2005-04-01 17:37 Ferdinando Ametrano * Authors.txt (1.14.4.1), Docs/pages/authors.docs (1.33.2.2), ql/Indexes/euribor.hpp (1.23.4.2), ql/Math/primenumbers.cpp (1.14.2.2), ql/Math/primenumbers.hpp (1.10.8.2), ql/MonteCarlo/brownianbridge.hpp (1.25.2.2), ql/RandomNumbers/haltonrsg.cpp (1.14.8.2), ql/RandomNumbers/primitivepolynomials.c (1.8.4.2), ql/RandomNumbers/primitivepolynomials.h (1.4.20.2): Peter Jäckel's credit 2005-04-01 16:58 Luigi Ballabio * News.txt (1.74.2.3), Docs/pages/history.docs (1.19.2.5), ql/Indexes/Makefile.am (1.11.2.1), ql/Indexes/all.hpp (1.1.10.2), ql/Indexes/audlibor.hpp (1.21.4.2), ql/Indexes/cadlibor.hpp (1.21.4.2), ql/Indexes/cdor.hpp (1.1.2.1), ql/Indexes/chflibor.hpp (1.18.4.2), ql/Indexes/gbplibor.hpp (1.26.4.2), ql/Indexes/jpylibor.hpp (1.19.4.2), ql/Indexes/tibor.hpp (1.1.2.1), ql/Indexes/usdlibor.hpp (1.25.4.2), ql/Indexes/zarlibor.hpp (1.19.4.2), ql/Indexes/zibor.hpp (1.1.2.1): Fixed calendars for LIBOR fixings (thanks to Daniele De Francesco) and removed ambiguities between indices 2005-03-30 17:48 Luigi Ballabio * Docs/pages/faq.docs (1.13.2.5): Added FAQ entry for Dev-C++ 2005-03-30 15:43 Luigi Ballabio * Docs/pages/faq.docs (1.13.2.4): Added FAQ entry for Boost 1.32 stringstream 2005-03-30 14:53 Ferdinando Ametrano * memo.txt (1.4.4.1): no message 2005-03-30 13:40 Luigi Ballabio * ql/discretizedasset.hpp (1.18.2.2): Removed unsafe default implementation 2005-03-30 11:12 Luigi Ballabio * test-suite/: bonds.cpp (1.11.2.4), covariance.cpp (1.28.2.3), distributions.cpp (1.25.2.3), factorial.cpp (1.19.2.2), interpolations.cpp (1.25.2.3), rounding.cpp (1.5.2.3), swap.cpp (1.39.2.3), swaption.cpp (1.38.2.3), termstructures.cpp (1.37.2.3): Fixes for VC6 2005-03-30 10:38 Luigi Ballabio * ql/Utilities/dataformatters.hpp (1.3.2.4), test-suite/americanoption.cpp (1.35.2.2), test-suite/asianoptions.cpp (1.49.2.2), test-suite/barrieroption.cpp (1.46.2.2), test-suite/basketoption.cpp (1.41.2.2), test-suite/bermudanswaption.cpp (1.1.2.2), test-suite/bonds.cpp (1.11.2.3), test-suite/capfloor.cpp (1.46.2.2), test-suite/cliquetoption.cpp (1.24.2.2), test-suite/compoundforward.cpp (1.31.2.2), test-suite/covariance.cpp (1.28.2.2), test-suite/daycounters.cpp (1.17.2.2), test-suite/digitaloption.cpp (1.50.2.2), test-suite/distributions.cpp (1.25.2.2), test-suite/dividendoption.cpp (1.3.2.2), test-suite/europeanoption.cpp (1.87.2.2), test-suite/forwardoption.cpp (1.20.2.2), test-suite/integrals.cpp (1.12.2.2), test-suite/interestrates.cpp (1.17.2.2), test-suite/interpolations.cpp (1.25.2.2), test-suite/jumpdiffusion.cpp (1.36.2.2), test-suite/lowdiscrepancysequences.cpp (1.71.2.2), test-suite/matrices.cpp (1.30.2.2), test-suite/old_pricers.cpp (1.72.2.2), test-suite/operators.cpp (1.14.2.2), test-suite/piecewiseflatforward.cpp (1.32.2.2), test-suite/piecewiseyieldcurve.cpp (1.5.2.4), test-suite/quantooption.cpp (1.22.2.2), test-suite/quotes.cpp (1.8.2.2), test-suite/rounding.cpp (1.5.2.2), test-suite/shortratemodels.cpp (1.1.2.2), test-suite/solvers.cpp (1.13.2.2), test-suite/stats.cpp (1.27.2.2), test-suite/swap.cpp (1.39.2.2), test-suite/swaption.cpp (1.38.2.2), test-suite/termstructures.cpp (1.37.2.2), test-suite/tracing.cpp (1.4.2.3), test-suite/utilities.hpp (1.23.2.2): Fixes for Darwin linker 2005-03-29 20:20 Ferdinando Ametrano * QuantLib_vc8.vcproj (1.1.2.2), ql/config.msvc.hpp (1.66.2.4), test-suite/testsuite_vc8.vcproj (1.1.2.1): VC8 catching up 2005-03-29 19:54 Ferdinando Ametrano * ql/Utilities/dataformatters.hpp (1.3.2.3): no message 2005-03-29 16:38 Ferdinando Ametrano * Examples/AmericanOption/makefile.mak (1.15.2.1), Examples/BermudanSwaption/makefile.mak (1.19.2.1), Examples/DiscreteHedging/makefile.mak (1.22.2.1), Examples/EuropeanOption/makefile.mak (1.25.2.1), Examples/Swap/makefile.mak (1.22.2.1), functions/ql/Functions/makefile.mak (1.7.2.1), ql/makefile.mak (1.69.2.2), ql/Calendars/makefile.mak (1.30.2.2), ql/CashFlows/makefile.mak (1.24.2.1), ql/Currencies/makefile.mak (1.1.4.1), ql/DayCounters/makefile.mak (1.21.8.1), ql/FiniteDifferences/makefile.mak (1.21.8.2), ql/Indexes/makefile.mak (1.21.2.1), ql/Instruments/makefile.mak (1.36.2.2), ql/Lattices/makefile.mak (1.27.8.1), ql/Math/makefile.mak (1.38.8.1), ql/MonteCarlo/makefile.mak (1.30.4.1), ql/Optimization/makefile.mak (1.19.8.1), ql/Pricers/makefile.mak (1.47.2.1), ql/PricingEngines/makefile.mak (1.33.8.2), ql/PricingEngines/Asian/makefile.mak (1.9.4.1), ql/PricingEngines/Barrier/makefile.mak (1.9.8.1), ql/PricingEngines/Basket/makefile.mak (1.8.8.1), ql/PricingEngines/CapFloor/makefile.mak (1.8.8.1), ql/PricingEngines/Cliquet/makefile.mak (1.11.4.1), ql/PricingEngines/Swaption/makefile.mak (1.10.6.1), ql/PricingEngines/Vanilla/makefile.mak (1.15.2.2), ql/Processes/makefile.mak (1.1.2.2), ql/RandomNumbers/makefile.mak (1.29.4.1), ql/ShortRateModels/makefile.mak (1.16.8.1), ql/ShortRateModels/CalibrationHelpers/makefile.mak (1.15.8.1), ql/ShortRateModels/OneFactorModels/makefile.mak (1.15.8.1), ql/ShortRateModels/TwoFactorModels/makefile.mak (1.15.8.1), ql/TermStructures/makefile.mak (1.25.2.2), ql/Utilities/makefile.mak (1.2.2.2), ql/Volatilities/makefile.mak (1.10.8.1), test-suite/makefile.mak (1.52.2.2): Borland warning avoided 2005-03-29 15:24 Ferdinando Ametrano * ql/config.msvc.hpp (1.66.2.3): VC 7.0 has never been really supported (anyone using it?) 2005-03-29 14:02 Ferdinando Ametrano * QuantLib.vcproj (1.51.2.2), ql/Math/array.hpp (1.18.2.2), ql/Math/matrix.hpp (1.41.2.2), ql/TermStructures/bootstraptraits.hpp (1.4.2.2), ql/Utilities/dataformatters.hpp (1.3.2.2): VC7.1 catching up 2005-03-29 14:00 Ferdinando Ametrano * test-suite/piecewiseyieldcurve.cpp (1.5.2.3): BCC5.5 needs a much larger tolerance. Is this to be investigated? 2005-03-29 13:39 Ferdinando Ametrano * test-suite/tracing.cpp (1.4.2.2): avoid Borland warning 2005-03-29 13:06 Ferdinando Ametrano * ql/config.msvc.hpp (1.66.2.2): VC 7.0 has never been really supported (anyone using it?) 2005-03-29 12:50 Ferdinando Ametrano * ql/: errors.cpp (1.10.2.2), stochasticprocess.cpp (1.13.2.2), FiniteDifferences/stepcondition.hpp (1.17.2.2), Math/backwardflatinterpolation.hpp (1.2.2.2): removing unused variables (is Borland 5.5 the only compiler to catch these minor glitches?) 2005-03-29 12:10 Luigi Ballabio * ql/: money.hpp (1.7.2.2), TermStructures/piecewiseyieldcurve.hpp (1.7.2.4): Removed Doxygen warnings 2005-03-28 21:59 Ferdinando Ametrano * QuantLib.vcproj (1.51.2.1), QuantLib_vc8.vcproj (1.1.2.1), test-suite/testsuite.vcproj (1.30.2.1), 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.) 2005-03-25 14:46 Luigi Ballabio * News.txt (1.74.2.1), Docs/pages/history.docs (1.19.2.3), ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp (1.1.8.2), ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp (1.5.2.2): Fix for cap/floorlets with fixing in the past (thanks to Aurelien Chanudet.) 2005-03-23 12:15 Luigi Ballabio * ql/: grid.cpp (1.17.2.2), grid.hpp (1.23.4.2), Math/comparison.hpp (1.6.2.2), timegrid.cpp (1.3), timegrid.hpp (1.6), Math/comparison.hpp (1.8): Avoid very small time steps due to numerical differences 2005-03-21 11:12 Luigi Ballabio * Makefile.am (1.95.2.1), functions/ql/Functions/Makefile.am (1.7.2.1), test-suite/Makefile.am (1.49.2.1): Create empty build directories in tarball 2005-03-18 16:09 Luigi Ballabio * News.txt (1.75), Examples/AmericanOption/AmericanOption.cpp (1.41), Examples/BermudanSwaption/BermudanSwaption.cpp (1.72), Examples/EuropeanOption/EuropeanOption.cpp (1.123), 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/AmericanOption/AmericanOption.cpp (1.40), Examples/BermudanSwaption/BermudanSwaption.cpp (1.71), Examples/DiscreteHedging/DiscreteHedging.cpp (1.51), Examples/EuropeanOption/EuropeanOption.cpp (1.122), 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/qlfunctions.hpp (1.6), 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/beijing.cpp (1.4), ql/Calendars/beijing.hpp (1.3), ql/Calendars/bratislava.cpp (1.2), ql/Calendars/bratislava.hpp (1.2), ql/Calendars/budapest.cpp (1.9), ql/Calendars/budapest.hpp (1.10), ql/Calendars/copenhagen.cpp (1.5), ql/Calendars/copenhagen.hpp (1.6), ql/Calendars/germany.cpp (1.2), ql/Calendars/germany.hpp (1.5), ql/Calendars/helsinki.cpp (1.17), ql/Calendars/helsinki.hpp (1.19), 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/johannesburg.cpp (1.14), ql/Calendars/johannesburg.hpp (1.11), 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/oslo.cpp (1.9), ql/Calendars/oslo.hpp (1.10), ql/Calendars/prague.cpp (1.2), ql/Calendars/prague.hpp (1.2), ql/Calendars/riyadh.cpp (1.3), ql/Calendars/riyadh.hpp (1.2), ql/Calendars/seoul.cpp (1.4), ql/Calendars/seoul.hpp (1.3), ql/Calendars/singapore.cpp (1.2), ql/Calendars/singapore.hpp (1.2), ql/Calendars/stockholm.cpp (1.10), ql/Calendars/stockholm.hpp (1.10), ql/Calendars/sydney.cpp (1.10), ql/Calendars/sydney.hpp (1.12), 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/tokyo.cpp (1.15), ql/Calendars/tokyo.hpp (1.12), ql/Calendars/toronto.cpp (1.10), ql/Calendars/toronto.hpp (1.11), 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/Calendars/warsaw.cpp (1.9), ql/Calendars/warsaw.hpp (1.10), ql/Calendars/wellington.cpp (1.18), ql/Calendars/wellington.hpp (1.19), ql/Calendars/zurich.cpp (1.18), ql/Calendars/zurich.hpp (1.19), ql/CashFlows/all.hpp (1.3), ql/CashFlows/basispointsensitivity.cpp (1.16), ql/CashFlows/basispointsensitivity.hpp (1.22), 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.cpp (1.2), 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.cpp (1.21), 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/FiniteDifferences/valueatcenter.cpp (1.19), ql/FiniteDifferences/valueatcenter.hpp (1.14), 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/Indexes/zarlibor.hpp (1.20), 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/simpleswap.cpp (1.57), ql/Instruments/simpleswap.hpp (1.52), 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.cpp (1.14), ql/Lattices/bsmlattice.hpp (1.13), ql/Lattices/core.hpp (1.2), ql/Lattices/lattice.cpp (1.28), ql/Lattices/lattice.hpp (1.19), ql/Lattices/lattice2d.cpp (1.15), 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/Faure2.bas (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/affinetermstructure.cpp (1.28), ql/TermStructures/affinetermstructure.hpp (1.31), 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/QuantLib-test-suite.dev (1.10), 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 15:05 Luigi Ballabio * configure.ac (1.63.2.1), quantlib.el (1.15.2.1), Docs/pages/authors.docs (1.33.2.1), Docs/pages/config.docs (1.3.2.1), Docs/pages/coreclasses.docs (1.10.8.1), Docs/pages/currencies.docs (1.8.8.1), Docs/pages/datetime.docs (1.9.8.1), Docs/pages/engines.docs (1.1.8.1), Docs/pages/examples.docs (1.7.12.1), Docs/pages/faq.docs (1.13.2.2), Docs/pages/findiff.docs (1.12.4.1), Docs/pages/fixedincome.docs (1.12.8.1), Docs/pages/history.docs (1.19.2.2), Docs/pages/index.docs (1.10.4.1), Docs/pages/install.docs (1.14.2.2), Docs/pages/instruments.docs (1.11.8.1), Docs/pages/lattices.docs (1.8.8.1), Docs/pages/math.docs (1.11.8.1), Docs/pages/mcarlo.docs (1.16.8.1), Docs/pages/overview.docs (1.18.2.1), Docs/pages/patterns.docs (1.7.8.1), Docs/pages/resources.docs (1.9.2.1), Docs/pages/termstructures.docs (1.8.4.1), Docs/pages/usage.docs (1.18.2.1), Docs/pages/utilities.docs (1.9.8.1), Docs/pages/where.docs (1.9.2.1), Examples/AmericanOption/AmericanOption.cpp (1.39.2.1), Examples/BermudanSwaption/BermudanSwaption.cpp (1.70.2.1), Examples/DiscreteHedging/DiscreteHedging.cpp (1.50.2.1), Examples/EuropeanOption/EuropeanOption.cpp (1.121.2.1), Examples/Swap/swapvaluation.cpp (1.62.2.1), functions/ql/Functions/calendars.cpp (1.2.4.1), functions/ql/Functions/calendars.hpp (1.1.6.1), functions/ql/Functions/daycounters.cpp (1.4.2.1), functions/ql/Functions/daycounters.hpp (1.4.4.1), functions/ql/Functions/mathf.cpp (1.2.8.1), functions/ql/Functions/mathf.hpp (1.4.2.1), functions/ql/Functions/qlfunctions.hpp (1.5.4.1), functions/ql/Functions/vols.cpp (1.4.4.1), functions/ql/Functions/vols.hpp (1.5.4.1), ql/argsandresults.hpp (1.18.2.1), ql/basicdataformatters.cpp (1.19.2.1), ql/basicdataformatters.hpp (1.13.2.1), ql/calendar.cpp (1.31.4.1), ql/calendar.hpp (1.45.2.1), ql/capvolstructures.hpp (1.16.2.1), ql/cashflow.hpp (1.20.4.1), ql/config.ansi.hpp (1.33.2.1), ql/config.bcc.hpp (1.34.2.1), ql/config.mingw.hpp (1.6.2.1), ql/config.msvc.hpp (1.66.2.1), ql/config.mwcw.hpp (1.30.2.1), ql/core.hpp (1.12.2.1), ql/currency.cpp (1.5.2.1), ql/currency.hpp (1.28.2.1), ql/date.cpp (1.46.2.1), ql/date.hpp (1.46.2.1), ql/daycounter.hpp (1.32.4.1), ql/discretizedasset.cpp (1.10.2.1), ql/discretizedasset.hpp (1.18.2.1), ql/errors.cpp (1.10.2.1), ql/errors.hpp (1.22.2.1), ql/exchangerate.cpp (1.4.4.1), ql/exchangerate.hpp (1.5.2.1), ql/exercise.cpp (1.12.2.1), ql/exercise.hpp (1.32.2.1), ql/grid.cpp (1.17.2.1), ql/grid.hpp (1.23.4.1), ql/handle.hpp (1.23.2.1), ql/history.hpp (1.29.2.1), ql/index.hpp (1.16.10.1), ql/instrument.hpp (1.37.2.1), ql/interestrate.cpp (1.17.2.1), ql/interestrate.hpp (1.16.2.1), ql/money.cpp (1.6.2.1), ql/money.hpp (1.7.2.1), ql/numericalmethod.hpp (1.18.2.1), ql/option.hpp (1.36.2.1), ql/payoff.hpp (1.12.2.1), ql/pricingengine.hpp (1.14.10.1), ql/qldefines.hpp (1.92.2.1), ql/quantlib.hpp (1.149.2.1), ql/quote.hpp (1.6.2.1), ql/schedule.cpp (1.6.2.1), ql/schedule.hpp (1.4.2.1), ql/settings.hpp (1.9.2.1), ql/solver1d.hpp (1.32.2.1), ql/stochasticprocess.cpp (1.13.2.1), ql/stochasticprocess.hpp (1.22.2.1), ql/swaptionvolstructure.hpp (1.16.2.1), ql/termstructure.hpp (1.64.2.1), ql/types.hpp (1.18.2.1), ql/userconfig.hpp (1.16.2.1), ql/voltermstructure.cpp (1.25.2.1), ql/voltermstructure.hpp (1.35.2.1), ql/yieldtermstructure.hpp (1.1.2.1), ql/Calendars/all.hpp (1.10.2.1), ql/Calendars/beijing.cpp (1.3.2.1), ql/Calendars/beijing.hpp (1.2.2.1), ql/Calendars/bratislava.cpp (1.1.2.1), ql/Calendars/bratislava.hpp (1.1.2.1), ql/Calendars/budapest.cpp (1.8.8.1), ql/Calendars/budapest.hpp (1.9.8.1), ql/Calendars/copenhagen.cpp (1.4.8.1), ql/Calendars/copenhagen.hpp (1.5.8.1), ql/Calendars/germany.cpp (1.1.6.1), ql/Calendars/germany.hpp (1.4.4.1), ql/Calendars/helsinki.cpp (1.16.8.1), ql/Calendars/helsinki.hpp (1.18.8.1), ql/Calendars/hongkong.cpp (1.2.8.1), ql/Calendars/hongkong.hpp (1.2.8.1), ql/Calendars/italy.cpp (1.2.8.1), ql/Calendars/italy.hpp (1.3.4.1), ql/Calendars/johannesburg.cpp (1.13.8.1), ql/Calendars/johannesburg.hpp (1.10.8.1), ql/Calendars/jointcalendar.cpp (1.9.8.1), ql/Calendars/jointcalendar.hpp (1.7.4.1), ql/Calendars/nullcalendar.hpp (1.6.8.1), ql/Calendars/oslo.cpp (1.8.8.1), ql/Calendars/oslo.hpp (1.9.8.1), ql/Calendars/prague.cpp (1.1.2.1), ql/Calendars/prague.hpp (1.1.2.1), ql/Calendars/riyadh.cpp (1.2.8.1), ql/Calendars/riyadh.hpp (1.1.8.1), ql/Calendars/seoul.cpp (1.3.8.1), ql/Calendars/seoul.hpp (1.2.8.1), ql/Calendars/singapore.cpp (1.1.8.1), ql/Calendars/singapore.hpp (1.1.8.1), ql/Calendars/stockholm.cpp (1.9.8.1), ql/Calendars/stockholm.hpp (1.9.8.1), ql/Calendars/sydney.cpp (1.9.8.1), ql/Calendars/sydney.hpp (1.11.8.1), ql/Calendars/taiwan.cpp (1.3.8.1), ql/Calendars/taiwan.hpp (1.2.8.1), ql/Calendars/target.cpp (1.18.6.1), ql/Calendars/target.hpp (1.21.4.1), ql/Calendars/tokyo.cpp (1.14.8.1), ql/Calendars/tokyo.hpp (1.11.8.1), ql/Calendars/toronto.cpp (1.9.8.1), ql/Calendars/toronto.hpp (1.10.8.1), ql/Calendars/unitedkingdom.cpp (1.1.8.1), ql/Calendars/unitedkingdom.hpp (1.3.4.1), ql/Calendars/unitedstates.cpp (1.5.2.1), ql/Calendars/unitedstates.hpp (1.6.2.1), ql/Calendars/warsaw.cpp (1.8.8.1), ql/Calendars/warsaw.hpp (1.9.8.1), ql/Calendars/wellington.cpp (1.17.8.1), ql/Calendars/wellington.hpp (1.18.8.1), ql/Calendars/zurich.cpp (1.17.6.1), ql/Calendars/zurich.hpp (1.18.8.1), ql/CashFlows/all.hpp (1.2.2.1), ql/CashFlows/basispointsensitivity.cpp (1.15.2.1), ql/CashFlows/basispointsensitivity.hpp (1.21.2.1), ql/CashFlows/cashflowvectors.cpp (1.41.2.1), ql/CashFlows/cashflowvectors.hpp (1.31.4.1), ql/CashFlows/core.hpp (1.1.10.1), ql/CashFlows/coupon.hpp (1.23.4.1), ql/CashFlows/fixedratecoupon.hpp (1.25.2.1), ql/CashFlows/floatingratecoupon.hpp (1.36.2.1), ql/CashFlows/inarrearindexedcoupon.cpp (1.4.4.1), ql/CashFlows/inarrearindexedcoupon.hpp (1.15.4.1), ql/CashFlows/indexedcashflowvectors.hpp (1.1.2.1), ql/CashFlows/indexedcoupon.hpp (1.19.2.1), ql/CashFlows/parcoupon.cpp (1.20.2.1), ql/CashFlows/parcoupon.hpp (1.15.2.1), ql/CashFlows/shortfloatingcoupon.cpp (1.21.2.1), ql/CashFlows/shortfloatingcoupon.hpp (1.20.2.1), ql/CashFlows/shortindexedcoupon.hpp (1.15.2.1), ql/CashFlows/simplecashflow.hpp (1.14.8.1), ql/CashFlows/timebasket.cpp (1.7.8.1), ql/CashFlows/timebasket.hpp (1.8.2.1), ql/CashFlows/upfrontindexedcoupon.hpp (1.13.4.1), ql/Currencies/africa.hpp (1.3.4.1), ql/Currencies/all.hpp (1.5.4.1), ql/Currencies/america.hpp (1.3.4.1), ql/Currencies/asia.hpp (1.4.4.1), ql/Currencies/europe.hpp (1.4.4.1), ql/Currencies/exchangeratemanager.cpp (1.7.2.1), ql/Currencies/exchangeratemanager.hpp (1.5.2.1), ql/Currencies/oceania.hpp (1.3.4.1), ql/DayCounters/actual360.hpp (1.20.4.1), ql/DayCounters/actual365fixed.hpp (1.2.2.1), ql/DayCounters/actualactual.cpp (1.33.2.1), ql/DayCounters/actualactual.hpp (1.28.2.1), ql/DayCounters/all.hpp (1.3.2.1), ql/DayCounters/one.hpp (1.3.4.1), ql/DayCounters/simpledaycounter.cpp (1.6.4.1), ql/DayCounters/simpledaycounter.hpp (1.7.4.1), ql/DayCounters/thirty360.cpp (1.21.2.1), ql/DayCounters/thirty360.hpp (1.23.4.1), ql/FiniteDifferences/all.hpp (1.2.2.1), ql/FiniteDifferences/americancondition.hpp (1.27.2.1), ql/FiniteDifferences/boundarycondition.cpp (1.10.8.1), ql/FiniteDifferences/boundarycondition.hpp (1.17.2.1), ql/FiniteDifferences/bsmoperator.cpp (1.17.2.1), ql/FiniteDifferences/bsmoperator.hpp (1.18.2.1), ql/FiniteDifferences/bsmtermoperator.cpp (1.1.2.1), ql/FiniteDifferences/bsmtermoperator.hpp (1.2.2.1), ql/FiniteDifferences/core.hpp (1.2.2.1), ql/FiniteDifferences/cranknicolson.hpp (1.22.2.1), ql/FiniteDifferences/dminus.hpp (1.15.8.1), ql/FiniteDifferences/dplus.hpp (1.15.8.1), ql/FiniteDifferences/dplusdminus.hpp (1.17.4.1), ql/FiniteDifferences/dzero.hpp (1.16.4.1), ql/FiniteDifferences/expliciteuler.hpp (1.18.2.1), ql/FiniteDifferences/fdtypedefs.hpp (1.12.2.1), ql/FiniteDifferences/finitedifferencemodel.hpp (1.33.2.1), ql/FiniteDifferences/impliciteuler.hpp (1.17.2.1), ql/FiniteDifferences/mixedscheme.hpp (1.19.2.1), ql/FiniteDifferences/onefactoroperator.cpp (1.20.8.1), ql/FiniteDifferences/onefactoroperator.hpp (1.20.8.1), ql/FiniteDifferences/operatortraits.hpp (1.4.2.2), ql/FiniteDifferences/parallelevolver.hpp (1.1.2.2), ql/FiniteDifferences/shoutcondition.hpp (1.25.2.1), ql/FiniteDifferences/stepcondition.hpp (1.17.2.1), ql/FiniteDifferences/tridiagonaloperator.cpp (1.33.2.1), ql/FiniteDifferences/tridiagonaloperator.hpp (1.37.2.1), ql/FiniteDifferences/valueatcenter.cpp (1.18.8.1), ql/FiniteDifferences/valueatcenter.hpp (1.13.8.1), ql/Indexes/all.hpp (1.1.10.1), ql/Indexes/audlibor.hpp (1.21.4.1), ql/Indexes/cadlibor.hpp (1.21.4.1), ql/Indexes/chflibor.hpp (1.18.4.1), ql/Indexes/core.hpp (1.3.2.1), ql/Indexes/euribor.hpp (1.23.4.1), ql/Indexes/gbplibor.hpp (1.26.4.1), ql/Indexes/indexmanager.cpp (1.2.4.1), ql/Indexes/indexmanager.hpp (1.2.4.1), ql/Indexes/jpylibor.hpp (1.19.4.1), ql/Indexes/usdlibor.hpp (1.25.4.1), ql/Indexes/xibor.cpp (1.26.2.1), ql/Indexes/xibor.hpp (1.38.2.1), ql/Indexes/zarlibor.hpp (1.19.4.1), ql/Instruments/all.hpp (1.10.2.1), ql/Instruments/asianoption.cpp (1.22.2.1), ql/Instruments/asianoption.hpp (1.22.2.1), ql/Instruments/barrieroption.cpp (1.33.2.1), ql/Instruments/barrieroption.hpp (1.28.2.1), ql/Instruments/basketoption.cpp (1.10.2.1), ql/Instruments/basketoption.hpp (1.13.2.1), ql/Instruments/bond.cpp (1.8.2.1), ql/Instruments/bond.hpp (1.7.2.1), ql/Instruments/capfloor.cpp (1.63.2.1), ql/Instruments/capfloor.hpp (1.54.2.1), ql/Instruments/cliquetoption.cpp (1.4.2.1), ql/Instruments/cliquetoption.hpp (1.16.2.1), ql/Instruments/core.hpp (1.1.10.1), ql/Instruments/dividendvanillaoption.cpp (1.7.2.1), ql/Instruments/dividendvanillaoption.hpp (1.4.2.1), ql/Instruments/europeanoption.cpp (1.3.2.1), ql/Instruments/europeanoption.hpp (1.5.2.1), ql/Instruments/fixedcouponbond.cpp (1.6.2.1), ql/Instruments/fixedcouponbond.hpp (1.5.2.1), ql/Instruments/floatingratebond.cpp (1.2.2.1), ql/Instruments/floatingratebond.hpp (1.1.2.1), ql/Instruments/forwardvanillaoption.cpp (1.30.2.1), ql/Instruments/forwardvanillaoption.hpp (1.30.2.1), ql/Instruments/multiassetoption.cpp (1.14.2.1), ql/Instruments/multiassetoption.hpp (1.10.2.1), ql/Instruments/oneassetoption.cpp (1.22.2.1), ql/Instruments/oneassetoption.hpp (1.14.2.1), ql/Instruments/oneassetstrikedoption.cpp (1.17.2.1), ql/Instruments/oneassetstrikedoption.hpp (1.14.2.1), ql/Instruments/payoffs.hpp (1.15.2.1), ql/Instruments/quantoforwardvanillaoption.cpp (1.28.2.1), ql/Instruments/quantoforwardvanillaoption.hpp (1.24.2.1), ql/Instruments/quantovanillaoption.cpp (1.35.2.1), ql/Instruments/quantovanillaoption.hpp (1.32.2.1), ql/Instruments/simpleswap.cpp (1.56.2.1), ql/Instruments/simpleswap.hpp (1.51.2.1), ql/Instruments/stock.cpp (1.19.4.1), ql/Instruments/stock.hpp (1.17.4.1), ql/Instruments/swap.cpp (1.38.2.1), ql/Instruments/swap.hpp (1.33.2.1), ql/Instruments/swaption.cpp (1.50.2.1), ql/Instruments/swaption.hpp (1.45.2.1), ql/Instruments/vanillaoption.cpp (1.47.2.1), ql/Instruments/vanillaoption.hpp (1.47.2.1), ql/Instruments/zerocouponbond.cpp (1.1.2.1), ql/Instruments/zerocouponbond.hpp (1.1.2.1), ql/Lattices/all.hpp (1.1.10.1), ql/Lattices/binomialtree.cpp (1.27.2.1), ql/Lattices/binomialtree.hpp (1.21.8.1), ql/Lattices/bsmlattice.cpp (1.13.2.1), ql/Lattices/bsmlattice.hpp (1.12.8.1), ql/Lattices/core.hpp (1.1.10.1), ql/Lattices/lattice.cpp (1.27.2.1), ql/Lattices/lattice.hpp (1.17.4.1), ql/Lattices/lattice2d.cpp (1.14.2.1), ql/Lattices/lattice2d.hpp (1.12.8.1), ql/Lattices/tree.hpp (1.24.8.1), ql/Lattices/trinomialtree.cpp (1.23.2.1), ql/Lattices/trinomialtree.hpp (1.15.8.1), ql/Math/all.hpp (1.7.2.1), ql/Math/array.hpp (1.18.2.1), ql/Math/backwardflatinterpolation.hpp (1.2.2.1), ql/Math/beta.cpp (1.7.2.1), ql/Math/beta.hpp (1.4.2.1), ql/Math/bicubicsplineinterpolation.hpp (1.22.2.1), ql/Math/bilinearinterpolation.hpp (1.27.2.1), ql/Math/binomialdistribution.hpp (1.9.2.1), ql/Math/bivariatenormaldistribution.cpp (1.11.2.1), ql/Math/bivariatenormaldistribution.hpp (1.10.2.1), ql/Math/chisquaredistribution.cpp (1.14.2.1), ql/Math/chisquaredistribution.hpp (1.12.4.1), ql/Math/choleskydecomposition.cpp (1.7.2.1), ql/Math/choleskydecomposition.hpp (1.1.10.1), ql/Math/comparison.hpp (1.6.2.1), ql/Math/core.hpp (1.1.10.1), ql/Math/cubicspline.hpp (1.59.2.1), ql/Math/discrepancystatistics.cpp (1.10.2.1), ql/Math/discrepancystatistics.hpp (1.15.2.1), ql/Math/errorfunction.cpp (1.8.2.1), ql/Math/errorfunction.hpp (1.7.8.1), ql/Math/extrapolation.hpp (1.1.8.1), ql/Math/factorial.cpp (1.6.2.1), ql/Math/factorial.hpp (1.6.4.1), ql/Math/forwardflatinterpolation.hpp (1.2.2.1), ql/Math/functional.hpp (1.6.2.1), ql/Math/gammadistribution.cpp (1.14.2.1), ql/Math/gammadistribution.hpp (1.11.4.1), ql/Math/gaussianstatistics.hpp (1.26.2.1), ql/Math/generalstatistics.cpp (1.17.2.1), ql/Math/generalstatistics.hpp (1.19.2.1), ql/Math/incompletegamma.cpp (1.6.2.1), ql/Math/incompletegamma.hpp (1.2.8.1), ql/Math/incrementalstatistics.cpp (1.16.2.1), ql/Math/incrementalstatistics.hpp (1.14.2.1), ql/Math/interpolation.hpp (1.36.2.1), ql/Math/interpolation2D.hpp (1.26.2.1), ql/Math/kronrodintegral.hpp (1.16.2.1), ql/Math/lexicographicalview.hpp (1.15.4.1), ql/Math/linearinterpolation.hpp (1.33.2.1), ql/Math/loglinearinterpolation.hpp (1.33.2.1), ql/Math/matrix.hpp (1.41.2.1), ql/Math/multicubicspline.hpp (1.8.2.1), ql/Math/normaldistribution.cpp (1.29.2.1), ql/Math/normaldistribution.hpp (1.33.2.1), ql/Math/poissondistribution.hpp (1.12.2.1), ql/Math/primenumbers.cpp (1.14.2.1), ql/Math/primenumbers.hpp (1.10.8.1), ql/Math/pseudosqrt.cpp (1.12.2.1), ql/Math/pseudosqrt.hpp (1.7.2.1), ql/Math/riskstatistics.hpp (1.20.2.1), ql/Math/rounding.cpp (1.5.2.1), ql/Math/rounding.hpp (1.10.4.1), ql/Math/segmentintegral.hpp (1.23.4.1), ql/Math/sequencestatistics.hpp (1.28.2.1), ql/Math/simpsonintegral.hpp (1.10.2.1), ql/Math/statistics.hpp (1.30.4.1), ql/Math/svd.cpp (1.11.2.1), ql/Math/svd.hpp (1.11.4.1), ql/Math/symmetriceigenvalues.hpp (1.12.10.1), ql/Math/symmetricschurdecomposition.cpp (1.22.2.1), ql/Math/symmetricschurdecomposition.hpp (1.17.4.1), ql/Math/trapezoidintegral.hpp (1.11.2.1), ql/MonteCarlo/all.hpp (1.5.2.1), ql/MonteCarlo/brownianbridge.hpp (1.25.2.1), ql/MonteCarlo/core.hpp (1.2.2.1), ql/MonteCarlo/getcovariance.cpp (1.15.2.1), ql/MonteCarlo/getcovariance.hpp (1.24.2.1), ql/MonteCarlo/mctraits.hpp (1.14.2.1), ql/MonteCarlo/mctypedefs.hpp (1.36.4.1), ql/MonteCarlo/montecarlomodel.hpp (1.33.4.1), ql/MonteCarlo/multipath.hpp (1.22.6.1), ql/MonteCarlo/multipathgenerator.hpp (1.55.2.1), ql/MonteCarlo/path.hpp (1.24.4.1), ql/MonteCarlo/pathgenerator.hpp (1.63.2.1), ql/MonteCarlo/pathpricer.hpp (1.24.2.1), ql/MonteCarlo/sample.hpp (1.13.8.1), ql/Optimization/all.hpp (1.1.10.1), ql/Optimization/armijo.cpp (1.20.2.1), ql/Optimization/armijo.hpp (1.20.2.1), ql/Optimization/conjugategradient.cpp (1.23.2.1), ql/Optimization/conjugategradient.hpp (1.18.8.1), ql/Optimization/constraint.hpp (1.23.4.1), ql/Optimization/core.hpp (1.1.10.1), ql/Optimization/costfunction.hpp (1.20.8.1), ql/Optimization/criteria.hpp (1.21.2.1), ql/Optimization/leastsquare.hpp (1.28.4.1), ql/Optimization/linesearch.hpp (1.19.8.1), ql/Optimization/method.hpp (1.14.8.1), ql/Optimization/problem.hpp (1.11.8.1), ql/Optimization/simplex.cpp (1.13.2.1), ql/Optimization/simplex.hpp (1.17.4.1), ql/Optimization/steepestdescent.cpp (1.20.2.1), ql/Optimization/steepestdescent.hpp (1.19.8.1), ql/Patterns/all.hpp (1.2.4.1), ql/Patterns/bridge.hpp (1.13.4.1), ql/Patterns/composite.hpp (1.8.2.1), ql/Patterns/curiouslyrecurring.hpp (1.4.8.1), ql/Patterns/lazyobject.hpp (1.8.8.1), ql/Patterns/observable.hpp (1.22.4.1), ql/Patterns/singleton.hpp (1.6.2.1), ql/Patterns/visitor.hpp (1.8.8.1), ql/Pricers/all.hpp (1.7.2.1), ql/Pricers/core.hpp (1.2.8.1), ql/Pricers/discretegeometricaso.cpp (1.19.2.1), ql/Pricers/discretegeometricaso.hpp (1.15.8.1), ql/Pricers/fdamericanoption.hpp (1.17.2.1), ql/Pricers/fdbermudanoption.cpp (1.19.2.1), ql/Pricers/fdbermudanoption.hpp (1.13.2.1), ql/Pricers/fdbsmoption.cpp (1.23.2.1), ql/Pricers/fdbsmoption.hpp (1.20.2.1), ql/Pricers/fddividendamericanoption.cpp (1.12.2.1), ql/Pricers/fddividendamericanoption.hpp (1.14.2.1), ql/Pricers/fddividendoption.cpp (1.31.2.1), ql/Pricers/fddividendoption.hpp (1.13.2.1), ql/Pricers/fddividendshoutoption.cpp (1.16.2.1), ql/Pricers/fddividendshoutoption.hpp (1.15.2.1), ql/Pricers/fdeuropean.cpp (1.18.2.1), ql/Pricers/fdeuropean.hpp (1.16.2.1), ql/Pricers/fdmultiperiodoption.cpp (1.30.2.1), ql/Pricers/fdmultiperiodoption.hpp (1.17.2.1), ql/Pricers/fdshoutoption.hpp (1.15.2.1), ql/Pricers/fdstepconditionoption.cpp (1.21.2.1), ql/Pricers/fdstepconditionoption.hpp (1.15.2.1), ql/Pricers/mccliquetoption.cpp (1.36.2.1), ql/Pricers/mccliquetoption.hpp (1.24.2.1), ql/Pricers/mcdiscretearithmeticaso.cpp (1.39.2.1), ql/Pricers/mcdiscretearithmeticaso.hpp (1.27.2.1), ql/Pricers/mceverest.cpp (1.44.2.1), ql/Pricers/mceverest.hpp (1.29.2.1), ql/Pricers/mchimalaya.cpp (1.48.2.1), ql/Pricers/mchimalaya.hpp (1.27.2.1), ql/Pricers/mcmaxbasket.cpp (1.44.2.1), ql/Pricers/mcmaxbasket.hpp (1.29.2.1), ql/Pricers/mcpagoda.cpp (1.47.2.1), ql/Pricers/mcpagoda.hpp (1.30.2.1), ql/Pricers/mcperformanceoption.cpp (1.31.2.1), ql/Pricers/mcperformanceoption.hpp (1.22.2.1), ql/Pricers/mcpricer.hpp (1.36.2.1), ql/Pricers/singleassetoption.cpp (1.31.2.1), ql/Pricers/singleassetoption.hpp (1.35.2.1), ql/PricingEngines/all.hpp (1.9.2.1), ql/PricingEngines/americanpayoffatexpiry.cpp (1.4.2.1), ql/PricingEngines/americanpayoffatexpiry.hpp (1.8.8.1), ql/PricingEngines/americanpayoffathit.cpp (1.4.2.1), ql/PricingEngines/americanpayoffathit.hpp (1.10.8.1), ql/PricingEngines/blackformula.cpp (1.10.2.1), ql/PricingEngines/blackformula.hpp (1.18.6.1), ql/PricingEngines/blackmodel.hpp (1.10.2.1), ql/PricingEngines/core.hpp (1.6.2.1), ql/PricingEngines/genericmodelengine.hpp (1.7.4.1), ql/PricingEngines/greeks.cpp (1.1.2.1), ql/PricingEngines/greeks.hpp (1.1.2.1), ql/PricingEngines/latticeshortratemodelengine.hpp (1.12.4.1), ql/PricingEngines/mcsimulation.hpp (1.14.2.1), ql/PricingEngines/Asian/all.hpp (1.3.4.1), ql/PricingEngines/Asian/analytic_cont_geom_av_price.cpp (1.9.2.1), ql/PricingEngines/Asian/analytic_cont_geom_av_price.hpp (1.4.2.1), ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.12.2.1), ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp (1.4.2.1), ql/PricingEngines/Asian/mc_discr_arith_av_price.cpp (1.2.4.1), ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.10.2.1), ql/PricingEngines/Asian/mc_discr_geom_av_price.cpp (1.3.2.1), ql/PricingEngines/Asian/mc_discr_geom_av_price.hpp (1.9.2.1), ql/PricingEngines/Asian/mcdiscreteasianengine.hpp (1.8.2.1), ql/PricingEngines/Barrier/all.hpp (1.2.10.1), ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.20.2.1), ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.7.2.1), ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.10.2.1), ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.31.2.1), ql/PricingEngines/Basket/all.hpp (1.3.10.1), ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.29.2.1), ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.11.6.1), ql/PricingEngines/Basket/mcbasketengine.cpp (1.8.2.1), ql/PricingEngines/Basket/mcbasketengine.hpp (1.32.2.1), ql/PricingEngines/Basket/stulzengine.cpp (1.20.2.1), ql/PricingEngines/Basket/stulzengine.hpp (1.6.4.1), ql/PricingEngines/CapFloor/all.hpp (1.3.8.1), ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp (1.1.8.1), ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp (1.5.2.1), ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.3.2.1), ql/PricingEngines/CapFloor/blackcapfloorengine.hpp (1.3.4.1), ql/PricingEngines/CapFloor/discretizedcapfloor.cpp (1.6.2.1), ql/PricingEngines/CapFloor/discretizedcapfloor.hpp (1.6.2.1), ql/PricingEngines/CapFloor/treecapfloorengine.cpp (1.5.4.1), ql/PricingEngines/CapFloor/treecapfloorengine.hpp (1.5.2.1), ql/PricingEngines/Cliquet/all.hpp (1.3.8.1), ql/PricingEngines/Cliquet/analyticcliquetengine.cpp (1.9.2.1), ql/PricingEngines/Cliquet/analyticcliquetengine.hpp (1.4.2.1), ql/PricingEngines/Cliquet/analyticperformanceengine.cpp (1.8.2.1), ql/PricingEngines/Cliquet/analyticperformanceengine.hpp (1.3.4.1), ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.10.2.1), ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.9.4.1), ql/PricingEngines/Forward/all.hpp (1.1.10.1), ql/PricingEngines/Forward/forwardengine.hpp (1.23.2.1), ql/PricingEngines/Forward/forwardperformanceengine.hpp (1.16.2.1), ql/PricingEngines/Quanto/all.hpp (1.1.10.1), ql/PricingEngines/Quanto/quantoengine.hpp (1.17.2.1), ql/PricingEngines/Swaption/all.hpp (1.4.6.1), ql/PricingEngines/Swaption/blackswaptionengine.cpp (1.2.2.1), ql/PricingEngines/Swaption/blackswaptionengine.hpp (1.3.4.1), ql/PricingEngines/Swaption/discretizedswaption.cpp (1.8.2.1), ql/PricingEngines/Swaption/discretizedswaption.hpp (1.9.2.1), ql/PricingEngines/Swaption/g2swaptionengine.hpp (1.4.2.1), ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.1.8.1), ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp (1.3.4.1), ql/PricingEngines/Swaption/treeswaptionengine.cpp (1.5.4.1), ql/PricingEngines/Swaption/treeswaptionengine.hpp (1.4.2.1), ql/PricingEngines/Vanilla/all.hpp (1.9.2.1), ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.12.2.1), ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp (1.5.2.1), ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.cpp (1.10.2.1), ql/PricingEngines/Vanilla/analyticdividendeuropeanengine.hpp (1.3.4.1), ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.22.2.1), ql/PricingEngines/Vanilla/analyticeuropeanengine.hpp (1.5.2.1), ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.20.2.1), ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.hpp (1.5.4.1), ql/PricingEngines/Vanilla/binomialengine.hpp (1.24.2.1), ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.21.2.1), ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.6.4.1), ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.9.2.1), ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.7.2.1), ql/PricingEngines/Vanilla/fdamericanengine.hpp (1.2.2.1), ql/PricingEngines/Vanilla/fdbermudanengine.hpp (1.2.2.1), ql/PricingEngines/Vanilla/fddividendamericanengine.hpp (1.1.2.1), ql/PricingEngines/Vanilla/fddividendengine.cpp (1.1.2.1), ql/PricingEngines/Vanilla/fddividendengine.hpp (1.2.2.1), ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp (1.1.2.2), ql/PricingEngines/Vanilla/fddividendshoutengine.hpp (1.1.2.1), ql/PricingEngines/Vanilla/fdeuropeanengine.cpp (1.3.2.1), ql/PricingEngines/Vanilla/fdeuropeanengine.hpp (1.4.2.1), ql/PricingEngines/Vanilla/fdmultiperiodengine.cpp (1.1.2.1), ql/PricingEngines/Vanilla/fdmultiperiodengine.hpp (1.1.2.1), ql/PricingEngines/Vanilla/fdshoutengine.hpp (1.2.2.1), ql/PricingEngines/Vanilla/fdstepconditionengine.cpp (1.3.2.1), ql/PricingEngines/Vanilla/fdstepconditionengine.hpp (1.3.2.1), ql/PricingEngines/Vanilla/fdvanillaengine.cpp (1.3.2.1), ql/PricingEngines/Vanilla/fdvanillaengine.hpp (1.4.2.1), ql/PricingEngines/Vanilla/integralengine.cpp (1.10.2.1), ql/PricingEngines/Vanilla/integralengine.hpp (1.4.8.1), ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.32.2.1), ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.11.2.1), ql/PricingEngines/Vanilla/juquadraticengine.cpp (1.8.2.1), ql/PricingEngines/Vanilla/juquadraticengine.hpp (1.4.4.1), ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.11.2.1), ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.36.2.1), ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.37.2.2), ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.24.2.1), ql/Processes/all.hpp (1.1.2.1), ql/Processes/blackscholesprocess.cpp (1.1.2.1), ql/Processes/blackscholesprocess.hpp (1.1.2.1), ql/Processes/geometricbrownianprocess.cpp (1.1.2.1), ql/Processes/geometricbrownianprocess.hpp (1.1.2.1), ql/Processes/merton76process.cpp (1.1.2.1), ql/Processes/merton76process.hpp (1.1.2.1), ql/Processes/ornsteinuhlenbeckprocess.cpp (1.1.2.1), ql/Processes/ornsteinuhlenbeckprocess.hpp (1.1.2.1), ql/Processes/squarerootprocess.cpp (1.1.2.1), ql/Processes/squarerootprocess.hpp (1.1.2.1), ql/RandomNumbers/Faure2.bas (1.1.20.1), ql/RandomNumbers/all.hpp (1.9.2.1), ql/RandomNumbers/boxmullergaussianrng.hpp (1.16.2.1), ql/RandomNumbers/centrallimitgaussianrng.hpp (1.15.8.1), ql/RandomNumbers/core.hpp (1.2.4.1), ql/RandomNumbers/faurersg.cpp (1.5.2.1), ql/RandomNumbers/faurersg.hpp (1.3.4.1), ql/RandomNumbers/haltonrsg.cpp (1.14.8.1), ql/RandomNumbers/haltonrsg.hpp (1.14.2.1), ql/RandomNumbers/inversecumulativerng.hpp (1.2.4.1), ql/RandomNumbers/inversecumulativersg.hpp (1.2.4.1), ql/RandomNumbers/knuthuniformrng.cpp (1.13.4.1), ql/RandomNumbers/knuthuniformrng.hpp (1.16.8.1), ql/RandomNumbers/lecuyeruniformrng.cpp (1.12.4.1), ql/RandomNumbers/lecuyeruniformrng.hpp (1.15.4.1), ql/RandomNumbers/mt19937uniformrng.cpp (1.12.2.1), ql/RandomNumbers/mt19937uniformrng.hpp (1.15.2.1), ql/RandomNumbers/primitivepolynomials.c (1.8.4.1), ql/RandomNumbers/primitivepolynomials.h (1.4.20.1), ql/RandomNumbers/randomizedlds.hpp (1.9.2.1), ql/RandomNumbers/randomsequencegenerator.hpp (1.13.2.1), ql/RandomNumbers/rngtraits.hpp (1.11.4.1), ql/RandomNumbers/seedgenerator.cpp (1.5.2.1), ql/RandomNumbers/seedgenerator.hpp (1.4.4.1), ql/RandomNumbers/sobolrsg.cpp (1.40.2.1), ql/RandomNumbers/sobolrsg.hpp (1.24.2.1), ql/ShortRateModels/all.hpp (1.1.10.1), ql/ShortRateModels/calibrationhelper.cpp (1.10.8.1), ql/ShortRateModels/calibrationhelper.hpp (1.25.2.1), ql/ShortRateModels/core.hpp (1.1.10.1), ql/ShortRateModels/model.cpp (1.24.2.1), ql/ShortRateModels/model.hpp (1.32.4.1), ql/ShortRateModels/onefactormodel.cpp (1.17.8.1), ql/ShortRateModels/onefactormodel.hpp (1.19.2.1), ql/ShortRateModels/parameter.hpp (1.24.2.1), ql/ShortRateModels/twofactormodel.cpp (1.12.8.1), ql/ShortRateModels/twofactormodel.hpp (1.16.2.1), ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.43.4.1), ql/ShortRateModels/CalibrationHelpers/caphelper.hpp (1.18.4.1), ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.39.4.1), ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp (1.16.4.1), ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.21.2.1), ql/ShortRateModels/OneFactorModels/blackkarasinski.hpp (1.20.2.1), ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.26.2.1), ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.24.2.1), ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp (1.29.2.1), ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp (1.26.2.1), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.24.2.1), ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.26.2.1), ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.13.2.1), ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.16.2.1), ql/ShortRateModels/TwoFactorModels/g2.cpp (1.25.2.1), ql/ShortRateModels/TwoFactorModels/g2.hpp (1.30.2.1), ql/Solvers1D/all.hpp (1.1.10.1), ql/Solvers1D/bisection.hpp (1.20.2.1), ql/Solvers1D/brent.hpp (1.20.2.1), ql/Solvers1D/falseposition.hpp (1.19.2.1), ql/Solvers1D/newton.hpp (1.21.2.1), ql/Solvers1D/newtonsafe.hpp (1.21.2.1), ql/Solvers1D/ridder.hpp (1.20.2.1), ql/Solvers1D/secant.hpp (1.20.2.1), ql/TermStructures/affinetermstructure.cpp (1.27.2.1), ql/TermStructures/affinetermstructure.hpp (1.30.2.1), ql/TermStructures/all.hpp (1.5.2.1), ql/TermStructures/bootstraptraits.hpp (1.4.2.1), ql/TermStructures/compoundforward.cpp (1.53.2.1), ql/TermStructures/compoundforward.hpp (1.43.2.1), ql/TermStructures/discountcurve.hpp (1.45.2.1), ql/TermStructures/drifttermstructure.hpp (1.20.2.1), ql/TermStructures/extendeddiscountcurve.cpp (1.27.2.1), ql/TermStructures/extendeddiscountcurve.hpp (1.25.2.1), ql/TermStructures/flatforward.hpp (1.52.2.1), ql/TermStructures/forwardcurve.hpp (1.1.2.1), ql/TermStructures/forwardspreadedtermstructure.hpp (1.35.2.1), ql/TermStructures/forwardstructure.hpp (1.8.2.1), ql/TermStructures/impliedtermstructure.hpp (1.29.2.1), ql/TermStructures/piecewiseflatforward.cpp (1.60.2.1), ql/TermStructures/piecewiseflatforward.hpp (1.51.2.1), ql/TermStructures/piecewiseyieldcurve.hpp (1.7.2.3), ql/TermStructures/quantotermstructure.hpp (1.23.2.1), ql/TermStructures/ratehelpers.cpp (1.58.2.1), ql/TermStructures/ratehelpers.hpp (1.48.2.1), ql/TermStructures/zerocurve.hpp (1.20.2.1), ql/TermStructures/zerospreadedtermstructure.hpp (1.36.2.1), ql/TermStructures/zeroyieldstructure.hpp (1.7.2.1), ql/Utilities/all.hpp (1.5.2.1), ql/Utilities/dataformatters.cpp (1.1.2.1), ql/Utilities/dataformatters.hpp (1.3.2.1), ql/Utilities/dataparsers.cpp (1.1.2.1), ql/Utilities/dataparsers.hpp (1.1.2.1), ql/Utilities/disposable.hpp (1.1.2.1), ql/Utilities/null.hpp (1.1.2.1), ql/Utilities/steppingiterator.hpp (1.19.2.1), ql/Utilities/strings.hpp (1.2.2.1), ql/Utilities/tracing.cpp (1.2.2.1), ql/Utilities/tracing.hpp (1.7.2.1), ql/Volatilities/all.hpp (1.2.4.1), ql/Volatilities/blackconstantvol.hpp (1.33.4.1), ql/Volatilities/blackvariancecurve.cpp (1.19.2.2), ql/Volatilities/blackvariancecurve.hpp (1.38.2.3), ql/Volatilities/blackvariancesurface.cpp (1.19.2.2), ql/Volatilities/blackvariancesurface.hpp (1.39.2.3), ql/Volatilities/capflatvolvector.hpp (1.26.2.1), ql/Volatilities/capletconstantvol.hpp (1.9.2.1), ql/Volatilities/impliedvoltermstructure.hpp (1.18.4.1), ql/Volatilities/localconstantvol.hpp (1.29.4.1), ql/Volatilities/localvolcurve.hpp (1.18.2.1), ql/Volatilities/localvolsurface.cpp (1.20.2.1), ql/Volatilities/localvolsurface.hpp (1.27.2.1), ql/Volatilities/swaptionvolmatrix.hpp (1.29.2.1), test-suite/americanoption.cpp (1.35.2.1), test-suite/americanoption.hpp (1.8.2.1), test-suite/asianoptions.cpp (1.49.2.1), test-suite/asianoptions.hpp (1.7.4.1), test-suite/barrieroption.cpp (1.46.2.1), test-suite/barrieroption.hpp (1.5.4.1), test-suite/basketoption.cpp (1.41.2.1), test-suite/basketoption.hpp (1.7.4.1), test-suite/bermudanswaption.cpp (1.1.2.1), test-suite/bermudanswaption.hpp (1.1.2.1), test-suite/bonds.cpp (1.11.2.1), test-suite/bonds.hpp (1.5.2.1), test-suite/calendars.cpp (1.23.2.1), test-suite/calendars.hpp (1.12.4.1), test-suite/capfloor.cpp (1.46.2.1), test-suite/capfloor.hpp (1.9.4.1), test-suite/cliquetoption.cpp (1.24.2.1), test-suite/cliquetoption.hpp (1.4.4.1), test-suite/compoundforward.cpp (1.31.2.1), test-suite/compoundforward.hpp (1.6.4.1), test-suite/covariance.cpp (1.28.2.1), test-suite/covariance.hpp (1.9.4.1), test-suite/dates.cpp (1.14.2.1), test-suite/dates.hpp (1.8.4.1), test-suite/daycounters.cpp (1.17.2.1), test-suite/daycounters.hpp (1.9.4.1), test-suite/digitaloption.cpp (1.50.2.1), test-suite/digitaloption.hpp (1.8.4.1), test-suite/distributions.cpp (1.25.2.1), test-suite/distributions.hpp (1.9.4.1), test-suite/dividendoption.cpp (1.3.2.1), test-suite/dividendoption.hpp (1.1.2.1), test-suite/europeanoption.cpp (1.87.2.1), test-suite/europeanoption.hpp (1.19.2.1), test-suite/exchangerate.cpp (1.3.2.1), test-suite/exchangerate.hpp (1.2.4.1), test-suite/factorial.cpp (1.19.2.1), test-suite/factorial.hpp (1.6.4.1), test-suite/forwardoption.cpp (1.20.2.1), test-suite/forwardoption.hpp (1.3.4.1), test-suite/instruments.cpp (1.12.4.1), test-suite/instruments.hpp (1.7.4.1), test-suite/integrals.cpp (1.12.2.1), test-suite/integrals.hpp (1.8.4.1), test-suite/interestrates.cpp (1.17.2.1), test-suite/interestrates.hpp (1.2.4.1), test-suite/interpolations.cpp (1.25.2.1), test-suite/interpolations.hpp (1.9.4.1), test-suite/jumpdiffusion.cpp (1.36.2.1), test-suite/jumpdiffusion.hpp (1.6.4.1), test-suite/lowdiscrepancysequences.cpp (1.71.2.1), test-suite/lowdiscrepancysequences.hpp (1.17.4.1), test-suite/matrices.cpp (1.30.2.1), test-suite/matrices.hpp (1.10.4.1), test-suite/mersennetwister.cpp (1.18.2.1), test-suite/mersennetwister.hpp (1.8.4.1), test-suite/money.cpp (1.3.2.1), test-suite/money.hpp (1.2.4.1), test-suite/old_pricers.cpp (1.72.2.1), test-suite/old_pricers.hpp (1.15.2.1), test-suite/operators.cpp (1.14.2.1), test-suite/operators.hpp (1.8.2.1), test-suite/piecewiseflatforward.cpp (1.32.2.1), test-suite/piecewiseflatforward.hpp (1.8.4.1), test-suite/piecewiseyieldcurve.cpp (1.5.2.2), test-suite/piecewiseyieldcurve.hpp (1.4.2.1), test-suite/quantlibtestsuite.cpp (1.98.2.1), test-suite/quantooption.cpp (1.22.2.1), test-suite/quantooption.hpp (1.4.4.1), test-suite/quotes.cpp (1.8.2.1), test-suite/quotes.hpp (1.4.4.1), test-suite/riskstats.cpp (1.39.2.1), test-suite/riskstats.hpp (1.11.4.1), test-suite/rngtraits.cpp (1.3.2.1), test-suite/rngtraits.hpp (1.1.4.1), test-suite/rounding.cpp (1.5.2.1), test-suite/rounding.hpp (1.4.4.1), test-suite/shortratemodels.cpp (1.1.2.1), test-suite/shortratemodels.hpp (1.1.2.1), test-suite/solvers.cpp (1.13.2.1), test-suite/solvers.hpp (1.7.4.1), test-suite/stats.cpp (1.27.2.1), test-suite/stats.hpp (1.14.4.1), test-suite/swap.cpp (1.39.2.1), test-suite/swap.hpp (1.8.4.1), test-suite/swaption.cpp (1.38.2.1), test-suite/swaption.hpp (1.7.4.1), test-suite/termstructures.cpp (1.37.2.1), test-suite/termstructures.hpp (1.9.4.1), test-suite/tracing.cpp (1.4.2.1), test-suite/tracing.hpp (1.1.2.1), test-suite/utilities.cpp (1.17.2.1), test-suite/utilities.hpp (1.23.2.1): Fixed license URL in sources; added file variables for Emacs 2005-03-17 11:13 Luigi Ballabio * ql/: FiniteDifferences/operatortraits.hpp (1.4.2.1), FiniteDifferences/parallelevolver.hpp (1.1.2.1), PricingEngines/Vanilla/mceuropeanengine.hpp (1.37.2.1): Enforced self-consistent headers 2005-03-17 05:02 drjoe * 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.cpp (1.18), 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 2005-03-14 14:56 Luigi Ballabio * QuantLib.dev (1.8.2.1), functions/ql/Functions/QuantLibFunctions.dev (1.5.2.1), ql/TermStructures/piecewiseyieldcurve.hpp (1.7.2.2), test-suite/QuantLib-test-suite.dev (1.9.2.1): Fixed for gcc 3.4 and dev-cpp 2005-03-10 15:12 Luigi Ballabio * Docs/pages/faq.docs (1.13.2.1), Docs/pages/history.docs (1.19.2.1), Docs/pages/install.docs (1.14.2.1), ql/PricingEngines/Vanilla/fddividendeuropeanengine.hpp (1.1.2.1): Preparing docs for release 2005-03-08 14:44 Luigi Ballabio * ql/Calendars/makefile.mak (1.30.2.1), ql/FiniteDifferences/makefile.mak (1.21.8.1), ql/Instruments/makefile.mak (1.36.2.1), ql/PricingEngines/Vanilla/makefile.mak (1.15.2.1), ql/PricingEngines/makefile.mak (1.33.8.1), ql/Processes/makefile.mak (1.1.2.1), ql/TermStructures/makefile.mak (1.25.2.1), ql/Utilities/makefile.mak (1.2.2.1), ql/Volatilities/blackvariancecurve.cpp (1.19.2.1), ql/Volatilities/blackvariancecurve.hpp (1.38.2.2), ql/Volatilities/blackvariancesurface.cpp (1.19.2.1), ql/Volatilities/blackvariancesurface.hpp (1.39.2.2), ql/makefile.mak (1.69.2.1), test-suite/makefile.mak (1.52.2.1): Pseudo-fixes for Borland (compiles, but the test suite crashed some way towards the end.) Note: as for me, this is the last bit of support I give to the Borland free compiler. 2005-03-08 11:00 Luigi Ballabio * configure.ac (1.64), dev_tools/version_number.txt (1.44), ql/Makefile.am (1.76), ql/basicdataformatters.cpp (1.20), ql/basicdataformatters.hpp (1.14), 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/Pricers/fdamericanoption.hpp (1.18), ql/Pricers/fdbermudanoption.cpp (1.20), ql/Pricers/fdbermudanoption.hpp (1.14), ql/Pricers/fdbsmoption.cpp (1.24), ql/Pricers/fdbsmoption.hpp (1.21), ql/Pricers/fddividendamericanoption.cpp (1.13), ql/Pricers/fddividendamericanoption.hpp (1.15), ql/Pricers/fddividendoption.cpp (1.32), ql/Pricers/fddividendoption.hpp (1.14), ql/Pricers/fddividendshoutoption.cpp (1.17), ql/Pricers/fddividendshoutoption.hpp (1.16), ql/Pricers/fdeuropean.cpp (1.19), ql/Pricers/fdeuropean.hpp (1.17), ql/Pricers/fdmultiperiodoption.cpp (1.31), ql/Pricers/fdmultiperiodoption.hpp (1.18), ql/Pricers/fdshoutoption.hpp (1.16), ql/Pricers/fdstepconditionoption.cpp (1.22), ql/Pricers/fdstepconditionoption.hpp (1.16), 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 2005-03-08 09:38 Luigi Ballabio * QuantLib.dsp (1.258.2.1), ql/TermStructures/piecewiseyieldcurve.hpp (1.7.2.1), ql/Volatilities/blackvariancecurve.hpp (1.38.2.1), ql/Volatilities/blackvariancesurface.hpp (1.39.2.1), test-suite/piecewiseyieldcurve.cpp (1.5.2.1), test-suite/testsuite.dsp (1.49.2.1): Fixes for VC6 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 * ql/Pricers/fdbermudanoption.cpp (1.19), ql/Pricers/fdbermudanoption.hpp (1.13), ql/Pricers/fdbsmoption.cpp (1.23), ql/Pricers/fdbsmoption.hpp (1.20), ql/Pricers/fddividendamericanoption.cpp (1.12), ql/Pricers/fddividendamericanoption.hpp (1.14), ql/Pricers/fddividendoption.cpp (1.31), ql/Pricers/fddividendoption.hpp (1.13), ql/Pricers/fddividendshoutoption.cpp (1.16), ql/Pricers/fddividendshoutoption.hpp (1.15), ql/Pricers/fdmultiperiodoption.cpp (1.30), ql/Pricers/fdmultiperiodoption.hpp (1.17), ql/Pricers/fdstepconditionoption.hpp (1.15), 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/dividendeuropeanoption.cpp (1.21), test-suite/dividendeuropeanoption.hpp (1.4), 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 * Examples/AmericanOption/AmericanOption.cpp (1.39), 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/Pricers/fdmultiperiodoption.cpp (1.29), ql/Pricers/fdstepconditionoption.cpp (1.20), 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.cpp (1.1), 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), bratislava.cpp (1.1), bratislava.hpp (1.1), prague.cpp (1.1), prague.hpp (1.1): 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.cpp (1.16), 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/interpolationtraits.hpp (1.11), 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/basetermstructure.hpp (1.5), ql/capvolstructures.hpp (1.16), ql/core.hpp (1.12), ql/dataparsers.cpp (1.19), ql/dataparsers.hpp (1.12), ql/disposable.hpp (1.8), 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/null.hpp (1.13), ql/quote.hpp (1.6), ql/relinkablehandle.hpp (1.26), 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/basispointsensitivity.hpp (1.21), ql/CashFlows/cashflowvectors.cpp (1.41), ql/CashFlows/floatingratecoupon.hpp (1.36), ql/CashFlows/indexcashflowvectors.hpp (1.25), 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.cpp (1.38), 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), Examples/EuropeanOption/EuropeanOption.cpp (1.121), 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 * Examples/AmericanOption/AmericanOption.cpp (1.38), Examples/EuropeanOption/EuropeanOption.cpp (1.120), 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/dividendeuropeanoption.cpp (1.20), 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/basicdataformatters.cpp (1.18), ql/basicdataformatters.hpp (1.13), ql/currency.cpp (1.4), ql/currency.hpp (1.26), ql/dataparsers.cpp (1.18), 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/discountcurve.cpp (1.37), 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/dividendeuropeanoption.cpp (1.19), 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/AmericanOption/AmericanOption.cpp (1.37), Examples/BermudanSwaption/BermudanSwaption.cpp (1.70), Examples/EuropeanOption/EuropeanOption.cpp (1.119), Examples/Swap/swapvaluation.cpp (1.61), functions/ql/Functions/mathf.hpp (1.4), ql/Makefile.am (1.73), ql/basicdataformatters.cpp (1.17), ql/basicdataformatters.hpp (1.12), ql/core.hpp (1.11), ql/dataformatters.details.hpp (1.2), ql/dataformatters.hpp (1.42), 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/dividendeuropeanoption.cpp (1.18), 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 ericehlers * Docs/pages/install.docs (1.14): fix broken link 2005-01-26 18:41 Luigi Ballabio * Examples/AmericanOption/AmericanOption.cpp (1.36), Examples/BermudanSwaption/BermudanSwaption.cpp (1.69), Examples/DiscreteHedging/DiscreteHedging.cpp (1.50), Examples/EuropeanOption/EuropeanOption.cpp (1.118), Examples/Swap/swapvaluation.cpp (1.60), ql/Makefile.am (1.72), ql/basicdataformatters.cpp (1.16), ql/basicdataformatters.hpp (1.11), ql/core.hpp (1.10), ql/dataformatters.details.hpp (1.1), ql/dataformatters.hpp (1.41), ql/date.cpp (1.42), ql/grid.cpp (1.17), 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/Lattices/lattice.cpp (1.27), 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/fddividendoption.cpp (1.30), ql/Pricers/fdmultiperiodoption.cpp (1.28), 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/dividendeuropeanoption.cpp (1.17), 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.cpp (1.3), 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/: grid.cpp (1.16), 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/settings.cpp (1.2), 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.cpp (1.1), 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 2005-01-18 10:17 Luigi Ballabio * ql/Pricers/fdmultiperiodoption.cpp (1.27): Fixed FdDividendAmericanOption (many thanks to Joseph Wang 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/AmericanOption/Makefile.am (1.5), Examples/BermudanSwaption/Makefile.am (1.11), Examples/DiscreteHedging/Makefile.am (1.18), Examples/EuropeanOption/Makefile.am (1.12), 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/simpleswap.hpp (1.51), Instruments/swaption.hpp (1.44), Math/pseudosqrt.hpp (1.7), Pricers/fddividendamericanoption.hpp (1.13), 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/AmericanOption/.cvsignore (1.10), Examples/AmericanOption/AmericanOption.dsp (1.11), Examples/AmericanOption/AmericanOption.vcproj (1.12), Examples/AmericanOption/AmericanOption_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/EuropeanOption/.cvsignore (1.15), Examples/EuropeanOption/EuropeanOption.dsp (1.18), Examples/EuropeanOption/EuropeanOption.vcproj (1.12), Examples/EuropeanOption/EuropeanOption_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/AmericanOption/.cvsignore (1.8), Examples/BermudanSwaption/.cvsignore (1.13), Examples/DiscreteHedging/.cvsignore (1.13), Examples/EuropeanOption/.cvsignore (1.13), Examples/Swap/.cvsignore (1.13), test-suite/makefile.mak (1.51): no message 2005-01-10 20:52 Ferdinando Ametrano * Examples/: AmericanOption/AmericanOption.dsp (1.10), BermudanSwaption/BermudanSwaption.dsp (1.17), DiscreteHedging/DiscreteHedging.dsp (1.19), EuropeanOption/EuropeanOption.dsp (1.17), Swap/Swap.dsp (1.18): all the binaries in the same folder 2005-01-10 20:45 Ferdinando Ametrano * Examples/: AmericanOption/.cvsignore (1.7), AmericanOption/AmericanOption.vcproj (1.11), AmericanOption/makefile.mak (1.15), 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), EuropeanOption/.cvsignore (1.12), EuropeanOption/EuropeanOption.vcproj (1.11), EuropeanOption/makefile.mak (1.25), 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.mak (1.235), QuantLib.vcproj (1.48), Docs/pages/usage.docs (1.18), Examples/AmericanOption/AmericanOption.dsp (1.9), Examples/AmericanOption/AmericanOption.mak (1.18), Examples/AmericanOption/AmericanOption.vcproj (1.10), Examples/BermudanSwaption/BermudanSwaption.dsp (1.16), Examples/BermudanSwaption/BermudanSwaption.mak (1.39), Examples/BermudanSwaption/BermudanSwaption.vcproj (1.10), Examples/DiscreteHedging/DiscreteHedging.dsp (1.18), Examples/DiscreteHedging/DiscreteHedging.mak (1.57), Examples/DiscreteHedging/DiscreteHedging.vcproj (1.10), Examples/EuropeanOption/EuropeanOption.dsp (1.16), Examples/EuropeanOption/EuropeanOption.mak (1.57), Examples/EuropeanOption/EuropeanOption.vcproj (1.10), Examples/Swap/Swap.dsp (1.17), Examples/Swap/Swap.mak (1.55), Examples/Swap/Swap.vcproj (1.10), functions/ql/Functions/QuantLibFunctions.dsp (1.11), functions/ql/Functions/QuantLibFunctions.mak (1.9), functions/ql/Functions/QuantLibFunctions.vcproj (1.12), ql/config.msvc.hpp (1.63), test-suite/testsuite.dsp (1.47), test-suite/testsuite.mak (1.66), test-suite/testsuite.vcproj (1.27): NOMINMAX preprocessor define removed 2005-01-10 19:46 Ferdinando Ametrano * Examples/: AmericanOption/.cvsignore (1.6), AmericanOption/AmericanOption.dev (1.1), BermudanSwaption/.cvsignore (1.11), BermudanSwaption/BermudanSwaption.dev (1.1), DiscreteHedging/.cvsignore (1.11), DiscreteHedging/DiscreteHedging.dev (1.1), EuropeanOption/.cvsignore (1.11), EuropeanOption/EuropeanOption.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.cpp (1.36), 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), QuantLib.mak (1.234): 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), Docs/pages/faq.docs (1.12), dev_tools/newdeveloperintro.txt (1.7): 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 2005-01-03 11:14 Luigi Ballabio * ql/Pricers/fddividendoption.cpp (1.29): Made FD dividend options a tiny bit more stable 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/fdbermudanoption.cpp (1.18), ql/Pricers/fdbsmoption.hpp (1.19), 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/basicdataformatters.cpp (1.15), 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/dataparsers.cpp (1.17), 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/AmericanOption/AmericanOption.cpp (1.35), Examples/DiscreteHedging/DiscreteHedging.cpp (1.49), Examples/EuropeanOption/EuropeanOption.cpp (1.117), 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/CashFlows/basispointsensitivity.cpp (1.15), 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/bsmlattice.cpp (1.13), ql/Lattices/lattice2d.cpp (1.14), 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/fdbsmoption.cpp (1.22), ql/Pricers/fddividendoption.cpp (1.28), ql/Pricers/fdmultiperiodoption.cpp (1.26), ql/Pricers/fdstepconditionoption.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 2004-12-13 09:22 Luigi Ballabio * ql/Instruments/simpleswap.cpp (1.56): Fix for spot swap 2004-12-09 12:46 Luigi Ballabio * QuantLib.dev (1.8), test-suite/QuantLib-test-suite.dev (1.9): Merged 0.3.8 branch 2004-12-09 11:29 Ferdinando Ametrano * functions/ql/Functions/: QuantLibFunctions.vcproj (1.8.2.2), 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.mak (1.233), QuantLib.nsi (1.105), QuantLib.vcproj (1.46), Readme.txt (1.23), acinclude.m4 (1.16), autogen.sh (1.2), bootstrap (1.6), configure.ac (1.57), makefile.mak (1.58), Docs/Makefile.am (1.71), Docs/Examples/Makefile.am (1.5), Docs/images/Makefile.am (1.6), Docs/pages/Makefile.am (1.10), 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/basicdataformatters.cpp (1.14), 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/Calendars/beijing.cpp (1.3), ql/Calendars/beijing.hpp (1.2), ql/CashFlows/cashflowvectors.cpp (1.40), ql/CashFlows/indexcashflowvectors.hpp (1.24), 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/fdamericanoption.hpp (1.16), ql/Pricers/fddividendoption.cpp (1.27), ql/Pricers/fdshoutoption.hpp (1.14), 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 2004-12-07 15:47 Ferdinando Ametrano * functions/ql/Functions/QuantLibFunctions.vcproj (1.8.2.1): fix for Boost 1.32 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 2004-12-02 13:41 Ferdinando Ametrano * dev_tools/: windist (1.1.2.2), windistpython.bat (1.1.2.5): no message 2004-12-02 13:04 Ferdinando Ametrano * QuantLib.nsi (1.103.2.3): missing file added 2004-12-02 12:24 Ferdinando Ametrano * dev_tools/windistpython.bat (1.1.2.4): no message 2004-12-01 17:02 Ferdinando Ametrano * QuantLib.nsi (1.103.2.2): dev files were not distributed 2004-12-01 16:50 Ferdinando Ametrano * dev_tools/windistpython.bat (1.1.2.3): now it's working 2004-12-01 16:49 Ferdinando Ametrano * QuantLib.nsi (1.103.2.1): dev files were not distributed 2004-12-01 13:37 Luigi Ballabio * test-suite/QuantLib-test-suite.dev (1.7.2.3): Removed hard-coded 1_31 in lib name 2004-11-26 13:17 Luigi Ballabio * ql/Instruments/bond.cpp (1.1.2.4), ql/Instruments/bond.hpp (1.1.2.5), ql/Instruments/fixedcouponbond.cpp (1.1.2.2), ql/Instruments/fixedcouponbond.hpp (1.1.2.2), test-suite/bonds.cpp (1.1.2.3): possibility to override settlement date 2004-11-24 15:56 Luigi Ballabio * News.txt (1.59.2.5), Docs/pages/history.docs (1.17.2.6): Reality check 2004-11-24 09:51 Luigi Ballabio * ql/Instruments/bond.cpp (1.1.2.3), ql/Instruments/bond.hpp (1.1.2.4), test-suite/bonds.cpp (1.1.2.2), test-suite/bonds.hpp (1.1.2.2): disambiguated clean/dirty price; check against known good values 2004-11-22 12:49 Luigi Ballabio * Docs/pages/install.docs (1.12.2.2), makefile.mak (1.57.2.1), test-suite/.cvsignore (1.18.2.1), test-suite/makefile.mak (1.47.2.2): Fixes for Borland 2004-11-22 10:20 Ferdinando Ametrano * Docs/pages/faq.docs (1.8.2.4): final touches, not finished yet 2004-11-22 09:39 Ferdinando Ametrano * Docs/pages/: overview.docs (1.17.2.3), resources.docs (1.8.2.1): final touches, not finished yet 2004-11-20 14:11 Ferdinando Ametrano * LICENSE.TXT (1.18.8.3), Docs/pages/faq.docs (1.8.2.3), dev_tools/windistpython.bat (1.1.2.2): final touches. not finished yet 2004-11-20 14:04 Luigi Ballabio * configure.ac (1.54.2.2), Docs/Makefile.am (1.70.2.1), Docs/Examples/Makefile.am (1.4.18.1), Docs/images/Makefile.am (1.5.10.1), Docs/pages/Makefile.am (1.9.10.1), test-suite/Makefile.am (1.43.2.4), test-suite/bin/Makefile.am (1.1.2.2): slightly simpler autoconfiscation 2004-11-19 18:59 Ferdinando Ametrano * LICENSE.TXT (1.18.8.2), Docs/pages/faq.docs (1.8.2.2), Docs/pages/install.docs (1.12.2.1), Docs/pages/overview.docs (1.17.2.2), Docs/pages/usage.docs (1.16.2.1), dev_tools/windist (1.1.2.1), dev_tools/windistpython.bat (1.1.2.1), ql/currency.hpp (1.23.2.1), ql/interestrate.hpp (1.12.2.2), ql/CashFlows/indexedcoupon.hpp (1.17.2.1), ql/Instruments/asianoption.hpp (1.20.2.1), ql/Instruments/basketoption.hpp (1.11.2.1), ql/Math/array.hpp (1.10.2.1), ql/Math/generalstatistics.hpp (1.16.2.1), ql/Math/incrementalstatistics.hpp (1.10.2.1), ql/Math/matrix.hpp (1.34.2.1), ql/Math/multicubicspline.hpp (1.3.2.2), ql/MonteCarlo/mctraits.hpp (1.13.6.1), ql/Pricers/mccliquetoption.hpp (1.22.2.1), ql/Pricers/mcdiscretearithmeticapo.hpp (1.27.2.1), ql/Pricers/mcdiscretearithmeticaso.hpp (1.25.2.1), ql/Pricers/mceverest.hpp (1.27.2.1), ql/Pricers/mcmaxbasket.hpp (1.27.2.1), ql/Pricers/mcpagoda.hpp (1.28.2.1), ql/Pricers/mcperformanceoption.hpp (1.20.2.1), ql/PricingEngines/Asian/mc_discr_arith_av_price.hpp (1.7.2.1), ql/PricingEngines/Swaption/g2swaptionengine.hpp (1.3.2.1), ql/RandomNumbers/mt19937uniformrng.hpp (1.14.2.2), ql/RandomNumbers/randomizedlds.hpp (1.5.2.1), ql/RandomNumbers/sobolrsg.hpp (1.22.2.1), test-suite/Makefile.am (1.43.2.3), test-suite/bin/Makefile.am (1.1.2.1): final touches. Not finished yet 2004-11-19 10:43 Ferdinando Ametrano * QuantLib.vcproj (1.43.2.1), ql/Instruments/makefile.mak (1.35.6.1), test-suite/makefile.mak (1.47.2.1), test-suite/testsuite.vcproj (1.24.2.1): catching up 2004-11-17 15:47 Luigi Ballabio * News.txt (1.59.2.3), acinclude.m4 (1.15.2.1), configure.ac (1.54.2.1), Docs/pages/history.docs (1.17.2.4), ql/basicdataformatters.cpp (1.13.2.1), ql/config.ansi.hpp (1.28.2.1), ql/config.bcc.hpp (1.29.2.1), ql/config.mingw.hpp (1.1.2.1), ql/config.msvc.hpp (1.56.2.1), ql/config.mwcw.hpp (1.25.2.1), ql/qldefines.hpp (1.85.2.1), ql/Math/bicubicsplineinterpolation.hpp (1.19.2.2), ql/Math/bilinearinterpolation.hpp (1.24.2.1), ql/Math/cubicspline.hpp (1.52.2.1), ql/Math/interpolation.hpp (1.31.2.1), ql/Math/interpolation2D.hpp (1.21.2.1), ql/Math/linearinterpolation.hpp (1.29.2.1), ql/Math/loglinearinterpolation.hpp (1.28.2.1), ql/Math/multicubicspline.hpp (1.3.2.1), ql/RandomNumbers/faurersg.cpp (1.3.2.1), test-suite/Makefile.am (1.43.2.2): Fixes for gcc 2.95 (thanks to Michael Dirkmann) 2004-11-09 15:23 Luigi Ballabio * News.txt (1.59.2.2), Docs/pages/faq.docs (1.8.2.1), Docs/pages/history.docs (1.17.2.3), ql/Calendars/beijing.cpp (1.2.6.1), ql/Calendars/beijing.hpp (1.1.6.1): More Beijing holidays (thanks to Zhou Wu) 2004-11-09 13:47 Luigi Ballabio * ql/PricingEngines/Asian/analytic_discr_geom_av_price.cpp (1.7.2.1), ql/PricingEngines/Asian/analytic_discr_geom_av_price.hpp (1.2.2.1), test-suite/asianoptions.cpp (1.43.2.1): Disabled broken Greeks 2004-11-08 16:18 Luigi Ballabio * ql/Instruments/bond.hpp (1.1.2.3): Test documented 2004-11-08 11:20 Luigi Ballabio * autogen.sh (1.1.2.1), bootstrap (1.5.22.1): Renamed bootstrap to autogen.sh (which seems to be a standard name) 2004-11-08 09:31 Luigi Ballabio * News.txt (1.59.2.1), Docs/pages/history.docs (1.17.2.2), ql/Instruments/Makefile.am (1.26.6.1), ql/Instruments/all.hpp (1.8.6.1), ql/Instruments/bond.cpp (1.1.2.1), ql/Instruments/bond.hpp (1.1.2.1), ql/Instruments/fixedcouponbond.cpp (1.1.2.1), ql/Instruments/fixedcouponbond.hpp (1.1.2.1), test-suite/Makefile.am (1.43.2.1), test-suite/bonds.cpp (1.1.2.1), test-suite/bonds.hpp (1.1.2.1), test-suite/quantlibtestsuite.cpp (1.89.2.1): Added basic fixed-coupon bond functionality (thanks to Jeff Yu) 2004-11-07 14:04 Luigi Ballabio * Readme.txt (1.22.2.1): Mentioned FAQ 2004-11-07 14:01 Luigi Ballabio * ql/: calendar.hpp (1.44.2.1), Pricers/fdamericanoption.hpp (1.15.6.1), Pricers/fdshoutoption.hpp (1.13.6.1): Uniform default arguments 2004-11-05 10:52 Luigi Ballabio * test-suite/digitaloption.cpp (1.41.2.2): Restored correct test data 2004-11-05 10:22 Luigi Ballabio * ql/interestrate.cpp (1.9.2.1), ql/interestrate.hpp (1.12.2.1), ql/termstructure.hpp (1.58.2.1), test-suite/interestrates.cpp (1.11.2.1): Slimmer interfaces for interest rate and term structure 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 2004-11-04 12:04 Luigi Ballabio * ql/Math/bicubicsplineinterpolation.hpp (1.19.2.1): Fixed template instantiation problem with VC6 2004-11-04 09:24 Luigi Ballabio * ql/RandomNumbers/mt19937uniformrng.cpp (1.11.2.1), ql/RandomNumbers/mt19937uniformrng.hpp (1.14.2.1), test-suite/digitaloption.cpp (1.41.2.1), test-suite/mersennetwister.cpp (1.14.2.1): Fix and related test for Mersenne Twister 2004-11-03 20:54 Ferdinando Ametrano * Examples/AmericanOption/AmericanOption.mak (1.17), Examples/BermudanSwaption/BermudanSwaption.mak (1.38), Examples/DiscreteHedging/DiscreteHedging.mak (1.56), Examples/EuropeanOption/EuropeanOption.mak (1.56), Examples/Swap/Swap.mak (1.54), 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), test-suite/testsuite.mak (1.65): 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), .cvsignore (1.2.2.1): no message 2004-11-03 15:49 Luigi Ballabio * QuantLib.dev (1.6.2.1), functions/ql/Functions/QuantLibFunctions.dev (1.4.2.1), test-suite/QuantLib-test-suite.dev (1.7.2.1): Set optimization level to -O2 2004-11-03 11:39 Luigi Ballabio * QuantLib.dev (1.7), QuantLib.dsp (1.253), QuantLib.mak (1.232), functions/ql/Functions/QuantLibFunctions.dev (1.5), functions/ql/Functions/QuantLibFunctions.dsp (1.8), functions/ql/Functions/QuantLibFunctions.mak (1.8), test-suite/QuantLib-test-suite.dev (1.8): Bumped version number 2004-10-28 15:41 Luigi Ballabio * Contributors.txt (1.24.2.1), Docs/pages/authors.docs (1.30.2.1), Docs/pages/history.docs (1.17.2.1), ql/date.hpp (1.40.2.1): Upgrading docs 2004-10-27 16:46 Luigi Ballabio * configure.ac (1.56), ql/Makefile.am (1.69), ql/basetermstructure.hpp (1.4), 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/dataformatters.cpp (1.41), ql/dataformatters.hpp (1.40), ql/date.hpp (1.41), ql/discretizedasset.hpp (1.16), ql/qldefines.hpp (1.87), ql/relinkablehandle.hpp (1.25), 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/actual365.hpp (1.22), 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/Indexes/xibormanager.cpp (1.17), ql/Indexes/xibormanager.hpp (1.16), ql/Pricers/Makefile.am (1.44), ql/Pricers/all.hpp (1.7), ql/Pricers/discretegeometricapo.cpp (1.20), ql/Pricers/discretegeometricapo.hpp (1.18), ql/Pricers/mcdiscretearithmeticapo.cpp (1.37), ql/Pricers/mcdiscretearithmeticapo.hpp (1.28), 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/RandomNumbers/inversecumgaussianrng.hpp (1.15), ql/RandomNumbers/inversecumgaussianrsg.hpp (1.16), ql/TermStructures/Makefile.am (1.18), ql/TermStructures/affinetermstructure.cpp (1.27), ql/TermStructures/affinetermstructure.hpp (1.30), ql/TermStructures/all.hpp (1.3), ql/TermStructures/compoundforward.cpp (1.52), ql/TermStructures/compoundforward.hpp (1.40), ql/TermStructures/discountcurve.cpp (1.35), ql/TermStructures/discountcurve.hpp (1.38), ql/TermStructures/discountstructure.hpp (1.7), 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.cpp (1.15), 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/combiningiterator.hpp (1.15), ql/Utilities/couplingiterator.hpp (1.12), ql/Utilities/filteringiterator.hpp (1.13), ql/Utilities/iteratorcategories.hpp (1.14), ql/Utilities/processingiterator.hpp (1.15), 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/AmericanOption/AmericanOption.cpp (1.33), Examples/DiscreteHedging/DiscreteHedging.cpp (1.47), Examples/EuropeanOption/EuropeanOption.cpp (1.115), Examples/Swap/swapvaluation.cpp (1.57), functions/ql/Functions/vols.cpp (1.4), functions/ql/Functions/vols.hpp (1.5), ql/basetermstructure.hpp (1.3), 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/simpleswap.cpp (1.55), 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/affinetermstructure.cpp (1.26), ql/TermStructures/affinetermstructure.hpp (1.29), ql/TermStructures/compoundforward.cpp (1.49), ql/TermStructures/compoundforward.hpp (1.38), ql/TermStructures/discountcurve.cpp (1.34), 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/dividendeuropeanoption.cpp (1.16), 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.cpp (1.33), discountcurve.hpp (1.36), discountstructure.hpp (1.6), 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/: discountstructure.hpp (1.5), 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/affinetermstructure.cpp (1.25), ql/TermStructures/affinetermstructure.hpp (1.28), ql/TermStructures/discountcurve.cpp (1.32), ql/TermStructures/discountstructure.hpp (1.4), 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), test-suite/QuantLib-test-suite.dev (1.7), functions/ql/Functions/QuantLibFunctions.dev (1.4): higher optimazation level 2004-10-20 15:56 Ferdinando Ametrano * test-suite/QuantLib-test-suite.dev (1.6): no message 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 14:08 Ferdinando Ametrano * test-suite/QuantLib-test-suite.dev (1.5): no message 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), QuantLib-test-suite.dev (1.3), 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 17:27 Ferdinando Ametrano * test-suite/QuantLib-test-suite.dev (1.2): added header files (at least for CSV syncronization) 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), test-suite/testsuite.mak (1.64), QuantLib.dsp (1.251), QuantLib.mak (1.231): 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), test-suite/QuantLib-test-suite.dev (1.1): Added support for Dev-C++ 2004-10-19 11:39 Luigi Ballabio * test-suite/: distributions.cpp (1.21), testsuite.dsp (1.44), testsuite.mak (1.63): 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/inversecumgaussianrng.hpp (1.14), ql/RandomNumbers/inversecumgaussianrsg.hpp (1.15), 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/inversecumgaussianrsg.hpp (1.14), 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/: discountstructure.hpp (1.3), extendeddiscountcurve.cpp (1.19), extendeddiscountcurve.hpp (1.20): removing compoundForwardImpl where it is allowed 2004-10-15 18:45 Ferdinando Ametrano * ql/TermStructures/: discountstructure.hpp (1.2), 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/CashFlows/basispointsensitivity.cpp (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/basispointsensitivity.cpp (1.13), CashFlows/basispointsensitivity.hpp (1.20), 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/affinetermstructure.hpp (1.27), ql/TermStructures/all.hpp (1.2), ql/TermStructures/compoundforward.hpp (1.37), ql/TermStructures/discountcurve.hpp (1.35), ql/TermStructures/discountstructure.hpp (1.1), 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/AmericanOption/AmericanOption.cpp (1.32), 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/dividendeuropeanoption.cpp (1.15), 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/basetermstructure.hpp (1.2), 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/basispointsensitivity.cpp (1.12), 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/simpleswap.cpp (1.54), 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/affinetermstructure.cpp (1.24), ql/TermStructures/affinetermstructure.hpp (1.26), ql/TermStructures/compoundforward.cpp (1.44), ql/TermStructures/compoundforward.hpp (1.36), ql/TermStructures/discountcurve.cpp (1.31), 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.cpp (1.13), 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), dividendeuropeanoption.cpp (1.14), 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/affinetermstructure.hpp (1.25), 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), QuantLib.mak (1.230): 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), testsuite.mak (1.62): 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), QuantLib.mak (1.229): VC6 catching up 2004-10-07 19:56 Ferdinando Ametrano * News.txt (1.55), QuantLib.vcproj (1.40), ql/Makefile.am (1.67), ql/basicdataformatters.cpp (1.13), 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/AmericanOption/AmericanOption.cpp (1.31), Examples/BermudanSwaption/BermudanSwaption.cpp (1.66), Examples/DiscreteHedging/DiscreteHedging.cpp (1.45), Examples/EuropeanOption/EuropeanOption.cpp (1.114), 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/CashFlows/indexcashflowvectors.hpp (1.23), 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/dividendeuropeanoption.cpp (1.13), 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), QuantLib.mak (1.228): 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), zarlibor.hpp (1.19): in accord with 2000 ISDA definitions 2004-10-05 16:17 Ferdinando Ametrano * Examples/: AmericanOption/AmericanOption.cpp (1.30), EuropeanOption/EuropeanOption.cpp (1.113): in accord to ISDA documentation. Added "1/1" convention 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 15:20 Ferdinando Ametrano * ql/DayCounters/actual365.hpp (1.21): 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/actual365.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), actual365.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/combiningiterator.hpp (1.14), Utilities/couplingiterator.hpp (1.11), Utilities/filteringiterator.hpp (1.12), Utilities/iteratorcategories.hpp (1.13), Utilities/processingiterator.hpp (1.14), 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), indexcashflowvectors.hpp (1.22): 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 * QuantLib.mak (1.227), Examples/AmericanOption/AmericanOption.mak (1.16), Examples/BermudanSwaption/BermudanSwaption.mak (1.37), Examples/DiscreteHedging/DiscreteHedging.mak (1.55), Examples/EuropeanOption/EuropeanOption.mak (1.55), Examples/Swap/Swap.mak (1.53), functions/ql/Functions/QuantLibFunctions.mak (1.7), test-suite/testsuite.dsp (1.42), test-suite/testsuite.mak (1.61): 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), dividendeuropeanoption.cpp (1.12), 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), QuantLib.mak (1.226): 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 08:45 Ferdinando Ametrano * functions/ql/Functions/qlfunctions.hpp (1.5): autolink for Borland 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), mcdiscretearithmeticapo.cpp (1.36), 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 * functions/ql/Functions/qlfunctions.hpp (1.4), 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/simpleswap.hpp (1.50), 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/dividendeuropeanoption.hpp (1.3), 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 16:44 Ferdinando Ametrano * ql/RandomNumbers/inversecumgaussianrsg.hpp (1.13): typo fixed 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/AmericanOption/AmericanOption.cpp (1.29), Examples/BermudanSwaption/BermudanSwaption.cpp (1.65), Examples/DiscreteHedging/DiscreteHedging.cpp (1.42), Examples/EuropeanOption/EuropeanOption.cpp (1.112), Examples/Swap/swapvaluation.cpp (1.52), ql/Makefile.am (1.65), ql/basetermstructure.hpp (1.1), ql/core.hpp (1.8), ql/stochasticprocess.cpp (1.6), ql/stochasticprocess.hpp (1.19), ql/termstructure.hpp (1.46), ql/CashFlows/basispointsensitivity.cpp (1.11), ql/CashFlows/basispointsensitivity.hpp (1.19), 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/Indexes/zarlibor.hpp (1.18), 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/simpleswap.cpp (1.53), ql/Instruments/simpleswap.hpp (1.49), 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/mcdiscretearithmeticapo.cpp (1.35), ql/Pricers/mcdiscretearithmeticapo.hpp (1.27), 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/dividendeuropeanoption.cpp (1.11), 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), QuantLib.mak (1.225), 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), analyticcontinuousasianengine.cpp (1.5), analyticcontinuousasianengine.hpp (1.5), analyticdiscreteasianengine.cpp (1.5), analyticdiscreteasianengine.hpp (1.4): consistent file/class names 2004-09-13 13:08 Ferdinando Ametrano * ql/Pricers/: discretegeometricapo.cpp (1.19), discretegeometricapo.hpp (1.17), mcdiscretearithmeticapo.cpp (1.34), mcdiscretearithmeticapo.hpp (1.26): deprecated pricers: a) discrete geometric average price b) discrete arithmetic average price 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) 2004-09-13 11:29 Ferdinando Ametrano * ql/PricingEngines/Asian/analyticdiscreteasianengine.cpp (1.4): one more check 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/basispointsensitivity.cpp (1.10), 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/affinetermstructure.cpp (1.23), ql/TermStructures/affinetermstructure.hpp (1.24), ql/TermStructures/compoundforward.cpp (1.42), ql/TermStructures/compoundforward.hpp (1.32), ql/TermStructures/discountcurve.cpp (1.30), 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.cpp (1.12), 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 13:20 Ferdinando Ametrano * ql/PricingEngines/Asian/: analyticcontinuousasianengine.hpp (1.4), analyticdiscreteasianengine.hpp (1.3): typos fixed 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 2004-09-10 12:13 Ferdinando Ametrano * ql/Pricers/: discretegeometricapo.hpp (1.16), mcdiscretearithmeticapo.cpp (1.33): comments and documentation 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 * functions/ql/Functions/qlfunctions.hpp (1.3), 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 * BUGS.txt (1.4), Changes.txt (1.10), History.txt (1.26), INSTALL.txt (1.7), Makefile.am (1.90), News.txt (1.42), Readme.txt (1.22), TODO.txt (1.135), memo.txt (1.4): Pruned text files 2004-08-30 14:40 Ferdinando Ametrano * Changes.txt (1.9), 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), QuantLib.mak (1.224), 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 * FAQ.txt (1.3), Docs/Makefile.am (1.69), Docs/makefile.mak (1.36), Docs/qlintro.tex (1.2), Docs/quantlibheader.html (1.25), Docs/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), ql/Instruments/simpleswap.cpp (1.52), 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/AmericanOption/AmericanOption.vcproj (1.9), Examples/BermudanSwaption/BermudanSwaption.vcproj (1.9), Examples/DiscreteHedging/DiscreteHedging.vcproj (1.9), Examples/EuropeanOption/EuropeanOption.vcproj (1.9), Examples/Swap/Swap.vcproj (1.9), functions/ql/Functions/QuantLibFunctions.vcproj (1.7), ql/basicdataformatters.hpp (1.10), ql/config.msvc.hpp (1.50), ql/dataformatters.cpp (1.40), ql/dataformatters.hpp (1.39), 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), ql/basicdataformatters.hpp (1.9), 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/AmericanOption/AmericanOption.vcproj (1.8), Examples/BermudanSwaption/BermudanSwaption.vcproj (1.8), Examples/DiscreteHedging/DiscreteHedging.vcproj (1.8), Examples/EuropeanOption/EuropeanOption.vcproj (1.8), Examples/Swap/Swap.vcproj (1.8), functions/ql/Functions/QuantLibFunctions.vcproj (1.6), ql/disposable.hpp (1.7), 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 dicesare * 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 dicesare * 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 dicesare * ql/: userconfig.hpp (1.11), Instruments/simpleswap.cpp (1.51): 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/: disposable.hpp (1.6), solver1d.hpp (1.26): more palatable to VC7 (if correct: Luigi?) 2004-08-17 15:48 Luigi Ballabio * configure.ac (1.50), ql/basicdataformatters.cpp (1.12), ql/basicdataformatters.hpp (1.8), 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/dataformatters.cpp (1.39), ql/dataformatters.hpp (1.38), 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/AmericanOption/AmericanOption.vcproj (1.7), Examples/BermudanSwaption/BermudanSwaption.vcproj (1.7), Examples/DiscreteHedging/DiscreteHedging.vcproj (1.7), Examples/EuropeanOption/EuropeanOption.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/AmericanOption/AmericanOption.vcproj (1.6), Examples/BermudanSwaption/BermudanSwaption.vcproj (1.6), Examples/DiscreteHedging/DiscreteHedging.vcproj (1.6), Examples/EuropeanOption/EuropeanOption.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 11:31 Luigi Ballabio * ql/CashFlows/indexcashflowvectors.hpp (1.21): A bit more documentation 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/: relinkablehandle.hpp (1.24), 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), QuantLib.mak (1.223), test-suite/testsuite.dsp (1.41), test-suite/testsuite.mak (1.60): 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 22:31 dicesare * ql/CashFlows/indexcashflowvectors.hpp (1.20): clean documentation 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), Indexes/zarlibor.hpp (1.17), 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), xibormanager.cpp (1.16), xibormanager.hpp (1.15): 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 2004-08-04 21:17 dicesare * ql/CashFlows/indexcashflowvectors.hpp (1.19): Correction of msvc6 bug with template function 2004-08-03 21:46 dicesare * ql/exercise.cpp (1.10): Type for BermudanExercise is "Bermudan" and not "American". 2004-08-03 21:42 dicesare * ql/basicdataformatters.hpp (1.7): add std::string header 2004-07-20 17:45 Luigi Ballabio * ql/Makefile.am (1.62), ql/basicdataformatters.cpp (1.11), ql/basicdataformatters.hpp (1.6), ql/currency.cpp (1.1), ql/currency.hpp (1.17), ql/dataformatters.cpp (1.38), ql/dataformatters.hpp (1.37), ql/dataparsers.cpp (1.16), 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/PricingEngines/Asian/analyticdiscreteasianengine.cpp (1.3), ql/RandomNumbers/sobolrsg.cpp (1.29), ql/TermStructures/affinetermstructure.hpp (1.23), 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/dividendeuropeanoption.cpp (1.10), 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) 2004-07-20 09:11 Luigi Ballabio * ql/: basicdataformatters.cpp (1.10), basicdataformatters.hpp (1.5), dataformatters.cpp (1.37), dataformatters.hpp (1.36): Left only basic data formatters in basicdataformatters 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), audcurrency.hpp (1.4), cadcurrency.hpp (1.4), chfcurrency.hpp (1.4), demcurrency.hpp (1.4), eurcurrency.hpp (1.4), europe.hpp (1.1), gbpcurrency.hpp (1.4), itlcurrency.hpp (1.4), jpycurrency.hpp (1.4), oceania.hpp (1.1), usdcurrency.hpp (1.4), zarcurrency.hpp (1.4): 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/Currencies/audcurrency.hpp (1.3), ql/Currencies/cadcurrency.hpp (1.3), ql/Currencies/chfcurrency.hpp (1.3), ql/Currencies/demcurrency.hpp (1.3), ql/Currencies/eurcurrency.hpp (1.3), ql/Currencies/gbpcurrency.hpp (1.3), ql/Currencies/itlcurrency.hpp (1.3), ql/Currencies/jpycurrency.hpp (1.3), ql/Currencies/usdcurrency.hpp (1.3), ql/Currencies/zarcurrency.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/mcdiscretearithmeticapo.cpp (1.32), 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), QuantLib.mak (1.222), Examples/AmericanOption/AmericanOption.mak (1.15), Examples/BermudanSwaption/BermudanSwaption.mak (1.36), Examples/DiscreteHedging/DiscreteHedging.mak (1.54), Examples/EuropeanOption/EuropeanOption.mak (1.54), Examples/Swap/Swap.mak (1.52), functions/ql/Functions/QuantLibFunctions.dsp (1.7), functions/ql/Functions/QuantLibFunctions.mak (1.6), test-suite/testsuite.mak (1.59): catching up 2004-07-07 19:00 Ferdinando Ametrano * QuantLib.sln (1.9), QuantLib.vcproj (1.26), makefile.mak (1.57), Examples/AmericanOption/AmericanOption.vcproj (1.5), Examples/BermudanSwaption/BermudanSwaption.vcproj (1.5), Examples/DiscreteHedging/DiscreteHedging.vcproj (1.5), Examples/EuropeanOption/EuropeanOption.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 * INSTALL.txt (1.6), 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 16:55 Ferdinando Ametrano * QuantLib.nsi (1.100.2.3): no .txt file under the function folder to be distributed 2004-07-07 16:54 Ferdinando Ametrano * QuantLib.sln (1.6.2.2): removing wrong paths 2004-07-07 16:41 Ferdinando Ametrano * QuantLib.nsi (1.100.2.2): missing folder 2004-07-07 16:38 Ferdinando Ametrano * INSTALL.txt (1.4.4.2), Docs/pages/install.docs (1.10.4.1): updated install instructions 2004-07-07 16:37 Ferdinando Ametrano * functions/ql/Functions/Makefile.am (1.4.2.1): missing file needed for Win32 distribution 2004-07-07 16:36 Luigi Ballabio * .cvsignore (1.11), Authors.txt (1.14), BUGS.txt (1.3), ChangeLog.txt (1.46), Contributors.txt (1.23), FAQ.txt (1.2), History.txt (1.24), INSTALL.txt (1.5), Makefile.am (1.89), News.txt (1.40), QuantLib.mak (1.221), 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/Examples.dsw (1.7), Examples/Examples.sln (1.2), Examples/Makefile.am (1.22), Examples/AmericanOption/.cvsignore (1.5), Examples/AmericanOption/AmericanOption.mak (1.14), Examples/BermudanSwaption/.cvsignore (1.10), Examples/BermudanSwaption/BermudanSwaption.mak (1.35), Examples/DiscreteHedging/.cvsignore (1.10), Examples/DiscreteHedging/DiscreteHedging.mak (1.53), Examples/EuropeanOption/.cvsignore (1.10), Examples/EuropeanOption/EuropeanOption.mak (1.53), Examples/EuropeanOption/quanto.leftover (1.4), Examples/Swap/.cvsignore (1.10), Examples/Swap/Swap.mak (1.51), 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), test-suite/testsuite.mak (1.58): Merged 0.3.7 branch 2004-07-06 20:01 Ferdinando Ametrano * QuantLib.mak (1.220.2.1), QuantLib.nsi (1.100.2.1), Examples/AmericanOption/AmericanOption.mak (1.13.2.1), Examples/BermudanSwaption/BermudanSwaption.mak (1.34.2.1), Examples/DiscreteHedging/DiscreteHedging.mak (1.52.2.1), Examples/EuropeanOption/EuropeanOption.mak (1.52.2.1), Examples/Swap/Swap.mak (1.50.2.1), test-suite/testsuite.mak (1.57.2.1): VC6 final touches 2004-07-06 19:54 Ferdinando Ametrano * INSTALL.txt (1.4.4.1), QuantLib.sln (1.6.2.1), Readme.txt (1.20.4.1), Examples/Examples.sln (1.1.4.1): VC.NET and Borland final touches 2004-07-05 18:50 Luigi Ballabio * Authors.txt (1.13.6.1), Contributors.txt (1.22.6.1), Docs/pages/authors.docs (1.28.4.1): Added authors' affiliations 2004-07-05 18:49 Luigi Ballabio * dev_tools/tgz2zip (1.3.4.1): More robust regex (that is, one which would have worked even if I had't removed a few extensions) 2004-06-28 17:57 Luigi Ballabio * quantlib-config.in (1.6.4.2), Docs/images/QL.eps (1.1.16.1), ql/Instruments/swaption.hpp (1.40.4.1): Miscellaneous fixes 2004-06-28 17:54 Luigi Ballabio * acinclude.m4 (1.11.4.1), configure.ac (1.45.4.1), test-suite/Makefile.am (1.38.2.1): Better checks for Boost components 2004-06-28 17:53 Luigi Ballabio * Makefile.am (1.88.2.1): Better rules 2004-06-28 17:48 Luigi Ballabio * Docs/Makefile.am (1.67.2.1), Examples/Makefile.am (1.21.4.1): Better rules 2004-06-28 17:43 Luigi Ballabio * BUGS.txt (1.2.4.2): Updated 2004-06-28 17:39 Luigi Ballabio * FAQ.txt (1.1.2.1): First (not really frequently asked) question 2004-06-28 17:38 Luigi Ballabio * quantlib.el (1.10), Examples/AmericanOption/AmericanOption.cpp (1.28), Examples/BermudanSwaption/BermudanSwaption.cpp (1.63), Examples/DiscreteHedging/DiscreteHedging.cpp (1.40), Examples/EuropeanOption/EuropeanOption.cpp (1.111), Examples/Swap/swapvaluation.cpp (1.51), ql/quote.hpp (1.2), ql/relinkablehandle.hpp (1.23), ql/stochasticprocess.cpp (1.5), ql/stochasticprocess.hpp (1.18), ql/CashFlows/basispointsensitivity.cpp (1.9), ql/CashFlows/basispointsensitivity.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/Indexes/zarlibor.hpp (1.16), 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/simpleswap.cpp (1.50), ql/Instruments/simpleswap.hpp (1.48), 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/mcdiscretearithmeticapo.cpp (1.31), ql/Pricers/mcdiscretearithmeticapo.hpp (1.25), 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/dividendeuropeanoption.cpp (1.9), 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/: Instruments/simpleswap.cpp (1.49), Instruments/simpleswap.hpp (1.47), PricingEngines/CapFloor/discretizedcapfloor.cpp (1.5), PricingEngines/CapFloor/discretizedcapfloor.hpp (1.5), PricingEngines/Swaption/discretizedswaption.cpp (1.5): Added current coupon to discretized swap and cap/floor 2004-06-17 10:19 Luigi Ballabio * ql/PricingEngines/: CapFloor/treecapfloorengine.hpp (1.2.4.1), Swaption/discretizedswaption.hpp (1.1.4.1): Reported known bugs 2004-06-17 09:25 Luigi Ballabio * quantlib-config.in (1.6.4.1), ql/Makefile.am (1.58.2.1), ql/calendar.cpp (1.29.2.1): Removed dependency on boost::regex 2004-06-16 18:26 Luigi Ballabio * Changes.txt (1.2), ql/discretizedasset.hpp (1.12), ql/PricingEngines/CapFloor/discretizedcapfloor.hpp (1.4), ql/PricingEngines/CapFloor/treecapfloorengine.cpp (1.5), ql/PricingEngines/Swaption/discretizedswaption.hpp (1.4), ql/PricingEngines/Swaption/treeswaptionengine.cpp (1.5), ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.6), ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.37), ql/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 16:37 Luigi Ballabio * Changes.txt (1.1): Added file for logging changes 2004-06-15 16:30 Luigi Ballabio * ql/: discretizedasset.cpp (1.6), discretizedasset.hpp (1.9), numericalmethod.hpp (1.16), Lattices/lattice.cpp (1.26), 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/basicdataformatters.cpp (1.9), ql/basicdataformatters.hpp (1.4), ql/calendar.hpp (1.43), ql/core.hpp (1.5), ql/currency.hpp (1.15), ql/diffusionprocess.hpp (1.31), 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/Calendars/frankfurt.hpp (1.20), ql/Calendars/london.hpp (1.23), ql/Calendars/milan.hpp (1.21), ql/Calendars/newyork.hpp (1.24), ql/CashFlows/cashflowvectors.cpp (1.36), ql/CashFlows/cashflowvectors.hpp (1.29), ql/CashFlows/indexcashflowvectors.hpp (1.18), ql/FiniteDifferences/tridiagonaloperator.hpp (1.34), ql/Indexes/xibor.hpp (1.31), ql/Instruments/payoffs.hpp (1.14), ql/Instruments/simpleswap.cpp (1.48), ql/Instruments/simpleswap.hpp (1.46), 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/cliquetoptionpricer.cpp (1.3), ql/Pricers/cliquetoptionpricer.hpp (1.3), ql/Pricers/continuousgeometricapo.hpp (1.19), ql/Pricers/dividendeuropeanoption.cpp (1.16), ql/Pricers/dividendeuropeanoption.hpp (1.13), ql/Pricers/mcbasket.cpp (1.37), ql/Pricers/mcbasket.hpp (1.29), ql/Pricers/mcpagoda.cpp (1.39), ql/Pricers/performanceoption.cpp (1.16), ql/Pricers/performanceoption.hpp (1.12), 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/RandomNumbers/rngtypedefs.hpp (1.30), 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/dividendeuropeanoption.cpp (1.8), 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), QuantLib.mak (1.220): 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/marketelement.hpp (1.23), ql/quote.hpp (1.1), ql/schedule.cpp (1.1), ql/schedule.hpp (1.1), ql/scheduler.cpp (1.28), ql/scheduler.hpp (1.26), ql/termstructure.hpp (1.43), ql/voltermstructure.hpp (1.27), ql/CashFlows/cashflowvectors.hpp (1.28), ql/CashFlows/indexcashflowvectors.hpp (1.17), ql/Instruments/simpleswap.hpp (1.45), 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 * Examples/EuropeanOption/EuropeanOption.cpp (1.110), 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.cpp (1.2), 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 12:51 Ferdinando Ametrano * QuantLib.mak (1.219), Examples/AmericanOption/AmericanOption.mak (1.13), Examples/BermudanSwaption/BermudanSwaption.mak (1.34), Examples/DiscreteHedging/DiscreteHedging.mak (1.52), Examples/EuropeanOption/EuropeanOption.mak (1.52), Examples/Swap/Swap.mak (1.50), functions/ql/Functions/QuantLibFunctions.mak (1.5), test-suite/testsuite.mak (1.57): 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.cpp (1.1), 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), QuantLib.mak (1.218), functions/ql/Functions/QuantLibFunctions.dsp (1.6), functions/ql/Functions/QuantLibFunctions.mak (1.4), test-suite/testsuite.dsp (1.40), test-suite/testsuite.mak (1.56): 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), frankfurt.cpp (1.18), frankfurt.hpp (1.19), germany.cpp (1.1), germany.hpp (1.1), makefile.mak (1.29), xetra.cpp (1.2), xetra.hpp (1.3): 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), qlfunctions.hpp (1.2), 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/AmericanOption/AmericanOption.dsp (1.8), Examples/AmericanOption/AmericanOption.mak (1.12), Examples/BermudanSwaption/BermudanSwaption.cpp (1.58), Examples/BermudanSwaption/BermudanSwaption.dsp (1.15), Examples/BermudanSwaption/BermudanSwaption.mak (1.33), Examples/DiscreteHedging/DiscreteHedging.dsp (1.17), Examples/DiscreteHedging/DiscreteHedging.mak (1.51), Examples/EuropeanOption/EuropeanOption.dsp (1.15), Examples/EuropeanOption/EuropeanOption.mak (1.51), Examples/Swap/Swap.dsp (1.16), Examples/Swap/Swap.mak (1.49), QuantLib.mak (1.217), functions/ql/Functions/QuantLibFunctions.dsp (1.5), ql/dataformatters.cpp (1.36), ql/dataformatters.hpp (1.35), test-suite/testsuite.mak (1.55): 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/dividendeuropeanoption.hpp (1.2), 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/Instruments/simpleswap.cpp (1.47), 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), scheduler.hpp (1.25), solver1d.hpp (1.24), CashFlows/basispointsensitivity.hpp (1.17), 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), Pricers/mcdiscretearithmeticapo.hpp (1.24), 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/scheduler.cpp (1.27), ql/scheduler.hpp (1.24), ql/CashFlows/cashflowvectors.cpp (1.35), ql/CashFlows/cashflowvectors.hpp (1.27), ql/CashFlows/indexcashflowvectors.hpp (1.16), 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/Indexes/zarlibor.hpp (1.15), ql/Instruments/simpleswap.cpp (1.46), ql/Instruments/simpleswap.hpp (1.44), 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 17:06 Luigi Ballabio * ql/Calendars/zurich.cpp (1.17): Fixed erroneous check (thanks to Francesco Perissin) 2004-05-27 14:11 Luigi Ballabio * ql/: basicdataformatters.cpp (1.8), basicdataformatters.hpp (1.3), 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/scheduler.cpp (1.26), ql/scheduler.hpp (1.23), ql/CashFlows/cashflowvectors.cpp (1.34), ql/CashFlows/coupon.hpp (1.21), ql/CashFlows/indexcashflowvectors.hpp (1.15), ql/Indexes/xibor.hpp (1.27), ql/Instruments/simpleswap.cpp (1.45), ql/Instruments/simpleswap.hpp (1.43), 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/basicdataformatters.cpp (1.7), 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/dividendeuropeanoption.cpp (1.7), 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 * configure.ac (1.45.2.1), ql/Makefile.am (1.57.2.1), ql/basicdataformatters.cpp (1.4.2.1), ql/currency.hpp (1.11.2.1), ql/Currencies/Makefile.am (1.1.2.1), ql/Currencies/all.hpp (1.1.2.1), ql/Currencies/audcurrency.cpp (1.1.2.1), ql/Currencies/audcurrency.hpp (1.1.2.1), ql/Currencies/cadcurrency.cpp (1.1.2.1), ql/Currencies/cadcurrency.hpp (1.1.2.1), ql/Currencies/chfcurrency.cpp (1.1.2.1), ql/Currencies/chfcurrency.hpp (1.1.2.1), ql/Currencies/demcurrency.cpp (1.1.2.1), ql/Currencies/demcurrency.hpp (1.1.2.1), ql/Currencies/eurcurrency.cpp (1.1.2.1), ql/Currencies/eurcurrency.hpp (1.1.2.1), ql/Currencies/exchangerate.cpp (1.1.2.1), ql/Currencies/exchangerate.hpp (1.1.2.1), ql/Currencies/gbpcurrency.cpp (1.1.2.1), ql/Currencies/gbpcurrency.hpp (1.1.2.1), ql/Currencies/itlcurrency.cpp (1.1.2.1), ql/Currencies/itlcurrency.hpp (1.1.2.1), ql/Currencies/jpycurrency.cpp (1.1.2.1), ql/Currencies/jpycurrency.hpp (1.1.2.1), ql/Currencies/money.cpp (1.1.2.1), ql/Currencies/money.hpp (1.1.2.1), ql/Currencies/ratemanager.cpp (1.1.2.1), ql/Currencies/ratemanager.hpp (1.1.2.1), ql/Currencies/usdcurrency.cpp (1.1.2.1), ql/Currencies/usdcurrency.hpp (1.1.2.1), ql/Currencies/zarcurrency.cpp (1.1.2.1), ql/Currencies/zarcurrency.hpp (1.1.2.1), ql/Indexes/audlibor.hpp (1.14.2.1), ql/Indexes/cadlibor.hpp (1.14.2.1), ql/Indexes/chflibor.hpp (1.12.2.1), ql/Indexes/euribor.hpp (1.17.2.1), ql/Indexes/gbplibor.hpp (1.19.2.1), ql/Indexes/jpylibor.hpp (1.13.2.1), ql/Indexes/usdlibor.hpp (1.19.2.1), ql/Indexes/xibor.hpp (1.24.2.1), ql/Indexes/zarlibor.hpp (1.12.2.1), ql/Math/rounding.cpp (1.1.2.1), ql/Math/rounding.hpp (1.5.2.1), ql/TermStructures/ratehelpers.cpp (1.46.2.1), ql/basicdataformatters.cpp (1.6), ql/currency.hpp (1.13), ql/Currencies/Makefile.am (1.2), ql/Currencies/all.hpp (1.2), ql/Currencies/audcurrency.cpp (1.2), ql/Currencies/audcurrency.hpp (1.2), ql/Currencies/cadcurrency.cpp (1.2), ql/Currencies/cadcurrency.hpp (1.2), ql/Currencies/chfcurrency.cpp (1.2), ql/Currencies/chfcurrency.hpp (1.2), ql/Currencies/demcurrency.cpp (1.2), ql/Currencies/demcurrency.hpp (1.2), ql/Currencies/eurcurrency.cpp (1.2), ql/Currencies/eurcurrency.hpp (1.2), ql/Currencies/exchangerate.cpp (1.2), ql/Currencies/exchangerate.hpp (1.2), ql/Currencies/gbpcurrency.cpp (1.2), ql/Currencies/gbpcurrency.hpp (1.2), ql/Currencies/itlcurrency.cpp (1.2), ql/Currencies/itlcurrency.hpp (1.2), ql/Currencies/jpycurrency.cpp (1.2), ql/Currencies/jpycurrency.hpp (1.2), ql/Currencies/money.cpp (1.2), ql/Currencies/money.hpp (1.2), ql/Currencies/ratemanager.cpp (1.2), ql/Currencies/ratemanager.hpp (1.2), ql/Currencies/usdcurrency.cpp (1.2), ql/Currencies/usdcurrency.hpp (1.2), ql/Currencies/zarcurrency.cpp (1.2), ql/Currencies/zarcurrency.hpp (1.2), ql/Indexes/audlibor.hpp (1.16), ql/Indexes/cadlibor.hpp (1.16), ql/Indexes/chflibor.hpp (1.14), ql/Indexes/euribor.hpp (1.19), ql/Indexes/gbplibor.hpp (1.21), ql/Indexes/jpylibor.hpp (1.15), ql/Indexes/usdlibor.hpp (1.21), ql/Indexes/xibor.hpp (1.26), ql/Indexes/zarlibor.hpp (1.14), ql/TermStructures/ratehelpers.cpp (1.48): Moved QUEP 6 implementation to its own branch 2004-05-25 14:12 andrelouw * ql/: TermStructures/ratehelpers.cpp (1.47), basicdataformatters.cpp (1.5): Implementation of QUEP 6 2004-05-25 14:03 andrelouw * 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), zarlibor.hpp (1.13): Implementation of QUEP 6 2004-05-25 12:49 andrelouw * ql/Currencies/: Makefile.am (1.1), all.hpp (1.1), audcurrency.cpp (1.1), audcurrency.hpp (1.1), cadcurrency.cpp (1.1), cadcurrency.hpp (1.1), chfcurrency.cpp (1.1), chfcurrency.hpp (1.1), demcurrency.cpp (1.1), demcurrency.hpp (1.1), eurcurrency.cpp (1.1), eurcurrency.hpp (1.1), exchangerate.cpp (1.1), exchangerate.hpp (1.1), gbpcurrency.cpp (1.1), gbpcurrency.hpp (1.1), itlcurrency.cpp (1.1), itlcurrency.hpp (1.1), jpycurrency.cpp (1.1), jpycurrency.hpp (1.1), money.cpp (1.1), money.hpp (1.1), ratemanager.cpp (1.1), ratemanager.hpp (1.1), usdcurrency.cpp (1.1), usdcurrency.hpp (1.1), zarcurrency.cpp (1.1), zarcurrency.hpp (1.1): Implementation of QUEP 6 2004-05-25 12:46 andrelouw * ql/currency.hpp (1.12): Implementation of QUEP 6 2004-05-25 12:11 andrelouw * 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), QuantLib.mak (1.216), 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/greatbritain.cpp (1.2), ql/Calendars/greatbritain.hpp (1.2), ql/Calendars/italy.cpp (1.2), ql/Calendars/italy.hpp (1.2), ql/Calendars/london.hpp (1.22), ql/Calendars/milan.hpp (1.20), ql/Calendars/milanstockexchange.cpp (1.2), ql/Calendars/milanstockexchange.hpp (1.2), ql/Calendars/newyork.hpp (1.23), 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/Calendars/usexchange.cpp (1.2), ql/Calendars/usexchange.hpp (1.2), ql/Calendars/usgovernmentbondmarket.cpp (1.2), ql/Calendars/usgovernmentbondmarket.hpp (1.2), ql/Calendars/xetra.hpp (1.2), 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 18:11 Ferdinando Ametrano * ql/Calendars/london.cpp (1.18): adding Xetra calendar. Moving Milan, London, and NewYork to the exchange and/or country approach 2004-05-20 18:00 Ferdinando Ametrano * QuantLib.dsp (1.238), QuantLib.mak (1.215), 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/greatbritain.cpp (1.1), ql/Calendars/greatbritain.hpp (1.1), ql/Calendars/italy.cpp (1.1), ql/Calendars/italy.hpp (1.1), ql/Calendars/london.hpp (1.21), ql/Calendars/makefile.mak (1.27), ql/Calendars/milan.cpp (1.17), ql/Calendars/milan.hpp (1.19), ql/Calendars/milanstockexchange.cpp (1.1), ql/Calendars/milanstockexchange.hpp (1.1), ql/Calendars/newyork.cpp (1.18), ql/Calendars/newyork.hpp (1.22), ql/Calendars/usexchange.cpp (1.1), ql/Calendars/usexchange.hpp (1.1), ql/Calendars/usgovernmentbondmarket.cpp (1.1), ql/Calendars/usgovernmentbondmarket.hpp (1.1), ql/Calendars/xetra.cpp (1.1), ql/Calendars/xetra.hpp (1.1): 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), QuantLib.mak (1.214): 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/blackswaption.cpp (1.4), ql/PricingEngines/Swaption/blackswaption.hpp (1.5), 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/jamshidianswaption.cpp (1.6), ql/PricingEngines/Swaption/jamshidianswaption.hpp (1.5), ql/PricingEngines/Swaption/jamshidianswaptionengine.cpp (1.1), ql/PricingEngines/Swaption/jamshidianswaptionengine.hpp (1.1), ql/PricingEngines/Swaption/swaptionpricer.cpp (1.5), ql/PricingEngines/Swaption/swaptionpricer.hpp (1.4), ql/PricingEngines/Swaption/treeswaption.cpp (1.5), ql/PricingEngines/Swaption/treeswaption.hpp (1.5), 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/analyticalcapfloor.cpp (1.6), ql/PricingEngines/CapFloor/analyticalcapfloor.hpp (1.5), ql/PricingEngines/CapFloor/analyticcapfloorengine.cpp (1.1), ql/PricingEngines/CapFloor/analyticcapfloorengine.hpp (1.1), ql/PricingEngines/CapFloor/blackcapfloor.cpp (1.5), ql/PricingEngines/CapFloor/blackcapfloor.hpp (1.6), ql/PricingEngines/CapFloor/blackcapfloorengine.cpp (1.1), ql/PricingEngines/CapFloor/blackcapfloorengine.hpp (1.1), ql/PricingEngines/CapFloor/capfloorpricer.cpp (1.6), ql/PricingEngines/CapFloor/capfloorpricer.hpp (1.4), ql/PricingEngines/CapFloor/discretizedcapfloor.cpp (1.1), ql/PricingEngines/CapFloor/discretizedcapfloor.hpp (1.1), ql/PricingEngines/CapFloor/treecapfloor.cpp (1.5), ql/PricingEngines/CapFloor/treecapfloor.hpp (1.5), 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 * History.txt (1.23), 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), QuantLib.mak (1.213), 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), QuantLib.mak (1.212), test-suite/testsuite.dsp (1.39), test-suite/testsuite.mak (1.54): 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/CapFloor/blackcapfloor.cpp (1.4), ql/PricingEngines/CapFloor/capfloorpricer.cpp (1.5), 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/dataformatters.hpp (1.34), ql/null.hpp (1.11), 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 2004-05-17 09:22 Luigi Ballabio * ql/Lattices/lattice.cpp (1.25): Fixed check for equality 2004-05-14 14:08 Luigi Ballabio * Examples/: AmericanOption/AmericanOption.cpp (1.27), BermudanSwaption/BermudanSwaption.cpp (1.54), DiscreteHedging/DiscreteHedging.cpp (1.39), EuropeanOption/EuropeanOption.cpp (1.109), 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), dividendeuropeanoption.cpp (1.6), 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/affinetermstructure.cpp (1.22), 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/processingiterator.hpp (1.13), 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/mcbasket.cpp (1.36), Pricers/mcbasket.hpp (1.28), Pricers/mccliquetoption.cpp (1.29), Pricers/mccliquetoption.hpp (1.20), Pricers/mcdiscretearithmeticapo.cpp (1.30), Pricers/mcdiscretearithmeticapo.hpp (1.23), 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/Asian/analyticcontinuousasianengine.cpp (1.4), PricingEngines/Asian/analyticdiscreteasianengine.cpp (1.2), 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/CapFloor/analyticalcapfloor.cpp (1.5), PricingEngines/CapFloor/blackcapfloor.cpp (1.3), PricingEngines/CapFloor/blackcapfloor.hpp (1.5), PricingEngines/CapFloor/capfloorpricer.cpp (1.4), 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/Swaption/blackswaption.cpp (1.3), PricingEngines/Swaption/jamshidianswaption.cpp (1.5), PricingEngines/Swaption/swaptionpricer.cpp (1.4), 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/inversecumgaussianrng.hpp (1.13), RandomNumbers/inversecumgaussianrsg.hpp (1.12), 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/: cliquetoptionpricer.cpp (1.2), cliquetoptionpricer.hpp (1.2), continuousgeometricapo.hpp (1.18), discretegeometricapo.cpp (1.18), discretegeometricapo.hpp (1.15), discretegeometricaso.cpp (1.18), discretegeometricaso.hpp (1.15), dividendeuropeanoption.cpp (1.15), dividendeuropeanoption.hpp (1.12), fdamericanoption.hpp (1.15), fdbermudanoption.cpp (1.17), fdbermudanoption.hpp (1.12), fdbsmoption.cpp (1.21), fdbsmoption.hpp (1.18), fddividendamericanoption.cpp (1.11), fddividendamericanoption.hpp (1.12), fddividendoption.cpp (1.26), fddividendoption.hpp (1.12), fddividendshoutoption.cpp (1.15), fddividendshoutoption.hpp (1.14), fdeuropean.cpp (1.17), fdeuropean.hpp (1.15), fdmultiperiodoption.cpp (1.25), fdmultiperiodoption.hpp (1.16), fdshoutoption.hpp (1.13), fdstepconditionoption.cpp (1.18), fdstepconditionoption.hpp (1.13), mcbasket.cpp (1.35), mcbasket.hpp (1.27), mccliquetoption.cpp (1.28), mccliquetoption.hpp (1.19), mcdiscretearithmeticapo.cpp (1.29), mcdiscretearithmeticapo.hpp (1.22), 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), performanceoption.cpp (1.15), performanceoption.hpp (1.11), 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), Indexes/zarlibor.hpp (1.12), 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/simpleswap.cpp (1.44), Instruments/simpleswap.hpp (1.42), 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.cpp (1.24), Lattices/lattice.hpp (1.16), Lattices/lattice2d.cpp (1.13), 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/Calendars/tokyo.cpp (1.14), ql/CashFlows/basispointsensitivity.cpp (1.8), ql/CashFlows/basispointsensitivity.hpp (1.16), 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/indexcashflowvectors.hpp (1.14), 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.cpp (1.20), ql/FiniteDifferences/onefactoroperator.hpp (1.20), ql/FiniteDifferences/shoutcondition.hpp (1.19), ql/FiniteDifferences/tridiagonaloperator.cpp (1.30), ql/FiniteDifferences/tridiagonaloperator.hpp (1.33), ql/FiniteDifferences/valueatcenter.cpp (1.18), ql/FiniteDifferences/valueatcenter.hpp (1.13): Some more Reals and Integers 2004-05-11 16:19 Luigi Ballabio * acinclude.m4 (1.10), configure.ac (1.43), quantlib.el (1.6), Examples/EuropeanOption/EuropeanOption.cpp (1.108), ql/basicdataformatters.cpp (1.4), ql/basicdataformatters.hpp (1.2), ql/calendar.cpp (1.24), ql/calendar.hpp (1.37), ql/capvolstructures.hpp (1.9), ql/cashflow.hpp (1.19), ql/dataformatters.cpp (1.35), ql/dataformatters.hpp (1.33), ql/dataparsers.cpp (1.14), ql/dataparsers.hpp (1.10), ql/date.cpp (1.33), ql/date.hpp (1.28), ql/daycounter.hpp (1.28), ql/disposable.hpp (1.5), ql/errors.cpp (1.4), ql/errors.hpp (1.19), ql/grid.cpp (1.15), ql/grid.hpp (1.21), ql/history.hpp (1.23), ql/instrument.hpp (1.34), ql/marketelement.hpp (1.22), ql/null.hpp (1.10), ql/option.hpp (1.29), ql/payoff.hpp (1.11), ql/scheduler.cpp (1.25), ql/scheduler.hpp (1.22), 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/actual365.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/simpleswap.cpp (1.43), ql/Instruments/simpleswap.hpp (1.41), ql/Instruments/swaption.cpp (1.43), ql/Instruments/swaption.hpp (1.39), ql/Lattices/lattice.cpp (1.23), 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/dividendeuropeanoption.cpp (1.14), ql/Pricers/fddividendoption.cpp (1.25), ql/Pricers/fdmultiperiodoption.cpp (1.24), ql/Pricers/mccliquetoption.cpp (1.27), ql/Pricers/singleassetoption.cpp (1.29), ql/PricingEngines/blackformula.cpp (1.4), ql/PricingEngines/Asian/analyticcontinuousasianengine.cpp (1.3), 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/dividendeuropeanoption.cpp (1.5), 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/beijing.cpp (1.2), Calendars/riyadh.cpp (1.2), Calendars/seoul.cpp (1.3), 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/Asian/analyticcontinuousasianengine.hpp (1.3), ql/PricingEngines/Asian/analyticdiscreteasianengine.hpp (1.2), 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/CapFloor/analyticalcapfloor.hpp (1.4), ql/PricingEngines/CapFloor/blackcapfloor.hpp (1.4), ql/PricingEngines/CapFloor/treecapfloor.hpp (1.4), 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/Swaption/blackswaption.hpp (1.4), ql/PricingEngines/Swaption/jamshidianswaption.hpp (1.4), ql/PricingEngines/Swaption/treeswaption.hpp (1.4), 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), QuantLib.mak (1.211), 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), test-suite/testsuite.mak (1.53), 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), dividendeuropeanoption.cpp (1.4), 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), dividendeuropeanoption.cpp (1.3), 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 andrelouw * ql/types.hpp (1.12): Decimal type added as typedef to double. 2004-05-04 15:46 andrelouw * ql/Math/rounding.hpp (1.2): Changed sub constructors to public. 2004-05-04 15:16 Luigi Ballabio * QuantLib.dsp (1.233), QuantLib.mak (1.210), 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/cliquetoption.cpp (1.23), ql/Pricers/cliquetoption.hpp (1.20), ql/Pricers/cliquetoptionpricer.cpp (1.1), ql/Pricers/cliquetoptionpricer.hpp (1.1), 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), test-suite/testsuite.mak (1.52): Fixes for VC++6 2004-05-04 14:34 andrelouw * 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.cpp (1.29), 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 andrelouw * ql/TermStructures/: discountcurve.cpp (1.28), 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 andrelouw * 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 * ql/PricingEngines/Asian/analyticcontinuousasianengine.cpp (1.2), ql/PricingEngines/Asian/analyticcontinuousasianengine.hpp (1.2), 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/Pricers/continuousgeometricapo.hpp (1.17), ql/PricingEngines/Asian/Makefile.am (1.5), ql/PricingEngines/Asian/all.hpp (1.2), ql/PricingEngines/Asian/analyticasianengine.cpp (1.13), ql/PricingEngines/Asian/analyticasianengine.hpp (1.4), ql/PricingEngines/Asian/analyticcontinuousasianengine.cpp (1.1), ql/PricingEngines/Asian/analyticcontinuousasianengine.hpp (1.1), ql/PricingEngines/Asian/analyticdiscreteasianengine.cpp (1.1), ql/PricingEngines/Asian/analyticdiscreteasianengine.hpp (1.1), 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/userman.tex (1.10), 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/userman.tex (1.9), 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), beijing.cpp (1.1), beijing.hpp (1.1), riyadh.cpp (1.1), riyadh.hpp (1.1): Added Beijing and Riyadh calendars (thanks to Xavier Abulker) 2004-04-29 14:50 Luigi Ballabio * ql/Pricers/performanceoption.cpp (1.14), ql/Pricers/performanceoption.hpp (1.10), 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/Pricers/cliquetoption.cpp (1.22), ql/Pricers/cliquetoption.hpp (1.19), 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 11:50 Luigi Ballabio * Examples/AmericanOption/AmericanOption.cpp (1.26): typos 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/budapest.cpp (1.8), ql/Calendars/budapest.hpp (1.9), ql/Calendars/copenhagen.cpp (1.4), ql/Calendars/copenhagen.hpp (1.5), ql/Calendars/frankfurt.cpp (1.17), ql/Calendars/frankfurt.hpp (1.18), ql/Calendars/helsinki.cpp (1.16), ql/Calendars/helsinki.hpp (1.18), ql/Calendars/hongkong.cpp (1.2), ql/Calendars/hongkong.hpp (1.2), ql/Calendars/johannesburg.cpp (1.13), ql/Calendars/johannesburg.hpp (1.10), ql/Calendars/london.cpp (1.17), ql/Calendars/london.hpp (1.20), ql/Calendars/milan.cpp (1.16), ql/Calendars/milan.hpp (1.18), ql/Calendars/newyork.cpp (1.17), ql/Calendars/newyork.hpp (1.21), ql/Calendars/oslo.cpp (1.8), ql/Calendars/oslo.hpp (1.9), ql/Calendars/seoul.cpp (1.2), ql/Calendars/seoul.hpp (1.2), ql/Calendars/stockholm.cpp (1.9), ql/Calendars/stockholm.hpp (1.9), ql/Calendars/sydney.cpp (1.9), ql/Calendars/sydney.hpp (1.11), ql/Calendars/taiwan.cpp (1.2), ql/Calendars/taiwan.hpp (1.2), ql/Calendars/target.cpp (1.17), ql/Calendars/target.hpp (1.19), ql/Calendars/tokyo.cpp (1.13), ql/Calendars/tokyo.hpp (1.11), ql/Calendars/toronto.cpp (1.9), ql/Calendars/toronto.hpp (1.10), ql/Calendars/warsaw.cpp (1.8), ql/Calendars/warsaw.hpp (1.9), ql/Calendars/wellington.cpp (1.17), ql/Calendars/wellington.hpp (1.18), ql/Calendars/zurich.cpp (1.16), ql/Calendars/zurich.hpp (1.18), 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/london.hpp (1.19), ql/Calendars/newyork.hpp (1.20), ql/Calendars/seoul.cpp (1.1), ql/Calendars/seoul.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 16:56 Luigi Ballabio * ql/TermStructures/: affinetermstructure.cpp (1.21), affinetermstructure.hpp (1.22): AffineTermStructure as LazyObject 2004-04-22 15:24 Luigi Ballabio * Examples/DiscreteHedging/DiscreteHedging.cpp (1.38), ql/Makefile.am (1.56), ql/diffusionprocess.cpp (1.18), ql/diffusionprocess.hpp (1.30), 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/mcbasket.cpp (1.34), ql/Pricers/mccliquetoption.cpp (1.26), ql/Pricers/mcdiscretearithmeticapo.cpp (1.28), 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), ql/Pricers/dividendeuropeanoption.cpp (1.13), ql/Pricers/dividendeuropeanoption.hpp (1.11), ql/Pricers/mcbasket.cpp (1.33), ql/Pricers/mcbasket.hpp (1.26), ql/RandomNumbers/rngtypedefs.hpp (1.29), 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), Pricers/fdbsmoption.cpp (1.20): Fix for implied volatility in old pricers 2004-04-21 15:55 Ferdinando Ametrano * ql/: MonteCarlo/mctypedefs.hpp (1.33), Pricers/mcbasket.hpp (1.25), Pricers/mccliquetoption.hpp (1.18), Pricers/mcdiscretearithmeticapo.hpp (1.21), 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), RandomNumbers/rngtypedefs.hpp (1.28): 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), ql/Pricers/dividendeuropeanoption.cpp (1.12), ql/Pricers/dividendeuropeanoption.hpp (1.10), ql/Pricers/mcbasket.cpp (1.32), ql/Pricers/mcbasket.hpp (1.24), ql/RandomNumbers/rngtypedefs.hpp (1.27), 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), Pricers/continuousgeometricapo.hpp (1.16): 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/: cliquetoption.cpp (1.21), mceverest.cpp (1.33), mchimalaya.cpp (1.35), mcmaxbasket.cpp (1.32), mcpagoda.cpp (1.34), performanceoption.cpp (1.13): 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), all.hpp (1.2), qlfunctions.hpp (1.1): bumping up version number 2004-04-21 11:39 Ferdinando Ametrano * Examples/: AmericanOption/AmericanOption.vcproj (1.4), BermudanSwaption/BermudanSwaption.vcproj (1.4), DiscreteHedging/DiscreteHedging.vcproj (1.4), EuropeanOption/EuropeanOption.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/affinetermstructure.hpp (1.21), TermStructures/compoundforward.cpp (1.36), TermStructures/compoundforward.hpp (1.26), TermStructures/discountcurve.cpp (1.27), 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.cpp (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/AmericanOption/AmericanOption.cpp (1.25), Examples/DiscreteHedging/DiscreteHedging.cpp (1.36), Examples/EuropeanOption/EuropeanOption.cpp (1.107), ql/diffusionprocess.cpp (1.17), ql/diffusionprocess.hpp (1.29), 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/mcbasket.cpp (1.31), ql/Pricers/mccliquetoption.cpp (1.25), ql/Pricers/mcdiscretearithmeticapo.cpp (1.27), 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/Asian/analyticasianengine.cpp (1.12), 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/dividendeuropeanoption.cpp (1.2), test-suite/europeanoption.cpp (1.58), test-suite/jumpdiffusion.cpp (1.17): Transplanted stochastic processes in the DiffusionProcess hierarchy 2004-04-19 18:00 Luigi Ballabio * ql/Lattices/lattice.cpp (1.22): I'm all in favor of removing warnings. However, writing a backward loop on an unsigned integer and introducing a temporary variable to hold an off-by-one integer value is a kind of mental contortion that should have rung a bell. As often happens when the logic is needlessly complicated, it introduced a bug---namely, the temporary variable was not used in every place. Fortunately, nobody uses TreeSwaption as JamshidianSwaption is available. 2004-04-15 18:02 Luigi Ballabio * QuantLib.dsp (1.231), QuantLib.mak (1.209), functions/ql/Functions/QuantLibFunctions.dsp (1.3), functions/ql/Functions/QuantLibFunctions.mak (1.3): This is automatic on Linux :) 2004-04-15 17:16 Luigi Ballabio * ql/: diffusionprocess.cpp (1.16), relinkablehandle.hpp (1.22), 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/Asian/analyticasianengine.cpp (1.11), 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 2004-04-15 10:38 Luigi Ballabio * ql/stochasticprocess.hpp (1.7.2.1), ql/Instruments/oneassetoption.cpp (1.5.2.4), ql/Instruments/oneassetoption.hpp (1.6.2.4), test-suite/europeanoption.cpp (1.49.2.6), test-suite/europeanoption.hpp (1.11.2.1): Fixed bug where calls to impliedVolatility() were breaking the option state. Potentially very dangerous. 2004-04-15 10:37 Luigi Ballabio * QuantLib.nsi (1.93.2.3), configure.ac (1.32.2.3), Docs/quantlib.doxy (1.80.2.2), dev_tools/version_number.txt (1.36.2.1), ql/qldefines.hpp (1.66.2.4): 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), dev_tools/newdeveloperintro.txt (1.6): updated 2004-04-13 16:46 Ferdinando Ametrano * functions/ql/Functions/: QuantLibFunctions.dsp (1.2), QuantLibFunctions.mak (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), QuantLib.mak (1.208), functions/ql/Functions/.cvsignore (1.2), functions/ql/Functions/QuantLibFunctions.dsp (1.1), functions/ql/Functions/QuantLibFunctions.mak (1.1), test-suite/testsuite.dsp (1.36), test-suite/testsuite.mak (1.51): 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/AmericanOption/makefile.mak (1.14), Examples/BermudanSwaption/makefile.mak (1.18), Examples/DiscreteHedging/makefile.mak (1.21), Examples/EuropeanOption/makefile.mak (1.24), 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/Pricers/dividendeuropeanoption.hpp (1.9), 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/dividendeuropeanoption.cpp (1.1), test-suite/dividendeuropeanoption.hpp (1.1), 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/all.hpp (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/basicdataformatters.cpp (1.3), ql/calendar.cpp (1.19), ql/cashflow.hpp (1.18), ql/dataparsers.cpp (1.13), ql/date.cpp (1.32), ql/errors.cpp (1.3), ql/errors.hpp (1.18), ql/exercise.cpp (1.9), ql/grid.cpp (1.14), ql/grid.hpp (1.20), ql/history.hpp (1.22), ql/instrument.hpp (1.32), ql/marketelement.hpp (1.21), 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/FiniteDifferences/valueatcenter.cpp (1.17), 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/simpleswap.cpp (1.42), 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.cpp (1.21), 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/cliquetoption.cpp (1.20), ql/Pricers/discretegeometricapo.cpp (1.17), ql/Pricers/discretegeometricaso.cpp (1.17), ql/Pricers/dividendeuropeanoption.cpp (1.11), ql/Pricers/fddividendoption.cpp (1.24), ql/Pricers/fddividendoption.hpp (1.11), ql/Pricers/fddividendshoutoption.hpp (1.13), ql/Pricers/fdmultiperiodoption.cpp (1.23), ql/Pricers/mcbasket.cpp (1.30), ql/Pricers/mccliquetoption.cpp (1.24), ql/Pricers/mcdiscretearithmeticapo.cpp (1.26), 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/performanceoption.cpp (1.12), 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/Asian/analyticasianengine.cpp (1.10), 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/CapFloor/analyticalcapfloor.cpp (1.4), ql/PricingEngines/CapFloor/treecapfloor.cpp (1.4), 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/Swaption/jamshidianswaption.cpp (1.4), ql/PricingEngines/Swaption/treeswaption.cpp (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/affinetermstructure.hpp (1.20), ql/TermStructures/compoundforward.cpp (1.34), ql/TermStructures/discountcurve.cpp (1.26), ql/TermStructures/flatforward.hpp (1.33), ql/TermStructures/piecewiseflatforward.cpp (1.44), ql/TermStructures/ratehelpers.cpp (1.44), ql/TermStructures/zerocurve.cpp (1.10), 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), test-suite/testsuite.mak (1.50), QuantLib.dsp (1.229), QuantLib.mak (1.207): VC6 catching up 2004-04-08 15:01 Luigi Ballabio * Examples/EuropeanOption/EuropeanOption.cpp (1.106), 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/: AmericanOption/AmericanOption.dsp (1.7), AmericanOption/AmericanOption.mak (1.11), BermudanSwaption/BermudanSwaption.dsp (1.14), BermudanSwaption/BermudanSwaption.mak (1.32), DiscreteHedging/DiscreteHedging.dsp (1.16), DiscreteHedging/DiscreteHedging.mak (1.50), EuropeanOption/EuropeanOption.dsp (1.14), EuropeanOption/EuropeanOption.mak (1.50), Swap/Swap.dsp (1.15), Swap/Swap.mak (1.48): VC6 catching up 2004-04-08 12:17 Ferdinando Ametrano * QuantLib.dsp (1.228), QuantLib.mak (1.206): 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/: basicdataformatters.cpp (1.2), Pricers/dividendeuropeanoption.cpp (1.10), Pricers/mcbasket.cpp (1.29), 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 10:14 Luigi Ballabio * ql/dataformatters.hpp (1.32): basic data formatters should be included when one includes dataformatters.hpp. I wouldn't rely on it being included by some file included by ... 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), basicdataformatters.cpp (1.1), basicdataformatters.hpp (1.1), dataformatters.cpp (1.34), dataformatters.hpp (1.31), 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 16:15 Ferdinando Ametrano * ql/Lattices/lattice.cpp (1.20): pruned redundant code 2004-04-07 15:44 Ferdinando Ametrano * Docs/pages/lattices.docs (1.7), ql/Lattices/binomialtree.hpp (1.18), ql/Lattices/lattice.cpp (1.19), 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/dataformatters.cpp (1.33), ql/dataformatters.hpp (1.30), 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/dividendeuropeanoption.cpp (1.9), ql/Pricers/fddividendoption.cpp (1.23), ql/Pricers/fdstepconditionoption.cpp (1.17), ql/Pricers/fdstepconditionoption.hpp (1.12), 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), ql/Pricers/dividendeuropeanoption.cpp (1.8), ql/Pricers/dividendeuropeanoption.hpp (1.8), ql/Pricers/fddividendeuropeanoption.cpp (1.14), ql/Pricers/fddividendeuropeanoption.hpp (1.15), 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), EuropeanOption/makefile.mak (1.23), DiscreteHedging/makefile.mak (1.20), BermudanSwaption/makefile.mak (1.17), AmericanOption/makefile.mak (1.13): removing unnecessary warning suppression 2004-04-07 09:31 Luigi Ballabio * ql/: MonteCarlo/mctypedefs.hpp (1.31), Pricers/mcbasket.cpp (1.28), Pricers/mccliquetoption.cpp (1.23), Pricers/mcdiscretearithmeticapo.cpp (1.25), 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), RandomNumbers/rngtypedefs.hpp (1.26): Deprecated RNG and MC typedefs 2004-04-06 18:25 Ferdinando Ametrano * QuantLib.vcproj (1.5), ql/diffusionprocess.hpp (1.28), 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/Pricers/fddividendeuropeanoption.cpp (1.13), 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/Lattices/lattice.cpp (1.18), ql/MonteCarlo/brownianbridge.hpp (1.16), ql/MonteCarlo/multipathgenerator.hpp (1.47), ql/MonteCarlo/pathgenerator.hpp (1.54), ql/Pricers/fddividendoption.cpp (1.22), ql/Pricers/mcbasket.cpp (1.27), 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), Lattices/lattice.cpp (1.17), Pricers/fdbermudanoption.cpp (1.16), Pricers/fdbermudanoption.hpp (1.11), Pricers/fdmultiperiodoption.cpp (1.22), Pricers/fdmultiperiodoption.hpp (1.15), 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), Examples/EuropeanOption/EuropeanOption.cpp (1.105), ql/Pricers/Makefile.am (1.40), ql/Pricers/all.hpp (1.3), ql/Pricers/continuousgeometricapo.hpp (1.15), ql/Pricers/europeanoption.cpp (1.19), ql/Pricers/europeanoption.hpp (1.22), ql/Pricers/fdbermudanoption.cpp (1.15), ql/Pricers/fddividendeuropeanoption.cpp (1.12), ql/Pricers/fddividendeuropeanoption.hpp (1.14), ql/Pricers/fddividendoption.cpp (1.21), ql/Pricers/fdmultiperiodoption.cpp (1.21), ql/Pricers/fdmultiperiodoption.hpp (1.14), ql/Pricers/fdstepconditionoption.cpp (1.16), test-suite/old_pricers.cpp (1.36): Removed deprecated EuropeanOption 2004-04-06 17:02 Luigi Ballabio * ql/: dataformatters.cpp (1.32), dataformatters.hpp (1.29): No templatification possible---different format strings are needed for signed and unsigned 2004-04-06 17:02 Ferdinando Ametrano * ql/RandomNumbers/: sobolrsg.cpp (1.25), sobolrsg.hpp (1.14): warning avoided 2004-04-06 17:01 Luigi Ballabio * ql/scheduler.cpp (1.24): At least startDate and endDate are present, therefore, N >= 2 2004-04-06 13:19 Ferdinando Ametrano * ql/dataformatters.hpp (1.28): bug-fix 2004-04-06 13:14 Ferdinando Ametrano * ql/scheduler.cpp (1.23): bug-fix 2004-04-06 13:05 Ferdinando Ametrano * ql/: dataformatters.cpp (1.31), dataformatters.hpp (1.27), history.hpp (1.20), Lattices/binomialtree.cpp (1.20), Lattices/lattice.cpp (1.16), Optimization/conjugategradient.cpp (1.20), Pricers/fdbermudanoption.cpp (1.14), Pricers/fdbermudanoption.hpp (1.10), Pricers/fddividendoption.cpp (1.20), Pricers/fddividendoption.hpp (1.10), Pricers/fdmultiperiodoption.cpp (1.20), Pricers/fdmultiperiodoption.hpp (1.13), 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/: scheduler.cpp (1.22), TermStructures/compoundforward.cpp (1.33), TermStructures/compoundforward.hpp (1.25), TermStructures/discountcurve.cpp (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/AmericanOption/AmericanOption.vcproj (1.3), Examples/BermudanSwaption/BermudanSwaption.vcproj (1.3), Examples/DiscreteHedging/DiscreteHedging.vcproj (1.3), Examples/EuropeanOption/EuropeanOption.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/AmericanOption/AmericanOption.vcproj (1.2), Examples/BermudanSwaption/BermudanSwaption.vcproj (1.2), Examples/DiscreteHedging/DiscreteHedging.vcproj (1.2), Examples/EuropeanOption/EuropeanOption.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), QuantLib.mak (1.205), Examples/AmericanOption/AmericanOption.dsp (1.6), Examples/AmericanOption/AmericanOption.mak (1.10), Examples/BermudanSwaption/BermudanSwaption.dsp (1.13), Examples/BermudanSwaption/BermudanSwaption.mak (1.31), Examples/DiscreteHedging/DiscreteHedging.dsp (1.15), Examples/DiscreteHedging/DiscreteHedging.mak (1.49), Examples/EuropeanOption/EuropeanOption.dsp (1.13), Examples/EuropeanOption/EuropeanOption.mak (1.49), Examples/Swap/Swap.dsp (1.14), Examples/Swap/Swap.mak (1.47): Visual C++: added single thread configurations 2004-04-05 16:14 Ferdinando Ametrano * QuantLib.dsp (1.226), QuantLib.mak (1.204), makefile.mak (1.54), Examples/makefile.mak (1.22), Examples/AmericanOption/AmericanOption.dsp (1.5), Examples/AmericanOption/AmericanOption.mak (1.9), Examples/AmericanOption/makefile.mak (1.12), Examples/BermudanSwaption/BermudanSwaption.dsp (1.12), Examples/BermudanSwaption/BermudanSwaption.mak (1.30), Examples/BermudanSwaption/makefile.mak (1.16), Examples/DiscreteHedging/DiscreteHedging.dsp (1.14), Examples/DiscreteHedging/DiscreteHedging.mak (1.48), Examples/DiscreteHedging/makefile.mak (1.19), Examples/EuropeanOption/EuropeanOption.dsp (1.12), Examples/EuropeanOption/EuropeanOption.mak (1.48), Examples/EuropeanOption/makefile.mak (1.22), Examples/Swap/Swap.dsp (1.13), Examples/Swap/Swap.mak (1.46), 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), test-suite/testsuite.mak (1.49): 1) Borland: ifndef _DEBUG define NDEBUG 2) Visual C++: added single thread configurations 2004-04-05 14:52 Luigi Ballabio * ql/Pricers/continuousgeometricapo.hpp (1.14): Removed dependency on EuropeanOption 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/userman.tex (1.8), Docs/pages/datetime.docs (1.8), ql/calendar.hpp (1.33), ql/date.hpp (1.27), ql/daycounter.hpp (1.27), ql/Calendars/budapest.hpp (1.8), ql/Calendars/copenhagen.hpp (1.4), ql/Calendars/frankfurt.hpp (1.17), ql/Calendars/helsinki.hpp (1.17), ql/Calendars/johannesburg.hpp (1.9), ql/Calendars/jointcalendar.hpp (1.6), ql/Calendars/london.hpp (1.18), ql/Calendars/milan.hpp (1.17), ql/Calendars/newyork.hpp (1.19), ql/Calendars/nullcalendar.hpp (1.6), ql/Calendars/oslo.hpp (1.8), ql/Calendars/stockholm.hpp (1.8), ql/Calendars/sydney.hpp (1.10), ql/Calendars/target.hpp (1.18), ql/Calendars/tokyo.hpp (1.10), ql/Calendars/toronto.hpp (1.9), ql/Calendars/warsaw.hpp (1.8), ql/Calendars/wellington.hpp (1.17), ql/Calendars/zurich.hpp (1.17), ql/DayCounters/actual360.hpp (1.17), ql/DayCounters/actual365.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), AmericanOption/AmericanOption.cpp (1.24), BermudanSwaption/BermudanSwaption.cpp (1.52), DiscreteHedging/DiscreteHedging.cpp (1.33), EuropeanOption/EuropeanOption.cpp (1.104), 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/Asian/analyticasianengine.hpp (1.3), 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 2004-04-05 10:46 Ferdinando Ametrano * ql/Pricers/performanceoption.cpp (1.11): Borland warning avoided 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), AmericanOption/AmericanOption.dsp (1.4), AmericanOption/makefile.mak (1.11), BermudanSwaption/BermudanSwaption.dsp (1.11), BermudanSwaption/makefile.mak (1.15), DiscreteHedging/DiscreteHedging.dsp (1.13), DiscreteHedging/makefile.mak (1.18), EuropeanOption/EuropeanOption.dsp (1.11), EuropeanOption/makefile.mak (1.21), Swap/Swap.dsp (1.12), Swap/Swap.mak (1.45), 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 * INSTALL.txt (1.4), 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 17:59 Luigi Ballabio * ql/Pricers/: performanceoption.cpp (1.10), performanceoption.hpp (1.9): Removed dependency of PerformanceOption from EuropeanOption 2004-04-02 17:46 Ferdinando Ametrano * test-suite/: quantlibtestsuite.cpp (1.66), testsuite.dsp (1.31), testsuite.mak (1.48): Boost autolink 2004-04-02 16:23 Luigi Ballabio * Docs/Makefile.am (1.62), Docs/quantlib.doxy (1.83), Docs/userman.tex (1.7), 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/simpleswap.hpp (1.40), 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/: Pricers/cliquetoption.cpp (1.19), Pricers/cliquetoption.hpp (1.18), 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), ql/RandomNumbers/randomarraygenerator.hpp (1.25), ql/RandomNumbers/rngtypedefs.hpp (1.25): 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/mcbasket.cpp (1.26), ql/Pricers/mcbasket.hpp (1.23), 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/mcdiscretearithmeticapo.cpp (1.24), ql/Pricers/mcdiscretearithmeticapo.hpp (1.20), 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/mcbasket.cpp (1.25), ql/Pricers/mcbasket.hpp (1.22), ql/Pricers/mccliquetoption.cpp (1.20), ql/Pricers/mccliquetoption.hpp (1.16), ql/Pricers/mcdiscretearithmeticapo.cpp (1.23), ql/Pricers/mcdiscretearithmeticapo.hpp (1.19), 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), RandomNumbers/inversecumgaussianrng.hpp (1.12), RandomNumbers/randomarraygenerator.hpp (1.24): Removed deprecated constructors 2004-03-30 11:55 Ferdinando Ametrano * ChangeLog.txt (1.44), History.txt (1.22), 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/AmericanOption/makefile.mak (1.10), Examples/BermudanSwaption/makefile.mak (1.14), Examples/DiscreteHedging/makefile.mak (1.17), Examples/EuropeanOption/makefile.mak (1.20), 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/AmericanOption/makefile.mak (1.9), Examples/BermudanSwaption/makefile.mak (1.13), Examples/DiscreteHedging/makefile.mak (1.16), Examples/EuropeanOption/makefile.mak (1.19), 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), testsuite.mak (1.47): 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 15:22 Ferdinando Ametrano * ql/relinkablehandle.hpp (1.21): Borland fix 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 * INSTALL.txt (1.3), QuantLib.nsi (1.97), QuantLib.spec.in (1.4), configure.ac (1.35), memo.txt (1.3), Docs/pages/install.docs (1.10), Docs/pages/overview.docs (1.11), man/quantlib-test-suite.1 (1.3), test-suite/CPPUNIT-COPYING (1.2), 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/marketelements.cpp (1.9), test-suite/marketelements.hpp (1.5), 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/qltestlistener.cpp (1.4), test-suite/qltestlistener.hpp (1.4), 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/Examples.sln (1.1), Examples/Makefile.am (1.21), Examples/AmericanOption/AmericanOption.vcproj (1.1), Examples/AmericanOption/Makefile.am (1.4), 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/EuropeanOption/EuropeanOption.vcproj (1.1), Examples/EuropeanOption/Makefile.am (1.11), 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/AmericanOption/AmericanOption.cpp (1.23), Examples/BermudanSwaption/BermudanSwaption.cpp (1.51), Examples/DiscreteHedging/DiscreteHedging.cpp (1.29), Examples/EuropeanOption/EuropeanOption.cpp (1.103), Examples/EuropeanOption/quanto.leftover (1.3), Examples/Swap/swapvaluation.cpp (1.46), ql/calendar.hpp (1.32), ql/daycounter.hpp (1.26), ql/diffusionprocess.cpp (1.15), 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/relinkablehandle.hpp (1.20), ql/Calendars/budapest.hpp (1.7), ql/Calendars/copenhagen.hpp (1.3), ql/Calendars/frankfurt.hpp (1.16), ql/Calendars/helsinki.hpp (1.16), ql/Calendars/johannesburg.hpp (1.8), ql/Calendars/jointcalendar.cpp (1.9), ql/Calendars/london.hpp (1.17), ql/Calendars/milan.hpp (1.16), ql/Calendars/newyork.hpp (1.18), ql/Calendars/nullcalendar.hpp (1.5), ql/Calendars/oslo.hpp (1.7), ql/Calendars/stockholm.hpp (1.7), ql/Calendars/sydney.hpp (1.9), ql/Calendars/target.hpp (1.17), ql/Calendars/tokyo.hpp (1.9), ql/Calendars/toronto.hpp (1.8), ql/Calendars/warsaw.hpp (1.7), ql/Calendars/wellington.hpp (1.16), ql/Calendars/zurich.hpp (1.16), ql/CashFlows/basispointsensitivity.cpp (1.6), ql/CashFlows/basispointsensitivity.hpp (1.14), ql/CashFlows/cashflowvectors.cpp (1.31), ql/CashFlows/cashflowvectors.hpp (1.25), ql/CashFlows/inarrearindexedcoupon.hpp (1.12), ql/CashFlows/indexcashflowvectors.hpp (1.13), 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/actual365.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.cpp (1.19), 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/simpleswap.cpp (1.41), ql/Instruments/simpleswap.hpp (1.39), 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.cpp (1.12), ql/Lattices/bsmlattice.hpp (1.9), ql/Lattices/lattice.cpp (1.15), ql/Lattices/lattice.hpp (1.11), ql/Lattices/lattice2d.cpp (1.12), 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/cliquetoption.cpp (1.18), ql/Pricers/cliquetoption.hpp (1.17), ql/Pricers/continuousgeometricapo.hpp (1.13), ql/Pricers/discretegeometricapo.hpp (1.14), ql/Pricers/discretegeometricaso.hpp (1.14), ql/Pricers/europeanoption.hpp (1.21), ql/Pricers/fdamericanoption.hpp (1.14), ql/Pricers/fdbermudanoption.cpp (1.13), ql/Pricers/fdbermudanoption.hpp (1.9), ql/Pricers/fdbsmoption.cpp (1.19), ql/Pricers/fdbsmoption.hpp (1.17), ql/Pricers/fddividendamericanoption.cpp (1.10), ql/Pricers/fddividendamericanoption.hpp (1.11), ql/Pricers/fddividendeuropeanoption.cpp (1.11), ql/Pricers/fddividendeuropeanoption.hpp (1.13), ql/Pricers/fddividendoption.cpp (1.19), ql/Pricers/fddividendshoutoption.cpp (1.14), ql/Pricers/fddividendshoutoption.hpp (1.12), ql/Pricers/fdeuropean.hpp (1.14), ql/Pricers/fdmultiperiodoption.cpp (1.19), ql/Pricers/fdmultiperiodoption.hpp (1.12), ql/Pricers/fdshoutoption.hpp (1.12), ql/Pricers/fdstepconditionoption.hpp (1.11), ql/Pricers/mcbasket.cpp (1.24), ql/Pricers/mccliquetoption.cpp (1.19), ql/Pricers/mcdiscretearithmeticapo.cpp (1.22), 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/performanceoption.cpp (1.9), ql/Pricers/performanceoption.hpp (1.8), 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/Asian/analyticasianengine.cpp (1.9), 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/CapFloor/analyticalcapfloor.cpp (1.3), ql/PricingEngines/CapFloor/analyticalcapfloor.hpp (1.3), ql/PricingEngines/CapFloor/blackcapfloor.hpp (1.3), ql/PricingEngines/CapFloor/capfloorpricer.cpp (1.3), ql/PricingEngines/CapFloor/capfloorpricer.hpp (1.3), ql/PricingEngines/CapFloor/treecapfloor.cpp (1.3), ql/PricingEngines/CapFloor/treecapfloor.hpp (1.3), 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/Swaption/blackswaption.hpp (1.3), ql/PricingEngines/Swaption/jamshidianswaption.cpp (1.3), ql/PricingEngines/Swaption/jamshidianswaption.hpp (1.3), ql/PricingEngines/Swaption/swaptionpricer.cpp (1.3), ql/PricingEngines/Swaption/swaptionpricer.hpp (1.3), ql/PricingEngines/Swaption/treeswaption.cpp (1.3), ql/PricingEngines/Swaption/treeswaption.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/affinetermstructure.cpp (1.20), ql/TermStructures/affinetermstructure.hpp (1.19), 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/marketelements.cpp (1.8), 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 12:59 Ferdinando Ametrano * QuantLib.nsi (1.93.2.2): patch 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), test-suite/testsuite.mak (1.46): 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/diffusionprocess.cpp (1.14), 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/simpleswap.cpp (1.40), 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/Asian/analyticasianengine.cpp (1.8), 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/affinetermstructure.cpp (1.19), 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/: marketelement.hpp (1.20), 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 * BUGS.txt (1.2), ChangeLog.txt (1.43), History.txt (1.21), INSTALL.txt (1.2), News.txt (1.34), QuantLib.dsp (1.223), QuantLib.mak (1.202), QuantLib.nsi (1.94), QuantLib.spec.in (1.3), TODO.txt (1.134), configure.ac (1.33), memo.txt (1.2): 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), test-suite/testsuite.mak (1.45), Examples/AmericanOption/AmericanOption.cpp (1.22), Examples/EuropeanOption/EuropeanOption.cpp (1.102), Examples/EuropeanOption/quanto.leftover (1.2), 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/userman.tex (1.6), 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/platforms.docs (1.11), 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/dataformatters.cpp (1.30), ql/dataparsers.cpp (1.12), ql/date.cpp (1.31), ql/diffusionprocess.cpp (1.13), ql/diffusionprocess.hpp (1.27), ql/discretizedasset.cpp (1.5), ql/exercise.cpp (1.8), ql/exercise.hpp (1.30), ql/grid.cpp (1.13), 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/relinkablehandle.hpp (1.19), ql/scheduler.cpp (1.21), 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/budapest.cpp (1.7), ql/Calendars/copenhagen.cpp (1.3), ql/Calendars/frankfurt.cpp (1.16), ql/Calendars/helsinki.cpp (1.15), ql/Calendars/johannesburg.cpp (1.12), ql/Calendars/jointcalendar.cpp (1.8), ql/Calendars/london.cpp (1.16), ql/Calendars/london.hpp (1.16), ql/Calendars/milan.cpp (1.15), ql/Calendars/newyork.cpp (1.16), ql/Calendars/newyork.hpp (1.17), ql/Calendars/nullcalendar.hpp (1.4), ql/Calendars/oslo.cpp (1.7), ql/Calendars/stockholm.cpp (1.8), ql/Calendars/sydney.cpp (1.8), ql/Calendars/sydney.hpp (1.8), ql/Calendars/target.cpp (1.16), ql/Calendars/tokyo.cpp (1.12), ql/Calendars/toronto.cpp (1.8), ql/Calendars/warsaw.cpp (1.7), ql/Calendars/wellington.cpp (1.16), ql/Calendars/zurich.cpp (1.15), ql/CashFlows/basispointsensitivity.cpp (1.5), 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/onefactoroperator.cpp (1.18), ql/FiniteDifferences/tridiagonaloperator.cpp (1.25), ql/FiniteDifferences/valueatcenter.cpp (1.16), ql/FiniteDifferences/valueatcenter.hpp (1.12), 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/Indexes/xibormanager.cpp (1.15), ql/Indexes/zarlibor.hpp (1.11), 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/simpleswap.cpp (1.39), ql/Instruments/simpleswap.hpp (1.38), 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/bsmlattice.cpp (1.11), ql/Lattices/lattice.cpp (1.14), ql/Lattices/lattice2d.cpp (1.11), 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/interpolationtraits.hpp (1.10), 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/arithmeticapopathpricer.cpp (1.16), ql/MonteCarlo/arithmeticapopathpricer.hpp (1.16), ql/MonteCarlo/arithmeticasopathpricer.cpp (1.17), ql/MonteCarlo/arithmeticasopathpricer.hpp (1.12), ql/MonteCarlo/barrierpathpricer.cpp (1.11), ql/MonteCarlo/barrierpathpricer.hpp (1.8), ql/MonteCarlo/basketpathpricer.cpp (1.28), ql/MonteCarlo/basketpathpricer.hpp (1.24), ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.9), ql/MonteCarlo/biasedbarrierpathpricer.hpp (1.6), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.19), ql/MonteCarlo/cliquetoptionpathpricer.hpp (1.13), ql/MonteCarlo/digitalpathpricer.cpp (1.5), ql/MonteCarlo/digitalpathpricer.hpp (1.2), ql/MonteCarlo/europeanmultipathpricer.cpp (1.3), ql/MonteCarlo/europeanmultipathpricer.hpp (1.2), ql/MonteCarlo/europeanpathpricer.cpp (1.24), ql/MonteCarlo/europeanpathpricer.hpp (1.23), ql/MonteCarlo/everestpathpricer.cpp (1.21), ql/MonteCarlo/everestpathpricer.hpp (1.18), ql/MonteCarlo/geometricapopathpricer.cpp (1.18), ql/MonteCarlo/geometricapopathpricer.hpp (1.16), ql/MonteCarlo/geometricasopathpricer.cpp (1.20), ql/MonteCarlo/geometricasopathpricer.hpp (1.12), ql/MonteCarlo/getcovariance.hpp (1.16), ql/MonteCarlo/himalayapathpricer.cpp (1.26), ql/MonteCarlo/himalayapathpricer.hpp (1.19), ql/MonteCarlo/makefile.mak (1.29), ql/MonteCarlo/maxbasketpathpricer.cpp (1.14), ql/MonteCarlo/maxbasketpathpricer.hpp (1.12), ql/MonteCarlo/mctraits.hpp (1.10), ql/MonteCarlo/multipath.hpp (1.19), ql/MonteCarlo/multipathgenerator.hpp (1.41), ql/MonteCarlo/pagodapathpricer.cpp (1.21), ql/MonteCarlo/pagodapathpricer.hpp (1.20), ql/MonteCarlo/path.hpp (1.19), ql/MonteCarlo/performanceoptionpathpricer.cpp (1.12), ql/MonteCarlo/performanceoptionpathpricer.hpp (1.15), 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/analyticalcapfloor.cpp (1.24), ql/Pricers/analyticalcapfloor.hpp (1.20), ql/Pricers/blackcapfloor.cpp (1.19), ql/Pricers/blackcapfloor.hpp (1.15), ql/Pricers/blackmodel.hpp (1.2), ql/Pricers/blackswaption.cpp (1.14), ql/Pricers/blackswaption.hpp (1.13), ql/Pricers/capfloorpricer.cpp (1.13), ql/Pricers/capfloorpricer.hpp (1.17), ql/Pricers/cliquetoption.cpp (1.17), ql/Pricers/cliquetoption.hpp (1.16), ql/Pricers/continuousgeometricapo.hpp (1.12), ql/Pricers/core.hpp (1.2), ql/Pricers/discretegeometricapo.cpp (1.16), ql/Pricers/discretegeometricapo.hpp (1.13), ql/Pricers/discretegeometricaso.cpp (1.16), ql/Pricers/discretegeometricaso.hpp (1.13), ql/Pricers/europeanoption.cpp (1.18), ql/Pricers/fdamericanoption.hpp (1.13), ql/Pricers/fdbermudanoption.cpp (1.12), ql/Pricers/fdbsmoption.cpp (1.18), ql/Pricers/fddividendamericanoption.cpp (1.9), ql/Pricers/fddividendamericanoption.hpp (1.10), ql/Pricers/fddividendeuropeanoption.cpp (1.10), ql/Pricers/fddividendoption.cpp (1.18), ql/Pricers/fddividendshoutoption.cpp (1.13), ql/Pricers/fdeuropean.cpp (1.16), ql/Pricers/fdmultiperiodoption.cpp (1.18), ql/Pricers/fdstepconditionoption.cpp (1.15), ql/Pricers/jamshidianswaption.cpp (1.23), ql/Pricers/jamshidianswaption.hpp (1.19), ql/Pricers/makefile.mak (1.37), ql/Pricers/mcbasket.cpp (1.23), ql/Pricers/mccliquetoption.cpp (1.18), ql/Pricers/mcdiscretearithmeticapo.cpp (1.21), ql/Pricers/mcdiscretearithmeticapo.hpp (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/performanceoption.cpp (1.8), ql/Pricers/singleassetoption.cpp (1.26), ql/Pricers/swaptionpricer.cpp (1.15), ql/Pricers/swaptionpricer.hpp (1.24), ql/Pricers/treecapfloor.cpp (1.31), ql/Pricers/treecapfloor.hpp (1.24), ql/Pricers/treeswaption.cpp (1.39), ql/Pricers/treeswaption.hpp (1.27), 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/Asian/analyticasianengine.cpp (1.7), ql/PricingEngines/Asian/analyticasianengine.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/analyticalcapfloor.cpp (1.2), ql/PricingEngines/CapFloor/analyticalcapfloor.hpp (1.2), ql/PricingEngines/CapFloor/blackcapfloor.cpp (1.2), ql/PricingEngines/CapFloor/blackcapfloor.hpp (1.2), ql/PricingEngines/CapFloor/capfloorpricer.cpp (1.2), ql/PricingEngines/CapFloor/capfloorpricer.hpp (1.2), ql/PricingEngines/CapFloor/makefile.mak (1.2), ql/PricingEngines/CapFloor/treecapfloor.cpp (1.2), ql/PricingEngines/CapFloor/treecapfloor.hpp (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/blackswaption.cpp (1.2), ql/PricingEngines/Swaption/blackswaption.hpp (1.2), ql/PricingEngines/Swaption/jamshidianswaption.cpp (1.2), ql/PricingEngines/Swaption/jamshidianswaption.hpp (1.2), ql/PricingEngines/Swaption/makefile.mak (1.2), ql/PricingEngines/Swaption/swaptionpricer.cpp (1.2), ql/PricingEngines/Swaption/swaptionpricer.hpp (1.2), ql/PricingEngines/Swaption/treeswaption.cpp (1.2), ql/PricingEngines/Swaption/treeswaption.hpp (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/rngtypedefs.hpp (1.24), 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/affinetermstructure.cpp (1.18), ql/TermStructures/compoundforward.cpp (1.31), ql/TermStructures/discountcurve.cpp (1.24), 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/TermStructures/zerocurve.cpp (1.9), ql/Utilities/combiningiterator.hpp (1.13), ql/Utilities/filteringiterator.hpp (1.11), ql/Utilities/iteratorcategories.hpp (1.12), ql/Utilities/processingiterator.hpp (1.12), 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 2004-03-22 09:48 Ferdinando Ametrano * test-suite/lowdiscrepancysequences.cpp (1.39.2.1): typo 2004-03-22 09:18 Ferdinando Ametrano * QuantLib.mak (1.201.2.5): updated 2004-03-21 18:34 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.22), ql/Volatilities/localvolsurface.cpp (1.7.2.2), ql/Volatilities/localvolsurface.hpp (1.16.2.2): getting ready for 0.3.5 2004-03-21 17:26 Luigi Ballabio * ql/PricingEngines/Cliquet/makefile.mak (1.1.2.2): Ready for when the Cliquet dir will be back 2004-03-21 17:26 Luigi Ballabio * ql/: MonteCarlo/Makefile.am (1.30.2.4), MonteCarlo/makefile.mak (1.28.2.2), PricingEngines/Cliquet/makefile.mak (1.1.2.1): Removed empty files 2004-03-21 17:18 Luigi Ballabio * QuantLib.dsp (1.222.2.5), configure.ac (1.32.2.2), ql/Makefile.am (1.50.2.2), ql/makefile.mak (1.44.2.5), ql/MonteCarlo/Makefile.am (1.30.2.3), ql/MonteCarlo/all.hpp (1.3.2.3), ql/Pricers/mcbasket.cpp (1.22.2.3), ql/Pricers/mccliquetoption.cpp (1.17.2.3), ql/Pricers/mcdiscretearithmeticapo.cpp (1.20.2.3), ql/Pricers/mcdiscretearithmeticapo.hpp (1.17.2.1), ql/Pricers/mcdiscretearithmeticaso.cpp (1.21.2.3), ql/Pricers/mceverest.cpp (1.25.2.3), ql/Pricers/mchimalaya.cpp (1.25.2.3), ql/Pricers/mcmaxbasket.cpp (1.22.2.3), ql/Pricers/mcpagoda.cpp (1.24.2.3), ql/Pricers/mcperformanceoption.cpp (1.16.2.3), ql/PricingEngines/Barrier/Makefile.am (1.5.2.1), ql/PricingEngines/Barrier/makefile.mak (1.3.2.1), ql/PricingEngines/Barrier/mcbarrierengine.cpp (1.1.2.1), ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.3.2.3), ql/PricingEngines/Basket/Makefile.am (1.3.2.1), ql/PricingEngines/Basket/makefile.mak (1.2.2.1), ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.10.2.2), ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.5.2.2), ql/PricingEngines/Basket/mcbasketengine.cpp (1.1.2.1), ql/PricingEngines/Basket/mcbasketengine.hpp (1.6.2.2), ql/PricingEngines/Cliquet/Makefile.am (1.4.2.1), ql/PricingEngines/Cliquet/mccliquetengine.cpp (1.1.2.1), ql/PricingEngines/Cliquet/mccliquetengine.hpp (1.1.2.1), ql/PricingEngines/Vanilla/Makefile.am (1.11.2.1), ql/PricingEngines/Vanilla/makefile.mak (1.7.2.2), ql/PricingEngines/Vanilla/mcdigitalengine.cpp (1.1.2.1), ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.4.2.3), ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.6.2.2): Path pricers moved together with the respective pricing engines or pricers 2004-03-21 17:16 Luigi Ballabio * ql/PricingEngines/: Makefile.am (1.36.2.2), all.hpp (1.6.2.2): Cliquet subdir removed from distribution (it only contained commented-out code.) 2004-03-21 17:12 Luigi Ballabio * ql/MonteCarlo/getcovariance.hpp (1.15.2.2): Checking floating-point numbers for equality is in general not a good idea 2004-03-21 17:11 Luigi Ballabio * ql/PricingEngines/mcsimulation.hpp (1.1.2.3): Removed unnecessary inclusion 2004-03-21 17:09 Luigi Ballabio * ql/PricingEngines/: americanpayoffatexpiry.hpp (1.2.2.3), americanpayoffathit.hpp (1.4.2.3): Typos 2004-03-21 17:07 Luigi Ballabio * ql/Math/linearinterpolation.hpp (1.22.2.4): Warning avoided 2004-03-21 17:05 Luigi Ballabio * ql/Math/interpolation.hpp (1.25.2.3): todo was done already 2004-03-21 17:05 Luigi Ballabio * ql/exercise.hpp (1.29.2.4): Typos 2004-03-21 17:03 Luigi Ballabio * Docs/pages/overview.docs (1.8.4.21): Typos and formatting 2004-03-21 14:40 Ferdinando Ametrano * ql/Math/bilinearinterpolation.hpp (1.18.2.1): bug fix 2004-03-20 22:48 Ferdinando Ametrano * News.txt (1.33.2.3), Docs/pages/history.docs (1.13.2.3), Docs/pages/overview.docs (1.8.4.20), ql/Math/linearinterpolation.hpp (1.22.2.3): implemented primitive, derivative, 2nd derivative functions for linear interpolation 2004-03-20 22:44 Ferdinando Ametrano * QuantLib.nsi (1.93.2.1): commented line removed 2004-03-20 22:42 Ferdinando Ametrano * ql/Math/binomialdistribution.hpp (1.4.2.2): description improved 2004-03-20 22:41 Ferdinando Ametrano * ql/MonteCarlo/getcovariance.hpp (1.15.2.1): more safety checks 2004-03-20 14:08 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.19), ql/Math/linearinterpolation.hpp (1.22.2.2), ql/Math/loglinearinterpolation.hpp (1.22.2.2), ql/PricingEngines/blackformula.hpp (1.11.2.4): Finished with documentation 2004-03-19 18:41 Ferdinando Ametrano * Docs/pages/: overview.docs (1.8.4.18), resources.docs (1.6.4.1), usage.docs (1.13.2.2), where.docs (1.7.4.2): I've finished with documentation. 2004-03-19 17:56 Ferdinando Ametrano * ql/Math/pseudosqrt.hpp (1.1.2.1), Docs/pages/overview.docs (1.8.4.17): documentation in progress 2004-03-19 17:32 Ferdinando Ametrano * memo.txt (1.1.2.2): updated 2004-03-19 17:21 Ferdinando Ametrano * test-suite/europeanoption.cpp (1.49.2.5): updated 2004-03-19 17:08 Ferdinando Ametrano * ql/exercise.hpp (1.29.2.3): softer comment 2004-03-19 17:07 Ferdinando Ametrano * ql/PricingEngines/blackformula.hpp (1.11.2.3): play on the safe side 2004-03-19 16:40 Ferdinando Ametrano * ql/: option.hpp (1.25.2.3), Instruments/oneassetoption.cpp (1.5.2.3), Instruments/oneassetoption.hpp (1.6.2.3), PricingEngines/blackformula.hpp (1.11.2.2), PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.9.2.3), PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.6.2.2), PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.6.2.3): extending (and correcly naming) ITM probabilities 2004-03-19 16:36 Ferdinando Ametrano * ql/PricingEngines/: blackmodel.hpp (1.1.2.3), CapFloor/blackcapfloor.cpp (1.1.2.2): play on the safe side 2004-03-19 12:45 Ferdinando Ametrano * ql/PricingEngines/blackmodel.hpp (1.1.2.2): minor change 2004-03-19 11:30 Ferdinando Ametrano * ql/: diffusionprocess.hpp (1.26.2.1), option.hpp (1.25.2.2): documentation in progress 2004-03-19 11:21 Ferdinando Ametrano * TODO.txt (1.133.2.2), memo.txt (1.1.2.1), Docs/pages/overview.docs (1.8.4.16): documentation in progress 2004-03-19 09:27 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.15): documentation in progress 2004-03-19 09:22 Ferdinando Ametrano * ql/config.msvc.hpp (1.42.2.2), ql/exercise.hpp (1.29.2.2), ql/option.hpp (1.25.2.1), ql/solver1d.hpp (1.19.2.1), ql/FiniteDifferences/mixedscheme.hpp (1.11.2.1), ql/FiniteDifferences/valueatcenter.hpp (1.11.2.1), ql/Math/bicubicsplineinterpolation.hpp (1.14.2.1), ql/Math/bivariatenormaldistribution.hpp (1.2.2.1), ql/Math/interpolation.hpp (1.25.2.2), ql/Math/riskstatistics.hpp (1.7.2.1), ql/MonteCarlo/multipath.hpp (1.18.2.1), ql/MonteCarlo/multipathgenerator.hpp (1.40.2.1), ql/MonteCarlo/path.hpp (1.18.2.1), ql/PricingEngines/americanpayoffatexpiry.hpp (1.2.2.2), ql/PricingEngines/americanpayoffathit.hpp (1.4.2.2), ql/PricingEngines/Vanilla/integralengine.hpp (1.1.2.1), ql/Volatilities/blackvariancecurve.hpp (1.26.2.1), ql/Volatilities/blackvariancesurface.hpp (1.28.2.1), ql/Volatilities/localvolsurface.hpp (1.16.2.1), TODO.txt (1.133.2.1): documentation in progress 2004-03-18 18:34 Ferdinando Ametrano * test-suite/americanoption.cpp (1.12.2.4): typo fixed 2004-03-18 18:24 Ferdinando Ametrano * test-suite/americanoption.cpp (1.12.2.3): Giovanni Barone-Adesi is one person, one last name 2004-03-18 18:14 Ferdinando Ametrano * QuantLib.dsp (1.222.2.4), QuantLib.mak (1.201.2.4), ql/makefile.mak (1.44.2.4), ql/MonteCarlo/all.hpp (1.3.2.2), ql/MonteCarlo/mctraits.hpp (1.9.2.1), ql/RandomNumbers/Makefile.am (1.14.2.1), ql/RandomNumbers/all.hpp (1.1.2.1), ql/RandomNumbers/rngtraits.hpp (1.1.2.1), ql/RandomNumbers/rngtypedefs.hpp (1.23.2.1), test-suite/europeanoption.cpp (1.49.2.4), test-suite/testsuite.mak (1.44.2.1): introducing rngtraits.hpp file (content from mctraits.hpp) 2004-03-18 18:08 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.14): updating in progress 2004-03-18 17:49 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.12): updating in progress 2004-03-18 17:05 Luigi Ballabio * configure.ac (1.32.2.1), ql/Makefile.am (1.50.2.1), ql/MonteCarlo/Makefile.am (1.30.2.2), ql/PricingEngines/CapFloor/Makefile.am (1.1.2.2), ql/PricingEngines/Swaption/Makefile.am (1.1.2.2): Fixes for g++ build 2004-03-18 17:02 Luigi Ballabio * QuantLib.spec.in (1.2.2.1): Fixed RPM dependencies 2004-03-18 15:26 Ferdinando Ametrano * Docs/pages/license.docs (1.15.2.3): updated 2004-03-18 15:22 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.9): updating in progress 2004-03-18 15:16 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.8): updating in progress 2004-03-18 15:00 Ferdinando Ametrano * QuantLib.dsp (1.222.2.3), QuantLib.mak (1.201.2.3), ql/makefile.mak (1.44.2.3), ql/MonteCarlo/Makefile.am (1.30.2.1), ql/MonteCarlo/all.hpp (1.3.2.1), ql/MonteCarlo/arithmeticapopathpricer.cpp (1.15.2.2), ql/MonteCarlo/arithmeticapopathpricer.hpp (1.15.2.1), ql/MonteCarlo/arithmeticasopathpricer.cpp (1.16.2.2), ql/MonteCarlo/arithmeticasopathpricer.hpp (1.11.2.1), ql/MonteCarlo/barrierpathpricer.cpp (1.10.2.2), ql/MonteCarlo/barrierpathpricer.hpp (1.7.2.2), ql/MonteCarlo/basketpathpricer.cpp (1.27.2.2), ql/MonteCarlo/basketpathpricer.hpp (1.23.2.1), ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.8.2.2), ql/MonteCarlo/biasedbarrierpathpricer.hpp (1.5.2.2), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.18.2.2), ql/MonteCarlo/cliquetoptionpathpricer.hpp (1.12.2.2), ql/MonteCarlo/digitalpathpricer.cpp (1.4.2.2), ql/MonteCarlo/digitalpathpricer.hpp (1.1.2.1), ql/MonteCarlo/europeanmultipathpricer.cpp (1.2.2.2), ql/MonteCarlo/europeanmultipathpricer.hpp (1.1.2.3), ql/MonteCarlo/europeanpathpricer.cpp (1.23.2.2), ql/MonteCarlo/europeanpathpricer.hpp (1.22.2.2), ql/MonteCarlo/everestpathpricer.cpp (1.20.2.2), ql/MonteCarlo/everestpathpricer.hpp (1.17.2.1), ql/MonteCarlo/geometricapopathpricer.cpp (1.17.2.2), ql/MonteCarlo/geometricapopathpricer.hpp (1.15.2.1), ql/MonteCarlo/geometricasopathpricer.cpp (1.19.2.2), ql/MonteCarlo/geometricasopathpricer.hpp (1.11.2.1), ql/MonteCarlo/himalayapathpricer.cpp (1.25.2.2), ql/MonteCarlo/himalayapathpricer.hpp (1.18.2.1), ql/MonteCarlo/makefile.mak (1.28.2.1), ql/MonteCarlo/maxbasketpathpricer.cpp (1.13.2.2), ql/MonteCarlo/maxbasketpathpricer.hpp (1.11.2.1), ql/MonteCarlo/pagodapathpricer.cpp (1.20.2.2), ql/MonteCarlo/pagodapathpricer.hpp (1.19.2.1), ql/MonteCarlo/performanceoptionpathpricer.cpp (1.11.2.2), ql/MonteCarlo/performanceoptionpathpricer.hpp (1.14.2.1), ql/Pricers/mcbasket.cpp (1.22.2.2), ql/Pricers/mccliquetoption.cpp (1.17.2.2), ql/Pricers/mcdiscretearithmeticapo.cpp (1.20.2.2), ql/Pricers/mcdiscretearithmeticaso.cpp (1.21.2.2), ql/Pricers/mceverest.cpp (1.25.2.2), ql/Pricers/mchimalaya.cpp (1.25.2.2), ql/Pricers/mcmaxbasket.cpp (1.22.2.2), ql/Pricers/mcpagoda.cpp (1.24.2.2), ql/Pricers/mcperformanceoption.cpp (1.16.2.2), ql/PricingEngines/mcsimulation.hpp (1.1.2.2), ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.3.2.2), ql/PricingEngines/Basket/mcamericanbasketengine.hpp (1.5.2.1), ql/PricingEngines/Basket/mcbasketengine.hpp (1.6.2.1), ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.4.2.2): moving Monte Carlo PathPricers in a dedicated Monte Carlo sub folder 2004-03-18 13:03 Ferdinando Ametrano * QuantLib.dsp (1.222.2.2), QuantLib.mak (1.201.2.2), Docs/pages/overview.docs (1.8.4.7), ql/makefile.mak (1.44.2.2), ql/Instruments/capfloor.cpp (1.47.2.2), ql/Math/interpolation.hpp (1.25.2.1), ql/Math/interpolation2D.hpp (1.15.2.1), ql/MonteCarlo/europeanmultipathpricer.hpp (1.1.2.2), ql/Pricers/Makefile.am (1.38.2.1), ql/Pricers/all.hpp (1.1.2.1), ql/Pricers/analyticalcapfloor.cpp (1.23.2.2), ql/Pricers/analyticalcapfloor.hpp (1.19.2.1), ql/Pricers/blackcapfloor.cpp (1.18.2.2), ql/Pricers/blackcapfloor.hpp (1.14.2.2), ql/Pricers/blackmodel.hpp (1.1.2.1), ql/Pricers/blackswaption.cpp (1.13.2.2), ql/Pricers/blackswaption.hpp (1.12.2.2), ql/Pricers/capfloorpricer.cpp (1.12.2.2), ql/Pricers/capfloorpricer.hpp (1.16.2.1), ql/Pricers/core.hpp (1.1.2.1), ql/Pricers/jamshidianswaption.cpp (1.22.2.2), ql/Pricers/jamshidianswaption.hpp (1.18.2.1), ql/Pricers/makefile.mak (1.36.2.1), ql/Pricers/swaptionpricer.cpp (1.14.2.2), ql/Pricers/swaptionpricer.hpp (1.23.2.1), ql/Pricers/treecapfloor.cpp (1.30.2.2), ql/Pricers/treecapfloor.hpp (1.23.2.2), ql/Pricers/treeswaption.cpp (1.38.2.2), ql/Pricers/treeswaption.hpp (1.26.2.2), ql/PricingEngines/Makefile.am (1.36.2.1), ql/PricingEngines/all.hpp (1.6.2.1), ql/PricingEngines/blackmodel.hpp (1.1.2.1), ql/PricingEngines/core.hpp (1.4.2.1), ql/PricingEngines/CapFloor/.cvsignore (1.1.2.1), ql/PricingEngines/CapFloor/Makefile.am (1.1.2.1), ql/PricingEngines/CapFloor/all.hpp (1.1.2.1), ql/PricingEngines/CapFloor/analyticalcapfloor.cpp (1.1.2.1), ql/PricingEngines/CapFloor/analyticalcapfloor.hpp (1.1.2.1), ql/PricingEngines/CapFloor/blackcapfloor.cpp (1.1.2.1), ql/PricingEngines/CapFloor/blackcapfloor.hpp (1.1.2.1), ql/PricingEngines/CapFloor/capfloorpricer.cpp (1.1.2.1), ql/PricingEngines/CapFloor/capfloorpricer.hpp (1.1.2.1), ql/PricingEngines/CapFloor/makefile.mak (1.1.2.1), ql/PricingEngines/CapFloor/treecapfloor.cpp (1.1.2.1), ql/PricingEngines/CapFloor/treecapfloor.hpp (1.1.2.1), ql/PricingEngines/Swaption/.cvsignore (1.1.2.1), ql/PricingEngines/Swaption/Makefile.am (1.1.2.1), ql/PricingEngines/Swaption/all.hpp (1.1.2.1), ql/PricingEngines/Swaption/blackswaption.cpp (1.1.2.1), ql/PricingEngines/Swaption/blackswaption.hpp (1.1.2.1), ql/PricingEngines/Swaption/jamshidianswaption.cpp (1.1.2.1), ql/PricingEngines/Swaption/jamshidianswaption.hpp (1.1.2.1), ql/PricingEngines/Swaption/makefile.mak (1.1.2.1), ql/PricingEngines/Swaption/swaptionpricer.cpp (1.1.2.1), ql/PricingEngines/Swaption/swaptionpricer.hpp (1.1.2.1), ql/PricingEngines/Swaption/treeswaption.cpp (1.1.2.1), ql/PricingEngines/Swaption/treeswaption.hpp (1.1.2.1), ql/ShortRateModels/calibrationhelper.hpp (1.16.2.1), ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.27.2.2), ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.26.2.2), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.16.2.2), ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.10.2.2), ql/ShortRateModels/TwoFactorModels/g2.cpp (1.15.2.2), ql/Utilities/combiningiterator.hpp (1.12.2.2), ql/Utilities/filteringiterator.hpp (1.10.2.2), ql/Utilities/iteratorcategories.hpp (1.11.2.2), ql/Utilities/processingiterator.hpp (1.11.2.2), ql/Utilities/steppingiterator.hpp (1.13.2.2), test-suite/capfloor.cpp (1.26.2.1), test-suite/swaption.cpp (1.18.2.1): moving cap/floor/swaption from Pricers to PricingEngines folder 2004-03-18 12:33 Ferdinando Ametrano * Docs/pages/license.docs (1.15.2.2): removing non-sense copyright of license wording 2004-03-18 12:27 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.6): updating in progress 2004-03-18 12:14 Ferdinando Ametrano * Docs/README.txt (1.25.2.1): updated 2004-03-18 11:27 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.5): updating in progress 2004-03-18 10:43 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.4): updating in progress 2004-03-18 10:34 Ferdinando Ametrano * QuantLib.mak (1.201.2.1), QuantLib.dsp (1.222.2.1): added missing file, removed non-existing file 2004-03-17 18:56 Ferdinando Ametrano * ql/calendar.hpp (1.30.2.2): formatting 2004-03-17 18:51 Ferdinando Ametrano * Docs/pages/overview.docs (1.8.4.3): updating in progress 2004-03-17 16:40 Ferdinando Ametrano * test-suite/: old_pricers.cpp (1.30.2.1), basketoption.cpp (1.16.2.2): removing inaccurate comments 2004-03-17 16:40 Ferdinando Ametrano * ql/: config.msvc.hpp (1.42.2.1), userconfig.hpp (1.2.2.2): moving _controlfp in the VC config file 2004-03-17 16:39 Ferdinando Ametrano * ql/PricingEngines/Basket/stulzengine.cpp (1.9.2.3): redundant code removed 2004-03-17 15:18 Luigi Ballabio * makefile.mak (1.50.2.2), ql/config.bcc.hpp (1.24.2.1), ql/qldefines.hpp (1.66.2.3), ql/userconfig.hpp (1.2.2.1), ql/Math/symmetricschurdecomposition.cpp (1.16.2.2), test-suite/europeanoption.cpp (1.49.2.3), test-suite/makefile.mak (1.30.2.2): Global flag for triggering Borland patches 2004-03-17 12:50 Ferdinando Ametrano * test-suite/quantlibtestsuite.cpp (1.63.2.4): removing generic comments 2004-03-17 12:48 Ferdinando Ametrano * ql/Instruments/oneassetoption.hpp (1.6.2.2): documenting Borland bug 2004-03-17 12:48 Ferdinando Ametrano * ql/qldefines.hpp (1.66.2.2): removing a too generic comment 2004-03-17 12:44 Ferdinando Ametrano * BUGS.txt (1.1.2.2), makefile.mak (1.50.2.1), test-suite/makefile.mak (1.30.2.1), test-suite/europeanoption.cpp (1.49.2.2): documenting Borland bug 2004-03-17 12:07 Ferdinando Ametrano * ql/PricingEngines/Basket/: stulzengine.cpp (1.9.2.2), stulzengine.hpp (1.2.2.2): more robust handling of strike==0.0 now the test doesn't fail even if _controlfp(_EM_INEXACT, _MCW_EM) 2004-03-17 10:01 Luigi Ballabio * Examples/EuropeanOption/EuropeanOption.cpp (1.101.2.2), Examples/EuropeanOption/quanto.leftover (1.1.2.1), test-suite/jumpdiffusion.cpp (1.10.2.5): Minor cleanup for release 2004-03-17 09:17 Ferdinando Ametrano * test-suite/factorial.cpp (1.8.2.2): no message 2004-03-16 19:08 Ferdinando Ametrano * test-suite/: europeanoption.cpp (1.49.2.1), quantlibtestsuite.cpp (1.63.2.3): no message 2004-03-16 19:07 Ferdinando Ametrano * test-suite/factorial.cpp (1.8.2.1): improved error messages 2004-03-16 18:32 Luigi Ballabio * Examples/: EuropeanOption/EuropeanOption.cpp (1.101.2.1), Swap/swapvaluation.cpp (1.43.2.1): Cleaned-up output 2004-03-16 16:02 Ferdinando Ametrano * ql/makefile.mak (1.44.2.1): missing file 2004-03-16 15:23 Ferdinando Ametrano * test-suite/quantlibtestsuite.cpp (1.63.2.2): jump-diffusion doesn't fail anymore 2004-03-15 19:08 Ferdinando Ametrano * test-suite/jumpdiffusion.cpp (1.10.2.3): doesn't fail anymore 2004-03-15 18:59 Ferdinando Ametrano * ql/PricingEngines/blackformula.hpp (1.11.2.1): avoiding 0/0 2004-03-15 18:57 Ferdinando Ametrano * test-suite/jumpdiffusion.cpp (1.10.2.2), ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.9.2.2): no message 2004-03-15 15:35 Ferdinando Ametrano * test-suite/jumpdiffusion.cpp (1.10.2.1): Borland dosn't like divisions by zero 2004-03-15 14:17 Ferdinando Ametrano * ql/Instruments/oneassetoption.cpp (1.5.2.2): hunting down Borland bugs 2004-03-15 12:31 Ferdinando Ametrano * ql/: Math/makefile.mak (1.31.2.1), PricingEngines/Vanilla/makefile.mak (1.7.2.1): Borland catching up 2004-03-15 12:30 Ferdinando Ametrano * test-suite/interpolations.cpp (1.10.2.5): Borland required higher tolerance 2004-03-15 11:18 Luigi Ballabio * INSTALL.txt (1.1.62.1), News.txt (1.33.2.2), Docs/.cvsignore (1.3.12.1), Docs/Makefile.am (1.60.2.1), Docs/quantlib.doxy (1.80.2.1), Docs/quantlibheader.html (1.19.2.1), Docs/userman.tex (1.5.24.1), Docs/pages/authors.docs (1.25.2.1), Docs/pages/coreclasses.docs (1.7.4.1), Docs/pages/currencies.docs (1.6.4.1), Docs/pages/datetime.docs (1.6.4.1), Docs/pages/findiff.docs (1.8.4.1), Docs/pages/fixedincome.docs (1.10.4.1), Docs/pages/history.docs (1.13.2.2), Docs/pages/index.docs (1.8.4.1), Docs/pages/install.docs (1.8.4.2), Docs/pages/instruments.docs (1.9.4.1), Docs/pages/lattices.docs (1.5.4.1), Docs/pages/license.docs (1.15.2.1), Docs/pages/math.docs (1.9.4.1), Docs/pages/mcarlo.docs (1.14.4.1), Docs/pages/overview.docs (1.8.4.2), Docs/pages/patterns.docs (1.5.4.1), Docs/pages/platforms.docs (1.10.2.1), Docs/pages/termstructures.docs (1.5.4.1), Docs/pages/usage.docs (1.13.2.1), Docs/pages/utilities.docs (1.7.4.1), Docs/pages/where.docs (1.7.4.1), dev_tools/developers (1.1.2.1), ql/calendar.cpp (1.17.2.1), ql/calendar.hpp (1.30.2.1), ql/dataformatters.cpp (1.29.2.1), ql/dataparsers.cpp (1.11.2.1), ql/date.cpp (1.30.2.1), ql/diffusionprocess.cpp (1.12.2.1), ql/discretizedasset.cpp (1.4.4.1), ql/exercise.cpp (1.7.2.1), ql/exercise.hpp (1.29.2.1), ql/grid.cpp (1.12.2.1), ql/numericalmethod.hpp (1.12.4.1), ql/payoff.hpp (1.9.2.1), ql/qldefines.hpp (1.66.2.1), ql/relinkablehandle.hpp (1.18.2.1), ql/scheduler.cpp (1.20.2.1), ql/swaptionvolstructure.hpp (1.9.2.1), ql/termstructure.hpp (1.37.2.1), ql/voltermstructure.cpp (1.13.2.1), ql/voltermstructure.hpp (1.20.2.1), ql/Calendars/budapest.cpp (1.6.2.1), ql/Calendars/copenhagen.cpp (1.2.2.1), ql/Calendars/frankfurt.cpp (1.15.2.1), ql/Calendars/helsinki.cpp (1.14.2.1), ql/Calendars/johannesburg.cpp (1.11.2.1), ql/Calendars/jointcalendar.cpp (1.7.2.1), ql/Calendars/london.cpp (1.15.2.1), ql/Calendars/london.hpp (1.15.2.1), ql/Calendars/milan.cpp (1.14.2.1), ql/Calendars/nullcalendar.hpp (1.3.2.1), ql/Calendars/oslo.cpp (1.6.2.1), ql/Calendars/stockholm.cpp (1.7.2.1), ql/Calendars/sydney.cpp (1.7.2.1), ql/Calendars/sydney.hpp (1.7.2.1), ql/Calendars/target.cpp (1.15.2.1), ql/Calendars/tokyo.cpp (1.11.2.1), ql/Calendars/toronto.cpp (1.7.2.1), ql/Calendars/warsaw.cpp (1.6.2.1), ql/Calendars/wellington.cpp (1.15.2.1), ql/Calendars/zurich.cpp (1.14.2.1), ql/CashFlows/basispointsensitivity.cpp (1.4.2.1), ql/CashFlows/cashflowvectors.cpp (1.29.2.1), ql/CashFlows/fixedratecoupon.hpp (1.20.2.1), ql/CashFlows/floatingratecoupon.hpp (1.29.2.1), ql/CashFlows/inarrearindexedcoupon.hpp (1.10.2.1), ql/CashFlows/indexedcoupon.hpp (1.10.2.1), ql/CashFlows/parcoupon.cpp (1.7.2.1), ql/CashFlows/shortfloatingcoupon.cpp (1.14.2.1), ql/CashFlows/shortfloatingcoupon.hpp (1.15.2.1), ql/CashFlows/shortindexedcoupon.hpp (1.9.2.1), ql/CashFlows/timebasket.cpp (1.3.2.1), ql/DayCounters/actualactual.cpp (1.22.2.1), ql/DayCounters/simpledaycounter.cpp (1.3.2.1), ql/DayCounters/thirty360.cpp (1.15.2.1), ql/FiniteDifferences/americancondition.hpp (1.18.2.1), ql/FiniteDifferences/boundarycondition.cpp (1.7.2.1), ql/FiniteDifferences/bsmoperator.cpp (1.14.2.1), ql/FiniteDifferences/onefactoroperator.cpp (1.17.2.1), ql/FiniteDifferences/tridiagonaloperator.cpp (1.24.2.1), ql/FiniteDifferences/valueatcenter.cpp (1.15.2.1), ql/Indexes/audlibor.hpp (1.12.2.1), ql/Indexes/cadlibor.hpp (1.12.2.1), ql/Indexes/chflibor.hpp (1.10.2.1), ql/Indexes/jpylibor.hpp (1.11.2.1), ql/Indexes/xibor.cpp (1.16.2.1), ql/Indexes/xibormanager.cpp (1.14.2.1), ql/Indexes/zarlibor.hpp (1.10.2.1), ql/Instruments/asianoption.cpp (1.9.2.1), ql/Instruments/barrieroption.cpp (1.23.2.1), ql/Instruments/barrieroption.hpp (1.20.2.1), ql/Instruments/basketoption.cpp (1.3.2.1), ql/Instruments/basketoption.hpp (1.3.2.1), ql/Instruments/capfloor.cpp (1.47.2.1), ql/Instruments/capfloor.hpp (1.44.2.1), ql/Instruments/cliquetoption.hpp (1.6.2.1), ql/Instruments/forwardvanillaoption.cpp (1.24.2.1), ql/Instruments/forwardvanillaoption.hpp (1.21.2.1), ql/Instruments/multiassetoption.cpp (1.3.2.1), ql/Instruments/multiassetoption.hpp (1.3.2.1), ql/Instruments/oneassetoption.cpp (1.5.2.1), ql/Instruments/oneassetoption.hpp (1.6.2.1), ql/Instruments/oneassetstrikedoption.cpp (1.10.2.1), ql/Instruments/payoffs.hpp (1.7.2.1), ql/Instruments/quantoforwardvanillaoption.cpp (1.19.2.1), ql/Instruments/quantovanillaoption.cpp (1.26.2.1), ql/Instruments/quantovanillaoption.hpp (1.22.2.1), ql/Instruments/simpleswap.cpp (1.38.2.1), ql/Instruments/simpleswap.hpp (1.37.2.1), ql/Instruments/stock.cpp (1.15.2.1), ql/Instruments/swap.cpp (1.29.2.1), ql/Instruments/swaption.cpp (1.39.2.1), ql/Instruments/swaption.hpp (1.34.2.1), ql/Instruments/vanillaoption.cpp (1.42.2.1), ql/Lattices/binomialtree.cpp (1.17.2.1), ql/Lattices/binomialtree.hpp (1.13.2.1), ql/Lattices/bsmlattice.cpp (1.10.2.1), ql/Lattices/lattice.cpp (1.13.2.1), ql/Lattices/lattice2d.cpp (1.10.2.1), ql/Lattices/tree.hpp (1.20.2.1), ql/Lattices/trinomialtree.cpp (1.18.2.1), ql/Math/beta.cpp (1.3.2.1), ql/Math/binomialdistribution.hpp (1.4.2.1), ql/Math/bivariatenormaldistribution.cpp (1.5.2.1), ql/Math/chisquaredistribution.cpp (1.10.2.1), ql/Math/choleskydecomposition.cpp (1.1.2.1), ql/Math/discrepancystatistics.cpp (1.6.2.1), ql/Math/errorfunction.cpp (1.5.2.1), ql/Math/errorfunction.hpp (1.5.2.1), ql/Math/factorial.cpp (1.3.2.1), ql/Math/factorial.hpp (1.2.2.1), ql/Math/gammadistribution.cpp (1.9.2.1), ql/Math/gaussianstatistics.hpp (1.13.2.1), ql/Math/generalstatistics.cpp (1.10.2.1), ql/Math/generalstatistics.hpp (1.11.2.1), ql/Math/incompletegamma.cpp (1.2.2.1), ql/Math/incrementalstatistics.cpp (1.7.2.1), ql/Math/incrementalstatistics.hpp (1.6.2.1), ql/Math/interpolationtraits.hpp (1.9.2.1), ql/Math/linearinterpolation.hpp (1.22.2.1), ql/Math/loglinearinterpolation.hpp (1.22.2.1), ql/Math/matrix.hpp (1.26.2.1), ql/Math/normaldistribution.cpp (1.22.2.1), ql/Math/primenumbers.cpp (1.11.2.1), ql/Math/pseudosqrt.cpp (1.1.2.1), ql/Math/simpsonintegral.hpp (1.4.2.1), ql/Math/svd.cpp (1.6.2.1), ql/Math/svd.hpp (1.7.2.1), ql/Math/symmetricschurdecomposition.cpp (1.16.2.1), ql/MonteCarlo/arithmeticapopathpricer.cpp (1.15.2.1), ql/MonteCarlo/arithmeticasopathpricer.cpp (1.16.2.1), ql/MonteCarlo/barrierpathpricer.cpp (1.10.2.1), ql/MonteCarlo/barrierpathpricer.hpp (1.7.2.1), ql/MonteCarlo/basketpathpricer.cpp (1.27.2.1), ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.8.2.1), ql/MonteCarlo/biasedbarrierpathpricer.hpp (1.5.2.1), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.18.2.1), ql/MonteCarlo/cliquetoptionpathpricer.hpp (1.12.2.1), ql/MonteCarlo/digitalpathpricer.cpp (1.4.2.1), ql/MonteCarlo/europeanmultipathpricer.cpp (1.2.2.1), ql/MonteCarlo/europeanmultipathpricer.hpp (1.1.2.1), ql/MonteCarlo/europeanpathpricer.cpp (1.23.2.1), ql/MonteCarlo/europeanpathpricer.hpp (1.22.2.1), ql/MonteCarlo/everestpathpricer.cpp (1.20.2.1), ql/MonteCarlo/geometricapopathpricer.cpp (1.17.2.1), ql/MonteCarlo/geometricasopathpricer.cpp (1.19.2.1), ql/MonteCarlo/himalayapathpricer.cpp (1.25.2.1), ql/MonteCarlo/maxbasketpathpricer.cpp (1.13.2.1), ql/MonteCarlo/pagodapathpricer.cpp (1.20.2.1), ql/MonteCarlo/performanceoptionpathpricer.cpp (1.11.2.1), ql/Optimization/armijo.cpp (1.17.2.1), ql/Optimization/armijo.hpp (1.17.2.1), ql/Optimization/conjugategradient.cpp (1.18.2.1), ql/Optimization/constraint.hpp (1.17.2.1), ql/Optimization/criteria.hpp (1.15.2.1), ql/Optimization/leastsquare.hpp (1.24.2.1), ql/Optimization/method.hpp (1.11.2.1), ql/Optimization/simplex.cpp (1.10.2.1), ql/Optimization/simplex.hpp (1.14.2.1), ql/Optimization/steepestdescent.cpp (1.16.2.1), ql/Patterns/bridge.hpp (1.8.2.1), ql/Patterns/composite.hpp (1.3.2.1), ql/Patterns/visitor.hpp (1.6.2.1), ql/Pricers/analyticalcapfloor.cpp (1.23.2.1), ql/Pricers/blackcapfloor.cpp (1.18.2.1), ql/Pricers/blackcapfloor.hpp (1.14.2.1), ql/Pricers/blackswaption.cpp (1.13.2.1), ql/Pricers/blackswaption.hpp (1.12.2.1), ql/Pricers/capfloorpricer.cpp (1.12.2.1), ql/Pricers/cliquetoption.cpp (1.16.2.1), ql/Pricers/cliquetoption.hpp (1.15.2.1), ql/Pricers/continuousgeometricapo.hpp (1.11.2.1), ql/Pricers/discretegeometricapo.cpp (1.15.2.1), ql/Pricers/discretegeometricapo.hpp (1.12.2.1), ql/Pricers/discretegeometricaso.cpp (1.15.2.1), ql/Pricers/discretegeometricaso.hpp (1.12.2.1), ql/Pricers/europeanoption.cpp (1.17.2.1), ql/Pricers/fdamericanoption.hpp (1.12.2.1), ql/Pricers/fdbermudanoption.cpp (1.11.2.1), ql/Pricers/fdbsmoption.cpp (1.17.2.1), ql/Pricers/fddividendamericanoption.cpp (1.8.2.1), ql/Pricers/fddividendamericanoption.hpp (1.9.2.1), ql/Pricers/fddividendeuropeanoption.cpp (1.9.2.1), ql/Pricers/fddividendoption.cpp (1.17.2.1), ql/Pricers/fddividendshoutoption.cpp (1.12.2.1), ql/Pricers/fdeuropean.cpp (1.15.2.1), ql/Pricers/fdmultiperiodoption.cpp (1.17.2.1), ql/Pricers/fdstepconditionoption.cpp (1.14.2.1), ql/Pricers/jamshidianswaption.cpp (1.22.2.1), ql/Pricers/mcbasket.cpp (1.22.2.1), ql/Pricers/mccliquetoption.cpp (1.17.2.1), ql/Pricers/mcdiscretearithmeticapo.cpp (1.20.2.1), ql/Pricers/mcdiscretearithmeticaso.cpp (1.21.2.1), ql/Pricers/mceverest.cpp (1.25.2.1), ql/Pricers/mchimalaya.cpp (1.25.2.1), ql/Pricers/mcmaxbasket.cpp (1.22.2.1), ql/Pricers/mcpagoda.cpp (1.24.2.1), ql/Pricers/mcperformanceoption.cpp (1.16.2.1), ql/Pricers/performanceoption.cpp (1.7.2.1), ql/Pricers/singleassetoption.cpp (1.25.2.1), ql/Pricers/swaptionpricer.cpp (1.14.2.1), ql/Pricers/treecapfloor.cpp (1.30.2.1), ql/Pricers/treecapfloor.hpp (1.23.2.1), ql/Pricers/treeswaption.cpp (1.38.2.1), ql/Pricers/treeswaption.hpp (1.26.2.1), ql/PricingEngines/americanpayoffatexpiry.hpp (1.2.2.1), ql/PricingEngines/americanpayoffathit.hpp (1.4.2.1), ql/PricingEngines/genericmodelengine.hpp (1.1.2.1), ql/PricingEngines/mcsimulation.hpp (1.1.2.1), ql/PricingEngines/Asian/analyticasianengine.cpp (1.6.2.1), ql/PricingEngines/Asian/analyticasianengine.hpp (1.1.2.1), ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.5.2.1), ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.1.2.1), ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.3.2.1), ql/PricingEngines/Basket/mcamericanbasketengine.cpp (1.10.2.1), ql/PricingEngines/Basket/stulzengine.cpp (1.9.2.1), ql/PricingEngines/Basket/stulzengine.hpp (1.2.2.1), ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.1.2.1), ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.9.2.1), ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.6.2.1), ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.6.2.2), ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.2.2.2), ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.3.2.1), ql/PricingEngines/Vanilla/integralengine.cpp (1.1.2.1), ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.7.2.1), ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.4.2.1), ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.6.2.1), ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.7.2.1), ql/RandomNumbers/haltonrsg.cpp (1.12.2.1), ql/RandomNumbers/knuthuniformrng.cpp (1.10.2.1), ql/RandomNumbers/lecuyeruniformrng.cpp (1.10.2.1), ql/RandomNumbers/mt19937uniformrng.cpp (1.8.2.1), ql/RandomNumbers/sobolrsg.cpp (1.23.2.1), ql/ShortRateModels/calibrationhelper.cpp (1.8.2.1), ql/ShortRateModels/model.cpp (1.18.2.1), ql/ShortRateModels/onefactormodel.cpp (1.14.2.1), ql/ShortRateModels/parameter.hpp (1.13.2.1), ql/ShortRateModels/twofactormodel.cpp (1.10.2.1), ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.27.2.1), ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.26.2.1), ql/ShortRateModels/OneFactorModels/blackkarasinski.cpp (1.14.2.1), ql/ShortRateModels/OneFactorModels/coxingersollross.cpp (1.19.2.1), ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.15.2.1), ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.cpp (1.18.2.1), ql/ShortRateModels/OneFactorModels/hullwhite.cpp (1.16.2.1), ql/ShortRateModels/OneFactorModels/hullwhite.hpp (1.15.2.1), ql/ShortRateModels/OneFactorModels/vasicek.cpp (1.10.2.1), ql/ShortRateModels/OneFactorModels/vasicek.hpp (1.9.2.1), ql/ShortRateModels/TwoFactorModels/g2.cpp (1.15.2.1), ql/Solvers1D/bisection.hpp (1.13.2.1), ql/Solvers1D/secant.hpp (1.13.2.1), ql/TermStructures/affinetermstructure.cpp (1.17.2.1), ql/TermStructures/compoundforward.cpp (1.30.2.1), ql/TermStructures/discountcurve.cpp (1.23.2.1), ql/TermStructures/extendeddiscountcurve.cpp (1.5.2.1), ql/TermStructures/piecewiseflatforward.cpp (1.38.2.1), ql/TermStructures/ratehelpers.cpp (1.40.2.1), ql/TermStructures/ratehelpers.hpp (1.35.2.1), ql/TermStructures/zerocurve.cpp (1.8.2.1), ql/Volatilities/blackvariancecurve.cpp (1.8.2.1), ql/Volatilities/blackvariancesurface.cpp (1.8.2.1), ql/Volatilities/localvolsurface.cpp (1.7.2.1), ql/Volatilities/swaptionvolmatrix.hpp (1.19.2.1), test-suite/basketoption.cpp (1.16.2.1): Documentation clean-up 2004-03-15 11:16 Luigi Ballabio * test-suite/quantlibtestsuite.cpp (1.63.2.1): Tests reordered for release 2004-03-15 11:16 Luigi Ballabio * test-suite/interpolations.cpp (1.10.2.4): Re-enabled not-a-knot test 2004-03-15 11:15 Luigi Ballabio * ql/Utilities/: combiningiterator.hpp (1.12.2.1), filteringiterator.hpp (1.10.2.1), iteratorcategories.hpp (1.11.2.1), processingiterator.hpp (1.11.2.1), steppingiterator.hpp (1.13.2.1): Missing #include 2004-03-15 11:14 Luigi Ballabio * ql/Math/cubicspline.hpp (1.43.2.4): Added multiple inheritace magic to retrieve coefficients 2004-03-15 11:12 Luigi Ballabio * ql/Calendars/: newyork.cpp (1.15.2.1), newyork.hpp (1.16.2.1): Checked New York holidays--used stock exchange schedule 2004-03-15 11:05 Luigi Ballabio * ql/: core.hpp (1.2.2.1), quantlib.hpp (1.144.2.1): Moved all base headers into core.hpp 2004-03-14 03:07 Ferdinando Ametrano * ql/Math/cubicspline.hpp (1.43.2.3), test-suite/interpolations.cpp (1.10.2.3), test-suite/interpolations.hpp (1.1.2.2): fixing first (1983) version of Hyman filter with the non-restrictive one (1989). Test added 2004-03-14 01:24 Ferdinando Ametrano * test-suite/interpolations.cpp (1.10.2.2): typo fixed 2004-03-14 00:36 Ferdinando Ametrano * ql/Math/cubicspline.hpp (1.43.2.2): typo fixed 2004-03-14 00:25 Ferdinando Ametrano * test-suite/: interpolations.cpp (1.10.2.1), interpolations.hpp (1.1.2.1): one more test to check derivative end condition values 2004-03-13 23:45 Ferdinando Ametrano * ql/Math/cubicspline.hpp (1.43.2.1): bug fix 2004-03-13 23:07 Ferdinando Ametrano * BUGS.txt (1.1.2.1), Examples/AmericanOption/AmericanOption.cpp (1.21.2.1), ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.6.2.1), ql/PricingEngines/Vanilla/bjerksundstenslandengine.hpp (1.2.2.1), test-suite/americanoption.cpp (1.12.2.1): Bjerksund-Stensland bug fixed 2004-03-12 17:33 Ferdinando Ametrano * Docs/pages/: install.docs (1.8.4.1), overview.docs (1.8.4.1): updated 2004-03-12 17:22 Ferdinando Ametrano * History.txt (1.20.4.1), News.txt (1.33.2.1), Docs/pages/history.docs (1.13.2.1): 2004-03-31 fixed as target date for release. First draft of NEWS.txt: please read/correct/integrate 2004-03-11 11:42 Luigi Ballabio * QuantLib.nsi (1.93), configure.ac (1.32), Docs/quantlib.doxy (1.80), Examples/AmericanOption/AmericanOption.cpp (1.21), 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.cpp (1.24), 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/americanmcengines.cpp (1.8), ql/PricingEngines/Vanilla/americanmcengines.hpp (1.3), ql/PricingEngines/Vanilla/analyticamericanengine.cpp (1.9), ql/PricingEngines/Vanilla/analyticamericanengine.hpp (1.2), ql/PricingEngines/Vanilla/analyticdigitalamericanengine.cpp (1.1), ql/PricingEngines/Vanilla/analyticdigitalamericanengine.hpp (1.1), ql/RandomNumbers/randomarraygenerator.hpp (1.23), 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/interpolationtraits.hpp (1.9), 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/interpolationtraits.hpp (1.8), ql/Math/linearinterpolation.hpp (1.20), ql/Math/loglinearinterpolation.hpp (1.21), ql/Pricers/fddividendoption.cpp (1.17), ql/TermStructures/compoundforward.cpp (1.30), ql/TermStructures/compoundforward.hpp (1.23), ql/TermStructures/discountcurve.cpp (1.23), ql/TermStructures/discountcurve.hpp (1.23), ql/TermStructures/extendeddiscountcurve.cpp (1.5), ql/TermStructures/zerocurve.cpp (1.8), 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), ql/Math/interpolationtraits.hpp (1.7), ql/Pricers/fddividendoption.cpp (1.16), test-suite/interpolations.cpp (1.7): Spline boundary condition enumeration introduced 2004-03-03 16:33 Ferdinando Ametrano * QuantLib.nsi (1.92): updated 2004-03-03 10:18 Ferdinando Ametrano * TODO.txt (1.133): updated 2004-03-02 15:23 Luigi Ballabio * BUGS.txt (1.1), ChangeLog.txt (1.41), UFILE (1.4), dev_tools/developers (1.1), dev_tools/update_changelog.sh (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 15:21 Luigi Ballabio * ql/Pricers/fddividendamericanoption.hpp (1.9): Flagged as buggy 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.cpp (1.23), 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/: dataformatters.hpp (1.26), discretizedasset.hpp (1.6), handle.hpp (1.18), instrument.hpp (1.30), marketelement.hpp (1.19), 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), Math/interpolationtraits.hpp (1.6), Pricers/fddividendoption.cpp (1.15): 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), testsuite.mak (1.44): 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 18:07 Ferdinando Ametrano * TODO.txt (1.132): updated (to be re-ordered) 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 14:49 Ferdinando Ametrano * ql/dataformatters.hpp (1.25): ArrayFormatter::toString fix for multi-row 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), ql/PricingEngines/Vanilla/americanmcengines.cpp (1.7), test-suite/matrices.cpp (1.11): Some work on SVD 2004-02-23 10:59 andrelouw * ql/Calendars/johannesburg.cpp (1.11): Fixed compile error 2004-02-23 10:57 andrelouw * ql/Calendars/johannesburg.cpp (1.10): Added 14 April 2004 (election day) as a once-off holiday. 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), QuantLib.mak (1.200), 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/simpleswap.cpp (1.38), ql/Instruments/simpleswap.hpp (1.37), 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), QuantLib.mak (1.199), ql/Instruments/Makefile.am (1.23), ql/Instruments/all.hpp (1.4), ql/Instruments/binarybarrieroption.cpp (1.9), ql/Instruments/binarybarrieroption.hpp (1.8), ql/Instruments/makefile.mak (1.28), ql/MonteCarlo/Makefile.am (1.30), ql/MonteCarlo/all.hpp (1.3), ql/MonteCarlo/binarybarrierpathpricer.cpp (1.6), ql/MonteCarlo/binarybarrierpathpricer.hpp (1.4), ql/MonteCarlo/makefile.mak (1.28), ql/PricingEngines/Barrier/Makefile.am (1.5), ql/PricingEngines/Barrier/all.hpp (1.2), ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp (1.8), ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.hpp (1.3), ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp (1.8), ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.hpp (1.3), ql/PricingEngines/Barrier/makefile.mak (1.3), ql/PricingEngines/Barrier/mcbinarybarrierengine.hpp (1.4): 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), binarybarrieroption.cpp (1.12), binarybarrieroption.hpp (1.3), makefile.mak (1.29), quantlibtestsuite.cpp (1.58), testsuite.dsp (1.28), testsuite.mak (1.43): 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), binarybarrieroption.cpp (1.11): factoring out common code 2004-02-04 12:47 Ferdinando Ametrano * QuantLib.dsp (1.218), QuantLib.mak (1.198), 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/dataformatters.cpp (1.29), ql/dataparsers.cpp (1.11), ql/date.cpp (1.30), ql/date.hpp (1.26), ql/errors.hpp (1.16), ql/grid.cpp (1.12), 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/matrix.cpp (1.22), ql/Math/simpsonintegral.hpp (1.4), ql/Math/trapezoidintegral.hpp (1.4), ql/MonteCarlo/barrierpathpricer.cpp (1.10), ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.8), ql/MonteCarlo/binarybarrierpathpricer.cpp (1.5), ql/MonteCarlo/digitalpathpricer.cpp (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/discretegeometricapo.cpp (1.15), ql/Pricers/discretegeometricaso.cpp (1.15), ql/Pricers/europeanoption.hpp (1.20), ql/Pricers/fddividendeuropeanoption.hpp (1.12), ql/Pricers/fddividendoption.hpp (1.9), ql/Pricers/fddividendshoutoption.hpp (1.11), 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/Barrier/analyticeuropeanbinarybarrierengine.cpp (1.7), 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), QuantLib.mak (1.197), ql/MonteCarlo/europeanmultipathpricer.cpp (1.2), test-suite/testsuite.dsp (1.27), test-suite/testsuite.mak (1.42): 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), binarybarrieroption.cpp (1.10), 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/MonteCarlo/: europeanmultipathpricer.cpp (1.1), europeanmultipathpricer.hpp (1.1): MC path pricer for European Basket Options 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/Instruments/binarybarrieroption.cpp (1.8), ql/Lattices/lattice2d.cpp (1.10), ql/Math/factorial.cpp (1.3), ql/MonteCarlo/barrierpathpricer.cpp (1.9), ql/MonteCarlo/barrierpathpricer.hpp (1.7), ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.7), 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), QuantLib.mak (1.196), 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), test-suite/testsuite.mak (1.41): 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.cpp (1.21), matrix.hpp (1.23): const enforcement of results, in order to avoid: a+b = c; 2004-01-26 16:38 Ferdinando Ametrano * TODO.txt (1.131): updated 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... 2004-01-21 17:00 Ferdinando Ametrano * ql/Instruments/binarybarrieroption.cpp (1.7), ql/Instruments/binarybarrieroption.hpp (1.7), ql/MonteCarlo/binarybarrierpathpricer.hpp (1.3), ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.hpp (1.2), ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.hpp (1.2), ql/PricingEngines/Barrier/mcbinarybarrierengine.hpp (1.3), test-suite/binarybarrieroption.cpp (1.9), test-suite/binarybarrieroption.hpp (1.2): deprecations 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 12:23 Luigi Ballabio * test-suite/binarybarrieroption.cpp (1.8): Formatting 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), mcbinarybarrierengine.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 17:50 Ferdinando Ametrano * ql/MonteCarlo/digitalpathpricer.cpp (1.3): bug fix and efficiency improvements 2004-01-14 17:28 Ferdinando Ametrano * ql/MonteCarlo/binarybarrierpathpricer.cpp (1.4): bug fix (this file will be replaced asap by digitalpathpricer.cpp, anyway...) 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/: americanmcengines.cpp (1.6), 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 11:35 Ferdinando Ametrano * TODO.txt (1.130): updated 2004-01-09 10:53 Ferdinando Ametrano * Examples/: AmericanOption/.cvsignore (1.4), BermudanSwaption/.cvsignore (1.9), DiscreteHedging/.cvsignore (1.9), EuropeanOption/.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), QuantLib.mak (1.193), ql/PricingEngines/Vanilla/all.hpp (1.2): removing non-existing file 2004-01-08 19:23 Ferdinando Ametrano * TODO.txt (1.129): updated 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 19:20 Ferdinando Ametrano * Examples/EuropeanOption/EuropeanOption.cpp (1.101): small changes 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/binarybarrieroption.cpp (1.6), ql/Instruments/binarybarrieroption.hpp (1.6), 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/Asian/analyticasianengine.cpp (1.6), ql/PricingEngines/Asian/analyticasianengine.hpp (1.1), ql/PricingEngines/Asian/asianengines.hpp (1.2), ql/PricingEngines/Barrier/Makefile.am (1.4), ql/PricingEngines/Barrier/all.hpp (1.1), ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp (1.7), ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.hpp (1.1), ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.4), ql/PricingEngines/Barrier/analyticbarrierengine.hpp (1.1), ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp (1.6), ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.hpp (1.1), ql/PricingEngines/Barrier/barrierengines.hpp (1.6), ql/PricingEngines/Barrier/binarybarrierengines.hpp (1.9), ql/PricingEngines/Barrier/mcbarrierengine.hpp (1.1), ql/PricingEngines/Barrier/mcbinarybarrierengine.hpp (1.1), ql/PricingEngines/Cliquet/Makefile.am (1.4), ql/PricingEngines/Cliquet/all.hpp (1.1), ql/PricingEngines/Cliquet/cliquetengines.hpp (1.2), 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/forwardengines.hpp (1.5), 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/Quanto/quantoengines.hpp (1.5), ql/PricingEngines/Vanilla/Makefile.am (1.9), ql/PricingEngines/Vanilla/all.hpp (1.1), ql/PricingEngines/Vanilla/americanmcengines.hpp (1.2), ql/PricingEngines/Vanilla/analyticamericanengine.cpp (1.8), ql/PricingEngines/Vanilla/analyticamericanengine.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/integralengines.cpp (1.4), ql/PricingEngines/Vanilla/jumpdiffusionengine.cpp (1.7), ql/PricingEngines/Vanilla/jumpdiffusionengine.hpp (1.5), ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.6), ql/PricingEngines/Vanilla/vanillaengines.hpp (1.6), test-suite/americanoption.cpp (1.9), test-suite/asianoptions.cpp (1.11), test-suite/barrieroption.cpp (1.19), test-suite/binarybarrieroption.cpp (1.7), test-suite/digitaloption.cpp (1.9), test-suite/europeanoption.cpp (1.44), test-suite/jumpdiffusion.cpp (1.7): Reordered headers 2004-01-08 18:41 Ferdinando Ametrano * Examples/EuropeanOption/EuropeanOption.cpp (1.100): removed unused variable 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), testsuite.mak (1.39): 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), TODO.txt (1.128): jump diffusion succesfully tested 2004-01-07 18:46 Ferdinando Ametrano * ql/dataformatters.cpp (1.28): 11, 12, and 13 were uncorrectly handled 2004-01-05 16:46 Ferdinando Ametrano * TODO.txt (1.127), ql/MonteCarlo/pathgenerator.hpp (1.43), ql/PricingEngines/Barrier/barrierengines.hpp (1.5), ql/PricingEngines/Barrier/binarybarrierengines.hpp (1.8), ql/PricingEngines/Vanilla/americanmcengines.cpp (1.5), ql/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 * ql/PricingEngines/Barrier/barrierengines.hpp (1.4), ql/PricingEngines/Barrier/binarybarrierengines.hpp (1.7), 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.mak (1.192), 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/testsuite.mak (1.38), 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 10:41 Luigi Ballabio * ql/: MonteCarlo/barrierpathpricer.cpp (1.8), MonteCarlo/binarybarrierpathpricer.cpp (1.3), MonteCarlo/digitalpathpricer.cpp (1.2), PricingEngines/Vanilla/americanmcengines.cpp (1.4): Replaced at() with operator[]() 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 10:07 Ferdinando Ametrano * ql/PricingEngines/Vanilla/analyticamericanengine.cpp (1.7): American payoff paid at Expiry added 2004-01-05 10:06 Ferdinando Ametrano * ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.5): allowing for very short time to maturity 2004-01-05 10:04 Luigi Ballabio * ql/MonteCarlo/digitapathpricer.cpp (1.2): How did this get here? 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 2004-01-05 08:36 Ferdinando Ametrano * Examples/AmericanOption/AmericanOption.cpp (1.20): few more digits 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 23:50 Ferdinando Ametrano * ql/PricingEngines/Vanilla/analyticamericanengine.cpp (1.6): added American exercise with Payoff at hit analytical formulae 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), QuantLib.mak (1.191), TODO.txt (1.126), Examples/AmericanOption/AmericanOption.cpp (1.19), Examples/EuropeanOption/EuropeanOption.cpp (1.99), 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/binarybarrieroption.cpp (1.5), ql/Instruments/binarybarrieroption.hpp (1.5), 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/Asian/analyticasianengine.cpp (1.5), ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp (1.6), ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.3), ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp (1.5), ql/PricingEngines/Barrier/barrierengines.hpp (1.3), ql/PricingEngines/Barrier/binarybarrierengines.hpp (1.6), ql/PricingEngines/Forward/forwardengines.hpp (1.4), ql/PricingEngines/Quanto/quantoengines.hpp (1.4), ql/PricingEngines/Vanilla/americanmcengines.cpp (1.3), ql/PricingEngines/Vanilla/analyticamericanengine.cpp (1.5), ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.7), ql/PricingEngines/Vanilla/baroneadesiwhaleyengine.cpp (1.3), ql/PricingEngines/Vanilla/bjerksundstenslandengine.cpp (1.2), ql/PricingEngines/Vanilla/integralengines.cpp (1.3), ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.3), ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.4), ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.4), ql/PricingEngines/Vanilla/vanillaengines.hpp (1.5), test-suite/americanoption.cpp (1.5), test-suite/asianoptions.cpp (1.7), test-suite/barrieroption.cpp (1.18), test-suite/binarybarrieroption.cpp (1.6), 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/Barrier/analyticamericanbinarybarrierengine.cpp (1.5), ql/PricingEngines/Barrier/binarybarrierengines.hpp (1.5), ql/PricingEngines/Vanilla/Makefile.am (1.7), ql/PricingEngines/Vanilla/mcdigitalengine.hpp (1.2), test-suite/americanoption.cpp (1.4), test-suite/binarybarrieroption.cpp (1.5), 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 22:34 Ferdinando Ametrano * test-suite/binarybarrieroption.cpp (1.4): explicit engine declaration added instead of using default parameter 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), testsuite.mak (1.37): 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), QuantLib.mak (1.190): updated 2003-12-28 22:23 Ferdinando Ametrano * ql/PricingEngines/: Asian/analyticasianengine.cpp (1.4), Barrier/analyticamericanbinarybarrierengine.cpp (1.4), Barrier/analyticeuropeanbinarybarrierengine.cpp (1.4): minor changes, mainly catching up with BlackFormula new signature 2003-12-28 22:21 Ferdinando Ametrano * ql/MonteCarlo/: Makefile.am (1.28), digitalpathpricer.cpp (1.1), digitalpathpricer.hpp (1.1), digitapathpricer.cpp (1.1), makefile.mak (1.26): added digitalpathpricer. It will replace binarybarrierpathpricer as soon as possible 2003-12-28 22:10 Ferdinando Ametrano * ql/Instruments/: binarybarrieroption.cpp (1.4), binarybarrieroption.hpp (1.4): BinaryBarrierOption will be removed as soon as possible. Replaced by VanillaOption with digital payoffs 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/: analyticamericanengine.cpp (1.4), 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), Vanilla/vanillaengines.hpp (1.4), 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), QuantLib.mak (1.189), Examples/AmericanOption/AmericanOption.cpp (1.18), Examples/BermudanSwaption/BermudanSwaption.cpp (1.48), Examples/EuropeanOption/EuropeanOption.cpp (1.98), 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/binarybarrieroption.cpp (1.3), ql/Instruments/binarybarrieroption.hpp (1.3), 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/MonteCarlo/binarybarrierpathpricer.cpp (1.2), ql/MonteCarlo/binarybarrierpathpricer.hpp (1.2), ql/Pricers/blackswaption.cpp (1.13), ql/Pricers/jamshidianswaption.cpp (1.22), ql/Pricers/swaptionpricer.hpp (1.23), ql/Pricers/treeswaption.cpp (1.38), ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp (1.3), ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp (1.3), ql/PricingEngines/Barrier/binarybarrierengines.hpp (1.4), ql/ShortRateModels/CalibrationHelpers/swaptionhelper.cpp (1.24), test-suite/asianoptions.cpp (1.6), test-suite/barrieroption.cpp (1.17), test-suite/binarybarrieroption.cpp (1.3), test-suite/europeanoption.cpp (1.36), test-suite/quantlibtestsuite.cpp (1.50), test-suite/swaption.cpp (1.16), test-suite/testsuite.dsp (1.22), test-suite/testsuite.mak (1.36): 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), analyticamericanengine.cpp (1.3), baroneadesiwhaleyengine.cpp (1.1), makefile.mak (1.4), vanillaengines.hpp (1.3): 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), analyticamericanengine.cpp (1.2), makefile.mak (1.3): adding one-touch option, that is american binary options 2003-12-22 20:32 Ferdinando Ametrano * Examples/AmericanOption/AmericanOption.cpp (1.17), Examples/EuropeanOption/EuropeanOption.cpp (1.97), QuantLib.dsp (1.207), QuantLib.mak (1.188), TODO.txt (1.125), test-suite/testsuite.mak (1.35): 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/binarybarrieroption.cpp (1.2), ql/Instruments/binarybarrieroption.hpp (1.2), 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/Asian/analyticasianengine.cpp (1.3), ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp (1.2), ql/PricingEngines/Barrier/analyticbarrierengine.cpp (1.2), ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp (1.2), ql/PricingEngines/Barrier/barrierengines.hpp (1.2), ql/PricingEngines/Barrier/binarybarrierengines.hpp (1.3), ql/PricingEngines/Forward/forwardengines.hpp (1.3), ql/PricingEngines/Quanto/quantoengines.hpp (1.3), ql/PricingEngines/Vanilla/americanmcengines.cpp (1.2), ql/PricingEngines/Vanilla/analyticamericanengine.cpp (1.1), ql/PricingEngines/Vanilla/analyticeuropeanengine.cpp (1.4), ql/PricingEngines/Vanilla/discretizedvanillaoption.cpp (1.2), ql/PricingEngines/Vanilla/discretizedvanillaoption.hpp (1.2), ql/PricingEngines/Vanilla/integralengines.cpp (1.2), ql/PricingEngines/Vanilla/mceuropeanengine.hpp (1.2), ql/PricingEngines/Vanilla/mcvanillaengine.hpp (1.3), ql/PricingEngines/Vanilla/vanillaengines.hpp (1.2), test-suite/asianoptions.cpp (1.4), test-suite/barrieroption.cpp (1.16), test-suite/binarybarrieroption.cpp (1.2), 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/: Barrier/binarybarrierengines.hpp (1.2), 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/binarybarrieroption.cpp (1.1), ql/Instruments/binarybarrieroption.hpp (1.1), ql/Instruments/binaryoption.cpp (1.14), ql/Instruments/binaryoption.hpp (1.9), 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/binarybarrierpathpricer.cpp (1.1), ql/MonteCarlo/binarybarrierpathpricer.hpp (1.1), ql/MonteCarlo/binarypathpricer.cpp (1.8), ql/MonteCarlo/binarypathpricer.hpp (1.5), ql/MonteCarlo/makefile.mak (1.25), ql/PricingEngines/all.hpp (1.3), ql/PricingEngines/Barrier/Makefile.am (1.3), ql/PricingEngines/Barrier/analyticamericanbinarybarrierengine.cpp (1.1), ql/PricingEngines/Barrier/analyticeuropeanbinarybarrierengine.cpp (1.1), ql/PricingEngines/Barrier/binarybarrierengines.hpp (1.1), ql/PricingEngines/Barrier/makefile.mak (1.2), ql/PricingEngines/Vanilla/Makefile.am (1.3), ql/PricingEngines/Vanilla/analyticamericanbinaryengine.cpp (1.2), ql/PricingEngines/Vanilla/analyticeuropeanbinaryengine.cpp (1.2), ql/PricingEngines/Vanilla/binaryengines.hpp (1.2), ql/PricingEngines/Vanilla/makefile.mak (1.2), test-suite/Makefile.am (1.22), test-suite/binarybarrieroption.cpp (1.1), test-suite/binarybarrieroption.hpp (1.1), test-suite/binaryoption.cpp (1.19), test-suite/binaryoption.hpp (1.3), test-suite/makefile.mak (1.21), test-suite/quantlibtestsuite.cpp (1.46), test-suite/testsuite.dsp (1.21), test-suite/testsuite.mak (1.34), QuantLib.dsp (1.206), QuantLib.mak (1.187): (barrier) BinaryOption renamed as BinaryBarrierOption 2003-12-22 10:21 Ferdinando Ametrano * Examples/EuropeanOption/EuropeanOption.cpp (1.96): using OptionTypeFormatter 2003-12-22 10:13 Ferdinando Ametrano * test-suite/: binaryoption.cpp (1.18), europeanoption.cpp (1.30), old_pricers.cpp (1.28): using OptionTypeFormatter 2003-12-22 10:12 Ferdinando Ametrano * ql/: dataformatters.cpp (1.27), dataformatters.hpp (1.24): added OptionTypeFormatter 2003-12-21 12:43 Ferdinando Ametrano * TODO.txt (1.124), Examples/AmericanOption/AmericanOption.cpp (1.16), Examples/EuropeanOption/EuropeanOption.cpp (1.95): Payoff as input, instead of (type, strike) couple 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/: Forward/forwardengines.hpp (1.2), Quanto/quantoengines.hpp (1.2), 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), QuantLib.mak (1.186): 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.mak (1.185), 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), testsuite.mak (1.33): 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), PricingEngines/Asian/analyticasianengine.cpp (1.2): 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/analyticasianengine.cpp (1.1), PricingEngines/Asian/asianengines.hpp (1.1), 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), QuantLib.mak (1.183), TODO.txt (1.123), Examples/AmericanOption/AmericanOption.cpp (1.14), 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/binaryoption.cpp (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), Examples/AmericanOption/AmericanOption.cpp (1.15): OneAssetOption and OneAssetStrikedOption instrumets introduced 2003-12-18 12:10 Luigi Ballabio * QuantLib.dsp (1.201), ql/Makefile.am (1.44), ql/blackmodel.hpp (1.15), ql/quantlib.hpp (1.141), ql/Pricers/Makefile.am (1.37), ql/Pricers/blackcapfloor.hpp (1.14), ql/Pricers/blackmodel.hpp (1.1), ql/Pricers/blackswaption.hpp (1.12), 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), array.hpp (1.22), quantlib.hpp (1.140), FiniteDifferences/tridiagonaloperator.hpp (1.30), FiniteDifferences/valueatcenter.cpp (1.15), FiniteDifferences/valueatcenter.hpp (1.11), 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/inversecumgaussianrsg.hpp (1.11), 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), QuantLib.mak (1.182), test-suite/barrieroption.cpp (1.14), test-suite/binaryoption.cpp (1.17), test-suite/europeanoption.cpp (1.28), test-suite/testsuite.mak (1.32), ql/makefile.mak (1.41), ql/quantlib.hpp (1.139), ql/Instruments/barrieroption.cpp (1.14), ql/Instruments/binaryoption.cpp (1.12): (conceptual) file re-ordering 2003-12-17 17:52 Ferdinando Ametrano * ql/PricingEngines/: Makefile.am (1.29), americanmcengines.cpp (1.10), americanmcengines.hpp (1.7), analyticamericanbinaryengine.cpp (1.13), analyticbarrierengine.cpp (1.8), analyticeuropeanbinaryengine.cpp (1.7), analyticeuropeanengine.cpp (1.17), barrierengines.hpp (1.16), binaryengines.hpp (1.15), cliquetengines.hpp (1.17), discretizedvanillaoption.cpp (1.25), discretizedvanillaoption.hpp (1.20), forwardengines.hpp (1.27), integralengines.cpp (1.12), mcengine.hpp (1.41), mceuropeanengine.hpp (1.7), mcsimulation.hpp (1.1), quantoengines.hpp (1.26), vanillaengines.hpp (1.41), 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/barrierengines.hpp (1.1), Barrier/makefile.mak (1.1), Cliquet/.cvsignore (1.1), Cliquet/Makefile.am (1.1), Cliquet/cliquetengines.hpp (1.1), Cliquet/makefile.mak (1.1), Forward/.cvsignore (1.1), Forward/Makefile.am (1.1), Forward/forwardengines.hpp (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), Quanto/quantoengines.hpp (1.1), Vanilla/.cvsignore (1.1), Vanilla/Makefile.am (1.1), Vanilla/americanmcengines.cpp (1.1), Vanilla/americanmcengines.hpp (1.1), Vanilla/analyticamericanbinaryengine.cpp (1.1), Vanilla/analyticeuropeanbinaryengine.cpp (1.1), Vanilla/analyticeuropeanengine.cpp (1.1), Vanilla/binaryengines.hpp (1.1), Vanilla/discretizedvanillaoption.cpp (1.1), Vanilla/discretizedvanillaoption.hpp (1.1), Vanilla/integralengines.cpp (1.1), Vanilla/makefile.mak (1.1), Vanilla/mceuropeanengine.hpp (1.1), Vanilla/mcvanillaengine.hpp (1.1), Vanilla/vanillaengines.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), Instruments/vanillaoption.cpp (1.35), Instruments/vanillaoption.hpp (1.33), PricingEngines/analyticamericanbinaryengine.cpp (1.12): 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), MonteCarlo/arithmeticapopathpricer.hpp (1.15), MonteCarlo/barrierpathpricer.hpp (1.6), MonteCarlo/basketpathpricer.hpp (1.23), MonteCarlo/biasedbarrierpathpricer.hpp (1.5), MonteCarlo/europeanpathpricer.hpp (1.22), MonteCarlo/geometricapopathpricer.hpp (1.15), MonteCarlo/performanceoptionpathpricer.hpp (1.14), Pricers/singleassetoption.hpp (1.31), PricingEngines/vanillaengines.hpp (1.40): 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/CashFlows/basispointsensitivity.hpp (1.13), ql/Instruments/swap.hpp (1.24), ql/PricingEngines/americanmcengines.hpp (1.6), 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), binaryoption.cpp (1.11): Compiles with Boost 2003-12-15 16:42 Ferdinando Ametrano * ql/: Lattices/binomialtree.cpp (1.17), MonteCarlo/arithmeticapopathpricer.cpp (1.15), MonteCarlo/barrierpathpricer.cpp (1.7), MonteCarlo/basketpathpricer.cpp (1.27), MonteCarlo/biasedbarrierpathpricer.cpp (1.6), MonteCarlo/europeanpathpricer.cpp (1.23), MonteCarlo/geometricapopathpricer.cpp (1.17), MonteCarlo/himalayapathpricer.cpp (1.25), Pricers/singleassetoption.cpp (1.25), PricingEngines/analyticbarrierengine.cpp (1.7), PricingEngines/analyticeuropeanengine.cpp (1.16), 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 * Examples/AmericanOption/AmericanOption.cpp (1.13), Examples/EuropeanOption/EuropeanOption.cpp (1.94), ql/diffusionprocess.hpp (1.26), ql/Instruments/vanillaoption.cpp (1.33), ql/Instruments/vanillaoption.hpp (1.31), ql/Lattices/binomialtree.cpp (1.16), ql/Lattices/binomialtree.hpp (1.13), ql/PricingEngines/analyticeuropeanengine.cpp (1.15), ql/PricingEngines/vanillaengines.hpp (1.39), 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), QuantLib.mak (1.181), 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), QuantLib.mak (1.180), ql/discretizedasset.hpp (1.5), ql/grid.cpp (1.11), 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), QuantLib.mak (1.179), 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), test-suite/testsuite.mak (1.31): 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), QuantLib.mak (1.178), 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), test-suite/testsuite.mak (1.30): 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), QuantLib.mak (1.177), Examples/AmericanOption/AmericanOption.mak (1.8), Examples/BermudanSwaption/BermudanSwaption.mak (1.29), Examples/DiscreteHedging/DiscreteHedging.mak (1.47), Examples/EuropeanOption/EuropeanOption.mak (1.47), Examples/Swap/Swap.mak (1.44), ql/Math/Makefile.am (1.28), ql/Math/cholesky.cpp (1.4), ql/Math/cholesky.hpp (1.4), ql/Math/makefile.mak (1.27), ql/Math/matrix.cpp (1.20), ql/Math/matrix.hpp (1.21), ql/RandomNumbers/randomarraygenerator.hpp (1.22), test-suite/covariance.cpp (1.14), test-suite/matrices.cpp (1.8), test-suite/testsuite.mak (1.29): 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 19:24 Ferdinando Ametrano * ql/Math/matrix.cpp (1.19): bug fixes 2003-12-10 18:18 Ferdinando Ametrano * QuantLib.dsp (1.194), QuantLib.mak (1.176), Examples/AmericanOption/AmericanOption.mak (1.7), Examples/BermudanSwaption/BermudanSwaption.mak (1.28), Examples/DiscreteHedging/DiscreteHedging.mak (1.46), Examples/EuropeanOption/EuropeanOption.mak (1.46), Examples/Swap/Swap.mak (1.43), ql/errors.hpp (1.14), ql/Math/matrix.cpp (1.18), ql/Math/matrix.hpp (1.20), test-suite/old_pricers.cpp (1.27), test-suite/testsuite.mak (1.28): 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 * ql/RandomNumbers/randomarraygenerator.hpp (1.21), test-suite/matrices.cpp (1.7): explicit choice of salvaging algorithm 2003-12-10 17:04 Ferdinando Ametrano * ql/Math/: cholesky.cpp (1.3), cholesky.hpp (1.3): shorter name 2003-12-10 16:58 Luigi Ballabio * ql/scheduler.cpp (1.19): Warning avoided 2003-12-10 15:30 Luigi Ballabio * Docs/quantlib.doxy (1.78): Parsing headers only 2003-12-10 15:29 Luigi Ballabio * ql/: scheduler.cpp (1.18), scheduler.hpp (1.21): Added treatment of 'once' frequency 2003-12-10 15:28 Luigi Ballabio * ql/Math/: cholesky.cpp (1.2), cholesky.hpp (1.2): Removed warnings 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), copenhagen.cpp (1.2), copenhagen.hpp (1.2), makefile.mak (1.20): Oversight in copyright dates 2003-12-10 14:15 Marco Marchioro * QuantLib.dsp (1.193), ql/quantlib.hpp (1.134), ql/Calendars/copenhagen.cpp (1.1), ql/Calendars/copenhagen.hpp (1.1): 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), cholesky.hpp (1.1), makefile.mak (1.26), cholesky.cpp (1.1): 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/Pricers/analyticalcapfloor.hpp (1.19), ql/Pricers/blackcapfloor.hpp (1.13), ql/Pricers/blackswaption.hpp (1.11), ql/Pricers/capfloorpricer.hpp (1.16), ql/Pricers/jamshidianswaption.hpp (1.18), ql/Pricers/swaptionpricer.hpp (1.22), ql/PricingEngines/Makefile.am (1.28), ql/PricingEngines/barrierengines.hpp (1.15), ql/PricingEngines/binaryengines.hpp (1.14), ql/PricingEngines/forwardengines.hpp (1.26), ql/PricingEngines/genericengine.hpp (1.15), ql/PricingEngines/genericmodelengine.hpp (1.1), ql/PricingEngines/latticeshortratemodelengine.hpp (1.9), ql/PricingEngines/quantoengines.hpp (1.25), ql/PricingEngines/vanillaengines.hpp (1.38): 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 2003-12-02 12:35 Luigi Ballabio * ql/blackmodel.hpp (1.14): In-the-money probability 2003-12-01 13:54 Luigi Ballabio * ql/PricingEngines/: analyticamericanbinaryengine.cpp (1.11), analyticeuropeanbinaryengine.cpp (1.6), analyticeuropeanengine.cpp (1.14), binaryengines.hpp (1.13), vanillaengines.hpp (1.37): Unified a few compiler-dependent #if branches 2003-12-01 11:39 Luigi Ballabio * Examples/AmericanOption/AmericanOption.cpp (1.12), Examples/BermudanSwaption/BermudanSwaption.cpp (1.47), Examples/EuropeanOption/EuropeanOption.cpp (1.93), Examples/Swap/swapvaluation.cpp (1.43), ql/blackmodel.hpp (1.13), ql/marketelement.hpp (1.17), ql/Instruments/barrieroption.cpp (1.11), ql/Instruments/barrieroption.hpp (1.11), ql/Instruments/binaryoption.cpp (1.10), ql/Instruments/binaryoption.hpp (1.8), 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/binaryoption.cpp (1.16), test-suite/capfloor.cpp (1.24), test-suite/europeanoption.cpp (1.26), test-suite/instruments.cpp (1.8), test-suite/marketelements.cpp (1.7), 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/AmericanOption/makefile.mak (1.8), Examples/BermudanSwaption/makefile.mak (1.12), Examples/DiscreteHedging/makefile.mak (1.15), Examples/EuropeanOption/makefile.mak (1.18), 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/EuropeanOption/EuropeanOption.cpp (1.92), 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/diffusionprocess.cpp (1.12), ql/handle.hpp (1.17), ql/instrument.hpp (1.26), ql/marketelement.hpp (1.16), ql/option.hpp (1.20), ql/pricingengine.hpp (1.13), ql/relinkablehandle.hpp (1.18), 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/binaryoption.cpp (1.9), ql/Instruments/capfloor.cpp (1.46), ql/Instruments/quantoforwardvanillaoption.cpp (1.12), ql/Instruments/quantovanillaoption.cpp (1.19), ql/Instruments/simpleswap.cpp (1.37), 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/Pricers/analyticalcapfloor.cpp (1.23), ql/Pricers/treecapfloor.cpp (1.30), ql/Pricers/treeswaption.cpp (1.37), ql/PricingEngines/americanmcengines.cpp (1.9), ql/PricingEngines/analyticamericanbinaryengine.cpp (1.10), ql/PricingEngines/analyticbarrierengine.cpp (1.6), ql/PricingEngines/analyticeuropeanbinaryengine.cpp (1.5), ql/PricingEngines/analyticeuropeanengine.cpp (1.13), ql/PricingEngines/barrierengines.hpp (1.14), ql/PricingEngines/binaryengines.hpp (1.12), ql/PricingEngines/discretizedvanillaoption.cpp (1.24), ql/PricingEngines/forwardengines.hpp (1.25), ql/PricingEngines/genericengine.hpp (1.14), ql/PricingEngines/integralengines.cpp (1.11), ql/PricingEngines/mcengine.hpp (1.40), ql/PricingEngines/mceuropeanengine.hpp (1.6), ql/PricingEngines/quantoengines.hpp (1.24), 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/affinetermstructure.cpp (1.17), ql/TermStructures/ratehelpers.cpp (1.39), test-suite/capfloor.cpp (1.23), test-suite/europeanoption.cpp (1.24), test-suite/marketelements.cpp (1.6): 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/Pricers/treecapfloor.cpp (1.29), ql/Pricers/treecapfloor.hpp (1.23), ql/Pricers/treeswaption.cpp (1.36), ql/Pricers/treeswaption.hpp (1.26), 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), ql/TermStructures/affinetermstructure.cpp (1.16), ql/TermStructures/affinetermstructure.hpp (1.18): 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 19:04 Ferdinando Ametrano * ql/Pricers/binaryoptionpricer.hpp (1.3.2.1): typo fixed 2003-11-20 18:54 Ferdinando Ametrano * QuantLib.dsp (1.189), QuantLib.mak (1.175), makefile.mak (1.49), Examples/AmericanOption/AmericanOption.mak (1.6), Examples/BermudanSwaption/BermudanSwaption.mak (1.27), Examples/DiscreteHedging/DiscreteHedging.mak (1.45), Examples/EuropeanOption/EuropeanOption.mak (1.45), Examples/Swap/Swap.mak (1.42), ql/quantlib.hpp (1.132), ql/Math/Makefile.am (1.26), ql/Math/makefile.mak (1.24), ql/Math/multivariateaccumulator.cpp (1.19), ql/Math/multivariateaccumulator.hpp (1.20), ql/Math/sequencestatistics.hpp (1.23), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.18), ql/MonteCarlo/cliquetoptionpathpricer.hpp (1.12), test-suite/covariance.cpp (1.12), test-suite/testsuite.mak (1.27): 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/: array.hpp (1.21), 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), Utilities/iteratorcategories.hpp (1.11), 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 11:07 Ferdinando Ametrano * QuantLib.mak (1.174), Examples/AmericanOption/AmericanOption.mak (1.5), Examples/BermudanSwaption/BermudanSwaption.mak (1.26), Examples/DiscreteHedging/DiscreteHedging.mak (1.44), Examples/EuropeanOption/EuropeanOption.mak (1.44), Examples/Swap/Swap.mak (1.41), test-suite/testsuite.mak (1.26): R000304f0-branch-merge1 merged into trunk 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), TODO.txt (1.122), 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/platforms.docs (1.10), Docs/pages/usage.docs (1.13), Examples/AmericanOption/AmericanOption.dsp (1.3), Examples/AmericanOption/AmericanOption.mak (1.4), Examples/BermudanSwaption/BermudanSwaption.dsp (1.10), Examples/BermudanSwaption/BermudanSwaption.mak (1.25), Examples/DiscreteHedging/DiscreteHedging.dsp (1.12), Examples/DiscreteHedging/DiscreteHedging.mak (1.43), Examples/EuropeanOption/EuropeanOption.dsp (1.10), Examples/EuropeanOption/EuropeanOption.mak (1.43), Examples/Swap/Swap.dsp (1.11), Examples/Swap/Swap.mak (1.40), dev_tools/QLdebugzip.bat (1.2), ql/argsandresults.hpp (1.16), ql/config.msvc.hpp (1.40), ql/diffusionprocess.cpp (1.11), 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/matrix.cpp (1.17), 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), test-suite/testsuite.mak (1.25): R000304f0-branch-merge1 merged into trunk 2003-11-18 20:52 Ferdinando Ametrano * Examples/AmericanOption/makefile.mak (1.7), Examples/BermudanSwaption/makefile.mak (1.11), Examples/DiscreteHedging/makefile.mak (1.14), Examples/EuropeanOption/makefile.mak (1.17), 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 * QuantLib.nsi (1.85.2.2), TODO.txt (1.121.2.1), Docs/pages/license.docs (1.14.10.2), dev_tools/QLdebugzip.bat (1.1.2.1), test-suite/lowdiscrepancysequences.cpp (1.36.2.1): last minute fixes 2003-11-18 12:03 Ferdinando Ametrano * ql/: argsandresults.hpp (1.15.2.2), diffusionprocess.cpp (1.9.2.1), voltermstructure.cpp (1.11.2.1), Volatilities/blackvariancecurve.cpp (1.3.2.1), Volatilities/blackvariancesurface.cpp (1.3.2.1): allowing null volatility, checking non-decreasing variances 2003-11-17 10:22 Ferdinando Ametrano * ql/Math/symmetricschurdecomposition.cpp (1.11.2.3): promemoria comments 2003-11-17 10:07 Ferdinando Ametrano * ql/: argsandresults.hpp (1.15.2.1), Instruments/capfloor.hpp (1.40.2.1), Instruments/vanillaoption.hpp (1.27.2.1), Math/matrix.cpp (1.15.2.2), Pricers/singleassetoption.hpp (1.27.2.1): moved max/min vol constraints to a single place 2003-11-14 19:57 Ferdinando Ametrano * ql/Math/: symmetricschurdecomposition.cpp (1.11.2.2), symmetricschurdecomposition.hpp (1.11.2.1): (eigenvalue,eigenvector) are now sorted. Code polished up. It needs more polishing... 2003-11-14 18:52 Ferdinando Ametrano * test-suite/: covariance.cpp (1.8.2.1), old_pricers.cpp (1.19.2.1): one more test added and other tests fixed 2003-11-14 18:32 Ferdinando Ametrano * ql/Math/: matrix.cpp (1.15.2.1), symmetricschurdecomposition.cpp (1.11.2.1): avoiding a useless matrix transposition+multiplication 2003-11-14 16:51 Luigi Ballabio * ql/Instruments/swap.hpp (1.20.2.1): Warning added for Swap::timeBasket() 2003-11-13 14:47 Ferdinando Ametrano * Examples/: AmericanOption/AmericanOption.dsp (1.2.2.2), AmericanOption/AmericanOption.mak (1.3.2.2), BermudanSwaption/BermudanSwaption.dsp (1.9.2.2), BermudanSwaption/BermudanSwaption.mak (1.24.2.2), DiscreteHedging/DiscreteHedging.dsp (1.11.2.2), DiscreteHedging/DiscreteHedging.mak (1.42.2.2), EuropeanOption/EuropeanOption.dsp (1.9.2.2), EuropeanOption/EuropeanOption.mak (1.42.2.2): English language instead of Russian ;-) Really! 2003-11-12 09:25 Ferdinando Ametrano * QuantLib.nsi (1.85.2.1): Include paths, output file names, and names of the new VC++ build configurations have been fixed 2003-11-11 19:29 Ferdinando Ametrano * QuantLib.dsp (1.184.2.2), QuantLib.mak (1.171.2.2), Docs/pages/usage.docs (1.12.2.1), Examples/AmericanOption/AmericanOption.dsp (1.2.2.1), Examples/AmericanOption/AmericanOption.mak (1.3.2.1), Examples/BermudanSwaption/BermudanSwaption.dsp (1.9.2.1), Examples/BermudanSwaption/BermudanSwaption.mak (1.24.2.1), Examples/DiscreteHedging/DiscreteHedging.dsp (1.11.2.1), Examples/DiscreteHedging/DiscreteHedging.mak (1.42.2.1), Examples/EuropeanOption/EuropeanOption.dsp (1.9.2.1), Examples/EuropeanOption/EuropeanOption.mak (1.42.2.1), Examples/Swap/Swap.dsp (1.10.2.1), Examples/Swap/Swap.mak (1.39.2.1), ql/config.msvc.hpp (1.39.2.1), test-suite/testsuite.dsp (1.17.2.1), test-suite/testsuite.mak (1.24.2.1): Include paths, output file names, and names of the new VC++ build configurations have been fixed 2003-11-11 16:40 Luigi Ballabio * Examples/AmericanOption/AmericanOption.cpp (1.11), Examples/BermudanSwaption/BermudanSwaption.cpp (1.44), Examples/EuropeanOption/EuropeanOption.cpp (1.91), Examples/Swap/swapvaluation.cpp (1.41), ql/diffusionprocess.cpp (1.10), 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/binaryoption.cpp (1.8), ql/Instruments/vanillaoption.cpp (1.30), ql/Math/lexicographicalview.hpp (1.13), ql/Math/matrix.hpp (1.19), ql/PricingEngines/cliquetengines.hpp (1.16), ql/PricingEngines/forwardengines.hpp (1.24), ql/PricingEngines/mceuropeanengine.hpp (1.5), ql/PricingEngines/quantoengines.hpp (1.23), ql/PricingEngines/vanillaengines.hpp (1.36), ql/TermStructures/affinetermstructure.cpp (1.15), ql/TermStructures/affinetermstructure.hpp (1.17), ql/TermStructures/compoundforward.cpp (1.28), ql/TermStructures/compoundforward.hpp (1.22), ql/TermStructures/discountcurve.cpp (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.cpp (1.7), ql/TermStructures/zerocurve.hpp (1.7), ql/TermStructures/zerospreadedtermstructure.hpp (1.17), ql/Utilities/combiningiterator.hpp (1.12), ql/Utilities/couplingiterator.hpp (1.10), ql/Utilities/filteringiterator.hpp (1.10), ql/Utilities/iteratorcategories.hpp (1.10), ql/Utilities/processingiterator.hpp (1.11), 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/binaryoption.cpp (1.15), 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/AmericanOption/AmericanOption.cpp (1.10), Examples/BermudanSwaption/BermudanSwaption.cpp (1.43), Examples/EuropeanOption/EuropeanOption.cpp (1.90), ql/quantlib.hpp (1.129), ql/solver1d.hpp (1.17), ql/FiniteDifferences/onefactoroperator.cpp (1.17), ql/FiniteDifferences/onefactoroperator.hpp (1.17), ql/Instruments/capfloor.cpp (1.45), ql/Instruments/vanillaoption.cpp (1.29), ql/MonteCarlo/barrierpathpricer.cpp (1.6), ql/MonteCarlo/barrierpathpricer.hpp (1.5), ql/MonteCarlo/binarypathpricer.cpp (1.7), ql/MonteCarlo/binarypathpricer.hpp (1.4), 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/analyticalcapfloor.hpp (1.18), ql/Pricers/jamshidianswaption.cpp (1.21), ql/Pricers/jamshidianswaption.hpp (1.17), ql/Pricers/singleassetoption.cpp (1.24), ql/Pricers/treecapfloor.cpp (1.28), ql/Pricers/treecapfloor.hpp (1.22), ql/Pricers/treeswaption.cpp (1.35), ql/Pricers/treeswaption.hpp (1.25), ql/PricingEngines/americanmcengines.cpp (1.8), ql/PricingEngines/barrierengines.hpp (1.13), ql/PricingEngines/binaryengines.hpp (1.11), 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/inversecumgaussianrng.hpp (1.11), ql/RandomNumbers/inversecumgaussianrsg.hpp (1.10), 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/randomarraygenerator.hpp (1.20), ql/RandomNumbers/randomsequencegenerator.hpp (1.10), ql/RandomNumbers/rngtypedefs.hpp (1.23), 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/affinetermstructure.cpp (1.14), ql/TermStructures/affinetermstructure.hpp (1.16), 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/AmericanOption/AmericanOption.cpp (1.9), Examples/BermudanSwaption/BermudanSwaption.cpp (1.42), Examples/DiscreteHedging/DiscreteHedging.cpp (1.28), Examples/EuropeanOption/EuropeanOption.cpp (1.89), ql/blackmodel.hpp (1.12), 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/marketelement.hpp (1.15), ql/pricingengine.hpp (1.11), ql/quantlib.hpp (1.128), ql/relinkablehandle.hpp (1.17), ql/solver1d.hpp (1.16), ql/swaptionvolstructure.hpp (1.9), ql/termstructure.hpp (1.35), ql/voltermstructure.hpp (1.16), ql/CashFlows/basispointsensitivity.hpp (1.12), 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/binaryoption.cpp (1.7), ql/Instruments/capfloor.cpp (1.44), ql/Lattices/binomialtree.cpp (1.15), ql/Lattices/binomialtree.hpp (1.12), ql/Lattices/bsmlattice.cpp (1.10), ql/Lattices/bsmlattice.hpp (1.8), ql/Lattices/lattice.cpp (1.13), ql/Lattices/lattice.hpp (1.9), ql/Lattices/lattice2d.cpp (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/arithmeticapopathpricer.cpp (1.14), ql/MonteCarlo/arithmeticapopathpricer.hpp (1.14), ql/MonteCarlo/arithmeticasopathpricer.cpp (1.16), ql/MonteCarlo/arithmeticasopathpricer.hpp (1.11), ql/MonteCarlo/barrierpathpricer.cpp (1.5), ql/MonteCarlo/barrierpathpricer.hpp (1.4), ql/MonteCarlo/basketpathpricer.cpp (1.26), ql/MonteCarlo/basketpathpricer.hpp (1.22), ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.5), ql/MonteCarlo/biasedbarrierpathpricer.hpp (1.4), ql/MonteCarlo/binarypathpricer.cpp (1.6), ql/MonteCarlo/binarypathpricer.hpp (1.3), ql/MonteCarlo/brownianbridge.hpp (1.10), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.17), ql/MonteCarlo/cliquetoptionpathpricer.hpp (1.11), ql/MonteCarlo/europeanpathpricer.cpp (1.22), ql/MonteCarlo/europeanpathpricer.hpp (1.21), ql/MonteCarlo/everestpathpricer.cpp (1.20), ql/MonteCarlo/everestpathpricer.hpp (1.17), ql/MonteCarlo/geometricapopathpricer.cpp (1.16), ql/MonteCarlo/geometricapopathpricer.hpp (1.14), ql/MonteCarlo/geometricasopathpricer.cpp (1.19), ql/MonteCarlo/geometricasopathpricer.hpp (1.11), ql/MonteCarlo/getcovariance.hpp (1.15), ql/MonteCarlo/himalayapathpricer.cpp (1.24), ql/MonteCarlo/himalayapathpricer.hpp (1.18), ql/MonteCarlo/maxbasketpathpricer.cpp (1.13), ql/MonteCarlo/maxbasketpathpricer.hpp (1.11), 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/pagodapathpricer.cpp (1.20), ql/MonteCarlo/pagodapathpricer.hpp (1.19), ql/MonteCarlo/path.hpp (1.18), ql/MonteCarlo/pathgenerator.hpp (1.41), ql/MonteCarlo/pathpricer.hpp (1.17), ql/MonteCarlo/performanceoptionpathpricer.cpp (1.11), ql/MonteCarlo/performanceoptionpathpricer.hpp (1.13), 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/analyticalcapfloor.cpp (1.22), ql/Pricers/analyticalcapfloor.hpp (1.17), ql/Pricers/blackcapfloor.cpp (1.18), ql/Pricers/blackcapfloor.hpp (1.12), ql/Pricers/blackswaption.cpp (1.12), ql/Pricers/blackswaption.hpp (1.10), ql/Pricers/capfloorpricer.cpp (1.12), ql/Pricers/capfloorpricer.hpp (1.15), ql/Pricers/cliquetoption.cpp (1.16), ql/Pricers/cliquetoption.hpp (1.15), ql/Pricers/continuousgeometricapo.hpp (1.11), ql/Pricers/discretegeometricapo.cpp (1.14), ql/Pricers/discretegeometricapo.hpp (1.12), ql/Pricers/discretegeometricaso.cpp (1.14), ql/Pricers/discretegeometricaso.hpp (1.12), ql/Pricers/europeanoption.cpp (1.17), ql/Pricers/europeanoption.hpp (1.19), ql/Pricers/fdamericanoption.hpp (1.12), ql/Pricers/fdbermudanoption.cpp (1.11), ql/Pricers/fdbermudanoption.hpp (1.8), ql/Pricers/fdbsmoption.cpp (1.17), ql/Pricers/fdbsmoption.hpp (1.16), ql/Pricers/fddividendamericanoption.cpp (1.8), ql/Pricers/fddividendamericanoption.hpp (1.8), ql/Pricers/fddividendeuropeanoption.cpp (1.9), ql/Pricers/fddividendeuropeanoption.hpp (1.11), ql/Pricers/fddividendoption.cpp (1.14), ql/Pricers/fddividendoption.hpp (1.8), ql/Pricers/fddividendshoutoption.cpp (1.12), ql/Pricers/fddividendshoutoption.hpp (1.10), ql/Pricers/fdeuropean.cpp (1.15), ql/Pricers/fdeuropean.hpp (1.13), ql/Pricers/fdmultiperiodoption.cpp (1.17), ql/Pricers/fdmultiperiodoption.hpp (1.11), ql/Pricers/fdshoutoption.hpp (1.11), ql/Pricers/fdstepconditionoption.cpp (1.14), ql/Pricers/fdstepconditionoption.hpp (1.10), ql/Pricers/jamshidianswaption.cpp (1.20), ql/Pricers/jamshidianswaption.hpp (1.16), ql/Pricers/mcbasket.cpp (1.22), ql/Pricers/mcbasket.hpp (1.21), ql/Pricers/mccliquetoption.cpp (1.17), ql/Pricers/mccliquetoption.hpp (1.15), ql/Pricers/mcdiscretearithmeticapo.cpp (1.20), ql/Pricers/mcdiscretearithmeticapo.hpp (1.17), 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/performanceoption.cpp (1.7), ql/Pricers/performanceoption.hpp (1.7), ql/Pricers/singleassetoption.cpp (1.23), ql/Pricers/singleassetoption.hpp (1.28), ql/Pricers/swaptionpricer.cpp (1.14), ql/Pricers/swaptionpricer.hpp (1.21), ql/Pricers/treecapfloor.cpp (1.27), ql/Pricers/treecapfloor.hpp (1.21), ql/Pricers/treeswaption.cpp (1.34), ql/Pricers/treeswaption.hpp (1.24), ql/PricingEngines/Makefile.am (1.27), ql/PricingEngines/americanmcengines.cpp (1.7), ql/PricingEngines/americanmcengines.hpp (1.5), ql/PricingEngines/analyticamericanbinaryengine.cpp (1.9), ql/PricingEngines/analyticbarrierengine.cpp (1.5), ql/PricingEngines/analyticeuropeanbinaryengine.cpp (1.4), ql/PricingEngines/analyticeuropeanengine.cpp (1.12), ql/PricingEngines/barrierengines.hpp (1.12), ql/PricingEngines/binaryengines.hpp (1.10), ql/PricingEngines/binomialvanillaengine.cpp (1.11), ql/PricingEngines/cliquetengines.hpp (1.15), ql/PricingEngines/discretizedvanillaoption.cpp (1.23), ql/PricingEngines/discretizedvanillaoption.hpp (1.19), ql/PricingEngines/forwardengines.hpp (1.23), ql/PricingEngines/genericengine.hpp (1.13), ql/PricingEngines/integralengines.cpp (1.10), ql/PricingEngines/latticeshortratemodelengine.hpp (1.6), ql/PricingEngines/mcengine.hpp (1.39), ql/PricingEngines/mceuropeanengine.hpp (1.4), ql/PricingEngines/quantoengines.hpp (1.22), ql/PricingEngines/vanillaengines.hpp (1.35), ql/RandomNumbers/boxmullergaussianrng.hpp (1.12), ql/RandomNumbers/centrallimitgaussianrng.hpp (1.12), ql/RandomNumbers/haltonrsg.hpp (1.10), ql/RandomNumbers/inversecumgaussianrng.hpp (1.10), ql/RandomNumbers/inversecumgaussianrsg.hpp (1.9), ql/RandomNumbers/knuthuniformrng.hpp (1.13), ql/RandomNumbers/lecuyeruniformrng.hpp (1.11), ql/RandomNumbers/mt19937uniformrng.hpp (1.11), ql/RandomNumbers/randomarraygenerator.hpp (1.19), ql/RandomNumbers/randomsequencegenerator.hpp (1.9), ql/RandomNumbers/rngtypedefs.hpp (1.22), 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/affinetermstructure.hpp (1.15), 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/binaryoption.cpp (1.14), 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/AmericanOption/AmericanOption.cpp (1.8), Examples/DiscreteHedging/DiscreteHedging.cpp (1.27), Examples/EuropeanOption/EuropeanOption.cpp (1.88), ql/array.hpp (1.20), ql/blackmodel.hpp (1.11), ql/dataformatters.cpp (1.26), ql/dataformatters.hpp (1.23), 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/interpolationtraits.hpp (1.5), 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.cpp (1.16), ql/Math/matrix.hpp (1.18), ql/Math/multivariateaccumulator.cpp (1.18), ql/Math/multivariateaccumulator.hpp (1.19), 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/discretegeometricapo.cpp (1.13), ql/Pricers/discretegeometricapo.hpp (1.11), ql/Pricers/discretegeometricaso.cpp (1.13), ql/Pricers/discretegeometricaso.hpp (1.11), ql/Pricers/europeanoption.cpp (1.16), ql/Pricers/europeanoption.hpp (1.18), ql/Pricers/fddividendoption.cpp (1.13), ql/Pricers/mcbasket.cpp (1.21), ql/Pricers/mcbasket.hpp (1.20), ql/Pricers/mccliquetoption.cpp (1.16), ql/Pricers/mcdiscretearithmeticapo.cpp (1.19), 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/PricingEngines/americanmcengines.cpp (1.6), ql/PricingEngines/analyticamericanbinaryengine.cpp (1.8), ql/PricingEngines/analyticeuropeanbinaryengine.cpp (1.3), ql/PricingEngines/analyticeuropeanengine.cpp (1.11), ql/PricingEngines/barrierengines.hpp (1.11), ql/PricingEngines/binaryengines.hpp (1.9), ql/PricingEngines/integralengines.cpp (1.9), ql/PricingEngines/mcengine.hpp (1.38), ql/PricingEngines/mceuropeanengine.hpp (1.3), ql/PricingEngines/vanillaengines.hpp (1.34), ql/RandomNumbers/haltonrsg.cpp (1.11), ql/RandomNumbers/randomarraygenerator.hpp (1.18), 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/binaryoption.cpp (1.13), 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 16:56 Ferdinando Ametrano * Authors.txt (1.11.2.2), Docs/pages/authors.docs (1.24.2.3): final update (at least for me) 2003-11-07 16:22 Ferdinando Ametrano * News.txt (1.32.2.2), Docs/pages/history.docs (1.12.2.1): final update (at least for me) 2003-11-07 16:11 Ferdinando Ametrano * QuantLib.dsp (1.184.2.1), QuantLib.mak (1.171.2.1): Intel OnTheEdgeRelease Win32 configuration removed 2003-11-07 13:52 Luigi Ballabio * Examples/AmericanOption/AmericanOption.cpp (1.7), Examples/BermudanSwaption/BermudanSwaption.cpp (1.41), Examples/EuropeanOption/EuropeanOption.cpp (1.87), 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/binaryoption.cpp (1.6), ql/Instruments/binaryoption.hpp (1.7), 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/simpleswap.cpp (1.36), ql/Instruments/simpleswap.hpp (1.36), 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/Pricers/analyticalcapfloor.cpp (1.21), ql/Pricers/analyticalcapfloor.hpp (1.16), ql/Pricers/blackcapfloor.cpp (1.17), ql/Pricers/blackcapfloor.hpp (1.11), ql/Pricers/blackswaption.hpp (1.9), ql/Pricers/capfloorpricer.cpp (1.11), ql/Pricers/capfloorpricer.hpp (1.14), ql/Pricers/jamshidianswaption.cpp (1.19), ql/Pricers/jamshidianswaption.hpp (1.15), ql/Pricers/swaptionpricer.hpp (1.20), ql/Pricers/treecapfloor.cpp (1.26), ql/Pricers/treecapfloor.hpp (1.20), ql/Pricers/treeswaption.cpp (1.33), ql/Pricers/treeswaption.hpp (1.23), ql/PricingEngines/barrierengines.hpp (1.10), ql/PricingEngines/binaryengines.hpp (1.8), ql/PricingEngines/cliquetengines.hpp (1.14), ql/PricingEngines/discretizedvanillaoption.hpp (1.18), ql/PricingEngines/forwardengines.hpp (1.22), ql/PricingEngines/mcengine.hpp (1.37), ql/PricingEngines/quantoengines.hpp (1.21), ql/PricingEngines/vanillaengines.hpp (1.33), 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/binaryoption.cpp (1.12), 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/indexcashflowvectors.hpp (1.12), 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/Indexes/xibormanager.cpp (1.14), ql/Indexes/xibormanager.hpp (1.14), ql/Indexes/zarlibor.hpp (1.10), ql/Instruments/simpleswap.cpp (1.35), ql/Instruments/simpleswap.hpp (1.35), 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 11:18 Ferdinando Ametrano * Docs/pages/: authors.docs (1.24.2.2), license.docs (1.14.10.1), platforms.docs (1.9.2.1): updated 2003-11-07 10:34 Luigi Ballabio * ql/Pricers/fdbsmoption.cpp (1.16): Fixes (?) for VC++ 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.cpp (1.16), 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/FiniteDifferences/valueatcenter.cpp (1.14), ql/FiniteDifferences/valueatcenter.hpp (1.10), ql/Math/cubicspline.hpp (1.30), ql/Pricers/fdamericanoption.hpp (1.11), ql/Pricers/fdbermudanoption.cpp (1.10), ql/Pricers/fdbsmoption.cpp (1.15), ql/Pricers/fdbsmoption.hpp (1.15), ql/Pricers/fddividendoption.cpp (1.12), ql/Pricers/fddividendshoutoption.cpp (1.11), ql/Pricers/fdeuropean.cpp (1.14), ql/Pricers/fdmultiperiodoption.cpp (1.16), ql/Pricers/fdmultiperiodoption.hpp (1.10), ql/Pricers/fdshoutoption.hpp (1.10), ql/Pricers/fdstepconditionoption.cpp (1.13), ql/Pricers/fdstepconditionoption.hpp (1.9), test-suite/operators.cpp (1.7): Removed the FiniteDifferences namespace 2003-11-06 16:13 Luigi Ballabio * Examples/AmericanOption/AmericanOption.cpp (1.6), Examples/BermudanSwaption/BermudanSwaption.cpp (1.39), Examples/EuropeanOption/EuropeanOption.cpp (1.86), Examples/Swap/swapvaluation.cpp (1.38), ql/daycounter.hpp (1.22), ql/quantlib.hpp (1.123), ql/DayCounters/actual360.hpp (1.15), ql/DayCounters/actual365.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/Indexes/zarlibor.hpp (1.9), 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/binaryoption.cpp (1.11), 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/basispointsensitivity.cpp (1.4), ql/CashFlows/basispointsensitivity.hpp (1.11), 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/indexcashflowvectors.hpp (1.11), 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/simpleswap.cpp (1.34), 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/budapest.cpp (1.6), ql/Calendars/budapest.hpp (1.6), ql/Calendars/frankfurt.cpp (1.15), ql/Calendars/frankfurt.hpp (1.15), ql/Calendars/helsinki.cpp (1.14), ql/Calendars/helsinki.hpp (1.15), ql/Calendars/johannesburg.cpp (1.9), ql/Calendars/johannesburg.hpp (1.7), ql/Calendars/jointcalendar.cpp (1.6), ql/Calendars/jointcalendar.hpp (1.5), ql/Calendars/london.cpp (1.15), ql/Calendars/london.hpp (1.15), ql/Calendars/milan.cpp (1.14), ql/Calendars/milan.hpp (1.15), ql/Calendars/newyork.cpp (1.15), ql/Calendars/newyork.hpp (1.16), ql/Calendars/nullcalendar.hpp (1.3), ql/Calendars/oslo.cpp (1.6), ql/Calendars/oslo.hpp (1.6), ql/Calendars/stockholm.cpp (1.7), ql/Calendars/stockholm.hpp (1.6), ql/Calendars/sydney.cpp (1.7), ql/Calendars/sydney.hpp (1.7), ql/Calendars/target.cpp (1.15), ql/Calendars/target.hpp (1.16), ql/Calendars/tokyo.cpp (1.11), ql/Calendars/tokyo.hpp (1.8), ql/Calendars/toronto.cpp (1.7), ql/Calendars/toronto.hpp (1.7), ql/Calendars/warsaw.cpp (1.6), ql/Calendars/warsaw.hpp (1.6), ql/Calendars/wellington.cpp (1.15), ql/Calendars/wellington.hpp (1.15), ql/Calendars/zurich.cpp (1.14), ql/Calendars/zurich.hpp (1.15), 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), ql/Indexes/zarlibor.hpp (1.8), test-suite/barrieroption.cpp (1.8), test-suite/binaryoption.cpp (1.10), 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 2003-11-06 10:40 Ferdinando Ametrano * test-suite/Makefile.am (1.18.2.1): Win32 files missing from the distribution 2003-11-05 14:49 Luigi Ballabio * ql/CashFlows/cashflowvectors.cpp (1.27), ql/CashFlows/cashflowvectors.hpp (1.22), ql/CashFlows/indexcashflowvectors.hpp (1.10), ql/Instruments/simpleswap.cpp (1.33), ql/Instruments/simpleswap.hpp (1.34), 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), riskstatistics.hpp (1.21), Math/Makefile.am (1.25), Math/riskmeasures.hpp (1.20): More deprecated stuff goes 2003-11-05 10:22 Luigi Ballabio * ql/Instruments/barrieroption.cpp (1.6), ql/Instruments/barrieroption.hpp (1.9), ql/Instruments/binaryoption.cpp (1.5), ql/Instruments/binaryoption.hpp (1.6), ql/PricingEngines/analyticamericanbinaryengine.cpp (1.7), test-suite/barrieroption.cpp (1.7), test-suite/binaryoption.cpp (1.9): Defaults for barrier and binary engines 2003-11-05 09:13 Luigi Ballabio * ql/: scheduler.hpp (1.20), Instruments/capfloor.hpp (1.41): Removed deprecated typedefs 2003-11-04 18:47 Luigi Ballabio * ql/MonteCarlo/: europeanpathpricer.cpp (1.21), europeanpathpricer.hpp (1.20): More excess baggage left behind 2003-11-04 18:31 Luigi Ballabio * Examples/EuropeanOption/EuropeanOption.cpp (1.85), ql/quantlib.hpp (1.119), ql/Pricers/Makefile.am (1.36), ql/Pricers/makefile.mak (1.34), ql/Pricers/mceuropean.cpp (1.20), ql/Pricers/mceuropean.hpp (1.21), test-suite/old_pricers.cpp (1.21): Removed a deprecated pricer 2003-11-04 15:00 Luigi Ballabio * ql/quantlib.hpp (1.118), ql/Pricers/barrieroptionpricer.cpp (1.3), ql/Pricers/barrieroptionpricer.hpp (1.3), ql/Pricers/binaryoptionpricer.cpp (1.4), ql/Pricers/binaryoptionpricer.hpp (1.4), 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 18:22 Ferdinando Ametrano * Contributors.txt (1.21.2.1): copyright update 2003-11-03 18:18 Ferdinando Ametrano * News.txt (1.32.2.1): typos fixed 2003-11-03 18:11 Ferdinando Ametrano * Authors.txt (1.11.2.1), Docs/pages/authors.docs (1.24.2.1): copyright update 2003-11-03 18:06 Ferdinando Ametrano * LICENSE.TXT (1.14.10.1): copyright update 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 * History.txt (1.20), 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 * History.txt (1.19), News.txt (1.30), Docs/pages/history.docs (1.10), Docs/pages/platforms.docs (1.9), 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 14:27 Ferdinando Ametrano * ql/scheduler.hpp (1.19): removing Borland warnings 2003-11-03 13:58 Ferdinando Ametrano * Examples/AmericanOption/.cvsignore (1.3), Examples/BermudanSwaption/.cvsignore (1.8), Examples/DiscreteHedging/.cvsignore (1.8), Examples/EuropeanOption/.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 13:46 Ferdinando Ametrano * ql/: scheduler.hpp (1.18), CashFlows/basispointsensitivity.cpp (1.3): removing Borland warnings 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/binaryoption.hpp (1.5), 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/Math/interpolationtraits.hpp (1.4), ql/PricingEngines/binaryengines.hpp (1.7), 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), UFILE (1.3), 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/platforms.docs (1.8), 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/AmericanOption/AmericanOption.cpp (1.5), Examples/BermudanSwaption/BermudanSwaption.cpp (1.36), Examples/DiscreteHedging/DiscreteHedging.cpp (1.26), Examples/EuropeanOption/EuropeanOption.cpp (1.84), Examples/Swap/swapvaluation.cpp (1.36), dev_tools/update_copyright (1.2), ql/argsandresults.hpp (1.15), ql/array.hpp (1.19), ql/blackmodel.hpp (1.10), 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/dataformatters.cpp (1.25), ql/dataformatters.hpp (1.22), ql/dataparsers.cpp (1.10), ql/dataparsers.hpp (1.9), ql/date.cpp (1.29), ql/date.hpp (1.24), ql/daycounter.hpp (1.21), ql/diffusionprocess.cpp (1.9), ql/diffusionprocess.hpp (1.25), ql/discretizedasset.cpp (1.4), ql/discretizedasset.hpp (1.4), ql/disposable.hpp (1.4), ql/errors.hpp (1.13), ql/exercise.cpp (1.5), ql/exercise.hpp (1.25), ql/grid.cpp (1.10), 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/marketelement.hpp (1.14), ql/null.hpp (1.9), 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/relinkablehandle.hpp (1.16), ql/riskstatistics.hpp (1.20), ql/scheduler.cpp (1.17), ql/scheduler.hpp (1.17), 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/budapest.cpp (1.5), ql/Calendars/budapest.hpp (1.5), ql/Calendars/frankfurt.cpp (1.14), ql/Calendars/frankfurt.hpp (1.14), ql/Calendars/helsinki.cpp (1.13), ql/Calendars/helsinki.hpp (1.14), ql/Calendars/johannesburg.cpp (1.8), ql/Calendars/johannesburg.hpp (1.6), ql/Calendars/jointcalendar.cpp (1.5), ql/Calendars/jointcalendar.hpp (1.4), ql/Calendars/london.cpp (1.14), ql/Calendars/london.hpp (1.14), ql/Calendars/milan.cpp (1.13), ql/Calendars/milan.hpp (1.14), ql/Calendars/newyork.cpp (1.14), ql/Calendars/newyork.hpp (1.15), ql/Calendars/nullcalendar.hpp (1.2), ql/Calendars/oslo.cpp (1.5), ql/Calendars/oslo.hpp (1.5), ql/Calendars/stockholm.cpp (1.6), ql/Calendars/stockholm.hpp (1.5), ql/Calendars/sydney.cpp (1.6), ql/Calendars/sydney.hpp (1.6), ql/Calendars/target.cpp (1.14), ql/Calendars/target.hpp (1.15), ql/Calendars/tokyo.cpp (1.10), ql/Calendars/tokyo.hpp (1.7), ql/Calendars/toronto.cpp (1.6), ql/Calendars/toronto.hpp (1.6), ql/Calendars/warsaw.cpp (1.5), ql/Calendars/warsaw.hpp (1.5), ql/Calendars/wellington.cpp (1.14), ql/Calendars/wellington.hpp (1.14), ql/Calendars/zurich.cpp (1.13), ql/Calendars/zurich.hpp (1.14), ql/CashFlows/basispointsensitivity.cpp (1.2), ql/CashFlows/basispointsensitivity.hpp (1.10), 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/indexcashflowvectors.hpp (1.9), 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/actual365.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.cpp (1.15), 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/FiniteDifferences/valueatcenter.cpp (1.13), ql/FiniteDifferences/valueatcenter.hpp (1.9), 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/Indexes/xibormanager.cpp (1.13), ql/Indexes/xibormanager.hpp (1.13), ql/Indexes/zarlibor.hpp (1.7), ql/Instruments/barrieroption.cpp (1.5), ql/Instruments/barrieroption.hpp (1.7), ql/Instruments/binaryoption.cpp (1.4), ql/Instruments/binaryoption.hpp (1.4), 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/simpleswap.cpp (1.32), ql/Instruments/simpleswap.hpp (1.33), 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.cpp (1.9), ql/Lattices/bsmlattice.hpp (1.7), ql/Lattices/lattice.cpp (1.12), ql/Lattices/lattice.hpp (1.8), ql/Lattices/lattice2d.cpp (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/interpolationtraits.hpp (1.3), 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.cpp (1.15), ql/Math/matrix.hpp (1.17), ql/Math/multivariateaccumulator.cpp (1.17), ql/Math/multivariateaccumulator.hpp (1.18), 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/riskmeasures.hpp (1.19), 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/arithmeticapopathpricer.cpp (1.13), ql/MonteCarlo/arithmeticapopathpricer.hpp (1.13), ql/MonteCarlo/arithmeticasopathpricer.cpp (1.15), ql/MonteCarlo/arithmeticasopathpricer.hpp (1.10), ql/MonteCarlo/barrierpathpricer.cpp (1.4), ql/MonteCarlo/barrierpathpricer.hpp (1.3), ql/MonteCarlo/basketpathpricer.cpp (1.25), ql/MonteCarlo/basketpathpricer.hpp (1.21), ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.4), ql/MonteCarlo/biasedbarrierpathpricer.hpp (1.3), ql/MonteCarlo/binarypathpricer.cpp (1.5), ql/MonteCarlo/binarypathpricer.hpp (1.2), ql/MonteCarlo/brownianbridge.hpp (1.9), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.16), ql/MonteCarlo/cliquetoptionpathpricer.hpp (1.10), ql/MonteCarlo/europeanpathpricer.cpp (1.20), ql/MonteCarlo/europeanpathpricer.hpp (1.19), ql/MonteCarlo/everestpathpricer.cpp (1.19), ql/MonteCarlo/everestpathpricer.hpp (1.16), ql/MonteCarlo/geometricapopathpricer.cpp (1.15), ql/MonteCarlo/geometricapopathpricer.hpp (1.13), ql/MonteCarlo/geometricasopathpricer.cpp (1.18), ql/MonteCarlo/geometricasopathpricer.hpp (1.10), ql/MonteCarlo/getcovariance.hpp (1.13), ql/MonteCarlo/himalayapathpricer.cpp (1.23), ql/MonteCarlo/himalayapathpricer.hpp (1.17), ql/MonteCarlo/maxbasketpathpricer.cpp (1.12), ql/MonteCarlo/maxbasketpathpricer.hpp (1.10), 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/pagodapathpricer.cpp (1.19), ql/MonteCarlo/pagodapathpricer.hpp (1.18), ql/MonteCarlo/path.hpp (1.17), ql/MonteCarlo/pathgenerator.hpp (1.40), ql/MonteCarlo/pathpricer.hpp (1.16), ql/MonteCarlo/performanceoptionpathpricer.cpp (1.10), ql/MonteCarlo/performanceoptionpathpricer.hpp (1.12), 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/analyticalcapfloor.cpp (1.20), ql/Pricers/analyticalcapfloor.hpp (1.15), ql/Pricers/barrieroptionpricer.cpp (1.2), ql/Pricers/barrieroptionpricer.hpp (1.2), ql/Pricers/binaryoptionpricer.cpp (1.3), ql/Pricers/binaryoptionpricer.hpp (1.3), ql/Pricers/blackcapfloor.cpp (1.16), ql/Pricers/blackcapfloor.hpp (1.10), ql/Pricers/blackswaption.cpp (1.11), ql/Pricers/blackswaption.hpp (1.8), ql/Pricers/capfloorpricer.cpp (1.10), ql/Pricers/capfloorpricer.hpp (1.13), ql/Pricers/cliquetoption.cpp (1.15), ql/Pricers/cliquetoption.hpp (1.14), ql/Pricers/continuousgeometricapo.hpp (1.10), ql/Pricers/discretegeometricapo.cpp (1.12), ql/Pricers/discretegeometricapo.hpp (1.10), ql/Pricers/discretegeometricaso.cpp (1.12), ql/Pricers/discretegeometricaso.hpp (1.10), ql/Pricers/europeanoption.cpp (1.15), ql/Pricers/europeanoption.hpp (1.17), ql/Pricers/fdamericanoption.hpp (1.10), ql/Pricers/fdbermudanoption.cpp (1.9), ql/Pricers/fdbermudanoption.hpp (1.7), ql/Pricers/fdbsmoption.cpp (1.14), ql/Pricers/fdbsmoption.hpp (1.14), ql/Pricers/fddividendamericanoption.cpp (1.7), ql/Pricers/fddividendamericanoption.hpp (1.7), ql/Pricers/fddividendeuropeanoption.cpp (1.8), ql/Pricers/fddividendeuropeanoption.hpp (1.10), ql/Pricers/fddividendoption.cpp (1.11), ql/Pricers/fddividendoption.hpp (1.7), ql/Pricers/fddividendshoutoption.cpp (1.10), ql/Pricers/fddividendshoutoption.hpp (1.9), ql/Pricers/fdeuropean.cpp (1.13), ql/Pricers/fdeuropean.hpp (1.12), ql/Pricers/fdmultiperiodoption.cpp (1.15), ql/Pricers/fdmultiperiodoption.hpp (1.9), ql/Pricers/fdshoutoption.hpp (1.9), ql/Pricers/fdstepconditionoption.cpp (1.12), ql/Pricers/fdstepconditionoption.hpp (1.8), ql/Pricers/jamshidianswaption.cpp (1.18), ql/Pricers/jamshidianswaption.hpp (1.14), ql/Pricers/mcbasket.cpp (1.20), ql/Pricers/mcbasket.hpp (1.19), ql/Pricers/mccliquetoption.cpp (1.15), ql/Pricers/mccliquetoption.hpp (1.14), ql/Pricers/mcdiscretearithmeticapo.cpp (1.18), ql/Pricers/mcdiscretearithmeticapo.hpp (1.16), ql/Pricers/mcdiscretearithmeticaso.cpp (1.19), ql/Pricers/mcdiscretearithmeticaso.hpp (1.17), ql/Pricers/mceuropean.cpp (1.19), ql/Pricers/mceuropean.hpp (1.20), 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/performanceoption.cpp (1.6), ql/Pricers/performanceoption.hpp (1.6), ql/Pricers/singleassetoption.cpp (1.22), ql/Pricers/singleassetoption.hpp (1.27), ql/Pricers/swaptionpricer.cpp (1.13), ql/Pricers/swaptionpricer.hpp (1.19), ql/Pricers/treecapfloor.cpp (1.25), ql/Pricers/treecapfloor.hpp (1.19), ql/Pricers/treeswaption.cpp (1.32), ql/Pricers/treeswaption.hpp (1.22), ql/PricingEngines/americanmcengines.cpp (1.5), ql/PricingEngines/americanmcengines.hpp (1.4), ql/PricingEngines/analyticamericanbinaryengine.cpp (1.6), ql/PricingEngines/analyticbarrierengine.cpp (1.4), ql/PricingEngines/analyticeuropeanbinaryengine.cpp (1.2), ql/PricingEngines/analyticeuropeanengine.cpp (1.9), ql/PricingEngines/barrierengines.hpp (1.9), ql/PricingEngines/binaryengines.hpp (1.6), ql/PricingEngines/binomialvanillaengine.cpp (1.10), ql/PricingEngines/cliquetengines.hpp (1.13), ql/PricingEngines/discretizedvanillaoption.cpp (1.22), ql/PricingEngines/discretizedvanillaoption.hpp (1.17), ql/PricingEngines/forwardengines.hpp (1.21), ql/PricingEngines/genericengine.hpp (1.12), ql/PricingEngines/integralengines.cpp (1.8), ql/PricingEngines/latticeshortratemodelengine.hpp (1.5), ql/PricingEngines/mcengine.hpp (1.36), ql/PricingEngines/mceuropeanengine.hpp (1.2), ql/PricingEngines/quantoengines.hpp (1.20), ql/PricingEngines/vanillaengines.hpp (1.32), 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/inversecumgaussianrng.hpp (1.9), ql/RandomNumbers/inversecumgaussianrsg.hpp (1.8), 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/randomarraygenerator.hpp (1.17), ql/RandomNumbers/randomsequencegenerator.hpp (1.8), ql/RandomNumbers/rngtypedefs.hpp (1.21), 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/affinetermstructure.cpp (1.13), ql/TermStructures/affinetermstructure.hpp (1.14), ql/TermStructures/compoundforward.cpp (1.26), ql/TermStructures/compoundforward.hpp (1.19), ql/TermStructures/discountcurve.cpp (1.21), 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.cpp (1.6), ql/TermStructures/zerocurve.hpp (1.4), ql/TermStructures/zerospreadedtermstructure.hpp (1.15), ql/Utilities/combiningiterator.hpp (1.11), ql/Utilities/couplingiterator.hpp (1.9), ql/Utilities/filteringiterator.hpp (1.9), ql/Utilities/iteratorcategories.hpp (1.9), ql/Utilities/processingiterator.hpp (1.10), 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/binaryoption.cpp (1.8), test-suite/binaryoption.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/marketelements.cpp (1.5), test-suite/marketelements.hpp (1.4), 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/qltestlistener.cpp (1.3), test-suite/qltestlistener.hpp (1.3), 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/AmericanOption/AmericanOption.dsp (1.2), Examples/AmericanOption/AmericanOption.mak (1.3), Examples/BermudanSwaption/BermudanSwaption.dsp (1.9), Examples/BermudanSwaption/BermudanSwaption.mak (1.24), Examples/DiscreteHedging/DiscreteHedging.dsp (1.11), Examples/DiscreteHedging/DiscreteHedging.mak (1.42), Examples/EuropeanOption/EuropeanOption.dsp (1.9), Examples/EuropeanOption/EuropeanOption.mak (1.42), Examples/Swap/Swap.dsp (1.10), Examples/Swap/Swap.mak (1.39), QuantLib.dsp (1.183), QuantLib.mak (1.171), test-suite/testsuite.dsp (1.17), test-suite/testsuite.mak (1.24): "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), QuantLib.mak (1.170): 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 15:58 Luigi Ballabio * TODO.txt (1.120): Somewhat updated 2003-10-23 15:41 Luigi Ballabio * ql/Instruments/: simpleswap.cpp (1.31), 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 15:40 Luigi Ballabio * ql/CashFlows/: basispointsensitivity.cpp (1.1), basispointsensitivity.hpp (1.9): Some refactoring and convenience functions 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 2003-10-21 11:35 Luigi Ballabio * test-suite/binaryoption.cpp (1.7): Fixed seed 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), QuantLib.mak (1.169), configure.ac (1.22): make 'lib' dir if not present 2003-10-17 15:09 Luigi Ballabio * QuantLib.dsp (1.180), QuantLib.mak (1.168): 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), binaryoption.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), mcbarrierengine.cpp (1.4): removed empty file 2003-10-17 13:07 Ferdinando Ametrano * ql/PricingEngines/mcengine.hpp (1.35), 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), binaryoption.cpp (1.4), europeanoption.cpp (1.15): no message 2003-10-15 14:24 Luigi Ballabio * ql/: Instruments/binaryoption.cpp (1.3), Instruments/binaryoption.hpp (1.3), Instruments/vanillaoption.hpp (1.24), Pricers/binaryoptionpricer.cpp (1.2), Pricers/binaryoptionpricer.hpp (1.2), PricingEngines/Makefile.am (1.24), PricingEngines/analyticamericanbinaryengine.cpp (1.5), PricingEngines/analyticeuropeanbinaryengine.cpp (1.1), PricingEngines/binaryengines.hpp (1.5), 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), Examples/EuropeanOption/EuropeanOption.cpp (1.83), ql/diffusionprocess.cpp (1.8), ql/quantlib.hpp (1.115), ql/PricingEngines/Makefile.am (1.23), ql/PricingEngines/mcengine.hpp (1.34), ql/PricingEngines/mceuropeanengine.hpp (1.1), ql/Volatilities/blackvariancecurve.hpp (1.19), ql/Volatilities/blackvariancesurface.hpp (1.22), test-suite/europeanoption.cpp (1.14), test-suite/testsuite.mak (1.23): MC European in one step with strike-independent vol curve (hopefully) 2003-10-14 15:51 Ferdinando Ametrano * QuantLib.dsp (1.177), QuantLib.mak (1.166): 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 15:33 Ferdinando Ametrano * ql/MonteCarlo/binarypathpricer.cpp (1.4): Borland warnings avoided 2003-10-14 15:17 Ferdinando Ametrano * ql/PricingEngines/analyticamericanbinaryengine.cpp (1.4), test-suite/binaryoption.cpp (1.3): Borland warnings avoided 2003-10-14 15:16 Ferdinando Ametrano * ql/PricingEngines/binaryengines.hpp (1.4): Pricers\binaryoption.* files renamed binaryoptionpricer.* to avoid conflict with Instruments\binaryoption.* 2003-10-14 15:12 Ferdinando Ametrano * ql/Pricers/Makefile.am (1.34), ql/Pricers/binaryoption.cpp (1.13), ql/Pricers/binaryoption.hpp (1.12), ql/Pricers/binaryoptionpricer.cpp (1.1), ql/Pricers/binaryoptionpricer.hpp (1.1), ql/Pricers/makefile.mak (1.33), QuantLib.dsp (1.176), QuantLib.mak (1.165), 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 (1.2), QuantLib.spec.in (1.1), configure.ac (1.19): Configurable spec file 2003-10-13 18:05 Luigi Ballabio * ql/Instruments/: simpleswap.cpp (1.30), simpleswap.hpp (1.32), 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 17:27 Luigi Ballabio * ql/Math/interpolationtraits.hpp (1.2): Missing include guard 2003-10-13 17:17 Luigi Ballabio * QuantLib.dsp (1.175), QuantLib.mak (1.164), 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), Math/interpolationtraits.hpp (1.1), Pricers/fddividendoption.cpp (1.10), 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/basispointsensitivity.hpp (1.8), 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), QuantLib.mak (1.163), ql/MonteCarlo/binarypathpricer.cpp (1.3), test-suite/testsuite.dsp (1.16), test-suite/testsuite.mak (1.22): 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/binarypathpricer.cpp (1.2), ql/MonteCarlo/makefile.mak (1.22), ql/PricingEngines/Makefile.am (1.22), ql/PricingEngines/analyticamericanbinaryengine.cpp (1.3), ql/PricingEngines/barrierengines.hpp (1.8), ql/PricingEngines/binaryengines.hpp (1.3), ql/PricingEngines/makefile.mak (1.22), test-suite/Makefile.am (1.18), test-suite/binaryoption.cpp (1.2), 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 18:15 Neil Firth * ql/: Instruments/binaryoption.cpp (1.2), Instruments/binaryoption.hpp (1.2), PricingEngines/analyticamericanbinaryengine.cpp (1.2), PricingEngines/binaryengines.hpp (1.2): Fixes for new arguments and results naming scheme 2003-10-11 18:08 Neil Firth * test-suite/: binaryoption.cpp (1.1), binaryoption.hpp (1.1), quantlibtestsuite.cpp (1.38): Tests for binary option pricing 2003-10-11 18:05 Neil Firth * ql/MonteCarlo/: binarypathpricer.cpp (1.1), binarypathpricer.hpp (1.1): Path pricer for Binary options - should cover both European and American style options. Also known as: Digital / Binary / Cash-At-Hit / Cash-At-Expiry. 2003-10-11 18:02 Neil Firth * ql/PricingEngines/: analyticamericanbinaryengine.cpp (1.1), binaryengines.hpp (1.1): Pricing Engines for Binary options - should cover both European and American style options. Also known as: Digital / Binary / Cash-At-Hit / Cash-At-Expiry. 2003-10-11 17:32 Neil Firth * ql/Instruments/: binaryoption.cpp (1.1), binaryoption.hpp (1.1): Binary option - should cover both European and American style options. Also known as: Digital / Binary / Cash-At-Hit / Cash-At-Expiry. 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), QuantLib.mak (1.162), ql/quantlib.hpp (1.112), ql/Pricers/Makefile.am (1.33), ql/Pricers/barrieroption.cpp (1.20), ql/Pricers/barrieroption.hpp (1.16), ql/Pricers/barrieroptionpricer.cpp (1.1), ql/Pricers/barrieroptionpricer.hpp (1.1), 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/AmericanOption/makefile.mak (1.6), Examples/BermudanSwaption/makefile.mak (1.10), Examples/DiscreteHedging/makefile.mak (1.13), Examples/EuropeanOption/makefile.mak (1.16), 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 16:23 Luigi Ballabio * Examples/EuropeanOption/EuropeanOption.cpp (1.81): Sync with new arg names 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), QuantLib.mak (1.161): 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), ql/MonteCarlo/barrierpathpricer.cpp (1.3), ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.3): avoid Borland warning 2003-10-09 14:02 Luigi Ballabio * ql/Pricers/blackswaption.cpp (1.10), 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/simpleswap.cpp (1.29), Instruments/simpleswap.hpp (1.31), Instruments/swaption.cpp (1.34), Instruments/swaption.hpp (1.29), Pricers/swaptionpricer.hpp (1.18): To each one its own 2003-10-07 16:23 Luigi Ballabio * ql/Pricers/barrieroption.cpp (1.19): Fixed buggy theta 2003-10-07 15:53 Luigi Ballabio * ql/: Pricers/barrieroption.cpp (1.18), Pricers/barrieroption.hpp (1.15), PricingEngines/analyticbarrierengine.cpp (1.3): Completed transplant 2003-10-07 10:13 Luigi Ballabio * makefile.mak (1.48), ql/makefile.mak (1.37), ql/Lattices/lattice.cpp (1.11), ql/Pricers/barrieroption.cpp (1.17), ql/PricingEngines/analyticbarrierengine.cpp (1.2), ql/PricingEngines/barrierengines.hpp (1.7), ql/PricingEngines/makefile.mak (1.21), test-suite/makefile.mak (1.14): Misc. Borland 2003-10-06 16:27 Luigi Ballabio * ql/Pricers/barrieroption.cpp (1.16), ql/Pricers/barrieroption.hpp (1.14), ql/PricingEngines/Makefile.am (1.21), ql/PricingEngines/analyticbarrierengine.cpp (1.1), ql/PricingEngines/barrierengines.hpp (1.6), 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 * Docs/images/Makefile.am (1.5), 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/Pricers/analyticalcapfloor.cpp (1.19), ql/Pricers/analyticalcapfloor.hpp (1.14), ql/Pricers/blackcapfloor.cpp (1.15), ql/Pricers/blackcapfloor.hpp (1.9), ql/Pricers/blackswaption.hpp (1.7), ql/Pricers/capfloorpricer.cpp (1.9), ql/Pricers/capfloorpricer.hpp (1.12), ql/Pricers/jamshidianswaption.cpp (1.17), ql/Pricers/jamshidianswaption.hpp (1.13), ql/Pricers/swaptionpricer.hpp (1.17), ql/Pricers/treecapfloor.cpp (1.24), ql/Pricers/treecapfloor.hpp (1.18), ql/Pricers/treeswaption.cpp (1.31), ql/Pricers/treeswaption.hpp (1.21), ql/PricingEngines/barrierengines.hpp (1.5), ql/PricingEngines/cliquetengines.hpp (1.12), ql/PricingEngines/discretizedvanillaoption.hpp (1.16), ql/PricingEngines/forwardengines.hpp (1.20), ql/PricingEngines/mcengine.hpp (1.33), ql/PricingEngines/quantoengines.hpp (1.19), ql/PricingEngines/vanillaengines.hpp (1.31), 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), QuantLib.mak (1.158), 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/AmericanOption/makefile.mak (1.5), Examples/BermudanSwaption/makefile.mak (1.9), Examples/DiscreteHedging/makefile.mak (1.12), Examples/EuropeanOption/makefile.mak (1.15), 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 15:00 Ferdinando Ametrano * TODO.txt (1.119): no message 2003-09-30 14:29 Luigi Ballabio * ql/PricingEngines/barrierengines.hpp (1.4), test-suite/Makefile.am (1.17), test-suite/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 10:28 Neil Firth * ql/Pricers/barrieroption.cpp (1.15): Corrected an error message 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/Makefile.am (1.4), 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), ql/PricingEngines/vanillaengines.hpp (1.30), test-suite/riskstats.cpp (1.23): Changed setupEngine() into setupArguments(args) 2003-09-25 12:34 Luigi Ballabio * Examples/EuropeanOption/EuropeanOption.cpp (1.80), ql/instrument.hpp (1.20), ql/Instruments/capfloor.cpp (1.36), ql/Instruments/swaption.cpp (1.31), ql/ShortRateModels/CalibrationHelpers/caphelper.cpp (1.17), ql/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), ql/Pricers/blackcapfloor.cpp (1.14), 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), QuantLib.mak (1.156), ql/Makefile.am (1.38), ql/instrument.hpp (1.18), ql/makefile.mak (1.34), ql/option.cpp (1.22), ql/option.hpp (1.16), ql/PricingEngines/barrierengines.hpp (1.3), ql/PricingEngines/mcbarrierengine.cpp (1.3): 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), QuantLib.mak (1.155), 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/barrierpathpricer.cpp (1.2), ql/MonteCarlo/barrierpathpricer.hpp (1.2), ql/MonteCarlo/biasedbarrierpathpricer.cpp (1.2), ql/MonteCarlo/biasedbarrierpathpricer.hpp (1.2), ql/MonteCarlo/makefile.mak (1.20), ql/Pricers/barrieroption.cpp (1.14), ql/Pricers/barrieroption.hpp (1.13), ql/Pricers/makefile.mak (1.29), ql/PricingEngines/Makefile.am (1.20), ql/PricingEngines/barrierengines.hpp (1.2), ql/PricingEngines/makefile.mak (1.18), ql/PricingEngines/mcbarrierengine.cpp (1.2), 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 12:16 Neil Firth * ql/PricingEngines/: barrierengines.hpp (1.1), mcbarrierengine.cpp (1.1): PricingEngines for Barrier options - Note the UniformSequenceGenerator for the BarrierPathPricer needs thinking about. It should probably use the same UniformGenerator as the PathGenerator. Must ensure no long term correlations between the PathGenerator and the Brownian Bridge sample for the max or min in the PathPricer. 2003-09-23 12:12 Neil Firth * ql/MonteCarlo/: barrierpathpricer.cpp (1.1), barrierpathpricer.hpp (1.1), biasedbarrierpathpricer.cpp (1.1), biasedbarrierpathpricer.hpp (1.1): Path pricers for barrier options 2003-09-23 12:10 Neil Firth * ql/PricingEngines/mcengine.hpp (1.32): Added a few comments 2003-09-23 12:00 Neil Firth * ql/Pricers/: barrieroption.cpp (1.13), barrieroption.hpp (1.12): Changed Pricer to use BarrierOption types defined in Instruments 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), option.cpp (1.21), 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 2003-09-23 10:31 Luigi Ballabio * ql/CashFlows/basispointsensitivity.hpp (1.7): Couldn't read it with real tabs 2003-09-19 15:06 Luigi Ballabio * ql/CashFlows/indexcashflowvectors.hpp (1.8): Added overload taking a Schedule and deprecated the old one 2003-09-19 11:18 Luigi Ballabio * ql/: CashFlows/cashflowvectors.cpp (1.25), CashFlows/cashflowvectors.hpp (1.20), Instruments/simpleswap.cpp (1.28), Instruments/simpleswap.hpp (1.30), ShortRateModels/CalibrationHelpers/caphelper.cpp (1.16): All FloatingRateCouponVector overloadings but one are now deprecated 2003-09-18 18:28 Luigi Ballabio * ql/: Instruments/simpleswap.cpp (1.27), 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 2003-09-18 18:08 Luigi Ballabio * ql/Instruments/: simpleswap.cpp (1.26), simpleswap.hpp (1.29): Using the new Schedule class 2003-09-18 18:07 Luigi Ballabio * ql/: scheduler.cpp (1.16), scheduler.hpp (1.16): Added std::vector constructor and renamed (in a backward-compatible way) to Schedule 2003-09-18 16:42 Luigi Ballabio * ql/: scheduler.cpp (1.15), scheduler.hpp (1.15): Unreadable with real tabs 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 * Examples/EuropeanOption/makefile.mak (1.14), 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/AmericanOption/makefile.mak (1.4), Examples/BermudanSwaption/makefile.mak (1.8), Examples/DiscreteHedging/makefile.mak (1.11), Examples/EuropeanOption/makefile.mak (1.13), 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/: AmericanOption/.cvsignore (1.2), AmericanOption/makefile.mak (1.3), BermudanSwaption/.cvsignore (1.7), BermudanSwaption/makefile.mak (1.7), DiscreteHedging/.cvsignore (1.7), DiscreteHedging/makefile.mak (1.10), EuropeanOption/.cvsignore (1.7), EuropeanOption/makefile.mak (1.12), 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 * TODO.txt (1.118): updated 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), QuantLib.spec (1.1): 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), Examples/Examples.dsw (1.6), test-suite/Makefile.am (1.16): Final merge from 0.3.3 branch 2003-09-01 14:54 Ferdinando Ametrano * Docs/: quantlibfooter.html (1.13.8.1), quantlibfooteronline.html (1.5.8.1): small fixes 2003-09-01 14:31 Ferdinando Ametrano * QuantLib.nsi (1.82.2.3), Readme.txt (1.17.18.1), Examples/Examples.dsw (1.5.22.1): small fixes 2003-09-01 10:46 Ferdinando Ametrano * test-suite/Makefile.am (1.14.8.4): small fixes 2003-09-01 09:49 Ferdinando Ametrano * QuantLib.nsi (1.82.2.2), Docs/quantlib.doxy (1.69.2.3): small fixes 2003-09-01 09:40 Ferdinando Ametrano * News.txt (1.27.2.3), QuantLib.nsi (1.82.2.1), test-suite/Makefile.am (1.14.8.3): small fixes 2003-08-28 17:52 Luigi Ballabio * ChangeLog.txt (1.36), History.txt (1.18), Makefile.am (1.80), News.txt (1.28), QuantLib.dsp (1.165), QuantLib.mak (1.154), 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/Makefile.am (1.9), Docs/pages/authors.docs (1.21), Docs/pages/examples.docs (1.6), Examples/AmericanOption/AmericanOption.cpp (1.3), Examples/AmericanOption/AmericanOption.mak (1.2), Examples/AmericanOption/Makefile.am (1.2), Examples/BermudanSwaption/Makefile.am (1.8), Examples/DiscreteHedging/Makefile.am (1.15), Examples/EuropeanOption/Makefile.am (1.9), Examples/Swap/Makefile.am (1.10), man/AmericanOption.1 (1.2), man/BermudanSwaption.1 (1.2), man/DiscreteHedging.1 (1.3), man/EuropeanOption.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/dataformatters.hpp (1.21), ql/dataparsers.cpp (1.9), ql/date.cpp (1.28), ql/date.hpp (1.23), ql/diffusionprocess.cpp (1.7), ql/diffusionprocess.hpp (1.24), ql/grid.hpp (1.18), ql/handle.hpp (1.15), ql/option.cpp (1.20), ql/payoff.hpp (1.7), ql/quantlib.hpp (1.109), ql/scheduler.cpp (1.14), ql/scheduler.hpp (1.14), ql/swaptionvolstructure.hpp (1.7), ql/CashFlows/basispointsensitivity.hpp (1.6), ql/CashFlows/cashflowvectors.cpp (1.23), ql/CashFlows/cashflowvectors.hpp (1.18), ql/CashFlows/indexcashflowvectors.hpp (1.7), 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/simpleswap.cpp (1.25), ql/Instruments/simpleswap.hpp (1.28), 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/multivariateaccumulator.hpp (1.17), ql/Math/primenumbers.cpp (1.9), ql/Math/riskmeasures.hpp (1.18), ql/Math/segmentintegral.hpp (1.18), ql/Math/sequencestatistics.hpp (1.20), ql/Math/svd.hpp (1.2), ql/MonteCarlo/everestpathpricer.cpp (1.18), ql/MonteCarlo/himalayapathpricer.cpp (1.22), ql/MonteCarlo/maxbasketpathpricer.cpp (1.11), ql/MonteCarlo/mctraits.hpp (1.4), ql/MonteCarlo/mctypedefs.hpp (1.24), ql/MonteCarlo/pagodapathpricer.cpp (1.18), ql/MonteCarlo/path.hpp (1.16), ql/MonteCarlo/pathgenerator.hpp (1.39), ql/Pricers/barrieroption.cpp (1.12), ql/Pricers/cliquetoption.hpp (1.13), ql/Pricers/discretegeometricapo.hpp (1.9), ql/Pricers/discretegeometricaso.hpp (1.9), ql/Pricers/fdbsmoption.cpp (1.13), ql/Pricers/fdbsmoption.hpp (1.13), ql/Pricers/fddividendeuropeanoption.hpp (1.9), ql/Pricers/fdmultiperiodoption.hpp (1.8), ql/Pricers/mcbasket.cpp (1.19), ql/Pricers/mcbasket.hpp (1.18), 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/performanceoption.hpp (1.5), ql/Pricers/singleassetoption.hpp (1.26), ql/PricingEngines/Makefile.am (1.19), ql/PricingEngines/americanmcengines.cpp (1.4), ql/PricingEngines/americanmcengines.hpp (1.3), ql/PricingEngines/cliquetengines.hpp (1.11), ql/PricingEngines/discretizedvanillaoption.cpp (1.21), ql/PricingEngines/integralengines.cpp (1.7), ql/PricingEngines/mcengine.hpp (1.31), ql/RandomNumbers/haltonrsg.cpp (1.9), ql/RandomNumbers/haltonrsg.hpp (1.8), ql/RandomNumbers/randomarraygenerator.hpp (1.16), 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.cpp (1.20), 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/TermStructures/zerocurve.cpp (1.5), 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), test-suite/testsuite.mak (1.20): 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 17:37 Luigi Ballabio * configure.ac (1.16.2.2), ql/config.ansi.hpp (1.18.2.1), ql/config.bcc.hpp (1.19.2.1), ql/config.msvc.hpp (1.35.2.1), ql/config.mwcw.hpp (1.17.2.1), ql/TermStructures/zerocurve.cpp (1.4.8.1): Conditionally allowed negative yields (disabled by default) 2003-08-21 17:34 Luigi Ballabio * ql/: TermStructures/Makefile.am (1.14.8.1), TermStructures/compoundforward.cpp (1.24.2.2), TermStructures/discountcurve.cpp (1.19.2.2), TermStructures/discountcurve.hpp (1.17.2.2), TermStructures/extendeddiscountcurve.cpp (1.1.2.1), TermStructures/extendeddiscountcurve.hpp (1.1.2.1), TermStructures/makefile.mak (1.11.8.1), quantlib.hpp (1.108.2.1): Split DiscountCurve in a simple and a complex version 2003-08-19 16:17 Luigi Ballabio * ql/: swaptionvolstructure.hpp (1.6.8.1), Volatilities/swaptionvolmatrix.hpp (1.9.8.1): Fix for swaption volatility matrix 2003-08-19 13:44 Luigi Ballabio * Docs/Makefile.am (1.56.8.1), Docs/makefile.mak (1.32.8.2), Docs/quantlib.doxy (1.69.2.2), Docs/quantlibheader.html (1.17.8.1), ql/PricingEngines/americanmcengines.hpp (1.2.2.4), ql/ShortRateModels/OneFactorModels/coxingersollross.hpp (1.10.8.1), ql/ShortRateModels/OneFactorModels/extendedcoxingersollross.hpp (1.12.8.1), ql/ShortRateModels/TwoFactorModels/g2.hpp (1.10.8.1): Added unstable feature list 2003-08-19 11:04 Ferdinando Ametrano * ql/payoff.hpp (1.6.2.1): typo fixed 2003-08-18 16:40 Ferdinando Ametrano * ql/grid.hpp (1.17.2.2): pruned redundant header inclusions 2003-08-17 15:37 Luigi Ballabio * ql/Solvers1D/newton.hpp (1.10.6.2): Too much pruning of header inclusions 2003-08-01 17:41 nielses * Docs/pages/authors.docs (1.20.2.1): Corrected errornous link and added link to nielses.dk 2003-08-01 17:39 nielses * ql/Math/kronrodintegral.hpp (1.1.8.1): Changed maxRecursionDepth to maxFunctionEvalutions as it's more generic and intuitive. 2003-07-31 19:21 Ferdinando Ametrano * Docs/pages/examples.docs (1.5.8.2), ql/diffusionprocess.hpp (1.23.8.1), ql/grid.hpp (1.17.2.1), ql/Instruments/capfloor.hpp (1.32.8.2), ql/Instruments/quantoforwardvanillaoption.cpp (1.5.8.2), ql/Math/gaussianstatistics.hpp (1.6.8.2), ql/MonteCarlo/pathgenerator.hpp (1.38.2.2), ql/Pricers/fdbsmoption.hpp (1.12.8.2), ql/Pricers/mcbasket.cpp (1.18.8.2), ql/Pricers/mcpagoda.hpp (1.17.8.2), ql/TermStructures/compoundforward.hpp (1.17.2.2): pruned redundant header inclusions 2003-07-31 16:40 Ferdinando Ametrano * Docs/pages/examples.docs (1.5.8.1): American option example added to documentation 2003-07-31 16:38 Ferdinando Ametrano * ql/: dataformatters.hpp (1.20.2.1), dataparsers.cpp (1.8.2.1), diffusionprocess.cpp (1.6.8.1), handle.hpp (1.14.8.1), CashFlows/basispointsensitivity.hpp (1.5.2.3), CashFlows/cashflowvectors.cpp (1.22.2.3), CashFlows/cashflowvectors.hpp (1.17.2.3), CashFlows/indexcashflowvectors.hpp (1.6.2.2), FiniteDifferences/americancondition.hpp (1.13.2.1), FiniteDifferences/boundarycondition.hpp (1.9.8.1), FiniteDifferences/fdtypedefs.hpp (1.8.8.1), FiniteDifferences/finitedifferencemodel.hpp (1.21.2.1), FiniteDifferences/shoutcondition.hpp (1.13.2.1), FiniteDifferences/stepcondition.hpp (1.9.8.1), FiniteDifferences/tridiagonaloperator.hpp (1.25.2.1), Instruments/quantoforwardvanillaoption.cpp (1.5.8.1), Instruments/simpleswap.cpp (1.24.2.3), Instruments/swap.cpp (1.19.2.3), Instruments/swap.hpp (1.15.2.3), Instruments/swaption.hpp (1.24.8.1), Instruments/vanillaoption.hpp (1.19.2.2), Math/gaussianstatistics.hpp (1.6.8.1), Math/matrix.hpp (1.15.8.1), Math/multivariateaccumulator.hpp (1.16.8.1), Math/primenumbers.cpp (1.8.8.1), Math/riskmeasures.hpp (1.17.8.1), Math/segmentintegral.hpp (1.17.8.1), Math/sequencestatistics.hpp (1.19.8.1), Math/svd.hpp (1.1.2.1), MonteCarlo/everestpathpricer.cpp (1.17.8.1), MonteCarlo/himalayapathpricer.cpp (1.21.8.1), MonteCarlo/maxbasketpathpricer.cpp (1.10.8.1), MonteCarlo/mctraits.hpp (1.3.8.1), MonteCarlo/mctypedefs.hpp (1.23.8.1), MonteCarlo/pagodapathpricer.cpp (1.17.8.1), MonteCarlo/path.hpp (1.15.8.1), MonteCarlo/pathgenerator.hpp (1.38.2.1), Pricers/cliquetoption.hpp (1.12.8.1), Pricers/discretegeometricapo.hpp (1.8.8.1), Pricers/discretegeometricaso.hpp (1.8.8.1), Pricers/fdbsmoption.cpp (1.12.8.1), Pricers/fdbsmoption.hpp (1.12.8.1), Pricers/fddividendeuropeanoption.hpp (1.8.8.1), Pricers/fdmultiperiodoption.hpp (1.7.8.1), Pricers/mcbasket.cpp (1.18.8.1), Pricers/mcbasket.hpp (1.17.8.1), Pricers/mceverest.cpp (1.21.8.1), Pricers/mceverest.hpp (1.16.8.1), Pricers/mchimalaya.cpp (1.21.8.1), Pricers/mchimalaya.hpp (1.16.8.1), Pricers/mcmaxbasket.cpp (1.18.8.1), Pricers/mcmaxbasket.hpp (1.16.8.1), Pricers/mcpagoda.hpp (1.17.8.1), Pricers/performanceoption.hpp (1.4.8.1), Pricers/singleassetoption.hpp (1.25.2.1), PricingEngines/americanmcengines.hpp (1.2.2.3), PricingEngines/cliquetengines.hpp (1.10.8.1), PricingEngines/integralengines.cpp (1.6.2.1), PricingEngines/mcengine.hpp (1.30.2.1), RandomNumbers/haltonrsg.cpp (1.8.8.1), RandomNumbers/haltonrsg.hpp (1.7.8.1), RandomNumbers/randomarraygenerator.hpp (1.15.8.1), ShortRateModels/CalibrationHelpers/caphelper.cpp (1.13.2.1), Solvers1D/newton.hpp (1.10.6.1), TermStructures/compoundforward.cpp (1.24.2.1), TermStructures/compoundforward.hpp (1.17.2.1), TermStructures/discountcurve.cpp (1.19.2.1), TermStructures/discountcurve.hpp (1.17.2.1), Volatilities/blackvariancesurface.hpp (1.17.2.1): pruned redundant header inclusions 2003-07-29 17:56 Luigi Ballabio * ql/scheduler.cpp (1.13.2.2): Checks no longer needed---any ambiguity is removed by the rolling convention now 2003-07-29 15:57 Luigi Ballabio * man/: AmericanOption.1 (1.1.2.1), BermudanSwaption.1 (1.1.2.1), Makefile.am (1.4.8.3), quantlib-test-suite.1 (1.1.2.1): New man pages from Dirk 2003-07-29 14:53 Luigi Ballabio * ql/Instruments/simpleswap.cpp (1.24.2.2): C++ isn't Java---can't call an overloaded constructor from another one 2003-07-29 14:51 Luigi Ballabio * ql/: CashFlows/cashflowvectors.cpp (1.22.2.2), CashFlows/cashflowvectors.hpp (1.17.2.2), Instruments/simpleswap.hpp (1.27.2.2): Added deprecations 2003-07-29 13:02 Luigi Ballabio * ql/Instruments/capfloor.cpp (1.31.8.3): Don't be timid :) 2003-07-29 12:30 Ferdinando Ametrano * makefile.mak (1.44.2.1), test-suite/makefile.mak (1.6.8.1): tests should work for Borland too if one has a working Borland cppunit lib 2003-07-29 12:22 Ferdinando Ametrano * Examples/AmericanOption/AmericanOption.cpp (1.2.2.2): there is still a bug. See the valuation of the Call option 2003-07-29 12:21 Ferdinando Ametrano * ql/: CashFlows/basispointsensitivity.hpp (1.5.2.2), Instruments/capfloor.cpp (1.31.8.2): Borland warnings avoided 2003-07-29 10:32 Luigi Ballabio * ql/Instruments/: swap.cpp (1.19.2.2), swap.hpp (1.15.2.2): Never, ever add a "using" directive to a header file 2003-07-28 15:40 Luigi Ballabio * test-suite/: compoundforward.cpp (1.1.2.2), testsuite.dsp (1.13.8.1), testsuite.mak (1.19.8.1): Added new test to VC++ project 2003-07-28 15:18 Marco Marchioro * ql/Pricers/barrieroption.cpp (1.11.8.1): theta is defined with a minus sign in front 2003-07-28 10:28 andrelouw * test-suite/: Makefile.am (1.14.8.2), compoundforward.cpp (1.1.2.1), compoundforward.hpp (1.1.2.1), quantlibtestsuite.cpp (1.30.2.1): Test for CompoundForward Termstructure 2003-07-28 10:09 andrelouw * ql/Instruments/: swap.cpp (1.19.2.1), swap.hpp (1.15.2.1): Removed fairRate calculation (not always valid) 2003-07-28 10:07 andrelouw * ql/Instruments/: simpleswap.cpp (1.24.2.1), simpleswap.hpp (1.27.2.1): Added constructor using pre-constructed Scheduler to build swap legs. 2003-07-28 10:05 andrelouw * ql/CashFlows/: cashflowvectors.cpp (1.22.2.1), cashflowvectors.hpp (1.17.2.1): Added constructor using pre-constructed Scheduler to build vectors. 2003-07-28 10:03 andrelouw * ql/CashFlows/basispointsensitivity.hpp (1.5.2.1): Reverted to STL functions for comparison. 2003-07-28 10:02 andrelouw * ql/: scheduler.cpp (1.13.2.1), scheduler.hpp (1.13.2.2): Added seperate named-parameter-like MakeScheduler constructor for Scheduler. 2003-07-28 09:59 andrelouw * ql/: date.cpp (1.27.2.1), date.hpp (1.22.2.1): Removed constructor from string - moved to SWIG interface file. 2003-07-28 09:58 andrelouw * ql/: calendar.cpp (1.14.2.1), calendar.hpp (1.24.2.1): Changed long-winded "isLastBusinessDayOfMonth" to short-and-sweet "isEndOfMonth" 2003-07-27 18:48 Luigi Ballabio * ql/Instruments/: capfloor.cpp (1.31.8.1), capfloor.hpp (1.32.8.1): Inspectors added 2003-07-27 13:32 Luigi Ballabio * man/: DiscreteHedging.1 (1.2.2.1), EuropeanOption.1 (1.2.2.1), Makefile.am (1.4.8.2), SwapValuation.1 (1.2.2.1): Man for the examples (they might be installed) 2003-07-26 21:51 Luigi Ballabio * Makefile.am (1.79.2.2), configure.ac (1.16.2.1), Examples/AmericanOption/Makefile.am (1.1.2.1), Examples/BermudanSwaption/Makefile.am (1.7.2.1), Examples/DiscreteHedging/Makefile.am (1.14.2.1), Examples/EuropeanOption/Makefile.am (1.8.2.1), Examples/Swap/Makefile.am (1.9.2.1), ql/Instruments/swaption.cpp (1.28.8.1), test-suite/Makefile.am (1.14.8.1): Make and make install adjustments 2003-07-26 15:03 Luigi Ballabio * Makefile.am (1.79.2.1), Docs/pages/Makefile.am (1.8.8.1), man/Makefile.am (1.4.8.1): Cleaned up distribution commands 2003-07-26 15:02 Luigi Ballabio * ql/scheduler.hpp (1.13.2.1): false is a bool, 0 is not 2003-07-25 19:10 Luigi Ballabio * Examples/AmericanOption/AmericanOption.cpp (1.2.2.1): Less samples and more time steps 2003-07-25 19:10 Luigi Ballabio * ql/option.cpp (1.19.8.1): Check for null engine 2003-07-25 19:09 Luigi Ballabio * ql/Instruments/: vanillaoption.cpp (1.21.2.1), vanillaoption.hpp (1.19.2.1): Allowed initialization with null engine to be set later 2003-07-25 19:08 Luigi Ballabio * ql/PricingEngines/: americanmcengines.cpp (1.3.2.3), americanmcengines.hpp (1.2.2.2): Fixed a small leak and added time steps as an input parameter 2003-07-25 17:50 Luigi Ballabio * ql/PricingEngines/discretizedvanillaoption.cpp (1.20.2.1): Fixed American options on binomial trees 2003-07-25 15:17 Luigi Ballabio * ql/Math/loglinearinterpolation.hpp (1.16.2.1): Removed warning 2003-07-25 15:06 Luigi Ballabio * ql/PricingEngines/: americanmcengines.cpp (1.3.2.2), americanmcengines.hpp (1.2.2.1): Minor fixes 2003-07-25 14:56 Luigi Ballabio * ql/PricingEngines/Makefile.am (1.18.2.1): Fixed list of sources 2003-07-25 14:55 Luigi Ballabio * ql/PricingEngines/americanmcengines.cpp (1.3.2.1): Missing cr at end of file 2003-07-25 14:54 Luigi Ballabio * News.txt (1.27.2.1): Miscellanea is last 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 11:09 Luigi Ballabio * Examples/EuropeanOption/EuropeanOption.cpp (1.79): Bypassed mysterious problem with VC++ 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/AmericanOption/makefile.mak (1.2), Examples/BermudanSwaption/makefile.mak (1.6), Examples/DiscreteHedging/makefile.mak (1.9), Examples/EuropeanOption/makefile.mak (1.11), Examples/Swap/makefile.mak (1.9): Examples build conditionally with Borland 2003-07-25 10:48 Ferdinando Ametrano * ql/: CashFlows/basispointsensitivity.hpp (1.5), 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), Utilities/combiningiterator.hpp (1.10), Utilities/processingiterator.hpp (1.9), Volatilities/blackvariancesurface.hpp (1.17): Added David Schwartz's fixes for VC7 2003-07-24 20:35 Ferdinando Ametrano * Examples/AmericanOption/AmericanOption.cpp (1.2), ql/dataparsers.cpp (1.8), ql/PricingEngines/americanmcengines.cpp (1.3), ql/PricingEngines/americanmcengines.hpp (1.2): few Borland warning avoided 2003-07-24 20:02 nehal1974 * ql/Lattices/lattice2d.cpp (1.7): let's keep it clean! -- (added a space) 2003-07-24 19:06 Luigi Ballabio * QuantLib.dsw (1.10), Examples/AmericanOption/.cvsignore (1.1): Added project to workspace 2003-07-24 18:48 Luigi Ballabio * ql/PricingEngines/americanmcengines.cpp (1.2): Now compiling with the current code base 2003-07-24 18:47 nehal1974 * ql/Lattices/lattice2d.cpp (1.6): initialize m_ in constructor 2003-07-24 18:43 Luigi Ballabio * configure.ac (1.15): Some more catching up with Neil 2003-07-24 18:32 Luigi Ballabio * ql/Lattices/lattice.cpp (1.10): Better error message and less work if not needed 2003-07-24 18:28 Luigi Ballabio * ql/dataformatters.hpp (1.20): Non case-sensitive operating systems should be taken out and shot... 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 * History.txt (1.17), News.txt (1.26), Examples/AmericanOption/Makefile.am (1.1), Examples/AmericanOption/ReadMe.txt (1.1), Examples/AmericanOption/makefile.mak (1.1), Examples/EuropeanOption/ReadMe.txt (1.2), 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), QuantLib.mak (1.153), Examples/AmericanOption/AmericanOption.dsp (1.1): 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 17:05 Neil Firth * Examples/AmericanOption/AmericanOption.cpp (1.1): Examples of use of Pricing Engines for American options 2003-07-24 16:58 Neil Firth * ql/PricingEngines/: americanmcengines.cpp (1.1), americanmcengines.hpp (1.1): First crude implementation of the Longstaff Schwartz Least Squares Monte Carlo algorithm for 1d american options 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 15:56 Neil Firth * ql/: dataformatters.cpp (1.24), dataformatters.hpp (1.19): Overloaded << for the Matrix class 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), Lattices/lattice.cpp (1.9), Pricers/capfloorpricer.cpp (1.8), Pricers/capfloorpricer.hpp (1.11), Pricers/swaptionpricer.cpp (1.12), Pricers/swaptionpricer.hpp (1.16), PricingEngines/discretizedvanillaoption.cpp (1.20), PricingEngines/discretizedvanillaoption.hpp (1.15): 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/EuropeanOption/Makefile.am (1.8), 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 18:15 Luigi Ballabio * ql/PricingEngines/forwardengines.hpp (1.19): Any compiler leaving this go unnoticed should be taken out and shot 2003-07-23 17:37 Luigi Ballabio * QuantLib.dsw (1.9), ql/discretizedasset.hpp (1.2), ql/Pricers/swaptionpricer.cpp (1.11), ql/Pricers/swaptionpricer.hpp (1.15), ql/Pricers/treeswaption.cpp (1.30): Oops, fixed Bermudan swaptions 2003-07-23 15:49 Luigi Ballabio * ql/: discretizedasset.cpp (1.2), numericalmethod.hpp (1.11), Lattices/lattice.cpp (1.8), 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), EuropeanOption/EuropeanOption.cpp (1.78): PlainPayoff divided into two: PlainVanillaPayoff and StrikedTypePayoff 2003-07-23 15:14 Marco Marchioro * ql/: MonteCarlo/arithmeticapopathpricer.hpp (1.12), MonteCarlo/arithmeticasopathpricer.cpp (1.14), MonteCarlo/basketpathpricer.hpp (1.20), MonteCarlo/cliquetoptionpathpricer.cpp (1.15), MonteCarlo/europeanpathpricer.hpp (1.18), MonteCarlo/geometricapopathpricer.hpp (1.12), MonteCarlo/geometricasopathpricer.cpp (1.17), MonteCarlo/performanceoptionpathpricer.hpp (1.11), 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), PricingEngines/analyticeuropeanengine.cpp (1.8), PricingEngines/forwardengines.hpp (1.18), PricingEngines/integralengines.cpp (1.6), PricingEngines/mcengine.hpp (1.30), PricingEngines/quantoengines.hpp (1.18), payoff.hpp (1.6): PlainPayoff divided into two: PlainVanillaPayoff and StrikedTypePayoff 2003-07-23 11:38 Ferdinando Ametrano * TODO.txt (1.117), 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), dataparsers.hpp (1.8): fixed warning problem 2003-07-22 18:03 Marco Marchioro * ql/PricingEngines/: analyticeuropeanengine.cpp (1.7), discretizedvanillaoption.cpp (1.19), integralengines.cpp (1.5), mcengine.hpp (1.29), vanillaengines.hpp (1.29): payoff is now part of Vanilla Option Arguments 2003-07-22 18:02 Marco Marchioro * ql/PricingEngines/: Makefile.am (1.17), fdvanillaengine.cpp (1.4), 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 andrelouw * ql/TermStructures/: compoundforward.cpp (1.24), compoundforward.hpp (1.17), discountcurve.cpp (1.19), discountcurve.hpp (1.16): Refactoring and simplification. Proper calculation of rates on non compounding boundaries. 2003-07-22 12:40 andrelouw * 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 andrelouw * ql/termstructure.hpp (1.32): Added compound forward and zero coupon implementations. 2003-07-22 12:37 andrelouw * ql/TermStructures/: ratehelpers.cpp (1.34), ratehelpers.hpp (1.29): Added Futures rate helper with specified maturity date. 2003-07-22 12:20 andrelouw * ql/Instruments/: swap.cpp (1.19), swap.hpp (1.15): Added bucketed bps calculation as well as simple fairRate calculation. 2003-07-22 12:18 andrelouw * ql/Instruments/: simpleswap.cpp (1.24), simpleswap.hpp (1.27): Added swap constructor using specified maturity date as well as added functionality in Scheduler. 2003-07-22 12:15 andrelouw * ql/CashFlows/basispointsensitivity.hpp (1.4): Added date bucketed basis point sensitivity based on 1st derivative of zero coupon rate. 2003-07-22 11:57 andrelouw * ql/: scheduler.cpp (1.13), scheduler.hpp (1.13), CashFlows/cashflowvectors.cpp (1.22), CashFlows/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 11:49 andrelouw * ql/marketelement.hpp (1.13): Only notify observers when value actually changed. 2003-07-22 11:48 andrelouw * ql/: dataparsers.cpp (1.7), dataparsers.hpp (1.7), date.cpp (1.27), date.hpp (1.22): Added parsing of input date string using supplied format string. 2003-07-22 11:45 andrelouw * 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 11:31 andrelouw * ql/Calendars/johannesburg.cpp (1.7): Only if the holiday falls on a Sunday will it move to the Monday. 2003-07-22 11:11 Luigi Ballabio * configure.ac (1.13), ql/array.hpp (1.18), 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 2003-07-18 13:27 Luigi Ballabio * ql/PricingEngines/discretizedvanillaoption.cpp (1.18): Bitwise and between booleans? 2003-07-17 11:10 Luigi Ballabio * QuantLib.dsp (1.161), QuantLib.mak (1.151): 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), Lattices/lattice.cpp (1.7), Pricers/capfloorpricer.hpp (1.10), Pricers/swaptionpricer.cpp (1.10), Pricers/swaptionpricer.hpp (1.14), PricingEngines/discretizedvanillaoption.hpp (1.14): Abstracted discretized option 2003-07-16 17:12 Luigi Ballabio * Examples/BermudanSwaption/BermudanSwaption.cpp (1.34), ql/numericalmethod.hpp (1.9), ql/Lattices/lattice.cpp (1.6), ql/Pricers/capfloorpricer.hpp (1.9), ql/Pricers/swaptionpricer.hpp (1.13), ql/PricingEngines/discretizedvanillaoption.hpp (1.13), 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/: array.hpp (1.17), scheduler.hpp (1.12), 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), CashFlows/indexcashflowvectors.hpp (1.6), FiniteDifferences/tridiagonaloperator.hpp (1.24), Pricers/blackcapfloor.cpp (1.13): Equal treatment for MS, Solaris and Darwin (fair is fair) 2003-07-15 12:48 Luigi Ballabio * ql/Pricers/blackcapfloor.cpp (1.12): Fixed test failing on Visual C++ 2003-07-14 18:48 Marco Marchioro * ql/: pricingengine.hpp (1.9), PricingEngines/genericengine.hpp (1.11): logical constness of arguments() enforced 2003-07-14 18:23 Luigi Ballabio * ql/: grid.hpp (1.17), Pricers/swaptionpricer.cpp (1.9), Pricers/swaptionpricer.hpp (1.12), Pricers/treeswaption.cpp (1.29): 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 dicesare * QuantLib.dsp (1.160): add /Oi- compilation flag to avoid internal compiler error messages 2003-06-26 11:16 Luigi Ballabio * Docs/quantlibheader.tex (1.15.2.1), ql/Patterns/lazyobject.hpp (1.3.4.1): Manual back-merge (I know, I know) 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 2003-06-25 08:53 Luigi Ballabio * ql/termstructure.hpp (1.30.4.1): 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 2003-06-11 12:28 Luigi Ballabio * QuantLib.nsi (1.79.4.1), configure.ac (1.11.4.1), Docs/quantlib.doxy (1.67.4.1), dev_tools/version_number.txt (1.29.4.1), ql/qldefines.hpp (1.53.4.1), ql/Solvers1D/Makefile.am (1.7.2.1): Preparing for release 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), indexcashflowvectors.hpp (1.4), 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), QuantLib.mak (1.150), Examples/EuropeanOption/EuropeanOption.cpp (1.77), ql/Makefile.am (1.36), ql/makefile.mak (1.29), ql/solver1d.cpp (1.12), ql/solver1d.hpp (1.13), ql/Instruments/vanillaoption.hpp (1.18), ql/Pricers/jamshidianswaption.cpp (1.16), 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.cpp (1.10), ql/Solvers1D/bisection.hpp (1.10), ql/Solvers1D/brent.cpp (1.11), ql/Solvers1D/brent.hpp (1.10), ql/Solvers1D/falseposition.cpp (1.10), ql/Solvers1D/falseposition.hpp (1.10), ql/Solvers1D/makefile.mak (1.8), ql/Solvers1D/newton.cpp (1.10), ql/Solvers1D/newton.hpp (1.10), ql/Solvers1D/newtonsafe.cpp (1.11), ql/Solvers1D/newtonsafe.hpp (1.11), ql/Solvers1D/ridder.cpp (1.10), ql/Solvers1D/ridder.hpp (1.10), ql/Solvers1D/secant.cpp (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), Docs/Examples/Makefile.am (1.4), Docs/images/Makefile.am (1.3), Docs/pages/Makefile.am (1.8), 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/EuropeanOption/EuropeanOption.cpp (1.76), Examples/EuropeanOption/makefile.mak (1.10), 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/array.hpp (1.16), ql/blackmodel.hpp (1.9), 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/dataformatters.cpp (1.23), ql/dataformatters.hpp (1.18), ql/dataparsers.cpp (1.6), ql/dataparsers.hpp (1.6), ql/date.cpp (1.25), ql/date.hpp (1.21), ql/daycounter.hpp (1.20), ql/diffusionprocess.cpp (1.6), ql/diffusionprocess.hpp (1.23), ql/disposable.hpp (1.3), ql/errors.hpp (1.12), ql/exercise.cpp (1.4), ql/exercise.hpp (1.24), ql/grid.cpp (1.9), 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/marketelement.hpp (1.12), ql/null.hpp (1.8), ql/numericalmethod.hpp (1.8), ql/option.cpp (1.19), 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/relinkablehandle.hpp (1.15), ql/riskstatistics.hpp (1.19), ql/scheduler.cpp (1.12), ql/scheduler.hpp (1.11), ql/solver1d.cpp (1.11), 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/budapest.cpp (1.4), ql/Calendars/budapest.hpp (1.4), ql/Calendars/frankfurt.cpp (1.13), ql/Calendars/frankfurt.hpp (1.13), ql/Calendars/helsinki.cpp (1.12), ql/Calendars/helsinki.hpp (1.13), ql/Calendars/johannesburg.cpp (1.6), ql/Calendars/johannesburg.hpp (1.5), ql/Calendars/jointcalendar.cpp (1.4), ql/Calendars/jointcalendar.hpp (1.3), ql/Calendars/london.cpp (1.13), ql/Calendars/london.hpp (1.13), ql/Calendars/makefile.mak (1.12), ql/Calendars/milan.cpp (1.12), ql/Calendars/milan.hpp (1.13), ql/Calendars/newyork.cpp (1.13), ql/Calendars/newyork.hpp (1.14), ql/Calendars/oslo.cpp (1.4), ql/Calendars/oslo.hpp (1.4), ql/Calendars/stockholm.cpp (1.5), ql/Calendars/stockholm.hpp (1.4), ql/Calendars/sydney.cpp (1.5), ql/Calendars/sydney.hpp (1.5), ql/Calendars/target.cpp (1.13), ql/Calendars/target.hpp (1.14), ql/Calendars/tokyo.cpp (1.9), ql/Calendars/tokyo.hpp (1.6), ql/Calendars/toronto.cpp (1.5), ql/Calendars/toronto.hpp (1.5), ql/Calendars/warsaw.cpp (1.4), ql/Calendars/warsaw.hpp (1.4), ql/Calendars/wellington.cpp (1.13), ql/Calendars/wellington.hpp (1.13), ql/Calendars/zurich.cpp (1.12), ql/Calendars/zurich.hpp (1.13), ql/CashFlows/Makefile.am (1.11), ql/CashFlows/basispointsensitivity.hpp (1.3), 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/actual365.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.cpp (1.14), 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/FiniteDifferences/valueatcenter.cpp (1.12), ql/FiniteDifferences/valueatcenter.hpp (1.8), ql/Indexes/Makefile.am (1.8), ql/Indexes/audlibor.hpp (1.8), ql/Indexes/cadlibor.hpp (1.8), ql/Indexes/chflibor.hpp 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ql/Math/symmetricschurdecomposition.cpp (1.10), ql/Math/symmetricschurdecomposition.hpp (1.10), ql/MonteCarlo/Makefile.am (1.23), ql/MonteCarlo/arithmeticapopathpricer.cpp (1.12), ql/MonteCarlo/arithmeticapopathpricer.hpp (1.11), ql/MonteCarlo/arithmeticasopathpricer.cpp (1.13), ql/MonteCarlo/arithmeticasopathpricer.hpp (1.9), ql/MonteCarlo/basketpathpricer.cpp (1.24), ql/MonteCarlo/basketpathpricer.hpp (1.19), ql/MonteCarlo/brownianbridge.hpp (1.8), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.14), ql/MonteCarlo/cliquetoptionpathpricer.hpp (1.9), ql/MonteCarlo/europeanpathpricer.cpp (1.19), ql/MonteCarlo/europeanpathpricer.hpp (1.17), ql/MonteCarlo/everestpathpricer.cpp (1.17), ql/MonteCarlo/everestpathpricer.hpp (1.15), ql/MonteCarlo/geometricapopathpricer.cpp (1.14), ql/MonteCarlo/geometricapopathpricer.hpp (1.11), ql/MonteCarlo/geometricasopathpricer.cpp (1.16), ql/MonteCarlo/geometricasopathpricer.hpp (1.9), ql/MonteCarlo/getcovariance.hpp (1.12), 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ql/Patterns/visitor.hpp (1.3), ql/Pricers/Makefile.am (1.31), ql/Pricers/analyticalcapfloor.cpp (1.18), ql/Pricers/analyticalcapfloor.hpp (1.13), ql/Pricers/barrieroption.cpp (1.11), ql/Pricers/barrieroption.hpp (1.11), ql/Pricers/binaryoption.cpp (1.12), ql/Pricers/binaryoption.hpp (1.11), ql/Pricers/blackcapfloor.cpp (1.11), ql/Pricers/blackcapfloor.hpp (1.8), ql/Pricers/blackswaption.cpp (1.9), ql/Pricers/blackswaption.hpp (1.6), ql/Pricers/capfloorpricer.cpp (1.7), ql/Pricers/capfloorpricer.hpp (1.8), ql/Pricers/cliquetoption.cpp (1.14), ql/Pricers/cliquetoption.hpp (1.12), ql/Pricers/continuousgeometricapo.hpp (1.9), ql/Pricers/discretegeometricapo.cpp (1.11), ql/Pricers/discretegeometricapo.hpp (1.8), ql/Pricers/discretegeometricaso.cpp (1.11), ql/Pricers/discretegeometricaso.hpp (1.8), ql/Pricers/europeanoption.cpp (1.14), ql/Pricers/europeanoption.hpp (1.16), ql/Pricers/fdamericanoption.hpp (1.9), ql/Pricers/fdbermudanoption.cpp (1.8), ql/Pricers/fdbermudanoption.hpp (1.6), ql/Pricers/fdbsmoption.cpp (1.12), ql/Pricers/fdbsmoption.hpp (1.12), ql/Pricers/fddividendamericanoption.cpp (1.6), ql/Pricers/fddividendamericanoption.hpp (1.6), ql/Pricers/fddividendeuropeanoption.cpp (1.7), ql/Pricers/fddividendeuropeanoption.hpp (1.8), ql/Pricers/fddividendoption.cpp (1.9), ql/Pricers/fddividendoption.hpp (1.6), ql/Pricers/fddividendshoutoption.cpp (1.9), ql/Pricers/fddividendshoutoption.hpp (1.8), ql/Pricers/fdeuropean.cpp (1.12), ql/Pricers/fdeuropean.hpp (1.11), ql/Pricers/fdmultiperiodoption.cpp (1.14), ql/Pricers/fdmultiperiodoption.hpp (1.7), ql/Pricers/fdshoutoption.hpp (1.8), ql/Pricers/fdstepconditionoption.cpp (1.11), ql/Pricers/fdstepconditionoption.hpp (1.7), ql/Pricers/jamshidianswaption.cpp (1.15), ql/Pricers/jamshidianswaption.hpp (1.12), ql/Pricers/makefile.mak (1.25), ql/Pricers/mcbasket.cpp (1.18), ql/Pricers/mcbasket.hpp (1.17), ql/Pricers/mccliquetoption.cpp (1.14), ql/Pricers/mccliquetoption.hpp (1.13), ql/Pricers/mcdiscretearithmeticapo.cpp 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ql/PricingEngines/Makefile.am (1.16), ql/PricingEngines/analyticeuropeanengine.cpp (1.6), ql/PricingEngines/binomialvanillaengine.cpp (1.9), ql/PricingEngines/cliquetengines.hpp (1.10), ql/PricingEngines/discretizedvanillaoption.cpp (1.17), ql/PricingEngines/discretizedvanillaoption.hpp (1.12), ql/PricingEngines/fdvanillaengine.cpp (1.3), ql/PricingEngines/forwardengines.hpp (1.17), ql/PricingEngines/genericengine.hpp (1.10), ql/PricingEngines/integralengines.cpp (1.4), ql/PricingEngines/latticeshortratemodelengine.hpp (1.4), ql/PricingEngines/makefile.mak (1.12), ql/PricingEngines/mcengine.hpp (1.28), ql/PricingEngines/quantoengines.hpp (1.17), ql/PricingEngines/vanillaengines.hpp (1.28), 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/inversecumgaussianrng.hpp (1.8), ql/RandomNumbers/inversecumgaussianrsg.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/randomarraygenerator.hpp (1.15), ql/RandomNumbers/randomsequencegenerator.hpp (1.6), ql/RandomNumbers/rngtypedefs.hpp (1.20), 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.cpp (1.9), ql/Solvers1D/bisection.hpp (1.9), ql/Solvers1D/brent.cpp (1.10), ql/Solvers1D/brent.hpp (1.9), ql/Solvers1D/falseposition.cpp (1.9), ql/Solvers1D/falseposition.hpp (1.9), ql/Solvers1D/makefile.mak (1.7), ql/Solvers1D/newton.cpp (1.9), ql/Solvers1D/newton.hpp (1.9), ql/Solvers1D/newtonsafe.cpp (1.10), ql/Solvers1D/newtonsafe.hpp (1.10), ql/Solvers1D/ridder.cpp (1.9), ql/Solvers1D/ridder.hpp (1.9), ql/Solvers1D/secant.cpp (1.9), ql/Solvers1D/secant.hpp (1.9), ql/TermStructures/Makefile.am (1.14), ql/TermStructures/affinetermstructure.cpp (1.12), ql/TermStructures/affinetermstructure.hpp (1.13), ql/TermStructures/compoundforward.cpp (1.23), ql/TermStructures/compoundforward.hpp (1.16), ql/TermStructures/discountcurve.cpp (1.18), 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.cpp (1.4), ql/TermStructures/zerocurve.hpp (1.3), ql/TermStructures/zerospreadedtermstructure.hpp (1.14), ql/Utilities/Makefile.am (1.6), ql/Utilities/combiningiterator.hpp (1.9), ql/Utilities/couplingiterator.hpp (1.8), ql/Utilities/filteringiterator.hpp (1.8), ql/Utilities/iteratorcategories.hpp (1.8), ql/Utilities/processingiterator.hpp (1.8), 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/marketelements.cpp (1.4), test-suite/marketelements.hpp (1.3), 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/qltestlistener.cpp (1.2), test-suite/qltestlistener.hpp (1.2), 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/: array.hpp (1.15), FiniteDifferences/tridiagonaloperator.cpp (1.19), FiniteDifferences/tridiagonaloperator.hpp (1.22), Math/matrix.cpp (1.13), 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), QuantLib.mak (1.149), Examples/EuropeanOption/EuropeanOption.cpp (1.75), ql/MonteCarlo/mctraits.hpp (1.2), ql/MonteCarlo/mctypedefs.hpp (1.22), ql/MonteCarlo/montecarlomodel.hpp (1.23), ql/Pricers/mcbasket.cpp (1.17), ql/Pricers/mcbasket.hpp (1.16), ql/Pricers/mccliquetoption.cpp (1.13), ql/Pricers/mccliquetoption.hpp (1.12), ql/Pricers/mcdiscretearithmeticapo.cpp (1.16), ql/Pricers/mcdiscretearithmeticapo.hpp (1.14), ql/Pricers/mcdiscretearithmeticaso.cpp (1.17), ql/Pricers/mcdiscretearithmeticaso.hpp (1.15), ql/Pricers/mceuropean.cpp (1.17), ql/Pricers/mceuropean.hpp (1.18), 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), ql/PricingEngines/cliquetengines.hpp (1.9), ql/PricingEngines/mcengine.hpp (1.26): 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), PricingEngines/mcengine.hpp (1.25): 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), Examples/EuropeanOption/EuropeanOption.cpp (1.74), 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/mcbasket.cpp (1.16), ql/Pricers/mcbasket.hpp (1.15), ql/Pricers/mccliquetoption.cpp (1.12), ql/Pricers/mccliquetoption.hpp (1.11), ql/Pricers/mcdiscretearithmeticapo.cpp (1.15), ql/Pricers/mcdiscretearithmeticapo.hpp (1.13), ql/Pricers/mcdiscretearithmeticaso.cpp (1.16), ql/Pricers/mcdiscretearithmeticaso.hpp (1.14), ql/Pricers/mceuropean.cpp (1.16), ql/Pricers/mceuropean.hpp (1.17), 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/PricingEngines/mcengine.hpp (1.24), ql/RandomNumbers/haltonrsg.cpp (1.7), ql/RandomNumbers/inversecumgaussianrng.hpp (1.7), ql/RandomNumbers/inversecumgaussianrsg.hpp (1.6), ql/RandomNumbers/rngtypedefs.hpp (1.19): Re-templatized Monte Carlo model on traits 2003-05-08 12:06 Luigi Ballabio * ql/Math/segmentintegral.hpp (1.16), ql/Pricers/mcbasket.hpp (1.14), 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/marketelements.cpp (1.3), test-suite/marketelements.hpp (1.2), 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 * TODO.txt (1.116), ql/RandomNumbers/haltonrsg.cpp (1.5), ql/RandomNumbers/haltonrsg.hpp (1.6), ql/RandomNumbers/rngtypedefs.hpp (1.18), 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), EuropeanOption/makefile.mak (1.9), 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 16:49 Ferdinando Ametrano * TODO.txt (1.115): no message 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/dataformatters.cpp (1.21), ql/dataformatters.hpp (1.17), 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. 2003-04-30 10:29 Ferdinando Ametrano * ql/dataformatters.cpp (1.20): added power of two formatting 2003-04-30 10:25 Ferdinando Ametrano * ql/: dataformatters.hpp (1.16), dataformatters.cpp (1.19): added power of two formatting 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 2003-04-29 14:45 Luigi Ballabio * ql/: dataformatters.cpp (1.18), dataformatters.hpp (1.15): Format double in exp. notation 2003-04-28 18:37 Ferdinando Ametrano * TODO.txt (1.114): updated 2003-04-28 18:29 Ferdinando Ametrano * QuantLib.dsp (1.155), QuantLib.mak (1.148), Examples/BermudanSwaption/BermudanSwaption.dsp (1.8), Examples/BermudanSwaption/BermudanSwaption.mak (1.23), Examples/DiscreteHedging/DiscreteHedging.dsp (1.10), Examples/DiscreteHedging/DiscreteHedging.mak (1.41), Examples/EuropeanOption/EuropeanOption.dsp (1.8), Examples/EuropeanOption/EuropeanOption.mak (1.41), Examples/Swap/Swap.dsp (1.9), Examples/Swap/Swap.mak (1.38): allowing optimization, enabling profile 2003-04-28 13:21 Ferdinando Ametrano * test-suite/: testsuite.dsp (1.13), testsuite.mak (1.19): 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/EuropeanOption/.cvsignore (1.6), Examples/Swap/.cvsignore (1.6): cvs ignore: Makefile.in 2003-04-22 16:40 Ferdinando Ametrano * ChangeLog.txt (1.28.2.2): updated 2003-04-22 16:37 Ferdinando Ametrano * .cvsignore (1.6), TODO.txt (1.113), 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 2003-04-22 15:00 Ferdinando Ametrano * TODO.txt (1.112): updated 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 * ql/dataformatters.cpp (1.17), ql/dataformatters.hpp (1.14), QuantLib.dsp (1.153), QuantLib.mak (1.147), TODO.txt (1.111), 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 15:17 Luigi Ballabio * ql/Math/riskmeasures.hpp (1.16): Replacements are hard to get right 2003-04-17 13:07 Ferdinando Ametrano * QuantLib.mak (1.146), 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), array.hpp (1.14), config.ansi.hpp (1.16), config.bcc.hpp (1.17), config.msvc.hpp (1.30), config.mwcw.hpp (1.15), disposable.hpp (1.1), expressiontemplates.hpp (1.8), qldefines.hpp (1.51), quantlib.hpp (1.104), FiniteDifferences/tridiagonaloperator.cpp (1.18), FiniteDifferences/tridiagonaloperator.hpp (1.21), Math/matrix.hpp (1.13), Math/multivariateaccumulator.hpp (1.15), Math/symmetriceigenvalues.hpp (1.8), Pricers/fdbsmoption.hpp (1.11), Pricers/fdeuropean.hpp (1.10): QuEP 9 implemented 2003-04-17 11:35 Ferdinando Ametrano * Examples/EuropeanOption/EuropeanOption.cpp (1.73): cleanup 2003-04-17 10:34 Ferdinando Ametrano * Examples/BermudanSwaption/BermudanSwaption.dsp (1.7), Examples/BermudanSwaption/BermudanSwaption.mak (1.22), Examples/DiscreteHedging/DiscreteHedging.dsp (1.9), Examples/DiscreteHedging/DiscreteHedging.mak (1.40), Examples/EuropeanOption/EuropeanOption.cpp (1.72), Examples/EuropeanOption/EuropeanOption.dsp (1.7), Examples/EuropeanOption/EuropeanOption.mak (1.40), Examples/Swap/Swap.dsp (1.8), Examples/Swap/Swap.mak (1.37), test-suite/testsuite.mak (1.18), 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 09:52 Luigi Ballabio * ql/riskstatistics.hpp (1.17): Compiles with gcc 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/: riskmeasures.hpp (1.15), sequencestatistics.hpp (1.13): Compiles with gcc 2003-04-16 18:28 Ferdinando Ametrano * TODO.txt (1.110), makefile.mak (1.41), Examples/BermudanSwaption/.cvsignore (1.5), Examples/DiscreteHedging/.cvsignore (1.5), Examples/EuropeanOption/.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), QuantLib.mak (1.145), Examples/DiscreteHedging/DiscreteHedging.cpp (1.23), Examples/EuropeanOption/EuropeanOption.cpp (1.71), ql/quantlib.hpp (1.103), ql/riskstatistics.hpp (1.16), ql/Math/Makefile.am (1.17), ql/Math/discrepancystatistics.cpp (1.3), ql/Math/discrepancystatistics.hpp (1.5), ql/Math/gaussianstatistics.cpp (1.2), 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/multivariateaccumulator.hpp (1.14), ql/Math/riskmeasures.hpp (1.14), ql/Math/sequencestatistics.hpp (1.11), ql/Math/statistics.cpp (1.13), ql/Math/statistics.hpp (1.24), ql/MonteCarlo/mctypedefs.hpp (1.20), ql/Pricers/mcbasket.cpp (1.15), ql/Pricers/mcbasket.hpp (1.13), ql/Pricers/mccliquetoption.cpp (1.11), ql/Pricers/mccliquetoption.hpp (1.10), ql/Pricers/mcdiscretearithmeticapo.cpp (1.14), ql/Pricers/mcdiscretearithmeticapo.hpp (1.12), ql/Pricers/mcdiscretearithmeticaso.cpp (1.15), ql/Pricers/mcdiscretearithmeticaso.hpp (1.13), ql/Pricers/mceuropean.cpp (1.15), ql/Pricers/mceuropean.hpp (1.16), 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 18:09 Ferdinando Ametrano * ql/Math/riskmeasures.hpp (1.13): Statistics renamed GaussianStatistics and replaced by the former HStatistics 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), QuantLib.mak (1.144), makefile.mak (1.40), Docs/Examples/history_iterators.cpp (1.9), Examples/DiscreteHedging/DiscreteHedging.cpp (1.22), Examples/EuropeanOption/EuropeanOption.cpp (1.70), ql/history.hpp (1.15), ql/quantlib.hpp (1.102), ql/riskstatistics.hpp (1.15), ql/Math/Makefile.am (1.16), ql/Math/discrepancystatistics.hpp (1.4), ql/Math/gaussianstatistics.cpp (1.1), ql/Math/gaussianstatistics.hpp (1.1), ql/Math/hstatistics.cpp (1.10), ql/Math/hstatistics.hpp (1.6), ql/Math/makefile.mak (1.13), ql/Math/riskmeasures.hpp (1.12), ql/Math/sequencestatistics.hpp (1.10), ql/Math/statistics.cpp (1.12), ql/Math/statistics.hpp (1.22), ql/MonteCarlo/mctypedefs.hpp (1.19), ql/Pricers/mcbasket.cpp (1.14), ql/Pricers/mcbasket.hpp (1.12), ql/Pricers/mccliquetoption.cpp (1.10), ql/Pricers/mccliquetoption.hpp (1.9), ql/Pricers/mcdiscretearithmeticapo.cpp (1.13), ql/Pricers/mcdiscretearithmeticapo.hpp (1.11), ql/Pricers/mcdiscretearithmeticaso.cpp (1.14), ql/Pricers/mcdiscretearithmeticaso.hpp (1.12), ql/Pricers/mceuropean.cpp (1.14), ql/Pricers/mceuropean.hpp (1.15), 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 * TODO.txt (1.109), ql/Math/hstatistics.cpp (1.9), ql/Math/hstatistics.hpp (1.5), 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 * ql/Math/hstatistics.cpp (1.7), test-suite/riskstats.cpp (1.10), ql/Math/hstatistics.cpp (1.8): HStatistics will not inherit from Statistic (Part II) 2003-04-15 10:33 Ferdinando Ametrano * ql/Math/hstatistics.cpp (1.6): 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/array.hpp (1.13), ql/blackmodel.hpp (1.8), 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/dataformatters.cpp (1.16), ql/dataformatters.hpp (1.13), ql/dataparsers.cpp (1.5), ql/dataparsers.hpp (1.5), ql/date.cpp (1.24), ql/date.hpp (1.20), ql/daycounter.hpp (1.18), ql/diffusionprocess.cpp (1.5), ql/diffusionprocess.hpp (1.22), ql/errors.hpp (1.11), ql/exercise.cpp (1.3), ql/exercise.hpp (1.23), ql/expressiontemplates.hpp (1.7), ql/grid.cpp (1.8), 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/marketelement.hpp (1.11), ql/null.hpp (1.7), ql/numericalmethod.hpp (1.7), ql/option.cpp (1.18), ql/option.hpp (1.14), ql/payoff.hpp (1.3), ql/pricingengine.hpp (1.7), ql/qldefines.hpp (1.50), ql/relinkablehandle.hpp (1.14), ql/riskstatistics.hpp (1.14), ql/scheduler.cpp (1.11), ql/scheduler.hpp (1.10), ql/solver1d.cpp (1.10), 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/budapest.cpp (1.3), ql/Calendars/budapest.hpp (1.3), ql/Calendars/frankfurt.cpp (1.12), ql/Calendars/frankfurt.hpp (1.12), ql/Calendars/helsinki.cpp (1.11), ql/Calendars/helsinki.hpp (1.12), ql/Calendars/johannesburg.cpp (1.5), ql/Calendars/johannesburg.hpp (1.4), ql/Calendars/jointcalendar.cpp (1.3), ql/Calendars/jointcalendar.hpp (1.2), ql/Calendars/london.cpp (1.12), ql/Calendars/london.hpp (1.12), ql/Calendars/milan.cpp (1.11), ql/Calendars/milan.hpp (1.12), ql/Calendars/newyork.cpp (1.12), ql/Calendars/newyork.hpp (1.13), ql/Calendars/oslo.cpp (1.3), ql/Calendars/oslo.hpp (1.3), ql/Calendars/stockholm.cpp (1.4), ql/Calendars/stockholm.hpp (1.3), ql/Calendars/sydney.cpp (1.4), ql/Calendars/sydney.hpp (1.4), ql/Calendars/target.cpp (1.12), ql/Calendars/target.hpp (1.13), ql/Calendars/tokyo.cpp (1.8), ql/Calendars/tokyo.hpp (1.5), ql/Calendars/toronto.cpp (1.4), ql/Calendars/toronto.hpp (1.4), ql/Calendars/warsaw.cpp (1.3), ql/Calendars/warsaw.hpp (1.3), ql/Calendars/wellington.cpp (1.12), ql/Calendars/wellington.hpp (1.12), ql/Calendars/zurich.cpp (1.11), ql/Calendars/zurich.hpp (1.12), ql/CashFlows/basispointsensitivity.hpp (1.2), 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/indexcashflowvectors.hpp (1.3), 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/actual365.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.cpp (1.13), 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/FiniteDifferences/valueatcenter.cpp (1.11), ql/FiniteDifferences/valueatcenter.hpp (1.7), 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/Indexes/xibormanager.cpp (1.11), ql/Indexes/xibormanager.hpp (1.11), ql/Indexes/zarlibor.hpp (1.5), 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/simpleswap.cpp (1.22), ql/Instruments/simpleswap.hpp (1.25), 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.cpp (1.7), ql/Lattices/bsmlattice.hpp (1.5), ql/Lattices/lattice.cpp (1.4), ql/Lattices/lattice.hpp (1.4), ql/Lattices/lattice2d.cpp (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/hstatistics.cpp (1.5), ql/Math/hstatistics.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.cpp (1.12), ql/Math/matrix.hpp (1.11), ql/Math/multivariateaccumulator.cpp (1.15), ql/Math/multivariateaccumulator.hpp (1.13), 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/riskmeasures.hpp (1.11), ql/Math/segmentintegral.hpp (1.15), ql/Math/sequencestatistics.hpp (1.8), ql/Math/statistics.cpp (1.11), 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/arithmeticapopathpricer.cpp (1.11), ql/MonteCarlo/arithmeticapopathpricer.hpp (1.10), ql/MonteCarlo/arithmeticasopathpricer.cpp (1.12), ql/MonteCarlo/arithmeticasopathpricer.hpp (1.8), ql/MonteCarlo/basketpathpricer.cpp (1.23), ql/MonteCarlo/basketpathpricer.hpp (1.18), ql/MonteCarlo/brownianbridge.hpp (1.7), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.13), ql/MonteCarlo/cliquetoptionpathpricer.hpp (1.8), ql/MonteCarlo/europeanpathpricer.cpp (1.18), ql/MonteCarlo/europeanpathpricer.hpp (1.16), ql/MonteCarlo/everestpathpricer.cpp (1.16), ql/MonteCarlo/everestpathpricer.hpp (1.14), ql/MonteCarlo/geometricapopathpricer.cpp (1.13), ql/MonteCarlo/geometricapopathpricer.hpp (1.10), ql/MonteCarlo/geometricasopathpricer.cpp (1.15), ql/MonteCarlo/geometricasopathpricer.hpp (1.8), ql/MonteCarlo/getcovariance.cpp (1.11), ql/MonteCarlo/getcovariance.hpp (1.9), ql/MonteCarlo/himalayapathpricer.cpp (1.20), ql/MonteCarlo/himalayapathpricer.hpp (1.15), ql/MonteCarlo/maxbasketpathpricer.cpp (1.9), ql/MonteCarlo/maxbasketpathpricer.hpp (1.8), 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/pagodapathpricer.cpp (1.16), ql/MonteCarlo/pagodapathpricer.hpp (1.16), ql/MonteCarlo/path.hpp (1.13), ql/MonteCarlo/pathgenerator.hpp (1.35), ql/MonteCarlo/pathpricer.hpp (1.14), ql/MonteCarlo/performanceoptionpathpricer.cpp (1.8), ql/MonteCarlo/performanceoptionpathpricer.hpp (1.9), 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/analyticalcapfloor.cpp (1.17), ql/Pricers/analyticalcapfloor.hpp (1.12), ql/Pricers/barrieroption.cpp (1.10), ql/Pricers/barrieroption.hpp (1.10), ql/Pricers/binaryoption.cpp (1.11), ql/Pricers/binaryoption.hpp (1.10), ql/Pricers/blackcapfloor.cpp (1.10), ql/Pricers/blackcapfloor.hpp (1.7), ql/Pricers/blackswaption.cpp (1.8), ql/Pricers/blackswaption.hpp (1.5), ql/Pricers/capfloorpricer.cpp (1.6), ql/Pricers/capfloorpricer.hpp (1.7), ql/Pricers/cliquetoption.cpp (1.13), ql/Pricers/cliquetoption.hpp (1.11), ql/Pricers/continuousgeometricapo.hpp (1.8), ql/Pricers/discretegeometricapo.cpp (1.10), ql/Pricers/discretegeometricapo.hpp (1.7), ql/Pricers/discretegeometricaso.cpp (1.10), ql/Pricers/discretegeometricaso.hpp (1.7), ql/Pricers/europeanoption.cpp (1.13), ql/Pricers/europeanoption.hpp (1.15), ql/Pricers/fdamericanoption.hpp (1.8), ql/Pricers/fdbermudanoption.cpp (1.7), ql/Pricers/fdbermudanoption.hpp (1.5), ql/Pricers/fdbsmoption.cpp (1.11), ql/Pricers/fdbsmoption.hpp (1.10), ql/Pricers/fddividendamericanoption.cpp (1.5), ql/Pricers/fddividendamericanoption.hpp (1.5), ql/Pricers/fddividendeuropeanoption.cpp (1.6), ql/Pricers/fddividendeuropeanoption.hpp (1.7), ql/Pricers/fddividendoption.cpp (1.8), ql/Pricers/fddividendoption.hpp (1.5), ql/Pricers/fddividendshoutoption.cpp (1.8), ql/Pricers/fddividendshoutoption.hpp (1.7), ql/Pricers/fdeuropean.cpp (1.11), ql/Pricers/fdeuropean.hpp (1.9), ql/Pricers/fdmultiperiodoption.cpp (1.13), ql/Pricers/fdmultiperiodoption.hpp (1.6), ql/Pricers/fdshoutoption.hpp (1.7), ql/Pricers/fdstepconditionoption.cpp (1.10), ql/Pricers/fdstepconditionoption.hpp (1.6), ql/Pricers/jamshidianswaption.cpp (1.14), ql/Pricers/jamshidianswaption.hpp (1.11), ql/Pricers/mcbasket.cpp (1.13), ql/Pricers/mcbasket.hpp (1.11), ql/Pricers/mccliquetoption.cpp (1.9), ql/Pricers/mccliquetoption.hpp (1.8), ql/Pricers/mcdiscretearithmeticapo.cpp (1.12), ql/Pricers/mcdiscretearithmeticapo.hpp (1.10), ql/Pricers/mcdiscretearithmeticaso.cpp (1.13), ql/Pricers/mcdiscretearithmeticaso.hpp (1.11), ql/Pricers/mceuropean.cpp (1.13), ql/Pricers/mceuropean.hpp (1.14), 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/performanceoption.cpp (1.4), ql/Pricers/performanceoption.hpp (1.3), ql/Pricers/singleassetoption.cpp (1.20), ql/Pricers/singleassetoption.hpp (1.22), ql/Pricers/swaptionpricer.cpp (1.7), ql/Pricers/swaptionpricer.hpp (1.10), ql/Pricers/treecapfloor.cpp (1.22), ql/Pricers/treecapfloor.hpp (1.16), ql/Pricers/treeswaption.cpp (1.27), ql/Pricers/treeswaption.hpp (1.19), ql/PricingEngines/analyticeuropeanengine.cpp (1.5), ql/PricingEngines/binomialvanillaengine.cpp (1.8), ql/PricingEngines/cliquetengines.hpp (1.8), ql/PricingEngines/discretizedvanillaoption.cpp (1.16), ql/PricingEngines/discretizedvanillaoption.hpp (1.11), ql/PricingEngines/fdvanillaengine.cpp (1.2), ql/PricingEngines/forwardengines.hpp (1.16), ql/PricingEngines/genericengine.hpp (1.9), ql/PricingEngines/integralengines.cpp (1.3), ql/PricingEngines/latticeshortratemodelengine.hpp (1.3), ql/PricingEngines/mcengine.hpp (1.23), ql/PricingEngines/quantoengines.hpp (1.16), ql/PricingEngines/vanillaengines.hpp (1.27), 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/inversecumgaussianrng.hpp (1.6), ql/RandomNumbers/inversecumgaussianrsg.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/randomarraygenerator.hpp (1.14), ql/RandomNumbers/randomsequencegenerator.hpp (1.4), ql/RandomNumbers/rngtypedefs.hpp (1.17), 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.cpp (1.8), ql/Solvers1D/bisection.hpp (1.8), ql/Solvers1D/brent.cpp (1.9), ql/Solvers1D/brent.hpp (1.8), ql/Solvers1D/falseposition.cpp (1.8), ql/Solvers1D/falseposition.hpp (1.8), ql/Solvers1D/newton.cpp (1.8), ql/Solvers1D/newton.hpp (1.8), ql/Solvers1D/newtonsafe.cpp (1.9), ql/Solvers1D/newtonsafe.hpp (1.9), ql/Solvers1D/ridder.cpp (1.8), ql/Solvers1D/ridder.hpp (1.8), ql/Solvers1D/secant.cpp (1.8), ql/Solvers1D/secant.hpp (1.8), ql/TermStructures/affinetermstructure.cpp (1.11), ql/TermStructures/affinetermstructure.hpp (1.12), ql/TermStructures/compoundforward.cpp (1.22), ql/TermStructures/compoundforward.hpp (1.15), ql/TermStructures/discountcurve.cpp (1.17), 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.cpp (1.3), ql/TermStructures/zerocurve.hpp (1.2), ql/TermStructures/zerospreadedtermstructure.hpp (1.13), ql/Utilities/combiningiterator.hpp (1.8), ql/Utilities/couplingiterator.hpp (1.7), ql/Utilities/filteringiterator.hpp (1.7), ql/Utilities/iteratorcategories.hpp (1.7), ql/Utilities/processingiterator.hpp (1.7), 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 18:51 Ferdinando Ametrano * ql/Math/: hstatistics.cpp (1.4), hstatistics.hpp (1.3): HStatistics will not inherit from Statistic (Part II) 2003-04-14 18:48 Ferdinando Ametrano * ql/Math/: statistics.hpp (1.19), statistics.cpp (1.10): code formatting 2003-04-14 16:25 Ferdinando Ametrano * test-suite/riskstats.cpp (1.8): nothing relevant 2003-04-14 14:15 Ferdinando Ametrano * ql/Calendars/newyork.cpp (1.11): Veterans day not holiday 2003-04-14 13:57 Ferdinando Ametrano * ql/Math/: hstatistics.cpp (1.3), hstatistics.hpp (1.2): HStatistics can avoid Statistics numerical problems ... part 1 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.cpp (1.9), 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/hstatistics.cpp (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 17:00 Ferdinando Ametrano * ql/riskstatistics.hpp (1.13): typo fixed 2003-04-10 13:41 Ferdinando Ametrano * QuantLib.dsp (1.148), QuantLib.mak (1.142), Docs/Examples/history_iterators.cpp (1.8), Examples/DiscreteHedging/DiscreteHedging.cpp (1.21), Examples/EuropeanOption/EuropeanOption.cpp (1.69), ql/history.hpp (1.13), ql/quantlib.hpp (1.101), ql/riskstatistics.hpp (1.12), ql/Math/discrepancystatistic.hpp (1.2), ql/Math/discrepancystatistics.hpp (1.1), ql/Math/hstatistic.cpp (1.2), ql/Math/hstatistic.hpp (1.2), ql/Math/hstatistics.cpp (1.1), ql/Math/hstatistics.hpp (1.1), ql/Math/normaldistribution.hpp (1.19), ql/Math/sequencestatistic.hpp (1.2), ql/Math/sequencestatistics.hpp (1.5), ql/Math/statistic.cpp (1.2), ql/Math/statistic.hpp (1.2), ql/Math/statistics.cpp (1.8), ql/Math/statistics.hpp (1.17), ql/MonteCarlo/mctypedefs.hpp (1.17), ql/Pricers/mcbasket.cpp (1.12), ql/Pricers/mcbasket.hpp (1.10), ql/Pricers/mccliquetoption.cpp (1.8), ql/Pricers/mccliquetoption.hpp (1.7), ql/Pricers/mcdiscretearithmeticapo.cpp (1.11), ql/Pricers/mcdiscretearithmeticapo.hpp (1.9), ql/Pricers/mcdiscretearithmeticaso.cpp (1.12), ql/Pricers/mcdiscretearithmeticaso.hpp (1.10), ql/Pricers/mceuropean.cpp (1.12), ql/Pricers/mceuropean.hpp (1.13), 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), ql/PricingEngines/mcengine.hpp (1.22), 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/: sequencestatistic.hpp (1.1), sequencestatistics.hpp (1.4): SequenceStatistics renamed SequenceStatistic 2003-04-10 10:05 Ferdinando Ametrano * ql/Math/: discrepancystatistic.hpp (1.1), hstatistic.cpp (1.1), hstatistic.hpp (1.1): 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 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/mcbasket.cpp (1.11), Pricers/mcbasket.hpp (1.9), Pricers/mccliquetoption.cpp (1.7), Pricers/mccliquetoption.hpp (1.6), Pricers/mcdiscretearithmeticapo.cpp (1.10), Pricers/mcdiscretearithmeticapo.hpp (1.8), Pricers/mcdiscretearithmeticaso.cpp (1.11), Pricers/mcdiscretearithmeticaso.hpp (1.9), Pricers/mceuropean.cpp (1.11), Pricers/mceuropean.hpp (1.12), 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/statistic.cpp (1.1), Math/statistic.hpp (1.1), Math/statistics.cpp (1.7), 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), QuantLib.mak (1.141): 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 09:55 Ferdinando Ametrano * ql/riskstatistics.hpp (1.11): deprecated 2003-04-10 09:54 Ferdinando Ametrano * Examples/: DiscreteHedging/DiscreteHedging.cpp (1.20), EuropeanOption/EuropeanOption.cpp (1.68): 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), QuantLib.mak (1.140), 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), riskmeasures.hpp (1.10), 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... 2003-04-08 09:57 Luigi Ballabio * ql/: dataformatters.cpp (1.15), dataformatters.hpp (1.12): Ordinal numerals 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), QuantLib.mak (1.139), 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 11:47 Ferdinando Ametrano * ql/RandomNumbers/: PrimitivePolynomialsModuloTwoUpToDegree27.h (1.1), PrimitivePolynomialsModuloTwoUpToDegree27.c (1.1): included in QuantLib primitive polynomials modulo two up to dimension 18 2003-04-07 11:44 Ferdinando Ametrano * QuantLib.dsp (1.144), QuantLib.mak (1.138), Examples/BermudanSwaption/BermudanSwaption.dsp (1.6), Examples/BermudanSwaption/BermudanSwaption.mak (1.21), Examples/DiscreteHedging/DiscreteHedging.dsp (1.8), Examples/DiscreteHedging/DiscreteHedging.mak (1.39), Examples/EuropeanOption/EuropeanOption.dsp (1.6), Examples/EuropeanOption/EuropeanOption.mak (1.39), Examples/Swap/Swap.dsp (1.7), Examples/Swap/Swap.mak (1.36), test-suite/testsuite.dsp (1.11), test-suite/testsuite.mak (1.17): 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), QuantLib.mak (1.137), 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), BermudanSwaption.mak (1.20): added primitive polynomial modulo 2 2003-04-04 19:05 Ferdinando Ametrano * QuantLib.dsp (1.142), Examples/BermudanSwaption/BermudanSwaption.dsp (1.4), Examples/BermudanSwaption/BermudanSwaption.mak (1.19), Examples/DiscreteHedging/DiscreteHedging.dsp (1.7), Examples/DiscreteHedging/DiscreteHedging.mak (1.38), Examples/EuropeanOption/EuropeanOption.dsp (1.5), Examples/EuropeanOption/EuropeanOption.mak (1.38), Examples/Swap/Swap.dsp (1.6), Examples/Swap/Swap.mak (1.35), ql/Math/cubicspline.hpp (1.21), ql/Math/interpolation.hpp (1.15), ql/RandomNumbers/mt19937uniformrng.hpp (1.4), test-suite/testsuite.dsp (1.10), test-suite/testsuite.mak (1.16): 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), QuantLib.mak (1.136), makefile.mak (1.36), Examples/makefile.mak (1.14), Examples/BermudanSwaption/BermudanSwaption.dsp (1.3), Examples/BermudanSwaption/BermudanSwaption.mak (1.18), Examples/BermudanSwaption/makefile.mak (1.3), Examples/DiscreteHedging/DiscreteHedging.dsp (1.6), Examples/DiscreteHedging/DiscreteHedging.mak (1.37), Examples/DiscreteHedging/makefile.mak (1.6), Examples/EuropeanOption/EuropeanOption.dsp (1.4), Examples/EuropeanOption/EuropeanOption.mak (1.37), Examples/EuropeanOption/makefile.mak (1.8), Examples/Swap/Swap.dsp (1.5), Examples/Swap/Swap.mak (1.34), 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), test-suite/testsuite.mak (1.15): 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), QuantLib.mak (1.135), Examples/EuropeanOption/EuropeanOption.cpp (1.67), ql/payoff.hpp (1.2), ql/FiniteDifferences/americancondition.hpp (1.8), ql/FiniteDifferences/shoutcondition.hpp (1.8), ql/MonteCarlo/arithmeticapopathpricer.hpp (1.9), ql/MonteCarlo/arithmeticasopathpricer.cpp (1.11), ql/MonteCarlo/basketpathpricer.hpp (1.17), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.11), ql/MonteCarlo/europeanpathpricer.hpp (1.15), ql/MonteCarlo/geometricapopathpricer.hpp (1.9), ql/MonteCarlo/geometricasopathpricer.cpp (1.14), ql/MonteCarlo/performanceoptionpathpricer.hpp (1.7), ql/Pricers/singleassetoption.hpp (1.21), ql/PricingEngines/discretizedvanillaoption.cpp (1.15), ql/PricingEngines/integralengines.cpp (1.2), ql/PricingEngines/vanillaengines.hpp (1.25), 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/analyticeuropeanengine.cpp (1.4), PricingEngines/discretizedvanillaoption.cpp (1.14), PricingEngines/forwardengines.hpp (1.15), PricingEngines/integralengines.cpp (1.1), PricingEngines/integraleuropeanengine.cpp (1.3), PricingEngines/makefile.mak (1.11), PricingEngines/mcengine.hpp (1.21), PricingEngines/quantoengines.hpp (1.15), PricingEngines/vanillaengines.hpp (1.24): 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), MonteCarlo/arithmeticapopathpricer.hpp (1.8), MonteCarlo/basketpathpricer.hpp (1.16), MonteCarlo/europeanpathpricer.hpp (1.14), MonteCarlo/geometricapopathpricer.hpp (1.8), MonteCarlo/performanceoptionpathpricer.hpp (1.6), Pricers/binaryoption.hpp (1.9), Pricers/singleassetoption.hpp (1.20), PricingEngines/vanillaengines.hpp (1.23): 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), Examples/EuropeanOption/EuropeanOption.cpp (1.66), 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/MonteCarlo/arithmeticapopathpricer.cpp (1.10), ql/MonteCarlo/arithmeticapopathpricer.hpp (1.7), ql/MonteCarlo/arithmeticasopathpricer.cpp (1.10), ql/MonteCarlo/basketpathpricer.cpp (1.22), ql/MonteCarlo/basketpathpricer.hpp (1.15), ql/MonteCarlo/cliquetoptionpathpricer.cpp (1.10), ql/MonteCarlo/europeanpathpricer.cpp (1.17), ql/MonteCarlo/europeanpathpricer.hpp (1.13), ql/MonteCarlo/geometricapopathpricer.cpp (1.12), ql/MonteCarlo/geometricapopathpricer.hpp (1.7), ql/MonteCarlo/geometricasopathpricer.cpp (1.13), ql/MonteCarlo/performanceoptionpathpricer.cpp (1.6), ql/MonteCarlo/performanceoptionpathpricer.hpp (1.5), ql/Pricers/barrieroption.cpp (1.9), ql/Pricers/barrieroption.hpp (1.9), ql/Pricers/binaryoption.cpp (1.10), ql/Pricers/discretegeometricapo.cpp (1.9), ql/Pricers/discretegeometricaso.cpp (1.9), ql/Pricers/europeanoption.cpp (1.12), ql/Pricers/europeanoption.hpp (1.14), ql/Pricers/fdbermudanoption.cpp (1.6), ql/Pricers/fdbsmoption.cpp (1.10), ql/Pricers/fddividendoption.cpp (1.7), ql/Pricers/fdmultiperiodoption.cpp (1.12), ql/Pricers/fdstepconditionoption.cpp (1.9), ql/Pricers/singleassetoption.cpp (1.19), ql/Pricers/singleassetoption.hpp (1.19), ql/PricingEngines/analyticeuropeanengine.cpp (1.3), ql/PricingEngines/discretizedvanillaoption.cpp (1.13), ql/PricingEngines/forwardengines.hpp (1.14), ql/PricingEngines/integraleuropeanengine.cpp (1.2), ql/PricingEngines/mcengine.hpp (1.20), ql/PricingEngines/quantoengines.hpp (1.14), ql/PricingEngines/vanillaengines.hpp (1.22): 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), QuantLib.mak (1.134), TODO.txt (1.108), Examples/EuropeanOption/EuropeanOption.cpp (1.65), ql/PricingEngines/Makefile.am (1.14), ql/PricingEngines/integraleuropeanengine.cpp (1.1), ql/PricingEngines/makefile.mak (1.10), ql/PricingEngines/vanillaengines.hpp (1.21): added Integral (european) pricing engine 2003-03-28 18:10 Sadruddin Rejeb * UFILE (1.2): Updated e-mail address (bis) 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/MonteCarlo/himalayapathpricer.cpp (1.19), ql/MonteCarlo/himalayapathpricer.hpp (1.14), ql/MonteCarlo/maxbasketpathpricer.cpp (1.8), ql/MonteCarlo/maxbasketpathpricer.hpp (1.7), ql/MonteCarlo/pagodapathpricer.cpp (1.15), ql/MonteCarlo/pagodapathpricer.hpp (1.15), 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 2003-03-27 12:46 Ferdinando Ametrano * ql/RandomNumbers/randomarraygenerator.hpp (1.13): not using deprecated class anymore 2003-03-25 01:00 Ferdinando Ametrano * ql/Pricers/mccliquetoption.hpp (1.5): no message 2003-03-25 00:14 Ferdinando Ametrano * TODO.txt (1.107), test-suite/old_pricers.cpp (1.8), test-suite/testsuite.dsp (1.8), test-suite/testsuite.mak (1.14): updated 2003-03-25 00:11 Ferdinando Ametrano * ql/RandomNumbers/haltonrsg.cpp (1.3): code formatting 2003-03-25 00:11 Ferdinando Ametrano * ql/: MonteCarlo/cliquetoptionpathpricer.cpp (1.9), MonteCarlo/cliquetoptionpathpricer.hpp (1.7), Pricers/mccliquetoption.cpp (1.6), Pricers/mccliquetoption.hpp (1.4): extending functionalities 2003-03-25 00:11 Ferdinando Ametrano * ql/: MonteCarlo/basketpathpricer.cpp (1.21), MonteCarlo/basketpathpricer.hpp (1.14), Pricers/mcbasket.cpp (1.10), Pricers/mcbasket.hpp (1.8): using std::vector instead of Array 2003-03-24 17:37 Luigi Ballabio * test-suite/mersennetwister.cpp (1.4): Removed warning with gcc 2003-03-24 16:45 Ferdinando Ametrano * TODO.txt (1.106): updated 2003-03-24 16:45 Ferdinando Ametrano * ql/RandomNumbers/Faure2.bas (1.1): need to be converted in C++ 2003-03-24 16:39 Ferdinando Ametrano * ql/Math/: matrix.cpp (1.11), 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 * TODO.txt (1.105), ql/Math/matrix.cpp (1.10), 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), ql/PricingEngines/cliquetengines.hpp (1.7), ql/PricingEngines/mcengine.hpp (1.19): 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 16:15 Ferdinando Ametrano * Examples/EuropeanOption/EuropeanOption.cpp (1.64): working on cliquet and MC framework 2003-03-23 16:09 Ferdinando Ametrano * ql/MonteCarlo/brownianbridge.hpp (1.6): avoid warning 2003-03-23 16:06 Ferdinando Ametrano * ql/MonteCarlo/: cliquetoptionpathpricer.cpp (1.8), cliquetoptionpathpricer.hpp (1.6): working on cliquet 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/mcbasket.cpp (1.9), Pricers/mccliquetoption.cpp (1.5), Pricers/mcdiscretearithmeticapo.cpp (1.9), Pricers/mcdiscretearithmeticaso.cpp (1.10), Pricers/mceuropean.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 2003-03-23 15:59 Ferdinando Ametrano * ql/PricingEngines/: cliquetengines.hpp (1.6), mcengine.hpp (1.18): working on cliquet and MC framework 2003-03-23 15:57 Ferdinando Ametrano * ql/RandomNumbers/inversecumgaussianrsg.hpp (1.4): bug fix 2003-03-22 21:58 Ferdinando Ametrano * ql/MonteCarlo/: arithmeticapopathpricer.cpp (1.9), arithmeticasopathpricer.cpp (1.9), cliquetoptionpathpricer.cpp (1.7), europeanpathpricer.cpp (1.16), geometricapopathpricer.cpp (1.11), geometricasopathpricer.cpp (1.12), himalayapathpricer.cpp (1.18): using TimeGrid instead of std::vector