/bicubicsplineinterpolation.hpp (1.13),
ql/Math/cubicspline.hpp (1.39), ql/Math/interpolation.hpp (1.22),
ql/Math/linearinterpolation.hpp (1.20),
ql/Math/loglinearinterpolation.hpp (1.21),
ql/TermStructures/compoundforward.cpp (1.30),
ql/TermStructures/compoundforward.hpp (1.23),
ql/TermStructures/discountcurve.hpp (1.23),
ql/TermStructures/extendeddiscountcurve.cpp (1.5),
ql/TermStructures/zerocurve.hpp (1.8),
ql/Volatilities/blackvariancecurve.cpp (1.8),
ql/Volatilities/blackvariancecurve.hpp (1.26),
test-suite/interpolations.cpp (1.8),
test-suite/quantlibtestsuite.cpp (1.63):
Templatization of interpolation classes is now hidden
2004-03-08 10:08 Ferdinando Ametrano
* LICENSE.TXT (1.18):
license's copyright was an early misunderstanding: there is no
point to copyright the license wording (especially since it is not
our own wording!)
2004-03-05 17:36 Ferdinando Ametrano
* ql/Math/bicubicsplineinterpolation.hpp (1.12),
ql/Math/cubicspline.hpp (1.38), test-suite/interpolations.cpp
(1.7):
Spline boundary condition enumeration introduced
2004-03-03 16:33 Ferdinando Ametrano
* QuantLib.nsi (1.92):
updated
2004-03-02 15:23 Luigi Ballabio
* ChangeLog.txt (1.41), dev_tools/developers (1.1):
Added (bash) script for updating changelog
2004-03-02 15:23 Luigi Ballabio
* Makefile.am (1.84), Docs/Makefile.am (1.60):
Doxygen glitch
2004-03-02 15:20 Luigi Ballabio
* ql/: Math/svd.hpp (1.7),
PricingEngines/Basket/mcamericanbasketengine.hpp (1.3):
Flagged as non-buggy
2004-03-02 15:18 Luigi Ballabio
* ql/Math/matrix.hpp (1.25):
(conditionally) added extra checks
2004-03-01 18:31 Ferdinando Ametrano
* QuantLib.dsp (1.221):
updated
2004-03-01 18:23 Ferdinando Ametrano
* QuantLib.nsi (1.91):
updated to NSIS 2.0
2004-03-01 18:19 Ferdinando Ametrano
* ql/: discretizedasset.hpp (1.6), handle.hpp (1.18),
instrument.hpp (1.30), Instruments/payoffs.hpp (1.7),
Math/generalstatistics.hpp (1.11), Math/kronrodintegral.hpp (1.7),
Math/loglinearinterpolation.hpp (1.20), Math/trapezoidintegral.hpp
(1.5), MonteCarlo/pathgenerator.hpp (1.50),
Pricers/singleassetoption.hpp (1.32),
PricingEngines/Barrier/mcbarrierengine.hpp (1.3),
PricingEngines/Basket/mcbasketengine.hpp (1.6),
PricingEngines/Vanilla/binomialengine.hpp (1.2):
pruned (VC++/Borland) redundant header inclusions
2004-03-01 18:00 Ferdinando Ametrano
* LICENSE.TXT (1.17), QuantLib.nsi (1.90):
updated to NSIS 2.0
2004-03-01 17:54 Ferdinando Ametrano
* LICENSE.TXT (1.16), QuantLib.nsi (1.89):
updated to NSIS 2.0
2004-03-01 17:48 Ferdinando Ametrano
* QuantLib.nsi (1.88):
updated to NSIS 2.0
2004-03-01 16:26 Ferdinando Ametrano
* ql/Math/cubicspline.hpp (1.37):
enabling primitive calculation
2004-03-01 10:34 Ferdinando Ametrano
* test-suite/basketoption.cpp (1.13):
Borland warning avoided
2004-02-29 13:44 Luigi Ballabio
* ql/Math/cubicspline.hpp (1.36), ql/Math/linearinterpolation.hpp
(1.19), test-suite/interpolations.cpp (1.6):
Fixes for gcc and typo
2004-02-27 18:11 Ferdinando Ametrano
* ql/Math/kronrodintegral.hpp (1.6):
improved error messages
2004-02-27 18:03 Ferdinando Ametrano
* ql/Math/: cubicspline.hpp (1.35), linearinterpolation.hpp (1.18):
Numerical Recipies code removed. primitive() methd added improved
error messages
2004-02-27 18:00 Ferdinando Ametrano
* test-suite/interpolations.cpp (1.5):
last test added. Monotonicity constraint is OK
2004-02-27 10:45 Luigi Ballabio
* ql/Math/cubicspline.hpp (1.34), test-suite/interpolations.cpp
(1.3):
Fixes for gcc
2004-02-26 19:12 Ferdinando Ametrano
* ql/Math/cubicspline.hpp (1.33), test-suite/interpolations.cpp
(1.2), test-suite/quantlibtestsuite.cpp (1.62):
Not-a-knot right end condition is now OK
2004-02-26 16:57 Ferdinando Ametrano
* ql/Math/bicubicsplineinterpolation.hpp (1.11):
catching up with the new spline signature
2004-02-26 16:55 Ferdinando Ametrano
* ql/Math/cubicspline.hpp (1.32):
imrpoved spline algorithms now include: clamped, second derivative,
and not-a-knot end condition. Not-a-knot right end condition is to
be fixed
2004-02-26 16:52 Ferdinando Ametrano
* test-suite/: Makefile.am (1.29), interpolations.cpp (1.1),
interpolations.hpp (1.1), makefile.mak (1.30),
quantlibtestsuite.cpp (1.61), testsuite.dsp (1.29):
adding (spline) interpolation tests
2004-02-24 13:58 Ferdinando Ametrano
* test-suite/matrices.cpp (1.14):
formatting
2004-02-24 13:02 Ferdinando Ametrano
* ql/Math/interpolation.hpp (1.21):
no message
2004-02-23 16:49 Ferdinando Ametrano
* test-suite/: basketoption.cpp (1.12), factorial.cpp (1.8),
old_pricers.cpp (1.30), quantlibtestsuite.cpp (1.60):
comments added
2004-02-23 16:03 Ferdinando Ametrano
* test-suite/: europeanoption.cpp (1.49), jumpdiffusion.cpp (1.10),
quantlibtestsuite.cpp (1.59):
comments added
2004-02-23 15:07 Ferdinando Ametrano
* test-suite/matrices.cpp (1.13):
fixing the test
2004-02-23 15:02 Ferdinando Ametrano
* test-suite/matrices.cpp (1.12):
extended output
2004-02-23 13:09 Ferdinando Ametrano
* ql/PricingEngines/Basket/: makefile.mak (1.2),
mcamericanbasketengine.cpp (1.5):
Borland integration
2004-02-23 12:33 Luigi Ballabio
* ql/Math/matrix.hpp (1.24), ql/Math/svd.cpp (1.5), ql/Math/svd.hpp
(1.6), ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.4),
test-suite/matrices.cpp (1.11):
Some work on SVD
2004-02-22 23:18 Neil Firth
* test-suite/: matrices.cpp (1.10), matrices.hpp (1.7):
Added test cases for the SVD code, only tests m>=n
2004-02-20 14:59 Luigi Ballabio
* ql/: Math/svd.hpp (1.5),
PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.2):
Tagged a couple of possible bugs
2004-02-18 11:33 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.6):
small changes
2004-02-16 18:48 Luigi Ballabio
* ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.2):
Interfering include guards
2004-02-16 14:44 Luigi Ballabio
* ql/Math/: generalstatistics.cpp (1.10), generalstatistics.hpp
(1.10):
sorting method exposed
2004-02-16 14:21 Luigi Ballabio
* QuantLib.dsp (1.220),
ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.3):
Fixes for VC++
2004-02-13 15:48 Luigi Ballabio
* ql/PricingEngines/Basket/: Makefile.am (1.3),
mcamericanbasketengine.cpp (1.2):
Removed miscellaneous inconveniences for gcc
2004-02-13 13:05 Neil Firth
* test-suite/: basketoption.cpp (1.11), basketoption.hpp (1.3):
Added test cases for american basket options - not called as the
convergence is not pefect - however the algorithms run without
exception and give answers in the rigth ballpark. Some debugging
still needed! Also, the basis function implementation needs looking
at for performance and memory (use Handles everywhere?)
2004-02-13 13:01 Neil Firth
* ql/MonteCarlo/multipathgenerator.hpp (1.40):
Modified MultiPath interface to remove drifts as they are in the
stochastic processes
2004-02-13 13:00 Neil Firth
* ql/PricingEngines/Basket/: all.hpp (1.3),
mcamericanbasketengine.cpp (1.1), mcamericanbasketengine.hpp (1.1),
mcbasketengine.hpp (1.5):
Modified MultiPath interface and started implmentation of Longstaff
Schwartz Least Squares Monte Carlo for basket options
2004-02-06 14:54 Luigi Ballabio
* ql/instrument.hpp (1.29), ql/option.hpp (1.25),
ql/Instruments/asianoption.cpp (1.9),
ql/Instruments/asianoption.hpp (1.10),
ql/Instruments/barrieroption.cpp (1.23),
ql/Instruments/barrieroption.hpp (1.20),
ql/Instruments/basketoption.cpp (1.3),
ql/Instruments/basketoption.hpp (1.3),
ql/Instruments/forwardvanillaoption.cpp (1.24),
ql/Instruments/forwardvanillaoption.hpp (1.21),
ql/Instruments/multiassetoption.cpp (1.3),
ql/Instruments/multiassetoption.hpp (1.3),
ql/Instruments/oneassetoption.cpp (1.5),
ql/Instruments/oneassetoption.hpp (1.6),
ql/Instruments/oneassetstrikedoption.cpp (1.9),
ql/Instruments/oneassetstrikedoption.hpp (1.9),
ql/Instruments/quantoforwardvanillaoption.cpp (1.19),
ql/Instruments/quantoforwardvanillaoption.hpp (1.16),
ql/Instruments/quantovanillaoption.cpp (1.26),
ql/Instruments/quantovanillaoption.hpp (1.22),
ql/Instruments/stock.cpp (1.15), ql/Instruments/stock.hpp (1.14),
ql/Instruments/swap.cpp (1.29), ql/Instruments/swap.hpp (1.25),
ql/Instruments/vanillaoption.cpp (1.42),
ql/Instruments/vanillaoption.hpp (1.41), test-suite/instruments.cpp
(1.9):
Removed unused baggage from Instrument class
2004-02-06 12:28 Luigi Ballabio
* ql/history.hpp (1.19):
Post-increment broke stateful iterators
2004-02-04 14:11 Ferdinando Ametrano
* QuantLib.dsp (1.219), ql/Instruments/Makefile.am (1.23),
ql/Instruments/all.hpp (1.4), ql/Instruments/makefile.mak (1.28),
ql/MonteCarlo/Makefile.am (1.30), ql/MonteCarlo/all.hpp (1.3),
ql/MonteCarlo/makefile.mak (1.28),
ql/PricingEngines/Barrier/Makefile.am (1.5),
ql/PricingEngines/Barrier/all.hpp (1.2),
ql/PricingEngines/Barrier/makefile.mak (1.3):
removing binary barrier option Instrument, PricingEngine and
PathPricer. Replaced by vanilla option Instrument and
PricingEngine with digital payoff (and digital path pricer)
2004-02-04 13:51 Ferdinando Ametrano
* test-suite/: Makefile.am (1.28), makefile.mak (1.29),
quantlibtestsuite.cpp (1.58), testsuite.dsp (1.28):
removing binary barrier option tests
2004-02-04 13:45 Ferdinando Ametrano
* test-suite/digitaloption.cpp (1.18):
factoring out common code and removing redundant undocumented test
cases
2004-02-04 13:43 Ferdinando Ametrano
* test-suite/: utilities.hpp (1.7), europeanoption.cpp (1.48),
utilities.cpp (1.3), americanoption.cpp (1.12), barrieroption.cpp
(1.23):
factoring out common code
2004-02-04 12:47 Ferdinando Ametrano
* QuantLib.dsp (1.218), ql/MonteCarlo/makefile.mak (1.27):
catching up
2004-02-03 16:28 Luigi Ballabio
* ql/calendar.cpp (1.17), ql/cashflow.hpp (1.17), ql/date.cpp
(1.30), ql/date.hpp (1.26), ql/errors.hpp (1.16), ql/instrument.hpp
(1.28), ql/qldefines.hpp (1.65), ql/solver1d.hpp (1.19),
ql/voltermstructure.hpp (1.20), ql/Calendars/jointcalendar.cpp
(1.7), ql/CashFlows/shortindexedcoupon.hpp (1.9),
ql/DayCounters/actualactual.cpp (1.22),
ql/DayCounters/thirty360.cpp (1.15),
ql/FiniteDifferences/boundarycondition.cpp (1.7),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.24),
ql/Indexes/xibor.cpp (1.16), ql/Instruments/barrieroption.cpp
(1.22), ql/Instruments/payoffs.hpp (1.6), ql/Math/array.hpp (1.3),
ql/Math/beta.cpp (1.3), ql/Math/bivariatenormaldistribution.cpp
(1.5), ql/Math/chisquaredistribution.cpp (1.10),
ql/Math/gammadistribution.cpp (1.9), ql/Math/incompletegamma.cpp
(1.2), ql/Math/simpsonintegral.hpp (1.4),
ql/Math/trapezoidintegral.hpp (1.4),
ql/MonteCarlo/multipathgenerator.hpp (1.39),
ql/MonteCarlo/pathgenerator.hpp (1.49),
ql/Optimization/conjugategradient.cpp (1.18),
ql/Optimization/constraint.hpp (1.17),
ql/Optimization/linesearch.hpp (1.17),
ql/Optimization/steepestdescent.cpp (1.16),
ql/Pricers/discretegeometricaso.cpp (1.15),
ql/PricingEngines/americanpayoffatexpiry.hpp (1.2),
ql/PricingEngines/americanpayoffathit.hpp (1.4),
ql/PricingEngines/blackformula.hpp (1.11),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.5),
ql/PricingEngines/Basket/stulzengine.cpp (1.9),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.6),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.5),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.3),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.27),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.26),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.11),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.19),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.18), ql/Solvers1D/bisection.hpp (1.13), ql/Solvers1D/brent.hpp
(1.13), ql/Solvers1D/falseposition.hpp (1.13),
ql/Solvers1D/newton.hpp (1.14), ql/Solvers1D/newtonsafe.hpp (1.14),
ql/Solvers1D/ridder.hpp (1.13), ql/Solvers1D/secant.hpp (1.13),
ql/TermStructures/compoundforward.cpp (1.29),
ql/TermStructures/piecewiseflatforward.cpp (1.38),
test-suite/asianoptions.cpp (1.13), test-suite/barrieroption.cpp
(1.22), test-suite/basketoption.cpp (1.10), test-suite/capfloor.cpp
(1.26), test-suite/europeanoption.cpp (1.47),
test-suite/utilities.cpp (1.2):
Introduced QL_FAIL macro (its utility will become clear later)
2004-02-03 16:25 Luigi Ballabio
* QuantLib.dsp (1.217), test-suite/testsuite.dsp (1.27):
Fixes for VC++
2004-02-03 16:07 Luigi Ballabio
* test-suite/: Makefile.am (1.27), americanoption.cpp (1.11),
asianoptions.cpp (1.12), barrieroption.cpp (1.21), basketoption.cpp
(1.9), capfloor.cpp (1.25), compoundforward.cpp (1.9),
covariance.cpp (1.15), digitaloption.cpp (1.17), distributions.cpp
(1.13), europeanoption.cpp (1.46), factorial.cpp (1.7),
jumpdiffusion.cpp (1.9), makefile.mak (1.28), matrices.cpp (1.9),
old_pricers.cpp (1.29), piecewiseflatforward.cpp (1.14),
riskstats.cpp (1.30), solvers.cpp (1.8), stats.cpp (1.20), swap.cpp
(1.14), swaption.cpp (1.18), termstructures.cpp (1.13),
utilities.cpp (1.1), utilities.hpp (1.6):
Collected commonly used functions
2004-02-02 13:31 Luigi Ballabio
* ql/PricingEngines/Basket/mcbasketengine.hpp (1.4):
Removed warning
2004-02-02 12:09 Neil Firth
* test-suite/: basketoption.hpp (1.2), basketoption.cpp (1.8):
Use correlation Matrix rather than covariance Added tests from
Barraquand (1995)
2004-02-02 12:08 Neil Firth
* ql/PricingEngines/Basket/mcbasketengine.hpp (1.3):
Use correlation Matrix rather than covariance
2004-02-02 11:50 Neil Firth
* ql/: MonteCarlo/multipathgenerator.hpp (1.38),
PricingEngines/Basket/stulzengine.cpp (1.8):
Use correlation Matrix rather than covariance
2004-02-02 11:49 Neil Firth
* ql/Instruments/: basketoption.cpp (1.2), basketoption.hpp (1.2),
multiassetoption.cpp (1.2), multiassetoption.hpp (1.2):
Include correlation Matrix in arguments
2004-02-02 11:38 Luigi Ballabio
* ql/: MonteCarlo/Makefile.am (1.29),
PricingEngines/Basket/Makefile.am (1.2),
PricingEngines/Basket/mcbasketengine.hpp (1.2):
Misc fixes for gcc
2004-02-01 14:12 Neil Firth
* test-suite/basketoption.cpp (1.7):
Included test for MC pricing engine
2004-02-01 14:09 Neil Firth
* ql/PricingEngines/Basket/: all.hpp (1.2), mcbasketengine.hpp
(1.1):
MC Pricing Engine for European Basket Options
2004-02-01 14:07 Neil Firth
* ql/MonteCarlo/multipathgenerator.hpp (1.37):
New style multipathgenerator working with basket option mc engine
2004-01-30 11:06 Ferdinando Ametrano
* ql/PricingEngines/Basket/.cvsignore (1.1):
no message
2004-01-30 11:02 Ferdinando Ametrano
* ql/: voltermstructure.hpp (1.19),
Volatilities/localvolsurface.cpp (1.7),
Volatilities/localvolsurface.hpp (1.16):
comments and formatting
2004-01-27 17:33 Ferdinando Ametrano
* test-suite/basketoption.cpp (1.6):
Basket options now handle dividends too
2004-01-27 17:27 Ferdinando Ametrano
* ql/PricingEngines/Basket/stulzengine.cpp (1.7):
working on basket options
2004-01-27 17:00 Ferdinando Ametrano
* test-suite/basketoption.cpp (1.5):
working on basket options more test cases
2004-01-27 17:00 Ferdinando Ametrano
* ql/PricingEngines/Basket/stulzengine.cpp (1.6):
working on basket options
2004-01-27 16:30 Ferdinando Ametrano
* ql/PricingEngines/Basket/stulzengine.cpp (1.5):
working on basket options
2004-01-27 15:23 Ferdinando Ametrano
* test-suite/basketoption.cpp (1.4):
working on basket options
2004-01-27 15:03 Ferdinando Ametrano
* test-suite/americanoption.cpp (1.10):
generic fixes
2004-01-27 12:14 Luigi Ballabio
* configure.ac (1.31), ql/Makefile.am (1.50), ql/Math/factorial.cpp
(1.3), ql/PricingEngines/Basket/stulzengine.cpp (1.4),
ql/PricingEngines/Basket/stulzengine.hpp (1.2),
test-suite/basketoption.cpp (1.3):
Fixes for Linux build, gcc -Wall warnings, Boost
2004-01-27 11:11 Neil Firth
* ql/PricingEngines/Basket/stulzengine.cpp (1.3),
test-suite/basketoption.cpp (1.2):
Corrected error in equation (11) in Stulz's paper
2004-01-26 19:56 Ferdinando Ametrano
* QuantLib.dsp (1.216), ql/makefile.mak (1.44),
ql/Instruments/Makefile.am (1.22), ql/Instruments/makefile.mak
(1.27), ql/PricingEngines/Makefile.am (1.36),
ql/PricingEngines/Basket/Makefile.am (1.1),
ql/PricingEngines/Basket/makefile.mak (1.1), test-suite/Makefile.am
(1.26), test-suite/makefile.mak (1.27), test-suite/testsuite.dsp
(1.26):
integrating multiasset, basket, and stulz files into VC++ project,
Borland make, and (hopefully) gcc make
2004-01-26 19:54 Ferdinando Ametrano
* ql/PricingEngines/: Vanilla/makefile.mak (1.7), makefile.mak
(1.28):
catching up with the file reordering
2004-01-26 19:42 Ferdinando Ametrano
* ql/PricingEngines/Basket/stulzengine.cpp (1.2):
Borland warnings avoided
2004-01-26 19:04 Neil Firth
* test-suite/: basketoption.cpp (1.1), basketoption.hpp (1.1),
quantlibtestsuite.cpp (1.57):
Added test for two asset baskets using the Stulz pricing engine
2004-01-26 19:01 Neil Firth
* ql/PricingEngines/all.hpp (1.6):
Added Basket directory
2004-01-26 19:01 Neil Firth
* ql/PricingEngines/Basket/: all.hpp (1.1), stulzengine.cpp (1.1),
stulzengine.hpp (1.1):
Stulz engine for max and min basket calls and puts on two assets
2004-01-26 18:57 Neil Firth
* ql/Instruments/all.hpp (1.3):
First draft for multi-asset options
2004-01-26 18:54 Neil Firth
* ql/Instruments/: basketoption.cpp (1.1), basketoption.hpp (1.1),
multiassetoption.cpp (1.1), multiassetoption.hpp (1.1):
First draft for multi-asset options
2004-01-26 17:58 Ferdinando Ametrano
* ql/: calendar.hpp (1.30), daycounter.hpp (1.25),
FiniteDifferences/mixedscheme.hpp (1.11):
formatting
2004-01-26 17:04 Ferdinando Ametrano
* ql/Math/: array.hpp (1.2), matrix.hpp (1.23):
const enforcement of results, in order to avoid: a+b = c;
2004-01-26 16:35 Ferdinando Ametrano
* ql/qldefines.hpp (1.64):
don't know where it is used, anyway
2004-01-26 15:42 Ferdinando Ametrano
* test-suite/digitaloption.cpp (1.16):
more tests
2004-01-26 15:22 Ferdinando Ametrano
* ql/Math/bivariatenormaldistribution.cpp (1.4):
must have been drunk...
2004-01-26 13:07 Ferdinando Ametrano
* ql/Math/: bivariatenormaldistribution.cpp (1.3),
bivariatenormaldistribution.hpp (1.2):
must have been drunk...
2004-01-20 16:43 Ferdinando Ametrano
* ql/MonteCarlo/brownianbridge.hpp (1.14):
bug fixed
2004-01-20 16:43 Ferdinando Ametrano
* test-suite/digitaloption.cpp (1.15):
reactivating removed test
2004-01-20 14:44 Ferdinando Ametrano
* test-suite/digitaloption.cpp (1.14):
shorter description
2004-01-20 12:22 Luigi Ballabio
* ql/Instruments/oneassetstrikedoption.cpp (1.8):
Check not needed
2004-01-20 12:22 Luigi Ballabio
* ql/Instruments/oneassetstrikedoption.hpp (1.8):
Cloning code would need at least a partial understanding of its
semantics :)
2004-01-20 12:20 Luigi Ballabio
* ql/instrument.hpp (1.27):
Try blocks no longer needed
2004-01-15 00:30 Ferdinando Ametrano
* test-suite/: digitaloption.cpp (1.13), jumpdiffusion.cpp (1.8):
warnings avoided
2004-01-15 00:25 Ferdinando Ametrano
* ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.2):
using Brownian Bridge
2004-01-15 00:23 Ferdinando Ametrano
* test-suite/: digitaloption.cpp (1.12), digitaloption.hpp (1.5):
MC engine for american cash-at-hit options test added
2004-01-14 19:13 Ferdinando Ametrano
* ql/PricingEngines/americanpayoffathit.hpp (1.3):
bug fix
2004-01-14 17:15 Ferdinando Ametrano
* ql/MonteCarlo/pathgenerator.hpp (1.48):
bug fix
2004-01-14 16:43 Ferdinando Ametrano
* ql/MonteCarlo/brownianbridge.hpp (1.13):
bug fix
2004-01-12 17:32 Luigi Ballabio
* ql/MonteCarlo/pathgenerator.hpp (1.47):
No need for a Handle
2004-01-12 17:05 Luigi Ballabio
* ql/MonteCarlo/pathgenerator.hpp (1.46):
How did the test work?
2004-01-12 17:04 Luigi Ballabio
* ql/MonteCarlo/mctraits.hpp (1.9):
Formatting
2004-01-12 16:59 Luigi Ballabio
* test-suite/europeanoption.cpp (1.45),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.6):
Formatting
2004-01-09 17:41 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.7):
using Brownian Bridge
2004-01-09 17:31 Ferdinando Ametrano
* ql/MonteCarlo/pathgenerator.hpp (1.45):
explit selection of incremental or brownian bridge path
construction
2004-01-09 17:29 Ferdinando Ametrano
* test-suite/digitaloption.cpp (1.11):
working on digitals...
2004-01-09 17:28 Ferdinando Ametrano
* test-suite/barrieroption.cpp (1.20):
working on barriers...
2004-01-09 10:53 Ferdinando Ametrano
* Examples/: BermudanSwaption/.cvsignore (1.9),
DiscreteHedging/.cvsignore (1.9), Swap/.cvsignore (1.9):
ignore *.obj and *.exe
2004-01-09 10:37 Ferdinando Ametrano
* ql/MonteCarlo/pathgenerator.hpp (1.44):
Brownian bridge bug fix
2004-01-08 19:36 Ferdinando Ametrano
* QuantLib.dsp (1.213), ql/PricingEngines/Vanilla/all.hpp (1.2):
removing non-existing file
2004-01-08 19:21 Ferdinando Ametrano
* test-suite/digitaloption.cpp (1.10):
commenting out the MC test for the time being
2004-01-08 19:07 Luigi Ballabio
* ql/Instruments/asianoption.hpp (1.9),
ql/Instruments/barrieroption.cpp (1.21),
ql/Instruments/barrieroption.hpp (1.19),
ql/Instruments/cliquetoption.hpp (1.6),
ql/Instruments/vanillaoption.hpp (1.40), ql/PricingEngines/all.hpp
(1.5), ql/PricingEngines/Asian/Makefile.am (1.4),
ql/PricingEngines/Asian/all.hpp (1.1),
ql/PricingEngines/Barrier/Makefile.am (1.4),
ql/PricingEngines/Barrier/all.hpp (1.1),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.4),
ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.1),
ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.1),
ql/PricingEngines/Cliquet/Makefile.am (1.4),
ql/PricingEngines/Cliquet/all.hpp (1.1),
ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.1),
ql/PricingEngines/Forward/Makefile.am (1.3),
ql/PricingEngines/Forward/all.hpp (1.1),
ql/PricingEngines/Forward/forwardengine.hpp (1.1),
ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.1),
ql/PricingEngines/Quanto/Makefile.am (1.3),
ql/PricingEngines/Quanto/all.hpp (1.1),
ql/PricingEngines/Quanto/quantoengine.hpp (1.1),
ql/PricingEngines/Vanilla/Makefile.am (1.9),
ql/PricingEngines/Vanilla/all.hpp (1.1),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.9),
ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp (1.1),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.5),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp (1.1),
ql/PricingEngines/Vanilla/binomialengine.hpp (1.1),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.4),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.1),
ql/PricingEngines/Vanilla/integralengine.cpp (1.1),
ql/PricingEngines/Vanilla/integralengine.hpp (1.1),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.7),
ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.5),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.6),
test-suite/americanoption.cpp (1.9), test-suite/asianoptions.cpp
(1.11), test-suite/barrieroption.cpp (1.19),
test-suite/digitaloption.cpp (1.9), test-suite/europeanoption.cpp
(1.44), test-suite/jumpdiffusion.cpp (1.7):
Reordered headers
2004-01-08 18:14 Ferdinando Ametrano
* ql/MonteCarlo/brownianbridge.hpp (1.12):
bug fix
2004-01-08 13:07 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.6),
test-suite/jumpdiffusion.cpp (1.6), test-suite/jumpdiffusion.hpp
(1.3):
jump diffusion greeks tested
2004-01-08 10:25 Ferdinando Ametrano
* ql/PricingEngines/blackformula.hpp (1.10):
more informative error messages
2004-01-08 10:23 Ferdinando Ametrano
* test-suite/asianoptions.cpp (1.10):
small changes
2004-01-08 10:18 Ferdinando Ametrano
* test-suite/: americanoption.cpp (1.8), europeanoption.cpp (1.43),
jumpdiffusion.cpp (1.5), testsuite.dsp (1.25):
small changes
2004-01-07 19:03 Ferdinando Ametrano
* ql/stochasticprocess.hpp (1.7),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.5),
ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.4),
test-suite/jumpdiffusion.cpp (1.4),
test-suite/quantlibtestsuite.cpp (1.56):
jump diffusion succesfully tested
2004-01-05 16:46 Ferdinando Ametrano
* ql/: MonteCarlo/pathgenerator.hpp (1.43),
PricingEngines/Vanilla/mcvanillaengine.hpp (1.5):
working on BrownianBridge
2004-01-05 15:30 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.3):
working on jump diffudion
2004-01-05 14:47 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.49):
Removed unused argument
2004-01-05 13:42 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.55):
allowing for very short time to expiry
2004-01-05 13:39 Ferdinando Ametrano
* ql/MonteCarlo/mctypedefs.hpp (1.28):
working on BrownianBridge
2004-01-05 13:38 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.4):
allowing for very short time to maturity
2004-01-05 13:30 Luigi Ballabio
* ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.8):
Whole calculation does not fail when theta does
2004-01-05 13:21 Ferdinando Ametrano
* QuantLib.dsp (1.212):
new files added to the VC project
2004-01-05 13:17 Ferdinando Ametrano
* test-suite/testsuite.dsp (1.24), test-suite/Makefile.am (1.25),
test-suite/makefile.mak (1.26), test-suite/jumpdiffusion.cpp (1.2),
ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.2),
ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.3):
jumpdiffudion test added (it fails for the time being)
2004-01-05 12:59 Ferdinando Ametrano
* test-suite/stats.cpp (1.19):
fix for Borland compiler
2004-01-05 12:14 Luigi Ballabio
* ql/Instruments/swaption.cpp (1.39), ql/Instruments/swaption.hpp
(1.34), ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp
(1.25), test-suite/swaption.cpp (1.17):
Removed unused argument
2004-01-05 12:14 Luigi Ballabio
* ql/: core.hpp (1.2), quantlib.hpp (1.144):
Stochastic process in core header
2004-01-05 12:03 Luigi Ballabio
* ql/Instruments/oneassetoption.hpp (1.5):
Default constructors are, well, used by default...
2004-01-05 10:57 Ferdinando Ametrano
* test-suite/: americanoption.cpp (1.7), asianoptions.cpp (1.9),
digitaloption.cpp (1.7), europeanoption.cpp (1.42), makefile.mak
(1.25):
fix for Borland compiler
2004-01-05 10:34 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.53):
jump diffusion engine test added. As of now it fails
2004-01-05 10:33 Ferdinando Ametrano
* test-suite/: digitaloption.cpp (1.6), digitaloption.hpp (1.4):
American payoff paid at Expiry tests added
2004-01-05 10:08 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/: bjerksundstenslandengine.cpp (1.3),
baroneadesiwhaleyengine.cpp (1.4):
formatting
2004-01-05 10:06 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.5):
allowing for very short time to maturity
2004-01-05 09:59 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.2),
test-suite/jumpdiffusion.hpp (1.2):
copyright years fixed
2004-01-05 09:55 Ferdinando Ametrano
* test-suite/europeanoption.cpp (1.41):
formatting
2004-01-05 09:53 Ferdinando Ametrano
* test-suite/: jumpdiffusion.cpp (1.1), jumpdiffusion.hpp (1.1):
jump diffusion engine test added. As of now it fails
2004-01-05 09:52 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/: Makefile.am (1.8),
jumpdiffusionengine.cpp (1.1), jumpdiffusionengine.hpp (1.1),
makefile.mak (1.6):
jump diffusion engine added. Not succesfully tested yet
2004-01-05 09:51 Ferdinando Ametrano
* ql/PricingEngines/: Makefile.am (1.35),
americanpayoffatexpiry.hpp (1.1), core.hpp (1.4):
American payoff paid at Expiry added
2004-01-05 09:50 Ferdinando Ametrano
* ql/PricingEngines/americanpayoffathit.hpp (1.2):
various fixes
2004-01-05 09:48 Ferdinando Ametrano
* ql/MonteCarlo/brownianbridge.hpp (1.11):
working on BrownianBridge
2004-01-05 09:46 Ferdinando Ametrano
* ql/Math/bivariatenormaldistribution.cpp (1.2):
formatting
2004-01-05 09:46 Ferdinando Ametrano
* ql/Math/poissondistribution.hpp (1.3):
typo fixed
2004-01-05 09:44 Ferdinando Ametrano
* ql/stochasticprocess.hpp (1.6):
working on Merton76
2004-01-02 18:13 Luigi Ballabio
* test-suite/: americanoption.cpp (1.6), asianoptions.cpp (1.8):
Hmm
2004-01-01 23:58 Ferdinando Ametrano
* test-suite/digitaloption.cpp (1.5):
more test cases added
2004-01-01 23:57 Ferdinando Ametrano
* test-suite/digitaloption.hpp (1.3):
added test for AssetOrNothing payoff with American exercise
2004-01-01 23:44 Ferdinando Ametrano
* ql/PricingEngines/Makefile.am (1.34),
ql/PricingEngines/americanpayoffathit.hpp (1.1),
ql/PricingEngines/core.hpp (1.3), QuantLib.dsp (1.211):
added American exercise with Payoff at hit analytical formulae
2004-01-01 23:42 Ferdinando Ametrano
* ql/PricingEngines/blackformula.hpp (1.9):
small adjustments
2004-01-01 23:40 Ferdinando Ametrano
* ql/exercise.hpp (1.29):
commented out code removed
2003-12-31 21:59 Ferdinando Ametrano
* QuantLib.dsp (1.210), ql/Makefile.am (1.49), ql/quantlib.hpp
(1.143), ql/stochasticprocess.hpp (1.4),
ql/Instruments/asianoption.cpp (1.8),
ql/Instruments/asianoption.hpp (1.8),
ql/Instruments/barrieroption.cpp (1.20),
ql/Instruments/barrieroption.hpp (1.18),
ql/Instruments/forwardvanillaoption.cpp (1.23),
ql/Instruments/forwardvanillaoption.hpp (1.20),
ql/Instruments/oneassetoption.cpp (1.4),
ql/Instruments/oneassetoption.hpp (1.4),
ql/Instruments/oneassetstrikedoption.cpp (1.7),
ql/Instruments/oneassetstrikedoption.hpp (1.7),
ql/Instruments/quantoforwardvanillaoption.cpp (1.18),
ql/Instruments/quantoforwardvanillaoption.hpp (1.15),
ql/Instruments/quantovanillaoption.cpp (1.25),
ql/Instruments/quantovanillaoption.hpp (1.21),
ql/Instruments/vanillaoption.cpp (1.41),
ql/Instruments/vanillaoption.hpp (1.39),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.3),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.7),
ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.3),
ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.2),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.3),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.4),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.4),
test-suite/americanoption.cpp (1.5), test-suite/asianoptions.cpp
(1.7), test-suite/barrieroption.cpp (1.18),
test-suite/digitaloption.cpp (1.4), test-suite/europeanoption.cpp
(1.40), test-suite/makefile.mak (1.24),
test-suite/quantlibtestsuite.cpp (1.52):
first draft of StochasticProcess introduced.
2003-12-31 21:46 Ferdinando Ametrano
* ql/voltermstructure.cpp (1.13):
more informative error messages + a small fix
2003-12-31 15:45 Luigi Ballabio
* ql/Instruments/quantoforwardvanillaoption.cpp (1.17),
ql/Instruments/quantoforwardvanillaoption.hpp (1.14),
ql/PricingEngines/Vanilla/Makefile.am (1.7),
ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.2),
test-suite/americanoption.cpp (1.4), test-suite/digitaloption.cpp
(1.3), test-suite/distributions.cpp (1.12),
test-suite/europeanoption.cpp (1.39):
Miscellaneous fixes for the new year
2003-12-29 22:23 Ferdinando Ametrano
* test-suite/europeanoption.cpp (1.38):
binary (cash-or-nothing, asset-or-nothing, gap) greeks test and
more added
2003-12-29 22:11 Ferdinando Ametrano
* test-suite/americanoption.cpp (1.3):
formatting
2003-12-29 21:46 Ferdinando Ametrano
* test-suite/: digitaloption.cpp (1.2), digitaloption.hpp (1.2):
tests added for value of Gap, Asset-Or-Nothing, and
Asset-Or-Nothing european options
2003-12-29 21:20 Ferdinando Ametrano
* ql/PricingEngines/blackformula.hpp (1.8):
delta and gamma with respect to forward added greeks for
cash-or-nothing, asset-or-nothing, and gap payoff added
2003-12-29 21:08 Ferdinando Ametrano
* ql/Instruments/payoffs.hpp (1.5):
Gap payoff introduced
2003-12-28 23:28 Ferdinando Ametrano
* test-suite/europeanoption.cpp (1.37):
more tests added, namely greeks of european options with digital
payoff
2003-12-28 22:29 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.51):
digital option test added: it is the former binarybarrier option
test which will be removed as soon as possible
2003-12-28 22:28 Ferdinando Ametrano
* test-suite/: americanoption.cpp (1.2), americanoption.hpp (1.2):
Bjerksund and Stensland test Barone-Adesi and Whaley test
2003-12-28 22:26 Ferdinando Ametrano
* test-suite/: digitaloption.cpp (1.1), digitaloption.hpp (1.1),
Makefile.am (1.24), makefile.mak (1.23), testsuite.dsp (1.23):
digital option test added: it is the ofrmer binarybarrier option
test which will be removed as soon as possible
2003-12-28 22:24 Ferdinando Ametrano
* QuantLib.dsp (1.209):
updated
2003-12-28 22:21 Ferdinando Ametrano
* ql/MonteCarlo/: Makefile.am (1.28), makefile.mak (1.26):
added digitalpathpricer. It will replace binarybarrierpathpricer
as soon as possible
2003-12-28 22:08 Ferdinando Ametrano
* ql/PricingEngines/blackformula.hpp (1.7):
greek calculation extended to cash-or-nothing payff (tested) and
asset-or-nothing payoff (untested yet) Signature changed.
2003-12-28 22:06 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/: analyticeuropeanengine.cpp (1.6),
mceuropeanengine.hpp (1.3):
minor modifications, mainly catching up with the new Black
interface
2003-12-28 22:03 Ferdinando Ametrano
* ql/PricingEngines/: Vanilla/Makefile.am (1.6),
Vanilla/makefile.mak (1.5), all.hpp (1.4):
new engines added
2003-12-28 21:58 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.1):
added Monte Carlo digital engine (formerly MC binary barrier
engine)
2003-12-28 21:57 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.1):
added Bjerksund and Stensland approximation for American option.
2003-12-28 21:56 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.2):
Barone-Adesi and Whaley approximation for American option now
successfully tested
2003-12-26 11:10 Ferdinando Ametrano
* QuantLib.dsp (1.208),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.48),
ql/option.hpp (1.24), ql/Instruments/asianoption.cpp (1.7),
ql/Instruments/asianoption.hpp (1.7),
ql/Instruments/barrieroption.cpp (1.19),
ql/Instruments/barrieroption.hpp (1.17),
ql/Instruments/forwardvanillaoption.cpp (1.22),
ql/Instruments/forwardvanillaoption.hpp (1.19),
ql/Instruments/oneassetoption.cpp (1.3),
ql/Instruments/oneassetoption.hpp (1.3),
ql/Instruments/oneassetstrikedoption.cpp (1.6),
ql/Instruments/oneassetstrikedoption.hpp (1.6),
ql/Instruments/quantoforwardvanillaoption.cpp (1.16),
ql/Instruments/quantoforwardvanillaoption.hpp (1.13),
ql/Instruments/quantovanillaoption.cpp (1.24),
ql/Instruments/quantovanillaoption.hpp (1.20),
ql/Instruments/swaption.cpp (1.38), ql/Instruments/swaption.hpp
(1.33), ql/Instruments/vanillaoption.cpp (1.40),
ql/Instruments/vanillaoption.hpp (1.38),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.24),
test-suite/asianoptions.cpp (1.6), test-suite/barrieroption.cpp
(1.17), test-suite/europeanoption.cpp (1.36),
test-suite/quantlibtestsuite.cpp (1.50), test-suite/swaption.cpp
(1.16), test-suite/testsuite.dsp (1.22):
Instruments classes (partial) refactoring using Payoff and Exercise
2003-12-26 10:53 Ferdinando Ametrano
* test-suite/: makefile.mak (1.22), Makefile.am (1.23),
americanoption.cpp (1.1), americanoption.hpp (1.1):
added Barone-Adesi and Whaley approximation for American option.
Not successfully tested yet
2003-12-26 10:42 Ferdinando Ametrano
* ql/exercise.hpp (1.28):
polymorphic Exercise
2003-12-26 10:13 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/: Makefile.am (1.5),
baroneadesiwhaleyengine.cpp (1.1), makefile.mak (1.4):
added Barone-Adesi and Whaley approximation for American option.
Not tested yet
2003-12-26 10:11 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.5):
added elasticity, thetaPerDay, deltaFoward, and itmProbability
2003-12-26 10:05 Ferdinando Ametrano
* test-suite/: europeanoption.cpp (1.35), europeanoption.hpp
(1.11):
more value and greek tests
2003-12-26 09:52 Ferdinando Ametrano
* ql/PricingEngines/blackformula.hpp (1.6):
added elasticity, thetaPerDay, deltaFoward
2003-12-26 09:47 Ferdinando Ametrano
* test-suite/: distributions.cpp (1.11), distributions.hpp (1.5):
added bivariate cumulative normal distribution test
2003-12-26 09:44 Ferdinando Ametrano
* ql/Math/: Makefile.am (1.37), bivariatenormaldistribution.cpp
(1.1), bivariatenormaldistribution.hpp (1.1), makefile.mak (1.31):
added bivariate cumulative normal distribution
2003-12-23 12:13 Luigi Ballabio
* ql/: Makefile.am (1.48), errors.cpp (1.1), errors.hpp (1.15),
qldefines.hpp (1.63):
Added handler for Boost assertions
2003-12-23 01:37 Ferdinando Ametrano
* test-suite/europeanoption.cpp (1.33):
more test added
2003-12-23 01:35 Ferdinando Ametrano
* ql/PricingEngines/blackformula.hpp (1.5):
elasticity added
2003-12-22 20:54 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/: Makefile.am (1.4), makefile.mak
(1.3):
adding one-touch option, that is american binary options
2003-12-22 20:34 Ferdinando Ametrano
* QuantLib.dsp (1.207):
using Exercise everywhere
2003-12-22 20:29 Ferdinando Ametrano
* ql/option.hpp (1.23), ql/Instruments/asianoption.cpp (1.6),
ql/Instruments/asianoption.hpp (1.6),
ql/Instruments/barrieroption.cpp (1.18),
ql/Instruments/barrieroption.hpp (1.16),
ql/Instruments/cliquetoption.hpp (1.5),
ql/Instruments/forwardvanillaoption.cpp (1.21),
ql/Instruments/forwardvanillaoption.hpp (1.18),
ql/Instruments/oneassetoption.cpp (1.2),
ql/Instruments/oneassetoption.hpp (1.2),
ql/Instruments/oneassetstrikedoption.cpp (1.5),
ql/Instruments/oneassetstrikedoption.hpp (1.5),
ql/Instruments/quantoforwardvanillaoption.cpp (1.15),
ql/Instruments/quantoforwardvanillaoption.hpp (1.12),
ql/Instruments/quantovanillaoption.cpp (1.23),
ql/Instruments/quantovanillaoption.hpp (1.19),
ql/Instruments/vanillaoption.cpp (1.39),
ql/Instruments/vanillaoption.hpp (1.37),
ql/PricingEngines/blackformula.hpp (1.4),
ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.2),
ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.4),
ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.2),
ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.2),
ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.2),
ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.3),
test-suite/asianoptions.cpp (1.4), test-suite/barrieroption.cpp
(1.16), test-suite/europeanoption.cpp (1.32),
test-suite/quantlibtestsuite.cpp (1.48):
using Exercise everywhere
2003-12-22 20:29 Ferdinando Ametrano
* ql/exercise.cpp (1.7):
more requirements
2003-12-22 20:09 Ferdinando Ametrano
* test-suite/: europeanoption.cpp (1.31), europeanoption.hpp
(1.10), quantlibtestsuite.cpp (1.47):
quicker test
2003-12-22 15:27 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.2):
comments
2003-12-22 15:27 Ferdinando Ametrano
* ql/: exercise.cpp (1.6), exercise.hpp (1.27):
introduced intermediate EarlyExercise class
2003-12-22 13:21 Ferdinando Ametrano
* ql/Instruments/Makefile.am (1.21), ql/Instruments/all.hpp (1.2),
ql/Instruments/asianoption.cpp (1.5),
ql/Instruments/asianoption.hpp (1.5),
ql/Instruments/barrieroption.cpp (1.17),
ql/Instruments/barrieroption.hpp (1.15),
ql/Instruments/forwardvanillaoption.cpp (1.20),
ql/Instruments/forwardvanillaoption.hpp (1.17),
ql/Instruments/makefile.mak (1.26),
ql/Instruments/oneassetstrikedoption.cpp (1.4),
ql/Instruments/oneassetstrikedoption.hpp (1.4),
ql/Instruments/quantovanillaoption.cpp (1.22),
ql/Instruments/quantovanillaoption.hpp (1.18),
ql/MonteCarlo/Makefile.am (1.27), ql/MonteCarlo/all.hpp (1.2),
ql/MonteCarlo/makefile.mak (1.25), ql/PricingEngines/all.hpp (1.3),
ql/PricingEngines/Barrier/Makefile.am (1.3),
ql/PricingEngines/Barrier/makefile.mak (1.2),
ql/PricingEngines/Vanilla/Makefile.am (1.3),
ql/PricingEngines/Vanilla/makefile.mak (1.2),
test-suite/Makefile.am (1.22), test-suite/makefile.mak (1.21),
test-suite/quantlibtestsuite.cpp (1.46), test-suite/testsuite.dsp
(1.21), QuantLib.dsp (1.206):
(barrier) BinaryOption renamed as BinaryBarrierOption
2003-12-22 10:13 Ferdinando Ametrano
* test-suite/: europeanoption.cpp (1.30), old_pricers.cpp (1.28):
using OptionTypeFormatter
2003-12-21 12:36 Ferdinando Ametrano
* ql/Instruments/asianoption.cpp (1.4),
ql/Instruments/asianoption.hpp (1.4),
ql/Instruments/barrieroption.cpp (1.16),
ql/Instruments/barrieroption.hpp (1.14),
ql/Instruments/forwardvanillaoption.cpp (1.19),
ql/Instruments/forwardvanillaoption.hpp (1.16),
ql/Instruments/oneassetstrikedoption.cpp (1.3),
ql/Instruments/oneassetstrikedoption.hpp (1.3),
ql/Instruments/quantoforwardvanillaoption.cpp (1.14),
ql/Instruments/quantoforwardvanillaoption.hpp (1.11),
ql/Instruments/quantovanillaoption.cpp (1.21),
ql/Instruments/quantovanillaoption.hpp (1.17),
ql/Instruments/vanillaoption.cpp (1.37),
ql/Instruments/vanillaoption.hpp (1.35),
test-suite/asianoptions.cpp (1.3), test-suite/barrieroption.cpp
(1.15), test-suite/europeanoption.cpp (1.29):
Payoff as input, instead of (type, strike) couple
2003-12-21 12:31 Ferdinando Ametrano
* ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.3):
using new Payoff approach
2003-12-21 12:29 Ferdinando Ametrano
* ql/PricingEngines/blackformula.hpp (1.3):
it handles binary Cash-Or-Nothing and Asset-Or-Nothing payoffs too
2003-12-21 12:24 Ferdinando Ametrano
* ql/Instruments/payoffs.hpp (1.3):
introduced one more intermediate level of payoff
2003-12-19 20:25 Ferdinando Ametrano
* QuantLib.dsp (1.205):
updated
2003-12-19 20:22 Ferdinando Ametrano
* ql/PricingEngines/blackformula.hpp (1.2):
fixing wrong header gard
2003-12-19 17:44 Ferdinando Ametrano
* test-suite/: asianoptions.cpp (1.1), asianoptions.hpp (1.1):
discrete averaging geometric asian option test added
2003-12-19 16:51 Ferdinando Ametrano
* QuantLib.dsp (1.204):
updated
2003-12-19 16:51 Ferdinando Ametrano
* test-suite/: Makefile.am (1.21), makefile.mak (1.20),
quantlibtestsuite.cpp (1.45), testsuite.dsp (1.20):
discrete averaging geometric asian option test added
2003-12-19 16:49 Ferdinando Ametrano
* ql/: makefile.mak (1.43), Instruments/asianoption.cpp (1.3),
Instruments/asianoption.hpp (1.3):
moved to handle fixing dates instead of fixing times
2003-12-18 20:34 Ferdinando Ametrano
* ql/: Makefile.am (1.47), makefile.mak (1.42),
Instruments/asianoption.cpp (1.2), Instruments/asianoption.hpp
(1.2), Instruments/oneassetstrikedoption.cpp (1.2),
Instruments/oneassetstrikedoption.hpp (1.2),
PricingEngines/Makefile.am (1.32), PricingEngines/blackformula.hpp
(1.1), PricingEngines/Asian/Makefile.am (1.2),
PricingEngines/Asian/makefile.mak (1.2),
PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.2):
Discrete geometric asian option moving to the pricing engine
framework
2003-12-18 13:32 Luigi Ballabio
* ql/: Calendars/Makefile.am (1.17), Calendars/all.hpp (1.1),
CashFlows/Makefile.am (1.13), CashFlows/all.hpp (1.1),
CashFlows/core.hpp (1.1), DayCounters/Makefile.am (1.9),
DayCounters/all.hpp (1.1), FiniteDifferences/Makefile.am (1.16),
FiniteDifferences/all.hpp (1.1), FiniteDifferences/core.hpp (1.1),
Indexes/Makefile.am (1.9), Indexes/all.hpp (1.1), Indexes/core.hpp
(1.1), Makefile.am (1.45), core.hpp (1.1), quantlib.hpp (1.142),
Instruments/Makefile.am (1.20), Instruments/all.hpp (1.1),
Instruments/core.hpp (1.1), Lattices/Makefile.am (1.10),
Lattices/all.hpp (1.1), Lattices/core.hpp (1.1), Math/Makefile.am
(1.36), Math/all.hpp (1.1), Math/core.hpp (1.1),
MonteCarlo/Makefile.am (1.26), MonteCarlo/all.hpp (1.1),
MonteCarlo/core.hpp (1.1), Optimization/Makefile.am (1.8),
Optimization/all.hpp (1.1), Optimization/core.hpp (1.1),
Patterns/Makefile.am (1.14), Patterns/all.hpp (1.1),
Pricers/Makefile.am (1.38), Pricers/all.hpp (1.1), Pricers/core.hpp
(1.1), PricingEngines/Makefile.am (1.31), PricingEngines/all.hpp
(1.1), PricingEngines/core.hpp (1.1), RandomNumbers/Makefile.am
(1.14), RandomNumbers/all.hpp (1.1), RandomNumbers/core.hpp (1.1),
ShortRateModels/Makefile.am (1.4), ShortRateModels/all.hpp (1.1),
ShortRateModels/core.hpp (1.1), Solvers1D/Makefile.am (1.9),
Solvers1D/all.hpp (1.1), TermStructures/Makefile.am (1.16),
TermStructures/all.hpp (1.1), Utilities/Makefile.am (1.7),
Utilities/all.hpp (1.1), Volatilities/Makefile.am (1.14),
Volatilities/all.hpp (1.1):
Finer-grained control on what to include (as opposed to a
monolythic quantlib.hpp)
2003-12-18 12:47 Ferdinando Ametrano
* QuantLib.dsp (1.202), ql/option.hpp (1.22),
ql/Instruments/Makefile.am (1.19), ql/Instruments/asianoption.cpp
(1.1), ql/Instruments/asianoption.hpp (1.1),
ql/Instruments/barrieroption.cpp (1.15),
ql/Instruments/barrieroption.hpp (1.13),
ql/Instruments/makefile.mak (1.25),
ql/Instruments/oneassetoption.cpp (1.1),
ql/Instruments/oneassetoption.hpp (1.1),
ql/Instruments/oneassetstrikedoption.cpp (1.1),
ql/Instruments/oneassetstrikedoption.hpp (1.1),
ql/Instruments/vanillaoption.cpp (1.36),
ql/Instruments/vanillaoption.hpp (1.34):
OneAssetOption and OneAssetStrikedOption instrumets introduced
2003-12-18 12:10 Luigi Ballabio
* QuantLib.dsp (1.201), ql/Makefile.am (1.44), ql/quantlib.hpp
(1.141), ql/Pricers/Makefile.am (1.37),
ql/ShortRateModels/calibrationhelper.hpp (1.16),
ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.16),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.10),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.15),
ql/Volatilities/capflatvolvector.hpp (1.14):
Moved Black model where it might belong (better than in the root
dir anyway)
2003-12-18 10:31 Luigi Ballabio
* ql/: Makefile.am (1.43), quantlib.hpp (1.140),
FiniteDifferences/tridiagonaloperator.hpp (1.30), Math/Makefile.am
(1.35), Math/array.hpp (1.1), Math/matrix.hpp (1.22),
Optimization/constraint.hpp (1.16), Optimization/costfunction.hpp
(1.19), RandomNumbers/haltonrsg.hpp (1.12),
RandomNumbers/randomsequencegenerator.hpp (1.11),
RandomNumbers/sobolrsg.hpp (1.13):
Moved array where it belongs
2003-12-18 09:30 Ferdinando Ametrano
* ql/PricingEngines/: Makefile.am (1.30), Lookback/Makefile.am
(1.2), Cliquet/Makefile.am (1.2):
(conceptual) file re-ordering
2003-12-17 17:57 Ferdinando Ametrano
* QuantLib.dsp (1.200), test-suite/barrieroption.cpp (1.14),
test-suite/europeanoption.cpp (1.28), ql/makefile.mak (1.41),
ql/quantlib.hpp (1.139), ql/Instruments/barrieroption.cpp (1.14):
(conceptual) file re-ordering
2003-12-17 17:52 Ferdinando Ametrano
* ql/PricingEngines/: Makefile.am (1.29), mcsimulation.hpp (1.1),
Asian/.cvsignore (1.1), Asian/Makefile.am (1.1), Asian/makefile.mak
(1.1), Barrier/.cvsignore (1.1), Barrier/Makefile.am (1.1),
Barrier/analyticbarrierengine.cpp (1.1), Barrier/makefile.mak
(1.1), Cliquet/.cvsignore (1.1), Cliquet/Makefile.am (1.1),
Cliquet/makefile.mak (1.1), Forward/.cvsignore (1.1),
Forward/Makefile.am (1.1), Forward/makefile.mak (1.1),
Lookback/.cvsignore (1.1), Lookback/Makefile.am (1.1),
Lookback/makefile.mak (1.1), Quanto/.cvsignore (1.1),
Quanto/Makefile.am (1.1), Quanto/makefile.mak (1.1),
Vanilla/.cvsignore (1.1), Vanilla/Makefile.am (1.1),
Vanilla/analyticeuropeanengine.cpp (1.1),
Vanilla/discretizedvanillaoption.cpp (1.1),
Vanilla/discretizedvanillaoption.hpp (1.1), Vanilla/makefile.mak
(1.1), Vanilla/mceuropeanengine.hpp (1.1),
Vanilla/mcvanillaengine.hpp (1.1):
(conceptual) file re-ordering
2003-12-17 15:20 Ferdinando Ametrano
* ql/Instruments/: barrieroption.cpp (1.13), barrieroption.hpp
(1.12):
BarrierOption now uses Payoff
2003-12-17 15:02 Ferdinando Ametrano
* ql/Instruments/: payoffs.hpp (1.2), vanillaoption.cpp (1.35),
vanillaoption.hpp (1.33):
VanillaOption now uses Payoff
2003-12-17 13:09 Luigi Ballabio
* ql/CashFlows/coupon.hpp (1.19):
Check for null reference dates
2003-12-16 19:01 Luigi Ballabio
* test-suite/factorial.cpp (1.6):
Fixed random capitals
2003-12-16 19:01 Luigi Ballabio
* ql/: exercise.hpp (1.26), option.hpp (1.21), payoff.hpp (1.9),
quantlib.hpp (1.138), FiniteDifferences/americancondition.hpp
(1.18), Instruments/payoffs.hpp (1.1), Instruments/swaption.hpp
(1.32), Instruments/vanillaoption.cpp (1.34),
Instruments/vanillaoption.hpp (1.32), Pricers/singleassetoption.hpp
(1.31):
Trying to use VanillaOption as a leaf class (well, it's a first
step)
2003-12-16 16:03 Luigi Ballabio
* Docs/Makefile.am (1.59), Docs/makefile.mak (1.34),
Docs/quantlib.doxy (1.79), Docs/quantlibheader.html (1.19),
ql/Instruments/swap.hpp (1.24),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.15),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.17), ql/ShortRateModels/TwoFactorModels/g2.hpp (1.16):
Bug list added
2003-12-15 18:16 Luigi Ballabio
* ql/Instruments/barrieroption.cpp (1.12):
Compiles with Boost
2003-12-15 16:42 Ferdinando Ametrano
* ql/: Lattices/binomialtree.cpp (1.17),
Pricers/singleassetoption.cpp (1.25),
ShortRateModels/OneFactorModels/coxingersollross.cpp (1.18),
ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.17):
handling strike=0.0 where possible
2003-12-15 14:51 Ferdinando Ametrano
* ql/Instruments/vanillaoption.cpp (1.33),
ql/Instruments/vanillaoption.hpp (1.31),
ql/Lattices/binomialtree.cpp (1.16), ql/Lattices/binomialtree.hpp
(1.13), test-suite/europeanoption.cpp (1.27):
added Leisen-Reimer binomial tree
2003-12-15 14:33 Ferdinando Ametrano
* ql/Math/binomialdistribution.hpp (1.4):
requiring odd n
2003-12-15 11:22 Ferdinando Ametrano
* ql/Math/binomialdistribution.hpp (1.3):
typo
2003-12-15 10:36 Luigi Ballabio
* ql/Math/binomialdistribution.hpp (1.2):
Grrr
2003-12-15 10:25 Ferdinando Ametrano
* QuantLib.dsp (1.199), ql/quantlib.hpp (1.137),
ql/Math/Makefile.am (1.34), ql/Math/beta.cpp (1.2),
ql/Math/beta.hpp (1.2), ql/Math/binomialdistribution.hpp (1.1):
added binomialCoefficientLn, binomialCoefficient,
BinomialDistribution, CumulativeBinomialDistribution, and
PeizerPrattMethod2Inversion
2003-12-15 10:17 Luigi Ballabio
* QuantLib.dsp (1.198), ql/discretizedasset.hpp (1.5),
ql/Math/Makefile.am (1.33), ql/Math/comparison.hpp (1.1):
Somewhat better floating-point comparison
2003-12-14 16:31 Ferdinando Ametrano
* ql/Math/: Makefile.am (1.32), beta.cpp (1.1), beta.hpp (1.1),
makefile.mak (1.30):
added beta function(s)
2003-12-12 15:26 Ferdinando Ametrano
* test-suite/: factorial.cpp (1.4), factorial.hpp (1.2):
added poisson pdf and cdf tests
2003-12-12 12:44 Ferdinando Ametrano
* QuantLib.dsp (1.197), ql/quantlib.hpp (1.136),
ql/Math/Makefile.am (1.30), ql/Math/incompletegamma.cpp (1.1),
ql/Math/incompletegamma.hpp (1.1), ql/Math/makefile.mak (1.29),
ql/Math/poissondistribution.hpp (1.1), test-suite/factorial.cpp
(1.3):
added poisson distribution added cumulativr poisson distribution
added incomplete gamma function(s)
2003-12-12 10:27 Luigi Ballabio
* ql/Patterns/composite.hpp (1.3):
Convenience typedefs
2003-12-11 18:37 Luigi Ballabio
* ql/Math/: factorial.cpp (1.2), factorial.hpp (1.2):
Just because Size is an unsigned int, it doesn't mean that all
unsigned ints are Sizes
2003-12-11 17:56 Ferdinando Ametrano
* QuantLib.dsp (1.196), ql/Math/Makefile.am (1.29),
ql/Math/factorial.cpp (1.1), ql/Math/factorial.hpp (1.1),
ql/Math/gammadistribution.cpp (1.8), ql/Math/gammadistribution.hpp
(1.8), ql/Math/makefile.mak (1.28), test-suite/Makefile.am (1.20),
test-suite/factorial.cpp (1.1), test-suite/factorial.hpp (1.1),
test-suite/makefile.mak (1.19), test-suite/quantlibtestsuite.cpp
(1.44), test-suite/testsuite.dsp (1.19):
added factorial added factorial and gamma function tests
2003-12-11 11:39 Luigi Ballabio
* ql/Optimization/method.hpp (1.11):
sigh
2003-12-11 11:24 Ferdinando Ametrano
* ql/Optimization/method.hpp (1.10):
deprecated typedef removed
2003-12-11 11:10 Ferdinando Ametrano
* QuantLib.dsp (1.195), ql/Math/Makefile.am (1.28),
ql/Math/makefile.mak (1.27), ql/Math/matrix.hpp (1.21),
test-suite/covariance.cpp (1.14), test-suite/matrices.cpp (1.8):
Cholesky as CholeskyDecomposition function SalvagingAlgorithm as
structure
2003-12-11 10:53 Luigi Ballabio
* ql/: quantlib.hpp (1.135), Patterns/composite.hpp (1.1):
Composite pattern
2003-12-10 18:18 Ferdinando Ametrano
* QuantLib.dsp (1.194), ql/errors.hpp (1.14), ql/Math/matrix.hpp
(1.20), test-suite/old_pricers.cpp (1.27):
added rankReducedSqrt improved pseudoSqrt
2003-12-10 18:14 Ferdinando Ametrano
* ql/Math/symmetricschurdecomposition.cpp (1.16):
round off errors
2003-12-10 17:20 Ferdinando Ametrano
* makefile.mak (1.50):
target added
2003-12-10 17:16 Ferdinando Ametrano
* test-suite/matrices.cpp (1.7):
explicit choice of salvaging algorithm
2003-12-10 15:30 Luigi Ballabio
* Docs/quantlib.doxy (1.78):
Parsing headers only
2003-12-10 15:27 Luigi Ballabio
* quantlib.el (1.3), ql/date.hpp (1.25):
Added frequency enumeration
2003-12-10 14:23 Luigi Ballabio
* ql/Calendars/: Makefile.am (1.16), makefile.mak (1.20):
Oversight in copyright dates
2003-12-10 14:15 Marco Marchioro
* QuantLib.dsp (1.193), ql/quantlib.hpp (1.134):
Added calendar for Copenhagen
2003-12-09 17:42 Luigi Ballabio
* test-suite/: covariance.cpp (1.13), matrices.cpp (1.6),
matrices.hpp (1.6), old_pricers.cpp (1.26), quantlibtestsuite.cpp
(1.43):
tests fixed
2003-12-09 10:43 Ferdinando Ametrano
* ql/Math/: Makefile.am (1.27), makefile.mak (1.26):
added Cholesky decomposition
2003-12-09 10:33 Ferdinando Ametrano
* ql/Math/symmetricschurdecomposition.cpp (1.15):
eigenvectors now have the first component always positive, to allow
for easy consistent comparison between similar matrices
2003-12-08 16:10 Ferdinando Ametrano
* ql/Volatilities/: blackvariancecurve.cpp (1.7),
blackvariancesurface.cpp (1.7):
bug fix for short time (0<=t<=Tmin) interpolation
2003-12-05 17:03 Luigi Ballabio
* QuantLib.dsp (1.192), ql/pricingengine.hpp (1.14),
ql/quantlib.hpp (1.133), ql/PricingEngines/Makefile.am (1.28),
ql/PricingEngines/genericmodelengine.hpp (1.1),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.9):
moved GenericEngine into pricingengine.hpp (they're strongly
coupled anyway)
2003-12-04 14:35 Marco Marchioro
* Authors.txt (1.13):
trying to avoid some spam
2003-12-01 11:39 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.47),
Examples/Swap/swapvaluation.cpp (1.43),
ql/Instruments/barrieroption.cpp (1.11),
ql/Instruments/barrieroption.hpp (1.11),
ql/Instruments/capfloor.cpp (1.47), ql/Instruments/capfloor.hpp
(1.44), ql/Instruments/forwardvanillaoption.cpp (1.18),
ql/Instruments/forwardvanillaoption.hpp (1.15),
ql/Instruments/quantoforwardvanillaoption.cpp (1.13),
ql/Instruments/quantoforwardvanillaoption.hpp (1.10),
ql/Instruments/quantovanillaoption.cpp (1.20),
ql/Instruments/quantovanillaoption.hpp (1.16),
ql/Instruments/stock.cpp (1.14), ql/Instruments/stock.hpp (1.13),
ql/Instruments/vanillaoption.cpp (1.32),
ql/Instruments/vanillaoption.hpp (1.30),
ql/ShortRateModels/calibrationhelper.hpp (1.15),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.26),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.13),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.23),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.11),
ql/TermStructures/flatforward.hpp (1.31),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.17),
ql/TermStructures/ratehelpers.cpp (1.40),
ql/TermStructures/ratehelpers.hpp (1.35),
ql/TermStructures/zerospreadedtermstructure.hpp (1.18),
ql/Volatilities/blackconstantvol.hpp (1.20),
ql/Volatilities/localconstantvol.hpp (1.16),
ql/Volatilities/localvolsurface.cpp (1.6),
ql/Volatilities/localvolsurface.hpp (1.15),
test-suite/barrieroption.cpp (1.13), test-suite/capfloor.cpp
(1.24), test-suite/europeanoption.cpp (1.26),
test-suite/instruments.cpp (1.8),
test-suite/piecewiseflatforward.cpp (1.13), test-suite/swaption.cpp
(1.15), test-suite/termstructures.cpp (1.12):
MarketElement renamed to Quote
2003-11-27 17:46 Ferdinando Ametrano
* ql/qldefines.hpp (1.62):
checking boost version number
2003-11-27 16:57 Luigi Ballabio
* QuantLib.dsp (1.191):
Removed files for other compilers
2003-11-27 16:45 Ferdinando Ametrano
* dev_tools/tgz2zip (1.2):
user configurations moved to a single place
2003-11-27 16:41 Luigi Ballabio
* ql/userconfig.hpp (1.2):
Added warning for gcc users
2003-11-27 16:32 Luigi Ballabio
* ql/FiniteDifferences/finitedifferencemodel.hpp (1.27):
Compiles using boost on Visual
2003-11-27 15:57 Ferdinando Ametrano
* QuantLib.dsp (1.190):
user configurations moved to a single place
2003-11-27 15:50 Ferdinando Ametrano
* ql/: Makefile.am (1.42), config.ansi.hpp (1.23), config.bcc.hpp
(1.24), config.msvc.hpp (1.42), config.mwcw.hpp (1.22),
userconfig.hpp (1.1):
user configurations moved to a single place
2003-11-27 15:40 Ferdinando Ametrano
* Examples/BermudanSwaption/makefile.mak (1.12),
Examples/DiscreteHedging/makefile.mak (1.15),
Examples/Swap/makefile.mak (1.15), ql/makefile.mak (1.40),
ql/Calendars/makefile.mak (1.19), ql/CashFlows/makefile.mak (1.17),
ql/DayCounters/makefile.mak (1.16),
ql/FiniteDifferences/makefile.mak (1.16), ql/Indexes/makefile.mak
(1.14), ql/Instruments/makefile.mak (1.24),
ql/Lattices/makefile.mak (1.22), ql/Math/makefile.mak (1.25),
ql/MonteCarlo/makefile.mak (1.24), ql/Optimization/makefile.mak
(1.14), ql/Pricers/makefile.mak (1.36),
ql/PricingEngines/makefile.mak (1.27),
ql/RandomNumbers/makefile.mak (1.22),
ql/ShortRateModels/makefile.mak (1.11),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.10),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.10),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.10),
ql/TermStructures/makefile.mak (1.19), ql/Volatilities/makefile.mak
(1.5), test-suite/makefile.mak (1.18):
Borland makefiles ready for boost
2003-11-27 13:20 Ferdinando Ametrano
* test-suite/riskstats.cpp (1.29):
must be equal!
2003-11-27 11:58 Luigi Ballabio
* test-suite/europeanoption.cpp (1.25):
Ouch
2003-11-27 11:46 Luigi Ballabio
* acinclude.m4 (1.8), configure.ac (1.28),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.46),
Examples/Swap/swapvaluation.cpp (1.42), ql/config.ansi.hpp (1.22),
ql/config.bcc.hpp (1.23), ql/config.msvc.hpp (1.41),
ql/config.mwcw.hpp (1.21), ql/handle.hpp (1.17), ql/instrument.hpp
(1.26), ql/option.hpp (1.20), ql/pricingengine.hpp (1.13),
ql/CashFlows/parcoupon.cpp (1.7),
ql/CashFlows/shortfloatingcoupon.cpp (1.14),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.26),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.29),
ql/Instruments/barrieroption.cpp (1.10),
ql/Instruments/capfloor.cpp (1.46),
ql/Instruments/quantoforwardvanillaoption.cpp (1.12),
ql/Instruments/quantovanillaoption.cpp (1.19),
ql/Instruments/swap.cpp (1.28), ql/Instruments/vanillaoption.cpp
(1.31), ql/MonteCarlo/montecarlomodel.hpp (1.30),
ql/Patterns/bridge.hpp (1.8), ql/Patterns/observable.hpp (1.18),
ql/ShortRateModels/model.cpp (1.18), ql/ShortRateModels/model.hpp
(1.25), ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp
(1.14),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.16), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.15),
ql/TermStructures/ratehelpers.cpp (1.39), test-suite/capfloor.cpp
(1.23), test-suite/europeanoption.cpp (1.24):
Use boost::shared_ptr if available
2003-11-24 12:01 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.45),
ql/Optimization/armijo.cpp (1.17),
ql/Optimization/conjugategradient.hpp (1.17),
ql/Optimization/leastsquare.hpp (1.24), ql/Optimization/method.hpp
(1.9), ql/Optimization/problem.hpp (1.10),
ql/Optimization/simplex.hpp (1.14),
ql/Optimization/steepestdescent.hpp (1.18),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.8),
ql/ShortRateModels/model.cpp (1.17), ql/ShortRateModels/model.hpp
(1.24), ql/ShortRateModels/onefactormodel.cpp (1.14),
ql/ShortRateModels/onefactormodel.hpp (1.14),
ql/ShortRateModels/twofactormodel.cpp (1.10),
ql/ShortRateModels/twofactormodel.hpp (1.10):
Model and Method renamed to ShortRateModel and OptimizationMethod,
respectively. Typedefs are provided for backward
compatibility--they will be removed in subsequent releases.
2003-11-21 18:34 Ferdinando Ametrano
* ql/Math/gaussianstatistics.hpp (1.12), test-suite/riskstats.cpp
(1.28):
GaussianStatistics finally works
2003-11-21 17:47 Ferdinando Ametrano
* ChangeLog.txt (1.40):
older part of the changelog removed
2003-11-21 17:43 Ferdinando Ametrano
* ChangeLog.txt (1.39):
older part of the changelog removed
2003-11-21 15:45 Ferdinando Ametrano
* ql/Math/: gaussianstatistics.hpp (1.11),
symmetricschurdecomposition.cpp (1.14):
nothing relevant
2003-11-21 11:13 Marco Marchioro
* Docs/README.txt (1.24):
info on downloading fancy_header updated
2003-11-20 19:12 Ferdinando Ametrano
* ql/Math/gaussianstatistics.hpp (1.10):
helper class
2003-11-20 18:54 Ferdinando Ametrano
* QuantLib.dsp (1.189), makefile.mak (1.49), ql/quantlib.hpp
(1.132), ql/Math/Makefile.am (1.26), ql/Math/makefile.mak (1.24),
ql/Math/sequencestatistics.hpp (1.23), test-suite/covariance.cpp
(1.12):
The already deprecated MultivariateAccumulator is gone. Use
SequenceStatistics instead
2003-11-20 18:03 Ferdinando Ametrano
* ql/PricingEngines/makefile.mak (1.26):
Missed in action. Rest in peace
2003-11-20 18:01 Ferdinando Ametrano
* ql/Pricers/makefile.mak (1.35):
MIA RIP
2003-11-20 17:53 Luigi Ballabio
* QuantLib.spec.in (1.2):
Added Liguo's mods
2003-11-20 17:53 Luigi Ballabio
* ql/Math/incrementalstatistics.hpp (1.6):
Typos and minor stuff
2003-11-20 17:52 Luigi Ballabio
* ql/Math/statistics.hpp (1.29), test-suite/riskstats.cpp (1.27),
test-suite/stats.cpp (1.17):
Removed unneeded dependencies
2003-11-19 17:11 Ferdinando Ametrano
* ql/: calendar.hpp (1.29), cashflow.hpp (1.16), daycounter.hpp
(1.24), index.hpp (1.16), instrument.hpp (1.25), pricingengine.hpp
(1.12), qldefines.hpp (1.61), solver1d.hpp (1.18),
termstructure.hpp (1.37), voltermstructure.hpp (1.18),
FiniteDifferences/finitedifferencemodel.hpp (1.25),
Lattices/lattice.hpp (1.10), MonteCarlo/montecarlomodel.hpp (1.29),
Optimization/problem.hpp (1.9), Patterns/observable.hpp (1.17),
Pricers/singleassetoption.hpp (1.30),
RandomNumbers/knuthuniformrng.hpp (1.15), ShortRateModels/model.hpp
(1.23), Volatilities/swaptionvolmatrix.hpp (1.18):
deprecated inner namespace definitions moved to a single place, in
order to allow easy way to comment them out and check if one's code
still rely on them
2003-11-19 11:31 Ferdinando Ametrano
* ql/quantlib.hpp (1.131):
Functions namespace deprecated but still supported
2003-11-19 10:51 Ferdinando Ametrano
* Authors.txt (1.12), Contributors.txt (1.22), LICENSE.TXT (1.15),
News.txt (1.33), QuantLib.dsp (1.188), QuantLib.nsi (1.87),
configure.ac (1.27), Docs/quantlib.doxy (1.76),
Docs/pages/authors.docs (1.25), Docs/pages/history.docs (1.13),
Docs/pages/license.docs (1.15), Docs/pages/usage.docs (1.13),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.10),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.12),
Examples/Swap/Swap.dsp (1.11), dev_tools/QLdebugzip.bat (1.2),
ql/argsandresults.hpp (1.16), ql/config.msvc.hpp (1.40),
ql/voltermstructure.cpp (1.12), ql/Instruments/capfloor.hpp (1.43),
ql/Instruments/swap.hpp (1.23), ql/Instruments/vanillaoption.hpp
(1.29), ql/Math/symmetricschurdecomposition.cpp (1.13),
ql/Math/symmetricschurdecomposition.hpp (1.13),
ql/Pricers/singleassetoption.hpp (1.29),
ql/Volatilities/blackvariancecurve.cpp (1.6),
ql/Volatilities/blackvariancesurface.cpp (1.6),
test-suite/Makefile.am (1.19), test-suite/covariance.cpp (1.11),
test-suite/lowdiscrepancysequences.cpp (1.39),
test-suite/old_pricers.cpp (1.25), test-suite/testsuite.dsp (1.18):
R000304f0-branch-merge1 merged into trunk
2003-11-18 20:52 Ferdinando Ametrano
* Examples/BermudanSwaption/makefile.mak (1.11),
Examples/DiscreteHedging/makefile.mak (1.14),
Examples/Swap/makefile.mak (1.14), ql/makefile.mak (1.39),
ql/Calendars/makefile.mak (1.18), ql/CashFlows/makefile.mak (1.16),
ql/DayCounters/makefile.mak (1.15),
ql/FiniteDifferences/makefile.mak (1.15), ql/Indexes/makefile.mak
(1.13), ql/Instruments/makefile.mak (1.23),
ql/Lattices/makefile.mak (1.21), ql/Math/makefile.mak (1.23),
ql/MonteCarlo/makefile.mak (1.23), ql/Optimization/makefile.mak
(1.13), ql/PricingEngines/makefile.mak (1.25),
ql/RandomNumbers/makefile.mak (1.21),
ql/ShortRateModels/makefile.mak (1.10),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.9),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.9),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.9),
ql/TermStructures/makefile.mak (1.18), ql/Volatilities/makefile.mak
(1.4), test-suite/makefile.mak (1.17):
trying to improve Borland performances
2003-11-18 19:31 Ferdinando Ametrano
* dev_tools/QLdebugzip.bat (1.1):
file QLdebugzip.bat was initially added on branch R000304f0-branch.
2003-11-11 16:40 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.44),
Examples/Swap/swapvaluation.cpp (1.41), ql/history.hpp (1.18),
ql/quantlib.hpp (1.130), ql/termstructure.hpp (1.36),
ql/voltermstructure.hpp (1.17), ql/Instruments/barrieroption.cpp
(1.9), ql/Instruments/vanillaoption.cpp (1.30),
ql/Math/lexicographicalview.hpp (1.13), ql/Math/matrix.hpp (1.19),
ql/TermStructures/compoundforward.cpp (1.28),
ql/TermStructures/compoundforward.hpp (1.22),
ql/TermStructures/discountcurve.hpp (1.22),
ql/TermStructures/drifttermstructure.hpp (1.7),
ql/TermStructures/extendeddiscountcurve.cpp (1.4),
ql/TermStructures/extendeddiscountcurve.hpp (1.6),
ql/TermStructures/flatforward.hpp (1.30),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.16),
ql/TermStructures/impliedtermstructure.hpp (1.15),
ql/TermStructures/piecewiseflatforward.cpp (1.37),
ql/TermStructures/piecewiseflatforward.hpp (1.33),
ql/TermStructures/quantotermstructure.hpp (1.10),
ql/TermStructures/ratehelpers.cpp (1.38),
ql/TermStructures/ratehelpers.hpp (1.34),
ql/TermStructures/zerocurve.hpp (1.7),
ql/TermStructures/zerospreadedtermstructure.hpp (1.17),
ql/Utilities/steppingiterator.hpp (1.13),
ql/Volatilities/blackconstantvol.hpp (1.19),
ql/Volatilities/blackvariancecurve.cpp (1.5),
ql/Volatilities/blackvariancecurve.hpp (1.25),
ql/Volatilities/blackvariancesurface.cpp (1.5),
ql/Volatilities/blackvariancesurface.hpp (1.27),
ql/Volatilities/capflatvolvector.hpp (1.13),
ql/Volatilities/impliedvoltermstructure.hpp (1.9),
ql/Volatilities/localconstantvol.hpp (1.15),
ql/Volatilities/localvolcurve.hpp (1.10),
ql/Volatilities/localvolsurface.cpp (1.5),
ql/Volatilities/localvolsurface.hpp (1.14),
ql/Volatilities/swaptionvolmatrix.hpp (1.17),
test-suite/barrieroption.cpp (1.12), test-suite/capfloor.cpp
(1.22), test-suite/compoundforward.cpp (1.8),
test-suite/europeanoption.cpp (1.23),
test-suite/piecewiseflatforward.cpp (1.12), test-suite/swap.cpp
(1.13), test-suite/swaption.cpp (1.14),
test-suite/termstructures.cpp (1.11):
Inner namespaces are gone. Fake aliases are still provided for
compatibility.
2003-11-11 09:31 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.43),
ql/quantlib.hpp (1.129), ql/solver1d.hpp (1.17),
ql/FiniteDifferences/onefactoroperator.hpp (1.17),
ql/Instruments/capfloor.cpp (1.45),
ql/Instruments/vanillaoption.cpp (1.29), ql/MonteCarlo/mctraits.hpp
(1.8), ql/MonteCarlo/mctypedefs.hpp (1.27),
ql/MonteCarlo/pathgenerator.hpp (1.42), ql/Optimization/armijo.cpp
(1.16), ql/Optimization/armijo.hpp (1.17),
ql/Optimization/conjugategradient.cpp (1.17),
ql/Optimization/conjugategradient.hpp (1.16),
ql/Optimization/constraint.hpp (1.15),
ql/Optimization/costfunction.hpp (1.18),
ql/Optimization/criteria.hpp (1.15),
ql/Optimization/leastsquare.hpp (1.23),
ql/Optimization/linesearch.hpp (1.16), ql/Optimization/method.hpp
(1.8), ql/Optimization/problem.hpp (1.8),
ql/Optimization/simplex.cpp (1.10), ql/Optimization/simplex.hpp
(1.13), ql/Optimization/steepestdescent.cpp (1.15),
ql/Optimization/steepestdescent.hpp (1.17),
ql/Pricers/singleassetoption.cpp (1.24),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.7),
ql/RandomNumbers/boxmullergaussianrng.hpp (1.13),
ql/RandomNumbers/centrallimitgaussianrng.hpp (1.13),
ql/RandomNumbers/haltonrsg.cpp (1.12),
ql/RandomNumbers/haltonrsg.hpp (1.11),
ql/RandomNumbers/knuthuniformrng.cpp (1.10),
ql/RandomNumbers/knuthuniformrng.hpp (1.14),
ql/RandomNumbers/lecuyeruniformrng.cpp (1.10),
ql/RandomNumbers/lecuyeruniformrng.hpp (1.12),
ql/RandomNumbers/mt19937uniformrng.cpp (1.8),
ql/RandomNumbers/mt19937uniformrng.hpp (1.12),
ql/RandomNumbers/randomsequencegenerator.hpp (1.10),
ql/RandomNumbers/sobolrsg.cpp (1.23), ql/RandomNumbers/sobolrsg.hpp
(1.12), ql/ShortRateModels/calibrationhelper.cpp (1.8),
ql/ShortRateModels/calibrationhelper.hpp (1.14),
ql/ShortRateModels/model.cpp (1.16), ql/ShortRateModels/model.hpp
(1.22), ql/ShortRateModels/onefactormodel.cpp (1.13),
ql/ShortRateModels/onefactormodel.hpp (1.13),
ql/ShortRateModels/parameter.hpp (1.13),
ql/ShortRateModels/twofactormodel.cpp (1.9),
ql/ShortRateModels/twofactormodel.hpp (1.9),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.25),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.12),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.22),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.10),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.13),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.10),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.17),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.14),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.15),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.16), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.14),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.15),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.9),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.9),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.14),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.15),
ql/Solvers1D/bisection.hpp (1.12), ql/Solvers1D/brent.hpp (1.12),
ql/Solvers1D/falseposition.hpp (1.12), ql/Solvers1D/newton.hpp
(1.13), ql/Solvers1D/newtonsafe.hpp (1.13), ql/Solvers1D/ridder.hpp
(1.12), ql/Solvers1D/secant.hpp (1.12),
ql/TermStructures/piecewiseflatforward.cpp (1.36),
test-suite/lowdiscrepancysequences.cpp (1.38),
test-suite/mersennetwister.cpp (1.10), test-suite/old_pricers.cpp
(1.24), test-suite/riskstats.cpp (1.26), test-suite/solvers.cpp
(1.7):
More inner namespaces are goners
2003-11-10 12:59 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.42),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.28),
ql/calendar.hpp (1.28), ql/capvolstructures.hpp (1.8),
ql/cashflow.hpp (1.15), ql/daycounter.hpp (1.23), ql/index.hpp
(1.15), ql/instrument.hpp (1.24), ql/pricingengine.hpp (1.11),
ql/quantlib.hpp (1.128), ql/solver1d.hpp (1.16),
ql/swaptionvolstructure.hpp (1.9), ql/termstructure.hpp (1.35),
ql/voltermstructure.hpp (1.16), ql/CashFlows/coupon.hpp (1.18),
ql/CashFlows/fixedratecoupon.hpp (1.20),
ql/CashFlows/floatingratecoupon.hpp (1.29),
ql/CashFlows/inarrearindexedcoupon.hpp (1.10),
ql/CashFlows/indexedcoupon.hpp (1.10), ql/CashFlows/parcoupon.hpp
(1.8), ql/CashFlows/shortfloatingcoupon.hpp (1.15),
ql/CashFlows/simplecashflow.hpp (1.13),
ql/CashFlows/upfrontindexedcoupon.hpp (1.10), ql/Indexes/xibor.hpp
(1.20), ql/Instruments/barrieroption.cpp (1.8),
ql/Instruments/capfloor.cpp (1.44), ql/Lattices/binomialtree.cpp
(1.15), ql/Lattices/binomialtree.hpp (1.12),
ql/Lattices/bsmlattice.hpp (1.8), ql/Lattices/lattice.hpp (1.9),
ql/Lattices/lattice2d.hpp (1.8), ql/Lattices/tree.hpp (1.20),
ql/Lattices/trinomialtree.cpp (1.18), ql/Lattices/trinomialtree.hpp
(1.11), ql/MonteCarlo/brownianbridge.hpp (1.10),
ql/MonteCarlo/getcovariance.hpp (1.15), ql/MonteCarlo/mctraits.hpp
(1.7), ql/MonteCarlo/mctypedefs.hpp (1.26),
ql/MonteCarlo/montecarlomodel.hpp (1.28),
ql/MonteCarlo/multipath.hpp (1.18),
ql/MonteCarlo/multipathgenerator.hpp (1.36), ql/MonteCarlo/path.hpp
(1.18), ql/MonteCarlo/pathgenerator.hpp (1.41),
ql/MonteCarlo/pathpricer.hpp (1.17), ql/MonteCarlo/sample.hpp
(1.11), ql/Optimization/constraint.hpp (1.14),
ql/Patterns/bridge.hpp (1.7), ql/Patterns/curiouslyrecurring.hpp
(1.3), ql/Patterns/lazyobject.hpp (1.7), ql/Patterns/observable.hpp
(1.16), ql/Patterns/visitor.hpp (1.6),
ql/Pricers/discretegeometricaso.cpp (1.14),
ql/Pricers/discretegeometricaso.hpp (1.12),
ql/Pricers/mccliquetoption.cpp (1.17),
ql/Pricers/mccliquetoption.hpp (1.15),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.21),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.18),
ql/Pricers/mceverest.cpp (1.25), ql/Pricers/mceverest.hpp (1.20),
ql/Pricers/mchimalaya.cpp (1.25), ql/Pricers/mchimalaya.hpp (1.20),
ql/Pricers/mcmaxbasket.cpp (1.22), ql/Pricers/mcmaxbasket.hpp
(1.20), ql/Pricers/mcpagoda.cpp (1.24), ql/Pricers/mcpagoda.hpp
(1.21), ql/Pricers/mcperformanceoption.cpp (1.16),
ql/Pricers/mcperformanceoption.hpp (1.13), ql/Pricers/mcpricer.hpp
(1.27), ql/Pricers/singleassetoption.cpp (1.23),
ql/Pricers/singleassetoption.hpp (1.28),
ql/PricingEngines/Makefile.am (1.27),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.6),
ql/RandomNumbers/boxmullergaussianrng.hpp (1.12),
ql/RandomNumbers/centrallimitgaussianrng.hpp (1.12),
ql/RandomNumbers/haltonrsg.hpp (1.10),
ql/RandomNumbers/knuthuniformrng.hpp (1.13),
ql/RandomNumbers/lecuyeruniformrng.hpp (1.11),
ql/RandomNumbers/mt19937uniformrng.hpp (1.11),
ql/RandomNumbers/randomsequencegenerator.hpp (1.9),
ql/RandomNumbers/sobolrsg.hpp (1.11),
ql/ShortRateModels/calibrationhelper.hpp (1.13),
ql/ShortRateModels/model.hpp (1.21),
ql/ShortRateModels/onefactormodel.cpp (1.12),
ql/ShortRateModels/onefactormodel.hpp (1.12),
ql/ShortRateModels/parameter.hpp (1.12),
ql/ShortRateModels/twofactormodel.cpp (1.8),
ql/ShortRateModels/twofactormodel.hpp (1.8),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.24),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.21),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.12),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.9),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.16),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.13),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.14),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.15), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.13),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.14),
ql/TermStructures/compoundforward.hpp (1.21),
ql/TermStructures/drifttermstructure.hpp (1.6),
ql/TermStructures/extendeddiscountcurve.hpp (1.5),
ql/TermStructures/flatforward.hpp (1.29),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.15),
ql/TermStructures/impliedtermstructure.hpp (1.14),
ql/TermStructures/piecewiseflatforward.hpp (1.32),
ql/TermStructures/quantotermstructure.hpp (1.9),
ql/TermStructures/ratehelpers.hpp (1.33),
ql/TermStructures/zerospreadedtermstructure.hpp (1.16),
ql/Volatilities/blackconstantvol.hpp (1.18),
ql/Volatilities/blackvariancecurve.hpp (1.24),
ql/Volatilities/blackvariancesurface.hpp (1.26),
ql/Volatilities/impliedvoltermstructure.hpp (1.8),
ql/Volatilities/localconstantvol.hpp (1.14),
ql/Volatilities/localvolcurve.hpp (1.9),
ql/Volatilities/localvolsurface.cpp (1.4),
ql/Volatilities/localvolsurface.hpp (1.13),
test-suite/barrieroption.cpp (1.11), test-suite/capfloor.cpp
(1.21), test-suite/covariance.cpp (1.10),
test-suite/europeanoption.cpp (1.22), test-suite/old_pricers.cpp
(1.23), test-suite/swaption.cpp (1.13), test-suite/utilities.hpp
(1.5):
Nuked a few namespaces more
2003-11-07 18:09 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.27),
ql/quantlib.hpp (1.127), ql/Lattices/lattice2d.hpp (1.7),
ql/Math/bicubicsplineinterpolation.hpp (1.10),
ql/Math/bilinearinterpolation.hpp (1.17),
ql/Math/chisquaredistribution.cpp (1.9),
ql/Math/chisquaredistribution.hpp (1.9), ql/Math/cubicspline.hpp
(1.31), ql/Math/discrepancystatistics.cpp (1.6),
ql/Math/discrepancystatistics.hpp (1.11), ql/Math/errorfunction.cpp
(1.5), ql/Math/errorfunction.hpp (1.5), ql/Math/functional.hpp
(1.4), ql/Math/gammadistribution.cpp (1.7),
ql/Math/gammadistribution.hpp (1.7), ql/Math/gaussianstatistics.hpp
(1.9), ql/Math/generalstatistics.cpp (1.9),
ql/Math/generalstatistics.hpp (1.9),
ql/Math/incrementalstatistics.cpp (1.7),
ql/Math/incrementalstatistics.hpp (1.5), ql/Math/interpolation.hpp
(1.20), ql/Math/interpolation2D.hpp (1.14),
ql/Math/kronrodintegral.hpp (1.5), ql/Math/lexicographicalview.hpp
(1.12), ql/Math/linearinterpolation.hpp (1.17),
ql/Math/loglinearinterpolation.hpp (1.19), ql/Math/matrix.hpp
(1.18), ql/Math/normaldistribution.cpp (1.22),
ql/Math/normaldistribution.hpp (1.25), ql/Math/primenumbers.cpp
(1.11), ql/Math/primenumbers.hpp (1.9), ql/Math/riskstatistics.hpp
(1.7), ql/Math/segmentintegral.hpp (1.21),
ql/Math/sequencestatistics.hpp (1.22), ql/Math/simpsonintegral.hpp
(1.3), ql/Math/statistics.hpp (1.28), ql/Math/svd.cpp (1.4),
ql/Math/svd.hpp (1.4), ql/Math/symmetriceigenvalues.hpp (1.12),
ql/Math/symmetricschurdecomposition.cpp (1.12),
ql/Math/symmetricschurdecomposition.hpp (1.12),
ql/Math/trapezoidintegral.hpp (1.3),
ql/MonteCarlo/getcovariance.hpp (1.14), ql/MonteCarlo/mctraits.hpp
(1.6), ql/MonteCarlo/montecarlomodel.hpp (1.27),
ql/MonteCarlo/multipathgenerator.hpp (1.35),
ql/Optimization/leastsquare.hpp (1.22),
ql/Pricers/discretegeometricaso.cpp (1.13),
ql/Pricers/discretegeometricaso.hpp (1.11),
ql/Pricers/mccliquetoption.cpp (1.16),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.20),
ql/Pricers/mceverest.cpp (1.24), ql/Pricers/mceverest.hpp (1.19),
ql/Pricers/mchimalaya.cpp (1.24), ql/Pricers/mchimalaya.hpp (1.19),
ql/Pricers/mcmaxbasket.cpp (1.21), ql/Pricers/mcmaxbasket.hpp
(1.19), ql/Pricers/mcpagoda.cpp (1.23), ql/Pricers/mcpagoda.hpp
(1.20), ql/Pricers/mcperformanceoption.cpp (1.15),
ql/Pricers/mcpricer.hpp (1.26), ql/RandomNumbers/haltonrsg.cpp
(1.11), ql/ShortRateModels/OneFactorModels/coxingersollross.cpp
(1.15),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.13), ql/ShortRateModels/TwoFactorModels/g2.cpp (1.13),
ql/TermStructures/compoundforward.cpp (1.27),
ql/TermStructures/compoundforward.hpp (1.20),
ql/TermStructures/discountcurve.hpp (1.21),
ql/TermStructures/zerocurve.hpp (1.6),
ql/Volatilities/blackvariancecurve.cpp (1.4),
ql/Volatilities/blackvariancecurve.hpp (1.23),
ql/Volatilities/blackvariancesurface.cpp (1.4),
ql/Volatilities/blackvariancesurface.hpp (1.25),
ql/Volatilities/capflatvolvector.hpp (1.12),
ql/Volatilities/swaptionvolmatrix.hpp (1.16),
test-suite/covariance.cpp (1.9), test-suite/distributions.cpp
(1.10), test-suite/integrals.cpp (1.7),
test-suite/lowdiscrepancysequences.cpp (1.37),
test-suite/matrices.cpp (1.5), test-suite/old_pricers.cpp (1.22),
test-suite/operators.cpp (1.8), test-suite/riskstats.cpp (1.25),
test-suite/stats.cpp (1.16):
Removed the Math namespace
2003-11-07 13:52 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.41),
Examples/Swap/swapvaluation.cpp (1.40), ql/instrument.hpp (1.23),
ql/quantlib.hpp (1.126), ql/Instruments/barrieroption.cpp (1.7),
ql/Instruments/barrieroption.hpp (1.10),
ql/Instruments/capfloor.cpp (1.43), ql/Instruments/capfloor.hpp
(1.42), ql/Instruments/cliquetoption.hpp (1.4),
ql/Instruments/forwardvanillaoption.cpp (1.17),
ql/Instruments/forwardvanillaoption.hpp (1.14),
ql/Instruments/quantoforwardvanillaoption.cpp (1.11),
ql/Instruments/quantoforwardvanillaoption.hpp (1.9),
ql/Instruments/quantovanillaoption.cpp (1.18),
ql/Instruments/quantovanillaoption.hpp (1.15),
ql/Instruments/stock.cpp (1.13), ql/Instruments/stock.hpp (1.12),
ql/Instruments/swap.cpp (1.27), ql/Instruments/swap.hpp (1.22),
ql/Instruments/swaption.cpp (1.37), ql/Instruments/swaption.hpp
(1.31), ql/Instruments/vanillaoption.cpp (1.28),
ql/Instruments/vanillaoption.hpp (1.28),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.23),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.11),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.20),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.9),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.12),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.14),
ql/TermStructures/ratehelpers.cpp (1.37),
ql/TermStructures/ratehelpers.hpp (1.32),
test-suite/barrieroption.cpp (1.10), test-suite/capfloor.cpp
(1.20), test-suite/compoundforward.cpp (1.7),
test-suite/europeanoption.cpp (1.21), test-suite/instruments.cpp
(1.7), test-suite/piecewiseflatforward.cpp (1.11),
test-suite/swap.cpp (1.12), test-suite/swaption.cpp (1.12):
Removed the Instruments namespace
2003-11-07 11:46 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.40),
Examples/Swap/swapvaluation.cpp (1.39), ql/index.hpp (1.14),
ql/quantlib.hpp (1.125), ql/CashFlows/cashflowvectors.cpp (1.29),
ql/CashFlows/cashflowvectors.hpp (1.24),
ql/CashFlows/inarrearindexedcoupon.hpp (1.9),
ql/CashFlows/indexedcoupon.hpp (1.9), ql/CashFlows/parcoupon.cpp
(1.6), ql/CashFlows/parcoupon.hpp (1.7),
ql/CashFlows/shortfloatingcoupon.cpp (1.13),
ql/CashFlows/shortfloatingcoupon.hpp (1.14),
ql/CashFlows/shortindexedcoupon.hpp (1.8),
ql/CashFlows/upfrontindexedcoupon.hpp (1.9),
ql/Indexes/audlibor.hpp (1.12), ql/Indexes/cadlibor.hpp (1.12),
ql/Indexes/chflibor.hpp (1.10), ql/Indexes/euribor.hpp (1.16),
ql/Indexes/gbplibor.hpp (1.16), ql/Indexes/jpylibor.hpp (1.11),
ql/Indexes/usdlibor.hpp (1.16), ql/Indexes/xibor.cpp (1.15),
ql/Indexes/xibor.hpp (1.19),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.22),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.10),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.19),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.8),
ql/TermStructures/ratehelpers.cpp (1.36), test-suite/capfloor.cpp
(1.19), test-suite/compoundforward.cpp (1.6),
test-suite/piecewiseflatforward.cpp (1.10), test-suite/swap.cpp
(1.11), test-suite/swaption.cpp (1.11):
Removed the Indexes namespace
2003-11-07 10:15 Luigi Ballabio
* ql/quantlib.hpp (1.124),
ql/FiniteDifferences/americancondition.hpp (1.17),
ql/FiniteDifferences/boundarycondition.cpp (1.6),
ql/FiniteDifferences/boundarycondition.hpp (1.12),
ql/FiniteDifferences/bsmoperator.cpp (1.14),
ql/FiniteDifferences/bsmoperator.hpp (1.14),
ql/FiniteDifferences/cranknicolson.hpp (1.18),
ql/FiniteDifferences/dminus.hpp (1.13),
ql/FiniteDifferences/dplus.hpp (1.13),
ql/FiniteDifferences/dplusdminus.hpp (1.14),
ql/FiniteDifferences/dzero.hpp (1.13),
ql/FiniteDifferences/expliciteuler.hpp (1.14),
ql/FiniteDifferences/fdtypedefs.hpp (1.11),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.24),
ql/FiniteDifferences/impliciteuler.hpp (1.13),
ql/FiniteDifferences/mixedscheme.hpp (1.10),
ql/FiniteDifferences/onefactoroperator.hpp (1.16),
ql/FiniteDifferences/shoutcondition.hpp (1.16),
ql/FiniteDifferences/stepcondition.hpp (1.12),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.23),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.28),
ql/Math/cubicspline.hpp (1.30), test-suite/operators.cpp (1.7):
Removed the FiniteDifferences namespace
2003-11-06 16:13 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.39),
Examples/Swap/swapvaluation.cpp (1.38), ql/daycounter.hpp (1.22),
ql/quantlib.hpp (1.123), ql/DayCounters/actual360.hpp (1.15),
ql/DayCounters/actualactual.cpp (1.21),
ql/DayCounters/actualactual.hpp (1.19),
ql/DayCounters/simpledaycounter.cpp (1.3),
ql/DayCounters/simpledaycounter.hpp (1.3),
ql/DayCounters/thirty360.cpp (1.14), ql/DayCounters/thirty360.hpp
(1.18), ql/Indexes/audlibor.hpp (1.11), ql/Indexes/cadlibor.hpp
(1.11), ql/Indexes/chflibor.hpp (1.9), ql/Indexes/euribor.hpp
(1.15), ql/Indexes/gbplibor.hpp (1.15), ql/Indexes/jpylibor.hpp
(1.10), ql/Indexes/usdlibor.hpp (1.15),
ql/TermStructures/discountcurve.hpp (1.20),
ql/TermStructures/extendeddiscountcurve.hpp (1.4),
ql/TermStructures/flatforward.hpp (1.28),
ql/TermStructures/zerocurve.hpp (1.5),
ql/Volatilities/blackconstantvol.hpp (1.17),
ql/Volatilities/blackvariancecurve.hpp (1.22),
ql/Volatilities/blackvariancesurface.hpp (1.24),
ql/Volatilities/capflatvolvector.hpp (1.11),
ql/Volatilities/localconstantvol.hpp (1.13),
ql/Volatilities/swaptionvolmatrix.hpp (1.15),
test-suite/barrieroption.cpp (1.9), test-suite/capfloor.cpp (1.18),
test-suite/compoundforward.cpp (1.5), test-suite/daycounters.cpp
(1.7), test-suite/europeanoption.cpp (1.20),
test-suite/piecewiseflatforward.cpp (1.9), test-suite/swap.cpp
(1.10), test-suite/swaption.cpp (1.10),
test-suite/termstructures.cpp (1.10):
Removed the DayCounters namespace
2003-11-06 14:04 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.38),
ql/cashflow.hpp (1.14), ql/quantlib.hpp (1.122),
ql/CashFlows/cashflowvectors.cpp (1.28),
ql/CashFlows/cashflowvectors.hpp (1.23), ql/CashFlows/coupon.hpp
(1.17), ql/CashFlows/fixedratecoupon.hpp (1.19),
ql/CashFlows/floatingratecoupon.hpp (1.28),
ql/CashFlows/inarrearindexedcoupon.hpp (1.8),
ql/CashFlows/indexedcoupon.hpp (1.8), ql/CashFlows/parcoupon.cpp
(1.5), ql/CashFlows/parcoupon.hpp (1.6),
ql/CashFlows/shortfloatingcoupon.cpp (1.12),
ql/CashFlows/shortfloatingcoupon.hpp (1.13),
ql/CashFlows/shortindexedcoupon.hpp (1.7),
ql/CashFlows/simplecashflow.hpp (1.12), ql/CashFlows/timebasket.cpp
(1.3), ql/CashFlows/timebasket.hpp (1.5),
ql/CashFlows/upfrontindexedcoupon.hpp (1.8),
ql/Instruments/capfloor.cpp (1.42), ql/Instruments/swap.cpp (1.26),
ql/Instruments/swap.hpp (1.21), ql/Instruments/swaption.cpp (1.36),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.21),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.18),
test-suite/capfloor.cpp (1.17):
Removed the CashFlows namespace
2003-11-06 12:35 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.37),
Examples/Swap/swapvaluation.cpp (1.37), ql/calendar.hpp (1.27),
ql/quantlib.hpp (1.121), ql/Calendars/jointcalendar.cpp (1.6),
ql/Calendars/jointcalendar.hpp (1.5), ql/Calendars/nullcalendar.hpp
(1.3), ql/Calendars/target.cpp (1.15), ql/Calendars/target.hpp
(1.16), ql/Indexes/audlibor.hpp (1.10), ql/Indexes/cadlibor.hpp
(1.10), ql/Indexes/chflibor.hpp (1.8), ql/Indexes/euribor.hpp
(1.14), ql/Indexes/gbplibor.hpp (1.14), ql/Indexes/jpylibor.hpp
(1.9), ql/Indexes/usdlibor.hpp (1.14), ql/Indexes/xibor.hpp (1.18),
test-suite/barrieroption.cpp (1.8), test-suite/calendars.cpp (1.5),
test-suite/capfloor.cpp (1.16), test-suite/compoundforward.cpp
(1.4), test-suite/europeanoption.cpp (1.19),
test-suite/piecewiseflatforward.cpp (1.8),
test-suite/termstructures.cpp (1.9):
Removed the Calendars namespace
2003-11-05 14:49 Luigi Ballabio
* ql/CashFlows/cashflowvectors.cpp (1.27),
ql/CashFlows/cashflowvectors.hpp (1.22), test-suite/capfloor.cpp
(1.15):
Removed some more
2003-11-05 11:51 Luigi Ballabio
* ql/: Makefile.am (1.41), quantlib.hpp (1.120), Math/Makefile.am
(1.25):
More deprecated stuff goes
2003-11-05 10:22 Luigi Ballabio
* ql/Instruments/barrieroption.cpp (1.6),
ql/Instruments/barrieroption.hpp (1.9),
test-suite/barrieroption.cpp (1.7):
Defaults for barrier and binary engines
2003-11-05 09:13 Luigi Ballabio
* ql/Instruments/capfloor.hpp (1.41):
Removed deprecated typedefs
2003-11-04 18:31 Luigi Ballabio
* ql/quantlib.hpp (1.119), ql/Pricers/Makefile.am (1.36),
ql/Pricers/makefile.mak (1.34), test-suite/old_pricers.cpp (1.21):
Removed a deprecated pricer
2003-11-04 15:00 Luigi Ballabio
* ql/quantlib.hpp (1.118), test-suite/old_pricers.cpp (1.20),
test-suite/old_pricers.hpp (1.8):
Removed a couple of deprecated pricers
2003-11-04 12:42 Luigi Ballabio
* ql/TermStructures/flatforward.hpp (1.27):
Added default day counter
2003-11-03 17:39 Luigi Ballabio
* QuantLib.nsi (1.86), configure.ac (1.26), Docs/quantlib.doxy
(1.75), dev_tools/version_number.txt (1.35), ql/qldefines.hpp
(1.60):
Bumped version number
2003-11-03 17:09 Luigi Ballabio
* QuantLib.nsi (1.85), configure.ac (1.25), Docs/quantlib.doxy
(1.74), dev_tools/version_number.txt (1.34), ql/qldefines.hpp
(1.59):
Bumped version number
2003-11-03 15:56 Ferdinando Ametrano
* News.txt (1.31), Docs/pages/history.docs (1.11):
let's try for November 21th, QuantLib 3rd anniversary :)
2003-11-03 15:51 Ferdinando Ametrano
* ChangeLog.txt (1.38):
updated
2003-11-03 15:48 Ferdinando Ametrano
* News.txt (1.30), Docs/pages/history.docs (1.10),
Docs/pages/usage.docs (1.12):
initial doc update
2003-11-03 14:27 Luigi Ballabio
* ql/ShortRateModels/model.hpp (1.20):
Bug fix
2003-11-03 13:58 Ferdinando Ametrano
* Examples/BermudanSwaption/.cvsignore (1.8),
Examples/DiscreteHedging/.cvsignore (1.8), Examples/Swap/.cvsignore
(1.8), ql/.cvsignore (1.11), ql/Calendars/.cvsignore (1.7),
ql/CashFlows/.cvsignore (1.7), ql/DayCounters/.cvsignore (1.7),
ql/FiniteDifferences/.cvsignore (1.7), ql/Indexes/.cvsignore (1.7),
ql/Instruments/.cvsignore (1.7), ql/Lattices/.cvsignore (1.7),
ql/Math/.cvsignore (1.7), ql/MonteCarlo/.cvsignore (1.7),
ql/Optimization/.cvsignore (1.7), ql/Pricers/.cvsignore (1.7),
ql/PricingEngines/.cvsignore (1.7), ql/RandomNumbers/.cvsignore
(1.7), ql/ShortRateModels/.cvsignore (1.7),
ql/ShortRateModels/CalibrationHelpers/.cvsignore (1.7),
ql/ShortRateModels/OneFactorModels/.cvsignore (1.7),
ql/ShortRateModels/TwoFactorModels/.cvsignore (1.7),
ql/Solvers1D/.cvsignore (1.7), ql/TermStructures/.cvsignore (1.7),
ql/Volatilities/.cvsignore (1.2), test-suite/.cvsignore (1.11):
Borland obj files ignored
2003-11-03 13:18 Ferdinando Ametrano
* ChangeLog.txt (1.37):
updated
2003-11-03 13:00 Ferdinando Ametrano
* Docs/README.txt (1.23), ql/Instruments/barrieroption.hpp (1.8),
ql/Instruments/capfloor.cpp (1.41),
ql/Instruments/quantoforwardvanillaoption.cpp (1.10),
ql/Instruments/swap.cpp (1.25), ql/Instruments/vanillaoption.hpp
(1.27), ql/TermStructures/ratehelpers.hpp (1.31),
test-suite/README.txt (1.3):
pruned redundant header inclusions
2003-11-03 11:08 Ferdinando Ametrano
* Authors.txt (1.11), Readme.txt (1.19), configure.ac (1.24),
quantlib.el (1.2), Docs/pages/authors.docs (1.24),
Docs/pages/coreclasses.docs (1.7), Docs/pages/currencies.docs
(1.6), Docs/pages/datetime.docs (1.6), Docs/pages/examples.docs
(1.7), Docs/pages/findiff.docs (1.8), Docs/pages/fixedincome.docs
(1.10), Docs/pages/history.docs (1.9), Docs/pages/index.docs (1.8),
Docs/pages/install.docs (1.8), Docs/pages/instruments.docs (1.9),
Docs/pages/lattices.docs (1.5), Docs/pages/math.docs (1.9),
Docs/pages/mcarlo.docs (1.14), Docs/pages/overview.docs (1.8),
Docs/pages/patterns.docs (1.5), Docs/pages/resources.docs (1.6),
Docs/pages/termstructures.docs (1.5), Docs/pages/usage.docs (1.11),
Docs/pages/utilities.docs (1.7), Docs/pages/where.docs (1.7),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.36),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.26),
Examples/Swap/swapvaluation.cpp (1.36), ql/argsandresults.hpp
(1.15), ql/calendar.cpp (1.16), ql/calendar.hpp (1.26),
ql/capvolstructures.hpp (1.7), ql/cashflow.hpp (1.13),
ql/config.ansi.hpp (1.21), ql/config.bcc.hpp (1.22),
ql/config.msvc.hpp (1.39), ql/config.mwcw.hpp (1.20),
ql/currency.hpp (1.10), ql/date.cpp (1.29), ql/date.hpp (1.24),
ql/daycounter.hpp (1.21), ql/discretizedasset.cpp (1.4),
ql/discretizedasset.hpp (1.4), ql/errors.hpp (1.13),
ql/exercise.cpp (1.5), ql/exercise.hpp (1.25), ql/grid.hpp (1.19),
ql/handle.hpp (1.16), ql/history.hpp (1.17), ql/index.hpp (1.13),
ql/instrument.hpp (1.22), ql/numericalmethod.hpp (1.12),
ql/option.hpp (1.19), ql/payoff.hpp (1.8), ql/pricingengine.hpp
(1.10), ql/qldefines.hpp (1.58), ql/quantlib.hpp (1.117),
ql/solver1d.hpp (1.15), ql/swaptionvolstructure.hpp (1.8),
ql/termstructure.hpp (1.34), ql/types.hpp (1.10),
ql/voltermstructure.cpp (1.11), ql/voltermstructure.hpp (1.15),
ql/Calendars/jointcalendar.cpp (1.5),
ql/Calendars/jointcalendar.hpp (1.4), ql/Calendars/nullcalendar.hpp
(1.2), ql/Calendars/target.cpp (1.14), ql/Calendars/target.hpp
(1.15), ql/CashFlows/cashflowvectors.cpp (1.26),
ql/CashFlows/cashflowvectors.hpp (1.21), ql/CashFlows/coupon.hpp
(1.16), ql/CashFlows/fixedratecoupon.hpp (1.18),
ql/CashFlows/floatingratecoupon.hpp (1.27),
ql/CashFlows/inarrearindexedcoupon.hpp (1.7),
ql/CashFlows/indexedcoupon.hpp (1.7), ql/CashFlows/parcoupon.cpp
(1.4), ql/CashFlows/parcoupon.hpp (1.5),
ql/CashFlows/shortfloatingcoupon.cpp (1.11),
ql/CashFlows/shortfloatingcoupon.hpp (1.12),
ql/CashFlows/shortindexedcoupon.hpp (1.6),
ql/CashFlows/simplecashflow.hpp (1.11), ql/CashFlows/timebasket.cpp
(1.2), ql/CashFlows/timebasket.hpp (1.4),
ql/CashFlows/upfrontindexedcoupon.hpp (1.7),
ql/DayCounters/actual360.hpp (1.14),
ql/DayCounters/actualactual.cpp (1.20),
ql/DayCounters/actualactual.hpp (1.18),
ql/DayCounters/simpledaycounter.cpp (1.2),
ql/DayCounters/simpledaycounter.hpp (1.2),
ql/DayCounters/thirty360.cpp (1.13), ql/DayCounters/thirty360.hpp
(1.17), ql/FiniteDifferences/americancondition.hpp (1.15),
ql/FiniteDifferences/boundarycondition.cpp (1.5),
ql/FiniteDifferences/boundarycondition.hpp (1.11),
ql/FiniteDifferences/bsmoperator.cpp (1.13),
ql/FiniteDifferences/bsmoperator.hpp (1.13),
ql/FiniteDifferences/cranknicolson.hpp (1.17),
ql/FiniteDifferences/dminus.hpp (1.12),
ql/FiniteDifferences/dplus.hpp (1.12),
ql/FiniteDifferences/dplusdminus.hpp (1.13),
ql/FiniteDifferences/dzero.hpp (1.12),
ql/FiniteDifferences/expliciteuler.hpp (1.13),
ql/FiniteDifferences/fdtypedefs.hpp (1.10),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.23),
ql/FiniteDifferences/impliciteuler.hpp (1.12),
ql/FiniteDifferences/mixedscheme.hpp (1.9),
ql/FiniteDifferences/onefactoroperator.hpp (1.15),
ql/FiniteDifferences/shoutcondition.hpp (1.15),
ql/FiniteDifferences/stepcondition.hpp (1.11),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.22),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.27),
ql/Indexes/audlibor.hpp (1.9), ql/Indexes/cadlibor.hpp (1.9),
ql/Indexes/chflibor.hpp (1.7), ql/Indexes/euribor.hpp (1.13),
ql/Indexes/gbplibor.hpp (1.13), ql/Indexes/jpylibor.hpp (1.8),
ql/Indexes/usdlibor.hpp (1.13), ql/Indexes/xibor.cpp (1.14),
ql/Indexes/xibor.hpp (1.17), ql/Instruments/barrieroption.cpp
(1.5), ql/Instruments/barrieroption.hpp (1.7),
ql/Instruments/capfloor.cpp (1.40), ql/Instruments/capfloor.hpp
(1.40), ql/Instruments/cliquetoption.hpp (1.3),
ql/Instruments/forwardvanillaoption.cpp (1.16),
ql/Instruments/forwardvanillaoption.hpp (1.13),
ql/Instruments/quantoforwardvanillaoption.cpp (1.9),
ql/Instruments/quantoforwardvanillaoption.hpp (1.8),
ql/Instruments/quantovanillaoption.cpp (1.17),
ql/Instruments/quantovanillaoption.hpp (1.14),
ql/Instruments/stock.cpp (1.12), ql/Instruments/stock.hpp (1.11),
ql/Instruments/swap.cpp (1.24), ql/Instruments/swap.hpp (1.20),
ql/Instruments/swaption.cpp (1.35), ql/Instruments/swaption.hpp
(1.30), ql/Instruments/vanillaoption.cpp (1.27),
ql/Instruments/vanillaoption.hpp (1.26),
ql/Lattices/binomialtree.cpp (1.14), ql/Lattices/binomialtree.hpp
(1.11), ql/Lattices/bsmlattice.hpp (1.7), ql/Lattices/lattice.hpp
(1.8), ql/Lattices/lattice2d.hpp (1.6), ql/Lattices/tree.hpp
(1.19), ql/Lattices/trinomialtree.cpp (1.17),
ql/Lattices/trinomialtree.hpp (1.10),
ql/Math/bicubicsplineinterpolation.hpp (1.9),
ql/Math/bilinearinterpolation.hpp (1.16),
ql/Math/chisquaredistribution.cpp (1.8),
ql/Math/chisquaredistribution.hpp (1.8), ql/Math/cubicspline.hpp
(1.29), ql/Math/discrepancystatistics.cpp (1.5),
ql/Math/discrepancystatistics.hpp (1.10), ql/Math/errorfunction.hpp
(1.4), ql/Math/functional.hpp (1.3), ql/Math/gammadistribution.cpp
(1.6), ql/Math/gammadistribution.hpp (1.6),
ql/Math/gaussianstatistics.hpp (1.8), ql/Math/generalstatistics.cpp
(1.8), ql/Math/generalstatistics.hpp (1.8),
ql/Math/incrementalstatistics.cpp (1.6),
ql/Math/incrementalstatistics.hpp (1.4), ql/Math/interpolation.hpp
(1.19), ql/Math/interpolation2D.hpp (1.13),
ql/Math/kronrodintegral.hpp (1.4), ql/Math/lexicographicalview.hpp
(1.11), ql/Math/linearinterpolation.hpp (1.16),
ql/Math/loglinearinterpolation.hpp (1.18), ql/Math/matrix.hpp
(1.17), ql/Math/normaldistribution.cpp (1.21),
ql/Math/normaldistribution.hpp (1.24), ql/Math/primenumbers.cpp
(1.10), ql/Math/primenumbers.hpp (1.8), ql/Math/riskstatistics.hpp
(1.6), ql/Math/segmentintegral.hpp (1.20),
ql/Math/sequencestatistics.hpp (1.21), ql/Math/simpsonintegral.hpp
(1.2), ql/Math/statistics.hpp (1.27), ql/Math/svd.cpp (1.3),
ql/Math/svd.hpp (1.3), ql/Math/symmetriceigenvalues.hpp (1.11),
ql/Math/symmetricschurdecomposition.cpp (1.11),
ql/Math/symmetricschurdecomposition.hpp (1.11),
ql/Math/trapezoidintegral.hpp (1.2),
ql/MonteCarlo/brownianbridge.hpp (1.9),
ql/MonteCarlo/getcovariance.hpp (1.13), ql/MonteCarlo/mctraits.hpp
(1.5), ql/MonteCarlo/mctypedefs.hpp (1.25),
ql/MonteCarlo/montecarlomodel.hpp (1.26),
ql/MonteCarlo/multipath.hpp (1.17),
ql/MonteCarlo/multipathgenerator.hpp (1.34), ql/MonteCarlo/path.hpp
(1.17), ql/MonteCarlo/pathgenerator.hpp (1.40),
ql/MonteCarlo/pathpricer.hpp (1.16), ql/MonteCarlo/sample.hpp
(1.10), ql/Optimization/armijo.cpp (1.15),
ql/Optimization/armijo.hpp (1.16),
ql/Optimization/conjugategradient.cpp (1.16),
ql/Optimization/conjugategradient.hpp (1.15),
ql/Optimization/constraint.hpp (1.13),
ql/Optimization/costfunction.hpp (1.17),
ql/Optimization/criteria.hpp (1.14),
ql/Optimization/leastsquare.hpp (1.21),
ql/Optimization/linesearch.hpp (1.15), ql/Optimization/method.hpp
(1.7), ql/Optimization/problem.hpp (1.7),
ql/Optimization/simplex.cpp (1.9), ql/Optimization/simplex.hpp
(1.12), ql/Optimization/steepestdescent.cpp (1.14),
ql/Optimization/steepestdescent.hpp (1.16), ql/Patterns/bridge.hpp
(1.6), ql/Patterns/curiouslyrecurring.hpp (1.2),
ql/Patterns/lazyobject.hpp (1.6), ql/Patterns/observable.hpp
(1.15), ql/Patterns/visitor.hpp (1.5),
ql/Pricers/discretegeometricaso.cpp (1.12),
ql/Pricers/discretegeometricaso.hpp (1.10),
ql/Pricers/mccliquetoption.cpp (1.15),
ql/Pricers/mccliquetoption.hpp (1.14),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.19),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.17),
ql/Pricers/mceverest.cpp (1.23), ql/Pricers/mceverest.hpp (1.18),
ql/Pricers/mchimalaya.cpp (1.23), ql/Pricers/mchimalaya.hpp (1.18),
ql/Pricers/mcmaxbasket.cpp (1.20), ql/Pricers/mcmaxbasket.hpp
(1.18), ql/Pricers/mcpagoda.cpp (1.22), ql/Pricers/mcpagoda.hpp
(1.19), ql/Pricers/mcperformanceoption.cpp (1.14),
ql/Pricers/mcperformanceoption.hpp (1.12), ql/Pricers/mcpricer.hpp
(1.25), ql/Pricers/singleassetoption.cpp (1.22),
ql/Pricers/singleassetoption.hpp (1.27),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.5),
ql/RandomNumbers/boxmullergaussianrng.hpp (1.11),
ql/RandomNumbers/centrallimitgaussianrng.hpp (1.11),
ql/RandomNumbers/haltonrsg.cpp (1.10),
ql/RandomNumbers/haltonrsg.hpp (1.9),
ql/RandomNumbers/knuthuniformrng.cpp (1.9),
ql/RandomNumbers/knuthuniformrng.hpp (1.12),
ql/RandomNumbers/lecuyeruniformrng.cpp (1.9),
ql/RandomNumbers/lecuyeruniformrng.hpp (1.10),
ql/RandomNumbers/mt19937uniformrng.cpp (1.7),
ql/RandomNumbers/mt19937uniformrng.hpp (1.10),
ql/RandomNumbers/randomsequencegenerator.hpp (1.8),
ql/RandomNumbers/sobolrsg.cpp (1.22), ql/RandomNumbers/sobolrsg.hpp
(1.10), ql/ShortRateModels/calibrationhelper.cpp (1.7),
ql/ShortRateModels/calibrationhelper.hpp (1.12),
ql/ShortRateModels/model.cpp (1.15), ql/ShortRateModels/model.hpp
(1.19), ql/ShortRateModels/onefactormodel.cpp (1.11),
ql/ShortRateModels/onefactormodel.hpp (1.11),
ql/ShortRateModels/parameter.hpp (1.11),
ql/ShortRateModels/twofactormodel.cpp (1.7),
ql/ShortRateModels/twofactormodel.hpp (1.7),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.20),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.9),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.17),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.7),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.11),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.8),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.14),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.12),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.12),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.14), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.12),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.13),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.8),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.8),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.11),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.13),
ql/Solvers1D/bisection.hpp (1.11), ql/Solvers1D/brent.hpp (1.11),
ql/Solvers1D/falseposition.hpp (1.11), ql/Solvers1D/newton.hpp
(1.12), ql/Solvers1D/newtonsafe.hpp (1.12), ql/Solvers1D/ridder.hpp
(1.11), ql/Solvers1D/secant.hpp (1.11),
ql/TermStructures/compoundforward.cpp (1.26),
ql/TermStructures/compoundforward.hpp (1.19),
ql/TermStructures/discountcurve.hpp (1.19),
ql/TermStructures/drifttermstructure.hpp (1.5),
ql/TermStructures/extendeddiscountcurve.cpp (1.3),
ql/TermStructures/extendeddiscountcurve.hpp (1.3),
ql/TermStructures/flatforward.hpp (1.26),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.14),
ql/TermStructures/impliedtermstructure.hpp (1.13),
ql/TermStructures/piecewiseflatforward.cpp (1.35),
ql/TermStructures/piecewiseflatforward.hpp (1.31),
ql/TermStructures/quantotermstructure.hpp (1.8),
ql/TermStructures/ratehelpers.cpp (1.35),
ql/TermStructures/ratehelpers.hpp (1.30),
ql/TermStructures/zerocurve.hpp (1.4),
ql/TermStructures/zerospreadedtermstructure.hpp (1.15),
ql/Utilities/steppingiterator.hpp (1.12),
ql/Volatilities/blackconstantvol.hpp (1.16),
ql/Volatilities/blackvariancecurve.cpp (1.3),
ql/Volatilities/blackvariancecurve.hpp (1.21),
ql/Volatilities/blackvariancesurface.cpp (1.3),
ql/Volatilities/blackvariancesurface.hpp (1.23),
ql/Volatilities/capflatvolvector.hpp (1.10),
ql/Volatilities/impliedvoltermstructure.hpp (1.7),
ql/Volatilities/localconstantvol.hpp (1.12),
ql/Volatilities/localvolcurve.hpp (1.8),
ql/Volatilities/localvolsurface.cpp (1.3),
ql/Volatilities/localvolsurface.hpp (1.12),
ql/Volatilities/swaptionvolmatrix.hpp (1.14),
test-suite/barrieroption.cpp (1.6), test-suite/barrieroption.hpp
(1.2), test-suite/calendars.cpp (1.4), test-suite/calendars.hpp
(1.4), test-suite/capfloor.cpp (1.14), test-suite/capfloor.hpp
(1.6), test-suite/compoundforward.cpp (1.3),
test-suite/compoundforward.hpp (1.3), test-suite/covariance.cpp
(1.8), test-suite/covariance.hpp (1.6), test-suite/dates.cpp (1.5),
test-suite/dates.hpp (1.4), test-suite/daycounters.cpp (1.6),
test-suite/daycounters.hpp (1.5), test-suite/distributions.cpp
(1.9), test-suite/distributions.hpp (1.4),
test-suite/europeanoption.cpp (1.18), test-suite/europeanoption.hpp
(1.9), test-suite/instruments.cpp (1.6), test-suite/instruments.hpp
(1.4), test-suite/integrals.cpp (1.6), test-suite/integrals.hpp
(1.5), test-suite/lowdiscrepancysequences.cpp (1.36),
test-suite/lowdiscrepancysequences.hpp (1.8),
test-suite/matrices.cpp (1.4), test-suite/matrices.hpp (1.5),
test-suite/mersennetwister.cpp (1.9),
test-suite/mersennetwister.hpp (1.5), test-suite/old_pricers.cpp
(1.19), test-suite/old_pricers.hpp (1.7), test-suite/operators.cpp
(1.6), test-suite/operators.hpp (1.4),
test-suite/piecewiseflatforward.cpp (1.7),
test-suite/piecewiseflatforward.hpp (1.5),
test-suite/quantlibtestsuite.cpp (1.42), test-suite/riskstats.cpp
(1.24), test-suite/riskstats.hpp (1.8), test-suite/solvers.cpp
(1.6), test-suite/solvers.hpp (1.4), test-suite/stats.cpp (1.15),
test-suite/stats.hpp (1.10), test-suite/swap.cpp (1.9),
test-suite/swap.hpp (1.4), test-suite/swaption.cpp (1.9),
test-suite/swaption.hpp (1.4), test-suite/termstructures.cpp (1.8),
test-suite/termstructures.hpp (1.5), test-suite/utilities.hpp
(1.4):
ferdinando@ametrano.net replaced by quantlib-dev@lists.sf.net
2003-10-31 16:20 Ferdinando Ametrano
* ql/Optimization/: conjugategradient.hpp (1.14), simplex.hpp
(1.11):
typos fixed
2003-10-30 18:07 Luigi Ballabio
* ql/ShortRateModels/: model.cpp (1.14), model.hpp (1.18):
An additional constraint can now be passed to the calibration
2003-10-30 18:07 Luigi Ballabio
* ql/Optimization/constraint.hpp (1.12):
Added composite constraint
2003-10-30 17:02 Luigi Ballabio
* test-suite/: capfloor.cpp (1.13), capfloor.hpp (1.5):
Testing implied term volatility calculation
2003-10-30 17:02 Luigi Ballabio
* ql/Instruments/: capfloor.cpp (1.39), capfloor.hpp (1.39):
Added implied term volatility calculation
2003-10-30 17:01 Luigi Ballabio
* ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.8):
Header cleanup
2003-10-30 17:00 Luigi Ballabio
* ql/Instruments/: vanillaoption.cpp (1.26), vanillaoption.hpp
(1.25):
Formatting
2003-10-24 17:33 Luigi Ballabio
* ql/quantlib.hpp (1.116), ql/Math/Makefile.am (1.24),
ql/Math/simpsonintegral.hpp (1.1), ql/Math/trapezoidintegral.hpp
(1.1), test-suite/integrals.cpp (1.5), test-suite/integrals.hpp
(1.4), test-suite/quantlibtestsuite.cpp (1.41):
Added integration routines contributed by Roman Gitlin
2003-10-24 17:33 Luigi Ballabio
* ql/Math/: kronrodintegral.hpp (1.3), segmentintegral.hpp (1.19):
Relaxed constaints on interval boundaries
2003-10-24 17:32 Luigi Ballabio
* Contributors.txt (1.21):
Alphabetic order
2003-10-23 17:58 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.dsp (1.9),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.11),
Examples/Swap/Swap.dsp (1.10), QuantLib.dsp (1.183),
test-suite/testsuite.dsp (1.17):
"Release DLL" and "Debug DLL" configurations added with
Multithreaded DLL code generation. Nuked the "On The Edge"
configurations.
2003-10-23 16:43 Luigi Ballabio
* ql/CashFlows/timebasket.hpp (1.3):
Interface fixes
2003-10-23 16:06 Luigi Ballabio
* QuantLib.dsp (1.182):
Files added
2003-10-23 16:06 Luigi Ballabio
* ql/CashFlows/timebasket.hpp (1.2):
Fixes for Visual C++ (which as usual, is brain-dead)
2003-10-23 15:41 Luigi Ballabio
* ql/Instruments/: swap.cpp (1.23), swap.hpp (1.19):
Using the new basis-point sensitivity functions
2003-10-23 15:40 Luigi Ballabio
* ql/CashFlows/: Makefile.am (1.12), makefile.mak (1.15):
Files added
2003-10-23 15:39 Luigi Ballabio
* ql/CashFlows/: timebasket.cpp (1.1), timebasket.hpp (1.1):
Leaner and meaner time basket
2003-10-23 15:37 Luigi Ballabio
* configure.ac (1.23), ql/config.ansi.hpp (1.20), ql/config.bcc.hpp
(1.21), ql/config.msvc.hpp (1.38), ql/config.mwcw.hpp (1.19),
ql/qldefines.hpp (1.57):
Global flag for early/late payments
2003-10-20 12:27 Luigi Ballabio
* ql/Volatilities/: capflatvolvector.hpp (1.9),
swaptionvolmatrix.hpp (1.13):
Fixed non-constness of iterators
2003-10-17 17:53 Luigi Ballabio
* Makefile.am (1.82), QuantLib.dsp (1.181), configure.ac (1.22):
make 'lib' dir if not present
2003-10-17 15:09 Luigi Ballabio
* QuantLib.dsp (1.180):
removed empty file
2003-10-17 15:07 Luigi Ballabio
* ql/: voltermstructure.cpp (1.10), voltermstructure.hpp (1.14),
Volatilities/blackconstantvol.hpp (1.15),
Volatilities/blackvariancecurve.hpp (1.20):
Removed unused methods for derivatives
2003-10-17 14:43 Luigi Ballabio
* test-suite/: barrieroption.cpp (1.5), europeanoption.cpp (1.17),
old_pricers.cpp (1.18), quantlibtestsuite.cpp (1.40):
Fixed tests
2003-10-17 14:42 Luigi Ballabio
* ql/PricingEngines/: Makefile.am (1.25), makefile.mak (1.24):
removed empty file
2003-10-17 13:07 Ferdinando Ametrano
* ql/Pricers/mcpricer.hpp (1.24), test-suite/europeanoption.cpp
(1.16):
another Borland 0/0 problem fixed minimum number of MC sample
raised up to 1023 (2^10-1)
2003-10-16 12:05 Luigi Ballabio
* ql/config.msvc.hpp (1.37):
New (useless) warning surfaced for some reason
2003-10-15 15:53 Ferdinando Ametrano
* test-suite/: .cvsignore (1.10), europeanoption.cpp (1.15):
no message
2003-10-15 14:24 Luigi Ballabio
* ql/: Instruments/vanillaoption.hpp (1.24),
PricingEngines/Makefile.am (1.24), PricingEngines/makefile.mak
(1.23):
Another transplant
2003-10-15 11:15 Ferdinando Ametrano
* ql/Volatilities/.cvsignore (1.1):
no message
2003-10-14 18:08 Luigi Ballabio
* QuantLib.dsp (1.178), ql/quantlib.hpp (1.115),
ql/PricingEngines/Makefile.am (1.23),
ql/Volatilities/blackvariancecurve.hpp (1.19),
ql/Volatilities/blackvariancesurface.hpp (1.22),
test-suite/europeanoption.cpp (1.14):
MC European in one step with strike-independent vol curve
(hopefully)
2003-10-14 15:51 Ferdinando Ametrano
* QuantLib.dsp (1.177):
added missing file
2003-10-14 15:37 Ferdinando Ametrano
* test-suite/quantlibtestsuite.cpp (1.39):
MC engines fail with Borland. Comment added
2003-10-14 15:12 Ferdinando Ametrano
* ql/Pricers/Makefile.am (1.34), ql/Pricers/makefile.mak (1.33),
QuantLib.dsp (1.176), ql/quantlib.hpp (1.114),
test-suite/old_pricers.cpp (1.17):
Pricers\binaryoption.* files renamed binaryoptionpricer.* to avoid
conflict with Instruments\binaryoption.*
2003-10-14 14:42 Luigi Ballabio
* ql/: voltermstructure.hpp (1.13),
Volatilities/blackconstantvol.hpp (1.14),
Volatilities/blackvariancecurve.hpp (1.18),
Volatilities/blackvariancesurface.hpp (1.21),
Volatilities/impliedvoltermstructure.hpp (1.6),
Volatilities/localconstantvol.hpp (1.11),
Volatilities/localvolcurve.hpp (1.7),
Volatilities/localvolsurface.cpp (1.2),
Volatilities/localvolsurface.hpp (1.11):
Visitable vol term structures
2003-10-14 10:08 Luigi Ballabio
* QuantLib.spec.in (1.1), configure.ac (1.19):
Configurable spec file
2003-10-13 18:05 Luigi Ballabio
* ql/Instruments/: swap.cpp (1.22), swap.hpp (1.18):
Added Swap::startDate() and maturity()
2003-10-13 17:37 Luigi Ballabio
* ql/Volatilities/swaptionvolmatrix.hpp (1.12):
Mea culpa
2003-10-13 17:17 Luigi Ballabio
* QuantLib.dsp (1.175), ql/Volatilities/blackvariancecurve.cpp
(1.2), ql/Volatilities/blackvariancecurve.hpp (1.17),
ql/Volatilities/blackvariancesurface.cpp (1.2),
ql/Volatilities/blackvariancesurface.hpp (1.20):
Workarounds for Visual C++
2003-10-13 16:48 Luigi Ballabio
* ql/: Math/Makefile.am (1.23), Math/bicubicsplineinterpolation.hpp
(1.8), Math/cubicspline.hpp (1.28), Volatilities/Makefile.am
(1.13), Volatilities/blackvariancecurve.cpp (1.1),
Volatilities/blackvariancecurve.hpp (1.16),
Volatilities/blackvariancesurface.cpp (1.1),
Volatilities/blackvariancesurface.hpp (1.19),
Volatilities/capflatvolvector.hpp (1.8),
Volatilities/localvolcurve.hpp (1.6), Volatilities/makefile.mak
(1.2), Volatilities/swaptionvolmatrix.hpp (1.11):
Interpolation traits
2003-10-13 13:10 Luigi Ballabio
* ql/: cashflow.hpp (1.12), CashFlows/coupon.hpp (1.15),
CashFlows/fixedratecoupon.hpp (1.17),
CashFlows/floatingratecoupon.hpp (1.26),
CashFlows/inarrearindexedcoupon.hpp (1.6),
CashFlows/indexedcoupon.hpp (1.6), CashFlows/parcoupon.hpp (1.4),
CashFlows/shortfloatingcoupon.hpp (1.11),
CashFlows/simplecashflow.hpp (1.10),
CashFlows/upfrontindexedcoupon.hpp (1.6), Patterns/visitor.hpp
(1.4):
Visitor, Alexandrescu-style (saves some code duplication)
2003-10-13 12:02 Luigi Ballabio
* QuantLib.dsp (1.174), test-suite/testsuite.dsp (1.16):
More misc fixes for binary options
2003-10-13 11:48 Luigi Ballabio
* ql/Instruments/Makefile.am (1.17), ql/Instruments/makefile.mak
(1.22), ql/MonteCarlo/Makefile.am (1.25),
ql/MonteCarlo/makefile.mak (1.22), ql/PricingEngines/Makefile.am
(1.22), ql/PricingEngines/makefile.mak (1.22),
test-suite/Makefile.am (1.18), test-suite/makefile.mak (1.16):
Misc fixes for binary options
2003-10-11 18:19 Neil Firth
* ql/quantlib.hpp (1.113):
Binary option Instrument and Pricing Engines
2003-10-11 18:08 Neil Firth
* test-suite/quantlibtestsuite.cpp (1.38):
Tests for binary option pricing
2003-10-09 18:16 Luigi Ballabio
* test-suite/quantlibtestsuite.cpp (1.37):
Picky as an old maid, I know
2003-10-09 17:21 Ferdinando Ametrano
* QuantLib.dsp (1.173), ql/quantlib.hpp (1.112),
ql/Pricers/Makefile.am (1.33), ql/Pricers/makefile.mak (1.32),
test-suite/old_pricers.cpp (1.16), test-suite/quantlibtestsuite.cpp
(1.36):
ql/Pricers/barrieroption.* renamed ql/Pricers/barrieroptionpricer.*
to avoid Borland conflict with ql/Instruments/barrieroption.*
2003-10-09 16:52 Ferdinando Ametrano
* Examples/BermudanSwaption/makefile.mak (1.10),
Examples/DiscreteHedging/makefile.mak (1.13),
Examples/Swap/makefile.mak (1.13), ql/Calendars/makefile.mak
(1.17), ql/CashFlows/makefile.mak (1.14),
ql/DayCounters/makefile.mak (1.14),
ql/FiniteDifferences/makefile.mak (1.14), ql/Indexes/makefile.mak
(1.12), ql/Instruments/makefile.mak (1.21),
ql/Lattices/makefile.mak (1.20), ql/Math/makefile.mak (1.22),
ql/Optimization/makefile.mak (1.12), ql/RandomNumbers/makefile.mak
(1.20), ql/ShortRateModels/makefile.mak (1.9),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.8),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.8),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.8),
ql/TermStructures/makefile.mak (1.17):
SRCDIR and OBJDIR removed
2003-10-09 16:50 Ferdinando Ametrano
* test-suite/makefile.mak (1.15):
added missing file
2003-10-09 16:23 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.35):
Applied patch 811713
2003-10-09 16:21 Luigi Ballabio
* ql/option.hpp (1.18):
Allowed initialization with null engine
2003-10-09 16:21 Luigi Ballabio
* ql/Instruments/forwardvanillaoption.hpp (1.12):
Missing base class
2003-10-09 16:15 Ferdinando Ametrano
* QuantLib.dsp (1.172):
added missing file
2003-10-09 16:09 Ferdinando Ametrano
* ql/Pricers/: Makefile.am (1.32), makefile.mak (1.31):
added missing file
2003-10-09 15:28 Ferdinando Ametrano
* test-suite/barrieroption.cpp (1.4):
avoid Borland warning
2003-10-09 14:02 Luigi Ballabio
* test-suite/swaption.cpp (1.8):
Fixed exercise time calculation
2003-10-09 10:06 Luigi Ballabio
* ql/termstructure.hpp (1.33):
Possibly fixed the mistery zeroCoupon method
2003-10-08 16:57 Luigi Ballabio
* ql/Instruments/: swaption.cpp (1.34), swaption.hpp (1.29):
To each one its own
2003-10-07 10:13 Luigi Ballabio
* makefile.mak (1.48), ql/makefile.mak (1.37),
ql/PricingEngines/makefile.mak (1.21), test-suite/makefile.mak
(1.14):
Misc. Borland
2003-10-06 16:27 Luigi Ballabio
* ql/PricingEngines/Makefile.am (1.21),
ql/PricingEngines/makefile.mak (1.20), test-suite/barrieroption.cpp
(1.3):
Code transplant from pricer to pricing engine
2003-10-03 15:11 Luigi Ballabio
* ql/Instruments/cliquetoption.hpp (1.2):
Another VC++ glitch
2003-10-03 14:52 Luigi Ballabio
* ql/Instruments/barrieroption.hpp (1.6):
Patch for VC++ bug
2003-10-03 14:05 Luigi Ballabio
* ql/Makefile.am (1.40), ql/Instruments/Makefile.am (1.16),
ql/Instruments/barrieroption.cpp (1.4),
ql/Instruments/barrieroption.hpp (1.5), ql/Instruments/capfloor.cpp
(1.38), ql/Instruments/capfloor.hpp (1.38),
ql/Instruments/cliquetoption.hpp (1.1),
ql/Instruments/forwardvanillaoption.cpp (1.15),
ql/Instruments/forwardvanillaoption.hpp (1.11),
ql/Instruments/quantoforwardvanillaoption.cpp (1.8),
ql/Instruments/quantoforwardvanillaoption.hpp (1.7),
ql/Instruments/quantovanillaoption.cpp (1.16),
ql/Instruments/quantovanillaoption.hpp (1.13),
ql/Instruments/swaption.cpp (1.33), ql/Instruments/swaption.hpp
(1.28), ql/Instruments/vanillaoption.cpp (1.25),
ql/Instruments/vanillaoption.hpp (1.23),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.19),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.7),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.16),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.10),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.12),
test-suite/capfloor.cpp (1.12):
Applied the Foo::arguments and Foo::results naming scheme
2003-10-03 09:19 Luigi Ballabio
* Docs/Makefile.am (1.58):
Safe dvips call
2003-10-01 15:04 Luigi Ballabio
* QuantLib.dsp (1.169), ql/Makefile.am (1.39), ql/makefile.mak
(1.36), ql/Volatilities/Makefile.am (1.12),
ql/Volatilities/localvolsurface.cpp (1.1),
ql/Volatilities/localvolsurface.hpp (1.10),
ql/Volatilities/makefile.mak (1.1):
No longer trying to inline a one-and-half-page method
2003-09-30 15:34 Ferdinando Ametrano
* ql/.cvsignore (1.10), ql/makefile.mak (1.35),
ql/Calendars/.cvsignore (1.6), ql/CashFlows/.cvsignore (1.6),
ql/DayCounters/.cvsignore (1.6), ql/FiniteDifferences/.cvsignore
(1.6), ql/Indexes/.cvsignore (1.6), ql/Instruments/.cvsignore
(1.6), ql/Lattices/.cvsignore (1.6), ql/Math/.cvsignore (1.6),
ql/MonteCarlo/.cvsignore (1.6), ql/Optimization/.cvsignore (1.6),
ql/Pricers/.cvsignore (1.6), ql/PricingEngines/.cvsignore (1.6),
ql/PricingEngines/makefile.mak (1.19), ql/RandomNumbers/.cvsignore
(1.6), ql/ShortRateModels/.cvsignore (1.6),
ql/ShortRateModels/CalibrationHelpers/.cvsignore (1.6),
ql/ShortRateModels/OneFactorModels/.cvsignore (1.6),
ql/ShortRateModels/TwoFactorModels/.cvsignore (1.6),
ql/Solvers1D/.cvsignore (1.6), ql/TermStructures/.cvsignore (1.6),
test-suite/.cvsignore (1.9):
Borland file dependencies not handled with the OBJDIR approach.
Reverting back to Borland object files in the same dir as source
files
2003-09-30 15:24 Ferdinando Ametrano
* Examples/BermudanSwaption/makefile.mak (1.9),
Examples/DiscreteHedging/makefile.mak (1.12),
Examples/Swap/makefile.mak (1.12), ql/Calendars/makefile.mak
(1.16), ql/CashFlows/makefile.mak (1.13),
ql/DayCounters/makefile.mak (1.13),
ql/FiniteDifferences/makefile.mak (1.13), ql/Indexes/makefile.mak
(1.11), ql/Instruments/makefile.mak (1.20),
ql/Lattices/makefile.mak (1.19), ql/Math/makefile.mak (1.21),
ql/MonteCarlo/makefile.mak (1.21), ql/Optimization/makefile.mak
(1.11), ql/Pricers/makefile.mak (1.30),
ql/RandomNumbers/makefile.mak (1.19),
ql/ShortRateModels/makefile.mak (1.8),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.7),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.7),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.7),
ql/TermStructures/makefile.mak (1.16), test-suite/makefile.mak
(1.13):
Borland file dependencies not handled with the OBJDIR approach.
Reverting back to Borland object files in the same dir as source
files
2003-09-30 14:29 Luigi Ballabio
* test-suite/: Makefile.am (1.17), barrieroption.cpp (1.2):
Disabled greeks (for the time being?)
2003-09-30 10:44 Neil Firth
* test-suite/: barrieroption.cpp (1.1), barrieroption.hpp (1.1),
quantlibtestsuite.cpp (1.35):
Tests for Barrier options in PricingEngine Framework. Some Monte
Carlo tests, but not comprehensive.
2003-09-30 10:24 Neil Firth
* ql/Instruments/barrieroption.hpp (1.4):
Corrected an error message
2003-09-29 16:25 Luigi Ballabio
* ql/ShortRateModels/CalibrationHelpers/: caphelper.cpp (1.18),
swaptionhelper.cpp (1.15):
setupArguments() starts getting useful
2003-09-29 14:27 Luigi Ballabio
* Docs/: images/instrument.eps (1.1), images/instrument.pdf (1.1),
images/instrument.png (1.1), pages/instruments.docs (1.8):
New instrument thing explained
2003-09-29 14:11 Luigi Ballabio
* ql/: Math/bicubicsplineinterpolation.hpp (1.7),
Math/cubicspline.hpp (1.27), Utilities/steppingiterator.hpp (1.11):
Fixes for VC++.Net
2003-09-29 10:24 Luigi Ballabio
* ql/quantlib.hpp (1.111), ql/Calendars/Makefile.am (1.15),
ql/Calendars/nullcalendar.hpp (1.1), ql/DayCounters/Makefile.am
(1.8), ql/DayCounters/makefile.mak (1.12),
ql/DayCounters/simpledaycounter.cpp (1.1),
ql/DayCounters/simpledaycounter.hpp (1.1),
test-suite/daycounters.cpp (1.5), test-suite/daycounters.hpp (1.4),
test-suite/quantlibtestsuite.cpp (1.34):
Null calendar and simple day counter for reproducing theoretical
calculations
2003-09-26 17:00 Luigi Ballabio
* ql/argsandresults.hpp (1.14), ql/instrument.hpp (1.21),
ql/option.hpp (1.17), ql/Instruments/barrieroption.cpp (1.3),
ql/Instruments/barrieroption.hpp (1.3), ql/Instruments/capfloor.cpp
(1.37), ql/Instruments/capfloor.hpp (1.37),
ql/Instruments/forwardvanillaoption.cpp (1.14),
ql/Instruments/forwardvanillaoption.hpp (1.10),
ql/Instruments/quantoforwardvanillaoption.cpp (1.7),
ql/Instruments/quantoforwardvanillaoption.hpp (1.6),
ql/Instruments/quantovanillaoption.cpp (1.15),
ql/Instruments/quantovanillaoption.hpp (1.12),
ql/Instruments/swaption.cpp (1.32), ql/Instruments/swaption.hpp
(1.27), ql/Instruments/vanillaoption.cpp (1.24),
ql/Instruments/vanillaoption.hpp (1.22), test-suite/riskstats.cpp
(1.23):
Changed setupEngine() into setupArguments(args)
2003-09-25 12:34 Luigi Ballabio
* ql/: instrument.hpp (1.20), Instruments/capfloor.cpp (1.36),
Instruments/swaption.cpp (1.31),
ShortRateModels/CalibrationHelpers/caphelper.cpp (1.17),
ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.14):
Small refinements to Instrument::setPricingEngine()
2003-09-24 14:49 Luigi Ballabio
* ql/Instruments/capfloor.cpp (1.35), ql/Instruments/capfloor.hpp
(1.36), test-suite/capfloor.cpp (1.11):
Taken fixing days into account
2003-09-24 09:44 Luigi Ballabio
* ql/Instruments/: capfloor.cpp (1.34), capfloor.hpp (1.35):
Derived from Instrument directly
2003-09-23 18:31 Ferdinando Ametrano
* Docs/pages/authors.docs (1.23):
updated
2003-09-23 18:05 Luigi Ballabio
* ql/instrument.hpp (1.19):
Fix for VC++
2003-09-23 18:00 Luigi Ballabio
* QuantLib.dsp (1.167), ql/Makefile.am (1.38), ql/instrument.hpp
(1.18), ql/makefile.mak (1.34), ql/option.hpp (1.16):
Moved pricing-engine machinery up to Instrument class
2003-09-23 17:56 Ferdinando Ametrano
* ql/instrument.hpp (1.17):
Borland fix
2003-09-23 16:26 Luigi Ballabio
* QuantLib.dsp (1.166), ql/Instruments/Makefile.am (1.15),
ql/Instruments/barrieroption.cpp (1.2),
ql/Instruments/barrieroption.hpp (1.2), ql/Instruments/makefile.mak
(1.19), ql/MonteCarlo/Makefile.am (1.24),
ql/MonteCarlo/makefile.mak (1.20), ql/Pricers/makefile.mak (1.29),
ql/PricingEngines/Makefile.am (1.20),
ql/PricingEngines/makefile.mak (1.18), test-suite/old_pricers.cpp
(1.15):
Miscellaneous fixes for the barrier option code
2003-09-23 12:25 Neil Firth
* ql/quantlib.hpp (1.110):
Included headers for BarrierOptions using PricingEngines
2003-09-23 11:59 Neil Firth
* ql/Instruments/: barrieroption.cpp (1.1), barrieroption.hpp
(1.1):
Instrument to represent a single asset Barrier option
2003-09-23 10:33 Luigi Ballabio
* ql/: instrument.hpp (1.16), Instruments/capfloor.cpp (1.33),
Instruments/capfloor.hpp (1.34),
Instruments/forwardvanillaoption.cpp (1.13),
Instruments/quantovanillaoption.cpp (1.14),
Instruments/quantovanillaoption.hpp (1.11), Instruments/stock.cpp
(1.11), Instruments/stock.hpp (1.10), Instruments/swap.cpp (1.21),
Instruments/swap.hpp (1.17), Instruments/swaption.cpp (1.30),
Instruments/swaption.hpp (1.26), Instruments/vanillaoption.cpp
(1.23), Instruments/vanillaoption.hpp (1.21),
Patterns/lazyobject.hpp (1.5):
Separated expiration condition from calculation
2003-09-19 11:18 Luigi Ballabio
* ql/: CashFlows/cashflowvectors.cpp (1.25),
CashFlows/cashflowvectors.hpp (1.20),
ShortRateModels/CalibrationHelpers/caphelper.cpp (1.16):
All FloatingRateCouponVector overloadings but one are now
deprecated
2003-09-18 18:28 Luigi Ballabio
* ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.15):
Using the main FixedRateCouponVector
2003-09-18 18:10 Luigi Ballabio
* ql/CashFlows/: cashflowvectors.cpp (1.24), cashflowvectors.hpp
(1.19):
Using the new Schedule---and all FixedRateCouponVector overloadings
but one are now deprecated
2003-09-16 11:27 Luigi Ballabio
* test-suite/quantlibtestsuite.cpp (1.33):
Yet another strike in the never-ending war to define signal and
noise
2003-09-09 18:21 Ferdinando Ametrano
* ql/makefile.mak (1.33), ql/Calendars/makefile.mak (1.15),
ql/CashFlows/makefile.mak (1.12), ql/DayCounters/makefile.mak
(1.11), ql/FiniteDifferences/makefile.mak (1.12),
ql/Indexes/makefile.mak (1.10), ql/Instruments/makefile.mak (1.18),
ql/Lattices/makefile.mak (1.18), ql/Math/makefile.mak (1.20),
ql/MonteCarlo/makefile.mak (1.19), ql/Optimization/makefile.mak
(1.10), ql/Pricers/makefile.mak (1.28),
ql/PricingEngines/makefile.mak (1.17),
ql/RandomNumbers/makefile.mak (1.18),
ql/ShortRateModels/makefile.mak (1.7),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.6),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.6),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.6),
ql/TermStructures/makefile.mak (1.15), test-suite/makefile.mak
(1.12):
Borland *.obj in build/Borland dir
2003-09-09 17:20 Ferdinando Ametrano
* Examples/BermudanSwaption/makefile.mak (1.8),
Examples/DiscreteHedging/makefile.mak (1.11),
Examples/Swap/makefile.mak (1.11), makefile.mak (1.47),
test-suite/.cvsignore (1.8), test-suite/makefile.mak (1.11):
Borland SAFE define propagated
2003-09-09 17:19 Ferdinando Ametrano
* ql/: .cvsignore (1.9), makefile.mak (1.32), Calendars/.cvsignore
(1.5), Calendars/makefile.mak (1.14), CashFlows/.cvsignore (1.5),
CashFlows/makefile.mak (1.11), DayCounters/.cvsignore (1.5),
DayCounters/makefile.mak (1.10), FiniteDifferences/.cvsignore
(1.5), FiniteDifferences/makefile.mak (1.11), Indexes/.cvsignore
(1.5), Indexes/makefile.mak (1.9), Instruments/.cvsignore (1.5),
Instruments/makefile.mak (1.17), Lattices/.cvsignore (1.5),
Lattices/makefile.mak (1.17), Math/.cvsignore (1.5),
Math/makefile.mak (1.19), MonteCarlo/.cvsignore (1.5),
MonteCarlo/makefile.mak (1.18), Optimization/.cvsignore (1.5),
Optimization/makefile.mak (1.9), Pricers/.cvsignore (1.5),
Pricers/makefile.mak (1.27), PricingEngines/.cvsignore (1.5),
PricingEngines/makefile.mak (1.16), RandomNumbers/.cvsignore (1.5),
RandomNumbers/makefile.mak (1.17), ShortRateModels/.cvsignore
(1.5), ShortRateModels/makefile.mak (1.6),
ShortRateModels/CalibrationHelpers/.cvsignore (1.5),
ShortRateModels/CalibrationHelpers/makefile.mak (1.5),
ShortRateModels/OneFactorModels/.cvsignore (1.5),
ShortRateModels/OneFactorModels/makefile.mak (1.5),
ShortRateModels/TwoFactorModels/.cvsignore (1.5),
ShortRateModels/TwoFactorModels/makefile.mak (1.5),
Solvers1D/.cvsignore (1.5), TermStructures/.cvsignore (1.5),
TermStructures/makefile.mak (1.14):
Borland *.obj in build/Borland dir
2003-09-09 15:15 Ferdinando Ametrano
* ql/makefile.mak (1.31), ql/Calendars/makefile.mak (1.13),
ql/CashFlows/makefile.mak (1.10), ql/DayCounters/makefile.mak
(1.9), ql/FiniteDifferences/makefile.mak (1.10),
ql/Indexes/makefile.mak (1.8), ql/Instruments/makefile.mak (1.16),
ql/Lattices/makefile.mak (1.16), ql/Math/makefile.mak (1.18),
ql/MonteCarlo/makefile.mak (1.17), ql/Optimization/makefile.mak
(1.8), ql/Pricers/makefile.mak (1.26),
ql/PricingEngines/makefile.mak (1.15),
ql/RandomNumbers/makefile.mak (1.16),
ql/ShortRateModels/makefile.mak (1.5),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.4),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.4),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.4),
ql/TermStructures/makefile.mak (1.13), Examples/makefile.mak
(1.19), makefile.mak (1.46):
Borland SAFE define propagated
2003-09-08 19:02 Ferdinando Ametrano
* test-suite/makefile.mak (1.10):
Borland *.obj in build/Borland dir
2003-09-08 18:44 Ferdinando Ametrano
* Examples/: BermudanSwaption/.cvsignore (1.7),
BermudanSwaption/makefile.mak (1.7), DiscreteHedging/.cvsignore
(1.7), DiscreteHedging/makefile.mak (1.10), Swap/.cvsignore (1.7),
Swap/makefile.mak (1.10):
Borland *.obj in build/Borland dir
2003-09-08 18:23 Ferdinando Ametrano
* test-suite/makefile.mak (1.9):
Borland *.obj in build/Borland dir
2003-09-08 16:28 Ferdinando Ametrano
* test-suite/: README.txt (1.2), makefile.mak (1.8),
quantlibtestsuite.cpp (1.32):
test-suite does run under Borland (with CppUnit 1.9.10) Few test
failures reported
2003-09-08 16:27 Ferdinando Ametrano
* ql/Math/makefile.mak (1.17):
added missing file
2003-09-02 13:03 Ferdinando Ametrano
* Docs/quantlib.css (1.9):
in synch with the web-site version of the file
2003-09-01 16:27 Luigi Ballabio
* Makefile.am (1.81):
Added spec file for rpm
2003-09-01 16:21 Luigi Ballabio
* News.txt (1.29), QuantLib.nsi (1.84), Readme.txt (1.18),
Docs/quantlib.doxy (1.72), Docs/quantlibfooter.html (1.14),
Docs/quantlibfooteronline.html (1.6), test-suite/Makefile.am
(1.16):
Final merge from 0.3.3 branch
2003-08-28 17:52 Luigi Ballabio
* ChangeLog.txt (1.36), Makefile.am (1.80), News.txt (1.28),
QuantLib.dsp (1.165), configure.ac (1.18), makefile.mak (1.45),
Docs/Makefile.am (1.57), Docs/makefile.mak (1.33),
Docs/quantlib.doxy (1.71), Docs/quantlibheader.html (1.18),
Docs/pages/authors.docs (1.21), Docs/pages/examples.docs (1.6),
Examples/BermudanSwaption/Makefile.am (1.8),
Examples/DiscreteHedging/Makefile.am (1.15),
Examples/Swap/Makefile.am (1.10), man/BermudanSwaption.1 (1.2),
man/DiscreteHedging.1 (1.3), man/Makefile.am (1.5),
man/SwapValuation.1 (1.3), man/quantlib-test-suite.1 (1.2),
ql/calendar.cpp (1.15), ql/calendar.hpp (1.25), ql/config.ansi.hpp
(1.19), ql/config.bcc.hpp (1.20), ql/config.msvc.hpp (1.36),
ql/config.mwcw.hpp (1.18), ql/date.cpp (1.28), ql/date.hpp (1.23),
ql/grid.hpp (1.18), ql/handle.hpp (1.15), ql/payoff.hpp (1.7),
ql/quantlib.hpp (1.109), ql/swaptionvolstructure.hpp (1.7),
ql/CashFlows/cashflowvectors.cpp (1.23),
ql/CashFlows/cashflowvectors.hpp (1.18),
ql/FiniteDifferences/americancondition.hpp (1.14),
ql/FiniteDifferences/boundarycondition.hpp (1.10),
ql/FiniteDifferences/fdtypedefs.hpp (1.9),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.22),
ql/FiniteDifferences/shoutcondition.hpp (1.14),
ql/FiniteDifferences/stepcondition.hpp (1.10),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.26),
ql/Instruments/capfloor.cpp (1.32), ql/Instruments/capfloor.hpp
(1.33), ql/Instruments/quantoforwardvanillaoption.cpp (1.6),
ql/Instruments/swap.cpp (1.20), ql/Instruments/swap.hpp (1.16),
ql/Instruments/swaption.cpp (1.29), ql/Instruments/swaption.hpp
(1.25), ql/Instruments/vanillaoption.cpp (1.22),
ql/Instruments/vanillaoption.hpp (1.20),
ql/Math/gaussianstatistics.hpp (1.7), ql/Math/kronrodintegral.hpp
(1.2), ql/Math/loglinearinterpolation.hpp (1.17),
ql/Math/matrix.hpp (1.16), ql/Math/primenumbers.cpp (1.9),
ql/Math/segmentintegral.hpp (1.18), ql/Math/sequencestatistics.hpp
(1.20), ql/Math/svd.hpp (1.2), ql/MonteCarlo/mctraits.hpp (1.4),
ql/MonteCarlo/mctypedefs.hpp (1.24), ql/MonteCarlo/path.hpp (1.16),
ql/MonteCarlo/pathgenerator.hpp (1.39),
ql/Pricers/discretegeometricaso.hpp (1.9), ql/Pricers/mceverest.cpp
(1.22), ql/Pricers/mceverest.hpp (1.17), ql/Pricers/mchimalaya.cpp
(1.22), ql/Pricers/mchimalaya.hpp (1.17),
ql/Pricers/mcmaxbasket.cpp (1.19), ql/Pricers/mcmaxbasket.hpp
(1.17), ql/Pricers/mcpagoda.hpp (1.18),
ql/Pricers/singleassetoption.hpp (1.26),
ql/PricingEngines/Makefile.am (1.19),
ql/RandomNumbers/haltonrsg.cpp (1.9),
ql/RandomNumbers/haltonrsg.hpp (1.8),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.14),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.11),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.13), ql/ShortRateModels/TwoFactorModels/g2.hpp (1.11),
ql/Solvers1D/newton.hpp (1.11), ql/TermStructures/Makefile.am
(1.15), ql/TermStructures/compoundforward.cpp (1.25),
ql/TermStructures/compoundforward.hpp (1.18),
ql/TermStructures/discountcurve.hpp (1.18),
ql/TermStructures/extendeddiscountcurve.cpp (1.2),
ql/TermStructures/extendeddiscountcurve.hpp (1.2),
ql/TermStructures/makefile.mak (1.12),
ql/Volatilities/blackvariancesurface.hpp (1.18),
ql/Volatilities/swaptionvolmatrix.hpp (1.10),
test-suite/Makefile.am (1.15), test-suite/compoundforward.cpp
(1.2), test-suite/compoundforward.hpp (1.2),
test-suite/makefile.mak (1.7), test-suite/quantlibtestsuite.cpp
(1.31), test-suite/testsuite.dsp (1.14):
Merged 0.3.3 branch
2003-08-23 16:18 Luigi Ballabio
* ql/: Optimization/criteria.hpp (1.13), ShortRateModels/model.hpp
(1.17):
Pruned unneeded code
2003-08-21 17:34 Luigi Ballabio
* ql/TermStructures/extendeddiscountcurve.cpp (1.1):
file extendeddiscountcurve.cpp was initially added on branch
R000303f0-branch.
2003-08-21 17:34 Luigi Ballabio
* ql/TermStructures/extendeddiscountcurve.hpp (1.1):
file extendeddiscountcurve.hpp was initially added on branch
R000303f0-branch.
2003-07-29 15:57 Luigi Ballabio
* man/BermudanSwaption.1 (1.1):
file BermudanSwaption.1 was initially added on branch
R000303f0-branch.
2003-07-29 15:57 Luigi Ballabio
* man/quantlib-test-suite.1 (1.1):
file quantlib-test-suite.1 was initially added on branch
R000303f0-branch.
2003-07-28 10:28 André Louw
* test-suite/compoundforward.cpp (1.1):
file compoundforward.cpp was initially added on branch
R000303f0-branch.
2003-07-28 10:28 André Louw
* test-suite/compoundforward.hpp (1.1):
file compoundforward.hpp was initially added on branch
R000303f0-branch.
2003-07-25 13:04 Luigi Ballabio
* QuantLib.nsi (1.83), configure.ac (1.17), Docs/quantlib.doxy
(1.70), dev_tools/version_number.txt (1.33), ql/qldefines.hpp
(1.56):
Bumped version number after branching
2003-07-25 12:51 Luigi Ballabio
* QuantLib.nsi (1.82), configure.ac (1.16), Docs/quantlib.doxy
(1.69), dev_tools/version_number.txt (1.32), ql/qldefines.hpp
(1.55):
Bumped version number
2003-07-25 11:00 Ferdinando Ametrano
* QuantLib.nsi (1.81):
AmericanOption example added
2003-07-25 10:59 Luigi Ballabio
* makefile.mak (1.44), Examples/makefile.mak (1.18),
Examples/BermudanSwaption/makefile.mak (1.6),
Examples/DiscreteHedging/makefile.mak (1.9),
Examples/Swap/makefile.mak (1.9):
Examples build conditionally with Borland
2003-07-25 10:48 Ferdinando Ametrano
* ql/Math/svd.cpp (1.2):
few more Borland warnings avoided
2003-07-25 10:29 Ferdinando Ametrano
* Contributors.txt (1.20), Docs/pages/authors.docs (1.20):
David Schwartz's fixes for VC7
2003-07-25 10:19 Luigi Ballabio
* ql/: config.msvc.hpp (1.35),
FiniteDifferences/finitedifferencemodel.hpp (1.21),
Math/bilinearinterpolation.hpp (1.15), Math/cubicspline.hpp (1.26),
Math/loglinearinterpolation.hpp (1.16),
Volatilities/blackvariancesurface.hpp (1.17):
Added David Schwartz's fixes for VC7
2003-07-24 19:06 Luigi Ballabio
* QuantLib.dsw (1.10):
Added project to workspace
2003-07-24 18:43 Luigi Ballabio
* configure.ac (1.15):
Some more catching up with Neil
2003-07-24 18:25 Luigi Ballabio
* News.txt (1.27):
Miscellaneous orthography :)
2003-07-24 17:44 Ferdinando Ametrano
* Examples/: Makefile.am (1.20), makefile.mak (1.17):
catching up with Neil's commit
2003-07-24 17:39 Ferdinando Ametrano
* News.txt (1.26), ql/Math/Makefile.am (1.22), ql/Math/makefile.mak
(1.16), ql/PricingEngines/Makefile.am (1.18),
ql/PricingEngines/makefile.mak (1.14), QuantLib.dsp (1.164):
catching up with Neil's commit
2003-07-24 17:06 Neil Firth
* ql/quantlib.hpp (1.108):
Added svd.hpp and americanmcengines.hpp
2003-07-24 16:06 Neil Firth
* ql/Math/: svd.cpp (1.1), svd.hpp (1.1):
Calculate the Singular Value Decomposition of a Matrix
2003-07-24 14:42 Marco Marchioro
* ql/FiniteDifferences/: tridiagonaloperator.cpp (1.21),
tridiagonaloperator.hpp (1.25):
Diagonals renamed. Added inspectors for diagonals.
2003-07-24 14:07 Luigi Ballabio
* ql/: discretizedasset.cpp (1.3), discretizedasset.hpp (1.3):
Added hooks for adjustment before/after exercise
2003-07-24 13:09 Marco Marchioro
* ql/FiniteDifferences/finitedifferencemodel.hpp (1.20):
added access to evolver
2003-07-24 12:12 Luigi Ballabio
* .cvsignore (1.7), Makefile.am (1.79), configure.ac (1.14),
quantlib.el (1.1), config/.cvsignore (1.3):
Emacs macros for QuantLib users/developers
2003-07-24 09:36 Luigi Ballabio
* Makefile.am (1.78), Examples/Makefile.am (1.19),
Examples/BermudanSwaption/Makefile.am (1.7),
Examples/DiscreteHedging/Makefile.am (1.14),
Examples/Swap/Makefile.am (1.9):
Examples not in "make all"
2003-07-23 18:18 Luigi Ballabio
* ql/solver1d.hpp (1.14):
Using new pattern
2003-07-23 18:17 Luigi Ballabio
* ql/Patterns/: Makefile.am (1.12), curiouslyrecurring.hpp (1.1):
Abstracted another one (which is going to be used quite a bit after
next release)
2003-07-23 17:37 Luigi Ballabio
* QuantLib.dsw (1.9), ql/discretizedasset.hpp (1.2):
Oops, fixed Bermudan swaptions
2003-07-23 15:49 Luigi Ballabio
* ql/: discretizedasset.cpp (1.2), numericalmethod.hpp (1.11),
Lattices/lattice.hpp (1.7):
Added hook for exercise at end of rollback
2003-07-23 15:18 Marco Marchioro
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.25):
PlainPayoff divided into two: PlainVanillaPayoff and
StrikedTypePayoff
2003-07-23 15:14 Marco Marchioro
* ql/: Instruments/vanillaoption.cpp (1.21),
FiniteDifferences/americancondition.hpp (1.13),
FiniteDifferences/shoutcondition.hpp (1.13):
PlainPayoff divided into two: PlainVanillaPayoff and
StrikedTypePayoff
2003-07-23 15:11 Marco Marchioro
* ql/: Pricers/singleassetoption.hpp (1.25), payoff.hpp (1.6):
PlainPayoff divided into two: PlainVanillaPayoff and
StrikedTypePayoff
2003-07-23 11:38 Ferdinando Ametrano
* ql/Volatilities/localvolsurface.hpp (1.9):
updated
2003-07-22 18:06 Marco Marchioro
* QuantLib.dsp (1.162):
fdvanillaengine.cpp was useless
2003-07-22 18:05 Marco Marchioro
* ql/payoff.hpp (1.5):
SupersharePayoff is now a PlainPayoff
2003-07-22 18:04 Marco Marchioro
* ql/TermStructures/discountcurve.hpp (1.17):
fixed warning problem
2003-07-22 18:02 Marco Marchioro
* ql/PricingEngines/: Makefile.am (1.17), makefile.mak (1.13):
fdvanillaengine.cpp was useless
2003-07-22 18:01 Marco Marchioro
* ql/Math/cubicspline.hpp (1.25):
Added first and second derivatives to CubicSpline
2003-07-22 18:00 Marco Marchioro
* ql/Instruments/: vanillaoption.cpp (1.20), vanillaoption.hpp
(1.19):
payoff is part of the vanilla arguments
2003-07-22 17:59 Marco Marchioro
* ql/FiniteDifferences/: americancondition.hpp (1.12),
shoutcondition.hpp (1.12):
payoff is part of the arguments
2003-07-22 17:35 Ferdinando Ametrano
* ChangeLog.txt (1.33), ChangeLog.txt (1.34), ChangeLog.txt (1.35):
updated
2003-07-22 12:44 André Louw
* ql/TermStructures/: compoundforward.cpp (1.24),
compoundforward.hpp (1.17), discountcurve.hpp (1.16):
Refactoring and simplification. Proper calculation of rates on non
compounding boundaries.
2003-07-22 12:40 André Louw
* ql/TermStructures/: flatforward.hpp (1.25),
piecewiseflatforward.cpp (1.34), piecewiseflatforward.hpp (1.30):
Specific implementation of compound forward rate from zero yield.
2003-07-22 12:38 André Louw
* ql/termstructure.hpp (1.32):
Added compound forward and zero coupon implementations.
2003-07-22 12:37 André Louw
* ql/TermStructures/: ratehelpers.cpp (1.34), ratehelpers.hpp
(1.29):
Added Futures rate helper with specified maturity date.
2003-07-22 12:20 André Louw
* ql/Instruments/: swap.cpp (1.19), swap.hpp (1.15):
Added bucketed bps calculation as well as simple fairRate
calculation.
2003-07-22 11:57 André Louw
* ql/CashFlows/: cashflowvectors.cpp (1.22), cashflowvectors.hpp
(1.17):
Added basic date generation starting from the end. Modified
cashflowvectors to use this. Also added functionality to create a
cashflow vector using specified vectors of nominals,couponRates and
dates.
2003-07-22 11:48 André Louw
* ql/: date.cpp (1.27), date.hpp (1.22):
Added parsing of input date string using supplied format string.
2003-07-22 11:45 André Louw
* ql/: calendar.cpp (1.14), calendar.hpp (1.24):
Added "MonthEndReference" business day rolling convention. Similar
to "ModifiedFollowing", unless where original date is last business
day of month all resulting dates will also be last business day of
month.
2003-07-22 11:11 Luigi Ballabio
* configure.ac (1.13), ql/config.ansi.hpp (1.18), ql/config.bcc.hpp
(1.19), ql/config.msvc.hpp (1.34), ql/config.mwcw.hpp (1.17):
Conditionally got some cycles back
2003-07-17 11:10 Luigi Ballabio
* QuantLib.dsp (1.161):
Abstracted discretized option
2003-07-17 10:51 Luigi Ballabio
* ql/: Makefile.am (1.37), discretizedasset.cpp (1.1),
discretizedasset.hpp (1.1), makefile.mak (1.30),
numericalmethod.hpp (1.10), FiniteDifferences/americancondition.hpp
(1.11), FiniteDifferences/shoutcondition.hpp (1.11):
Abstracted discretized option
2003-07-16 17:12 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.34),
ql/numericalmethod.hpp (1.9),
ql/ShortRateModels/calibrationhelper.hpp (1.11),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.13),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.6),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.13),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.6):
Minor method cleanup (mostly for my own ease of reading)
2003-07-16 17:11 Luigi Ballabio
* ql/config.msvc.hpp (1.33):
Redundant define
2003-07-16 17:08 Luigi Ballabio
* ql/: Math/lexicographicalview.hpp (1.10),
Utilities/steppingiterator.hpp (1.10):
Traded a cycle for additional safety
2003-07-16 09:32 Luigi Ballabio
* ql/MonteCarlo/pathgenerator.hpp (1.38):
Bug fix
2003-07-15 16:36 Luigi Ballabio
* ql/: config.msvc.hpp (1.32),
FiniteDifferences/tridiagonaloperator.hpp (1.24):
Equal treatment for MS, Solaris and Darwin (fair is fair)
2003-07-14 18:48 Marco Marchioro
* ql/pricingengine.hpp (1.9):
logical constness of arguments() enforced
2003-07-14 18:23 Luigi Ballabio
* ql/grid.hpp (1.17):
Tree swaptions now work even if some exercise dates expired already
2003-07-09 14:46 Enrico Sirola
* ql/TermStructures/: ratehelpers.cpp (1.33), ratehelpers.hpp
(1.28):
* RateHelpers::referenceQuote(): method added
* RateHelpers::discountGuess(): extrapolation removed
2003-07-08 10:30 Luigi Ballabio
* Docs/README.txt (1.22):
Link fixed
2003-07-08 09:20 Marco Marchioro
* ql/FiniteDifferences/finitedifferencemodel.hpp (1.19):
Added a new constructor
2003-07-08 09:15 Marco Marchioro
* ql/Math/linearinterpolation.hpp (1.15):
Modified in order to compile on Borland C++
2003-07-08 09:14 Marco Marchioro
* ql/grid.hpp (1.16):
Old class Grid no longer exists, use CenteredGrid to obtain the
same result.
2003-07-04 22:09 Nicolas Di Césaré
* QuantLib.dsp (1.160):
add /Oi- compilation flag to avoid internal compiler error messages
2003-06-26 10:26 Luigi Ballabio
* Docs/quantlibheader.tex (1.17):
Fixed indexes
2003-06-25 16:00 Luigi Ballabio
* test-suite/: piecewiseflatforward.cpp (1.6),
piecewiseflatforward.hpp (1.4), quantlibtestsuite.cpp (1.30):
Test case for the bug just fixed
2003-06-25 12:02 Luigi Ballabio
* ql/Patterns/lazyobject.hpp (1.4):
Documentation added
2003-06-25 08:57 Luigi Ballabio
* ql/termstructure.hpp (1.31):
Diamond inheritance fixed
2003-06-17 15:48 Marco Marchioro
* ql/date.cpp (1.26):
space required for a nice formatting
2003-06-11 16:06 Luigi Ballabio
* QuantLib.nsi (1.80), configure.ac (1.12), Docs/quantlib.doxy
(1.68), dev_tools/version_number.txt (1.30), ql/qldefines.hpp
(1.54):
Bumped version number
2003-06-06 12:11 Mario Aleppo
* ql/Lattices/lattice.hpp (1.6):
Tree properties become public
2003-06-04 14:47 Marco Marchioro
* QuantLib.dsp (1.159):
Added configuration "QuantLib - Win32 Intel OnTheEdgeRelease"
2003-05-30 11:51 Luigi Ballabio
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.33),
ql/ShortRateModels/model.cpp (1.13), ql/ShortRateModels/model.hpp
(1.16):
Unneeded Handle layer removed
2003-05-29 16:59 Luigi Ballabio
* ql/Math/incrementalstatistics.cpp (1.5):
Apparently an issue with gcc 3.3 and QL_MIN_DOUBLE
2003-05-28 09:53 Luigi Ballabio
* ql/CashFlows/: inarrearindexedcoupon.hpp (1.5), indexedcoupon.hpp
(1.5), shortindexedcoupon.hpp (1.5), upfrontindexedcoupon.hpp
(1.5):
Possibly override day count
2003-05-22 17:29 Luigi Ballabio
* QuantLib.dsp (1.158), ql/Makefile.am (1.36), ql/makefile.mak
(1.29), ql/solver1d.hpp (1.13), ql/Instruments/vanillaoption.hpp
(1.18), ql/Pricers/singleassetoption.hpp (1.24),
ql/ShortRateModels/calibrationhelper.cpp (1.6),
ql/ShortRateModels/onefactormodel.cpp (1.10),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.10),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.9),
ql/Solvers1D/Makefile.am (1.7), ql/Solvers1D/bisection.hpp (1.10),
ql/Solvers1D/brent.hpp (1.10), ql/Solvers1D/falseposition.hpp
(1.10), ql/Solvers1D/newton.hpp (1.10), ql/Solvers1D/newtonsafe.hpp
(1.11), ql/Solvers1D/ridder.hpp (1.10), ql/Solvers1D/secant.hpp
(1.10), ql/TermStructures/piecewiseflatforward.hpp (1.29),
test-suite/solvers.cpp (1.5):
Solvers now take any function (not necessarily and
ObjectiveFunction---as a matter of fact the latter disappeared)
2003-05-21 14:02 Luigi Ballabio
* ql/Instruments/vanillaoption.cpp (1.19):
Ensured engine initialization before calling impliedVolatility()
2003-05-20 11:50 Luigi Ballabio
* test-suite/: europeanoption.cpp (1.13), europeanoption.hpp (1.8),
quantlibtestsuite.cpp (1.29):
Added MC European test
2003-05-16 18:17 Luigi Ballabio
* makefile.mak (1.43):
No CppUnit, No test suite
2003-05-16 18:16 Luigi Ballabio
* ql/MonteCarlo/montecarlomodel.hpp (1.25):
Fixed Borland compilation thing
2003-05-16 17:46 Luigi Ballabio
* Makefile.am (1.77), QuantLib.nsi (1.79), makefile.mak (1.42),
Docs/Makefile.am (1.56), Docs/README.txt (1.21), Docs/makefile.mak
(1.32), Docs/quantlibfooter.html (1.13),
Docs/quantlibfooteronline.html (1.5), Examples/Makefile.am (1.18),
Examples/makefile.mak (1.16),
Examples/BermudanSwaption/BermudanSwaption.cpp (1.32),
Examples/BermudanSwaption/makefile.mak (1.5),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.24),
Examples/DiscreteHedging/makefile.mak (1.8),
Examples/Swap/makefile.mak (1.8), Examples/Swap/swapvaluation.cpp
(1.35), config/Makefile.am (1.4), dev_tools/backupcvstree.py (1.2),
dev_tools/downloadrelease.py (1.4), man/Makefile.am (1.4),
ql/Makefile.am (1.35), ql/argsandresults.hpp (1.13),
ql/calendar.cpp (1.13), ql/calendar.hpp (1.23),
ql/capvolstructures.hpp (1.6), ql/cashflow.hpp (1.11),
ql/config.ansi.hpp (1.17), ql/config.bcc.hpp (1.18),
ql/config.msvc.hpp (1.31), ql/config.mwcw.hpp (1.16),
ql/currency.hpp (1.9), ql/date.cpp (1.25), ql/date.hpp (1.21),
ql/daycounter.hpp (1.20), ql/errors.hpp (1.12), ql/exercise.cpp
(1.4), ql/exercise.hpp (1.24), ql/grid.hpp (1.15), ql/handle.hpp
(1.14), ql/history.hpp (1.16), ql/index.hpp (1.12),
ql/instrument.hpp (1.15), ql/makefile.mak (1.28),
ql/numericalmethod.hpp (1.8), ql/option.hpp (1.15), ql/payoff.hpp
(1.4), ql/pricingengine.hpp (1.8), ql/qldefines.hpp (1.53),
ql/quantlib.hpp (1.107), ql/solver1d.hpp (1.12),
ql/swaptionvolstructure.hpp (1.6), ql/termstructure.hpp (1.30),
ql/types.hpp (1.9), ql/voltermstructure.cpp (1.9),
ql/voltermstructure.hpp (1.12), ql/Calendars/Makefile.am (1.14),
ql/Calendars/jointcalendar.cpp (1.4),
ql/Calendars/jointcalendar.hpp (1.3), ql/Calendars/makefile.mak
(1.12), ql/Calendars/target.cpp (1.13), ql/Calendars/target.hpp
(1.14), ql/CashFlows/Makefile.am (1.11),
ql/CashFlows/cashflowvectors.cpp (1.21),
ql/CashFlows/cashflowvectors.hpp (1.16), ql/CashFlows/coupon.hpp
(1.14), ql/CashFlows/fixedratecoupon.hpp (1.16),
ql/CashFlows/floatingratecoupon.hpp (1.25),
ql/CashFlows/makefile.mak (1.9), ql/CashFlows/parcoupon.cpp (1.3),
ql/CashFlows/parcoupon.hpp (1.3),
ql/CashFlows/shortfloatingcoupon.cpp (1.10),
ql/CashFlows/shortfloatingcoupon.hpp (1.10),
ql/CashFlows/simplecashflow.hpp (1.9), ql/DayCounters/Makefile.am
(1.7), ql/DayCounters/actual360.hpp (1.13),
ql/DayCounters/actualactual.cpp (1.19),
ql/DayCounters/actualactual.hpp (1.17), ql/DayCounters/makefile.mak
(1.8), ql/DayCounters/thirty360.cpp (1.12),
ql/DayCounters/thirty360.hpp (1.16),
ql/FiniteDifferences/Makefile.am (1.15),
ql/FiniteDifferences/americancondition.hpp (1.10),
ql/FiniteDifferences/boundarycondition.cpp (1.4),
ql/FiniteDifferences/boundarycondition.hpp (1.9),
ql/FiniteDifferences/bsmoperator.cpp (1.12),
ql/FiniteDifferences/bsmoperator.hpp (1.12),
ql/FiniteDifferences/cranknicolson.hpp (1.16),
ql/FiniteDifferences/dminus.hpp (1.11),
ql/FiniteDifferences/dplus.hpp (1.11),
ql/FiniteDifferences/dplusdminus.hpp (1.12),
ql/FiniteDifferences/dzero.hpp (1.11),
ql/FiniteDifferences/expliciteuler.hpp (1.12),
ql/FiniteDifferences/fdtypedefs.hpp (1.8),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.18),
ql/FiniteDifferences/impliciteuler.hpp (1.11),
ql/FiniteDifferences/makefile.mak (1.9),
ql/FiniteDifferences/mixedscheme.hpp (1.8),
ql/FiniteDifferences/onefactoroperator.hpp (1.14),
ql/FiniteDifferences/shoutcondition.hpp (1.10),
ql/FiniteDifferences/stepcondition.hpp (1.9),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.20),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.23),
ql/Indexes/Makefile.am (1.8), ql/Indexes/audlibor.hpp (1.8),
ql/Indexes/cadlibor.hpp (1.8), ql/Indexes/chflibor.hpp (1.6),
ql/Indexes/euribor.hpp (1.12), ql/Indexes/gbplibor.hpp (1.12),
ql/Indexes/jpylibor.hpp (1.7), ql/Indexes/makefile.mak (1.7),
ql/Indexes/usdlibor.hpp (1.12), ql/Indexes/xibor.cpp (1.13),
ql/Indexes/xibor.hpp (1.16), ql/Instruments/Makefile.am (1.14),
ql/Instruments/capfloor.cpp (1.31), ql/Instruments/capfloor.hpp
(1.32), ql/Instruments/forwardvanillaoption.cpp (1.12),
ql/Instruments/forwardvanillaoption.hpp (1.9),
ql/Instruments/makefile.mak (1.15),
ql/Instruments/quantoforwardvanillaoption.cpp (1.5),
ql/Instruments/quantoforwardvanillaoption.hpp (1.5),
ql/Instruments/quantovanillaoption.cpp (1.13),
ql/Instruments/quantovanillaoption.hpp (1.10),
ql/Instruments/stock.cpp (1.10), ql/Instruments/stock.hpp (1.9),
ql/Instruments/swap.cpp (1.18), ql/Instruments/swap.hpp (1.14),
ql/Instruments/swaption.cpp (1.28), ql/Instruments/swaption.hpp
(1.24), ql/Instruments/vanillaoption.cpp (1.18),
ql/Instruments/vanillaoption.hpp (1.17), ql/Lattices/Makefile.am
(1.9), ql/Lattices/binomialtree.cpp (1.13),
ql/Lattices/binomialtree.hpp (1.10), ql/Lattices/bsmlattice.hpp
(1.6), ql/Lattices/lattice.hpp (1.5), ql/Lattices/lattice2d.hpp
(1.5), ql/Lattices/makefile.mak (1.15), ql/Lattices/tree.hpp
(1.18), ql/Lattices/trinomialtree.cpp (1.16),
ql/Lattices/trinomialtree.hpp (1.9), ql/Math/Makefile.am (1.21),
ql/Math/bicubicsplineinterpolation.hpp (1.6),
ql/Math/bilinearinterpolation.hpp (1.14),
ql/Math/chisquaredistribution.cpp (1.7),
ql/Math/chisquaredistribution.hpp (1.7), ql/Math/cubicspline.hpp
(1.24), ql/Math/discrepancystatistics.cpp (1.4),
ql/Math/discrepancystatistics.hpp (1.9), ql/Math/errorfunction.cpp
(1.4), ql/Math/errorfunction.hpp (1.3), ql/Math/functional.hpp
(1.2), ql/Math/gammadistribution.cpp (1.5),
ql/Math/gammadistribution.hpp (1.5), ql/Math/gaussianstatistics.hpp
(1.6), ql/Math/generalstatistics.cpp (1.7),
ql/Math/generalstatistics.hpp (1.7),
ql/Math/incrementalstatistics.cpp (1.4),
ql/Math/incrementalstatistics.hpp (1.3), ql/Math/interpolation.hpp
(1.18), ql/Math/interpolation2D.hpp (1.12),
ql/Math/lexicographicalview.hpp (1.9),
ql/Math/linearinterpolation.hpp (1.14),
ql/Math/loglinearinterpolation.hpp (1.15), ql/Math/makefile.mak
(1.15), ql/Math/matrix.hpp (1.15), ql/Math/normaldistribution.cpp
(1.20), ql/Math/normaldistribution.hpp (1.23),
ql/Math/primenumbers.cpp (1.8), ql/Math/primenumbers.hpp (1.7),
ql/Math/riskstatistics.hpp (1.5), ql/Math/segmentintegral.hpp
(1.17), ql/Math/sequencestatistics.hpp (1.19),
ql/Math/statistics.hpp (1.26), ql/Math/symmetriceigenvalues.hpp
(1.10), ql/Math/symmetricschurdecomposition.cpp (1.10),
ql/Math/symmetricschurdecomposition.hpp (1.10),
ql/MonteCarlo/Makefile.am (1.23), ql/MonteCarlo/brownianbridge.hpp
(1.8), ql/MonteCarlo/getcovariance.hpp (1.12),
ql/MonteCarlo/makefile.mak (1.16), ql/MonteCarlo/mctraits.hpp
(1.3), ql/MonteCarlo/mctypedefs.hpp (1.23),
ql/MonteCarlo/montecarlomodel.hpp (1.24),
ql/MonteCarlo/multipath.hpp (1.16),
ql/MonteCarlo/multipathgenerator.hpp (1.33), ql/MonteCarlo/path.hpp
(1.15), ql/MonteCarlo/pathgenerator.hpp (1.37),
ql/MonteCarlo/pathpricer.hpp (1.15), ql/MonteCarlo/sample.hpp
(1.9), ql/Optimization/Makefile.am (1.7),
ql/Optimization/constraint.hpp (1.11), ql/Optimization/makefile.mak
(1.7), ql/Patterns/Makefile.am (1.11), ql/Patterns/bridge.hpp
(1.5), ql/Patterns/lazyobject.hpp (1.3), ql/Patterns/observable.hpp
(1.14), ql/Patterns/visitor.hpp (1.3), ql/Pricers/Makefile.am
(1.31), ql/Pricers/discretegeometricaso.cpp (1.11),
ql/Pricers/discretegeometricaso.hpp (1.8), ql/Pricers/makefile.mak
(1.25), ql/Pricers/mccliquetoption.cpp (1.14),
ql/Pricers/mccliquetoption.hpp (1.13),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.18),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.16),
ql/Pricers/mceverest.cpp (1.21), ql/Pricers/mceverest.hpp (1.16),
ql/Pricers/mchimalaya.cpp (1.21), ql/Pricers/mchimalaya.hpp (1.16),
ql/Pricers/mcmaxbasket.cpp (1.18), ql/Pricers/mcmaxbasket.hpp
(1.16), ql/Pricers/mcpagoda.cpp (1.21), ql/Pricers/mcpagoda.hpp
(1.17), ql/Pricers/mcperformanceoption.cpp (1.13),
ql/Pricers/mcperformanceoption.hpp (1.11), ql/Pricers/mcpricer.hpp
(1.23), ql/Pricers/singleassetoption.cpp (1.21),
ql/Pricers/singleassetoption.hpp (1.23),
ql/PricingEngines/Makefile.am (1.16),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.4),
ql/PricingEngines/makefile.mak (1.12), ql/RandomNumbers/Makefile.am
(1.13), ql/RandomNumbers/boxmullergaussianrng.hpp (1.10),
ql/RandomNumbers/centrallimitgaussianrng.hpp (1.10),
ql/RandomNumbers/haltonrsg.cpp (1.8),
ql/RandomNumbers/haltonrsg.hpp (1.7),
ql/RandomNumbers/knuthuniformrng.cpp (1.8),
ql/RandomNumbers/knuthuniformrng.hpp (1.11),
ql/RandomNumbers/lecuyeruniformrng.cpp (1.8),
ql/RandomNumbers/lecuyeruniformrng.hpp (1.9),
ql/RandomNumbers/makefile.mak (1.15),
ql/RandomNumbers/mt19937uniformrng.cpp (1.6),
ql/RandomNumbers/mt19937uniformrng.hpp (1.9),
ql/RandomNumbers/primitivepolynomials.c (1.6),
ql/RandomNumbers/primitivepolynomials.h (1.4),
ql/RandomNumbers/randomsequencegenerator.hpp (1.6),
ql/RandomNumbers/sobolrsg.cpp (1.21), ql/RandomNumbers/sobolrsg.hpp
(1.9), ql/ShortRateModels/Makefile.am (1.3),
ql/ShortRateModels/calibrationhelper.cpp (1.5),
ql/ShortRateModels/calibrationhelper.hpp (1.9),
ql/ShortRateModels/makefile.mak (1.4), ql/ShortRateModels/model.cpp
(1.11), ql/ShortRateModels/model.hpp (1.14),
ql/ShortRateModels/onefactormodel.cpp (1.9),
ql/ShortRateModels/onefactormodel.hpp (1.10),
ql/ShortRateModels/parameter.hpp (1.10),
ql/ShortRateModels/twofactormodel.cpp (1.6),
ql/ShortRateModels/twofactormodel.hpp (1.6),
ql/ShortRateModels/CalibrationHelpers/Makefile.am (1.3),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.12),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.5),
ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.3),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.12),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.5),
ql/ShortRateModels/OneFactorModels/Makefile.am (1.3),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.9),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.7),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.13),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.10),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.11),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.12), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.11),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.12),
ql/ShortRateModels/OneFactorModels/makefile.mak (1.3),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.7),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.7),
ql/ShortRateModels/TwoFactorModels/Makefile.am (1.3),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.8),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.10),
ql/ShortRateModels/TwoFactorModels/makefile.mak (1.3),
ql/Solvers1D/Makefile.am (1.6), ql/Solvers1D/bisection.hpp (1.9),
ql/Solvers1D/brent.hpp (1.9), ql/Solvers1D/falseposition.hpp (1.9),
ql/Solvers1D/newton.hpp (1.9), ql/Solvers1D/newtonsafe.hpp (1.10),
ql/Solvers1D/ridder.hpp (1.9), ql/Solvers1D/secant.hpp (1.9),
ql/TermStructures/Makefile.am (1.14),
ql/TermStructures/compoundforward.cpp (1.23),
ql/TermStructures/compoundforward.hpp (1.16),
ql/TermStructures/discountcurve.hpp (1.15),
ql/TermStructures/drifttermstructure.hpp (1.4),
ql/TermStructures/flatforward.hpp (1.24),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.13),
ql/TermStructures/impliedtermstructure.hpp (1.12),
ql/TermStructures/makefile.mak (1.11),
ql/TermStructures/piecewiseflatforward.cpp (1.33),
ql/TermStructures/piecewiseflatforward.hpp (1.28),
ql/TermStructures/quantotermstructure.hpp (1.7),
ql/TermStructures/ratehelpers.cpp (1.32),
ql/TermStructures/ratehelpers.hpp (1.27),
ql/TermStructures/zerocurve.hpp (1.3),
ql/TermStructures/zerospreadedtermstructure.hpp (1.14),
ql/Utilities/Makefile.am (1.6), ql/Utilities/steppingiterator.hpp
(1.9), ql/Volatilities/Makefile.am (1.11),
ql/Volatilities/blackconstantvol.hpp (1.13),
ql/Volatilities/blackvariancecurve.hpp (1.15),
ql/Volatilities/blackvariancesurface.hpp (1.16),
ql/Volatilities/capflatvolvector.hpp (1.7),
ql/Volatilities/impliedvoltermstructure.hpp (1.5),
ql/Volatilities/localconstantvol.hpp (1.10),
ql/Volatilities/localvolcurve.hpp (1.5),
ql/Volatilities/localvolsurface.hpp (1.8),
ql/Volatilities/swaptionvolmatrix.hpp (1.9),
test-suite/calendars.cpp (1.3), test-suite/calendars.hpp (1.3),
test-suite/capfloor.cpp (1.10), test-suite/capfloor.hpp (1.4),
test-suite/covariance.cpp (1.7), test-suite/covariance.hpp (1.5),
test-suite/dates.cpp (1.4), test-suite/dates.hpp (1.3),
test-suite/daycounters.cpp (1.4), test-suite/daycounters.hpp (1.3),
test-suite/distributions.cpp (1.8), test-suite/distributions.hpp
(1.3), test-suite/europeanoption.cpp (1.12),
test-suite/europeanoption.hpp (1.7), test-suite/instruments.cpp
(1.5), test-suite/instruments.hpp (1.3), test-suite/integrals.cpp
(1.4), test-suite/integrals.hpp (1.3),
test-suite/lowdiscrepancysequences.cpp (1.35),
test-suite/lowdiscrepancysequences.hpp (1.7),
test-suite/makefile.mak (1.6), test-suite/matrices.cpp (1.3),
test-suite/matrices.hpp (1.4), test-suite/mersennetwister.cpp
(1.8), test-suite/mersennetwister.hpp (1.4),
test-suite/old_pricers.cpp (1.14), test-suite/old_pricers.hpp
(1.6), test-suite/operators.cpp (1.5), test-suite/operators.hpp
(1.3), test-suite/piecewiseflatforward.cpp (1.5),
test-suite/piecewiseflatforward.hpp (1.3),
test-suite/quantlibtestsuite.cpp (1.28), test-suite/riskstats.cpp
(1.22), test-suite/riskstats.hpp (1.7), test-suite/solvers.cpp
(1.4), test-suite/solvers.hpp (1.3), test-suite/stats.cpp (1.13),
test-suite/stats.hpp (1.9), test-suite/swap.cpp (1.8),
test-suite/swap.hpp (1.3), test-suite/swaption.cpp (1.7),
test-suite/swaption.hpp (1.3), test-suite/termstructures.cpp (1.7),
test-suite/termstructures.hpp (1.4), test-suite/utilities.hpp
(1.3):
First tag-free commit. Drink and be merry.
2003-05-13 16:05 Luigi Ballabio
* ql/: FiniteDifferences/tridiagonaloperator.cpp (1.19),
FiniteDifferences/tridiagonaloperator.hpp (1.22), Math/matrix.hpp
(1.14), Math/sequencestatistics.hpp (1.18),
Math/symmetriceigenvalues.hpp (1.9), MonteCarlo/getcovariance.hpp
(1.11):
Some more discardables
2003-05-12 15:11 Luigi Ballabio
* QuantLib.dsp (1.157), ql/MonteCarlo/mctraits.hpp (1.2),
ql/MonteCarlo/mctypedefs.hpp (1.22),
ql/MonteCarlo/montecarlomodel.hpp (1.23),
ql/Pricers/mccliquetoption.cpp (1.13),
ql/Pricers/mccliquetoption.hpp (1.12),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.17),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.15),
ql/Pricers/mceverest.cpp (1.20), ql/Pricers/mceverest.hpp (1.15),
ql/Pricers/mchimalaya.cpp (1.20), ql/Pricers/mchimalaya.hpp (1.15),
ql/Pricers/mcmaxbasket.cpp (1.17), ql/Pricers/mcmaxbasket.hpp
(1.15), ql/Pricers/mcpagoda.cpp (1.20), ql/Pricers/mcpagoda.hpp
(1.16), ql/Pricers/mcperformanceoption.cpp (1.12),
ql/Pricers/mcperformanceoption.hpp (1.10), ql/Pricers/mcpricer.hpp
(1.22):
Now working with more primitive compilers (such as VC++5)
2003-05-12 12:31 Ferdinando Ametrano
* ql/: Math/normaldistribution.hpp (1.22), Pricers/mcpricer.hpp
(1.21):
typo fixed
2003-05-12 12:11 Ferdinando Ametrano
* QuantLib.dsp (1.156):
adding new file
2003-05-09 13:22 Luigi Ballabio
* QuantLib.nsi (1.78), configure.ac (1.11), Docs/quantlib.doxy
(1.67), Docs/pages/mcarlo.docs (1.12), dev_tools/version_number.txt
(1.29), ql/qldefines.hpp (1.52), ql/Math/riskstatistics.hpp (1.4),
ql/MonteCarlo/Makefile.am (1.22), ql/MonteCarlo/mctraits.hpp (1.1),
ql/MonteCarlo/mctypedefs.hpp (1.21),
ql/MonteCarlo/montecarlomodel.hpp (1.22),
ql/MonteCarlo/pathgenerator.hpp (1.36),
ql/Pricers/mccliquetoption.cpp (1.12),
ql/Pricers/mccliquetoption.hpp (1.11),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.16),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.14),
ql/Pricers/mceverest.cpp (1.19), ql/Pricers/mceverest.hpp (1.14),
ql/Pricers/mchimalaya.cpp (1.19), ql/Pricers/mchimalaya.hpp (1.14),
ql/Pricers/mcmaxbasket.cpp (1.16), ql/Pricers/mcmaxbasket.hpp
(1.14), ql/Pricers/mcpagoda.cpp (1.19), ql/Pricers/mcpagoda.hpp
(1.15), ql/Pricers/mcperformanceoption.cpp (1.11),
ql/Pricers/mcperformanceoption.hpp (1.9), ql/Pricers/mcpricer.hpp
(1.20), ql/RandomNumbers/haltonrsg.cpp (1.7):
Re-templatized Monte Carlo model on traits
2003-05-08 12:06 Luigi Ballabio
* ql/Math/segmentintegral.hpp (1.16), ql/Pricers/mceverest.hpp
(1.13), ql/Pricers/mcmaxbasket.hpp (1.13), test-suite/calendars.cpp
(1.2), test-suite/calendars.hpp (1.2), test-suite/capfloor.cpp
(1.9), test-suite/capfloor.hpp (1.3), test-suite/covariance.cpp
(1.6), test-suite/covariance.hpp (1.4), test-suite/dates.cpp (1.3),
test-suite/dates.hpp (1.2), test-suite/daycounters.cpp (1.3),
test-suite/daycounters.hpp (1.2), test-suite/distributions.cpp
(1.7), test-suite/distributions.hpp (1.2),
test-suite/europeanoption.cpp (1.11), test-suite/europeanoption.hpp
(1.6), test-suite/instruments.cpp (1.4), test-suite/instruments.hpp
(1.2), test-suite/integrals.cpp (1.2), test-suite/integrals.hpp
(1.2), test-suite/lowdiscrepancysequences.cpp (1.34),
test-suite/lowdiscrepancysequences.hpp (1.6),
test-suite/matrices.cpp (1.2), test-suite/matrices.hpp (1.3),
test-suite/mersennetwister.cpp (1.7),
test-suite/mersennetwister.hpp (1.3), test-suite/old_pricers.cpp
(1.13), test-suite/old_pricers.hpp (1.5), test-suite/operators.cpp
(1.4), test-suite/operators.hpp (1.2),
test-suite/piecewiseflatforward.cpp (1.4),
test-suite/piecewiseflatforward.hpp (1.2),
test-suite/quantlibtestsuite.cpp (1.27), test-suite/riskstats.cpp
(1.21), test-suite/riskstats.hpp (1.6), test-suite/solvers.cpp
(1.3), test-suite/solvers.hpp (1.2), test-suite/stats.cpp (1.12),
test-suite/stats.hpp (1.8), test-suite/swap.cpp (1.6),
test-suite/swap.hpp (1.2), test-suite/swaption.cpp (1.5),
test-suite/swaption.hpp (1.2), test-suite/termstructures.cpp (1.6),
test-suite/termstructures.hpp (1.3), test-suite/utilities.hpp
(1.2):
Removed unneeded dependencies (recompiling the whole test suite
every time anything changed was a major time waster)
2003-05-07 16:38 Ferdinando Ametrano
* ql/RandomNumbers/haltonrsg.cpp (1.6),
ql/RandomNumbers/mt19937uniformrng.cpp (1.5),
ql/RandomNumbers/mt19937uniformrng.hpp (1.8),
ql/RandomNumbers/randomsequencegenerator.hpp (1.5),
test-suite/lowdiscrepancysequences.cpp (1.33),
test-suite/mersennetwister.cpp (1.6):
enabled the implicit nextInt32() in Mersenne Twister
2003-05-07 16:05 Luigi Ballabio
* test-suite/.cvsignore (1.7):
I want to see them, thank you
2003-05-07 16:04 Luigi Ballabio
* test-suite/: lowdiscrepancysequences.cpp (1.32),
mersennetwister.hpp (1.2), quantlibtestsuite.cpp (1.26):
You love copying and pasting, don'y you? :)
2003-05-07 15:01 Luigi Ballabio
* ql/MonteCarlo/path.hpp (1.14):
Fixed default constructor
2003-05-06 18:53 Ferdinando Ametrano
* ql/RandomNumbers/haltonrsg.cpp (1.5),
ql/RandomNumbers/haltonrsg.hpp (1.6), test-suite/.cvsignore (1.6),
test-suite/lowdiscrepancysequences.cpp (1.31),
test-suite/lowdiscrepancysequences.hpp (1.5):
added randomized Halton sequences (very interesting results!!)
2003-05-06 17:40 Luigi Ballabio
* ql/Math/Makefile.am (1.20):
missing file
2003-05-06 12:04 Enrico Sirola
* acinclude.m4 (1.7):
QL_CHECK_FUNC fixed
2003-05-05 11:59 Ferdinando Ametrano
* Examples/: makefile.mak (1.15), BermudanSwaption/makefile.mak
(1.4), DiscreteHedging/makefile.mak (1.7), Swap/makefile.mak (1.7):
no message
2003-05-05 11:26 Ferdinando Ametrano
* ql/: makefile.mak (1.27), RandomNumbers/makefile.mak (1.14):
no message
2003-05-05 09:20 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.30):
more discrepancy data (final)
2003-05-02 13:08 Ferdinando Ametrano
* ql/RandomNumbers/: sobolrsg.cpp (1.16), sobolrsg.cpp (1.17),
sobolrsg.cpp (1.18), sobolrsg.cpp (1.19):
comments added
2003-05-02 11:59 Ferdinando Ametrano
* ql/RandomNumbers/primitivepolynomials.c (1.5):
drop in replacement files
2003-05-02 11:11 Ferdinando Ametrano
* ql/Math/gaussianstatistics.hpp (1.5), ql/Math/riskstatistics.hpp
(1.2), test-suite/riskstats.cpp (1.20):
redefinition of average shorfall (normalization factor now is
cumulative(target) instead of 1.0)
2003-05-02 09:42 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.29):
more discrepancy data
2003-04-30 17:14 Ferdinando Ametrano
* ql/RandomNumbers/sobolrsg.cpp (1.15):
no message
2003-04-30 17:06 Ferdinando Ametrano
* ql/RandomNumbers/primitivepolynomials.c (1.4):
drop in replacement files
2003-04-30 16:45 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.28):
more data
2003-04-30 16:45 Ferdinando Ametrano
* ql/RandomNumbers/primitivepolynomials.c (1.3):
drop in replacement files
2003-04-30 16:32 Ferdinando Ametrano
* ql/RandomNumbers/primitivepolynomials.h (1.3):
drop in replacement files
2003-04-30 11:36 Ferdinando Ametrano
* ql/RandomNumbers/primitivepolynomials.c (1.2),
ql/RandomNumbers/primitivepolynomials.h (1.2),
ql/RandomNumbers/sobolrsg.cpp (1.14),
test-suite/lowdiscrepancysequences.cpp (1.27):
bug fixed: Sobol finally works.
2003-04-29 18:06 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.26):
no message
2003-04-29 17:41 Ferdinando Ametrano
* ql/RandomNumbers/sobolrsg.cpp (1.13):
no message
2003-04-29 15:27 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.25):
using exponential formatting
2003-04-29 14:46 Luigi Ballabio
* test-suite/lowdiscrepancysequences.cpp (1.24):
usual QL_POW stuff
2003-04-29 14:45 Luigi Ballabio
* test-suite/Makefile.am (1.14):
Fixed previous fix
2003-04-28 18:29 Ferdinando Ametrano
* QuantLib.dsp (1.155),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.8),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.10),
Examples/Swap/Swap.dsp (1.9):
allowing optimization, enabling profile
2003-04-28 13:21 Ferdinando Ametrano
* test-suite/testsuite.dsp (1.13):
updated
2003-04-28 12:49 Ferdinando Ametrano
* test-suite/: Makefile.am (1.13), lowdiscrepancysequences.cpp
(1.23), makefile.mak (1.5):
more data (raise doubts on the Sobol sequences' implementation: see
dimensions 5,10,15)
2003-04-28 12:23 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.22):
more data (raise doubts on the Sobol sequences' implementation: see
dimensions 5,10,15)
2003-04-28 11:59 Ferdinando Ametrano
* ql/Math/discrepancystatistics.hpp (1.7):
bug fix
2003-04-28 11:55 Ferdinando Ametrano
* ql/Math/: discrepancystatistics.hpp (1.6), sequencestatistics.hpp
(1.17):
bug fix
2003-04-24 19:26 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.21):
collecting more data
2003-04-24 19:04 Ferdinando Ametrano
* test-suite/riskstats.cpp (1.18):
regret and associated measures + tests
2003-04-24 18:57 Ferdinando Ametrano
* ql/Math/gaussianstatistics.hpp (1.4),
ql/Math/generalstatistics.cpp (1.5), ql/Math/generalstatistics.hpp
(1.5), ql/Math/incrementalstatistics.cpp (1.3),
test-suite/riskstats.cpp (1.17), test-suite/stats.cpp (1.10):
regret and associated measures + tests
2003-04-24 16:05 Ferdinando Ametrano
* ql/Math/: gaussianstatistics.hpp (1.3), generalstatistics.cpp
(1.4), generalstatistics.hpp (1.4), incrementalstatistics.cpp
(1.2), incrementalstatistics.hpp (1.2):
downsideDeviation and regret modified
2003-04-24 15:36 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.20):
collecting more data
2003-04-24 15:31 Ferdinando Ametrano
* ql/RandomNumbers/: sobolrsg.hpp (1.8), sobolrsg.cpp (1.12):
removed useless data member
2003-04-24 13:24 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.19):
more test
2003-04-24 13:24 Ferdinando Ametrano
* ql/: Math/primenumbers.cpp (1.7), Math/primenumbers.hpp (1.6),
RandomNumbers/mt19937uniformrng.hpp (1.7):
small fixes
2003-04-22 18:55 Ferdinando Ametrano
* ql/Math/: generalstatistics.cpp (1.3), generalstatistics.hpp
(1.3), sequencestatistics.hpp (1.16):
introduced semiVariance and regret
2003-04-22 16:57 Ferdinando Ametrano
* ChangeLog.txt (1.32):
updated
2003-04-22 16:54 Ferdinando Ametrano
* Docs/.cvsignore (1.3), Examples/BermudanSwaption/.cvsignore
(1.6), Examples/DiscreteHedging/.cvsignore (1.6),
Examples/Swap/.cvsignore (1.6):
cvs ignore: Makefile.in
2003-04-22 16:37 Ferdinando Ametrano
* .cvsignore (1.6), ql/.cvsignore (1.8), ql/Calendars/.cvsignore
(1.4), ql/CashFlows/.cvsignore (1.4), ql/DayCounters/.cvsignore
(1.4), ql/FiniteDifferences/.cvsignore (1.4), ql/Indexes/.cvsignore
(1.4), ql/Instruments/.cvsignore (1.4), ql/Lattices/.cvsignore
(1.4), ql/Math/.cvsignore (1.4), ql/MonteCarlo/.cvsignore (1.4),
ql/Optimization/.cvsignore (1.4), ql/Pricers/.cvsignore (1.4),
ql/PricingEngines/.cvsignore (1.4), ql/RandomNumbers/.cvsignore
(1.4), ql/ShortRateModels/.cvsignore (1.4),
ql/ShortRateModels/CalibrationHelpers/.cvsignore (1.4),
ql/ShortRateModels/OneFactorModels/.cvsignore (1.4),
ql/ShortRateModels/TwoFactorModels/.cvsignore (1.4),
ql/Solvers1D/.cvsignore (1.4), ql/TermStructures/.cvsignore (1.4):
cvs ignore: Makefile.in
2003-04-19 12:16 Ferdinando Ametrano
* QuantLib.dsp (1.154), Docs/pages/authors.docs (1.19),
ql/quantlib.hpp (1.105), ql/Math/Makefile.am (1.18),
ql/Math/kronrodintegral.hpp (1.1), test-suite/covariance.hpp (1.3):
added Niels Elken Sønderby's Gauss-Kronrod code
2003-04-18 18:18 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption.cpp (1.31):
catching up
2003-04-18 18:05 Ferdinando Ametrano
* ql/Math/generalstatistics.cpp (1.2),
ql/Math/generalstatistics.hpp (1.2),
test-suite/quantlibtestsuite.cpp (1.25), test-suite/riskstats.cpp
(1.16):
more risk measures with their tests
2003-04-18 13:01 Ferdinando Ametrano
* test-suite/covariance.cpp (1.5):
added covariance/correlation tests
2003-04-18 12:59 Ferdinando Ametrano
* QuantLib.dsp (1.153), test-suite/lowdiscrepancysequences.cpp
(1.18), test-suite/old_pricers.cpp (1.12):
'begin, end' input couple replaced 'const Array&'
2003-04-18 12:58 Ferdinando Ametrano
* ql/MonteCarlo/: Makefile.am (1.21), getcovariance.cpp (1.12),
getcovariance.hpp (1.10), makefile.mak (1.15):
begin, end input couple replaced const Array&
2003-04-18 09:14 Luigi Ballabio
* test-suite/quantlibtestsuite.cpp (1.24):
I figured LDSs are no longer alpha :)
2003-04-18 09:14 Luigi Ballabio
* test-suite/covariance.cpp (1.4):
grammar again :)
2003-04-17 18:06 Ferdinando Ametrano
* ql/Math/sequencestatistics.hpp (1.15), test-suite/covariance.cpp
(1.3), test-suite/covariance.hpp (1.2),
test-suite/quantlibtestsuite.cpp (1.23):
added covariance/correlation tests (not finished yet)
2003-04-17 13:07 Ferdinando Ametrano
* QuantLib.dsp (1.152):
VC++ catching up with disposable
2003-04-17 12:58 Ferdinando Ametrano
* ql/Math/sequencestatistics.hpp (1.14):
bug fix
2003-04-17 12:54 Luigi Ballabio
* ql/: Makefile.am (1.34), config.ansi.hpp (1.16), config.bcc.hpp
(1.17), config.msvc.hpp (1.30), config.mwcw.hpp (1.15),
qldefines.hpp (1.51), quantlib.hpp (1.104),
FiniteDifferences/tridiagonaloperator.cpp (1.18),
FiniteDifferences/tridiagonaloperator.hpp (1.21), Math/matrix.hpp
(1.13), Math/symmetriceigenvalues.hpp (1.8):
QuEP 9 implemented
2003-04-17 10:34 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption.dsp (1.7),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.9),
Examples/Swap/Swap.dsp (1.8), test-suite/testsuite.dsp (1.12):
clean up
2003-04-17 10:11 Luigi Ballabio
* test-suite/stats.hpp (1.7):
Reverted indiscriminated grep
2003-04-17 09:51 Luigi Ballabio
* test-suite/: lowdiscrepancysequences.cpp (1.17), riskstats.cpp
(1.15), stats.hpp (1.6):
Warnings and grammar
2003-04-17 09:49 Luigi Ballabio
* ql/Math/sequencestatistics.hpp (1.13):
Compiles with gcc
2003-04-16 18:28 Ferdinando Ametrano
* makefile.mak (1.41), Examples/BermudanSwaption/.cvsignore (1.5),
Examples/DiscreteHedging/.cvsignore (1.5), Examples/Swap/.cvsignore
(1.5), ql/Math/matrix.hpp (1.12), ql/Math/sequencestatistics.hpp
(1.12), test-suite/.cvsignore (1.5), test-suite/makefile.mak (1.4):
added covariance/correlation (untested yet)
2003-04-16 16:53 Ferdinando Ametrano
* QuantLib.dsp (1.151),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.23),
ql/quantlib.hpp (1.103), ql/Math/Makefile.am (1.17),
ql/Math/discrepancystatistics.cpp (1.3),
ql/Math/discrepancystatistics.hpp (1.5),
ql/Math/gaussianstatistics.hpp (1.2), ql/Math/generalstatistics.cpp
(1.1), ql/Math/generalstatistics.hpp (1.1),
ql/Math/incrementalstatistics.cpp (1.1),
ql/Math/incrementalstatistics.hpp (1.1), ql/Math/makefile.mak
(1.14), ql/Math/sequencestatistics.hpp (1.11),
ql/Math/statistics.hpp (1.24), ql/MonteCarlo/mctypedefs.hpp (1.20),
ql/Pricers/mccliquetoption.cpp (1.11),
ql/Pricers/mccliquetoption.hpp (1.10),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.15),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.13),
ql/Pricers/mceverest.cpp (1.18), ql/Pricers/mceverest.hpp (1.12),
ql/Pricers/mchimalaya.cpp (1.18), ql/Pricers/mchimalaya.hpp (1.13),
ql/Pricers/mcmaxbasket.cpp (1.15), ql/Pricers/mcmaxbasket.hpp
(1.12), ql/Pricers/mcpagoda.cpp (1.18), ql/Pricers/mcpagoda.hpp
(1.14), ql/Pricers/mcperformanceoption.cpp (1.10),
ql/Pricers/mcperformanceoption.hpp (1.8), test-suite/riskstats.cpp
(1.14), test-suite/stats.cpp (1.9):
refactoring the Statistics classes: now there is
IncrementalStatistics (based on incremental sums) and Statistics
(which stores all samples). GaussianStatistics adds gaussian
methods. SequenceStatistics (will) add covariance
calculation. DiscrepancyStatistics (not-incremental) adds
discrepancy calculation
2003-04-15 17:25 Ferdinando Ametrano
* ql/Math/statistics.hpp (1.23):
Statistics renamed GaussianStatistics and replaced by the former
HStatistics
2003-04-15 17:19 Ferdinando Ametrano
* QuantLib.dsp (1.150), makefile.mak (1.40),
Docs/Examples/history_iterators.cpp (1.9),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.22), ql/history.hpp
(1.15), ql/quantlib.hpp (1.102), ql/Math/Makefile.am (1.16),
ql/Math/discrepancystatistics.hpp (1.4),
ql/Math/gaussianstatistics.hpp (1.1), ql/Math/makefile.mak (1.13),
ql/Math/sequencestatistics.hpp (1.10), ql/Math/statistics.hpp
(1.22), ql/MonteCarlo/mctypedefs.hpp (1.19),
ql/Pricers/mccliquetoption.cpp (1.10),
ql/Pricers/mccliquetoption.hpp (1.9),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.14),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.12),
ql/Pricers/mceverest.cpp (1.17), ql/Pricers/mceverest.hpp (1.11),
ql/Pricers/mchimalaya.cpp (1.17), ql/Pricers/mchimalaya.hpp (1.12),
ql/Pricers/mcmaxbasket.cpp (1.14), ql/Pricers/mcmaxbasket.hpp
(1.11), ql/Pricers/mcpagoda.cpp (1.17), ql/Pricers/mcpagoda.hpp
(1.13), ql/Pricers/mcperformanceoption.cpp (1.9),
ql/Pricers/mcperformanceoption.hpp (1.7),
test-suite/lowdiscrepancysequences.cpp (1.16),
test-suite/riskstats.cpp (1.13), test-suite/stats.cpp (1.8),
test-suite/stats.hpp (1.5):
Statistics renamed GaussianStatistics and replaced by the former
HStatistics
2003-04-15 13:12 Ferdinando Ametrano
* ql/Math/normaldistribution.cpp (1.19),
ql/Math/sequencestatistics.hpp (1.9), ql/Math/statistics.hpp
(1.21), test-suite/mersennetwister.cpp (1.5),
test-suite/quantlibtestsuite.cpp (1.22), test-suite/riskstats.cpp
(1.12), test-suite/stats.cpp (1.7):
1) HStatistics does not inherit from Statistic (final) 2) added
tests for HStatistics 3) warning: Statistics' high moments are
numerically unstable for high average/standardDeviation ratios.
HStatistics is stable.
2003-04-15 10:58 Luigi Ballabio
* test-suite/riskstats.cpp (1.11):
Warnings
2003-04-15 10:38 Ferdinando Ametrano
* test-suite/riskstats.cpp (1.10):
HStatistics will not inherit from Statistic (Part II)
2003-04-15 10:11 Luigi Ballabio
* test-suite/riskstats.cpp (1.9):
How many times again?
2003-04-15 10:09 Luigi Ballabio
* Docs/README.txt (1.20):
Doxygen 1.3 released
2003-04-15 08:42 Luigi Ballabio
* Docs/Makefile.am (1.55), Docs/quantlib.doxy (1.65),
Docs/quantlibheader.tex (1.12), Docs/pages/fixedincome.docs (1.9),
ql/argsandresults.hpp (1.12), ql/calendar.cpp (1.12),
ql/calendar.hpp (1.21), ql/capvolstructures.hpp (1.5),
ql/cashflow.hpp (1.10), ql/currency.hpp (1.8), ql/date.cpp (1.24),
ql/date.hpp (1.20), ql/daycounter.hpp (1.18), ql/errors.hpp (1.11),
ql/exercise.cpp (1.3), ql/exercise.hpp (1.23), ql/grid.hpp (1.14),
ql/handle.hpp (1.13), ql/history.hpp (1.14), ql/index.hpp (1.11),
ql/instrument.hpp (1.14), ql/numericalmethod.hpp (1.7),
ql/option.hpp (1.14), ql/payoff.hpp (1.3), ql/pricingengine.hpp
(1.7), ql/qldefines.hpp (1.50), ql/solver1d.hpp (1.11),
ql/swaptionvolstructure.hpp (1.5), ql/termstructure.hpp (1.29),
ql/types.hpp (1.8), ql/voltermstructure.cpp (1.8),
ql/voltermstructure.hpp (1.11), ql/Calendars/jointcalendar.cpp
(1.3), ql/Calendars/jointcalendar.hpp (1.2),
ql/Calendars/target.cpp (1.12), ql/Calendars/target.hpp (1.13),
ql/CashFlows/cashflowvectors.cpp (1.20),
ql/CashFlows/cashflowvectors.hpp (1.15), ql/CashFlows/coupon.hpp
(1.13), ql/CashFlows/fixedratecoupon.hpp (1.15),
ql/CashFlows/floatingratecoupon.hpp (1.24),
ql/CashFlows/inarrearindexedcoupon.hpp (1.4),
ql/CashFlows/indexedcoupon.hpp (1.4), ql/CashFlows/parcoupon.cpp
(1.2), ql/CashFlows/parcoupon.hpp (1.2),
ql/CashFlows/shortfloatingcoupon.cpp (1.9),
ql/CashFlows/shortfloatingcoupon.hpp (1.9),
ql/CashFlows/shortindexedcoupon.hpp (1.4),
ql/CashFlows/simplecashflow.hpp (1.8),
ql/CashFlows/upfrontindexedcoupon.hpp (1.4),
ql/DayCounters/actual360.hpp (1.12),
ql/DayCounters/actualactual.cpp (1.18),
ql/DayCounters/actualactual.hpp (1.16),
ql/DayCounters/thirty360.cpp (1.11), ql/DayCounters/thirty360.hpp
(1.15), ql/FiniteDifferences/americancondition.hpp (1.9),
ql/FiniteDifferences/boundarycondition.cpp (1.3),
ql/FiniteDifferences/boundarycondition.hpp (1.8),
ql/FiniteDifferences/bsmoperator.cpp (1.11),
ql/FiniteDifferences/bsmoperator.hpp (1.11),
ql/FiniteDifferences/cranknicolson.hpp (1.15),
ql/FiniteDifferences/dminus.hpp (1.10),
ql/FiniteDifferences/dplus.hpp (1.10),
ql/FiniteDifferences/dplusdminus.hpp (1.11),
ql/FiniteDifferences/dzero.hpp (1.10),
ql/FiniteDifferences/expliciteuler.hpp (1.11),
ql/FiniteDifferences/fdtypedefs.hpp (1.7),
ql/FiniteDifferences/finitedifferencemodel.hpp (1.17),
ql/FiniteDifferences/impliciteuler.hpp (1.10),
ql/FiniteDifferences/mixedscheme.hpp (1.7),
ql/FiniteDifferences/onefactoroperator.hpp (1.13),
ql/FiniteDifferences/shoutcondition.hpp (1.9),
ql/FiniteDifferences/stepcondition.hpp (1.8),
ql/FiniteDifferences/tridiagonaloperator.cpp (1.17),
ql/FiniteDifferences/tridiagonaloperator.hpp (1.20),
ql/Indexes/audlibor.hpp (1.7), ql/Indexes/cadlibor.hpp (1.7),
ql/Indexes/chflibor.hpp (1.5), ql/Indexes/euribor.hpp (1.11),
ql/Indexes/gbplibor.hpp (1.11), ql/Indexes/jpylibor.hpp (1.6),
ql/Indexes/usdlibor.hpp (1.11), ql/Indexes/xibor.cpp (1.12),
ql/Indexes/xibor.hpp (1.15), ql/Instruments/capfloor.cpp (1.30),
ql/Instruments/capfloor.hpp (1.31),
ql/Instruments/forwardvanillaoption.cpp (1.11),
ql/Instruments/forwardvanillaoption.hpp (1.8),
ql/Instruments/quantoforwardvanillaoption.cpp (1.4),
ql/Instruments/quantoforwardvanillaoption.hpp (1.4),
ql/Instruments/quantovanillaoption.cpp (1.12),
ql/Instruments/quantovanillaoption.hpp (1.9),
ql/Instruments/stock.cpp (1.9), ql/Instruments/stock.hpp (1.8),
ql/Instruments/swap.cpp (1.17), ql/Instruments/swap.hpp (1.13),
ql/Instruments/swaption.cpp (1.27), ql/Instruments/swaption.hpp
(1.23), ql/Instruments/vanillaoption.cpp (1.17),
ql/Instruments/vanillaoption.hpp (1.16),
ql/Lattices/binomialtree.cpp (1.12), ql/Lattices/binomialtree.hpp
(1.9), ql/Lattices/bsmlattice.hpp (1.5), ql/Lattices/lattice.hpp
(1.4), ql/Lattices/lattice2d.hpp (1.4), ql/Lattices/tree.hpp
(1.17), ql/Lattices/trinomialtree.cpp (1.15),
ql/Lattices/trinomialtree.hpp (1.8),
ql/Math/bicubicsplineinterpolation.hpp (1.5),
ql/Math/bilinearinterpolation.hpp (1.13),
ql/Math/chisquaredistribution.cpp (1.6),
ql/Math/chisquaredistribution.hpp (1.6), ql/Math/cubicspline.hpp
(1.23), ql/Math/discrepancystatistics.cpp (1.2),
ql/Math/discrepancystatistics.hpp (1.3), ql/Math/errorfunction.cpp
(1.3), ql/Math/errorfunction.hpp (1.2),
ql/Math/gammadistribution.cpp (1.4), ql/Math/gammadistribution.hpp
(1.4), ql/Math/interpolation.hpp (1.17),
ql/Math/interpolation2D.hpp (1.11), ql/Math/lexicographicalview.hpp
(1.8), ql/Math/linearinterpolation.hpp (1.13),
ql/Math/loglinearinterpolation.hpp (1.14), ql/Math/matrix.hpp
(1.11), ql/Math/normaldistribution.cpp (1.18),
ql/Math/normaldistribution.hpp (1.21), ql/Math/primenumbers.cpp
(1.6), ql/Math/primenumbers.hpp (1.5), ql/Math/segmentintegral.hpp
(1.15), ql/Math/sequencestatistics.hpp (1.8),
ql/Math/statistics.hpp (1.20), ql/Math/symmetriceigenvalues.hpp
(1.7), ql/Math/symmetricschurdecomposition.cpp (1.9),
ql/Math/symmetricschurdecomposition.hpp (1.9),
ql/MonteCarlo/brownianbridge.hpp (1.7),
ql/MonteCarlo/getcovariance.cpp (1.11),
ql/MonteCarlo/getcovariance.hpp (1.9), ql/MonteCarlo/mctypedefs.hpp
(1.18), ql/MonteCarlo/montecarlomodel.hpp (1.21),
ql/MonteCarlo/multipath.hpp (1.15),
ql/MonteCarlo/multipathgenerator.hpp (1.32), ql/MonteCarlo/path.hpp
(1.13), ql/MonteCarlo/pathgenerator.hpp (1.35),
ql/MonteCarlo/pathpricer.hpp (1.14), ql/MonteCarlo/sample.hpp
(1.8), ql/Optimization/armijo.cpp (1.14),
ql/Optimization/armijo.hpp (1.15),
ql/Optimization/conjugategradient.cpp (1.15),
ql/Optimization/conjugategradient.hpp (1.13),
ql/Optimization/constraint.hpp (1.9),
ql/Optimization/costfunction.hpp (1.16),
ql/Optimization/criteria.hpp (1.12),
ql/Optimization/leastsquare.hpp (1.20),
ql/Optimization/linesearch.hpp (1.14), ql/Optimization/method.hpp
(1.6), ql/Optimization/problem.hpp (1.6),
ql/Optimization/simplex.cpp (1.8), ql/Optimization/simplex.hpp
(1.10), ql/Optimization/steepestdescent.cpp (1.13),
ql/Optimization/steepestdescent.hpp (1.15), ql/Patterns/bridge.hpp
(1.3), ql/Patterns/lazyobject.hpp (1.2), ql/Patterns/observable.hpp
(1.13), ql/Patterns/visitor.hpp (1.2),
ql/Pricers/discretegeometricaso.cpp (1.10),
ql/Pricers/discretegeometricaso.hpp (1.7),
ql/Pricers/mccliquetoption.cpp (1.9),
ql/Pricers/mccliquetoption.hpp (1.8),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.13),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.11),
ql/Pricers/mceverest.cpp (1.16), ql/Pricers/mceverest.hpp (1.10),
ql/Pricers/mchimalaya.cpp (1.16), ql/Pricers/mchimalaya.hpp (1.11),
ql/Pricers/mcmaxbasket.cpp (1.13), ql/Pricers/mcmaxbasket.hpp
(1.10), ql/Pricers/mcpagoda.cpp (1.16), ql/Pricers/mcpagoda.hpp
(1.12), ql/Pricers/mcperformanceoption.cpp (1.8),
ql/Pricers/mcperformanceoption.hpp (1.6), ql/Pricers/mcpricer.hpp
(1.19), ql/Pricers/singleassetoption.cpp (1.20),
ql/Pricers/singleassetoption.hpp (1.22),
ql/PricingEngines/latticeshortratemodelengine.hpp (1.3),
ql/RandomNumbers/boxmullergaussianrng.hpp (1.9),
ql/RandomNumbers/centrallimitgaussianrng.hpp (1.9),
ql/RandomNumbers/haltonrsg.cpp (1.4),
ql/RandomNumbers/haltonrsg.hpp (1.5),
ql/RandomNumbers/knuthuniformrng.cpp (1.7),
ql/RandomNumbers/knuthuniformrng.hpp (1.10),
ql/RandomNumbers/lecuyeruniformrng.cpp (1.7),
ql/RandomNumbers/lecuyeruniformrng.hpp (1.8),
ql/RandomNumbers/mt19937uniformrng.cpp (1.4),
ql/RandomNumbers/mt19937uniformrng.hpp (1.6),
ql/RandomNumbers/randomsequencegenerator.hpp (1.4),
ql/RandomNumbers/sobolrsg.cpp (1.11), ql/RandomNumbers/sobolrsg.hpp
(1.7), ql/ShortRateModels/calibrationhelper.cpp (1.4),
ql/ShortRateModels/calibrationhelper.hpp (1.8),
ql/ShortRateModels/model.cpp (1.10), ql/ShortRateModels/model.hpp
(1.13), ql/ShortRateModels/onefactormodel.cpp (1.8),
ql/ShortRateModels/onefactormodel.hpp (1.9),
ql/ShortRateModels/parameter.hpp (1.8),
ql/ShortRateModels/twofactormodel.cpp (1.5),
ql/ShortRateModels/twofactormodel.hpp (1.5),
ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.11),
ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.4),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.11),
ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.4),
ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.8),
ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.6),
ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.12),
ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.9),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp
(1.10),
ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp
(1.11), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.10),
ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.11),
ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.6),
ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.6),
ql/ShortRateModels/TwoFactorModels/g2.cpp (1.7),
ql/ShortRateModels/TwoFactorModels/g2.hpp (1.9),
ql/Solvers1D/bisection.hpp (1.8), ql/Solvers1D/brent.hpp (1.8),
ql/Solvers1D/falseposition.hpp (1.8), ql/Solvers1D/newton.hpp
(1.8), ql/Solvers1D/newtonsafe.hpp (1.9), ql/Solvers1D/ridder.hpp
(1.8), ql/Solvers1D/secant.hpp (1.8),
ql/TermStructures/compoundforward.cpp (1.22),
ql/TermStructures/compoundforward.hpp (1.15),
ql/TermStructures/discountcurve.hpp (1.14),
ql/TermStructures/drifttermstructure.hpp (1.3),
ql/TermStructures/flatforward.hpp (1.23),
ql/TermStructures/forwardspreadedtermstructure.hpp (1.12),
ql/TermStructures/impliedtermstructure.hpp (1.11),
ql/TermStructures/piecewiseflatforward.cpp (1.32),
ql/TermStructures/piecewiseflatforward.hpp (1.27),
ql/TermStructures/quantotermstructure.hpp (1.6),
ql/TermStructures/ratehelpers.cpp (1.31),
ql/TermStructures/ratehelpers.hpp (1.26),
ql/TermStructures/zerocurve.hpp (1.2),
ql/TermStructures/zerospreadedtermstructure.hpp (1.13),
ql/Utilities/steppingiterator.hpp (1.8),
ql/Volatilities/blackconstantvol.hpp (1.12),
ql/Volatilities/blackvariancecurve.hpp (1.14),
ql/Volatilities/blackvariancesurface.hpp (1.15),
ql/Volatilities/capflatvolvector.hpp (1.6),
ql/Volatilities/impliedvoltermstructure.hpp (1.4),
ql/Volatilities/localconstantvol.hpp (1.9),
ql/Volatilities/localvolcurve.hpp (1.4),
ql/Volatilities/localvolsurface.hpp (1.7),
ql/Volatilities/swaptionvolmatrix.hpp (1.8):
Doxygen 1.3 released
2003-04-14 18:48 Ferdinando Ametrano
* ql/Math/statistics.hpp (1.19):
code formatting
2003-04-14 16:25 Ferdinando Ametrano
* test-suite/riskstats.cpp (1.8):
nothing relevant
2003-04-14 11:07 Sadruddin Rejeb
* test-suite/stats.cpp (1.6):
Fixed gcc compilation issue
2003-04-13 09:56 Ferdinando Ametrano
* ql/Math/normaldistribution.hpp (1.20):
code formatting
2003-04-13 09:55 Ferdinando Ametrano
* ql/Math/statistics.hpp (1.18):
bug fixed: it didn't handle correctly large number of samples.
kurtosis doc typo fixed
2003-04-12 20:30 Ferdinando Ametrano
* makefile.mak (1.39):
fixed
2003-04-12 19:38 Ferdinando Ametrano
* test-suite/: riskstats.cpp (1.7), stats.cpp (1.5):
added HStatistics, SequenceStatistics, and
SequenceStatistics tests
2003-04-12 19:33 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.15):
added (incomplete and reduced) discrepancy test
2003-04-12 19:29 Ferdinando Ametrano
* ql/Math/sequencestatistics.hpp (1.7):
forgotten, but not lost
2003-04-12 19:28 Ferdinando Ametrano
* ql/RandomNumbers/: sobolrsg.cpp (1.10), sobolrsg.hpp (1.6):
bug fix. Sobol now works. I will finish the tests next week. Also
unit initialization is allowed for study/comparison
2003-04-12 19:21 Ferdinando Ametrano
* ql/RandomNumbers/makefile.mak (1.13):
make it work with -DDEBUG
2003-04-11 11:34 Ferdinando Ametrano
* ql/Math/makefile.mak (1.12):
grammar rules: back to Statistics, with the final s
2003-04-10 18:19 Luigi Ballabio
* ql/Math/Makefile.am (1.15), ql/Math/discrepancystatistics.cpp
(1.1), ql/Math/discrepancystatistics.hpp (1.2),
ql/Math/sequencestatistics.hpp (1.6),
test-suite/lowdiscrepancysequences.cpp (1.14),
test-suite/quantlibtestsuite.cpp (1.21), test-suite/riskstats.cpp
(1.6), test-suite/riskstats.hpp (1.4), test-suite/stats.cpp (1.4),
test-suite/stats.hpp (1.4):
Grumpf
2003-04-10 13:41 Ferdinando Ametrano
* QuantLib.dsp (1.148), Docs/Examples/history_iterators.cpp (1.8),
Examples/DiscreteHedging/DiscreteHedging.cpp (1.21), ql/history.hpp
(1.13), ql/quantlib.hpp (1.101), ql/Math/discrepancystatistics.hpp
(1.1), ql/Math/normaldistribution.hpp (1.19),
ql/Math/sequencestatistics.hpp (1.5), ql/Math/statistics.hpp
(1.17), ql/MonteCarlo/mctypedefs.hpp (1.17),
ql/Pricers/mccliquetoption.cpp (1.8),
ql/Pricers/mccliquetoption.hpp (1.7),
ql/Pricers/mcdiscretearithmeticaso.cpp (1.12),
ql/Pricers/mcdiscretearithmeticaso.hpp (1.10),
ql/Pricers/mceverest.cpp (1.15), ql/Pricers/mceverest.hpp (1.9),
ql/Pricers/mchimalaya.cpp (1.15), ql/Pricers/mchimalaya.hpp (1.10),
ql/Pricers/mcmaxbasket.cpp (1.12), ql/Pricers/mcmaxbasket.hpp
(1.9), ql/Pricers/mcpagoda.cpp (1.15), ql/Pricers/mcpagoda.hpp
(1.11), ql/Pricers/mcperformanceoption.cpp (1.7),
ql/Pricers/mcperformanceoption.hpp (1.5), ql/Pricers/mcpricer.hpp
(1.18), test-suite/lowdiscrepancysequences.cpp (1.13),
test-suite/quantlibtestsuite.cpp (1.20), test-suite/riskstats.cpp
(1.5), test-suite/riskstats.hpp (1.3), test-suite/stats.cpp (1.3),
test-suite/stats.hpp (1.3):
grammar rules: back to Statistics, with the final s
2003-04-10 10:17 Ferdinando Ametrano
* test-suite/: lowdiscrepancysequences.cpp (1.12),
lowdiscrepancysequences.hpp (1.4), quantlibtestsuite.cpp (1.19):
added discrepancy test (too long in this version to be really added
to the suite). Extended Halton/Sobol tests
2003-04-10 10:14 Ferdinando Ametrano
* test-suite/: riskstats.cpp (1.4), riskstats.hpp (1.2), stats.cpp
(1.2), stats.hpp (1.2):
Statistics renamed Statistic
2003-04-10 10:09 Ferdinando Ametrano
* ql/MonteCarlo/mctypedefs.hpp (1.16):
Statistics renamed Statistic
2003-04-10 10:06 Ferdinando Ametrano
* ql/Math/sequencestatistics.hpp (1.4):
SequenceStatistics renamed SequenceStatistic
2003-04-10 10:04 Ferdinando Ametrano
* Docs/Examples/history_iterators.cpp (1.7):
Statistics renamed Statistic
2003-04-10 10:03 Ferdinando Ametrano
* ql/RandomNumbers/sobolrsg.cpp (1.9):
added switches for unit initialization (for study and test only)
2003-04-10 10:01 Ferdinando Ametrano
* ql/: Pricers/mccliquetoption.cpp (1.7),
Pricers/mccliquetoption.hpp (1.6),
Pricers/mcdiscretearithmeticaso.cpp (1.11),
Pricers/mcdiscretearithmeticaso.hpp (1.9), Pricers/mceverest.cpp
(1.14), Pricers/mceverest.hpp (1.8), Pricers/mchimalaya.cpp (1.14),
Pricers/mchimalaya.hpp (1.9), Pricers/mcmaxbasket.cpp (1.11),
Pricers/mcmaxbasket.hpp (1.8), Pricers/mcpagoda.cpp (1.14),
Pricers/mcpagoda.hpp (1.10), Pricers/mcperformanceoption.cpp (1.6),
Pricers/mcperformanceoption.hpp (1.4), Math/statistics.hpp (1.16):
Statistics renamed Statistic
2003-04-10 09:58 Ferdinando Ametrano
* ql/quantlib.hpp (1.100), ql/Math/Makefile.am (1.14),
ql/Math/makefile.mak (1.11), QuantLib.dsp (1.147):
1) added HStatistic (for historical and empirical non-gaussian
distribution) 2) added DiscrepancyStatistic that inherit from
SequenceStatistic and extend it with the calculation of
L2-discrepancy
2003-04-10 09:54 Ferdinando Ametrano
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.20):
Statistics renamed Statistic
2003-04-09 14:58 Luigi Ballabio
* ql/Math/sequencestatistics.hpp (1.3),
test-suite/lowdiscrepancysequences.cpp (1.11):
No need to parameterize on sequence type---and it wouldn't have
worked with std::list
2003-04-08 18:01 Luigi Ballabio
* ql/Math/sequencestatistics.hpp (1.2):
HOW could this template method compile?
2003-04-08 15:47 Ferdinando Ametrano
* QuantLib.dsp (1.146), ql/quantlib.hpp (1.99),
ql/RandomNumbers/makefile.mak (1.12):
added SequenceStatistics
2003-04-08 15:47 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.9):
testing low discrepancy sequences using SequenceStatistics Sobol
might still have some problems (or I am missing something ... ;-)
2003-04-08 15:38 Ferdinando Ametrano
* ql/Math/: Makefile.am (1.13), sequencestatistics.hpp (1.1),
statistics.hpp (1.15):
added SequenceStatistics
2003-04-08 09:57 Luigi Ballabio
* test-suite/lowdiscrepancysequences.cpp (1.8):
There was a reason...
2003-04-07 18:40 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.7):
bug-fix
2003-04-07 17:37 Ferdinando Ametrano
* test-suite/lowdiscrepancysequences.cpp (1.5):
faster test
2003-04-07 17:32 Ferdinando Ametrano
* ql/RandomNumbers/sobolrsg.cpp (1.7):
bug-fix (and more comments)
2003-04-07 16:49 Ferdinando Ametrano
* QuantLib.dsp (1.145), ql/RandomNumbers/sobolrsg.cpp (1.6),
test-suite/lowdiscrepancysequences.cpp (1.4),
test-suite/lowdiscrepancysequences.hpp (1.3),
test-suite/quantlibtestsuite.cpp (1.18):
added Sobol/Holton first tests
2003-04-07 12:47 Ferdinando Ametrano
* test-suite/: lowdiscrepancysequences.cpp (1.2),
lowdiscrepancysequences.hpp (1.2), quantlibtestsuite.cpp (1.16):
simple test added
2003-04-07 12:45 Ferdinando Ametrano
* ql/RandomNumbers/sobolrsg.cpp (1.4):
bug fix
2003-04-07 11:44 Ferdinando Ametrano
* QuantLib.dsp (1.144),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.6),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.8),
Examples/Swap/Swap.dsp (1.7), test-suite/testsuite.dsp (1.11):
included in QuantLib primitive polynomials modulo two up to
dimension 18
2003-04-07 11:40 Ferdinando Ametrano
* makefile.mak (1.38), ql/makefile.mak (1.26), ql/quantlib.hpp
(1.97), ql/RandomNumbers/Makefile.am (1.11),
ql/RandomNumbers/makefile.mak (1.11), ql/RandomNumbers/sobolrsg.cpp
(1.3), ql/RandomNumbers/sobolrsg.hpp (1.3),
test-suite/quantlibtestsuite.cpp (1.15):
included in QuantLib primitive polynomials modulo two up to
dimension 18
2003-04-07 10:03 Ferdinando Ametrano
* ql/RandomNumbers/: sobolrsg.hpp (1.2), sobolrsg.cpp (1.2):
added Sobol Random Sequence Generator. Untested yet
2003-04-06 02:17 Ferdinando Ametrano
* QuantLib.dsp (1.143), makefile.mak (1.37), ql/makefile.mak
(1.25), ql/quantlib.hpp (1.96), ql/RandomNumbers/Makefile.am
(1.10), ql/RandomNumbers/makefile.mak (1.10),
ql/RandomNumbers/sobolrsg.cpp (1.1), ql/RandomNumbers/sobolrsg.hpp
(1.1):
added Sobol Random Sequence Generator. Untested yet
2003-04-06 01:34 Ferdinando Ametrano
* ql/RandomNumbers/: haltonrsg.hpp (1.4), mt19937uniformrng.hpp
(1.5):
code formatting
2003-04-04 19:22 Ferdinando Ametrano
* Examples/BermudanSwaption/BermudanSwaption.dsp (1.5):
added primitive polynomial modulo 2
2003-04-04 19:05 Ferdinando Ametrano
* QuantLib.dsp (1.142),
Examples/BermudanSwaption/BermudanSwaption.dsp (1.4),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.7),
Examples/Swap/Swap.dsp (1.6), ql/Math/cubicspline.hpp (1.21),
ql/Math/interpolation.hpp (1.15),
ql/RandomNumbers/mt19937uniformrng.hpp (1.4),
test-suite/testsuite.dsp (1.10):
warning avoided
2003-04-04 18:43 Ferdinando Ametrano
* ql/Math/chisquaredistribution.hpp (1.5):
typo fixed
2003-04-04 18:33 Ferdinando Ametrano
* QuantLib.dsp (1.141), makefile.mak (1.36), Examples/makefile.mak
(1.14), Examples/BermudanSwaption/BermudanSwaption.dsp (1.3),
Examples/BermudanSwaption/makefile.mak (1.3),
Examples/DiscreteHedging/DiscreteHedging.dsp (1.6),
Examples/DiscreteHedging/makefile.mak (1.6), Examples/Swap/Swap.dsp
(1.5), Examples/Swap/makefile.mak (1.6), ql/qldefines.hpp (1.49),
ql/quantlib.hpp (1.95), ql/RandomNumbers/mt19937uniformrng.cpp
(1.2), ql/RandomNumbers/mt19937uniformrng.hpp (1.3),
test-suite/lowdiscrepancysequences.cpp (1.1),
test-suite/lowdiscrepancysequences.hpp (1.1),
test-suite/quantlibtestsuite.cpp (1.14), test-suite/testsuite.dsp
(1.9):
1) added primitive polynomial modulo 2 (also an unit test) 2) VC++
moved from (Debug) Multithread DLL to (Debug) Multithread
2003-04-02 16:21 Ferdinando Ametrano
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.19):
working on payoff classes removed default argument from binary
option
2003-04-02 09:48 Ferdinando Ametrano
* QuantLib.dsp (1.140), ql/payoff.hpp (1.2),
ql/FiniteDifferences/americancondition.hpp (1.8),
ql/FiniteDifferences/shoutcondition.hpp (1.8),
ql/Pricers/singleassetoption.hpp (1.21), test-suite/old_pricers.cpp
(1.10):
working on payoff classes removed default argument from binary
option
2003-04-01 16:43 Ferdinando Ametrano
* ql/: Instruments/vanillaoption.cpp (1.15),
Instruments/vanillaoption.hpp (1.14), PricingEngines/Makefile.am
(1.15), PricingEngines/makefile.mak (1.11):
working on Cash-Or-Nothing and Asset-Or-Nothing payoff classes
2003-04-01 13:16 Ferdinando Ametrano
* ql/: Makefile.am (1.33), exercise.hpp (1.22), payoff.hpp (1.1),
quantlib.hpp (1.94), Pricers/singleassetoption.hpp (1.20):
added payoff file for Payoff classes. Added Cash-Or-Nothing and
Asset-Or-Nothing payoff classes
2003-04-01 11:36 Ferdinando Ametrano
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.18),
ql/exercise.cpp (1.2), ql/exercise.hpp (1.21),
ql/FiniteDifferences/americancondition.hpp (1.7),
ql/FiniteDifferences/shoutcondition.hpp (1.7),
ql/Instruments/vanillaoption.cpp (1.14),
ql/Instruments/vanillaoption.hpp (1.13),
ql/Pricers/discretegeometricaso.cpp (1.9),
ql/Pricers/singleassetoption.cpp (1.19),
ql/Pricers/singleassetoption.hpp (1.19):
ExercisePayoff function became a Payoff class derived from
std::unary_funcion.
It can be integrated in the Integral engines (only european for the
time being, more to follow)
2003-03-31 18:57 Ferdinando Ametrano
* QuantLib.dsp (1.139), ql/PricingEngines/Makefile.am (1.14),
ql/PricingEngines/makefile.mak (1.10):
added Integral (european) pricing engine
2003-03-28 18:09 Sadruddin Rejeb
* Authors.txt (1.10):
Updated e-mail address (yes, I'm alive... I'll be back soon!)
2003-03-28 11:20 Ferdinando Ametrano
* ql/Pricers/mchimalaya.cpp (1.13), ql/Pricers/mchimalaya.hpp
(1.8), ql/Pricers/mcmaxbasket.cpp (1.10),
ql/Pricers/mcmaxbasket.hpp (1.7), ql/Pricers/mcpagoda.cpp (1.13),
ql/Pricers/mcpagoda.hpp (1.9), test-suite/old_pricers.cpp (1.9):
using std::vector instead of Array
2003-03-25 01:00 Ferdinando Ametrano
* ql/Pricers/mccliquetoption.hpp (1.5):
no message
2003-03-25 00:14 Ferdinando Ametrano
* test-suite/: old_pricers.cpp (1.8), testsuite.dsp (1.8):
updated
2003-03-25 00:11 Ferdinando Ametrano
* ql/RandomNumbers/haltonrsg.cpp (1.3):
code formatting
2003-03-25 00:11 Ferdinando Ametrano
* ql/Pricers/: mccliquetoption.cpp (1.6), mccliquetoption.hpp
(1.4):
extending functionalities
2003-03-24 17:37 Luigi Ballabio
* test-suite/mersennetwister.cpp (1.4):
Removed warning with gcc
2003-03-24 16:39 Ferdinando Ametrano
* ql/Math/: symmetricschurdecomposition.cpp (1.8),
symmetricschurdecomposition.hpp (1.8):
const-ness fixes
2003-03-24 16:30 Ferdinando Ametrano
* test-suite/: Makefile.am (1.11), makefile.mak (1.3), matrices.cpp
(1.1), matrices.hpp (1.1), quantlibtestsuite.cpp (1.12):
added matrices test (eigenvectors and pseudoSqrt for the time
being)
2003-03-24 15:12 Ferdinando Ametrano
* ql/Math/matrix.hpp (1.10):
matrix pseudo square algorithm using salvaging algorithm(s)
2003-03-24 11:53 Ferdinando Ametrano
* ql/Math/symmetricschurdecomposition.hpp (1.7):
avoid copying results
2003-03-24 11:52 Ferdinando Ametrano
* ql/MonteCarlo/multipathgenerator.hpp (1.31):
code formatting
2003-03-24 00:39 Luigi Ballabio
* Examples/DiscreteHedging/DiscreteHedging.cpp (1.17):
Compiles and runs with gcc
2003-03-23 21:14 Luigi Ballabio
* ql/MonteCarlo/pathgenerator.hpp (1.34):
Template argument name fixed
2003-03-23 16:09 Ferdinando Ametrano
* ql/MonteCarlo/brownianbridge.hpp (1.6):
avoid warning
2003-03-23 16:05 Ferdinando Ametrano
* ql/MonteCarlo/montecarlomodel.hpp (1.20):
in the new framework antithetic variate is handled by
MonteCarloModel
2003-03-23 16:03 Ferdinando Ametrano
* ql/: Pricers/mcperformanceoption.cpp (1.5),
Pricers/mccliquetoption.cpp (1.5),
Pricers/mcdiscretearithmeticaso.cpp (1.10), Pricers/mceverest.cpp
(1.13), Pricers/mchimalaya.cpp (1.12), Pricers/mcmaxbasket.cpp
(1.9), Pricers/mcpagoda.cpp (1.12), MonteCarlo/pathgenerator.hpp
(1.33), MonteCarlo/multipathgenerator.hpp (1.30):
old pricers don't use new framework's antithetic variate
2003-03-22 21:57 Ferdinando Ametrano
* ql/MonteCarlo/: multipath.hpp (1.14), multipathgenerator.hpp
(1.29):
1) using TimeGrid instead of std::vector