2012-02-22 09:14 Luigi Ballabio * [r18218] Docs/pages/index.docs, Docs/quantlib.css, Docs/quantlib.doxy: Updated CSS for new doxygen version. 2012-02-15 12:00 Luigi Ballabio * [r18213] ql/cashflows/cashflows.cpp: Added default value for settlement date. This was already done in the other functions. Thanks to Peter Caspers for the heads-up. 2012-02-13 17:21 Luigi Ballabio * [r18211] ql/instruments/bond.cpp: Fixed expiration check. The check now uses the passed settlement date instead of today's one. Thanks to Dagur Gunnarsson for the heads-up. 2012-02-09 13:58 Luigi Ballabio * [r18210] test-suite/blackdeltacalculator.cpp, test-suite/swingoption.cpp, test-suite/timeseries.cpp: Fixed a few miscellaneous warnings 2012-02-09 13:58 Luigi Ballabio * [r18209] ql/experimental/inflation/cpicapfloortermpricesurface.cpp, ql/indexes/interestrateindex.cpp, ql/instruments/cpiswap.cpp, ql/termstructure.cpp, ql/termstructures/inflationtermstructure.cpp: Fixed initialization order 2012-02-09 13:56 Luigi Ballabio * [r18208] Examples/MarketModels/MarketModels.cpp, ql/cashflows/cpicoupon.cpp, ql/cashflows/yoyinflationcoupon.cpp, ql/experimental/barrieroption/perturbativebarrieroptionengine.cpp, ql/experimental/commodities/energybasisswap.cpp, ql/experimental/commodities/energyvanillaswap.cpp, ql/experimental/credit/basket.cpp, ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp, ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp, ql/experimental/variancegamma/fftengine.cpp, ql/experimental/varianceoption/integralhestonvarianceoptionengine.cpp, ql/instruments/inflationcapfloor.cpp, ql/math/optimization/linesearchbasedmethod.cpp, ql/math/optimization/spherecylinder.cpp, ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp, ql/pricingengines/credit/integralcdsengine.cpp, ql/pricingengines/inflation/inflationcapfloorengines.cpp, ql/termstructures/inflation/inflationhelpers.cpp, ql/termstructures/yield/fittedbonddiscountcurve.cpp, test-suite/assetswap.cpp, test-suite/blackdeltacalculator.cpp, test-suite/cashflows.cpp, test-suite/compoundoption.cpp, test-suite/inflationcapfloor.cpp, test-suite/inflationcapflooredcoupon.cpp, test-suite/inflationcpiswap.cpp, test-suite/inflationvolatility.cpp, test-suite/margrabeoption.cpp, test-suite/swaption.cpp, test-suite/volatilitymodels.cpp: Removed unused variables 2012-02-08 16:09 Ferdinando Ametrano * [r18206] ql/pricingengines/blackformula.cpp: extended error message 2012-02-07 18:55 Ferdinando Ametrano * [r18205] ql/pricingengines/blackformula.cpp: improved error message 2012-02-07 18:52 Ferdinando Ametrano * [r18204] ql/pricingengines/blackformula.cpp, ql/pricingengines/blackformula.hpp: exploited put-call parity in order 1) to check for solution existence 2) to always solve for out-of-the-money options which have greater vega and are numerically more robust to implied vol calculations 2012-02-06 09:42 Ferdinando Ametrano * [r18198] ql/patterns/lazyobject.hpp: added Luca Billi's comment about preventing infinite recursion 2012-02-03 15:01 Ferdinando Ametrano * [r18195] ql/cashflow.cpp: performance improvement 2012-01-31 16:11 Ferdinando Ametrano * [r18194] ql/settings.hpp: ooops... fixed typo 2012-01-31 15:56 Ferdinando Ametrano * [r18193] ql/event.cpp, ql/pricingengines/bond/discountingbondengine.cpp, ql/pricingengines/capfloor/analyticcapfloorengine.cpp, ql/pricingengines/swap/discountingswapengine.cpp, ql/settings.cpp, ql/settings.hpp, test-suite/cashflows.cpp: renamed includeReferenceDateCashFlows as includeReferenceDateEvents 2012-01-31 15:43 Ferdinando Ametrano * [r18192] ql/event.cpp: cleaned up variable name 2012-01-31 14:25 Luigi Ballabio * [r18191] ql/time/schedule.cpp, test-suite/schedule.cpp, test-suite/schedule.hpp: Don't adjust end date to EOM if Unadjusted convention is given. 2012-01-26 14:23 Ferdinando Ametrano * [r18189] ql/math/randomnumbers/inversecumulativersg.hpp: fixed comment 2012-01-26 13:28 Luigi Ballabio * [r18188] ql/config.msvc.hpp, ql/math/matrixutilities/sparseilupreconditioner.cpp: Backported uBlas fix for VC10. VC10 now builds cleanly with uBlas enabled. 2012-01-17 10:54 Luigi Ballabio * [r18181] ql/time/schedule.cpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/schedule.cpp, test-suite/schedule.hpp, test-suite/testsuite.dev, test-suite/testsuite_vc10.vcxproj, test-suite/testsuite_vc10.vcxproj.filters, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Check for duplicate dates in schedule. When using daily frequency, consecutive dates might be adjusted to the same business day resulting in duplicates. This is now prevented. Thanks to Simone Medori for reporting the problem. 2012-01-10 15:30 Ferdinando Ametrano * [r18158] ql/instruments/assetswap.cpp: fixed bug. For the inquiring minds: Rev18001 tried to fix a bug about payer/receiver not taken into account for par asset swap, but it did it with the wrong sign and introduced a bug in the market asset swap; Rev18012 fixed the former, this commit the latter. I know i should have setup the unit-test before... I'll do it! 2011-12-28 10:23 Luigi Ballabio * [r18148] ql/pricingengines/bond/discountingbondengine.cpp: Avoid repeated NPV calculation if possible (thanks to Stephen Wong). 2011-12-20 17:30 Luigi Ballabio * [r18140] ql/cashflows/cashflows.cpp: Keep curve extrapolation settings during z-spread finding. Thanks to Barbados for the heads-up. 2011-12-19 15:41 Ferdinando Ametrano * [r18136] ql/patterns/lazyobject.hpp: - fixed bug in the update method: non-lazy observers received obsolete data because of calculated_ being still false - improved unfreeze method to avoid multiple useless notifications (we could/should avoiding all notifications if we didn't lose any change, but for this a status variable should be introduced) 2011-12-18 20:05 Klaus Spanderen * [r18135] test-suite/vpp.cpp: fixed test suite (removed todaysDate) 2011-12-15 17:19 Luigi Ballabio * [r18133] ql/time/calendars/sweden.cpp, ql/time/calendars/sweden.hpp: Fixed Swedish Midsummer Eve's date (thanks to Gary Kennedy). 2011-12-15 17:19 Luigi Ballabio * [r18132] test-suite/vpp.cpp: Cleaned up test-suite output. 2011-12-15 17:19 Luigi Ballabio * [r18131] test-suite/inflationcpiswap.cpp: Added missing copyright notice. 2011-12-15 17:19 Luigi Ballabio * [r18130] ql/cashflows/cpicouponpricer.cpp, ql/cashflows/cpicouponpricer.hpp, ql/experimental/exoticoptions/kirkspreadoptionengine.cpp, ql/experimental/exoticoptions/kirkspreadoptionengine.hpp, ql/experimental/inflation/cpicapfloortermpricesurface.cpp, ql/experimental/inflation/cpicapfloortermpricesurface.hpp, ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp, ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp, ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp, test-suite/inflationcpicapfloor.hpp, test-suite/inflationcpiswap.hpp, test-suite/quantlibtestsuite.cpp, test-suite/swingoption.cpp, test-suite/swingoption.hpp: Replaced hard tabs with spaces. 2011-12-15 17:18 Luigi Ballabio * [r18129] Docs/pages/license.docs, LICENSE.TXT: Updated list of copyright holders. 2011-12-15 17:18 Luigi Ballabio * [r18128] ql/experimental/processes/klugeextouprocess.cpp: Fixed copyright notice 2011-12-15 17:18 Luigi Ballabio * [r18127] ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp, ql/experimental/finitedifferences/fdmextoujumpsolver.hpp, ql/experimental/finitedifferences/fdmklugeextouop.hpp, ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp, ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp: Enforced self-consistency of header files. 2011-12-01 10:19 Luigi Ballabio * [r18125] Release branch for QuantLib 1.2.x 2011-11-14 15:51 Ferdinando Ametrano * [r18107] ql/pricingengines/swaption/blackswaptionengine.cpp: fixed bug 2011-11-10 11:19 Luigi Ballabio * [r18104] ql/time/calendars/southkorea.cpp, ql/time/calendars/southkorea.hpp: Added South Korea holidays for 2011/2012. Thanks to Charles Chongseok Hyun and Faycal El Karaa. 2011-11-08 09:36 Ferdinando Ametrano * [r18103] ql/instruments/bonds/floatingratebond.cpp, ql/instruments/bonds/floatingratebond.hpp: explicit variable name 2011-11-05 14:11 Klaus Spanderen * [r18102] ql/methods/montecarlo/multipathgenerator.hpp: remove local copy of the time grid 2011-11-05 14:09 Klaus Spanderen * [r18101] ql/termstructures/iterativebootstrap.hpp: fixed order of initialization 2011-11-04 18:03 Ferdinando Ametrano * [r18100] ql/instruments/bonds/btp.cpp, ql/instruments/bonds/btp.hpp: enabled forward coupon calculation for CCTEU 2011-11-02 16:03 Luigi Ballabio * [r18082] ql/utilities/vectors.hpp, test-suite/writerextensibleoption.cpp: Avoided type-conversion warnings on VC++10 2011-11-02 16:02 Luigi Ballabio * [r18081] ql/config.msvc.hpp: Prevented auto-linking of Boost libraries 2011-11-02 10:04 Luigi Ballabio * [r18080] ql/config.msvc.hpp: Unknown Microsoft compilers no longer cause an error. Now, a compiler with a version number higher than the latest known no longer raises an error. It might not work, but we give it a try anyway in the hope that it does work. 2011-10-27 14:55 Luigi Ballabio * [r18067] ql/cashflows/cpicoupon.cpp, ql/cashflows/cpicoupon.hpp, ql/cashflows/cpicouponpricer.cpp, ql/cashflows/cpicouponpricer.hpp, ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp, ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp, ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp, ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp, ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp, ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp, ql/experimental/finitedifferences/fdmextoujumpop.cpp, ql/experimental/finitedifferences/fdmextoujumpop.hpp, ql/experimental/finitedifferences/fdmextoujumpsolver.cpp, ql/experimental/finitedifferences/fdmextoujumpsolver.hpp, ql/experimental/finitedifferences/fdmklugeextouop.cpp, ql/experimental/finitedifferences/fdmklugeextouop.hpp, ql/experimental/finitedifferences/fdmklugeextousolver.hpp, ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp, ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp, ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp, ql/experimental/finitedifferences/fdmvppstepcondition.cpp, ql/experimental/finitedifferences/fdmvppstepcondition.hpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp, ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp, ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp, ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp, ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp, ql/experimental/finitedifferences/vanillavppoption.cpp, ql/experimental/finitedifferences/vanillavppoption.hpp, ql/experimental/inflation/cpicapfloorengines.cpp, ql/experimental/inflation/cpicapfloorengines.hpp, ql/experimental/inflation/cpicapfloortermpricesurface.cpp, ql/experimental/inflation/cpicapfloortermpricesurface.hpp, ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp, ql/experimental/processes/extouwithjumpsprocess.cpp, ql/experimental/processes/extouwithjumpsprocess.hpp, ql/experimental/processes/gemanroncoroniprocess.cpp, ql/experimental/processes/gemanroncoroniprocess.hpp, ql/experimental/processes/klugeextouprocess.cpp, ql/experimental/processes/klugeextouprocess.hpp, ql/instruments/bonds/cpibond.cpp, ql/instruments/bonds/cpibond.hpp, ql/instruments/cpicapfloor.cpp, ql/instruments/cpicapfloor.hpp, ql/instruments/cpiswap.cpp, ql/instruments/cpiswap.hpp, ql/instruments/dividendbarrieroption.cpp, ql/instruments/dividendbarrieroption.hpp, ql/instruments/vanillastorageoption.hpp, ql/instruments/vanillaswingoption.cpp, ql/instruments/vanillaswingoption.hpp, ql/math/generallinearleastsquares.hpp, ql/math/matrixutilities/bicgstab.cpp, ql/math/matrixutilities/bicgstab.hpp, ql/math/matrixutilities/sparseilupreconditioner.cpp, ql/math/matrixutilities/sparseilupreconditioner.hpp, ql/methods/finitedifferences/meshers/Makefile.am, ql/methods/finitedifferences/meshers/all.hpp, ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp, ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp, ql/methods/finitedifferences/meshers/exponentialjump1dmesher.cpp, ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp, ql/methods/finitedifferences/meshers/fdm1dmesher.hpp, ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp, ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp, ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.cpp, ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp, ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.cpp, ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp, ql/methods/finitedifferences/meshers/fdmmesher.hpp, ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp, ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp, ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.cpp, ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp, ql/methods/finitedifferences/meshers/uniform1dmesher.hpp, ql/methods/finitedifferences/meshers/uniformgridmesher.cpp, ql/methods/finitedifferences/meshers/uniformgridmesher.hpp, ql/methods/finitedifferences/operators/Makefile.am, ql/methods/finitedifferences/operators/all.hpp, ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp, ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp, ql/methods/finitedifferences/operators/fdmbatesop.cpp, ql/methods/finitedifferences/operators/fdmbatesop.hpp, ql/methods/finitedifferences/operators/fdmblackscholesop.cpp, ql/methods/finitedifferences/operators/fdmblackscholesop.hpp, ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp, ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp, ql/methods/finitedifferences/operators/fdmhestonop.cpp, ql/methods/finitedifferences/operators/fdmhestonop.hpp, ql/methods/finitedifferences/operators/fdmlinearop.hpp, ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp, ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp, ql/methods/finitedifferences/operators/fdmlinearoplayout.cpp, ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp, ql/methods/finitedifferences/operators/firstderivativeop.cpp, ql/methods/finitedifferences/operators/firstderivativeop.hpp, ql/methods/finitedifferences/operators/ninepointlinearop.cpp, ql/methods/finitedifferences/operators/ninepointlinearop.hpp, ql/methods/finitedifferences/operators/secondderivativeop.cpp, ql/methods/finitedifferences/operators/secondderivativeop.hpp, ql/methods/finitedifferences/operators/secondordermixedderivativeop.cpp, ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp, ql/methods/finitedifferences/operators/triplebandlinearop.cpp, ql/methods/finitedifferences/operators/triplebandlinearop.hpp, ql/methods/finitedifferences/schemes/Makefile.am, ql/methods/finitedifferences/schemes/all.hpp, ql/methods/finitedifferences/schemes/craigsneydscheme.cpp, ql/methods/finitedifferences/schemes/craigsneydscheme.hpp, ql/methods/finitedifferences/schemes/douglasscheme.cpp, ql/methods/finitedifferences/schemes/douglasscheme.hpp, ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp, ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp, ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp, ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp, ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp, ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp, ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp, ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp, ql/methods/finitedifferences/solvers/Makefile.am, ql/methods/finitedifferences/solvers/all.hpp, ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.cpp, ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp, ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp, ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp, ql/methods/finitedifferences/solvers/fdm3dimsolver.cpp, ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp, ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp, ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp, ql/methods/finitedifferences/solvers/fdmbatessolver.cpp, ql/methods/finitedifferences/solvers/fdmbatessolver.hpp, ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp, ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp, ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp, ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp, ql/methods/finitedifferences/solvers/fdmhestonsolver.cpp, ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp, ql/methods/finitedifferences/solvers/fdmndimsolver.hpp, ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp, ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp, ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp, ql/methods/finitedifferences/stepconditions/Makefile.am, ql/methods/finitedifferences/stepconditions/all.hpp, ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp, ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp, ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.cpp, ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp, ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.cpp, ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp, ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.cpp, ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp, ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.cpp, ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp, ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.cpp, ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp, ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.cpp, ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp, ql/methods/finitedifferences/utilities/Makefile.am, ql/methods/finitedifferences/utilities/all.hpp, ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp, ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp, ql/methods/finitedifferences/utilities/fdmdividendhandler.cpp, ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp, ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp, ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp, ql/methods/finitedifferences/utilities/fdmquantohelper.cpp, ql/methods/finitedifferences/utilities/fdmquantohelper.hpp, ql/pricingengines/asian/fdblackscholesasianengine.cpp, ql/pricingengines/asian/fdblackscholesasianengine.hpp, ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp, ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp, ql/pricingengines/barrier/fdblackscholesrebateengine.cpp, ql/pricingengines/barrier/fdblackscholesrebateengine.hpp, ql/pricingengines/barrier/fdhestonbarrierengine.cpp, ql/pricingengines/barrier/fdhestonbarrierengine.hpp, ql/pricingengines/barrier/fdhestonrebateengine.cpp, ql/pricingengines/barrier/fdhestonrebateengine.hpp, ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp, ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp, ql/pricingengines/vanilla/fdbatesvanillaengine.cpp, ql/pricingengines/vanilla/fdbatesvanillaengine.hpp, ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp, ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp, ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp, ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp, ql/pricingengines/vanilla/fdhestonvanillaengine.cpp, ql/pricingengines/vanilla/fdhestonvanillaengine.hpp, ql/pricingengines/vanilla/fdsimplebsswingengine.cpp, ql/pricingengines/vanilla/fdsimplebsswingengine.hpp, ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp, ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp, test-suite/inflationcpicapfloor.cpp, test-suite/inflationcpicapfloor.hpp, test-suite/inflationcpiswap.cpp, test-suite/inflationcpiswap.hpp, test-suite/swingoption.cpp, test-suite/swingoption.hpp, test-suite/vpp.cpp, test-suite/vpp.hpp: Fixed svn properties 2011-10-27 12:52 Luigi Ballabio * [r18065] ql/indexes/inflationindex.cpp, ql/indexes/inflationindex.hpp, test-suite/inflation.cpp: Better detection of forecast/past fixings for inflation indexes. When an interpolated index is asked for a fixing at the beginning of a month, the fixing for the following (which would have zero weight in the interpolation) is no longer required. Also, if a fixing is loaded in the index time series, it can be used even its observation lag has not fully elapsed. 2011-10-27 12:51 Luigi Ballabio * [r18061] ql/instruments/bond.cpp, ql/instruments/bond.hpp: Added startDate() inspector to Bond class. 2011-10-27 12:51 Luigi Ballabio * [r18060] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/time/daycounters/Makefile.am, ql/time/daycounters/business252.cpp, ql/time/daycounters/business252.hpp, test-suite/daycounters.cpp: Improved performance of business/252 day counter. The naive implementation would count the business days between two dates at each invocation. This one caches dynamically the count of business days for whole months and years, so that after a while only the first and last few days are counted. This improves the performance dramatically. 2011-10-25 12:41 Luigi Ballabio * [r18058] ql/indexes/iborindex.hpp: Moved forecastFixing(Date,Date,Time) overload to private section. When used with cached dates, this overload can give quite a performance boost to coupon calculations (see IborCoupon) but is potentially misleading: by passing the wrong dates, one can ask a 6-months index for a 1-year fixing. For that reason, we're making this method private and we're declaring the IborCoupon class (which uses it) as a friend. 2011-10-24 09:10 Luigi Ballabio * [r18057] ql/instruments/bonds/cpibond.cpp, ql/instruments/bonds/cpibond.hpp, ql/instruments/cpiswap.cpp, ql/instruments/cpiswap.hpp, test-suite/inflationcpiswap.cpp: Changed class-name capitalization. The change makes the names of CPISwap and CPIBond consistent with other class names. 2011-10-24 09:10 Luigi Ballabio * [r18056] ql/cashflows/cpicoupon.cpp, ql/cashflows/cpicoupon.hpp, ql/experimental/inflation/cpicapfloorengines.cpp, ql/experimental/inflation/cpicapfloorengines.hpp, ql/instruments/bonds/cpibond.cpp, ql/instruments/bonds/cpibond.hpp, ql/instruments/cpicapfloor.cpp, ql/instruments/cpicapfloor.hpp, ql/instruments/cpiswap.cpp, ql/instruments/cpiswap.hpp, test-suite/inflationcpicapfloor.cpp, test-suite/inflationcpiswap.cpp: Hard tab/whitespace cleanup. This was put in a separate commit to avoid confusing diffs. 2011-10-24 09:09 Luigi Ballabio * [r18055] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/cashflows/Makefile.am, ql/cashflows/all.hpp, ql/cashflows/baseindexedcashflow.cpp, ql/cashflows/baseindexedcashflow.hpp, ql/cashflows/cpicoupon.cpp, ql/cashflows/cpicoupon.hpp, ql/experimental/inflation/cpicapfloorengines.cpp, ql/instruments/bonds/cpibond.cpp, ql/instruments/bonds/cpibond.hpp, ql/instruments/cpicapfloor.cpp, ql/instruments/cpicapfloor.hpp, ql/instruments/cpiswap.cpp, ql/instruments/cpiswap.hpp, test-suite/inflationcpicapfloor.cpp, test-suite/inflationcpiswap.cpp: Renamed BaseIndexedCashFlow to less generic CPICashFlow. The cash flow is currently pretty much tied to CPI instruments, so I'd make this clear. We'll need another use case to be able to generalize. Also, the name was somewhat confusing. It was meant to convey the idea of base date and base level, but instead it suggested that it was a base class for indexed cash flows. 2011-10-24 09:09 Luigi Ballabio * [r18054] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/inflation/Makefile.am, ql/experimental/inflation/all.hpp, ql/experimental/inflation/cpicapfloorengines.cpp, ql/experimental/inflation/cpicapfloorengines.hpp, ql/pricingengines/inflation/Makefile.am, ql/pricingengines/inflation/all.hpp, ql/pricingengines/inflation/cpicapfloorengines.cpp, ql/pricingengines/inflation/cpicapfloorengines.hpp, test-suite/inflationcpicapfloor.cpp: Moved CPI cap-floor engine to experimental. It depends on an experimental price structure. Also, I'd like to understand better if we want this to really be an engine, since it doesn't actually calculate---it interpolates known prices. Of course, it's possible I'm just being picky. 2011-10-24 09:08 Luigi Ballabio * [r18053] ql/cashflows/cpicoupon.hpp: Removed unnecessary inclusion. 2011-10-24 09:08 Luigi Ballabio * [r18052] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/termstructures/volatility/inflation/Makefile.am, ql/termstructures/volatility/inflation/all.hpp, ql/termstructures/volatility/inflation/constantcpivolatility.cpp, ql/termstructures/volatility/inflation/constantcpivolatility.hpp, ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp, ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp: Moved constant CPI-volatility structure to its own file. It was previously in the same file as its abstract base class. 2011-10-24 09:01 Luigi Ballabio * [r18051] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/cashflows/cpicouponpricer.cpp, ql/cashflows/cpicouponpricer.hpp, ql/experimental/inflation/Makefile.am, ql/experimental/inflation/all.hpp, ql/experimental/inflation/cpioptionletvolatilitystructure.cpp, ql/experimental/inflation/cpioptionletvolatilitystructure.hpp, ql/termstructures/volatility/inflation/Makefile.am, ql/termstructures/volatility/inflation/all.hpp, ql/termstructures/volatility/inflation/cpivolatilitystructure.cpp, ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp: Moved CPI-volatility interface to core library. This was required for CPI coupons to be allowed into core, along with the instruments depending on them (CPI swap, bond...) The interface of both coupons and volatility makes sense---it is based on the corresponding interest-rate entities---so I think it's ok to stabilize it. 2011-10-23 20:33 Klaus Spanderen * [r18050] test-suite/vpp.cpp: added VPP Longstaff-Schartz Monte-Carlo test case 2011-10-18 10:46 Luigi Ballabio * [r18047] ql/cashflows/couponpricer.cpp: Added the possibility to mark experimental inclusion as internal. For instance, in the case market in this changeset, the inclusion is made to allow visitation of the experimental coupons; but this doesn't affect exposed interfaces, so it is safe to leave it. 2011-10-17 16:15 Luigi Ballabio * [r18045] ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp: Included qldefines.hpp 2011-10-14 11:35 Luigi Ballabio * [r18041] acinclude.m4: Avoid warnings in newer autoconf versions. 2011-10-12 16:18 Ferdinando Ametrano * [r18034] ql/termstructures/yield/ratehelpers.cpp, ql/termstructures/yield/ratehelpers.hpp: inlined few functions and replicated comments to improve readability 2011-10-12 16:17 Ferdinando Ametrano * [r18033] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp: renamed payFixedRate as payBondCoupon, since the Bond could be whatever kind 2011-10-12 11:33 Luigi Ballabio * [r18032] ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:, ql/experimental/finitedifferences/fdhestonbarrierengine.hpp:: Removed other leftovers 2011-10-11 19:22 Luigi Ballabio * [r18031] ., QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, configure.ac, ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/bicgstab.cpp, ql/experimental/finitedifferences/bicgstab.hpp, ql/experimental/finitedifferences/concentrating1dmesher.cpp, ql/experimental/finitedifferences/concentrating1dmesher.hpp, ql/experimental/finitedifferences/craigsneydscheme.cpp, ql/experimental/finitedifferences/craigsneydscheme.hpp, ql/experimental/finitedifferences/dividendbarrieroption.cpp, ql/experimental/finitedifferences/dividendbarrieroption.hpp, ql/experimental/finitedifferences/douglasscheme.cpp, ql/experimental/finitedifferences/douglasscheme.hpp, ql/experimental/finitedifferences/expliciteulerscheme.cpp, ql/experimental/finitedifferences/expliciteulerscheme.hpp, ql/experimental/finitedifferences/exponentialjump1dmesher.cpp, ql/experimental/finitedifferences/exponentialjump1dmesher.hpp, ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp, ql/experimental/finitedifferences/fdbatesvanillaengine.cpp, ql/experimental/finitedifferences/fdbatesvanillaengine.hpp, ql/experimental/finitedifferences/fdblackscholesasianengine.cpp, ql/experimental/finitedifferences/fdblackscholesasianengine.hpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp, ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp, ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp:, ql/experimental/finitedifferences/fdhestonbarrierengine.hpp, ql/experimental/finitedifferences/fdhestonbarrierengine.hpp:, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.hpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp, ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp, ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp, ql/experimental/finitedifferences/fdm1dmesher.hpp, ql/experimental/finitedifferences/fdm2dblackscholesop.cpp, ql/experimental/finitedifferences/fdm2dblackscholesop.hpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp, ql/experimental/finitedifferences/fdm2dimsolver.cpp, ql/experimental/finitedifferences/fdm2dimsolver.hpp, ql/experimental/finitedifferences/fdm3dimsolver.cpp, ql/experimental/finitedifferences/fdm3dimsolver.hpp, ql/experimental/finitedifferences/fdmamericanstepcondition.cpp, ql/experimental/finitedifferences/fdmamericanstepcondition.hpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp, ql/experimental/finitedifferences/fdmbackwardsolver.cpp, ql/experimental/finitedifferences/fdmbackwardsolver.hpp, ql/experimental/finitedifferences/fdmbatesop.cpp, ql/experimental/finitedifferences/fdmbatesop.hpp, ql/experimental/finitedifferences/fdmbatessolver.cpp, ql/experimental/finitedifferences/fdmbatessolver.hpp, ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp, ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp, ql/experimental/finitedifferences/fdmblackscholesmesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmesher.hpp, ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp, ql/experimental/finitedifferences/fdmblackscholesop.cpp, ql/experimental/finitedifferences/fdmblackscholesop.hpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.hpp, ql/experimental/finitedifferences/fdmdirichletboundary.cpp, ql/experimental/finitedifferences/fdmdirichletboundary.hpp, ql/experimental/finitedifferences/fdmdividendhandler.cpp, ql/experimental/finitedifferences/fdmdividendhandler.hpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp, ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp, ql/experimental/finitedifferences/fdmextoujumpop.cpp, ql/experimental/finitedifferences/fdmextoujumpop.hpp, ql/experimental/finitedifferences/fdmextoujumpsolver.cpp, ql/experimental/finitedifferences/fdmextoujumpsolver.hpp, ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp, ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhestonop.cpp, ql/experimental/finitedifferences/fdmhestonop.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp, ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp, ql/experimental/finitedifferences/fdminnervaluecalculator.cpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp, ql/experimental/finitedifferences/fdmklugeextouop.cpp, ql/experimental/finitedifferences/fdmklugeextouop.hpp, ql/experimental/finitedifferences/fdmklugeextousolver.hpp, ql/experimental/finitedifferences/fdmlinearop.hpp, ql/experimental/finitedifferences/fdmlinearopcomposite.hpp, ql/experimental/finitedifferences/fdmlinearopiterator.hpp, ql/experimental/finitedifferences/fdmlinearoplayout.cpp, ql/experimental/finitedifferences/fdmlinearoplayout.hpp, ql/experimental/finitedifferences/fdmmesher.hpp, ql/experimental/finitedifferences/fdmmeshercomposite.cpp, ql/experimental/finitedifferences/fdmmeshercomposite.hpp, ql/experimental/finitedifferences/fdmndimsolver.hpp, ql/experimental/finitedifferences/fdmquantohelper.cpp, ql/experimental/finitedifferences/fdmquantohelper.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp, ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp, ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp, ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp, ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp, ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp, ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp, ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp, ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp, ql/experimental/finitedifferences/fdmsnapshotcondition.cpp, ql/experimental/finitedifferences/fdmsnapshotcondition.hpp, ql/experimental/finitedifferences/fdmsolverdesc.hpp, ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp, ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp, ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp, ql/experimental/finitedifferences/fdmvppstepcondition.cpp, ql/experimental/finitedifferences/fdsimplebsswingengine.cpp, ql/experimental/finitedifferences/fdsimplebsswingengine.hpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp, ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp, ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp, ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp, ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp, ql/experimental/finitedifferences/firstderivativeop.cpp, ql/experimental/finitedifferences/firstderivativeop.hpp, ql/experimental/finitedifferences/hundsdorferscheme.cpp, ql/experimental/finitedifferences/hundsdorferscheme.hpp, ql/experimental/finitedifferences/impliciteulerscheme.cpp, ql/experimental/finitedifferences/impliciteulerscheme.hpp, ql/experimental/finitedifferences/modifiedcraigsneydscheme.cpp, ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp, ql/experimental/finitedifferences/ninepointlinearop.cpp, ql/experimental/finitedifferences/ninepointlinearop.hpp, ql/experimental/finitedifferences/secondderivativeop.cpp, ql/experimental/finitedifferences/secondderivativeop.hpp, ql/experimental/finitedifferences/secondordermixedderivativeop.cpp, ql/experimental/finitedifferences/secondordermixedderivativeop.hpp, ql/experimental/finitedifferences/sparseilupreconditioner.cpp, ql/experimental/finitedifferences/sparseilupreconditioner.hpp, ql/experimental/finitedifferences/triplebandlinearop.cpp, ql/experimental/finitedifferences/triplebandlinearop.hpp, ql/experimental/finitedifferences/uniform1dmesher.hpp, ql/experimental/finitedifferences/uniformgridmesher.cpp, ql/experimental/finitedifferences/uniformgridmesher.hpp, ql/instruments/Makefile.am, ql/instruments/all.hpp, ql/instruments/dividendbarrieroption.cpp, ql/instruments/dividendbarrieroption.hpp, ql/math/matrixutilities/Makefile.am, ql/math/matrixutilities/all.hpp, ql/math/matrixutilities/bicgstab.cpp, ql/math/matrixutilities/bicgstab.hpp, ql/math/matrixutilities/sparseilupreconditioner.cpp, ql/math/matrixutilities/sparseilupreconditioner.hpp, ql/methods/finitedifferences/Makefile.am, ql/methods/finitedifferences/all.hpp, ql/methods/finitedifferences/meshers, ql/methods/finitedifferences/meshers/Makefile.am, ql/methods/finitedifferences/meshers/all.hpp, ql/methods/finitedifferences/meshers/concentrating1dmesher.cpp, ql/methods/finitedifferences/meshers/concentrating1dmesher.hpp, ql/methods/finitedifferences/meshers/exponentialjump1dmesher.cpp, ql/methods/finitedifferences/meshers/exponentialjump1dmesher.hpp, ql/methods/finitedifferences/meshers/fdm1dmesher.hpp, ql/methods/finitedifferences/meshers/fdmblackscholesmesher.cpp, ql/methods/finitedifferences/meshers/fdmblackscholesmesher.hpp, ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.cpp, ql/methods/finitedifferences/meshers/fdmblackscholesmultistrikemesher.hpp, ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.cpp, ql/methods/finitedifferences/meshers/fdmhestonvariancemesher.hpp, ql/methods/finitedifferences/meshers/fdmmesher.hpp, ql/methods/finitedifferences/meshers/fdmmeshercomposite.cpp, ql/methods/finitedifferences/meshers/fdmmeshercomposite.hpp, ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.cpp, ql/methods/finitedifferences/meshers/fdmsimpleprocess1dmesher.hpp, ql/methods/finitedifferences/meshers/uniform1dmesher.hpp, ql/methods/finitedifferences/meshers/uniformgridmesher.cpp, ql/methods/finitedifferences/meshers/uniformgridmesher.hpp, ql/methods/finitedifferences/operators, ql/methods/finitedifferences/operators/Makefile.am, ql/methods/finitedifferences/operators/all.hpp, ql/methods/finitedifferences/operators/fdm2dblackscholesop.cpp, ql/methods/finitedifferences/operators/fdm2dblackscholesop.hpp, ql/methods/finitedifferences/operators/fdmbatesop.cpp, ql/methods/finitedifferences/operators/fdmbatesop.hpp, ql/methods/finitedifferences/operators/fdmblackscholesop.cpp, ql/methods/finitedifferences/operators/fdmblackscholesop.hpp, ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.cpp, ql/methods/finitedifferences/operators/fdmhestonhullwhiteop.hpp, ql/methods/finitedifferences/operators/fdmhestonop.cpp, ql/methods/finitedifferences/operators/fdmhestonop.hpp, ql/methods/finitedifferences/operators/fdmlinearop.hpp, ql/methods/finitedifferences/operators/fdmlinearopcomposite.hpp, ql/methods/finitedifferences/operators/fdmlinearopiterator.hpp, ql/methods/finitedifferences/operators/fdmlinearoplayout.cpp, ql/methods/finitedifferences/operators/fdmlinearoplayout.hpp, ql/methods/finitedifferences/operators/firstderivativeop.cpp, ql/methods/finitedifferences/operators/firstderivativeop.hpp, ql/methods/finitedifferences/operators/ninepointlinearop.cpp, ql/methods/finitedifferences/operators/ninepointlinearop.hpp, ql/methods/finitedifferences/operators/secondderivativeop.cpp, ql/methods/finitedifferences/operators/secondderivativeop.hpp, ql/methods/finitedifferences/operators/secondordermixedderivativeop.cpp, ql/methods/finitedifferences/operators/secondordermixedderivativeop.hpp, ql/methods/finitedifferences/operators/triplebandlinearop.cpp, ql/methods/finitedifferences/operators/triplebandlinearop.hpp, ql/methods/finitedifferences/schemes, ql/methods/finitedifferences/schemes/Makefile.am, ql/methods/finitedifferences/schemes/all.hpp, ql/methods/finitedifferences/schemes/craigsneydscheme.cpp, ql/methods/finitedifferences/schemes/craigsneydscheme.hpp, ql/methods/finitedifferences/schemes/douglasscheme.cpp, ql/methods/finitedifferences/schemes/douglasscheme.hpp, ql/methods/finitedifferences/schemes/expliciteulerscheme.cpp, ql/methods/finitedifferences/schemes/expliciteulerscheme.hpp, ql/methods/finitedifferences/schemes/hundsdorferscheme.cpp, ql/methods/finitedifferences/schemes/hundsdorferscheme.hpp, ql/methods/finitedifferences/schemes/impliciteulerscheme.cpp, ql/methods/finitedifferences/schemes/impliciteulerscheme.hpp, ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.cpp, ql/methods/finitedifferences/schemes/modifiedcraigsneydscheme.hpp, ql/methods/finitedifferences/solvers, ql/methods/finitedifferences/solvers/Makefile.am, ql/methods/finitedifferences/solvers/all.hpp, ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.cpp, ql/methods/finitedifferences/solvers/fdm2dblackscholessolver.hpp, ql/methods/finitedifferences/solvers/fdm2dimsolver.cpp, ql/methods/finitedifferences/solvers/fdm2dimsolver.hpp, ql/methods/finitedifferences/solvers/fdm3dimsolver.cpp, ql/methods/finitedifferences/solvers/fdm3dimsolver.hpp, ql/methods/finitedifferences/solvers/fdmbackwardsolver.cpp, ql/methods/finitedifferences/solvers/fdmbackwardsolver.hpp, ql/methods/finitedifferences/solvers/fdmbatessolver.cpp, ql/methods/finitedifferences/solvers/fdmbatessolver.hpp, ql/methods/finitedifferences/solvers/fdmblackscholessolver.cpp, ql/methods/finitedifferences/solvers/fdmblackscholessolver.hpp, ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.cpp, ql/methods/finitedifferences/solvers/fdmhestonhullwhitesolver.hpp, ql/methods/finitedifferences/solvers/fdmhestonsolver.cpp, ql/methods/finitedifferences/solvers/fdmhestonsolver.hpp, ql/methods/finitedifferences/solvers/fdmndimsolver.hpp, ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.cpp, ql/methods/finitedifferences/solvers/fdmsimple2dbssolver.hpp, ql/methods/finitedifferences/solvers/fdmsolverdesc.hpp, ql/methods/finitedifferences/stepconditions, ql/methods/finitedifferences/stepconditions/Makefile.am, ql/methods/finitedifferences/stepconditions/all.hpp, ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.cpp, ql/methods/finitedifferences/stepconditions/fdmamericanstepcondition.hpp, ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.cpp, ql/methods/finitedifferences/stepconditions/fdmarithmeticaveragecondition.hpp, ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.cpp, ql/methods/finitedifferences/stepconditions/fdmbermudanstepcondition.hpp, ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.cpp, ql/methods/finitedifferences/stepconditions/fdmsimplestoragecondition.hpp, ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.cpp, ql/methods/finitedifferences/stepconditions/fdmsimpleswingcondition.hpp, ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.cpp, ql/methods/finitedifferences/stepconditions/fdmsnapshotcondition.hpp, ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.cpp, ql/methods/finitedifferences/stepconditions/fdmstepconditioncomposite.hpp, ql/methods/finitedifferences/utilities, ql/methods/finitedifferences/utilities/Makefile.am, ql/methods/finitedifferences/utilities/all.hpp, ql/methods/finitedifferences/utilities/fdmdirichletboundary.cpp, ql/methods/finitedifferences/utilities/fdmdirichletboundary.hpp, ql/methods/finitedifferences/utilities/fdmdividendhandler.cpp, ql/methods/finitedifferences/utilities/fdmdividendhandler.hpp, ql/methods/finitedifferences/utilities/fdminnervaluecalculator.cpp, ql/methods/finitedifferences/utilities/fdminnervaluecalculator.hpp, ql/methods/finitedifferences/utilities/fdmquantohelper.cpp, ql/methods/finitedifferences/utilities/fdmquantohelper.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/asian/Makefile.am, ql/pricingengines/asian/all.hpp, ql/pricingengines/asian/fdblackscholesasianengine.cpp, ql/pricingengines/asian/fdblackscholesasianengine.hpp, ql/pricingengines/barrier/Makefile.am, ql/pricingengines/barrier/all.hpp, ql/pricingengines/barrier/fdblackscholesbarrierengine.cpp, ql/pricingengines/barrier/fdblackscholesbarrierengine.hpp, ql/pricingengines/barrier/fdblackscholesrebateengine.cpp, ql/pricingengines/barrier/fdblackscholesrebateengine.hpp, ql/pricingengines/barrier/fdhestonbarrierengine.cpp, ql/pricingengines/barrier/fdhestonbarrierengine.hpp, ql/pricingengines/barrier/fdhestonrebateengine.cpp, ql/pricingengines/barrier/fdhestonrebateengine.hpp, ql/pricingengines/basket/Makefile.am, ql/pricingengines/basket/all.hpp, ql/pricingengines/basket/fd2dblackscholesvanillaengine.cpp, ql/pricingengines/basket/fd2dblackscholesvanillaengine.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/pricingengines/vanilla/Makefile.am, ql/pricingengines/vanilla/all.hpp, ql/pricingengines/vanilla/fdbatesvanillaengine.cpp, ql/pricingengines/vanilla/fdbatesvanillaengine.hpp, ql/pricingengines/vanilla/fdblackscholesvanillaengine.cpp, ql/pricingengines/vanilla/fdblackscholesvanillaengine.hpp, ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.cpp, ql/pricingengines/vanilla/fdhestonhullwhitevanillaengine.hpp, ql/pricingengines/vanilla/fdhestonvanillaengine.cpp, ql/pricingengines/vanilla/fdhestonvanillaengine.hpp, ql/pricingengines/vanilla/fdsimplebsswingengine.cpp, ql/pricingengines/vanilla/fdsimplebsswingengine.hpp, ql/processes/defaultable.hpp, test-suite, test-suite/asianoptions.cpp, test-suite/barrieroption.cpp, test-suite/basketoption.cpp, test-suite/batesmodel.cpp, test-suite/europeanoption.cpp, test-suite/fdheston.cpp, test-suite/fdmlinearop.cpp, test-suite/hestonmodel.cpp, test-suite/hybridhestonhullwhiteprocess.cpp, test-suite/swingoption.cpp, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/vpp.cpp: Moved stable parts of 2D finite-difference framework to core library. More recent parts remain in experimental. Merge of the fd2migration branch. 2011-10-08 23:24 Klaus Spanderen * [r18021] test-suite/vpp.cpp: relax test case 2011-10-08 15:33 Klaus Spanderen * [r18019] ql/experimental/finitedifferences/bicgstab.cpp: test 2011-10-06 14:03 Ferdinando Ametrano * [r18016] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp: added nominal inspector 2011-10-06 13:29 Ferdinando Ametrano * [r18015] ql/termstructures/yieldtermstructure.cpp: allowed unsorted and expired jumps 2011-10-06 13:28 Ferdinando Ametrano * [r18014] test-suite/vpp.cpp: 2011-10-06 13:25 Ferdinando Ametrano * [r18012] ql/instruments/assetswap.cpp: fixed bug 2011-10-03 16:18 Luigi Ballabio * [r18011] QuantLib.spec.in: More tweaks for the RPM specs (thanks to Matt Fair). 2011-10-01 11:13 Klaus Spanderen * [r18009] ql/math/statistics/generalstatistics.hpp: add reserve method 2011-09-16 17:16 Ferdinando Ametrano * [r18002] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp: introduced gearing in asset swap 2011-09-16 16:19 Ferdinando Ametrano * [r18001] ql/instruments/assetswap.cpp: fixed humongous bug 2011-09-16 15:28 Ferdinando Ametrano * [r18000] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp: added fair non-par repayment calculation 2011-09-16 15:25 Ferdinando Ametrano * [r17999] ql/instruments/swap.cpp, ql/instruments/swap.hpp, ql/pricingengines/swap/discountingswapengine.cpp: added endDiscounts for fair end payment calculations 2011-09-16 11:44 Ferdinando Ametrano * [r17997] ql/processes/ornsteinuhlenbeckprocess.cpp, ql/processes/ornsteinuhlenbeckprocess.hpp: improved formatting 2011-09-16 11:42 Ferdinando Ametrano * [r17996] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp: added new AssetSwap constructor with non-par repayment 2011-09-15 17:47 Ferdinando Ametrano * [r17994] test-suite/bin: ignored pdb files 2011-09-15 17:46 Ferdinando Ametrano * [r17992] ql/stochasticprocess.hpp: changed formatting 2011-09-15 17:45 Ferdinando Ametrano * [r17991] ql/termstructures/volatility/swaption/swaptionvolcube2.hpp: added comment 2011-09-15 12:46 Luigi Ballabio * [r17988] ql/time/calendars/china.cpp, ql/time/calendars/china.hpp, ql/time/calendars/hongkong.cpp, ql/time/calendars/hongkong.hpp, ql/time/calendars/india.cpp, ql/time/calendars/india.hpp, ql/time/calendars/indonesia.cpp, ql/time/calendars/indonesia.hpp, ql/time/calendars/saudiarabia.cpp, ql/time/calendars/saudiarabia.hpp, ql/time/calendars/taiwan.cpp, ql/time/calendars/taiwan.hpp: Added moving holidays for 2011. 2011-09-15 08:16 Luigi Ballabio * [r17986] ql/cashflows/baseindexedcashflow.hpp, ql/cashflows/cpicoupon.hpp, ql/cashflows/cpicouponpricer.hpp, ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp, ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp, ql/experimental/finitedifferences/fdmklugeextousolver.hpp, ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp, ql/experimental/finitedifferences/fdmvppstepcondition.hpp, ql/experimental/inflation/cpioptionletvolatilitystructure.hpp, ql/experimental/processes/extouwithjumpsprocess.hpp, ql/experimental/processes/gemanroncoroniprocess.hpp, ql/math/solvers1d/finitedifferencenewtonsafe.hpp: Documentation fixes. 2011-09-14 16:39 Luigi Ballabio * [r17984] QuantLib.spec.in: Removed old files from RPM spec. 2011-09-14 13:57 Luigi Ballabio * [r17981] QuantLib.spec.in, configure.ac: Fixed generation of RPM spec file (thanks to Matt Fair). 2011-09-02 08:47 Klaus Spanderen * [r17938] test-suite/vpp.cpp: corrected wrong expectation value 2011-08-18 10:43 Luigi Ballabio * [r17936] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/exoticoptions/Makefile.am, ql/experimental/exoticoptions/all.hpp, ql/experimental/exoticoptions/kirkspreadoptionengine.cpp, ql/experimental/exoticoptions/kirkspreadoptionengine.hpp, ql/experimental/exoticoptions/spreadoption.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/spreadoption.cpp, test-suite/spreadoption.hpp, test-suite/testsuite.dev, test-suite/testsuite_vc10.vcxproj, test-suite/testsuite_vc10.vcxproj.filters, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Added experimental spread option and related engine. Thanks to IMAFA students Meryem Chibo and Samad Abdessadki. 2011-08-18 10:38 Luigi Ballabio * [r17935] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/exoticoptions/Makefile.am, ql/experimental/exoticoptions/all.hpp, ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.cpp, ql/experimental/exoticoptions/analyticwriterextensibleoptionengine.hpp, ql/experimental/exoticoptions/writerextensibleoption.cpp, ql/experimental/exoticoptions/writerextensibleoption.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dev, test-suite/testsuite_vc10.vcxproj, test-suite/testsuite_vc10.vcxproj.filters, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj, test-suite/writerextensibleoption.cpp, test-suite/writerextensibleoption.hpp: Added experimental writer-extensible option and related engine. Thanks to IMAFA students Delphine Bouthier, Marine Casanova, and Xavier Caron. 2011-08-18 10:37 Luigi Ballabio * [r17934] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/exoticoptions/Makefile.am, ql/experimental/exoticoptions/all.hpp, ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.cpp, ql/experimental/exoticoptions/continuousarithmeticasianlevyengine.hpp, test-suite/asianoptions.cpp, test-suite/asianoptions.hpp: Added experimental Levy engine for continuous-averaging Asian options. Thanks to IMAFA students Yasmine Lahlou and Amine Samani. 2011-08-12 20:47 Klaus Spanderen * [r17933] QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, test-suite/testsuite_vc10.vcxproj, test-suite/testsuite_vc10.vcxproj.filters, test-suite/vpp.cpp: vcxproj catch-up 2011-08-12 10:32 Luigi Ballabio * [r17930] ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp: Added missing inclusion 2011-08-08 12:50 Ferdinando Ametrano * [r17922] QuantLib_vc9.vcproj: VC9 catching up 2011-08-08 12:46 Ferdinando Ametrano * [r17921] QuantLib_vc9.vcproj, test-suite/testsuite_vc9.vcproj: VC9 catching up 2011-08-07 20:45 Klaus Spanderen * [r17920] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp, ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp, ql/experimental/finitedifferences/fdmexpextouinnervaluecalculator.hpp, ql/experimental/finitedifferences/fdmklugeextouop.cpp, ql/experimental/finitedifferences/fdmklugeextouop.hpp, ql/experimental/finitedifferences/fdmklugeextousolver.cpp, ql/experimental/finitedifferences/fdmklugeextousolver.hpp, ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp, ql/experimental/finitedifferences/fdmspreadpayoffinnervalue.hpp, ql/experimental/finitedifferences/fdmvppstepcondition.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp, ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp, ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.cpp, ql/experimental/finitedifferences/fdsimpleklugeextouvppengine.hpp, ql/experimental/finitedifferences/ninepointlinearop.cpp, ql/experimental/finitedifferences/vanillavppoption.cpp, ql/experimental/finitedifferences/vanillavppoption.hpp, ql/experimental/processes/Makefile.am, ql/experimental/processes/all.hpp, ql/experimental/processes/klugeextouprocess.cpp, ql/experimental/processes/klugeextouprocess.hpp, ql/instruments/Makefile.am, ql/instruments/vanillaswingoption.cpp, ql/instruments/vanillaswingoption.hpp, test-suite/Makefile.am, test-suite/quantlibtestsuite.cpp, test-suite/swingoption.cpp, test-suite/swingoption.hpp, test-suite/vpp.cpp, test-suite/vpp.hpp: added finite difference engine for simple vpp's 2011-08-02 12:25 Luigi Ballabio * [r17917] ql/instruments/makeswaption.cpp: Added missing method implementation (thanks to Leon Sit.) 2011-08-01 12:36 Luigi Ballabio * [r17916] ql/termstructures/yield/nonlinearfittingmethods.cpp, ql/termstructures/yield/nonlinearfittingmethods.hpp: Fixed Svensson fitting formula. Thanks to Wasi (whoever that is) and Rahul Kanchi. 2011-08-01 11:23 Ferdinando Ametrano * [r17915] ql/experimental/finitedifferences/fdmbatesop.cpp: cleaned up code 2011-08-01 11:18 Ferdinando Ametrano * [r17914] ql/handle.hpp: deprecated unsafe constructor 2011-08-01 11:17 Ferdinando Ametrano * [r17913] ql/experimental/finitedifferences/fdmbatesop.cpp, ql/experimental/finitedifferences/fdmbatesop.hpp: cleaned up code 2011-08-01 10:26 Ferdinando Ametrano * [r17912] ql/pricingengines/swap/discountingswapengine.cpp: avoided useless try/catch 2011-07-21 09:54 Ferdinando Ametrano * [r17907] ql/instruments/bonds/btp.cpp, ql/instruments/bonds/btp.hpp: added CCTEU and slimmer BTP constructor 2011-07-20 11:17 Ferdinando Ametrano * [r17905] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp: 2011-07-20 11:16 Ferdinando Ametrano * [r17904] ql/instruments/assetswap.cpp: removed redundant include 2011-07-20 10:47 Ferdinando Ametrano * [r17903] ql/instruments/assetswap.cpp: added few using std:: and boost:: directives 2011-07-20 10:46 Ferdinando Ametrano * [r17902] ql/instruments/assetswap.hpp: removed useless include (if needed by some platform/compiler please remove the alternative forward declaration) 2011-07-20 09:32 Luigi Ballabio * [r17901] ql/termstructures/inflationtermstructure.hpp: Moved data members back to protected section. If QL_DISABLE_DEPRECATED is defined, they're private instead. 2011-07-19 14:48 Luigi Ballabio * [r17895] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/methods/finitedifferences/Makefile.am, ql/methods/finitedifferences/all.hpp, ql/methods/finitedifferences/trbdf2.hpp: Added TR-BDF2 finite-difference scheme (thanks to Fabien Le Floc'h.) 2011-07-18 09:37 Luigi Ballabio * [r17892] ql/time/schedule.cpp, ql/time/schedule.hpp: Replaced overloaded constructor with factory method. 2011-07-14 16:49 Ferdinando Ametrano * [r17889] QuantLib_vc10.vcxproj, test-suite/testsuite_vc10.vcxproj: - enabled debug information in release configurations - moved pdb files near their executables for easier (user) retrieval - added /OPT:REF to eliminate functions and/or data never referenced from binaries 2011-07-14 14:57 Ferdinando Ametrano * [r17886] ql/time/schedule.cpp, ql/time/schedule.hpp: added truncated Schedule constructor (and removed unused private data member) 2011-07-13 08:08 Ferdinando Ametrano * [r17884] QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc9.vcproj: VC9 and VC10 catching up 2011-07-13 07:58 Ferdinando Ametrano * [r17883] test-suite/testsuite_vc9.vcproj: added /OPT:REF to eliminate functions and/or data never referenced from binaries 2011-07-12 20:44 Klaus Spanderen * [r17882] test-suite/swingoption.cpp, test-suite/swingoption.hpp: added vpp step condition and test case to calculate the intrinsic value 2011-07-12 20:43 Klaus Spanderen * [r17881] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdm1dmesher.hpp, ql/experimental/finitedifferences/fdm2dblackscholesop.cpp, ql/experimental/finitedifferences/fdm2dimsolver.cpp, ql/experimental/finitedifferences/fdm3dimsolver.cpp, ql/experimental/finitedifferences/fdmamericanstepcondition.cpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp, ql/experimental/finitedifferences/fdmbatesop.cpp, ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp, ql/experimental/finitedifferences/fdmblackscholesop.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmdividendhandler.cpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp, ql/experimental/finitedifferences/fdmextoujumpop.cpp, ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp, ql/experimental/finitedifferences/fdmhestonop.cpp, ql/experimental/finitedifferences/fdminnervaluecalculator.cpp, ql/experimental/finitedifferences/fdmklugeextouop.cpp, ql/experimental/finitedifferences/fdmmesher.hpp, ql/experimental/finitedifferences/fdmmeshercomposite.cpp, ql/experimental/finitedifferences/fdmmeshercomposite.hpp, ql/experimental/finitedifferences/fdmndimsolver.hpp, ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp, ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp, ql/experimental/finitedifferences/fdmvppstepcondition.cpp, ql/experimental/finitedifferences/fdmvppstepcondition.hpp, ql/experimental/finitedifferences/firstderivativeop.cpp, ql/experimental/finitedifferences/ninepointlinearop.cpp, ql/experimental/finitedifferences/ninepointlinearop.hpp, ql/experimental/finitedifferences/secondderivativeop.cpp, ql/experimental/finitedifferences/secondordermixedderivativeop.cpp, ql/experimental/finitedifferences/triplebandlinearop.cpp, ql/experimental/finitedifferences/uniformgridmesher.cpp: added vpp step condition and test case to calculate the intrinsic value 2011-07-12 17:31 Ferdinando Ametrano * [r17880] test-suite/testsuite_vc9.vcproj: moved pdb files near their executables for easier (user) retrieval (the compiler knows their location anyway...) 2011-07-12 17:07 Ferdinando Ametrano * [r17879] Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj, Examples/Bonds/Bonds_vc9.vcproj, Examples/CDS/CDS_vc9.vcproj, Examples/CallableBonds/CallableBonds_vc9.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj, Examples/EquityOption/EquityOption_vc9.vcproj, Examples/FRA/FRA_vc9.vcproj, Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj, Examples/MarketModels/MarketModels_vc9.vcproj, Examples/Replication/Replication_vc9.vcproj, Examples/Repo/Repo_vc9.vcproj, Examples/Swap/Swap_vc9.vcproj, QuantLib_vc9.vcproj, test-suite/testsuite_vc9.vcproj: (re-)enabled debug information in release configurations. This is the default for in VC++ 2008 new projects, does not increase the exe/xll file in a significant way, allows for (some debugging and) profiling, does not disable optimizations. I've used these settings to profile with with GlowCode 8.0 For further informations see: http://stackoverflow.com/questions/218226/visual-c-2008-release-build-contains-debug-information http://stackoverflow.com/questions/6363991/visual-studio-debug-information-in-release-build http://msdn.microsoft.com/en-us/library/xe4t6fc1(v=vs.80).aspx 2011-07-12 15:20 Ferdinando Ametrano * [r17878] QuantLib_vc10.vcxproj.filters, test-suite/testsuite_vc10.vcxproj.filters: no idea what these are, but since they are in the repository... 2011-07-12 14:35 Ferdinando Ametrano * [r17876] ql/termstructures/iterativebootstrap.hpp, ql/termstructures/yield/bootstraptraits.hpp: renamed variable 2011-07-12 14:13 Ferdinando Ametrano * [r17875] ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp, ql/termstructures/credit/probabilitytraits.hpp, ql/termstructures/inflation/inflationtraits.hpp, ql/termstructures/iterativebootstrap.hpp, ql/termstructures/localbootstrap.hpp, ql/termstructures/yield/bootstraptraits.hpp: added index of first alive helper to Traits::guess, Traits::minValueAfter, and Traits::maxValueAfter. This allows helpers access in order to possibly improve guess/max/min efficiency 2011-07-12 13:02 Ferdinando Ametrano * [r17874] ql/termstructures/iterativebootstrap.hpp: removed wrong check 2011-07-12 12:49 Ferdinando Ametrano * [r17873] ql/termstructures/bootstraperror.hpp, ql/termstructures/iterativebootstrap.hpp: - moved BootstrapError instantiation out of for loop in initialize method - cleaned up code - added inspector to BootstrapError 2011-07-11 16:14 Luigi Ballabio * [r17872] ql/experimental/volatility/interestratevolsurface.hpp: Removed ambiguity. 2011-07-11 15:15 Ferdinando Ametrano * [r17871] ql/experimental/volatility/blackatmvolcurve.cpp, ql/experimental/volatility/blackatmvolcurve.hpp, ql/experimental/volatility/blackvolsurface.cpp, ql/experimental/volatility/blackvolsurface.hpp, ql/experimental/volatility/equityfxvolsurface.cpp, ql/experimental/volatility/equityfxvolsurface.hpp, ql/experimental/volatility/interestratevolsurface.cpp, ql/experimental/volatility/interestratevolsurface.hpp, ql/termstructure.hpp, ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.cpp, ql/termstructures/volatility/capfloor/capfloortermvolatilitystructure.hpp, ql/termstructures/volatility/equityfx/blackvoltermstructure.cpp, ql/termstructures/volatility/equityfx/blackvoltermstructure.hpp, ql/termstructures/volatility/equityfx/localvolcurve.hpp, ql/termstructures/volatility/equityfx/localvolsurface.cpp, ql/termstructures/volatility/equityfx/localvoltermstructure.cpp, ql/termstructures/volatility/equityfx/localvoltermstructure.hpp, ql/termstructures/volatility/optionlet/optionletvolatilitystructure.cpp, ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp, ql/termstructures/volatility/swaption/spreadedswaptionvol.cpp, ql/termstructures/volatility/swaption/swaptionvolstructure.cpp, ql/termstructures/volatility/swaption/swaptionvolstructure.hpp, ql/termstructures/voltermstructure.cpp, ql/termstructures/voltermstructure.hpp: deprecated privateness of TermStructure::calendar_ to avoid direct access to what was meant to be accessed through virtual inspector 2011-07-11 11:43 Luigi Ballabio * [r17870] ql/settings.cpp, ql/settings.hpp, ql/userconfig.hpp: Added methods to enable/disable change of evaluation date at midnight. The corresponding define was removed. 2011-07-11 09:36 Ferdinando Ametrano * [r17868] ql/experimental/inflation/cpicapfloortermpricesurface.hpp, ql/experimental/inflation/yoycapfloortermpricesurface.hpp, ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp, ql/termstructures/inflationtermstructure.cpp, ql/termstructures/inflationtermstructure.hpp: made private those data members which are meant to be accessed through virtual inspectors 2011-07-11 08:52 Ferdinando Ametrano * [r17867] ql/instruments/assetswap.cpp, ql/instruments/assetswap.hpp: added floatingLegNPV inspector 2011-07-11 08:23 Ferdinando Ametrano * [r17866] ql/time/ecb.cpp: added ECB maintenance dates for 2012 and 2013 2011-07-07 16:32 Ferdinando Ametrano * [r17865] QuantLib_vc10.vcxproj: VC10 catching up 2011-07-07 15:17 Ferdinando Ametrano * [r17864] ql/cashflows/couponpricer.cpp, ql/cashflows/couponpricer.hpp: cached coupon.index() pointer in private data member 2011-07-07 15:02 Ferdinando Ametrano * [r17863] ql/cashflows/couponpricer.cpp, ql/cashflows/couponpricer.hpp: - cached accrualPeriod in protected data member - inlined few functions - removed useless Settings::instance().evaluationDate() call and avoided double cast in BlackIborCouponPricer::initialize() 2011-07-07 12:58 Ferdinando Ametrano * [r17862] ql/indexes/iborindex.hpp: using name() accessor instead of protected (now private) name_ data member 2011-07-07 12:57 Ferdinando Ametrano * [r17861] ql/indexes/inflationindex.cpp, ql/indexes/inflationindex.hpp: added documentation, inlined few methods, cached name string in private data member 2011-07-07 12:53 Ferdinando Ametrano * [r17860] ql/indexes/bmaindex.cpp, ql/indexes/bmaindex.hpp: fixed bug introduced in Rev17842: name() and fixingCalendar() are virtual and name_ and fixingCalendar_ data member should not be accessed directly. 2011-07-07 12:52 Ferdinando Ametrano * [r17859] ql/indexes/interestrateindex.cpp, ql/indexes/interestrateindex.hpp: - fixed bug introduced in Rev17842: name() and fixingCalendar() are virtual and name_ and fixingCalendar_ data member should not be accessed directly. - inlined few functions - 2011-07-07 10:32 Ferdinando Ametrano * [r17858] ql/indexes/inflationindex.cpp: used Index::timeSeries() method 2011-07-06 17:03 Ferdinando Ametrano * [r17857] ql/cashflows/iborcoupon.cpp: changed formatting 2011-07-06 16:07 Ferdinando Ametrano * [r17856] ql/userconfig.hpp: fixed default configuration 2011-07-06 15:49 Ferdinando Ametrano * [r17854] ql/settings.cpp, ql/settings.hpp, ql/userconfig.hpp: - inlined few Settings methods - introduced new define for compile-time parametrization of sticky/floating Settings evaluation date 2011-07-06 11:01 Luigi Ballabio * [r17853] ql/termstructures/inflation/Makefile.am, ql/termstructures/inflation/all.hpp: Added missing file to Makefile (thanks to Hong Yu.) 2011-07-06 09:44 Ferdinando Ametrano * [r17852] ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp, ql/indexes/iborindex.cpp, ql/indexes/iborindex.hpp, ql/indexes/interestrateindex.cpp, ql/indexes/interestrateindex.hpp: - added public InterestRateIndex::pastFixing to encapsulate TimeSeries access - promoted InterestRateIndex::forecastFixing from protected to public status - added specialized public IborIndex::forecastFixing(Date, Date, Time) overload to avoid date/time (re)calculation - exploited the above points in a more efficient and much cleaner IborCoupon::indexFixing() implementation which takes into account par coupon needs and also avoid date/time recalculations If anyone prefers to keep pastFixing and forecastFixing protected, it should be enough to declare IborCoupon friend of IborIndex 2011-07-06 09:14 Ferdinando Ametrano * [r17851] ql/cashflows/averagebmacoupon.cpp: cleaned up code 2011-07-06 09:13 Ferdinando Ametrano * [r17850] ql/indexes/bmaindex.hpp: 2011-07-05 15:31 Ferdinando Ametrano * [r17849] test-suite/operators.cpp, test-suite/operators.hpp: 2011-07-05 15:30 Ferdinando Ametrano * [r17848] ql/math/interpolations/cubicinterpolation.hpp, ql/methods/finitedifferences/mixedscheme.hpp, ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp, test-suite/operators.cpp, test-suite/operators.hpp: - settled for the following signature: void solveFor(const Array& rhs, Array& result) const; - added unit test 2011-07-05 13:19 Ferdinando Ametrano * [r17847] QuantLib_vc9.vcproj: added missing files 2011-07-05 13:19 Ferdinando Ametrano * [r17846] ql/cashflows/iborcoupon.cpp: fixed typo 2011-07-05 13:12 Ferdinando Ametrano * [r17845] test-suite/quantlibtestsuite.cpp: added define indicators 2011-07-05 13:03 Ferdinando Ametrano * [r17844] test-suite/assetswap.cpp: replaced BOOT_ERROR with BOOST_FAIL 2011-07-05 13:02 Ferdinando Ametrano * [r17843] test-suite/inflationcpiswap.cpp: changed formatting 2011-07-05 10:43 Ferdinando Ametrano * [r17842] ql/indexes/interestrateindex.cpp, ql/indexes/interestrateindex.hpp: - inlined few methods - moved name_ string composition at constructor time 2011-07-05 10:41 Ferdinando Ametrano * [r17841] ql/cashflows/iborcoupon.cpp: added enforceTodaysHistoricFixings 2011-07-04 18:36 Ferdinando Ametrano * [r17840] ql/math/interpolations/cubicinterpolation.hpp, ql/methods/finitedifferences/mixedscheme.hpp, ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp: avoided useless Array allocation using new solveFor2 method 2011-07-04 18:33 Ferdinando Ametrano * [r17839] ql/cashflows/cashflows.cpp: pointer dereferenced just once 2011-07-04 18:31 Ferdinando Ametrano * [r17838] ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp: removed early wrong check: TridiagonalOperator is also used in a direct way, not just to be inverted... 2011-07-04 17:37 Ferdinando Ametrano * [r17837] ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp: fixed typo and improved error message 2011-07-04 17:19 Ferdinando Ametrano * [r17836] ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp: added - check for initialized TridiagonalOperator - earlier check that !close(diagonal[0], 0.0) 2011-07-04 15:47 Ferdinando Ametrano * [r17835] ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp: avoided temporary allocation in solveFor 2011-07-04 14:37 Ferdinando Ametrano * [r17834] ql/methods/finitedifferences/tridiagonaloperator.cpp: 2011-07-04 14:27 Ferdinando Ametrano * [r17833] ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp: changed formatting 2011-07-04 14:11 Ferdinando Ametrano * [r17832] ql/methods/finitedifferences/tridiagonaloperator.cpp, ql/methods/finitedifferences/tridiagonaloperator.hpp: - added constness to isTimeDependent inspector - cleaned up code 2011-07-04 13:43 Ferdinando Ametrano * [r17831] ql/math/interpolations/cubicinterpolation.hpp: improved code in update() method avoiding allocations and redundant initializations (moved to construction time) 2011-07-03 15:31 Klaus Spanderen * [r17830] ql/experimental/finitedifferences/fdmklugeextousolver.cpp: improved default value 2011-07-02 14:30 Klaus Spanderen * [r17829] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdklugeextouspreadengine.cpp, ql/experimental/finitedifferences/fdklugeextouspreadengine.hpp, ql/experimental/finitedifferences/fdm2dblackscholesop.cpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp, ql/experimental/finitedifferences/fdmklugeextouop.cpp, ql/experimental/finitedifferences/fdmklugeextouop.hpp, ql/experimental/finitedifferences/fdmklugeextousolver.cpp, ql/experimental/finitedifferences/fdmklugeextousolver.hpp, ql/experimental/finitedifferences/fdmklugeextouspreadinnervalue.hpp, ql/experimental/finitedifferences/fdmndimsolver.hpp, test-suite/swingoption.cpp, test-suite/swingoption.hpp: added FDM solver and vanilla spread enngine for Kluge-Ornstein-Uhlenbeck process 2011-07-01 07:45 Luigi Ballabio * [r17828] ql/patterns/observable.hpp: Removed eyesore 2011-06-30 12:54 Ferdinando Ametrano * [r17827] ql/patterns/observable.hpp: cleaned up code and changed unregister return value to Size in accord with underlying std::set behavior 2011-06-30 10:11 Ferdinando Ametrano * [r17826] ql/termstructures/credit/probabilitytraits.hpp, ql/termstructures/inflation/inflationtraits.hpp, ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp, ql/termstructures/inflation/piecewisezeroinflationcurve.hpp, ql/termstructures/yield/bootstraptraits.hpp: improved min max bracketing 2011-06-29 18:48 Ferdinando Ametrano * [r17825] ql/termstructures/iterativebootstrap.hpp: moved solver construction out of calculate method 2011-06-29 18:17 Ferdinando Ametrano * [r17824] ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp: added comments 2011-06-29 18:01 Ferdinando Ametrano * [r17823] ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp, ql/termstructures/credit/probabilitytraits.hpp, ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp, ql/termstructures/inflation/piecewisezeroinflationcurve.hpp, ql/termstructures/iterativebootstrap.hpp, ql/termstructures/localbootstrap.hpp, ql/termstructures/yield/bootstraptraits.hpp: - changed guess signature to allow for a more compact and clear iterative bootstrap algorithm - changed signature of minValueAfter and maxValueAfter to include the curve pointer and validData information: this will allow more effective bracketing 2011-06-29 17:50 Ferdinando Ametrano * [r17822] ql/experimental/inflation/yoycapfloortermpricesurface.hpp: fixed inclusions to avoid unnecessary dependencies 2011-06-29 17:47 Ferdinando Ametrano * [r17821] ql/experimental/inflation/yoycapfloortermpricesurface.hpp: fixed inclusions to avoid unnecessary dependencies 2011-06-29 17:45 Ferdinando Ametrano * [r17820] ql/experimental/inflation/yoycapfloortermpricesurface.cpp, ql/experimental/inflation/yoycapfloortermpricesurface.hpp: fixed inclusions to avoid unnecessary dependencies 2011-06-29 13:15 Ferdinando Ametrano * [r17818] QuantLib_vc9.vcproj: VC9 catching up with new added files 2011-06-27 21:34 Klaus Spanderen * [r17815] test-suite/swingoption.cpp: fixed reference result 2011-06-27 19:58 Klaus Spanderen * [r17814] test-suite/fdmlinearop.cpp: added generic n-dimensional finite difference solver 2011-06-27 19:57 Klaus Spanderen * [r17813] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdm2dimsolver.cpp, ql/experimental/finitedifferences/fdm2dimsolver.hpp, ql/experimental/finitedifferences/fdm3dimsolver.cpp, ql/experimental/finitedifferences/fdm3dimsolver.hpp, ql/experimental/finitedifferences/fdmextoujumpop.cpp, ql/experimental/finitedifferences/fdmklugeextouop.cpp, ql/experimental/finitedifferences/fdmklugeextouop.hpp, ql/experimental/finitedifferences/fdmndimsolver.hpp: added generic n-dimensional finite difference solver 2011-06-23 19:33 Klaus Spanderen * [r17812] ql/methods/montecarlo/brownianbridge.hpp: added more inspectors 2011-06-14 13:55 Ferdinando Ametrano * [r17811] QuantLib_vc8.vcproj, test-suite/testsuite_vc8.vcproj: added missing files (mmm... I'm almost sure I already did this, I'm puzzled as to why/when they got lost) 2011-06-13 18:51 Ferdinando Ametrano * [r17810] ql/termstructures/iterativebootstrap.hpp: added help variable (which will be used much more later...) 2011-06-13 18:39 Ferdinando Ametrano * [r17809] ql/termstructures/iterativebootstrap.hpp: adjust guess taking into account its proximity to max or min 2011-06-13 18:36 Ferdinando Ametrano * [r17808] ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp, ql/termstructures/credit/probabilitytraits.hpp, ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp, ql/termstructures/inflation/piecewisezeroinflationcurve.hpp, ql/termstructures/yield/bootstraptraits.hpp: removed leftovers 2011-06-13 18:19 Ferdinando Ametrano * [r17807] ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp, ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp: added missing data methods 2011-06-13 15:37 Ferdinando Ametrano * [r17806] ql/termstructures/iterativebootstrap.hpp: fixed bug 2011-06-13 12:17 Klaus Spanderen * [r17805] ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp: added missing forward declaration 2011-06-11 21:34 Klaus Spanderen * [r17804] ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp, ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp, ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp: added last maturity day to swing engine 2011-06-10 16:28 Ferdinando Ametrano * [r17803] ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp: cached index name for performance gain 2011-06-10 15:21 Ferdinando Ametrano * [r17801] ql/pricingengines/swap/discountingswapengine.cpp: switched to simultaneous npv+bps calculation 2011-06-10 15:16 Ferdinando Ametrano * [r17800] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp: added simultaneous npv + bps computation for performance gain 2011-06-10 14:18 Ferdinando Ametrano * [r17799] ql/methods/montecarlo/brownianbridge.hpp: removed useless include 2011-06-10 14:15 Ferdinando Ametrano * [r17798] ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp: removed TimeSeries reference from constructor 2011-06-10 08:06 Ferdinando Ametrano * [r17796] ql/patterns/observable.hpp: added return value to register methods 2011-06-09 16:29 Ferdinando Ametrano * [r17795] ql/instruments/assetswap.cpp, ql/instruments/swap.cpp, ql/instruments/swap.hpp, ql/pricingengines/swap/discountingswapengine.cpp, ql/pricingengines/swap/discountingswapengine.hpp: upgraded npvDateDiscount and startDiscounts result status from additional to regular, in order to remove DiscountingSwapEngine::calculate's inefficiency 2011-06-09 15:52 Ferdinando Ametrano * [r17794] ql/cashflows/iborcoupon.cpp: handled QL_USE_INDEXED_COUPON and isInArrears properly 2011-06-09 15:05 Ferdinando Ametrano * [r17793] ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp: optimized code avoiding useless recalculation of non-mutable data 2011-06-08 16:50 Ferdinando Ametrano * [r17791] ql/termstructures/iterativebootstrap.hpp: improved code in calculate method: - avoided previousData allocation - avoided redundant initialization - used FiniteDifferenceNewtonSafe if a good guess is available 2011-06-08 15:46 Ferdinando Ametrano * [r17790] test-suite/overnightindexedswap.cpp: lowered tolerance and improved error message 2011-06-08 14:40 Ferdinando Ametrano * [r17789] ql/termstructures/yield/piecewiseyieldcurve.hpp, test-suite/piecewiseyieldcurve.cpp: fixed observers' notification bug (and associated buggy logic test) 2011-06-07 16:38 Ferdinando Ametrano * [r17788] ql/patterns/observable.hpp: replaced list with set to ensure unique elements 2011-06-07 16:36 Ferdinando Ametrano * [r17787] ql/patterns/lazyobject.hpp: 2011-06-07 16:03 Ferdinando Ametrano * [r17786] ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp: added caching mechanism to avoid endless recalculation of underlying swap in some real-time environment configuration 2011-06-07 16:01 Ferdinando Ametrano * [r17785] ql/termstructures/yield/bootstraptraits.hpp: parametrized max rate 2011-06-07 15:14 Ferdinando Ametrano * [r17784] ql/termstructures/iterativebootstrap.hpp: reverted back to Brent solver (FiniteDifferenceNewtonSafe needs some more work) and cleaned up code 2011-06-07 14:23 Ferdinando Ametrano * [r17783] ql/termstructure.hpp: moved updated_ from private to protected 2011-06-07 13:21 Ferdinando Ametrano * [r17782] ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp: fixed header inclusion 2011-06-07 12:36 Ferdinando Ametrano * [r17781] ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp: fixed header inclusion 2011-06-07 12:21 Ferdinando Ametrano * [r17780] ql/termstructures/iterativebootstrap.hpp: removed leftover 2011-06-07 10:24 Ferdinando Ametrano * [r17779] ql/models/calibrationhelper.hpp: added explicit include file 2011-06-06 16:52 Ferdinando Ametrano * [r17778] ql/math/solvers1d/finitedifferencenewtonsafe.hpp: fixed typo 2011-06-06 16:48 Ferdinando Ametrano * [r17777] ql/termstructures/iterativebootstrap.hpp: adopted FiniteDifferenceNewtonSafe instead of Brent to optimize curve recalculation 2011-06-06 16:45 Ferdinando Ametrano * [r17776] ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp: 2011-06-06 16:24 Ferdinando Ametrano * [r17775] QuantLib_vc9.vcproj, ql/math/solvers1d/Makefile.am: catching up with new file 2011-06-06 16:22 Ferdinando Ametrano * [r17774] ql/math/solvers1d/all.hpp, ql/math/solvers1d/finitedifferencenewtonsafe.hpp: added safe (bracketed) Newton 1-D solver with finite difference derivatives 2011-06-06 11:02 Ferdinando Ametrano * [r17773] ql/termstructures/iterativebootstrap.hpp: avoided vector allocation inside for loop 2011-06-06 10:54 Ferdinando Ametrano * [r17772] ql/experimental/inflation/yoycapfloortermpricesurface.hpp, test-suite/inflationvolatility.cpp: 2011-06-03 22:31 Klaus Spanderen * [r17771] ql/experimental/finitedifferences/fdm2dimsolver.cpp, ql/experimental/finitedifferences/fdm3dimsolver.cpp, ql/experimental/finitedifferences/fdmamericanstepcondition.cpp, ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp, ql/experimental/finitedifferences/fdminnervaluecalculator.cpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp, ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp, ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp, ql/experimental/finitedifferences/fdsimplebsswingengine.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp, ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp, ql/instruments/vanillaswingoption.hpp, test-suite/fdmlinearop.cpp, test-suite/swingoption.cpp: changed granularity of swing exercise 2011-06-01 15:11 Ferdinando Ametrano * [r17770] QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, test-suite/testsuite_vc10.vcxproj, test-suite/testsuite_vc10.vcxproj.filters: updated files 2011-06-01 15:08 Ferdinando Ametrano * [r17769] ql/experimental/inflation/cpicapfloortermpricesurface.hpp: fixed warning 2011-06-01 12:19 Ferdinando Ametrano * [r17768] test-suite/inflationcpiswap.cpp: avoided warning 2011-05-31 17:29 Ferdinando Ametrano * [r17767] test-suite/swingoption.cpp: fixed warning 2011-05-31 17:29 Ferdinando Ametrano * [r17766] ql/experimental/finitedifferences/fdsimplebsswingengine.cpp: fixed error 2011-05-31 17:28 Ferdinando Ametrano * [r17765] QuantLib_vc9.vcproj, test-suite/testsuite_vc9.vcproj: added missing files 2011-05-31 16:12 Ferdinando Ametrano * [r17760] ., ChangeLog.txt, Docs/pages/history.docs, Docs/pages/license.docs, LICENSE.TXT, News.txt, QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql, ql/cashflows/simplecashflow.hpp, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/experimental/credit/riskybond.cpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp, ql/experimental/math/claytoncopularng.hpp, ql/experimental/math/farliegumbelmorgensterncopularng.hpp, ql/experimental/math/frankcopularng.hpp, ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp, ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp, ql/experimental/shortrate/generalizedhullwhite.cpp, ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp, ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp, ql/experimental/variancegamma/fftengine.hpp, ql/experimental/variancegamma/variancegammamodel.cpp, ql/experimental/variancegamma/variancegammamodel.hpp, ql/indexes/ibor/Makefile.am, ql/indexes/ibor/all.hpp, ql/indexes/ibor/sonia.cpp, ql/indexes/ibor/sonia.hpp, ql/indexes/swap/chfliborswap.cpp, ql/indexes/swap/chfliborswap.hpp, ql/indexes/swap/gbpliborswap.cpp, ql/indexes/swap/gbpliborswap.hpp, ql/indexes/swap/jpyliborswap.cpp, ql/indexes/swap/jpyliborswap.hpp, ql/indexes/swap/usdliborswap.cpp, ql/indexes/swap/usdliborswap.hpp, ql/instruments/bond.cpp, ql/instruments/makevanillaswap.cpp, ql/math/array.hpp, ql/math/interpolations/cubicinterpolation.hpp, ql/math/matrix.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/termstructures/yield/ratehelpers.cpp, ql/termstructures/yield/ratehelpers.hpp, ql/userconfig.hpp, ql/utilities/dataformatters.cpp, test-suite, test-suite/cashflows.cpp, test-suite/commodityunitofmeasure.cpp, test-suite/inflation.cpp, test-suite/inflation.hpp, test-suite/testsuite.dev, test-suite/timeseries.cpp: Merged revisions 1-HEAD of https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/R01010x-branch into C:\Projects\QuantLib\trunk, respecting ancestry 2011-05-30 20:48 Klaus Spanderen * [r17757] ql/experimental/processes/gemanroncoroniprocess.cpp, ql/experimental/processes/gemanroncoroniprocess.hpp: removed tabs 2011-05-29 00:20 Klaus Spanderen * [r17748] ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp: allow negative payoff in swing condition 2011-05-29 00:20 Klaus Spanderen * [r17747] ql/experimental/processes/extouwithjumpsprocess.hpp: removed latex syntax error 2011-05-24 12:09 Luigi Ballabio * [r17741] Docs/quantlib.css: Added rule for new css class 2011-05-22 06:32 Klaus Spanderen * [r17738] ql/experimental/finitedifferences/fdsimplebsswingengine.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp, ql/instruments/vanillaswingoption.hpp, test-suite/swingoption.cpp: added min/maxExerciseRights to SwingOption 2011-05-18 20:33 Klaus Spanderen * [r17734] test-suite/swingoption.cpp: improve test case on upper bound for swing option prices based on Monte-Carlo 2011-05-18 11:43 Klaus Spanderen * [r17733] test-suite/swingoption.cpp: add test case on upper bound for swing option prices based on Monte-Carlo 2011-04-18 08:38 Ferdinando Ametrano * [r17717] ql/time/ecb.cpp: removed useless namespace 2011-04-18 08:38 Ferdinando Ametrano * [r17716] ql/quotes/impliedstddevquote.cpp: removed useless namespace 2011-04-16 14:21 Klaus Spanderen * [r17714] test-suite/quantlibbenchmark.cpp: corrected papi comment 2011-03-27 19:20 Klaus Spanderen * [r17679] test-suite/quantlibbenchmark.cpp: added new benchmark result 2011-03-09 22:40 Klaus Spanderen * [r17670] test-suite/swingoption.cpp: fixed bug in SwingOption (VanillaStorageOption) test case 2011-02-26 13:59 Klaus Spanderen * [r17636] ql/cashflows/cpicoupon.hpp, test-suite/inflationcpiswap.cpp: avoid g++ warnings 2011-02-23 17:38 Luigi Ballabio * [r17632] ql/cashflows/baseindexedcashflow.hpp, ql/instruments/bonds/cpibond.hpp, ql/instruments/cpicapfloor.hpp, ql/instruments/cpiswap.hpp: Fixed forward declarations (thanks to Bojan Nikolic.) 2011-02-08 20:19 Klaus Spanderen * [r17615] ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp, test-suite/swingoption.cpp: removed ugly printf statements 2011-02-06 10:10 Klaus Spanderen * [r17614] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.cpp, ql/experimental/finitedifferences/fdmextendedornsteinuhlenbeckop.hpp, ql/experimental/finitedifferences/fdmsimple2dextousolver.hpp, ql/experimental/finitedifferences/fdmsimplestoragecondition.cpp, ql/experimental/finitedifferences/fdmsimplestoragecondition.hpp, ql/experimental/finitedifferences/fdsimpleextoustorageengine.cpp, ql/experimental/finitedifferences/fdsimpleextoustorageengine.hpp, ql/instruments/Makefile.am, ql/instruments/all.hpp, ql/instruments/vanillastorageoption.hpp, test-suite/swingoption.cpp, test-suite/swingoption.hpp: added fdm pricing engine for a simple storage option based on a exponential Ornstein Uhlenbeck process 2011-02-06 10:07 Klaus Spanderen * [r17613] ql/experimental/finitedifferences/fdm2dimsolver.cpp, ql/experimental/finitedifferences/fdm3dimsolver.cpp, ql/experimental/finitedifferences/fdmextoujumpop.cpp, ql/experimental/finitedifferences/fdmextoujumpop.hpp, ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp: minor code clean-up 2011-01-29 14:57 Klaus Spanderen * [r17607] ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp, ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp, ql/math/Makefile.am, ql/math/all.hpp, ql/math/generallinearleastsquares.hpp, ql/math/linearleastsquaresregression.hpp, ql/methods/montecarlo/longstaffschwartzpathpricer.hpp: removed useless template parameter from LinearLeastSquaresRegression 2011-01-25 15:50 Klaus Spanderen * [r17593] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/exponentialjump1dmesher.cpp, ql/experimental/finitedifferences/exponentialjump1dmesher.hpp, ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdbatesvanillaengine.cpp, ql/experimental/finitedifferences/fdbatesvanillaengine.hpp, ql/experimental/finitedifferences/fdblackscholesasianengine.cpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdextoujumpvanillaengine.cpp, ql/experimental/finitedifferences/fdextoujumpvanillaengine.hpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp, ql/experimental/finitedifferences/fdm2dimsolver.cpp, ql/experimental/finitedifferences/fdm2dimsolver.hpp, ql/experimental/finitedifferences/fdm3dimsolver.cpp, ql/experimental/finitedifferences/fdm3dimsolver.hpp, ql/experimental/finitedifferences/fdmbatesop.cpp, ql/experimental/finitedifferences/fdmbatessolver.cpp, ql/experimental/finitedifferences/fdmbatessolver.hpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.hpp, ql/experimental/finitedifferences/fdmextoujumpmodelinnervalue.hpp, ql/experimental/finitedifferences/fdmextoujumpop.cpp, ql/experimental/finitedifferences/fdmextoujumpop.hpp, ql/experimental/finitedifferences/fdmextoujumpsolver.cpp, ql/experimental/finitedifferences/fdmextoujumpsolver.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp, ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/experimental/finitedifferences/fdmhullwhitemesher.cpp, ql/experimental/finitedifferences/fdmhullwhitemesher.hpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp, ql/experimental/finitedifferences/fdmsimple3dextoujumpsolver.hpp, ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.cpp, ql/experimental/finitedifferences/fdmsimpleprocess1dmesher.hpp, ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp, ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp, ql/experimental/finitedifferences/fdmsolverdesc.hpp, ql/experimental/finitedifferences/fdsimplebsswingengine.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.cpp, ql/experimental/finitedifferences/fdsimpleextoujumpswingengine.hpp, ql/experimental/processes/Makefile.am, ql/experimental/processes/all.hpp, ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp, ql/experimental/processes/extouwithjumpsprocess.cpp, ql/experimental/processes/extouwithjumpsprocess.hpp, ql/experimental/processes/gemanroncoroniprocess.cpp, ql/experimental/processes/gemanroncoroniprocess.hpp, test-suite/Makefile.am, test-suite/fdmlinearop.cpp, test-suite/quantlibtestsuite.cpp, test-suite/swingoption.cpp, test-suite/swingoption.hpp: added vanilla and swing option finite difference pricer for Kluge model (plus further refactoring of the multi dimensinal finite difference code) 2011-01-25 15:45 Klaus Spanderen * [r17592] test-suite/hybridhestonhullwhiteprocess.cpp: include delta and gamma values to test case 2011-01-25 12:56 Klaus Spanderen * [r17591] test-suite/batesmodel.cpp: corrected typo 2011-01-25 12:22 Luigi Ballabio * [r17586] Announce.txt, configure.ac, ql/version.hpp: Increased version number to 1.2. 2011-01-25 12:21 Luigi Ballabio * [r17585] Examples/EquityOption/EquityOption.cpp: Added semi-analytic Heston and Bates methods to example. 2011-01-16 18:39 Chris Kenyon * [r17580] ql/cashflows/Makefile.am, ql/cashflows/all.hpp, ql/cashflows/baseindexedcashflow.cpp, ql/cashflows/baseindexedcashflow.hpp, ql/cashflows/cpicoupon.cpp, ql/cashflows/cpicoupon.hpp, ql/cashflows/cpicouponpricer.cpp, ql/cashflows/cpicouponpricer.hpp, ql/experimental/inflation/Makefile.am, ql/experimental/inflation/all.hpp, ql/experimental/inflation/cpicapfloortermpricesurface.cpp, ql/experimental/inflation/cpicapfloortermpricesurface.hpp, ql/experimental/inflation/cpioptionletvolatilitystructure.cpp, ql/experimental/inflation/cpioptionletvolatilitystructure.hpp, ql/instruments/Makefile.am, ql/instruments/all.hpp, ql/instruments/bonds/Makefile.am, ql/instruments/bonds/all.hpp, ql/instruments/bonds/cpibond.cpp, ql/instruments/bonds/cpibond.hpp, ql/instruments/cpicapfloor.cpp, ql/instruments/cpicapfloor.hpp, ql/instruments/cpiswap.cpp, ql/instruments/cpiswap.hpp, ql/pricingengines/inflation/Makefile.am, ql/pricingengines/inflation/all.hpp, ql/pricingengines/inflation/cpicapfloorengines.cpp, ql/pricingengines/inflation/cpicapfloorengines.hpp, test-suite/Makefile.am, test-suite/inflationcpicapfloor.cpp, test-suite/inflationcpicapfloor.hpp, test-suite/inflationcpiswap.cpp, test-suite/inflationcpiswap.hpp, test-suite/quantlibtestsuite.cpp: New inflation functionality: CPI-linked swaps, bonds, and cap/floors. These complement the existing year-on-year inflation functionality. N.B. capped and floored coupons/pricers are not implemented TODO. The tests check, carefully, for consistency, especially w.r.t. already-existing zero coupon inflation indexed swap Instruments. 2011-01-11 03:10 Mark Joshi * [r17571] ql/models/marketmodels/pathwiseaccountingengine.cpp: fixed size of deflator and derivates vector 2010-12-29 08:53 Klaus Spanderen * [r17569] ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp, ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp: FDM code refactoring (removed redundant code): new step condition composite constructor 2010-12-28 14:55 Klaus Spanderen * [r17568] ql/math/linearleastsquaresregression.hpp: removed swap method from LinearLeastSquaresRegression 2010-12-28 12:57 Klaus Spanderen * [r17567] ql/math/linearleastsquaresregression.hpp, test-suite/linearleastsquaresregression.cpp: added template constructors plus redesign (thanks to Slava Mazur) 2010-12-26 20:05 Klaus Spanderen * [r17566] ql/experimental/finitedifferences/fdmblackscholesop.cpp, ql/experimental/finitedifferences/firstderivativeop.cpp, ql/experimental/finitedifferences/secondderivativeop.cpp, ql/experimental/finitedifferences/triplebandlinearop.cpp, ql/experimental/finitedifferences/triplebandlinearop.hpp: clean-up include order 2010-12-20 07:16 Klaus Spanderen * [r17561] ql/pricingengines/vanilla/batesengine.hpp: fixed misleading comment 2010-12-19 00:44 Klaus Spanderen * [r17560] test-suite/quantlibbenchmark.cpp: fix visual studio compile bug 2010-12-18 17:18 Klaus Spanderen * [r17559] ql/experimental/finitedifferences/fdsimplebsswingengine.cpp: fixed vs 10 bug 2010-12-16 10:25 Klaus Spanderen * [r17557] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdmsimpleswingcondition.cpp, ql/experimental/finitedifferences/fdmsimpleswingcondition.hpp, ql/experimental/finitedifferences/fdsimplebsswingengine.cpp, ql/experimental/finitedifferences/fdsimplebsswingengine.hpp, ql/instruments/Makefile.am, ql/instruments/all.hpp, ql/instruments/vanillaswingoption.hpp: added finite difference pricing engine for a simple swing option based on the BS model. 2010-12-14 13:12 Klaus Spanderen * [r17548] ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp, ql/experimental/finitedifferences/fdbatesvanillaengine.hpp, ql/experimental/finitedifferences/fdblackscholesasianengine.hpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp, ql/experimental/finitedifferences/fdhestonbarrierengine.hpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdhestonrebateengine.hpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp, ql/experimental/finitedifferences/fdmbackwardsolver.cpp, ql/experimental/finitedifferences/fdmbackwardsolver.hpp, ql/experimental/finitedifferences/fdmbatessolver.hpp, ql/experimental/finitedifferences/fdmblackscholessolver.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp, test-suite/barrieroption.cpp, test-suite/europeanoption.cpp, test-suite/fdheston.cpp, test-suite/fdmlinearop.cpp, test-suite/hybridhestonhullwhiteprocess.cpp: removed static data member of FdmSchemeDesc to avoid initialization hassle 2010-12-13 17:01 Ferdinando Ametrano * [r17547] test-suite/hybridhestonhullwhiteprocess.cpp: expanded error message 2010-12-12 10:31 Klaus Spanderen * [r17546] ql/models/marketmodels/pathwiseaccountingengine.cpp: removed obsolete #include 2010-12-12 10:23 Klaus Spanderen * [r17545] test-suite/quantlibbenchmark.cpp: added Heston model calibration 2010-12-12 10:15 Klaus Spanderen * [r17544] test-suite/quantlibbenchmark.cpp: removed obsolete benchmark 2010-12-12 09:39 Klaus Spanderen * [r17543] ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp: removed obsolete typedef 2010-12-10 10:49 Luigi Ballabio * [r17541] Examples/BermudanSwaption/BermudanSwaption_vc10.vcxproj, Examples/Bonds/Bonds_vc10.vcxproj, Examples/CDS/CDS_vc10.vcxproj, Examples/CallableBonds/CallableBonds_vc10.vcxproj, Examples/ConvertibleBonds/ConvertibleBonds_vc10.vcxproj, Examples/DiscreteHedging/DiscreteHedging_vc10.vcxproj, Examples/EquityOption/EquityOption_vc10.vcxproj, Examples/FRA/FRA_vc10.vcxproj, Examples/FittedBondCurve/FittedBondCurve_vc10.vcxproj, Examples/MarketModels/MarketModels_vc10.vcxproj, Examples/Replication/Replication_vc10.vcxproj, Examples/Repo/Repo_vc10.vcxproj, Examples/Swap/Swap_vc10.vcxproj, QuantLib_vc10.sln, QuantLib_vc10.vcxproj, man/MarketModels.1, ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp, ql/experimental/finitedifferences/fdbatesvanillaengine.cpp, ql/experimental/finitedifferences/fdbatesvanillaengine.hpp, ql/experimental/finitedifferences/fdm2dblackscholesop.cpp, ql/experimental/finitedifferences/fdm2dblackscholesop.hpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp, ql/experimental/finitedifferences/fdmbatesop.cpp, ql/experimental/finitedifferences/fdmbatesop.hpp, ql/experimental/finitedifferences/fdmbatessolver.cpp, ql/experimental/finitedifferences/fdmbatessolver.hpp, ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp, ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp, ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp, ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp, ql/models/equity/piecewisetimedependenthestonmodel.cpp, ql/models/equity/piecewisetimedependenthestonmodel.hpp, ql/models/marketmodels/products/multistep/multisteptarn.cpp, ql/models/marketmodels/products/multistep/multisteptarn.hpp, ql/pricingengines/basket/kirkengine.cpp, ql/pricingengines/basket/kirkengine.hpp, ql/pricingengines/vanilla/analyticptdhestonengine.cpp, ql/pricingengines/vanilla/analyticptdhestonengine.hpp, test-suite/testsuite_vc10.vcxproj: Fixed SVN properties 2010-12-03 16:38 Luigi Ballabio * [r17533] ql/termstructures/volatility/swaption/swaptionvolcube.cpp: If available, use discounting curve when creating indexes. Thanks to Peter Caspers. 2010-12-03 16:38 Luigi Ballabio * [r17532] Contributors.txt, Docs/pages/authors.docs, ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp: Added inspector for discounting curve (thanks to Peter Caspers.) 2010-12-02 17:31 Ferdinando Ametrano * [r17531] ql/instruments/assetswap.cpp: fixed default floatingDayCounter handling 2010-12-02 11:52 Luigi Ballabio * [r17529] ql/termstructures/volatility/sabr.cpp: Replaced previous formula with simpler Taylor expansion. The new formula is more easily verifiable and yields values which are not noticeably different. Thanks to Eduardo Alonso for the contribution. 2010-12-02 11:52 Luigi Ballabio * [r17528] ql/experimental/finitedifferences/all.hpp: Updated all.hpp file. 2010-12-01 17:14 Luigi Ballabio * [r17527] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: Updated Windows projects. 2010-11-30 17:30 Klaus Spanderen * [r17526] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/fdbatesvanillaengine.cpp, ql/experimental/finitedifferences/fdbatesvanillaengine.hpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdmbatesop.cpp, ql/experimental/finitedifferences/fdmbatesop.hpp, ql/experimental/finitedifferences/fdmbatessolver.cpp, ql/experimental/finitedifferences/fdmbatessolver.hpp, ql/experimental/finitedifferences/fdmdirichletboundary.cpp, ql/experimental/finitedifferences/fdmdirichletboundary.hpp, ql/experimental/finitedifferences/fdmhestonlikesolverfactory.cpp, ql/experimental/finitedifferences/fdmhestonlikesolverfactory.hpp, ql/experimental/finitedifferences/fdmhestonop.cpp, ql/experimental/finitedifferences/fdmhestonop.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/models/equity/batesmodel.cpp, ql/models/equity/batesmodel.hpp, test-suite/batesmodel.cpp, test-suite/fdmlinearop.cpp: added Bates engine based on the partial integro differential equation. 2010-11-30 16:45 Klaus Spanderen * [r17525] ql/math/linearleastsquaresregression.hpp, test-suite/linearleastsquaresregression.cpp: fixed bug in multi dim linear regression object 2010-11-30 10:26 Luigi Ballabio * [r17524] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/Makefile.am, ql/experimental/math/Makefile.am, ql/experimental/math/all.hpp, ql/experimental/math/zigguratrng.cpp, ql/experimental/math/zigguratrng.hpp: Added Ziggurat RNG (thanks to Kakhkhor Abdijalilov.) 2010-11-29 14:58 Luigi Ballabio * [r17519] ql/experimental/convertiblebonds/convertiblebond.cpp: Added check on callability dates. 2010-11-29 14:56 Luigi Ballabio * [r17518] ql/pricingengines/latticeshortratemodelengine.hpp, ql/pricingengines/swaption/treeswaptionengine.cpp, ql/pricingengines/swaption/treeswaptionengine.hpp: Added constructor taking a Handle to a model. 2010-11-29 14:56 Luigi Ballabio * [r17517] ql/instruments/zerocouponinflationswap.cpp, ql/instruments/zerocouponinflationswap.hpp: Added more inspectors for swap data. 2010-11-29 14:56 Luigi Ballabio * [r17516] ql/termstructures/inflationtermstructure.cpp, ql/termstructures/inflationtermstructure.hpp: Added public Time-based interface. 2010-11-29 14:55 Luigi Ballabio * [r17515] ql/indexes/inflation/euhicp.hpp: Added HICPXT indexes. 2010-11-29 14:55 Luigi Ballabio * [r17514] ql/termstructures/volatility/optionlet/all.hpp: Regenerated all.hpp file with ordered headers. 2010-11-29 14:55 Luigi Ballabio * [r17513] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/time/calendars/Makefile.am, ql/time/calendars/all.hpp, ql/time/calendars/russia.cpp, ql/time/calendars/russia.hpp: Added Russian calendar. 2010-11-28 18:19 Klaus Spanderen * [r17512] ql/pricingengines/vanilla/batesengine.cpp: code formatting 2010-11-23 15:00 Luigi Ballabio * [r17509] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: Updated Windows projects. 2010-11-23 15:00 Luigi Ballabio * [r17508] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp: Added missing file to Makefile. 2010-11-23 10:07 Luigi Ballabio * [r17507] ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp: Pass arguments to base-class constructor in the correct order. Thanks to Leon Sit for the heads-up. 2010-11-23 10:07 Luigi Ballabio * [r17506] ql/math/interpolations/multicubicspline.hpp: Removed illegal mutable qualifier from references. Thanks to Leon Sit for the heads-up. 2010-11-23 10:07 Luigi Ballabio * [r17505] ql/experimental/credit/recursivecdoengine.hpp, ql/math/matrixutilities/factorreduction.cpp, ql/math/matrixutilities/factorreduction.hpp: Pass matrix by copy to avoid modifying the input. This also solves a problem with passing a temporary as an lvalue. 2010-11-23 10:06 Luigi Ballabio * [r17504] ql/experimental/credit/recursivecdoengine.hpp: Avoided forbidden conversion between handles to different types. Thanks to Leon Sit for the heads-up. 2010-11-22 15:10 Luigi Ballabio * [r17500] Contributors.txt, Docs/pages/authors.docs: Exported IborCoupon pricers (thanks to Lluis Pujol Bajador.) 2010-11-22 11:28 Klaus Spanderen * [r17495] ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp, ql/experimental/finitedifferences/fdmbackwardsolver.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp, test-suite/barrieroption.cpp, test-suite/europeanoption.cpp, test-suite/fdheston.cpp, test-suite/hybridhestonhullwhiteprocess.cpp: code refactoring: introduced FdmSchemeDesc to shorten the parameter lists 2010-11-22 11:26 Klaus Spanderen * [r17494] ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp: code refactoring: introduced FdmSchemeDesc to shorten the parameter lists 2010-11-22 11:24 Klaus Spanderen * [r17493] ql/experimental/finitedifferences/fdblackscholesasianengine.cpp, ql/experimental/finitedifferences/fdblackscholesasianengine.hpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.hpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.hpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp, ql/experimental/finitedifferences/fdmbackwardsolver.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, test-suite/fdmlinearop.cpp: code refactoring: introduced FdmSchemeDesc to shorten the parameter lists 2010-11-22 11:11 Luigi Ballabio * [r17492] ql/experimental/variancegamma/fftengine.cpp, ql/experimental/variancegamma/fftengine.hpp, test-suite/variancegamma.cpp: Cleaned up types in vanilla-option FFT engine (thanks to Adrian O'Neill.) 2010-11-22 10:03 Luigi Ballabio * [r17490] ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp: Removed namespace ambiguity in VC++10 2010-11-21 17:08 Klaus Spanderen * [r17489] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fd2dblackscholesvanillaengine.hpp, ql/experimental/finitedifferences/fdm2dblackscholesop.cpp, ql/experimental/finitedifferences/fdm2dblackscholesop.hpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.cpp, ql/experimental/finitedifferences/fdm2dblackscholessolver.hpp, ql/experimental/finitedifferences/fdminnervaluecalculator.cpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp, test-suite/basketoption.cpp: added 2 dimensional finite difference engine for Black-Scholes processes (incl. local vol). 2010-11-21 16:59 Klaus Spanderen * [r17488] ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp: removed useless include 2010-11-21 16:56 Klaus Spanderen * [r17487] ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp: removed useless include 2010-11-19 16:23 Luigi Ballabio * [r17486] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: Updated VC++ and Dev-C++ projects. 2010-11-19 15:53 Luigi Ballabio * [r17485] ql/math/randomnumbers/knuthuniformrng.cpp, ql/math/randomnumbers/knuthuniformrng.hpp: Knuth RNG is now safely copyable (thanks to Slava Mazur.) 2010-11-19 14:56 Luigi Ballabio * [r17484] ql/experimental/processes/Makefile.am, ql/experimental/processes/all.hpp, ql/experimental/processes/vegastressedblackscholesprocess.cpp, ql/experimental/processes/vegastressedblackscholesprocess.hpp: Added experimental Black-Scholes process with support for vega stress test. Thanks to Michael Heckl for the contribution. 2010-11-19 14:56 Luigi Ballabio * [r17483] ql/pricingengines/basket/all.hpp: Updated all.hpp file 2010-11-18 16:18 Klaus Spanderen * [r17482] ql/experimental/finitedifferences/fdmblackscholesop.cpp, ql/experimental/finitedifferences/fdmblackscholesop.hpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, ql/experimental/finitedifferences/fdmstepconditioncomposite.cpp, ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp: fdm code clean-up 2010-11-17 11:29 Ferdinando Ametrano * [r17481] QuantLib_vc9.vcproj: VC9 catching up 2010-11-17 10:21 Ferdinando Ametrano * [r17480] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite, test-suite/inflation.cpp: merged branches/R01000x-branch into trunk, respecting ancestry 2010-11-16 17:11 Klaus Spanderen * [r17479] test-suite/basketoption.cpp: narrow interface of KirkEngine towards BlackProcess (pricing of spread options on futures) 2010-11-16 17:05 Klaus Spanderen * [r17478] ql/pricingengines/basket/kirkengine.cpp, ql/pricingengines/basket/kirkengine.hpp, test-suite/basketoption.cpp: narrow interface of KirkEngine towards BlackProcess (pricing of spread options on futures) 2010-11-16 13:11 Klaus Spanderen * [r17477] ql/instruments/basketoption.hpp, ql/pricingengines/basket/Makefile.am, ql/pricingengines/basket/kirkengine.cpp, ql/pricingengines/basket/kirkengine.hpp, test-suite/basketoption.cpp: added Kirk approximation for two asset spread options 2010-11-14 14:04 Chris Kenyon * [r17476] ql/termstructures/inflationtermstructure.cpp, test-suite/inflation.cpp, test-suite/inflation.hpp: Fix for InflationPeriod bug (thanks to Niall O'Sullivan) and new test. 2010-11-13 01:15 Klaus Spanderen * [r17474] ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp: set v_min to zero 2010-11-13 01:12 Klaus Spanderen * [r17473] ql/math/integrals/gaussianquadratures.hpp: externalize weights for test purpose 2010-11-13 01:11 Klaus Spanderen * [r17472] ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.cpp, ql/models/marketmodels/browniangenerators/sobolbrowniangenerator.hpp: added test interface 2010-11-04 09:15 Klaus Spanderen * [r17470] ql/math/matrixutilities/svd.cpp, ql/math/matrixutilities/svd.hpp: zeroing very small w(i)'s in forSolve 2010-11-03 10:57 Luigi Ballabio * [r17469] ql/math/matrixutilities/svd.cpp, ql/math/matrixutilities/svd.hpp: Added constness to SVD methods. This fixes a compilation error in Longstaff-Schwartz implementation where such methods were called on a const SVD instance. 2010-11-02 22:11 Klaus Spanderen * [r17465] ql/math/linearleastsquaresregression.hpp: patch zeroing of small w(i)'s 2010-10-28 10:27 Klaus Spanderen * [r17456] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdmbermudanstepcondition.cpp, ql/experimental/finitedifferences/fdmbermudanstepcondition.hpp: added bermudan exercise to multidimensional FD framework 2010-10-26 09:12 Luigi Ballabio * [r17451] QuantLib.dev, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, test-suite/testsuite.dev: Updated Windows projects. 2010-10-26 09:12 Luigi Ballabio * [r17450] ql/experimental/coupons/Makefile.am, ql/experimental/coupons/all.hpp: Added untracked files to autotools build. 2010-10-25 09:09 Luigi Ballabio * [r17448] ql/experimental/processes/all.hpp: Updated all.hpp with new files. 2010-10-23 10:53 Klaus Spanderen * [r17447] ql/experimental/processes/Makefile.am, ql/experimental/processes/extendedornsteinuhlenbeckprocess.cpp, ql/experimental/processes/extendedornsteinuhlenbeckprocess.hpp: added extended Ornstein-Uhlenbeck process 2010-10-22 12:34 Ferdinando Ametrano * [r17440] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-10-22 10:14 Luigi Ballabio * [r17439] ql/experimental/risk/sensitivityanalysis.cpp, ql/patterns/lazyobject.hpp, ql/termstructures/iterativebootstrap.hpp, test-suite/convertiblebonds.cpp: Reverted recent exception-related changes. Note that for sensitivityanalysis.cpp, I did not entirely revert the changes, since the original code included the slicing 'throw e' construct. That might have been the source of some reported loss of messages. 2010-10-21 16:23 Ferdinando Ametrano * [r17437] test-suite/convertiblebonds.cpp: catch all exceptions 2010-10-21 16:14 Ferdinando Ametrano * [r17436] ql/experimental/risk/sensitivityanalysis.cpp: catch all exceptions 2010-10-21 16:14 Ferdinando Ametrano * [r17435] ql/patterns/lazyobject.hpp, ql/termstructures/iterativebootstrap.hpp: added specialized handling of std::exception 2010-10-21 15:28 Luigi Ballabio * [r17434] ql/timeseries.hpp, test-suite/timeseries.cpp, test-suite/timeseries.hpp: Revamped time-series iterators (thanks to Slava Mazur.) Iterators on dates and values were added, as well as C++0X-style cbegin() and cend() iterators. 2010-10-19 08:38 Luigi Ballabio * [r17432] Examples/BermudanSwaption/Makefile.am, Examples/Bonds/Makefile.am, Examples/CDS/Makefile.am, Examples/CallableBonds/Makefile.am, Examples/ConvertibleBonds/Makefile.am, Examples/DiscreteHedging/Makefile.am, Examples/EquityOption/Makefile.am, Examples/FRA/Makefile.am, Examples/FittedBondCurve/Makefile.am, Examples/MarketModels/Makefile.am, Examples/Replication/Makefile.am, Examples/Repo/Makefile.am, Examples/Swap/Makefile.am, Makefile.am, test-suite/Makefile.am: Added VC++10 files to distributed tarballs. 2010-10-19 08:38 Luigi Ballabio * [r17431] ql/math/distributions/normaldistribution.cpp: Better recover for inverse cumulative in case of numerical error. Previously, operator() would check if the passed value were close to 0 or 1 due to numerical error; but in that case, it set them to 0 or 1 which led to a math exception. Now, the largest positive and negative numbers are returned instead. 2010-10-19 08:37 Luigi Ballabio * [r17430] ql/math/distributions/normaldistribution.cpp, ql/math/distributions/normaldistribution.hpp: More performant inverse cumulative (thanks to Kakhkhor Abdijalilov.) Also, a static standard_value method was added which returns the distribution value for null mean and unit standard deviation. 2010-10-19 08:37 Luigi Ballabio * [r17429] ql/math/randomnumbers/mt19937uniformrng.cpp, ql/math/randomnumbers/mt19937uniformrng.hpp: More performant mt19937 implementation (thanks to Kakhkhor Abdijalilov.) 2010-10-18 15:16 Luigi Ballabio * [r17428] ., Examples/BermudanSwaption/BermudanSwaption_vc10.vcxproj, Examples/BermudanSwaption/BermudanSwaption_vc10.vcxproj.filters, Examples/Bonds/Bonds_vc10.vcxproj, Examples/Bonds/Bonds_vc10.vcxproj.filters, Examples/CDS/CDS_vc10.vcxproj, Examples/CDS/CDS_vc10.vcxproj.filters, Examples/CallableBonds/CallableBonds.cpp, Examples/CallableBonds/CallableBonds_vc10.vcxproj, Examples/CallableBonds/CallableBonds_vc10.vcxproj.filters, Examples/ConvertibleBonds/ConvertibleBonds_vc10.vcxproj, Examples/ConvertibleBonds/ConvertibleBonds_vc10.vcxproj.filters, Examples/DiscreteHedging/DiscreteHedging_vc10.vcxproj, Examples/DiscreteHedging/DiscreteHedging_vc10.vcxproj.filters, Examples/EquityOption/EquityOption_vc10.vcxproj, Examples/EquityOption/EquityOption_vc10.vcxproj.filters, Examples/FRA/FRA_vc10.vcxproj, Examples/FRA/FRA_vc10.vcxproj.filters, Examples/FittedBondCurve/FittedBondCurve_vc10.vcxproj, Examples/FittedBondCurve/FittedBondCurve_vc10.vcxproj.filters, Examples/MarketModels/MarketModels_vc10.vcxproj, Examples/MarketModels/MarketModels_vc10.vcxproj.filters, Examples/Replication/Replication_vc10.vcxproj, Examples/Replication/Replication_vc10.vcxproj.filters, Examples/Repo/Repo_vc10.vcxproj, Examples/Repo/Repo_vc10.vcxproj.filters, Examples/Swap/Swap_vc10.vcxproj, Examples/Swap/Swap_vc10.vcxproj.filters, QuantLib_vc10.sln, QuantLib_vc10.vcxproj, QuantLib_vc10.vcxproj.filters, ql/auto_link.hpp, ql/config.msvc.hpp, ql/experimental/finitedifferences/sparseilupreconditioner.cpp, ql/experimental/finitedifferences/sparseilupreconditioner.hpp, ql/pricingengines/vanilla/analytichestonengine.cpp, test-suite/inflationvolatility.cpp, test-suite/nthtodefault.cpp, test-suite/testsuite_vc10.vcxproj, test-suite/testsuite_vc10.vcxproj.filters: Added support for VC++2010 to the core library. The support is still incomplete. On the one hand, not all warnings were removed. On the other hand, VC10 doesn't compile parts of Boost::uBLAS 1.44. For the time being, QL_NO_UBLAS_SUPPORT was defined in config.msvc.hpp (which disables a few methods and classes.) The define should be removed once everything works. 2010-10-06 13:09 Luigi Ballabio * [r17417] ql/experimental/math/Makefile.am, ql/experimental/math/all.hpp, ql/experimental/math/claytoncopularng.hpp, ql/experimental/math/farliegumbelmorgensterncopularng.hpp, ql/experimental/math/frankcopularng.hpp: Added experimental copula-based RNGs (thanks to Hachemi Benyahia.) 2010-10-06 10:43 Ferdinando Ametrano * [r17415] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-09-30 16:14 Ferdinando Ametrano * [r17412] ql/instruments/overnightindexedswap.cpp, ql/instruments/overnightindexedswap.hpp: enabled amortizing OIS 2010-09-30 09:37 Luigi Ballabio * [r17411] ql/math/array.hpp: Added size_type typedef to Array (thanks to Kim Tang.) 2010-09-29 20:46 Klaus Spanderen * [r17410] test-suite/hybridhestonhullwhiteprocess.cpp: fixed default parameter 2010-09-29 12:50 Luigi Ballabio * [r17409] Contributors.txt, Docs/pages/authors.docs, ql/experimental/commodities/unitofmeasureconversionmanager.hpp, test-suite/Makefile.am, test-suite/commodityunitofmeasure.cpp, test-suite/commodityunitofmeasure.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Added a few tests for unit of measures (thanks to Manas Bhatt.) 2010-09-29 09:21 Ferdinando Ametrano * [r17408] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-09-28 15:03 Luigi Ballabio * [r17402] ql/termstructures/volatility/swaption/swaptionvolcube.cpp: Fixed registration of observables in SwaptionVolCube. Thanks to Selene Makarios. 2010-09-28 15:03 Luigi Ballabio * [r17401] ql/pricingengines/vanilla/fdbermudanengine.hpp, ql/pricingengines/vanilla/fddividendengine.hpp, ql/pricingengines/vanilla/fdmultiperiodengine.hpp: Fixed arguments order in FdMultiPeriodEngine. Client code will still compile. 2010-09-21 15:59 Luigi Ballabio * [r17400] ql/pricingengines/vanilla/fdbermudanengine.hpp, ql/pricingengines/vanilla/fddividendengine.hpp, ql/pricingengines/vanilla/fdmultiperiodengine.hpp, test-suite/dividendoption.cpp: Fixed passing of arguments to FDMultiPeriodEngine (thanks to Selene Makarios.) FDMultiPeriodEngine class was taking and passing the number of time steps and grid points in the wrong order (the order of the parameters in the signature is opposite to that in all other FD classes. For backward compatibility, this was not changed.) A couple of dividend-option tests now require more time steps to pass. 2010-09-17 15:22 Ferdinando Ametrano * [r17394] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-09-17 12:56 Ferdinando Ametrano * [r17393] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-09-16 14:28 Ferdinando Ametrano * [r17387] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-09-16 13:54 Ferdinando Ametrano * [r17384] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-09-14 14:52 Luigi Ballabio * [r17377] ql/experimental/risk/sensitivityanalysis.cpp, ql/experimental/risk/sensitivityanalysis.hpp: Reordered parameters. According to gcc, a temporary cannot be a default value for a non-const reference. I suppose a temporary is not an lvalue. Anyway, the default value was removed and the parameter was moved upwards. 2010-09-14 14:51 Luigi Ballabio * [r17376] ql/experimental/commodities/unitofmeasureconversionmanager.hpp: Prevented initialization of singleton class instances. 2010-09-14 14:51 Luigi Ballabio * [r17375] ql/methods/montecarlo/longstaffschwartzpathpricer.hpp: Avoided multiple allocations (thanks to Kakhkhor Abdijalilov.) 2010-09-14 14:51 Luigi Ballabio * [r17374] QuantLib_vc7.vcproj, ql/instruments/bonds/all.hpp: Added new files to all.hpp and VC7 project. 2010-09-14 14:51 Luigi Ballabio * [r17373] Contributors.txt, Docs/pages/authors.docs, ql/termstructures/yield/piecewisezerospreadedtermstructure.hpp: Manage spread with any compounding (thanks to Robert Philipp.) 2010-09-14 14:50 Luigi Ballabio * [r17372] Docs/pages/authors.docs: Formatted the contributors list as one name per line. This makes it easier to perform diffs, and still gives nice HTML output as the browsers ignore line breaks. 2010-09-14 14:50 Luigi Ballabio * [r17371] ql/models/marketmodels/products/multistep/all.hpp: Updated all.hpp header with new files. 2010-09-14 14:50 Luigi Ballabio * [r17370] ql/utilities/null.hpp: Reworked Null class template (thanks to Kakhkhor Abdijalilov.) The new implementation avoids the need for a macro on 64-bit systems and automatically covers all floating-point and integer types. 2010-09-13 16:27 Ferdinando Ametrano * [r17367] ql/experimental/risk/sensitivityanalysis.cpp, ql/experimental/risk/sensitivityanalysis.hpp: added Quote sensitivities. The function approach will be incorporated in a more efficient class based approach later 2010-09-13 16:24 Ferdinando Ametrano * [r17365] ql/instruments/bonds/btp.cpp, ql/instruments/bonds/btp.hpp: - fixed RendistatoCalculator bug - added inspectors - implemented minor improvements 2010-09-09 12:41 Ferdinando Ametrano * [r17363] ql/instruments/bonds/Makefile.am: - added specialized BTP class to help instantiation of this type of FixedRateBond - added RendistatoCalculator class 2010-09-09 11:36 Ferdinando Ametrano * [r17362] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: VC8/9 catching up 2010-09-09 09:45 Ferdinando Ametrano * [r17360] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/instruments/bonds/btp.cpp, ql/instruments/bonds/btp.hpp: - added specialized BTP class to help instantiation of this type of FixedRateBond - added RendistatoCalculator class 2010-08-29 17:57 Klaus Spanderen * [r17356] ql/pricingengines/vanilla/analyticptdhestonengine.cpp: fixed index access 2010-08-28 10:47 Klaus Spanderen * [r17355] ql/models/marketmodels/products/multistep/Makefile.am: 2010-08-26 11:15 Ferdinando Ametrano * [r17354] ql/time/schedule.cpp, ql/time/schedule.hpp: relaxed constraint on effectiveDate. Note: as of today there are 2 optionletstripper tests failing: they are failing independently from this commit 2010-08-25 03:12 Mark Joshi * [r17353] ql/models/marketmodels/products/multistep/multisteptarn.cpp, ql/models/marketmodels/products/multistep/multisteptarn.hpp: added TARN 2010-08-02 10:44 Ferdinando Ametrano * [r17349] ql/time/schedule.cpp: fixed (rare) duplicated date case, generated by endofmonth adjustment of near dates when the last period is very short 2010-07-27 03:31 Mark Joshi * [r17332] ql/models/marketmodels/evolvers/marketmodelvolprocess.hpp, ql/models/marketmodels/pathwiseaccountingengine.cpp, ql/models/marketmodels/pathwiseaccountingengine.hpp, ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.cpp, ql/models/marketmodels/products/multistep/multistepratchet.cpp, ql/models/marketmodels/products/multistep/multistepratchet.hpp: cleaning up 2010-07-12 16:36 Luigi Ballabio * [r17331] ql/math/randomnumbers/randomsequencegenerator.hpp: Improved documentation (thanks to Kakhkhor Abdijalilov.) 2010-07-12 16:36 Luigi Ballabio * [r17330] ql/methods/montecarlo/longstaffschwartzpathpricer.hpp: Improvements for Longstaff-Schwarz path pricer. - cleaner loop code; - release memory after calibration. Thanks to Kakhkhor Abdijalilov. 2010-07-12 16:36 Luigi Ballabio * [r17329] ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp: Inherit privately from boost::noncopyable (thanks to Kakhkhor Abdijalilov.) 2010-07-12 16:35 Luigi Ballabio * [r17328] Contributors.txt, Docs/pages/authors.docs, ql/timegrid.cpp: Reserved correct number of elements (thanks to Kakhkhor Abdijalilov.) 2010-07-12 16:35 Luigi Ballabio * [r17327] ql/models/equity/all.hpp, ql/pricingengines/vanilla/all.hpp: Updated all.hpp files. 2010-07-01 09:07 Ferdinando Ametrano * [r17326] Examples/FittedBondCurve/FittedBondCurve.cpp, ql/termstructures/yield/fittedbonddiscountcurve.cpp, ql/termstructures/yield/fittedbonddiscountcurve.hpp: - provided (deprecated) FittedBondDiscountCurve backward compatible constructors - avoided usage of these deprecated constructors in the FittedBondCurve example 2010-06-30 17:36 Ferdinando Ametrano * [r17325] ql/experimental/coupons/proxyibor.cpp, ql/experimental/coupons/proxyibor.hpp: exported ProxyIbor 2010-06-30 15:55 Ferdinando Ametrano * [r17324] QuantLib_vc8.vcproj: VC8 catching up 2010-06-30 15:51 Ferdinando Ametrano * [r17323] ql/experimental/coupons/proxyibor.cpp, ql/experimental/coupons/proxyibor.hpp: added ProxyIbor, whose fixing is gearing_ * iborIndex_->fixing(fixingDate) * spread_ 2010-06-30 15:17 Ferdinando Ametrano * [r17321] QuantLib_vc9.vcproj: added new files 2010-06-30 15:15 Ferdinando Ametrano * [r17320] ql/termstructures/yield/fittedbonddiscountcurve.cpp, ql/termstructures/yield/fittedbonddiscountcurve.hpp: generalized to BondHelpers instead of FixedRateBondHelpers 2010-06-30 15:06 Ferdinando Ametrano * [r17319] ql/indexes/iborindex.hpp: fixed documentation 2010-06-28 16:07 Luigi Ballabio * [r17318] ql/cashflow.hpp, ql/time/schedule.hpp: Added a few bits of documentation (thanks to Tawanda Gwena.) 2010-06-28 16:06 Luigi Ballabio * [r17317] Docs/Makefile.am, Docs/quantlib.doxy: Upgraded to Doxygen 1.7.1. 2010-06-28 16:06 Luigi Ballabio * [r17316] Docs/pages/history.docs, ql/experimental/commodities/commoditycashflow.hpp, ql/experimental/commodities/energycommodity.hpp, ql/experimental/exoticoptions/simplechooseroption.hpp: Fixed a few Doxygen warnings. 2010-06-26 10:46 Klaus Spanderen * [r17315] ql/models/equity/Makefile.am, ql/models/equity/piecewisetimedependenthestonmodel.cpp, ql/models/equity/piecewisetimedependenthestonmodel.hpp, ql/pricingengines/vanilla/Makefile.am, ql/pricingengines/vanilla/analyticptdhestonengine.cpp, ql/pricingengines/vanilla/analyticptdhestonengine.hpp, test-suite/hestonmodel.cpp, test-suite/hestonmodel.hpp: added analytic pricing engine for the piecewise constant time dependent heston model (incl. calibration model) 2010-06-09 09:28 Ferdinando Ametrano * [r17314] ql/math/solver1d.hpp, ql/math/solvers1d/bisection.hpp, ql/math/solvers1d/brent.hpp, ql/math/solvers1d/falseposition.hpp, ql/math/solvers1d/newton.hpp, ql/math/solvers1d/newtonsafe.hpp, ql/math/solvers1d/ridder.hpp, ql/math/solvers1d/secant.hpp: using close(x, y) instead of x==y 2010-06-08 09:01 Ferdinando Ametrano * [r17310] ql/math/solvers1d/bisection.hpp, ql/math/solvers1d/falseposition.hpp, ql/math/solvers1d/newton.hpp, ql/math/solvers1d/newtonsafe.hpp: minor changes 2010-06-08 08:58 Ferdinando Ametrano * [r17309] ql/instruments/makevanillaswap.cpp: 2010-06-07 12:55 Luigi Ballabio * [r17306] Docs/Makefile.am, Makefile.am: Cleaned up a bit doc generation. The basepath is no longer passed from the top-level makefile. The online docs are generated in a folder named after the library version. 2010-05-29 10:03 Klaus Spanderen * [r17305] ql/experimental/fx/blackdeltacalculator.cpp, ql/experimental/fx/deltavolquote.cpp, ql/experimental/fx/deltavolquote.hpp: changed order of member variable initialization 2010-05-18 22:02 Klaus Spanderen * [r17298] ql/methods/montecarlo/lsmbasissystem.cpp, ql/methods/montecarlo/lsmbasissystem.hpp: improved LSM basis system (thanks to Kakhkhor Abdijalilov) 2010-05-13 22:39 Klaus Spanderen * [r17297] ql/methods/montecarlo/lsmbasissystem.cpp: fixed equal_with bug 2010-04-26 16:04 Ferdinando Ametrano * [r17271] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/instruments/makeois.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-04-22 17:21 Ferdinando Ametrano * [r17269] ql/termstructures/iterativebootstrap.hpp: ooops... fixed bug 2010-04-22 16:45 Ferdinando Ametrano * [r17268] ql/termstructures/iterativebootstrap.hpp: skipped expired instruments without throwing exception 2010-04-22 16:35 Ferdinando Ametrano * [r17267] ql/termstructures/iterativebootstrap.hpp: 2010-04-22 13:39 Ferdinando Ametrano * [r17266] ql/termstructures/iterativebootstrap.hpp: - added specific expired instrument exception. Nicer skipping of expired instruments will be added later - avoided recreation of internal vectors 2010-04-21 15:35 Luigi Ballabio * [r17265] quantlib.m4: Fixed m4 macro for QuantLib detection. It now works also when asked for versions such as 1.1 (as opposed to 1.1.0). The macro was somewhat simplified in the process. 2010-04-20 18:07 Ferdinando Ametrano * [r17260] ., ChangeLog.txt, ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-04-19 10:09 Luigi Ballabio * [r17256] QuantLib.dev: Manually merged changes from 1.0.x branch. 2010-04-19 09:41 Ferdinando Ametrano * [r17255] ., Contributors.txt, News.txt, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, acinclude.m4, configure.ac, ql, ql/Makefile.am, ql/config.ansi.hpp, ql/config.mingw.hpp, ql/config.msvc.hpp, ql/config.sun.hpp, ql/experimental/credit/defaultevent.cpp, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/instruments/forwardvanillaoption.hpp, ql/instruments/makecapfloor.cpp, ql/instruments/makeyoyinflationcapfloor.cpp, ql/mathconstants.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/pricingengines/forward/forwardengine.hpp, ql/qldefines.hpp, ql/termstructures/inflation/seasonality.cpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-04-13 09:23 Ferdinando Ametrano * [r17245] ., ChangeLog.txt, Contributors.txt, News.txt, ql, ql/cashflows/conundrumpricer.cpp, ql/cashflows/couponpricer.cpp, ql/cashflows/inflationcouponpricer.cpp, ql/cashflows/rangeaccrual.cpp, ql/experimental/callablebonds/callablebond.cpp, ql/experimental/coupons/subperiodcoupons.cpp, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/instruments/creditdefaultswap.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/patterns/singleton.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/termstructures/credit/defaultprobabilityhelpers.cpp, ql/time/calendars/china.cpp, ql/time/calendars/china.hpp, ql/time/calendars/hongkong.cpp, ql/time/calendars/hongkong.hpp, ql/time/calendars/india.cpp, ql/time/calendars/india.hpp, ql/time/calendars/indonesia.cpp, ql/time/calendars/indonesia.hpp, ql/time/calendars/singapore.cpp, ql/time/calendars/singapore.hpp, ql/time/calendars/southkorea.cpp, ql/time/calendars/taiwan.cpp, ql/time/calendars/taiwan.hpp, ql/time/calendars/turkey.cpp, ql/time/calendars/turkey.hpp, test-suite, test-suite/cashflows.cpp, test-suite/cashflows.hpp, test-suite/creditdefaultswap.cpp, test-suite/defaultprobabilitycurves.cpp: merged branches/R01000x-branch into trunk, respecting ancestry 2010-04-12 19:08 Klaus Spanderen * [r17243] ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp: corrected constructor definition 2010-03-29 12:48 Ferdinando Ametrano * [r17232] ql/termstructures/volatility/optionlet/strippedoptionletadapter.cpp: 2010-03-19 08:34 Luigi Ballabio * [r17230] test-suite/testsuite.dev: Removed obsolete include directory. 2010-03-19 08:34 Luigi Ballabio * [r17229] Contributors.txt, Docs/pages/authors.docs, QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/exoticoptions/Makefile.am, ql/experimental/exoticoptions/all.hpp, ql/experimental/exoticoptions/analyticamericanmargrabeengine.cpp, ql/experimental/exoticoptions/analyticamericanmargrabeengine.hpp, ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.cpp, ql/experimental/exoticoptions/analyticeuropeanmargrabeengine.hpp, ql/experimental/exoticoptions/margrabeoption.cpp, ql/experimental/exoticoptions/margrabeoption.hpp, test-suite/Makefile.am, test-suite/margrabeoption.cpp, test-suite/margrabeoption.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Added experimental Margrabe option. Thanks to IMAFA/Polytech'Nice students Marius Akre, Michael Benguigui, and Yanice Cherrak. 2010-03-19 08:33 Luigi Ballabio * [r17228] Contributors.txt, Docs/pages/authors.docs, QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/exoticoptions/Makefile.am, ql/experimental/exoticoptions/all.hpp, ql/experimental/exoticoptions/analyticsimplechooserengine.cpp, ql/experimental/exoticoptions/analyticsimplechooserengine.hpp, ql/experimental/exoticoptions/simplechooseroption.cpp, ql/experimental/exoticoptions/simplechooseroption.hpp, test-suite/Makefile.am, test-suite/chooseroption.cpp, test-suite/chooseroption.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Added experimental simple chooser option. Thanks to IMAFA/Polytech'Nice students Clement Barret, Fakher Braham, and Mohamed Amine Sadaoui. 2010-03-18 12:11 Luigi Ballabio * [r17227] Contributors.txt, Docs/pages/authors.docs: Acknowledged forgotten contributor. 2010-03-16 13:37 Luigi Ballabio * [r17226] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, configure.ac, ql/experimental/Makefile.am, ql/experimental/all.hpp, ql/experimental/shortrate, ql/experimental/shortrate/Makefile.am, ql/experimental/shortrate/all.hpp, ql/experimental/shortrate/generalizedhullwhite.cpp, ql/experimental/shortrate/generalizedhullwhite.hpp, ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.cpp, ql/experimental/shortrate/generalizedornsteinuhlenbeckprocess.hpp: Added experimental generalized Hull-White model (thanks to Cavit Hafizoglu.) The generalized model can take piecewise-constant parameters instead of constant ones. A matching generalized Ornstein-Uhlenbeck process was also added. 2010-03-16 13:19 Luigi Ballabio * [r17225] ql/math/optimization/levenbergmarquardt.cpp: Added precondition checks before calling external optimization routine. 2010-03-16 12:30 Luigi Ballabio * [r17224] ql/models/parameter.hpp: Allowed optional constraint in piecewise-constant parameter. 2010-03-15 16:19 Luigi Ballabio * [r17222] Examples/BermudanSwaption/BermudanSwaption_vc7.vcproj, Examples/BermudanSwaption/BermudanSwaption_vc8.vcproj, Examples/Bonds/Bonds_vc7.vcproj, Examples/Bonds/Bonds_vc8.vcproj, Examples/CDS/CDS_vc7.vcproj, Examples/CDS/CDS_vc8.vcproj, Examples/CallableBonds/CallableBonds_vc7.vcproj, Examples/CallableBonds/CallableBonds_vc8.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc7.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc8.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc7.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc8.vcproj, Examples/EquityOption/EquityOption_vc7.vcproj, Examples/EquityOption/EquityOption_vc8.vcproj, Examples/FRA/FRA_vc7.vcproj, Examples/FRA/FRA_vc8.vcproj, Examples/FittedBondCurve/FittedBondCurve_vc7.vcproj, Examples/FittedBondCurve/FittedBondCurve_vc8.vcproj, Examples/MarketModels/MarketModels_vc7.vcproj, Examples/MarketModels/MarketModels_vc8.vcproj, Examples/Replication/Replication_vc7.vcproj, Examples/Replication/Replication_vc8.vcproj, Examples/Repo/Repo_vc7.vcproj, Examples/Repo/Repo_vc8.vcproj, Examples/Swap/Swap_vc7.vcproj, Examples/Swap/Swap_vc8.vcproj, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj: Removed FileConfiguration sections from projects. 2010-03-12 16:21 Luigi Ballabio * [r17221] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, configure.ac, ql/experimental/Makefile.am, ql/experimental/all.hpp, ql/experimental/variancegamma, ql/experimental/variancegamma/Makefile.am, ql/experimental/variancegamma/all.hpp, ql/experimental/variancegamma/analyticvariancegammaengine.cpp, ql/experimental/variancegamma/analyticvariancegammaengine.hpp, ql/experimental/variancegamma/fftengine.cpp, ql/experimental/variancegamma/fftengine.hpp, ql/experimental/variancegamma/fftvanillaengine.cpp, ql/experimental/variancegamma/fftvanillaengine.hpp, ql/experimental/variancegamma/fftvariancegammaengine.cpp, ql/experimental/variancegamma/fftvariancegammaengine.hpp, ql/experimental/variancegamma/variancegammamodel.cpp, ql/experimental/variancegamma/variancegammamodel.hpp, ql/experimental/variancegamma/variancegammaprocess.cpp, ql/experimental/variancegamma/variancegammaprocess.hpp, test-suite/Makefile.am, test-suite/europeanoption.cpp, test-suite/europeanoption.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj, test-suite/variancegamma.cpp, test-suite/variancegamma.hpp: Added experimental variance-gamma classes (thanks to Adrian O'Neill.) Contributed classes include a variance-gamma process and model (with data but no behavior at this time) and a couple of working engines for European options. 2010-03-12 14:47 Luigi Ballabio * [r17220] ql/experimental/fx: Added svn:ignore property. 2010-03-09 15:42 Luigi Ballabio * [r17218] ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp, ql/experimental/mcbasket/mcpathbasketengine.cpp, ql/experimental/mcbasket/pathpayoff.hpp: Fixes for McBasket Longstaff-Schwartz (thanks to Andrea Odetti.) - arrays did not initialise their entries; this is now fixed. - changed behaviour when there are not ITM paths to run the least-squares regression; in that case, we never exercise. - conditional exercise is now enabled. If on a path, exercise is not allowed, leave the states empty. Alternatively, one could set an exercise value to -DBL_MAX. - canExercise was not honoured at maturity during pricing. 2010-03-09 15:41 Luigi Ballabio * [r17217] ql/experimental/mcbasket/adaptedpathpayoff.cpp, ql/experimental/mcbasket/adaptedpathpayoff.hpp, ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp, ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp, ql/experimental/mcbasket/mcamericanpathengine.hpp, ql/experimental/mcbasket/mcpathbasketengine.cpp, ql/experimental/mcbasket/mcpathbasketengine.hpp, ql/experimental/mcbasket/pathpayoff.hpp: Allow hybrid products in the McBasket framework (thanks to Andrea Odetti.) Path pricers now take a vector of YieldTermStructures that contains the (possibly stochastic) yield curves. 2010-03-09 13:56 Luigi Ballabio * [r17216] ql/experimental/mcbasket/mcamericanpathengine.hpp, ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp, ql/experimental/mcbasket/mcpathbasketengine.hpp: Added arguments similar to the other engines (thanks to Andrea Odetti.) Control variate and time steps per year are now supported. 2010-03-09 08:27 Luigi Ballabio * [r17215] ql/math/copulas/alimikhailhaqcopula.hpp, ql/math/copulas/claytoncopula.hpp, ql/math/copulas/farliegumbelmorgensterncopula.hpp, ql/math/copulas/frankcopula.hpp, ql/math/copulas/galamboscopula.hpp, ql/math/copulas/gaussiancopula.hpp, ql/math/copulas/gumbelcopula.hpp, ql/math/copulas/huslerreisscopula.hpp, ql/math/copulas/independentcopula.hpp, ql/math/copulas/marshallolkincopula.hpp, ql/math/copulas/maxcopula.hpp, ql/math/copulas/mincopula.hpp, ql/math/copulas/plackettcopula.hpp: Added classes to HTML docs. 2010-03-09 08:26 Luigi Ballabio * [r17214] Contributors.txt, Docs/pages/authors.docs, QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/math/copulas/Makefile.am, ql/math/copulas/alimikhailhaqcopula.cpp, ql/math/copulas/alimikhailhaqcopula.hpp, ql/math/copulas/all.hpp, ql/math/copulas/galamboscopula.cpp, ql/math/copulas/galamboscopula.hpp, ql/math/copulas/huslerreisscopula.cpp, ql/math/copulas/huslerreisscopula.hpp, ql/math/copulas/plackettcopula.cpp, ql/math/copulas/plackettcopula.hpp: Added more copulas (thanks to Hachemi Benyahia.) The new formulas are for Ali-Mikhail-Haq copula, Galambos copula, Husler-Reiss copula, and Plackett copula. 2010-03-05 16:05 Luigi Ballabio * [r17210] Examples/FittedBondCurve/FittedBondCurve.cpp: Formatted output and comments. 2010-03-05 16:05 Luigi Ballabio * [r17209] Contributors.txt, Docs/pages/authors.docs, Examples/FittedBondCurve/FittedBondCurve.cpp, ql/termstructures/yield/nonlinearfittingmethods.cpp, ql/termstructures/yield/nonlinearfittingmethods.hpp: Added Svensson curve-fitting method (thanks to Alessandro Roveda.) 2010-03-03 16:46 Luigi Ballabio * [r17207] ql/indexes/indexmanager.cpp: Cleaner deletion of histories from IndexManager. Previously, cleanHistory(name) and cleanHistories() would replace the existing time series with an empty one. Now, the relevant histories are actually deleted from the underlying map. 2010-03-03 11:56 Ferdinando Ametrano * [r17206] ql/termstructures/volatility/optionlet/optionletstripper.hpp, ql/termstructures/volatility/optionlet/optionletstripper1.hpp, ql/termstructures/volatility/optionlet/optionletstripper2.hpp: - added documentation - made OptionletStripper constructor protected 2010-03-03 11:32 Ferdinando Ametrano * [r17205] ql/termstructures/volatility/optionlet/optionletstripper2.cpp, ql/termstructures/volatility/optionlet/optionletstripper2.hpp: optimized calculation 2010-03-03 11:12 Ferdinando Ametrano * [r17204] ql/termstructures/volatility/capfloor/capfloortermvolcurve.hpp, ql/termstructures/volatility/capfloor/capfloortermvolsurface.hpp: 2010-03-03 11:11 Ferdinando Ametrano * [r17203] ql/termstructures/volatility/optionlet/optionletstripper2.cpp: reordered computations. The atm calculation is wrong and should be fixed 2010-03-03 08:36 Luigi Ballabio * [r17202] Docs/quantlib.css: Sync with the main site css. 2010-03-03 08:35 Luigi Ballabio * [r17200] Docs/images/QL-title.jpg: Better antialiasing. 2010-03-02 19:35 Ferdinando Ametrano * [r17198] ., ql, ql/cashflows/indexedcashflow.hpp, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/instruments/zerocouponinflationswap.cpp, ql/instruments/zerocouponinflationswap.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-03-02 19:23 Ferdinando Ametrano * [r17197] ql/instruments/makecapfloor.cpp: temporary patch to get the correct ATM when discounting is different from forwarding 2010-03-02 18:11 Ferdinando Ametrano * [r17190] ql/pricingengines/capfloor/blackcapfloorengine.cpp, ql/pricingengines/capfloor/blackcapfloorengine.hpp, ql/pricingengines/swaption/blackswaptionengine.cpp, ql/pricingengines/swaption/blackswaptionengine.hpp: renamed variables and added comments 2010-03-02 17:55 Ferdinando Ametrano * [r17189] ql/instruments/makevanillaswap.cpp, ql/instruments/makevanillaswap.hpp: - added withPricingEngine method (similar to the one already available for MakeCapFloor and MakeSwaption - fixed ATM calculation bug 2010-03-02 16:10 Ferdinando Ametrano * [r17186] ql/instruments/capfloor.hpp: improved formatting 2010-03-02 16:09 Ferdinando Ametrano * [r17185] ql/instruments/capfloor.cpp, ql/instruments/swaption.cpp: commented out useless calculate() calls. If I'm missing their usefulness, please un-comment them back in documenting their rationale 2010-03-01 19:13 Ferdinando Ametrano * [r17184] ql/instruments/makecapfloor.hpp: 2010-03-01 15:44 Ferdinando Ametrano * [r17183] ql/instruments/payoffs.hpp: made base-class constructors protected 2010-03-01 15:43 Ferdinando Ametrano * [r17182] ql/pricingengines/blackcalculator.cpp, ql/pricingengines/blackcalculator.hpp, ql/pricingengines/blackscholescalculator.cpp, ql/pricingengines/blackscholescalculator.hpp: added simpler constructors and inlined few methods 2010-02-26 09:37 Ferdinando Ametrano * [r17176] ql/math/interpolations/mixedinterpolation.hpp: avoided VC9 warning 2010-02-24 11:58 Ferdinando Ametrano * [r17173] ., ChangeLog.txt, Docs/Makefile.am, Docs/images/QL-small.jpg, Docs/images/QL-title.jpg, Docs/images/QL.bmp, Docs/images/QL.jpg, Docs/images/favicon.ico, Docs/quantlibheader.html, Docs/quantlibheaderonline.html, ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-02-23 17:03 Ferdinando Ametrano * [r17160] QuantLib_vc7.vcproj: VC7 catching up 2010-02-23 16:37 Ferdinando Ametrano * [r17159] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/cashflows/Makefile.am, ql/cashflows/simplecashflow.cpp, ql/cashflows/simplecashflow.hpp: required non-null date and amount in SimpleCashFlow constructor 2010-02-23 12:03 Ferdinando Ametrano * [r17145] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp, ql/pricingengines/bond/bondfunctions.cpp, ql/pricingengines/bond/bondfunctions.hpp: - fixed bug in the previousAmount and previousRate functions - switched to reverse iterator signature for previousXXX functions 2010-02-22 17:54 Ferdinando Ametrano * [r17144] ql/pricingengines/bond/bondfunctions.cpp: removed tradability requirement for next/previous inspectors 2010-02-22 17:34 Ferdinando Ametrano * [r17143] ql/instruments/bond.cpp: fixed "null maturity date" wrong behavior 2010-02-22 15:06 Ferdinando Ametrano * [r17139] ql/pricingengines/bond/discountingbondengine.cpp: avoided usage of CashFlows::NPV default values 2010-02-21 17:17 Klaus Spanderen * [r17135] test-suite/hybridhestonhullwhiteprocess.cpp, test-suite/hybridhestonhullwhiteprocess.hpp: added new test cases for hybrid Heston-Hull-White model 2010-02-19 15:57 Ferdinando Ametrano * [r17134] ql/time/schedule.cpp: added tolerance for firstDate==effectiveDate and nextToLastDate==terminationDate 2010-02-19 15:21 Ferdinando Ametrano * [r17132] ql/instruments/bonds/fixedratebond.hpp: added comments 2010-02-19 14:49 Ferdinando Ametrano * [r17129] ql/cashflows/fixedratecoupon.cpp, ql/cashflows/fixedratecoupon.hpp, ql/instruments/bonds/fixedratebond.cpp, ql/instruments/bonds/fixedratebond.hpp: added paymentCalendar to FixedRateBond, a possibly different calendar than the one used for schedule (accrual dates) calculation 2010-02-19 11:36 Ferdinando Ametrano * [r17128] ql/cashflows/cashflows.cpp: ugly unreasonable patch, help would be appreciated 2010-02-18 16:10 Ferdinando Ametrano * [r17121] ., ChangeLog.txt, ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/userconfig.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-02-18 10:53 Ferdinando Ametrano * [r17118] ql/cashflows/fixedratecoupon.cpp: 2010-02-17 14:26 Ferdinando Ametrano * [r17113] ql/cashflows/cmscoupon.cpp, ql/cashflows/cmscoupon.hpp, ql/cashflows/digitalcmscoupon.cpp, ql/cashflows/digitalcmscoupon.hpp, ql/cashflows/digitaliborcoupon.cpp, ql/cashflows/digitaliborcoupon.hpp, ql/cashflows/fixedratecoupon.cpp, ql/cashflows/fixedratecoupon.hpp, ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp, ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp: reverted Rev17107 2010-02-17 13:38 Ferdinando Ametrano * [r17112] ql/cashflows/cashflows.cpp: fixed bug (maybe worth porting on 1.0 branch too) 2010-02-17 09:36 Luigi Ballabio * [r17110] ql/math/interpolations/mixedinterpolation.hpp: Avoided g++ error. I have no idea what VC9 complains about, but the 'this->' is required by the C++ standard. 2010-02-17 08:23 Ferdinando Ametrano * [r17109] ql/math/interpolations/mixedinterpolation.hpp: avoided VC9 warning 2010-02-17 08:23 Ferdinando Ametrano * [r17108] ql/cashflows/cmscoupon.cpp, ql/cashflows/digitalcmscoupon.cpp, ql/cashflows/digitaliborcoupon.cpp, ql/cashflows/fixedratecoupon.cpp, ql/cashflows/iborcoupon.cpp, ql/cashflows/rangeaccrual.cpp: fixed bug 2010-02-16 19:20 Ferdinando Ametrano * [r17107] ql/cashflows/cmscoupon.cpp, ql/cashflows/cmscoupon.hpp, ql/cashflows/digitalcmscoupon.cpp, ql/cashflows/digitalcmscoupon.hpp, ql/cashflows/digitaliborcoupon.cpp, ql/cashflows/digitaliborcoupon.hpp, ql/cashflows/fixedratecoupon.cpp, ql/cashflows/fixedratecoupon.hpp, ql/cashflows/iborcoupon.cpp, ql/cashflows/iborcoupon.hpp, ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp: added XXX::operator boost::shared_ptr() const 2010-02-16 19:10 Ferdinando Ametrano * [r17106] ql/pricingengines/bond/bondfunctions.cpp, ql/pricingengines/bond/bondfunctions.hpp: added more Coupon inspectors 2010-02-16 19:09 Ferdinando Ametrano * [r17105] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp: added more Coupon inspectors 2010-02-16 19:06 Ferdinando Ametrano * [r17104] ql/instruments/makevanillaswap.hpp: 2010-02-12 15:44 Luigi Ballabio * [r17098] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, configure.ac, ql/experimental/Makefile.am, ql/experimental/all.hpp, ql/experimental/fx, ql/experimental/fx/Makefile.am, ql/experimental/fx/all.hpp, ql/experimental/fx/blackdeltacalculator.cpp, ql/experimental/fx/blackdeltacalculator.hpp, ql/experimental/fx/deltavolquote.cpp, ql/experimental/fx/deltavolquote.hpp, test-suite/Makefile.am, test-suite/blackdeltacalculator.cpp, test-suite/blackdeltacalculator.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Added experimental delta calculator (thanks to Dimitri Reiswich.) 2010-02-11 11:31 Luigi Ballabio * [r17095] Announce.txt, configure.ac, ql/version.hpp: Increased version number to 1.1. 2010-02-10 14:03 Ferdinando Ametrano * [r17088] ., Announce.txt, Examples/MarketModels/MarketModels.cpp, configure.ac, ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/version.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-02-09 16:53 Luigi Ballabio * [r17085] ql/math/interpolations/Makefile.am, ql/math/interpolations/all.hpp: Added new file to autotools build. 2010-02-09 16:52 Luigi Ballabio * [r17084] ql/math/interpolations/mixedinterpolation.hpp: Fixed access to data members of template base class. 2010-02-09 16:47 Ferdinando Ametrano * [r17083] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-02-09 09:40 Ferdinando Ametrano * [r17075] QuantLib_vc9.vcproj, ql/math/interpolations/mixedinterpolation.hpp: added MixedInterpolation 2010-02-08 10:50 Ferdinando Ametrano * [r17069] ql/instruments/assetswap.cpp: added comments 2010-02-08 10:47 Ferdinando Ametrano * [r17068] ql/math/interpolations/loginterpolation.hpp: formatting 2010-02-04 09:54 Ferdinando Ametrano * [r17064] Examples/Swap/swapvaluation.cpp: removed spurious commit 2010-02-03 16:54 Ferdinando Ametrano * [r17061] ., Examples/Swap/swapvaluation.cpp, ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/instruments/makeois.cpp, ql/instruments/zerocouponinflationswap.cpp, ql/instruments/zerocouponinflationswap.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/termstructures/inflation/inflationhelpers.cpp, ql/termstructures/inflation/inflationhelpers.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-01-31 10:13 Klaus Spanderen * [r17057] test-suite/quantlibbenchmark.cpp: updated mflop values, use PAPI_flops 2010-01-29 13:45 Luigi Ballabio * [r17055] ql/experimental/inflation/polynomial2Dspline.hpp: Renamed helper namespace. 2010-01-29 13:44 Luigi Ballabio * [r17054] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/math/Makefile.am, ql/experimental/math/all.hpp, ql/experimental/math/autocovariance.hpp, test-suite/Makefile.am, test-suite/autocovariances.cpp, test-suite/autocovariances.hpp, test-suite/quantlibtestsuite.cpp, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Added autocovariance calculation (thanks to Slava Mazur.) 2010-01-28 09:17 Ferdinando Ametrano * [r17053] ., Announce.txt, configure.ac, ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/instruments/bond.cpp, ql/instruments/makeois.cpp, ql/math/distributions/normaldistribution.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/termstructures/yield/oisratehelper.cpp, ql/version.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-01-26 14:08 Ferdinando Ametrano * [r17043] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/termstructures/volatility/optionlet/spreadedoptionletvol.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-01-26 11:50 Ferdinando Ametrano * [r17040] ql/termstructures/volatility/optionlet/optionletvolatilitystructure.hpp, ql/termstructures/volatility/optionlet/spreadedoptionletvol.cpp: added OptionletVolatilityStructure default constructor 2010-01-26 11:47 Ferdinando Ametrano * [r17039] ql/termstructures/yield/forwardspreadedtermstructure.hpp: fixed comment 2010-01-25 14:13 Luigi Ballabio * [r17037] man/MarketModels.1: Ported changes from 1.0.x branch. 2010-01-25 11:44 Ferdinando Ametrano * [r17034] ., ChangeLog.txt, Docs/pages/history.docs, News.txt, Readme.txt, ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/models/marketmodels/products/multiproductcomposite.cpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged branches/R01000x-branch into trunk, respecting ancestry 2010-01-24 13:41 Klaus Spanderen * [r17030] ql/pricingengines/vanilla/analytichestonengine.cpp, ql/pricingengines/vanilla/analytichestonengine.hpp: removed obsolete code (thanks to Toyin for the hint) 2010-01-22 04:00 Mark Joshi * [r17024] ql/models/marketmodels/products/multiproductcomposite.cpp: bug fix for multproductcomposite 2010-01-14 00:16 Klaus Spanderen * [r17009] ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp: ensure monotony of pGrid 2010-01-13 23:33 Klaus Spanderen * [r17008] ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp: ensure monotony of pGrid 2010-01-13 18:13 Ferdinando Ametrano * [r17007] ., ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite: merged up to r17006 of branches/R01000x-branch into trunk, respecting ancestry 2010-01-13 17:52 Dirk Eddelbuettel * [r17004] man/BermudanSwaption.1, man/Bonds.1, man/CDS.1, man/CallableBonds.1, man/ConvertibleBonds.1, man/DiscreteHedging.1, man/EquityOption.1, man/FRA.1, man/FittedBondCurve.1, man/Makefile.am, man/MarketModels.1, man/Replication.1, man/Repo.1, man/SwapValuation.1: added man/MarketModels.1, updated man/Makefile.am, updated See Also for other man/*1. 2010-01-13 17:38 Ferdinando Ametrano * [r17000] ., Announce.txt, ChangeLog.txt, Examples/MarketModels/Makefile.am, QuantLib.dev, configure.ac, ql, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/callability/swapforwardbasissystem.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/processes/hybridhestonhullwhiteprocess.cpp, ql/version.hpp, test-suite: merged up to r16999 of branches/R01000x-branch into trunk, respecting ancestry 2010-01-07 22:17 Klaus Spanderen * [r16989] ql/processes/hybridhestonhullwhiteprocess.cpp: use "full truncation" scheme for the variance process 2010-01-07 16:59 Ferdinando Ametrano * [r16987] ., QuantLib_vc9.vcproj, ql, ql/cashflows/cashflows.cpp, ql/experimental/convertiblebonds/tflattice.hpp, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/experimental/inflation/yoycapfloortermpricesurface.hpp, ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp, ql/indexes/inflationindex.cpp, ql/indexes/inflationindex.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/termstructures/inflation/seasonality.cpp, ql/termstructures/inflation/seasonality.hpp, ql/termstructures/inflationtermstructure.cpp, test-suite, test-suite/testsuite_vc9.vcproj: 2010-01-04 15:18 Klaus Spanderen * [r16981] test-suite/fdmlinearop.cpp: BiCGstab test case now includes sparse ILU preconditioner 2009-12-30 11:02 Ferdinando Ametrano * [r16961] ., Announce.txt, Bugs.txt, Contributors.txt, Docs/pages/authors.docs, Docs/pages/license.docs, LICENSE.TXT, QuantLib.dev, QuantLib_vc7.sln, QuantLib_vc7.vcproj, QuantLib_vc8.sln, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, configure.ac, quantlib-config.in, test-suite, test-suite/cdo.cpp, test-suite/convertiblebonds.cpp, test-suite/creditdefaultswap.cpp, test-suite/everestoption.cpp, test-suite/extendedtrees.cpp, test-suite/hestonmodel.cpp, test-suite/himalayaoption.cpp, test-suite/hybridhestonhullwhiteprocess.cpp, test-suite/inflationcapfloor.cpp, test-suite/inflationcapflooredcoupon.cpp, test-suite/interpolations.cpp, test-suite/pagodaoption.cpp, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: merged changeset up to Rev16952 from branches/R01000x-branch to trunk 2009-12-30 11:00 Ferdinando Ametrano * [r16960] Examples/BermudanSwaption/BermudanSwaption.cpp, Examples/BermudanSwaption/BermudanSwaption.dev, Examples/BermudanSwaption/BermudanSwaption_vc7.vcproj, Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj, Examples/Bonds/Bonds.cpp, Examples/Bonds/Bonds.dev, Examples/Bonds/Bonds_vc7.vcproj, Examples/Bonds/Bonds_vc9.vcproj, Examples/CDS/CDS.cpp, Examples/CDS/CDS.dev, Examples/CDS/CDS_vc7.vcproj, Examples/CDS/CDS_vc9.vcproj, Examples/CallableBonds/CallableBonds.cpp, Examples/CallableBonds/CallableBonds.dev, Examples/CallableBonds/CallableBonds_vc7.vcproj, Examples/CallableBonds/CallableBonds_vc9.vcproj, Examples/ConvertibleBonds/ConvertibleBonds.cpp, Examples/ConvertibleBonds/ConvertibleBonds.dev, Examples/ConvertibleBonds/ConvertibleBonds_vc7.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj, Examples/DiscreteHedging/DiscreteHedging.cpp, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/DiscreteHedging/DiscreteHedging_vc7.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj, Examples/EquityOption/EquityOption.cpp, Examples/EquityOption/EquityOption.dev, Examples/EquityOption/EquityOption_vc7.vcproj, Examples/EquityOption/EquityOption_vc9.vcproj, Examples/FRA/FRA.cpp, Examples/FRA/FRA.dev, Examples/FRA/FRA_vc7.vcproj, Examples/FRA/FRA_vc9.vcproj, Examples/FittedBondCurve/FittedBondCurve.cpp, Examples/FittedBondCurve/FittedBondCurve.dev, Examples/FittedBondCurve/FittedBondCurve_vc7.vcproj, Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj, Examples/Makefile.am, Examples/MarketModels, Examples/MarketModels/Makefile.am, Examples/MarketModels/MarketModels.cpp, Examples/MarketModels/MarketModels.dev, Examples/MarketModels/MarketModels_vc7.vcproj, Examples/MarketModels/MarketModels_vc8.vcproj, Examples/MarketModels/MarketModels_vc9.vcproj, Examples/Replication/Replication.cpp, Examples/Replication/Replication.dev, Examples/Replication/Replication_vc7.vcproj, Examples/Replication/Replication_vc9.vcproj, Examples/Repo/Repo.cpp, Examples/Repo/Repo.dev, Examples/Repo/Repo_vc7.vcproj, Examples/Repo/Repo_vc9.vcproj, Examples/Swap/Swap.dev, Examples/Swap/Swap_vc7.vcproj, Examples/Swap/Swap_vc9.vcproj, Examples/Swap/swapvaluation.cpp: merged changeset up to Rev16952 from branches/R01000x-branch to trunk 2009-12-30 10:57 Ferdinando Ametrano * [r16959] ql, ql/Makefile.am, ql/auto_link.hpp, ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp, ql/cashflows/coupon.cpp, ql/cashflows/coupon.hpp, ql/cashflows/indexedcashflow.cpp, ql/cashflows/indexedcashflow.hpp, ql/cashflows/rangeaccrual.cpp, ql/cashflows/rangeaccrual.hpp, ql/experimental/Makefile.am, ql/experimental/all.hpp, ql/experimental/callablebonds/callablebond.cpp, ql/experimental/callablebonds/callablebond.hpp, ql/experimental/commodities/unitofmeasureconversion.cpp, ql/experimental/commodities/unitofmeasureconversion.hpp, ql/experimental/commodities/unitofmeasureconversionmanager.cpp, ql/experimental/commodities/unitofmeasureconversionmanager.hpp, ql/experimental/convertiblebonds, ql/experimental/convertiblebonds/Makefile.am, ql/experimental/convertiblebonds/all.hpp, ql/experimental/convertiblebonds/binomialconvertibleengine.hpp, ql/experimental/convertiblebonds/convertiblebond.cpp, ql/experimental/convertiblebonds/convertiblebond.hpp, ql/experimental/convertiblebonds/discretizedconvertible.cpp, ql/experimental/convertiblebonds/discretizedconvertible.hpp, ql/experimental/convertiblebonds/tflattice.hpp, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/experimental/credit/onefactorcopula.hpp, ql/experimental/credit/syntheticcdoengines.hpp, ql/experimental/exoticoptions, ql/experimental/exoticoptions/Makefile.am, ql/experimental/exoticoptions/all.hpp, ql/experimental/exoticoptions/everestoption.cpp, ql/experimental/exoticoptions/everestoption.hpp, ql/experimental/exoticoptions/himalayaoption.cpp, ql/experimental/exoticoptions/himalayaoption.hpp, ql/experimental/exoticoptions/mceverestengine.cpp, ql/experimental/exoticoptions/mceverestengine.hpp, ql/experimental/exoticoptions/mchimalayaengine.cpp, ql/experimental/exoticoptions/mchimalayaengine.hpp, ql/experimental/exoticoptions/mcpagodaengine.cpp, ql/experimental/exoticoptions/mcpagodaengine.hpp, ql/experimental/exoticoptions/pagodaoption.cpp, ql/experimental/exoticoptions/pagodaoption.hpp, ql/experimental/finitedifferences/fdmamericanstepcondition.cpp, ql/experimental/finitedifferences/fdmamericanstepcondition.hpp, ql/experimental/finitedifferences/fdmdirichletboundary.cpp, ql/experimental/finitedifferences/fdmdirichletboundary.hpp, ql/experimental/finitedifferences/sparseilupreconditioner.cpp, ql/experimental/finitedifferences/sparseilupreconditioner.hpp, ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp, ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp, ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp, ql/experimental/mcbasket/adaptedpathpayoff.cpp, ql/experimental/mcbasket/adaptedpathpayoff.hpp, ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp, ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp, ql/experimental/mcbasket/mcamericanpathengine.hpp, ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp, ql/experimental/mcbasket/pathmultiassetoption.hpp, ql/indexes/swapindex.hpp, ql/instruments/Makefile.am, ql/instruments/all.hpp, ql/instruments/bonds/Makefile.am, ql/instruments/bonds/all.hpp, ql/instruments/bonds/convertiblebond.cpp, ql/instruments/bonds/convertiblebond.hpp, ql/instruments/everestoption.cpp, ql/instruments/everestoption.hpp, ql/instruments/himalayaoption.cpp, ql/instruments/himalayaoption.hpp, ql/instruments/pagodaoption.cpp, ql/instruments/pagodaoption.hpp, ql/instruments/zerocouponinflationswap.cpp, ql/legacy/Makefile.am, ql/legacy/all.hpp, ql/math/distributions/poissondistribution.hpp, ql/math/interpolations/convexmonotoneinterpolation.hpp, ql/math/interpolations/kernelinterpolation.hpp, ql/math/interpolations/sabrinterpolation.hpp, ql/math/matrixutilities/getcovariance.cpp, ql/math/matrixutilities/getcovariance.hpp, ql/math/matrixutilities/tapcorrelations.cpp, ql/math/matrixutilities/tapcorrelations.hpp, ql/math/optimization/bfgs.cpp, ql/math/optimization/bfgs.hpp, ql/math/optimization/conjugategradient.cpp, ql/math/optimization/conjugategradient.hpp, ql/math/optimization/linesearchbasedmethod.cpp, ql/math/optimization/linesearchbasedmethod.hpp, ql/math/optimization/steepestdescent.cpp, ql/math/optimization/steepestdescent.hpp, ql/math/randomnumbers/lecuyeruniformrng.cpp, ql/methods/Makefile.am, ql/methods/all.hpp, ql/methods/lattices/Makefile.am, ql/methods/lattices/all.hpp, ql/methods/lattices/bsmlattice.hpp, ql/methods/lattices/tflattice.hpp, ql/models/marketmodels/callability/swapforwardbasissystem.cpp, ql/models/marketmodels/callability/swapforwardbasissystem.hpp, ql/models/marketmodels/curvestates/lmmcurvestate.cpp, ql/models/marketmodels/curvestates/lmmcurvestate.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp, ql/models/marketmodels/models/capletcoterminalperiodic.cpp, ql/models/marketmodels/models/capletcoterminalperiodic.hpp, ql/models/marketmodels/pathwisediscounter.cpp, ql/models/marketmodels/pathwisediscounter.hpp, ql/models/marketmodels/products/multistep/multistepinversefloater.cpp, ql/models/marketmodels/products/multistep/multistepinversefloater.hpp, ql/models/marketmodels/products/multistep/multisteppathwisewrapper.cpp, ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp, ql/models/marketmodels/products/pathwise/Makefile.am, ql/models/marketmodels/products/pathwise/all.hpp, ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.hpp, ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp, ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp, ql/models/marketmodels/products/pathwise/pathwiseproductswap.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductswap.hpp, ql/models/marketmodels/proxygreekengine.cpp, ql/models/marketmodels/utilities.cpp, ql/pricingengines/Makefile.am, ql/pricingengines/all.hpp, ql/pricingengines/basket/Makefile.am, ql/pricingengines/basket/all.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/pricingengines/basket/mceverestengine.cpp, ql/pricingengines/basket/mceverestengine.hpp, ql/pricingengines/basket/mchimalayaengine.cpp, ql/pricingengines/basket/mchimalayaengine.hpp, ql/pricingengines/basket/mcpagodaengine.cpp, ql/pricingengines/basket/mcpagodaengine.hpp, ql/pricingengines/bond/bondfunctions.cpp, ql/pricingengines/bond/bondfunctions.hpp, ql/pricingengines/credit/integralcdsengine.cpp, ql/pricingengines/credit/midpointcdsengine.cpp, ql/pricingengines/hybrid, ql/pricingengines/swap/discountingswapengine.cpp, ql/pricingengines/vanilla/analyticgjrgarchengine.cpp, ql/pricingengines/vanilla/analytichestonengine.cpp, ql/pricingengines/vanilla/analytichestonengine.hpp, ql/pricingengines/vanilla/analytichestonhullwhiteengine.cpp, ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp, ql/processes/hestonprocess.cpp, ql/processes/hestonprocess.hpp, ql/quotes/compositequote.hpp, ql/termstructure.cpp, ql/termstructure.hpp, ql/termstructures/credit/interpolatedhazardratecurve.hpp, ql/termstructures/credit/probabilitytraits.hpp, ql/termstructures/interpolatedcurve.hpp, ql/termstructures/yield/bondhelpers.cpp, ql/termstructures/yield/bondhelpers.hpp, ql/termstructures/yield/discountcurve.hpp, ql/termstructures/yield/fittedbonddiscountcurve.cpp, ql/termstructures/yield/fittedbonddiscountcurve.hpp, ql/termstructures/yield/forwardcurve.hpp, ql/termstructures/yield/ratehelpers.cpp, ql/termstructures/yield/zerocurve.hpp, ql/termstructures/yieldtermstructure.cpp, ql/termstructures/yieldtermstructure.hpp, ql/time/dategenerationrule.cpp, ql/time/dategenerationrule.hpp, ql/time/daycounters/actualactual.cpp, ql/time/schedule.cpp, ql/version.hpp: merged changeset up to Rev16952 from branches/R01000x-branch to trunk 2009-12-28 13:25 Klaus Spanderen * [r16943] ql/processes/hestonprocess.cpp: avoid underrun problem in conjunction with the error function 2009-12-06 10:49 Klaus Spanderen * [r16865] test-suite/hestonmodel.cpp: speed-up Heston test cases by using QE-M discretization 2009-12-05 14:16 Roland Lichters * [r16864] ql/experimental/credit/syntheticcdoengines.hpp: reverted clean up of MidPointCDOEngine 2009-12-03 20:15 Klaus Spanderen * [r16863] ql/processes/hestonprocess.cpp, ql/processes/hestonprocess.hpp: added Quadratic Exponential discretization scheme for the Heston process incl. martingale correction 2009-12-02 16:22 Roland Lichters * [r16852] ql/experimental/credit/distribution.cpp, ql/experimental/credit/distribution.hpp, ql/experimental/credit/riskyassetswap.cpp, ql/experimental/credit/riskybond.cpp, ql/experimental/credit/riskybond.hpp, ql/experimental/credit/syntheticcdoengines.hpp: fixed Nando's lint warnings 2009-11-27 20:22 Klaus Spanderen * [r16839] ql/experimental/finitedifferences/fdmamericanstepcondition.cpp, ql/experimental/finitedifferences/fdmamericanstepcondition.hpp, ql/experimental/finitedifferences/fdmdirichletboundary.cpp, ql/experimental/finitedifferences/fdmdirichletboundary.hpp, ql/pricingengines/vanilla/analytichestonhullwhiteengine.cpp, ql/pricingengines/vanilla/analytichestonhullwhiteengine.hpp: fixed lint warnings (using Nando's alternative 1) 2009-11-25 02:59 Mark Joshi * [r16804] ql/math/statistics/sequencestatistics.hpp: fixed x64 warning 2009-11-24 11:33 Ferdinando Ametrano * [r16791] QuantLib_vc9.vcproj, test-suite/testsuite_vc9.vcproj: added more fixes for x64 - remove useless disabling of warning 4819 - removed all specific FileConfiguration, since they are useless 2009-11-24 11:20 Ferdinando Ametrano * [r16790] test-suite/optimizers.cpp: avoided warning 2009-11-24 11:19 Ferdinando Ametrano * [r16789] ql/math/optimization/bfgs.cpp, ql/math/optimization/bfgs.hpp, ql/math/optimization/conjugategradient.cpp, ql/math/optimization/conjugategradient.hpp, ql/math/optimization/linesearchbasedmethod.hpp, ql/math/optimization/steepestdescent.cpp, ql/math/optimization/steepestdescent.hpp: avoided warnings. All classes derived from LineSearchBasedMethod implementing getUpdatedDirection (i.e. ConjugateGradient, BFGS, SteepestDescent) do not use the second parameter fold. Should this parameter be removed from the signature? Should getUpdatedDirection be protected? 2009-11-24 11:19 Luigi Ballabio * [r16788] ql/time/date.cpp: Reverted change to avoid binary dependency on Boost.Date. 2009-11-24 10:54 Luigi Ballabio * [r16787] ql/experimental/mcbasket/Makefile.am, ql/experimental/mcbasket/all.hpp: Reordered files in Makefile. 2009-11-24 10:54 Ferdinando Ametrano * [r16786] ql/cashflows/inflationcouponpricer.cpp, ql/experimental/commodities/commoditycurve.hpp, ql/experimental/credit/defaultevent.hpp, ql/experimental/credit/recoveryratemodel.hpp, ql/indexes/inflationindex.cpp, ql/instruments/inflationcapfloor.hpp, ql/pricingengines/vanilla/analytichestonengine.cpp: avoided warnings 2009-11-24 10:54 Luigi Ballabio * [r16785] ql/experimental/mcbasket/mcamericanpathengine.hpp: Made header self-consistent by including all needed files. 2009-11-24 10:51 Ferdinando Ametrano * [r16784] ql/models/marketmodels/callability/swapforwardbasissystem.cpp: fixed bug 2009-11-24 09:47 Ferdinando Ametrano * [r16783] test-suite/tracing.cpp: avoided warning 2009-11-24 09:41 Ferdinando Ametrano * [r16782] ql/termstructures/yield/discountcurve.hpp, ql/termstructures/yield/forwardcurve.hpp, ql/termstructures/yield/zerocurve.hpp: removed unused input variables from private member function 2009-11-23 22:29 Klaus Spanderen * [r16781] ql/experimental/mcbasket/Makefile.am, ql/experimental/mcbasket/adaptedpathpayoff.cpp, ql/experimental/mcbasket/adaptedpathpayoff.hpp, ql/experimental/mcbasket/all.hpp, ql/experimental/mcbasket/longstaffschwartzmultipathpricer.cpp, ql/experimental/mcbasket/longstaffschwartzmultipathpricer.hpp, ql/experimental/mcbasket/mcamericanpathengine.hpp, ql/experimental/mcbasket/mclongstaffschwartzpathengine.hpp, ql/experimental/mcbasket/mcpathbasketengine.cpp, ql/experimental/mcbasket/mcpathbasketengine.hpp, ql/experimental/mcbasket/pathmultiassetoption.cpp, ql/experimental/mcbasket/pathmultiassetoption.hpp, ql/experimental/mcbasket/pathpayoff.hpp: added Longstaff-Schwartz algorithm for basket products incl. coupon payments (thanks to Andrea Odetti) 2009-11-23 18:22 Ferdinando Ametrano * [r16780] test-suite/factorial.cpp: oops... 2009-11-23 18:10 Ferdinando Ametrano * [r16779] test-suite/factorial.cpp: used BOOST_FAIL instead of BOOST_ERROR 2009-11-23 17:43 Ferdinando Ametrano * [r16778] ql/cashflows/rangeaccrual.cpp, ql/experimental/callablebonds/callablebond.hpp, ql/experimental/coupons/subperiodcoupons.cpp, ql/math/matrixutilities/tapcorrelations.cpp, ql/math/optimization/conjugategradient.cpp, ql/models/marketmodels/pathwisediscounter.cpp, ql/pricingengines/vanilla/analytichestonhullwhiteengine.cpp, ql/processes/blackscholesprocess.cpp, ql/termstructures/volatility/abcd.hpp, ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.cpp, ql/termstructures/volatility/optionlet/strippedoptionletadapter.cpp: - removed unreferenced formal parameters - formatted code 2009-11-23 17:28 Ferdinando Ametrano * [r16777] ql/instruments/inflationcapfloor.hpp: avoided Level 4 (/W4) warning 2009-11-23 17:21 Ferdinando Ametrano * [r16776] test-suite/libormarketmodelprocess.cpp: improved error message 2009-11-23 16:18 Ferdinando Ametrano * [r16775] ql/experimental/amortizingbonds/amortizingfixedratebond.cpp: in anonymous namespace - removed unreferenced formal parameter startDate - renamed function to start with lower capital letter - commented out unused function sinkingRedemptions 2009-11-23 14:10 Ferdinando Ametrano * [r16774] ql/cashflows/conundrumpricer.cpp, ql/experimental/finitedifferences/secondderivativeop.cpp, ql/legacy/libormarketmodels/lfmhullwhiteparam.cpp, ql/math/statistics/sequencestatistics.hpp: avoided x64 warnings (thanks to Craig Miller) 2009-11-23 12:17 Ferdinando Ametrano * [r16773] Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj, Examples/Bonds/Bonds_vc9.vcproj, Examples/CDS/CDS_vc9.vcproj, Examples/CallableBonds/CallableBonds_vc9.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj, Examples/EquityOption/EquityOption_vc9.vcproj, Examples/FRA/FRA_vc9.vcproj, Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj, Examples/MarketModels/MarketModels_vc9.vcproj, Examples/Replication/Replication_vc9.vcproj, Examples/Repo/Repo_vc9.vcproj, Examples/Swap/Swap_vc9.vcproj, QuantLib_vc9.vcproj, test-suite/testsuite_vc9.vcproj: - removed WIN32, added x64 preprocessor defines in all x64 configurations - switched back "Disable Language Extension" to NO in QuantLib x64 configurations - removed FileConfigutaion element in all Example projects thanks to Craig Miller 2009-11-21 10:59 Klaus Spanderen * [r16772] test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: fixed include directories 2009-11-20 05:33 Mark Joshi * [r16766] ., Examples/MarketModels/MarketModels.cpp, QuantLib_vc9.vcproj, ql/models/marketmodels/products/multistep/multistepinversefloater.cpp, ql/models/marketmodels/products/multistep/multistepinversefloater.hpp, ql/models/marketmodels/products/multistep/multisteppathwisewrapper.cpp, ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp, ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp, test-suite/marketmodel.cpp, test-suite/marketmodel.hpp: inverse floater tests plus more work on the example project 2009-11-19 16:13 Ferdinando Ametrano * [r16764] Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj, Examples/Bonds/Bonds_vc9.vcproj, Examples/CDS/CDS_vc9.vcproj, Examples/CallableBonds/CallableBonds_vc9.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj, Examples/EquityOption/EquityOption_vc9.vcproj, Examples/FRA/FRA_vc9.vcproj, Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj, Examples/Replication/Replication_vc9.vcproj, Examples/Repo/Repo_vc9.vcproj, Examples/Swap/Swap_vc9.vcproj, test-suite/testsuite_vc9.vcproj: - specialized output names for x64 libraries - fixed parametrized paths 2009-11-19 15:57 Ferdinando Ametrano * [r16763] QuantLib_vc8.vcproj: VC8 catching up 2009-11-19 15:57 Ferdinando Ametrano * [r16762] QuantLib_vc9.vcproj: - VC9 catching up - specialized output names for x64 libraries - fixed parametrized paths: OutputDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)" IntermediateDirectory=".\build\vc90\$(PlatformName)\$(ConfigurationName)" PrecompiledHeaderFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\QuantLib.pch" AssemblerListingLocation=".\build\vc90\$(PlatformName)\$(ConfigurationName)\" ObjectFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\" ProgramDataBaseFileName=".\build\vc90\$(PlatformName)\$(ConfigurationName)\" BrowseInformationFile=".\build\vc90\$(PlatformName)\$(ConfigurationName)\" 2009-11-19 15:53 Ferdinando Ametrano * [r16761] ql/auto_link.hpp: specialized name foe x64 libraries 2009-11-19 15:51 Ferdinando Ametrano * [r16760] Examples/MarketModels/MarketModels.vcproj, Examples/MarketModels/MarketModels_vc9.vcproj, QuantLib_vc9.sln: - added proper VC9 MarketModels project - fixed Win32 / x64 solution settings 2009-11-19 15:49 Ferdinando Ametrano * [r16759] Examples/MarketModels/MarketModels.cpp: avoided warning 2009-11-19 11:14 Luigi Ballabio * [r16758] ql/models/marketmodels/products/multistep/multisteppathwisewrapper.cpp: Added missing method definitions. Apparently, gcc is more particular than VC++ about methods that are declared but not called. A link error occurs if the method bodies are missing. 2009-11-19 10:38 Luigi Ballabio * [r16757] ql/models/marketmodels/callability/Makefile.am, ql/models/marketmodels/callability/all.hpp, ql/models/marketmodels/products/multistep/Makefile.am, ql/models/marketmodels/products/multistep/all.hpp, ql/models/marketmodels/products/pathwise/Makefile.am, ql/models/marketmodels/products/pathwise/all.hpp: Added new files to autotools build. 2009-11-19 10:37 Luigi Ballabio * [r16756] ql/models/marketmodels/callability/swapforwardbasissystem.cpp, ql/models/marketmodels/products/multistep/multistepinversefloater.cpp, ql/models/marketmodels/products/multistep/multisteppathwisewrapper.cpp: Fixed case in included header names. 2009-11-19 05:34 Mark Joshi * [r16755] QuantLib_vc9.vcproj: added new products 2009-11-18 00:59 Mark Joshi * [r16751] Examples/MarketModels/MarketModels.cpp, ql/models/marketmodels/callability/swapforwardbasissystem.cpp, ql/models/marketmodels/callability/swapforwardbasissystem.hpp, ql/models/marketmodels/products/multistep/multistepinversefloater.cpp, ql/models/marketmodels/products/multistep/multistepinversefloater.hpp, ql/models/marketmodels/products/multistep/multisteppathwisewrapper.cpp, ql/models/marketmodels/products/multistep/multisteppathwisewrapper.hpp, ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductinversefloater.hpp: inverse floaters, better basis systems added 2009-11-13 21:12 Ferdinando Ametrano * [r16749] Examples/MarketModels: 2009-11-13 21:11 Ferdinando Ametrano * [r16748] test-suite/testsuite_vc9.vcproj: added /MP flag (Build with Multiple Processes) for VC9 2009-11-13 21:07 Ferdinando Ametrano * [r16747] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: - VC 8/9 catching up - added /MP flag (Build with Multiple Processes) for VC9 2009-11-13 11:28 Luigi Ballabio * [r16744] ql/experimental/finitedifferences/sparseilupreconditioner.hpp: Removed using directive from header file. It was causing ambiguities elsewhere between ublas::vector and std::vector. 2009-11-13 11:27 Luigi Ballabio * [r16743] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/sparseilupreconditioner.cpp, ql/experimental/finitedifferences/sparseilupreconditioner.hpp: Splitted new file into header and implementation. 2009-11-13 11:27 Luigi Ballabio * [r16742] ql/models/marketmodels/callability/lsstrategy.cpp, ql/models/marketmodels/callability/upperboundengine.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.cpp, test-suite/marketmodel.cpp: Fixes for valarray. According to the C++ standard, the assignment operator is only required to work if the target valarray has the same size as the one being copied. VC++ is forgiving; gcc is not. 2009-11-13 03:46 Mark Joshi * [r16739] Examples/MarketModels/MarketModels.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductswap.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductswap.hpp: Market Vega for cancellable swap now works. 2009-11-13 01:08 Mark Joshi * [r16738] Examples/MarketModels/MarketModels.cpp, ql/models/marketmodels/pathwisemultiproduct.hpp, ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.cpp, ql/models/marketmodels/products/multistep/cashrebate.cpp, ql/models/marketmodels/products/multistep/cashrebate.hpp, ql/models/marketmodels/products/pathwise/all.hpp, ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductcallspecified.hpp, ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductcashrebate.hpp, ql/models/marketmodels/products/pathwise/pathwiseproductswap.cpp, ql/models/marketmodels/products/pathwise/pathwiseproductswap.hpp: 2009-11-12 17:51 Klaus Spanderen * [r16737] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/sparseilupreconditioner.hpp: added sparse incomplete LU preconditioner (thanks to Ralph Schreyer) 2009-11-12 02:57 Mark Joshi * [r16736] QuantLib_vc9.sln: added MarketModels example project 2009-11-12 02:56 Mark Joshi * [r16735] Examples/MarketModels, Examples/MarketModels/MarketModels.cpp: 2009-11-11 00:12 Mark Joshi * [r16727] Examples/MarketModels, Examples/MarketModels/MarketModels.cpp, Examples/MarketModels/MarketModels.vcproj: added MarketModels example project 2009-11-10 09:06 Ferdinando Ametrano * [r16726] ., QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/models/marketmodels/evolvers/svddfwdratepc.cpp, ql/models/marketmodels/models/capletcoterminalswaptioncalibration.cpp, ql/models/marketmodels/pathwisediscounter.cpp, ql/money.cpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, test-suite/testsuite_vc8.vcproj: merged up to r16724 of branches/R000909-branch into trunk, respecting ancestry 2009-11-10 01:21 Mark Joshi * [r16725] ql/math/matrixutilities/basisincompleteordered.cpp, ql/math/matrixutilities/basisincompleteordered.hpp, ql/models/marketmodels/callability/bermudanswaptionexercisevalue.cpp, ql/models/marketmodels/callability/bermudanswaptionexercisevalue.hpp, ql/models/marketmodels/callability/collectnodedata.cpp, ql/models/marketmodels/callability/exercisevalue.hpp, ql/models/marketmodels/callability/lsstrategy.cpp, ql/models/marketmodels/callability/lsstrategy.hpp, ql/models/marketmodels/callability/nodedataprovider.hpp, ql/models/marketmodels/callability/nothingexercisevalue.cpp, ql/models/marketmodels/callability/nothingexercisevalue.hpp, ql/models/marketmodels/callability/parametricexerciseadapter.hpp, ql/models/marketmodels/callability/swapbasissystem.cpp, ql/models/marketmodels/callability/swapbasissystem.hpp, ql/models/marketmodels/callability/triggeredswapexercise.cpp, ql/models/marketmodels/callability/triggeredswapexercise.hpp, ql/models/marketmodels/callability/upperboundengine.hpp, ql/models/marketmodels/constrainedevolver.hpp, ql/models/marketmodels/curvestates/lmmcurvestate.cpp, ql/models/marketmodels/curvestates/lmmcurvestate.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateeulerconstrained.hpp, ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.cpp, ql/models/marketmodels/pathwisegreeks/bumpinstrumentjacobian.hpp, ql/models/marketmodels/pathwisegreeks/vegabumpcluster.cpp, ql/models/marketmodels/products/compositeproduct.hpp, ql/models/marketmodels/products/multistep/callspecifiedmultiproduct.hpp, ql/models/marketmodels/products/multistep/exerciseadapter.hpp, ql/models/marketmodels/proxygreekengine.cpp, ql/models/marketmodels/proxygreekengine.hpp, ql/models/marketmodels/utilities.cpp, ql/models/marketmodels/utilities.hpp, test-suite/marketmodel.cpp, test-suite/quantlibtestsuite.cpp: Abolished vectors from MarketModel code and replaced with Valarrays. Also, changed the LMM CurveState to use a smarter caching methodology. Substantial speed up has occurred. 2009-11-09 05:17 Mark Joshi * [r16720] ql/models/marketmodels/pathwiseaccountingengine.cpp, ql/models/marketmodels/pathwiseaccountingengine.hpp, test-suite/marketmodel.cpp: PathwiseVegasOuterAccountingEngine now added and passes test in MarketModel.cpp 2009-11-06 13:31 Ferdinando Ametrano * [r16701] ., ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp: merged up to r16696 of branches/R000909-branch into trunk, respecting ancestry 2009-11-06 08:48 Luigi Ballabio * [r16694] ql/models/marketmodels/evolvers/Makefile.am, ql/models/marketmodels/evolvers/all.hpp: Added new files to autotools build. 2009-11-06 04:08 Mark Joshi * [r16693] ql/models/marketmodels/evolvers/lognormalfwdrateiballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateiballand.hpp, ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.cpp, ql/models/marketmodels/pathwisegreeks/ratepseudorootjacobian.hpp, test-suite/marketmodel.cpp: added class for computing all elementary vegas rather than a linear combination, plus cleaning up 2009-11-04 14:27 Ferdinando Ametrano * [r16687] Announce.txt, Bugs.txt, ChangeLog.txt, Docs/pages/history.docs, Docs/pages/install.docs, Docs/pages/overview.docs, Docs/quantlibheader.html, Docs/quantlibheaderonline.html, Makefile.am, News.txt, Readme.txt, configure.ac, ql/experimental/credit/cdo.hpp, ql/experimental/inflation/yoycapfloortermpricesurface.hpp, ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp, ql/experimental/math, ql/indexes/inflation/frhicp.hpp, ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp, ql/instruments/creditdefaultswap.hpp, ql/instruments/inflationcapfloor.hpp, ql/instruments/overnightindexedswap.hpp, ql/pricingengines/inflation/inflationcapfloorengines.hpp, ql/processes/hestonprocess.cpp, ql/processes/hestonprocess.hpp, ql/termstructures/credit/defaultprobabilityhelpers.hpp, ql/termstructures/volatility/inflation, ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp, ql/termstructures/yield/oisratehelper.hpp, test-suite/hestonmodel.cpp, test-suite/inflationcapfloor.cpp, test-suite/inflationvolatility.cpp: merged r16643 through r16686 of branches/R000909-branch into trunk, respecting ancestry 2009-10-23 10:20 Ferdinando Ametrano * [r16645] ., QuantLib.dev, ql/cashflows/capflooredinflationcoupon.cpp, ql/cashflows/capflooredinflationcoupon.hpp, ql/cashflows/inflationcoupon.hpp, ql/cashflows/inflationcouponpricer.cpp, ql/cashflows/inflationcouponpricer.hpp, ql/cashflows/yoyinflationcoupon.cpp, ql/cashflows/yoyinflationcoupon.hpp, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp, ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp, ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp, ql/experimental/inflation/yoycapfloortermpricesurface.cpp, ql/experimental/inflation/yoycapfloortermpricesurface.hpp, ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp, ql/experimental/inflation/yoyoptionlethelpers.cpp, ql/experimental/inflation/yoyoptionlethelpers.hpp, ql/experimental/inflation/yoyoptionletstripper.hpp, ql/indexes/region.cpp, ql/indexes/region.hpp, ql/instruments/inflationcapfloor.cpp, ql/instruments/inflationcapfloor.hpp, ql/instruments/makeyoyinflationcapfloor.cpp, ql/instruments/makeyoyinflationcapfloor.hpp, ql/instruments/yearonyearinflationswap.cpp, ql/instruments/yearonyearinflationswap.hpp, ql/instruments/zerocouponinflationswap.cpp, ql/instruments/zerocouponinflationswap.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/pricingengines/basket/mceuropeanbasketengine.cpp, ql/pricingengines/basket/mceuropeanbasketengine.hpp, ql/pricingengines/inflation/inflationcapfloorengines.hpp, ql/termstructures/inflation/inflationhelpers.hpp, ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp, ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp, ql/termstructures/inflation/piecewisezeroinflationcurve.hpp, ql/termstructures/inflationtermstructure.cpp, ql/termstructures/inflationtermstructure.hpp, ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.cpp, ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp, test-suite/bonds.cpp, test-suite/inflation.hpp, test-suite/inflationcapfloor.cpp, test-suite/inflationcapflooredcoupon.hpp, test-suite/inflationvolatility.hpp: Merging revisions 16636-16642 of https://quantlib.svn.sourceforge.net/svnroot/quantlib/branches/R000909-branch into C:\Projects\DevEnv\trunk, respecting ancestry 2009-10-22 12:55 Ferdinando Ametrano * [r16637] ql/time/date.cpp: switched isLeap implementation to boost::gregorian::gregorian_calendar::is_leap_year 2009-10-21 16:22 Ferdinando Ametrano * [r16631] ql/instruments/capfloor.cpp, ql/instruments/makeois.hpp: 2009-10-21 16:04 Ferdinando Ametrano * [r16630] ql/cashflows/overnightindexedcoupon.cpp, ql/indexes/swap/euriborswap.cpp, ql/indexes/swap/euriborswap.hpp, ql/indexes/swap/eurliborswap.cpp, ql/indexes/swap/eurliborswap.hpp, ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp: - added discounting term structure to SwapIndex and some of its derived classes (the EUR one for the time being) - added SwapIndex::clone(Handle) 2009-10-21 15:49 Luigi Ballabio * [r16629] ql/indexes/iborindex.hpp, ql/indexes/swapindex.hpp: Restored useful header inclusion. GNU gcc instantiates templates earlier and needs to know that YieldTermStructure inherit from Observable in order to pass it to Handle as a template parameter. A forward declaration is not enough. 2009-10-21 15:24 Ferdinando Ametrano * [r16628] ql/cashflows/overnightindexedcoupon.cpp, ql/experimental/coupons/subperiodcoupons.cpp, ql/indexes/swapindex.hpp, ql/instruments/capfloor.cpp, ql/pricingengines/capfloor/blackcapfloorengine.cpp, ql/termstructures/volatility/optionlet/strippedoptionlet.hpp: integration of the incomplete Rev16626 (sorry for the partial commit) 2009-10-21 14:51 Ferdinando Ametrano * [r16626] ql/indexes/iborindex.hpp, ql/indexes/interestrateindex.cpp, ql/indexes/interestrateindex.hpp, ql/indexes/swap/chfliborswap.hpp, ql/indexes/swap/gbpliborswap.hpp, ql/indexes/swap/jpyliborswap.hpp, ql/indexes/swap/usdliborswap.hpp: removed useless header inclusion 2009-10-21 14:34 Ferdinando Ametrano * [r16625] ql/cashflows/iborcoupon.cpp, ql/cashflows/overnightindexedcoupon.cpp, ql/indexes/bmaindex.cpp, ql/indexes/iborindex.cpp, ql/instruments/forward.cpp, ql/instruments/makecms.cpp, ql/instruments/makeois.cpp, ql/instruments/makeswaption.cpp, ql/instruments/makevanillaswap.cpp: homogeneous error message using "this instance of" to make it clearer to naive users. forwarding or discounting should be clear based on context 2009-10-21 13:53 Luigi Ballabio * [r16624] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, configure.ac, ql/legacy/Makefile.am, ql/legacy/all.hpp, ql/legacy/pricers: Removed last legacy pricer. 2009-10-21 13:20 Luigi Ballabio * [r16623] ql/cashflows/conundrumpricer.cpp, ql/cashflows/couponpricer.cpp, ql/cashflows/iborcoupon.cpp, ql/cashflows/overnightindexedcoupon.cpp, ql/cashflows/rangeaccrual.cpp, ql/experimental/coupons/subperiodcoupons.cpp, ql/indexes/bmaindex.cpp, ql/indexes/bmaindex.hpp, ql/indexes/iborindex.cpp, ql/indexes/iborindex.hpp, ql/indexes/interestrateindex.hpp, ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp, ql/instruments/makecapfloor.cpp, ql/instruments/makecms.cpp, ql/instruments/makeois.cpp, ql/instruments/makeswaption.cpp, ql/instruments/makevanillaswap.cpp, ql/legacy/libormarketmodels/lfmprocess.cpp, ql/legacy/libormarketmodels/liborforwardmodel.cpp, ql/pricingengines/swaption/blackswaptionengine.cpp, ql/termstructures/volatility/optionlet/optionletstripper1.cpp, ql/termstructures/volatility/optionlet/optionletstripper2.cpp, ql/termstructures/yield/ratehelpers.cpp, test-suite/cms.cpp, test-suite/libormarketmodel.cpp, test-suite/piecewiseyieldcurve.cpp: Removed ambiguous termStructure() method from InterestRateIndex interface. The method was moved to derived classes and renamed to forwardingTermStructure. 2009-10-21 09:19 Luigi Ballabio * [r16620] ql/cashflows/inflationcouponpricer.cpp, ql/pricingengines/blackformula.cpp, ql/pricingengines/blackformula.hpp, ql/pricingengines/inflation/inflationcapfloorengines.cpp: Fixed Bachelier's formula. 2009-10-21 09:18 Luigi Ballabio * [r16619] ql/termstructures/volatility/smilesection.hpp: Made virtual a few more methods to improve extensibility. 2009-10-21 09:18 Luigi Ballabio * [r16618] ql/termstructures/volatility/smilesection.hpp, ql/termstructures/volatility/spreadedsmilesection.cpp: Derived class SpreadedSmileSection is no longer a friend of its base class. 2009-10-21 09:17 Luigi Ballabio * [r16617] ql/experimental/volatility/blackvolsurface.cpp, ql/termstructures/volatility/smilesection.hpp: Removed default strike from volatility() method. 2009-10-21 09:15 Luigi Ballabio * [r16616] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/termstructures/volatility/Makefile.am, ql/termstructures/volatility/all.hpp, ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp, ql/termstructures/volatility/sabrsmilesection.cpp, ql/termstructures/volatility/sabrsmilesection.hpp, ql/termstructures/volatility/smilesection.cpp, ql/termstructures/volatility/smilesection.hpp, ql/termstructures/volatility/swaption/swaptionvolcube1.cpp: Moved SabrSmileSection class into own files. 2009-10-20 14:05 Luigi Ballabio * [r16615] test-suite/inflation.cpp: Prevented warning on VC++7. 2009-10-20 10:48 Luigi Ballabio * [r16614] test-suite/fastfouriertransform.cpp: Prevented unused-variable warning. 2009-10-20 10:48 Luigi Ballabio * [r16613] Docs/pages/license.docs, LICENSE.TXT: Updated list of copyright holders. 2009-10-20 10:46 Luigi Ballabio * [r16612] ql/indexes/inflation/uscpi.hpp: Fixed index currency. 2009-10-20 10:45 Luigi Ballabio * [r16611] ql/time/ecb.cpp: Including standard headers last. 2009-10-20 08:55 Luigi Ballabio * [r16610] ql/processes/hestonprocess.cpp, ql/processes/hestonprocess.hpp, test-suite/hestonmodel.cpp: Renamed Heston-process discretization method. The older name (exact variance) is commonly used for yet another method. Although the latter is not yet implemented, we better free up the name. 2009-10-20 08:47 Luigi Ballabio * [r16608] ql/cashflows/overnightindexedcoupon.cpp, ql/cashflows/overnightindexedcoupon.hpp, ql/experimental/credit/riskybond.cpp, ql/experimental/credit/riskybond.hpp, ql/experimental/finitedifferences/bicgstab.cpp, ql/experimental/finitedifferences/bicgstab.hpp, ql/experimental/finitedifferences/concentrating1dmesher.hpp, ql/experimental/finitedifferences/expliciteulerscheme.cpp, ql/experimental/finitedifferences/expliciteulerscheme.hpp, ql/experimental/finitedifferences/fdblackscholesasianengine.cpp, ql/experimental/finitedifferences/fdblackscholesasianengine.hpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp, ql/experimental/finitedifferences/fdmbackwardsolver.cpp, ql/experimental/finitedifferences/fdmbackwardsolver.hpp, ql/experimental/finitedifferences/fdmblackscholesmesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmesher.hpp, ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhullwhitemesher.cpp, ql/experimental/finitedifferences/fdmhullwhitemesher.hpp, ql/experimental/finitedifferences/fdminnervaluecalculator.cpp, ql/experimental/finitedifferences/fdmquantohelper.cpp, ql/experimental/finitedifferences/fdmquantohelper.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp, ql/experimental/finitedifferences/impliciteulerscheme.cpp, ql/experimental/finitedifferences/impliciteulerscheme.hpp, ql/experimental/finitedifferences/modifiedcraigsneydscheme.cpp, ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp, ql/experimental/inflation/polynomial2Dspline.hpp, ql/instruments/overnightindexedswap.cpp, ql/instruments/overnightindexedswap.hpp, ql/math/randomnumbers/ranluxuniformrng.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp, ql/termstructures/inflation/seasonality.cpp, ql/termstructures/inflation/seasonality.hpp, ql/termstructures/volatility/inflation/Makefile.am, ql/termstructures/yield/oisratehelper.cpp, ql/termstructures/yield/oisratehelper.hpp, test-suite/fdheston.cpp, test-suite/fdheston.hpp, test-suite/overnightindexedswap.cpp, test-suite/overnightindexedswap.hpp: Fixed SVN properties 2009-10-19 15:59 Luigi Ballabio * [r16606] ql/cashflows/capflooredinflationcoupon.cpp, ql/cashflows/inflationcouponpricer.cpp, ql/cashflows/overnightindexedcoupon.cpp, ql/cashflows/rangeaccrual.cpp, ql/experimental/credit/riskybond.cpp, ql/experimental/finitedifferences/fdblackscholesasianengine.cpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, ql/experimental/inflation/yoycapfloortermpricesurface.hpp, ql/instruments/zerocouponinflationswap.cpp, ql/math/optimization/endcriteria.hpp, ql/pricingengines/inflation/inflationcapfloorengines.cpp, ql/termstructures/inflation/inflationhelpers.cpp, ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp, ql/termstructures/inflation/piecewisezeroinflationcurve.hpp: Removed inclusions. 2009-10-19 15:56 Luigi Ballabio * [r16605] ql/cashflows/inflationcoupon.hpp, ql/cashflows/inflationcouponpricer.hpp, ql/instruments/yearonyearinflationswap.hpp, ql/termstructures/inflation/inflationhelpers.hpp: Cleaned up include guards. 2009-10-19 15:49 Ferdinando Ametrano * [r16604] ql/legacy/all.hpp: 2009-10-19 15:44 Luigi Ballabio * [r16603] ql/experimental/inflation/genericindexes.hpp, ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp, ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp, ql/indexes/inflation/aucpi.hpp, ql/indexes/inflation/euhicp.hpp, ql/indexes/inflation/frhicp.hpp, ql/indexes/inflation/ukrpi.hpp, ql/indexes/inflation/uscpi.hpp, ql/indexes/inflationindex.cpp, ql/indexes/inflationindex.hpp, ql/pricingengines/inflation/inflationcapfloorengines.cpp, ql/termstructures/inflation/inflationhelpers.cpp, test-suite/inflationvolatility.cpp: Removed relinkable handles from inflation-index interface. Action at a distance (such as having the bootstrap process relink the handle inside an index) can be a bit too surprising. I uniformed the behavior with that of the rest of the library---and in so doing, I broke a test that relied on some hidden links. The test (which exercises experimental stuff) has been temporarily disabled, and the exercised classes have been marked as buggy. 2009-10-19 15:42 Luigi Ballabio * [r16602] Readme.txt: Link changed. 2009-10-19 14:53 Luigi Ballabio * [r16601] test-suite/inflationcapflooredcoupon.cpp, test-suite/inflationvolatility.cpp: Cleaned up tests. 2009-10-19 14:53 Luigi Ballabio * [r16600] ql/indexes/inflation/euhicp.hpp, ql/indexes/inflation/ukrpi.hpp, ql/indexes/inflation/uscpi.hpp, ql/indexes/inflationindex.cpp, ql/indexes/inflationindex.hpp: Removed hard tabs and trailing spaces. 2009-10-19 14:52 Luigi Ballabio * [r16599] ql/cashflows/indexedcashflow.cpp, ql/cashflows/inflationcoupon.cpp: Used absolute inclusion paths. 2009-10-19 14:52 Luigi Ballabio * [r16598] ql/cashflows/indexedcashflow.cpp, ql/cashflows/indexedcashflow.hpp, ql/cashflows/inflationcoupon.cpp, test-suite/inflation.cpp: Renamed variables for consistency with the rest of the library. 2009-10-19 12:08 Luigi Ballabio * [r16597] test-suite/quantlibtestsuite.cpp: Removed obsolete legacy tests. 2009-10-19 11:10 Luigi Ballabio * [r16596] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, configure.ac, ql/legacy/Makefile.am, ql/legacy/termstructures, test-suite/Makefile.am, test-suite/compoundforward.cpp, test-suite/compoundforward.hpp, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Removed legacy term structures. 2009-10-19 10:51 Ferdinando Ametrano * [r16595] ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.cpp: avoided VC9 error (isn't it touchy ?!) 2009-10-19 10:33 Luigi Ballabio * [r16594] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/inflation/Makefile.am: Removed deleted file from builds 2009-10-19 10:23 Ferdinando Ametrano * [r16593] ql/experimental/inflation/polynomial2Dspline.hpp: replaced hard tabs with 4 spaces 2009-10-19 10:13 Ferdinando Ametrano * [r16592] ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.cpp: removed empty file 2009-10-19 09:56 Luigi Ballabio * [r16591] QuantLib.dev: Trimmed unused trailing entries from Dev-C++ project. 2009-10-19 09:48 Luigi Ballabio * [r16590] test-suite/inflationvolatility.cpp: Prevented unused-variable warning. 2009-10-19 09:41 Luigi Ballabio * [r16589] ql/cashflows/yoyinflationcoupon.cpp, ql/instruments/makeyoyinflationcapfloor.cpp, ql/termstructures/inflationtermstructure.cpp: Fixed data-member initialization order. 2009-10-19 09:41 Luigi Ballabio * [r16588] ql/termstructures/volatility/inflation/all.hpp: Added new all.hpp header to version control. 2009-10-19 09:39 Luigi Ballabio * [r16587] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Updated VC++ and Dev-C++ projects. 2009-10-19 08:59 Luigi Ballabio * [r16586] configure.ac, ql/experimental/overnightswap: Removed obsolete experimental/overnightswap folder. 2009-10-17 01:01 Chris Kenyon * [r16585] ql/experimental/models: Inflation tidy up. 2009-10-17 01:00 Chris Kenyon * [r16584] configure.ac, ql/cashflows/Makefile.am, ql/cashflows/all.hpp, ql/cashflows/capflooredinflationcoupon.cpp, ql/cashflows/capflooredinflationcoupon.hpp, ql/cashflows/indexedcashflow.cpp, ql/cashflows/indexedcashflow.hpp, ql/cashflows/inflationcoupon.cpp, ql/cashflows/inflationcoupon.hpp, ql/cashflows/inflationcouponpricer.cpp, ql/cashflows/inflationcouponpricer.hpp, ql/cashflows/yoyinflationcoupon.cpp, ql/cashflows/yoyinflationcoupon.hpp, ql/experimental/Makefile.am, ql/experimental/all.hpp, ql/experimental/inflation/Makefile.am, ql/experimental/inflation/all.hpp, ql/experimental/inflation/capflooredinflationcoupon.cpp, ql/experimental/inflation/capflooredinflationcoupon.hpp, ql/experimental/inflation/genericindexes.hpp, ql/experimental/inflation/inflationcapfloor.cpp, ql/experimental/inflation/inflationcapfloor.hpp, ql/experimental/inflation/inflationcapfloorengines.cpp, ql/experimental/inflation/inflationcapfloorengines.hpp, ql/experimental/inflation/inflationcappedcouponpricer.cpp, ql/experimental/inflation/inflationcappedcouponpricer.hpp, ql/experimental/inflation/inflationcoupon.cpp, ql/experimental/inflation/inflationcoupon.hpp, ql/experimental/inflation/inflationcouponpricer.cpp, ql/experimental/inflation/inflationcouponpricer.hpp, ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp, ql/experimental/inflation/kinterpolatedyoyoptionletvolatilitysurface.hpp, ql/experimental/inflation/nominalyoyinflationcoupon.cpp, ql/experimental/inflation/nominalyoyinflationcoupon.hpp, ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp, ql/experimental/inflation/polynomial2Dspline.hpp, ql/experimental/inflation/yoycapfloortermpricesurface.cpp, ql/experimental/inflation/yoycapfloortermpricesurface.hpp, ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.cpp, ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp, ql/experimental/inflation/yoyoptionlethelpers.cpp, ql/experimental/inflation/yoyoptionlethelpers.hpp, ql/experimental/inflation/yoyoptionletstripper.hpp, ql/experimental/inflation/yoyoptionletvolatilitystructures.hpp, ql/experimental/overnightswap, ql/experimental/overnightswap/Makefile.am, ql/indexes/inflation/Makefile.am, ql/indexes/inflation/all.hpp, ql/indexes/inflation/aucpi.hpp, ql/indexes/inflation/euhicp.hpp, ql/indexes/inflation/frhicp.hpp, ql/indexes/inflation/ukrpi.hpp, ql/indexes/inflation/uscpi.hpp, ql/indexes/inflationindex.cpp, ql/indexes/inflationindex.hpp, ql/indexes/region.cpp, ql/indexes/region.hpp, ql/instruments/Makefile.am, ql/instruments/all.hpp, ql/instruments/inflationcapfloor.cpp, ql/instruments/inflationcapfloor.hpp, ql/instruments/inflationswap.cpp, ql/instruments/inflationswap.hpp, ql/instruments/makeyoyinflationcapfloor.cpp, ql/instruments/makeyoyinflationcapfloor.hpp, ql/instruments/yearonyearinflationswap.cpp, ql/instruments/yearonyearinflationswap.hpp, ql/instruments/zerocouponinflationswap.cpp, ql/instruments/zerocouponinflationswap.hpp, ql/pricingengines/blackformula.cpp, ql/pricingengines/blackformula.hpp, ql/pricingengines/inflation/Makefile.am, ql/pricingengines/inflation/all.hpp, ql/pricingengines/inflation/discountinginflationswapengines.cpp, ql/pricingengines/inflation/discountinginflationswapengines.hpp, ql/pricingengines/inflation/inflationcapfloorengines.cpp, ql/pricingengines/inflation/inflationcapfloorengines.hpp, ql/termstructures/inflation/inflationhelpers.cpp, ql/termstructures/inflation/inflationhelpers.hpp, ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp, ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp, ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp, ql/termstructures/inflation/piecewisezeroinflationcurve.hpp, ql/termstructures/inflation/seasonality.hpp, ql/termstructures/inflationtermstructure.cpp, ql/termstructures/inflationtermstructure.hpp, ql/termstructures/volatility/Makefile.am, ql/termstructures/volatility/all.hpp, ql/termstructures/volatility/inflation, ql/termstructures/volatility/inflation/Makefile.am, ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.cpp, ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp, test-suite/Makefile.am, test-suite/inflation.cpp, test-suite/inflation.hpp, test-suite/inflationcapfloor.cpp, test-suite/inflationcapfloor.hpp, test-suite/inflationcapflooredcoupon.cpp, test-suite/inflationcapflooredcoupon.hpp, test-suite/inflationvol.cpp, test-suite/inflationvol.hpp, test-suite/inflationvolatility.cpp, test-suite/inflationvolatility.hpp, test-suite/quantlibtestsuite.cpp: Inflation update to deal with aged instruments. Now caps/floors/cappedfloored coupons/etc are available (with tests). Only constant inflation vol is in the trunk - stripping remains in experimental. The backelierBlackFormula seems wrong, but in order not to break anyone else's code I've added what I think the correct version is as -2 (at least this is the correct version to use with inflation). A few inflation-related files have been removed as they are not important for the current update and have not been updated. 2009-10-16 10:05 Luigi Ballabio * [r16582] ql/experimental/overnightswap: Deleted empty directory 2009-10-16 10:04 Luigi Ballabio * [r16581] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.sln, QuantLib_vc9.vcproj, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj: Updated VC++ and Dev-C++ projects. 2009-10-16 09:41 Luigi Ballabio * [r16580] Examples/BermudanSwaption/BermudanSwaption_vc9.vcproj, Examples/Bonds/Bonds_vc9.vcproj, Examples/CDS/CDS_vc9.vcproj, Examples/CallableBonds/CallableBonds_vc9.vcproj, Examples/ConvertibleBonds/ConvertibleBonds_vc9.vcproj, Examples/DiscreteHedging/DiscreteHedging_vc9.vcproj, Examples/EquityOption/EquityOption_vc9.vcproj, Examples/FRA/FRA_vc9.vcproj, Examples/FittedBondCurve/FittedBondCurve_vc9.vcproj, Examples/Replication/Replication_vc9.vcproj, Examples/Repo/Repo_vc9.vcproj, Examples/Swap/Swap_vc9.vcproj, QuantLib_vc9.vcproj, ql/currencies/africa.hpp, ql/currencies/america.hpp, ql/currencies/asia.hpp, ql/currencies/europe.hpp, ql/currencies/oceania.hpp, test-suite/testsuite_vc9.vcproj: Removed VC++ warning 4819. 2009-10-16 09:36 Luigi Ballabio * [r16579] ql/cashflows/Makefile.am, ql/cashflows/all.hpp, ql/cashflows/overnightindexedcoupon.cpp, ql/cashflows/overnightindexedcoupon.hpp, ql/experimental/Makefile.am, ql/experimental/all.hpp, ql/experimental/overnightswap/Makefile.am, ql/experimental/overnightswap/all.hpp, ql/experimental/overnightswap/makeois.cpp, ql/experimental/overnightswap/makeois.hpp, ql/experimental/overnightswap/oisratehelper.cpp, ql/experimental/overnightswap/oisratehelper.hpp, ql/experimental/overnightswap/overnightindexedcoupon.cpp, ql/experimental/overnightswap/overnightindexedcoupon.hpp, ql/experimental/overnightswap/overnightindexedswap.cpp, ql/experimental/overnightswap/overnightindexedswap.hpp, ql/instruments/Makefile.am, ql/instruments/all.hpp, ql/instruments/makeois.cpp, ql/instruments/makeois.hpp, ql/instruments/overnightindexedswap.cpp, ql/instruments/overnightindexedswap.hpp, ql/termstructures/yield/Makefile.am, ql/termstructures/yield/all.hpp, ql/termstructures/yield/oisratehelper.cpp, ql/termstructures/yield/oisratehelper.hpp, test-suite/overnightindexedswap.cpp: Moved overnight-indexed swaps from experimental tree to core library. 2009-10-16 08:51 Luigi Ballabio * [r16578] ql/currencies/africa.hpp, ql/currencies/america.hpp, ql/currencies/asia.hpp, ql/currencies/europe.hpp, ql/currencies/oceania.hpp: Tentatively removed VC++9 warning. 2009-10-15 15:42 Ferdinando Ametrano * [r16576] ql/termstructures/yield/ratehelpers.cpp, ql/termstructures/yield/ratehelpers.hpp: fixed bug: missed exogenous discount curve. If exogenous discount curve is provided as input the Handle could be empty at construction time, but non-empty at calculation time 2009-10-14 15:16 Ferdinando Ametrano * [r16567] ql/experimental/overnightswap/overnightindexedcoupon.cpp, ql/experimental/overnightswap/overnightindexedcoupon.hpp: - fixed flows analysis - removed up obsolete OvernightIndexedCouponPricer - cleaned up code 2009-10-13 14:14 Luigi Ballabio * [r16564] test-suite/overnightindexedswap.cpp, test-suite/overnightindexedswap.hpp, test-suite/quantlibtestsuite.cpp: Renamed test class. 2009-10-12 17:36 Ferdinando Ametrano * [r16558] ql/experimental/overnightswap/overnightindexedswap.cpp, ql/experimental/overnightswap/overnightindexedswap.hpp: rename methods and variables 2009-10-12 17:34 Ferdinando Ametrano * [r16557] ql/experimental/overnightswap/makeois.cpp, ql/experimental/overnightswap/makeois.hpp, ql/experimental/overnightswap/oisratehelper.cpp, test-suite/overnightindexedswap.cpp: refactored MakeOIS to be more useful (and as side-effect more similar to MakeVanillaSwap) 2009-10-12 13:33 Ferdinando Ametrano * [r16553] ql/instruments/makevanillaswap.cpp: fixed error slipped in in my last commit. apologies... 2009-10-12 13:00 Ferdinando Ametrano * [r16552] ql/instruments/makevanillaswap.cpp: improved error message 2009-10-12 10:16 Luigi Ballabio * [r16551] ql/experimental/overnightswap/Makefile.am, ql/experimental/overnightswap/all.hpp: Added new files to autotools build. 2009-10-12 07:45 Ferdinando Ametrano * [r16550] test-suite/compoundoption.cpp: improved formatting 2009-10-09 17:42 Ferdinando Ametrano * [r16549] QuantLib_vc9.vcproj: VC9 catching up 2009-10-09 17:39 Ferdinando Ametrano * [r16548] QuantLib_vc8.vcproj, ql/experimental/overnightswap/makeois.cpp, ql/experimental/overnightswap/makeois.hpp, ql/experimental/overnightswap/oisratehelper.cpp, ql/experimental/overnightswap/oisratehelper.hpp, ql/experimental/overnightswap/overnightindexedswap.cpp, ql/experimental/overnightswap/overnightindexedswap.hpp, test-suite/overnightindexedswap.cpp: - added MakeOIS factory and cleaned up constructors' code in order to take better account of market conventions - inverted OvernightIndexedSwap::Payer/Receiver as in VanillaSwap::Payer/Receiver - added QuantLibAddin::OvernightIndexedSwap 2009-10-09 14:49 Ferdinando Ametrano * [r16547] ql/instruments/vanillaswap.cpp, ql/instruments/vanillaswap.hpp: modified formatting 2009-10-09 14:47 Ferdinando Ametrano * [r16546] ql/time/period.cpp, ql/time/schedule.cpp: mapped 0*Years Period into Once Frequency, keeping 0*Days as NoFrequency. More elegant solutions would be appreciated 2009-10-09 07:45 Ferdinando Ametrano * [r16545] ql/experimental/math/fastfouriertransform.hpp: avoided VC9 error. Hopefully the fix is correct (test-suite does not fail) 2009-10-08 15:27 Ferdinando Ametrano * [r16543] test-suite/quantlibtestsuite.cpp: 2009-10-08 15:10 Ferdinando Ametrano * [r16542] QuantLib_vc9.vcproj: VC9 catching up 2009-10-08 15:08 Ferdinando Ametrano * [r16541] test-suite/Makefile.am, test-suite/eoniaswap.cpp, test-suite/eoniaswap.hpp, test-suite/overnightindexedswap.cpp, test-suite/overnightindexedswap.hpp, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: 2009-10-08 14:57 Ferdinando Ametrano * [r16540] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, ql/experimental/overnightswap/Makefile.am, ql/experimental/overnightswap/all.hpp, ql/experimental/overnightswap/eoniacoupon.cpp, ql/experimental/overnightswap/eoniacoupon.hpp, ql/experimental/overnightswap/eoniaswap.cpp, ql/experimental/overnightswap/eoniaswap.hpp, ql/experimental/overnightswap/eoniaswaphelper.cpp, ql/experimental/overnightswap/eoniaswaphelper.hpp, ql/experimental/overnightswap/oisratehelper.cpp, ql/experimental/overnightswap/oisratehelper.hpp, ql/experimental/overnightswap/overnightindexedcoupon.cpp, ql/experimental/overnightswap/overnightindexedcoupon.hpp, ql/experimental/overnightswap/overnightindexedswap.cpp, ql/experimental/overnightswap/overnightindexedswap.hpp: renamed overnight related files. They are ready to be moved out of experimental in my opinion 2009-10-08 14:42 Ferdinando Ametrano * [r16539] ql/experimental/overnightswap/eoniacoupon.hpp, ql/experimental/overnightswap/eoniaswap.hpp: 2009-10-08 14:38 Ferdinando Ametrano * [r16538] ql/experimental/overnightswap/eoniaswaphelper.cpp, ql/experimental/overnightswap/eoniaswaphelper.hpp: added DatedOISRateHelper, useful for ECB dated OIS 2009-10-08 14:27 Ferdinando Ametrano * [r16537] ql/time/imm.hpp: 2009-10-08 14:27 Ferdinando Ametrano * [r16536] ql/time/ecb.cpp, ql/time/ecb.hpp: added ECB "codes" handling 2009-10-08 09:23 Luigi Ballabio * [r16535] ql/indexes/ibor/Makefile.am, ql/indexes/ibor/all.hpp: Added new files to autotools build. 2009-10-08 09:22 Luigi Ballabio * [r16534] ql/experimental/math/complexarray.hpp, ql/math/complexarray.hpp: Moved tentative ComplexArray implementation to experimental tree. 2009-10-08 09:22 Luigi Ballabio * [r16533] test-suite/fastfouriertransform.cpp, test-suite/fastfouriertransform.hpp: Removed obsolete construction test. 2009-10-08 09:22 Luigi Ballabio * [r16532] ql/experimental/math/fastfouriertransform.hpp, test-suite/fastfouriertransform.cpp: Improved FFT interface (thanks to Slava Mazur.) 2009-10-08 09:21 Luigi Ballabio * [r16531] Bugs.txt: Added short readme about known bugs. 2009-10-08 09:21 Luigi Ballabio * [r16529] test-suite/factorial.cpp: Unified similar test-case branches. 2009-10-07 11:33 Ferdinando Ametrano * [r16528] QuantLib_vc8.vcproj, ql/experimental/overnightswap/eoniacoupon.cpp, ql/experimental/overnightswap/eoniacoupon.hpp, ql/experimental/overnightswap/eoniaswap.cpp, ql/experimental/overnightswap/eoniaswap.hpp, ql/experimental/overnightswap/eoniaswaphelper.cpp, ql/experimental/overnightswap/eoniaswaphelper.hpp, ql/indexes/ibor/eonia.cpp, ql/indexes/ibor/eonia.hpp, ql/indexes/ibor/euribor.cpp, ql/indexes/ibor/euribor.hpp, test-suite/eoniaswap.cpp: - generalized from Eonia to OvernightIndex - removed DailyTenorEuribor (Eonia should be used instead) 2009-10-07 08:56 Ferdinando Ametrano * [r16525] ql/indexes/iborindex.cpp, ql/indexes/iborindex.hpp: fixed capitalization 2009-10-07 08:37 Ferdinando Ametrano * [r16524] ql/indexes/iborindex.cpp, ql/indexes/iborindex.hpp: introduced OverNightIndex 2009-10-07 08:36 Ferdinando Ametrano * [r16523] ql/indexes/ibor/eurlibor.hpp: 2009-10-06 09:21 Luigi Ballabio * [r16521] Contributors.txt, Docs/pages/authors.docs, ql/experimental/math/fastfouriertransform.hpp, test-suite/fastfouriertransform.cpp, test-suite/fastfouriertransform.hpp: Added explicit methods for direct and inverse FFT. Thanks to Adrian O'Neill for the heads-up and to Slava Mazur for the solution. A new test case was also added. 2009-10-05 16:03 Luigi Ballabio * [r16520] ql/math/interpolations/kernelinterpolation.hpp, ql/math/interpolations/kernelinterpolation2d.hpp, test-suite/interpolations.cpp: Kernel functions no longer need to be wrapped in shared pointers. 2009-10-05 16:03 Luigi Ballabio * [r16519] ql/math/interpolations/Makefile.am, ql/math/interpolations/all.hpp, ql/math/interpolations/kernelinterpolation2d.hpp, test-suite/interpolations.cpp, test-suite/interpolations.hpp: Added 2D kernel interpolation (thanks to Dimitri Reiswich.) 2009-10-05 16:02 Luigi Ballabio * [r16518] ql/math/interpolations/kernelinterpolation.hpp, test-suite/interpolations.cpp: Kernel interpolation works with generic functor (thanks to Dimitri Reiswich.) 2009-10-05 09:06 Luigi Ballabio * [r16517] ql/termstructures/volatility/optionlet/optionletstripper1.cpp: Fixed variable initialization (thanks to Fabio Ramponi.) 2009-10-02 16:19 Ferdinando Ametrano * [r16516] test-suite/dates.cpp: 2009-10-02 16:12 Ferdinando Ametrano * [r16515] test-suite/testsuite_vc8.vcproj: Disabled language extensions for VC8. The same cannot be applied to VC9, as it throws errors when compiling piecewise bootstrapping code (yield, credit, and inflation) 2009-10-02 16:09 Ferdinando Ametrano * [r16514] test-suite/matrices.cpp: - fixed improper (erroneous ?) usage of variable i as Size and const Real& in the same scope (discovered "using disable language extensions") - restored commented out tests (why were they commented out?) 2009-10-02 15:52 Ferdinando Ametrano * [r16513] test-suite/swapforwardmappings.cpp: removed useless const 2009-10-02 14:09 Luigi Ballabio * [r16512] ql/time/Makefile.am, ql/time/all.hpp: Added new files to autotools build. 2009-10-02 13:21 Ferdinando Ametrano * [r16510] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: VC8/9 catching up 2009-10-02 13:18 Ferdinando Ametrano * [r16509] ql/time/ecb.cpp, ql/time/ecb.hpp, test-suite/dates.cpp, test-suite/dates.hpp: added ECB reserve maintenance start dates functions and their test 2009-10-01 07:44 Ferdinando Ametrano * [r16505] ql/experimental/overnightswap/eoniacoupon.cpp, ql/experimental/overnightswap/eoniacoupon.hpp: added EoniaCouponPricer2: it improves computational performance compared to EoniaCouponPricer using telescopic property to avoid multiple forward fixings estimation. There's still quite some work to do... 2009-10-01 07:34 Ferdinando Ametrano * [r16504] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: VC8/9 catching up 2009-10-01 07:34 Ferdinando Ametrano * [r16503] ql/cashflows/floatingratecoupon.cpp: 2009-09-30 16:24 Ferdinando Ametrano * [r16502] ql/cashflows/iborcoupon.cpp: fixed improper error message 2009-09-30 15:24 Ferdinando Ametrano * [r16501] ql/cashflows/iborcoupon.hpp: 2009-09-30 15:22 Ferdinando Ametrano * [r16500] ql/cashflows/iborcoupon.cpp: moved check later in the code, where needed 2009-09-30 14:14 Luigi Ballabio * [r16499] Examples/CDS/CDS.cpp, ql/termstructures/credit/defaultprobabilityhelpers.cpp, ql/time/dategenerationrule.cpp, ql/time/dategenerationrule.hpp, ql/time/schedule.cpp, test-suite/defaultprobabilitycurves.cpp: Added old (short/long coupon) CDS rule (thanks to Jose Aparicio.) Also, according to market conventions, termination date is now unadjusted for the CDS built inside the helpers. 2009-09-30 12:47 Luigi Ballabio * [r16498] configure.ac, ql/experimental/Makefile.am, ql/experimental/all.hpp, ql/experimental/math, ql/experimental/math/Makefile.am, ql/experimental/math/all.hpp, ql/experimental/math/fastfouriertransform.hpp, ql/math/fastfouriertransform.hpp, test-suite/Makefile.am, test-suite/fastfouriertransform.cpp, test-suite/fastfouriertransform.hpp, test-suite/quantlibtestsuite.cpp: Added new FFT implementation (thanks to Slava Mazur.) The new implementation was moved to the experimental tree. A test case is provided. 2009-09-30 12:46 Luigi Ballabio * [r16496] ql/pricingengines/latticeshortratemodelengine.hpp: Update() correctly calls base-class implementation. 2009-09-29 09:21 Luigi Ballabio * [r16493] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc9.vcproj: Updated VC7, VC9 and Dev-C++ projects 2009-09-28 19:53 Klaus Spanderen * [r16491] ql/methods/montecarlo/longstaffschwartzpathpricer.hpp: fixed comment 2009-09-22 11:31 Ferdinando Ametrano * [r16487] ql/termstructures/yield/bondhelpers.cpp: fixed bug 2009-09-22 09:33 Ferdinando Ametrano * [r16486] ql/interestrate.cpp: fixed typo 2009-09-22 08:46 Ferdinando Ametrano * [r16485] ql/instruments/forward.cpp, ql/interestrate.cpp, ql/interestrate.hpp, ql/pricingengines/swaption/blackswaptionengine.cpp, ql/termstructures/yield/zerospreadedtermstructure.hpp, ql/termstructures/yieldtermstructure.cpp, test-suite/cashflows.cpp, test-suite/interestrates.cpp: - removed InterestRate constructor's default parameters, avoiding non-explicit constructor as side effect - reordered InterestRate member functions' input parameters, allowing for extra dates needed by some DayCounter - fixed checks - exported to Excel the InterestRate full interface (thanks to Piter Dias) 2009-09-21 13:37 Ferdinando Ametrano * [r16484] ql/pricingengines/bond/bondfunctions.cpp: fixed bug: InterestRate non-explicit constructor was used instead of input parameters 2009-09-18 09:21 Luigi Ballabio * [r16481] Docs/pages/license.docs, LICENSE.TXT, ql/cashflows/fixedratecoupon.cpp, ql/cashflows/fixedratecoupon.hpp, ql/instruments/bonds/fixedratebond.cpp, ql/instruments/bonds/fixedratebond.hpp, test-suite/bonds.cpp: Added fixed-rate bond constructor taking InterestRates (thanks to Piter Dias.) Also reverts Rev16477 so that shared_ptr is no longer used. The new constructor is exported to addins as qlFixedRateBond2. 2009-09-16 14:14 Ferdinando Ametrano * [r16477] ql/cashflows/fixedratecoupon.cpp, ql/cashflows/fixedratecoupon.hpp, test-suite/bonds.cpp: switched from vector to vector > 2009-09-16 08:08 Luigi Ballabio * [r16472] ql/indexes/swap/chfliborswap.cpp, ql/indexes/swap/chfliborswap.hpp, ql/indexes/swap/euriborswap.cpp, ql/indexes/swap/euriborswap.hpp, ql/indexes/swap/eurliborswap.cpp, ql/indexes/swap/eurliborswap.hpp, ql/indexes/swap/gbpliborswap.cpp, ql/indexes/swap/gbpliborswap.hpp, ql/indexes/swap/jpyliborswap.cpp, ql/indexes/swap/jpyliborswap.hpp, ql/indexes/swap/usdliborswap.cpp, ql/indexes/swap/usdliborswap.hpp, ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp, ql/termstructures/volatility/swaption/swaptionvolcube.cpp, ql/termstructures/volatility/swaption/swaptionvolcube.hpp, ql/termstructures/volatility/swaption/swaptionvolcube1.cpp, ql/termstructures/volatility/swaption/swaptionvolcube1.hpp, ql/termstructures/volatility/swaption/swaptionvolcube2.cpp, ql/termstructures/volatility/swaption/swaptionvolcube2.hpp, test-suite/cms.cpp, test-suite/rangeaccrual.cpp, test-suite/swaptionvolatilitycube.cpp: Reverting Rev16469 for the time being 2009-09-15 16:27 Ferdinando Ametrano * [r16471] ql/cashflows/fixedratecoupon.cpp, ql/cashflows/fixedratecoupon.hpp, ql/experimental/amortizingbonds/amortizingfixedratebond.cpp, ql/experimental/callablebonds/callablebond.cpp, ql/experimental/credit/nthtodefault.cpp, ql/experimental/credit/syntheticcdoengines.cpp, ql/experimental/overnightswap/eoniaswap.cpp, ql/instruments/bonds/convertiblebond.cpp, ql/instruments/bonds/fixedratebond.cpp, ql/instruments/creditdefaultswap.cpp, ql/instruments/vanillaswap.cpp, ql/models/shortrate/calibrationhelpers/caphelper.cpp, test-suite/assetswap.cpp, test-suite/bonds.cpp, test-suite/capflooredcoupon.cpp, test-suite/swap.cpp: - removed unused dayCounter input parameter from the InterestRate-based FixedRateCoupon constructor - moved dayCounter input parameter from FixedRateLeg constructor to the appropriate methods 2009-09-15 13:23 Luigi Ballabio * [r16470] Contributors.txt, Docs/pages/authors.docs: Amendment to the previous commit 2009-09-15 13:15 Luigi Ballabio * [r16469] ql/indexes/swap/chfliborswap.cpp, ql/indexes/swap/chfliborswap.hpp, ql/indexes/swap/euriborswap.cpp, ql/indexes/swap/euriborswap.hpp, ql/indexes/swap/eurliborswap.cpp, ql/indexes/swap/eurliborswap.hpp, ql/indexes/swap/gbpliborswap.cpp, ql/indexes/swap/gbpliborswap.hpp, ql/indexes/swap/jpyliborswap.cpp, ql/indexes/swap/jpyliborswap.hpp, ql/indexes/swap/usdliborswap.cpp, ql/indexes/swap/usdliborswap.hpp, ql/indexes/swapindex.cpp, ql/indexes/swapindex.hpp, ql/termstructures/volatility/swaption/swaptionvolcube.cpp, ql/termstructures/volatility/swaption/swaptionvolcube.hpp, ql/termstructures/volatility/swaption/swaptionvolcube1.cpp, ql/termstructures/volatility/swaption/swaptionvolcube1.hpp, ql/termstructures/volatility/swaption/swaptionvolcube2.cpp, ql/termstructures/volatility/swaption/swaptionvolcube2.hpp, test-suite/cms.cpp, test-suite/rangeaccrual.cpp, test-suite/swaptionvolatilitycube.cpp: Added factory method to swap indexes (thanks to Yan Kuang.) 2009-09-14 19:23 Klaus Spanderen * [r16468] ql/experimental/overnightswap/Makefile.am, ql/experimental/overnightswap/all.hpp: removed eonia.cpp and eonia.hpp from Makefile.am 2009-09-14 15:24 Ferdinando Ametrano * [r16464] QuantLib_vc8.vcproj, ql/experimental/overnightswap/eonia.cpp, ql/experimental/overnightswap/eonia.hpp, ql/experimental/overnightswap/eoniacoupon.cpp, ql/experimental/overnightswap/eoniacoupon.hpp, ql/experimental/overnightswap/eoniaswap.hpp, ql/experimental/overnightswap/eoniaswaphelper.cpp, ql/experimental/overnightswap/eoniaswaphelper.hpp, ql/indexes/ibor/euribor.cpp, ql/indexes/ibor/euribor.hpp, test-suite/eoniaswap.cpp: moved Eonia index into Euribor family inheriting from DailyTenorEuribor 2009-09-13 20:37 Klaus Spanderen * [r16463] ql/methods/montecarlo/lsmbasissystem.cpp: added extra QL_REQUIRE to check dimension of the basis system 2009-09-12 18:16 Klaus Spanderen * [r16462] ql/methods/montecarlo/lsmbasissystem.cpp: added extra QL_REQUIRE to check dimension of the basis system 2009-09-11 08:55 Luigi Ballabio * [r16461] ql/experimental/compoundoption/analyticcompoundoptionengine.hpp, ql/experimental/finitedifferences/fdmquantohelper.hpp, ql/experimental/inflation/yoycapfloortermpricesurface.hpp, ql/indexes/inflation/frhicp.hpp, ql/math/matrixutilities/pseudosqrt.hpp, ql/math/randomnumbers/ranluxuniformrng.hpp, ql/pricingengines/vanilla/batesengine.hpp, ql/termstructures/volatility/sabrinterpolatedsmilesection.hpp: Fixes for documentation. 2009-09-10 08:38 Luigi Ballabio * [r16455] ql/experimental/credit/distribution.cpp: Allow for rounding errors in precondition. 2009-09-10 08:33 Luigi Ballabio * [r16454] ql/handle.hpp: Added convenience constructors (thanks to Andrew Kolesnikov.) 2009-09-09 10:35 Luigi Ballabio * [r16453] ql/experimental/callablebonds/treecallablebondengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/models/twomixmodelengines.cpp, ql/pricingengines/capfloor/analyticcapfloorengine.cpp, ql/pricingengines/capfloor/treecapfloorengine.cpp, ql/pricingengines/genericmodelengine.hpp, ql/pricingengines/swap/treeswapengine.cpp, ql/pricingengines/swaption/jamshidianswaptionengine.cpp, ql/pricingengines/swaption/treeswaptionengine.cpp, ql/pricingengines/vanilla/batesengine.cpp: Enabled Handles in GenericModelEngine class. 2009-09-07 10:37 Luigi Ballabio * [r16451] ql/experimental/finitedifferences/fdblackscholesasianengine.cpp, ql/experimental/finitedifferences/fdblackscholesasianengine.hpp, ql/experimental/finitedifferences/fdmamericanstepcondition.cpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp, ql/experimental/finitedifferences/fdmblackscholesop.cpp, ql/experimental/finitedifferences/fdmhestonop.cpp, ql/experimental/finitedifferences/fdmhestonop.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmquantohelper.cpp, ql/experimental/finitedifferences/fdmquantohelper.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp, ql/experimental/finitedifferences/triplebandlinearop.cpp, ql/experimental/inflation/polynomial2Dspline.hpp, ql/math/optimization/simplex.cpp, ql/methods/finitedifferences/finitedifferencemodel.hpp, ql/termstructures/yield/ratehelpers.cpp, test-suite/asianoptions.cpp, test-suite/inflationvol.hpp: Replaced hard-tabs with spaces. 2009-09-07 10:26 Chris Kenyon * [r16450] ql/experimental/inflation/inflationcappedcouponpricer.hpp: Tidy up documentation slightly. 2009-09-07 09:50 Luigi Ballabio * [r16449] test-suite/assetswap.cpp, test-suite/barrieroption.cpp, test-suite/europeanoption.cpp, test-suite/fdheston.cpp, test-suite/fdmlinearop.cpp, test-suite/hestonmodel.cpp, test-suite/interpolations.cpp, test-suite/linearleastsquaresregression.cpp, test-suite/swapforwardmappings.cpp: Fixed test-suite output. 2009-09-07 09:48 Luigi Ballabio * [r16448] test-suite/inflationvol.cpp: Ensured resetting of evaluation date. 2009-09-07 08:03 Luigi Ballabio * [r16447] ql/experimental/models/twomixmodelengines.cpp: Fixed assertions. 2009-09-04 14:42 Luigi Ballabio * [r16446] ql/experimental/credit/defaultprobabilitykey.cpp, ql/experimental/inflation/interpolatedyoyoptionletstripper.hpp: Avoided compilation warnings with VC++ 2009-09-04 12:40 Luigi Ballabio * [r16445] ql/experimental/inflation/polynomial2Dspline.hpp: Fixed misspelled name. 2009-09-04 12:37 Luigi Ballabio * [r16444] Contributors.txt, Docs/pages/authors.docs, Docs/pages/license.docs, LICENSE.TXT, ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdmamericanstepcondition.cpp, ql/experimental/finitedifferences/fdmblackscholesop.cpp, ql/experimental/finitedifferences/fdmblackscholesop.hpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/experimental/finitedifferences/fdminnervaluecalculator.cpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp, ql/experimental/inflation/polynomial2Dspline.hpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.cpp, ql/models/marketmodels/evolvers/lognormalfwdrateballand.hpp: Updated copyrights and contributor list. 2009-09-04 12:37 Luigi Ballabio * [r16443] ql/math/matrix.cpp: Fixed mismatched conditions 2009-09-02 14:17 Luigi Ballabio * [r16437] QuantLib.dev, QuantLib_vc7.vcproj: Updated VC7 and Dev-C++ projects 2009-09-02 12:36 Luigi Ballabio * [r16436] ql/experimental/credit/recursivecdoengine.hpp: Fixed inclusion order 2009-09-02 11:25 Luigi Ballabio * [r16435] ql/experimental/credit/recursivecdoengine.hpp, ql/experimental/finitedifferences/concentrating1dmesher.hpp, ql/experimental/finitedifferences/fdmblackscholesmesher.hpp, ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/experimental/finitedifferences/fdmhullwhitemesher.hpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp, ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp, ql/instruments/assetswap.hpp, ql/math/linearleastsquaresregression.hpp: Enforced self-consistency of header files. 2009-09-02 08:43 Luigi Ballabio * [r16434] ql/pricingengines/basket/mcamericanbasketengine.cpp: Removed unused requirement. 2009-09-01 16:18 Luigi Ballabio * [r16433] ql/time/calendar.hpp: Reversed latest change pending investigation 2009-09-01 16:06 Luigi Ballabio * [r16432] ql/time/calendar.hpp: Amending previous commit---I meant thanks to Dimitri Reiswich 2009-09-01 16:01 Luigi Ballabio * [r16431] ql/time/calendar.hpp: Fixed end-of-month detection (thanks to Andrea Odetti.) 2009-09-01 12:46 Ferdinando Ametrano * [r16427] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: Vc8/VC9 catching up 2009-09-01 04:43 Klaus Spanderen * [r16426] ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp: improved parameters for Heston variance mesher 2009-08-31 15:35 Luigi Ballabio * [r16425] ql/math/integrals/gaussianorthogonalpolynomial.cpp, ql/math/integrals/gaussianorthogonalpolynomial.hpp, ql/math/integrals/gaussianquadratures.hpp, ql/methods/montecarlo/lsmbasissystem.cpp, ql/methods/montecarlo/lsmbasissystem.hpp, ql/pricingengines/basket/mcamericanbasketengine.cpp, ql/pricingengines/vanilla/analytichestonengine.cpp, ql/pricingengines/vanilla/analytichestonengine.hpp, ql/pricingengines/vanilla/mcamericanengine.cpp, test-suite/gaussianquadratures.cpp, test-suite/hestonmodel.cpp, test-suite/mclongstaffschwartzengine.cpp: Fixed spelling 2009-08-31 14:05 Luigi Ballabio * [r16424] test-suite/utilities.hpp: Fixes for Boost 1.40 2009-08-28 20:10 Klaus Spanderen * [r16423] ql/pricingengines/vanilla/analytichestonengine.cpp: better handling of very small \sigma 2009-08-28 19:57 Klaus Spanderen * [r16422] ql/pricingengines/vanilla/analytichestonengine.cpp: better handling of very small \sigma 2009-08-28 15:51 Luigi Ballabio * [r16421] ql/instruments/creditdefaultswap.cpp, ql/instruments/creditdefaultswap.hpp, ql/time/calendars/Makefile.am, ql/time/calendars/all.hpp, ql/time/calendars/weekendsonly.cpp, ql/time/calendars/weekendsonly.hpp: Added weekend-only calendar 2009-08-28 14:17 Luigi Ballabio * [r16420] ql/instruments/creditdefaultswap.cpp, ql/instruments/creditdefaultswap.hpp: Added conventional CDS spread calculation (thanks to Jose Aparicio.) 2009-08-28 13:53 Luigi Ballabio * [r16419] ql/instruments/creditdefaultswap.cpp, ql/instruments/creditdefaultswap.hpp, ql/pricingengines/credit/integralcdsengine.cpp, ql/pricingengines/credit/midpointcdsengine.cpp, ql/termstructures/credit/defaultprobabilityhelpers.cpp, ql/termstructures/credit/defaultprobabilityhelpers.hpp: Added delay for CDS upfront (thanks to Jose Aparicio.) 2009-08-27 12:34 Luigi Ballabio * [r16418] ql/Makefile.am, ql/auto_link.hpp, ql/qldefines.hpp, ql/quantlib.hpp, ql/version.hpp, test-suite/quantlibbenchmark.cpp, test-suite/quantlibtestsuite.cpp: Moved version number to separate file to avoid library recompilation 2009-08-22 06:57 Roland Lichters * [r16417] ql/experimental/credit/issuer.hpp: public typedef key_curve_pair 2009-08-22 06:42 Roland Lichters * [r16416] ql/experimental/credit/recursivecdoengine.hpp: added include 2009-08-18 20:09 Klaus Spanderen * [r16415] ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.hpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.hpp, test-suite/barrieroption.cpp: added damping steps to FD Black-Scholes Barrier Engine (thanks nando for the advice) 2009-08-18 20:04 Klaus Spanderen * [r16414] test-suite/hestonmodel.cpp: enable all heston model test cases 2009-08-18 18:57 Klaus Spanderen * [r16413] ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp: parameter change for GaussLobatto Integration within HestonVarianceMesher 2009-08-18 08:57 Ferdinando Ametrano * [r16411] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: VC8/9 catching up 2009-08-18 08:57 Ferdinando Ametrano * [r16410] ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp: added missing damping steps input parameter. Klaus please confirm the fix is correct 2009-08-18 05:14 Klaus Spanderen * [r16409] ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp, test-suite/hestonmodel.cpp: applied better "skew hint" 2009-08-18 05:12 Klaus Spanderen * [r16408] ql/experimental/finitedifferences/fdhestonbarrierengine.hpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdhestonrebateengine.hpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp, ql/experimental/finitedifferences/fdmbackwardsolver.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, test-suite/fdheston.cpp: fixed MCVS warnings 2009-08-16 12:25 Klaus Spanderen * [r16407] ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp, test-suite/hestonmodel.cpp: added "skew hint" for large sigma/kappa ratios 2009-08-15 14:55 Klaus Spanderen * [r16406] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdmbackwardsolver.cpp, ql/experimental/finitedifferences/fdmbackwardsolver.hpp, ql/experimental/finitedifferences/modifiedcraigsneydscheme.cpp, ql/experimental/finitedifferences/modifiedcraigsneydscheme.hpp, test-suite/fdheston.cpp: added modified Craig-Sneyd scheme, see "ADI finite difference schemes for option pricingin the Heston model with correlation" by K. J. in ’t Hout and S. Foulon 2009-08-15 09:47 Klaus Spanderen * [r16405] ql/experimental/finitedifferences/fdhestonbarrierengine.hpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdhestonrebateengine.hpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp, ql/experimental/finitedifferences/fdmbackwardsolver.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, test-suite/fdheston.cpp: changed default for Hundsdorfer scheme towards theta=0.5+sqrt(3)/6 as recommended in "ADI finite difference schemes for option pricingin the Heston model with correlation" by K. J. in ’t Hout and S. Foulon 2009-08-14 11:45 Klaus Spanderen * [r16404] test-suite/fdheston.cpp: added explicit scheme fdm test case 2009-08-14 10:28 Luigi Ballabio * [r16403] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: Updated Windows projects 2009-08-14 09:01 Luigi Ballabio * [r16402] acinclude.m4, configure.ac, ql/experimental/finitedifferences/concentrating1dmesher.cpp: Added configure check for asinh function 2009-08-13 14:55 Luigi Ballabio * [r16401] ql/experimental/finitedifferences/concentrating1dmesher.cpp: Added std namespace to math calls 2009-08-13 13:32 Plamen Neykov * [r16400] ql/experimental/finitedifferences/concentrating1dmesher.cpp: eol-style property set ... 2009-08-13 13:28 Plamen Neykov * [r16399] ql/experimental/finitedifferences/concentrating1dmesher.cpp: in WIN 32 asinh is missing - added macro to calculate it. see http://msdn.microsoft.com/en-us/library/w3t84e33%28VS.71%29.aspx for details 2009-08-12 22:47 Klaus Spanderen * [r16398] test-suite/europeanoption.cpp: fixed local vol tests 2009-08-12 22:01 Klaus Spanderen * [r16397] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/bicgstab.cpp, ql/experimental/finitedifferences/expliciteulerscheme.cpp, ql/experimental/finitedifferences/expliciteulerscheme.hpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.hpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.hpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.hpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp, ql/experimental/finitedifferences/fdmbackwardsolver.cpp, ql/experimental/finitedifferences/fdmbackwardsolver.hpp, ql/experimental/finitedifferences/fdmblackscholesop.cpp, ql/experimental/finitedifferences/fdmblackscholesop.hpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.hpp, ql/experimental/finitedifferences/fdmhestonhullwhiteop.cpp, ql/experimental/finitedifferences/fdmhestonhullwhiteop.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhestonop.cpp, ql/experimental/finitedifferences/fdmhestonop.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/experimental/finitedifferences/fdmlinearopcomposite.hpp, ql/experimental/finitedifferences/impliciteulerscheme.cpp, ql/experimental/finitedifferences/impliciteulerscheme.hpp, test-suite/fdmlinearop.cpp: added damping for fdm splitting schemes 2009-08-12 14:12 Luigi Ballabio * [r16396] QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc9.vcproj: Updated Windows projects 2009-08-12 14:06 Luigi Ballabio * [r16395] ql/experimental/finitedifferences/fdmhestoninnervalue.hpp: Removed obsolete file 2009-08-12 10:36 Luigi Ballabio * [r16394] ql/time/schedule.cpp: Fixed IMM-date detection (thanks to Radu Mondescu 2009-08-10 13:58 Luigi Ballabio * [r16393] ql/math/interpolations/cubicinterpolation.hpp: Added Akima and overshooting-minimization spline algorithms (thanks to Sylvain Bertrand) 2009-08-10 11:49 Luigi Ballabio * [r16392] test-suite/fdmlinearop.cpp: Relaxed tolerance 2009-08-09 09:34 Klaus Spanderen * [r16391] ql/experimental/finitedifferences/impliciteulerscheme.cpp, ql/experimental/finitedifferences/impliciteulerscheme.hpp: better maxIter estimates 2009-08-07 21:54 Klaus Spanderen * [r16390] test-suite/fdmlinearop.cpp, test-suite/fdmlinearop.hpp: added test case for Crank-Nicolson with initial implicit damping 2009-08-07 21:50 Klaus Spanderen * [r16389] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/impliciteulerscheme.cpp, ql/experimental/finitedifferences/impliciteulerscheme.hpp: added fdm implict euler scheme 2009-08-07 21:48 Klaus Spanderen * [r16388] ql/experimental/finitedifferences/craigsneydscheme.hpp, ql/experimental/finitedifferences/douglasscheme.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/hundsdorferscheme.hpp: removed useless includes 2009-08-07 21:37 Klaus Spanderen * [r16387] ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp: removed useless namespace identifier 2009-08-07 21:36 Klaus Spanderen * [r16386] ql/experimental/finitedifferences/fdmblackscholessolver.cpp: removed useless namespace identifier 2009-08-07 21:34 Klaus Spanderen * [r16385] ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp: removed useless namespace identifier 2009-08-06 19:59 Klaus Spanderen * [r16384] ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdmblackscholesmesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmesher.hpp: improved FdmBlackScholesMesher 2009-08-05 23:01 Klaus Spanderen * [r16383] test-suite/fdmlinearop.cpp, test-suite/hybridhestonhullwhiteprocess.cpp: FDM test suite clean up 2009-08-05 22:01 Klaus Spanderen * [r16382] ql/experimental/finitedifferences/fdblackscholesasianengine.cpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdmamericanstepcondition.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdminnervaluecalculator.cpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, test-suite/fdmlinearop.cpp: FdmLogInnerValue support caching of avg inner values 2009-08-04 10:52 Luigi Ballabio * [r16381] Announce.txt, Examples/BermudanSwaption/BermudanSwaption.dev, Examples/Bonds/Bonds.dev, Examples/CDS/CDS.dev, Examples/CallableBonds/CallableBonds.dev, Examples/ConvertibleBonds/ConvertibleBonds.dev, Examples/DiscreteHedging/DiscreteHedging.dev, Examples/EquityOption/EquityOption.dev, Examples/FRA/FRA.dev, Examples/FittedBondCurve/FittedBondCurve.dev, Examples/Replication/Replication.dev, Examples/Repo/Repo.dev, Examples/Swap/Swap.dev, QuantLib.dev, QuantLib_vc7.vcproj, QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, configure.ac, ql/qldefines.hpp, test-suite/testsuite.dev, test-suite/testsuite_vc7.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: Increased version number 2009-08-03 20:33 Klaus Spanderen * [r16378] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/concentrating1dmesher.cpp, ql/experimental/finitedifferences/concentrating1dmesher.hpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdmblackscholesmesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmesher.hpp, ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp, ql/experimental/finitedifferences/fdminnervaluecalculator.cpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp, test-suite/europeanoption.cpp, test-suite/fdheston.cpp: use concentrating mesher for FD vanilla option pricing engines 2009-08-01 17:30 Klaus Spanderen * [r16377] ql/experimental/finitedifferences/fdminnervaluecalculator.hpp: improved inner value calculator 2009-07-31 14:15 Luigi Ballabio * [r16376] ql/experimental/risk/sensitivityanalysis.cpp: Fixed second-derivative calculation (thanks to Radu Mondescu) 2009-07-30 15:49 Ferdinando Ametrano * [r16375] ql/termstructures/volatility/abcd.cpp, ql/termstructures/volatility/abcd.hpp: fixed documentation (thanks to Luca Ferraro) 2009-07-29 16:53 Ferdinando Ametrano * [r16373] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj, test-suite/testsuite_vc8.vcproj, test-suite/testsuite_vc9.vcproj: VC8/9 catching up 2009-07-29 16:07 Luigi Ballabio * [r16371] ., ql/experimental/credit/Makefile.am, ql/experimental/credit/all.hpp, ql/experimental/credit/recursivecdoengine.hpp, ql/math/matrixutilities/Makefile.am, ql/math/matrixutilities/all.hpp, ql/math/matrixutilities/factorreduction.cpp, ql/math/matrixutilities/factorreduction.hpp: Added recursive CDO engine (thanks to Jose Aparicio.) 2009-07-29 16:05 Luigi Ballabio * [r16370] ql/experimental/credit/distribution.cpp: Fix for numerical glitch (thanks to Jose Aparicio) 2009-07-29 16:04 Luigi Ballabio * [r16369] ql/experimental/inflation/yoycapfloortermpricesurface.hpp, ql/termstructures/inflation/inflationhelpers.cpp, ql/termstructures/inflation/inflationhelpers.hpp, test-suite/inflation.cpp: Renamed inflation-curve helpers. 2009-07-29 10:47 Ferdinando Ametrano * [r16368] ql/termstructures/yield/ratehelpers.cpp, ql/termstructures/yield/ratehelpers.hpp: added hook for exogenously assigned discounting term structure (thanks to Roland Lichters) 2009-07-29 10:38 Luigi Ballabio * [r16367] ., ql/Makefile.am, ql/default.cpp, ql/default.hpp, ql/experimental/credit/Makefile.am, ql/experimental/credit/all.hpp, ql/experimental/credit/basket.cpp, ql/experimental/credit/basket.hpp, ql/experimental/credit/defaultevent.cpp, ql/experimental/credit/defaultevent.hpp, ql/experimental/credit/defaultprobabilitykey.cpp, ql/experimental/credit/defaultprobabilitykey.hpp, ql/experimental/credit/defaulttype.cpp, ql/experimental/credit/defaulttype.hpp, ql/experimental/credit/issuer.cpp, ql/experimental/credit/issuer.hpp, ql/experimental/credit/randomdefaultmodel.cpp, ql/experimental/credit/randomdefaultmodel.hpp, ql/experimental/credit/recoveryratemodel.cpp, ql/experimental/credit/recoveryratemodel.hpp, ql/experimental/credit/recoveryratequote.cpp, ql/experimental/credit/recoveryratequote.hpp, ql/experimental/credit/riskybond.cpp, ql/experimental/credit/riskybond.hpp, ql/experimental/credit/syntheticcdo.cpp, ql/experimental/credit/syntheticcdo.hpp, ql/experimental/credit/syntheticcdoengines.hpp, test-suite/Makefile.am, test-suite/cdo.cpp, test-suite/issuer.cpp, test-suite/issuer.hpp, test-suite/quantlibtestsuite.cpp: Added experimental machinery for default specification (thanks to Jose Aparicio) 2009-07-29 08:40 Ferdinando Ametrano * [r16366] ql/instruments/makevanillaswap.cpp: used the private variable which has a more expressive name 2009-07-28 20:40 Klaus Spanderen * [r16365] ql/experimental/finitedifferences/fdblackscholesasianengine.cpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp: use default for simpson rule 2009-07-28 20:18 Klaus Spanderen * [r16364] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/concentrating1dmesher.hpp, ql/experimental/finitedifferences/fdblackscholesasianengine.cpp, ql/experimental/finitedifferences/fdblackscholesasianengine.hpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdmamericanstepcondition.cpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.cpp, ql/experimental/finitedifferences/fdmarithmeticaveragecondition.hpp, ql/experimental/finitedifferences/fdmblackscholesop.cpp, ql/experimental/finitedifferences/fdmblackscholesop.hpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/experimental/finitedifferences/fdminnervaluecalculator.hpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.cpp, ql/experimental/finitedifferences/fdmsimple2dbssolver.hpp, ql/experimental/finitedifferences/fdmstepconditioncomposite.hpp, ql/methods/finitedifferences/finitedifferencemodel.hpp, test-suite/asianoptions.cpp, test-suite/fdmlinearop.cpp: added finite difference asian average engines (thanks to Ralph Schreyer) 2009-07-28 12:50 Luigi Ballabio * [r16363] ql/math/functional.hpp, test-suite/fdmlinearop.cpp: Moved helper functional with test case 2009-07-28 09:43 Roland Lichters * [r16362] ql/experimental/credit/riskybond.cpp, ql/experimental/credit/riskybond.hpp: added interest and notional flows 2009-07-28 09:14 Ferdinando Ametrano * [r16360] QuantLib_vc8.vcproj: VC8 catching up 2009-07-28 09:00 Ferdinando Ametrano * [r16359] test-suite/hybridhestonhullwhiteprocess.cpp: avoided VC9 warning 2009-07-28 09:00 Ferdinando Ametrano * [r16358] QuantLib_vc9.vcproj: VC9 catching up 2009-07-25 15:54 Klaus Spanderen * [r16357] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/bicgstab.cpp, ql/experimental/finitedifferences/bicgstab.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/math/functional.hpp, test-suite/fdmlinearop.cpp, test-suite/fdmlinearop.hpp: added bicgstab algorithm 2009-07-08 14:34 Luigi Ballabio * [r16351] ql/termstructures/credit/defaultprobabilityhelpers.cpp, test-suite/defaultprobabilitycurves.cpp, test-suite/defaultprobabilitycurves.hpp: Ensure that upfront is taken into account during bootstrap 2009-07-08 11:45 Luigi Ballabio * [r16350] ql/instruments/creditdefaultswap.hpp, ql/pricingengines/credit/integralcdsengine.cpp, ql/pricingengines/credit/integralcdsengine.hpp, ql/pricingengines/credit/midpointcdsengine.cpp, ql/pricingengines/credit/midpointcdsengine.hpp, ql/termstructures/credit/defaultprobabilityhelpers.cpp, test-suite/creditdefaultswap.cpp, test-suite/defaultprobabilitycurves.cpp: Modified CDS engines so that they use the new cash-flow flags. 2009-07-08 09:31 Luigi Ballabio * [r16349] ql/settings.cpp: Avoid notification if date is not actually changed 2009-07-07 16:37 Luigi Ballabio * [r16346] ql/instruments/creditdefaultswap.cpp: Added missing method implementation 2009-07-07 13:16 Luigi Ballabio * [r16345] ., Examples/CDS/CDS.cpp, ql/experimental/credit/blackcdsoptionengine.cpp, ql/experimental/credit/cdsoption.cpp, ql/instruments/creditdefaultswap.cpp, ql/instruments/creditdefaultswap.hpp, ql/pricingengines/credit/integralcdsengine.cpp, ql/pricingengines/credit/midpointcdsengine.cpp, ql/termstructures/credit/defaultprobabilityhelpers.cpp, ql/termstructures/credit/defaultprobabilityhelpers.hpp, test-suite/creditdefaultswap.cpp, test-suite/creditdefaultswap.hpp, test-suite/defaultprobabilitycurves.cpp: Added upfront to CDS (thanks to Jose Aparicio.) Upfront-based CDS helpers were added, too. 2009-06-30 15:18 Luigi Ballabio * [r16337] ql/pricingengines/inflation/discountinginflationswapengines.cpp, ql/pricingengines/inflation/discountinginflationswapengines.hpp: Modified discounting inflation engines so that they use the new cash-flow flags. 2009-06-30 14:21 Luigi Ballabio * [r16335] ql/pricingengines/bond/discountingbondengine.hpp, ql/pricingengines/swap/discountingswapengine.hpp: Changed engine default to use the default cash-flow flags 2009-06-30 13:29 Luigi Ballabio * [r16331] ql/pricingengines/bond/discountingbondengine.cpp, ql/pricingengines/bond/discountingbondengine.hpp: Modified DiscountingBondEngine so that it uses the new cash-flow flags. 2009-06-29 13:00 Luigi Ballabio * [r16324] ql/termstructures/inflationtermstructure.cpp, ql/termstructures/inflationtermstructure.hpp: Added notification to setSeasonality() method. Removed unneeded boolean flag. 2009-06-29 12:15 Luigi Ballabio * [r16323] ql/experimental/inflation/Makefile.am: Updated Makefile 2009-06-29 10:36 Ferdinando Ametrano * [r16321] ql/cashflows/couponpricer.cpp: fixed variable name 2009-06-29 10:35 Ferdinando Ametrano * [r16320] ql/experimental/inflation/all.hpp, ql/experimental/inflation/polynomial2D.hpp, ql/experimental/inflation/polynomial2Dspline.hpp: removed Polynomial2DInterpolation, using CubicInterpolation with DerivativeApprox::Parabolic instead 2009-06-29 10:29 Luigi Ballabio * [r16319] ql/termstructures/inflation/seasonality.hpp: Added missing includes (my fault--sorry, folks) 2009-06-29 10:24 Ferdinando Ametrano * [r16318] QuantLib_vc8.vcproj, ql/termstructures/inflation/seasonality.cpp: removed VC8 error 2009-06-29 09:31 Luigi Ballabio * [r16317] ql/termstructures/inflation/seasonality.hpp: Marked warning as such 2009-06-29 09:23 Luigi Ballabio * [r16316] ql/termstructures/inflation/seasonality.hpp, ql/termstructures/inflationtermstructure.hpp: Fixed doxygen syntax 2009-06-29 08:50 Luigi Ballabio * [r16315] ql/experimental/inflation/all.hpp, ql/termstructures/inflation/seasonality.cpp: Avoided gcc warning 2009-06-28 13:40 Chris Kenyon * [r16314] ql/experimental/inflation/all.hpp, ql/termstructures/inflation/Makefile.am, ql/termstructures/inflation/all.hpp, ql/termstructures/inflation/seasonality.cpp, ql/termstructures/inflation/seasonality.hpp, ql/termstructures/inflationtermstructure.cpp, ql/termstructures/inflationtermstructure.hpp, test-suite/inflation.cpp: Add seasonality to inflation termstructures, thanks to [Piero Del Boca and Chris Kenyon]. 2009-06-26 15:34 Luigi Ballabio * [r16313] test-suite/quantlibtestsuite.cpp: Re-enabled tests 2009-06-25 13:01 Ferdinando Ametrano * [r16309] test-suite/assetswap.cpp, test-suite/quantlibtestsuite.cpp: restored all asset swap tests 2009-06-25 12:42 Ferdinando Ametrano * [r16307] ql/instruments/assetswap.cpp, ql/pricingengines/swap/discountingswapengine.cpp: fixed asset swap bugs: clean price dependence from npvDate and market asset swap 2009-06-25 12:40 Ferdinando Ametrano * [r16306] test-suite/assetswap.cpp: fixed formatting 2009-06-25 12:34 Ferdinando Ametrano * [r16305] test-suite/assetswap.cpp, test-suite/assetswap.hpp: added more tests 2009-06-25 10:43 Ferdinando Ametrano * [r16302] test-suite/testsuite_vc9.vcproj: VC9 catching up 2009-06-24 14:50 Luigi Ballabio * [r16301] ql/instruments/vanillaswap.hpp: Documentation fix (follow-up to revision 16300) 2009-06-24 14:44 Luigi Ballabio * [r16300] ql/instruments/makeswaption.cpp, ql/instruments/makevanillaswap.cpp, ql/legacy/libormarketmodels/lfmswaptionengine.cpp, ql/models/shortrate/calibrationhelpers/caphelper.cpp, ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp, ql/pricingengines/swap/discountingswapengine.cpp, ql/pricingengines/swap/discountingswapengine.hpp, ql/pricingengines/swaption/blackswaptionengine.cpp, ql/pricingengines/swaption/g2swaptionengine.hpp: Modified DiscountingSwapEngine so that it uses the new cash-flow flags. 2009-06-23 20:46 Klaus Spanderen * [r16299] test-suite/hestonmodel.cpp, test-suite/hestonmodel.hpp: added test case for multiple strikes Heston FD engine 2009-06-23 13:12 Marco Bianchetti * [r16298] test-suite/testsuite_vc8.vcproj: VC8 catching up with cashflow.xpp VC9 still to be done (I can't :-) 2009-06-23 10:52 Ferdinando Ametrano * [r16297] QuantLib_vc8.vcproj, QuantLib_vc9.vcproj: VC8/9 catching up 2009-06-23 05:37 Klaus Spanderen * [r16296] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp, ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmultistrikemesher.hpp, test-suite/hybridhestonhullwhiteprocess.cpp: finished work on calibration of a hybrid Heston-Hull-White model using multiple strikes finite difference pricing 2009-06-23 05:24 Klaus Spanderen * [r16295] ql/pricingengines/vanilla/analytichestonengine.cpp: more detailed type cast 2009-06-19 17:21 Ferdinando Ametrano * [r16294] QuantLib_vc9.vcproj: VC9 catching up 2009-06-19 15:30 Luigi Ballabio * [r16289] configure.ac, ql/pricingengines/capfloor/analyticcapfloorengine.cpp, ql/userconfig.hpp: Removed QL_TODAYS_PAYMENTS macro. The remaining occurrence of the macros were replaced with lookups of the new flags in the Settings class. 2009-06-19 15:27 Luigi Ballabio * [r16288] ql/Makefile.am, ql/cashflow.cpp, ql/cashflow.hpp, ql/event.cpp, ql/event.hpp, ql/settings.cpp, ql/settings.hpp, test-suite/Makefile.am, test-suite/cashflows.cpp, test-suite/cashflows.hpp, test-suite/quantlibtestsuite.cpp: Added cash-flow related flags to Settings class. This commit adds to the Settings class a couple of flags that can be read for determining whether or not to include today's (or reference date's) cash flows. The Event and CashFlow class were modified to take the flags into account; however, the flags are not yet fully supported since some engines still hard-code boolean values in their calls to npv() and related functions. Fixing this will be the focus of later commits. 2009-06-17 15:17 Luigi Ballabio * [r16287] ql/experimental/compoundoption/analyticcompoundoptionengine.cpp, test-suite/inflationvol.cpp: Removed extra semicolons 2009-06-17 10:33 Ferdinando Ametrano * [r16285] QuantLib_vc8.vcproj: VC8 catching up 2009-06-16 19:47 Klaus Spanderen * [r16284] ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdmblackscholesmesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmesher.hpp, ql/experimental/finitedifferences/fdmhullwhitemesher.cpp, ql/experimental/finitedifferences/fdmhullwhitemesher.hpp: minor interface change 2009-06-16 00:04 Klaus Spanderen * [r16283] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdmhestonvariancemesher.cpp, ql/experimental/finitedifferences/fdmhestonvariancemesher.hpp, ql/experimental/finitedifferences/fdmhullwhitemesher.cpp, ql/experimental/finitedifferences/fdmhullwhitemesher.hpp, ql/experimental/models/twomixmodelhelpers.cpp, ql/models/calibrationhelper.cpp, ql/models/calibrationhelper.hpp, ql/models/equity/hestonmodelhelper.cpp, ql/models/equity/hestonmodelhelper.hpp, ql/models/shortrate/calibrationhelpers/caphelper.cpp, ql/models/shortrate/calibrationhelpers/caphelper.hpp, ql/models/shortrate/calibrationhelpers/swaptionhelper.cpp, ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp, test-suite/batesmodel.cpp, test-suite/gjrgarchmodel.cpp, test-suite/hestonmodel.cpp, test-suite/hybridhestonhullwhiteprocess.cpp, test-suite/hybridhestonhullwhiteprocess.hpp, test-suite/libormarketmodel.cpp: added hybrid Heston-Hull-White calibration based on fd pricing engines (first iteration) 2009-06-12 15:21 Luigi Ballabio * [r16282] ql/instruments/bond.cpp: Deleted dead code branch 2009-06-12 12:52 Luigi Ballabio * [r16281] ql/experimental/callablebonds/blackcallablebondengine.cpp, ql/experimental/callablebonds/callablebond.cpp, ql/instruments/bonds/convertiblebond.cpp, ql/instruments/fixedratebondforward.cpp, ql/termstructures/yield/fittedbonddiscountcurve.cpp: Passed explicit do-not-include parameter to a few bond-related calculations 2009-06-11 17:17 Ferdinando Ametrano * [r16279] ql/pricingengines/swap/discountingswapengine.cpp, ql/pricingengines/swap/discountingswapengine.hpp: extended DiscountingSwapEngine constructor to take additional includeSettlementDateFlows, settlementDate, npvDate parameters into account 2009-06-10 13:11 Ferdinando Ametrano * [r16273] QuantLib_vc8.vcproj: VC8 catching up 2009-06-10 13:06 Ferdinando Ametrano * [r16271] QuantLib_vc9.vcproj: VC9 catching up 2009-06-10 13:05 Ferdinando Ametrano * [r16269] ql/instruments/assetswap.cpp: fixed bug: bond coupon payment on settlement date was not excluded 2009-06-08 20:00 Klaus Spanderen * [r16268] ql/pricingengines/vanilla/analytichestonengine.cpp: formatting 2009-06-07 19:17 Klaus Spanderen * [r16264] ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdmlinearoplayout.cpp: removed useless static definition 2009-06-07 19:15 Klaus Spanderen * [r16263] test-suite/hestonmodel.cpp: enable test cases 2009-06-01 21:43 Klaus Spanderen * [r16262] ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, test-suite/hybridhestonhullwhiteprocess.cpp: added control variate for finite differnce Heston Hull-White engine 2009-05-31 13:26 Klaus Spanderen * [r16261] test-suite/fdheston.cpp, test-suite/hestonmodel.cpp: added Finite Difference solver for the Heston Hull-White model 2009-05-31 10:30 Klaus Spanderen * [r16260] ql/experimental/finitedifferences/Makefile.am, ql/experimental/finitedifferences/all.hpp, ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesrebateengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.hpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.cpp, ql/experimental/finitedifferences/fdhestonhullwhitevanillaengine.hpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.hpp, ql/experimental/finitedifferences/fdhestonvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonvanillaengine.hpp, ql/experimental/finitedifferences/fdmblackscholesmesher.cpp, ql/experimental/finitedifferences/fdmblackscholesmesher.hpp, ql/experimental/finitedifferences/fdmblackscholessolver.cpp, ql/experimental/finitedifferences/fdmblackscholessolver.hpp, ql/experimental/finitedifferences/fdmdirichletboundary.hpp, ql/experimental/finitedifferences/fdmdividendhandler.cpp, ql/experimental/finitedifferences/fdmdividendhandler.hpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.cpp, ql/experimental/finitedifferences/fdmhestonhullwhitesolver.hpp, ql/experimental/finitedifferences/fdmhestonsolver.cpp, ql/experimental/finitedifferences/fdmhestonsolver.hpp, ql/math/interpolations/bicubicsplineinterpolation.hpp, test-suite/fdheston.cpp, test-suite/fdheston.hpp, test-suite/fdmlinearop.cpp, test-suite/hybridhestonhullwhiteprocess.cpp, test-suite/hybridhestonhullwhiteprocess.hpp, test-suite/interpolations.cpp, test-suite/interpolations.hpp: added Finite Difference solver for the Heston Hull-White model 2009-05-25 08:12 Luigi Ballabio * [r16256] Examples/FittedBondCurve/FittedBondCurve.cpp: Fixed out-of-bounds access (thanks to an anonymous reporter) 2009-05-17 11:58 Klaus Spanderen * [r16252] ql/experimental/finitedifferences/fdblackscholesbarrierengine.cpp, ql/experimental/finitedifferences/fdblackscholesvanillaengine.cpp, ql/experimental/finitedifferences/fdhestonbarrierengine.cpp, ql/experimental/finitedifferences/fdhestonrebateengine.cpp: removed useless variables 2009-05-17 06:17 Klaus Spanderen * [r16251] test-suite/fdheston.cpp, test-suite/fdheston.hpp: added new fd heston test case 2009-05-14 09:36 Luigi Ballabio * [r16249] ql/termstructures/bootstraphelper.hpp: Added missing include 2009-05-14 09:35 Luigi Ballabio * [r16248] ql/termstructures/yield/bondhelpers.cpp, ql/termstructures/yield/bondhelpers.hpp: Removed leftovers from Rev16242 2009-05-13 21:09 Klaus Spanderen * [r16247] test-suite/fdheston.cpp: improved fd heston test case 2009-05-13 12:53 Ferdinando Ametrano * [r16246] ql/termstructures/bootstraphelper.hpp, ql/termstructures/yield/ratehelpers.cpp, ql/termstructures/yield/ratehelpers.hpp: templatized former RelativeDateRateHelper as generic RelativeDateBootstrapHelper 2009-05-13 12:51 Ferdinando Ametrano * [r16245] ql/termstructures/yield/bondhelpers.cpp, ql/termstructures/yield/bondhelpers.hpp: fixed mistaken inheritance (also solved the date-change expired-bond exception and reverted Rev16242) 2009-05-13 08:18 Luigi Ballabio * [r16242] ql/termstructures/yield/bondhelpers.cpp, ql/termstructures/yield/bondhelpers.hpp: Do not throw in initializeDates() when the bond underlying the helper is expired; invalidate the helper instead. This avoids raising an exception upon a date-change notification, delaying the exception to when (and if) the helper is actually used. 2009-05-08 13:55 Ferdinando Ametrano * [r16233] Examples/FittedBondCurve/FittedBondCurve.cpp: catching up with latest signature changes 2009-05-08 13:51 Ferdinando Ametrano * [r16232] ql/patterns/observable.hpp: rescued error message 2009-05-08 09:15 Luigi Ballabio * [r16231] ql/time/calendars/canada.hpp, ql/time/calendars/japan.cpp, ql/time/calendars/southafrica.cpp, ql/time/calendars/southafrica.hpp: Miscellaneous calendar fixes 2009-05-07 17:29 Ferdinando Ametrano * [r16229] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp, ql/experimental/callablebonds/blackcallablebondengine.cpp, ql/instruments/bond.cpp, ql/instruments/capfloor.cpp, ql/instruments/makecapfloor.cpp, ql/pricingengines/bond/bondfunctions.cpp, ql/pricingengines/bond/discountingbondengine.cpp, ql/pricingengines/swap/discountingswapengine.cpp, ql/pricingengines/swaption/blackswaptionengine.cpp, ql/termstructures/volatility/swaption/cmsmarket.cpp, ql/termstructures/yield/fittedbonddiscountcurve.cpp: - reordered CashFlows functions' parameters, removing dangerous default values. If null, settlement date defaults to Settings::instance().evaluationDate() and npv date to settlement date - fixed erroneous calls to CashFlows functions - BlackCallableBondEngine logic should be reviewed 2009-05-06 20:18 Klaus Spanderen * [r16228] ql/experimental/finitedifferences/fdmdividendhandler.cpp: bug fix for multi dimensional FD dividend helper 2009-05-06 20:13 Klaus Spanderen * [r16227] test-suite/fdheston.cpp, test-suite/fdheston.hpp: added new FD Heston test cases for american puts 2009-05-06 07:22 Ferdinando Ametrano * [r16226] ql/cashflow.hpp, ql/cashflows/cashflows.cpp, ql/event.hpp: - overloaded Event::hasOccurred in CashFlow::hasOccurred. QL_TODAY_PAYMENTS handling is now in the CashFlow class, as this is the "payment event" class - removed QL_TODAY_PAYMENTS handling from CashFlows methods 2009-05-05 16:09 Ferdinando Ametrano * [r16223] ql/experimental/risk/sensitivityanalysis.cpp: fixed bug: using "wasValid" logic instead of isValid 2009-05-05 16:07 Ferdinando Ametrano * [r16222] ql/cashflows/cashflows.cpp, ql/cashflows/cashflows.hpp, ql/pricingengines/bond/bondfunctions.cpp, ql/pricingengines/bond/discountingbondengine.cpp, ql/pricingengines/swap/discountingswapengine.cpp: parametrized CashFlows functions with explicit includeSettlementDateFlows; BondFunctions forward to CashFlows functions setting includeSettlementDateFlows equal to false. 2009-04-28 12:57 Ferdinando Ametrano * [r16219] ql/instrument.hpp, ql/pricingengines/bond/discountingbondengine.cpp, ql/pricingengines/swap/discountingswapengine.cpp: added valuationDate to Instrument::results 2009-04-27 12:14 Luigi Ballabio * [r16215] Examples/Bonds/Bonds.cpp, Examples/FRA/FRA.cpp, Examples/Swap/swapvaluation.cpp, ql/termstructures/credit/interpolateddefaultdensitycurve.hpp, ql/termstructures/credit/interpolatedhazardratecurve.hpp, ql/termstructures/credit/piecewisedefaultcurve.hpp, ql/termstructures/yield/discountcurve.hpp, ql/termstructures/yield/forwardcurve.hpp, ql/termstructures/yield/piecewiseyieldcurve.hpp, ql/termstructures/yield/zerocurve.hpp, test-suite/piecewiseyieldcurve.cpp: Added overloaded curve constructors to skip jump arguments more easily 2009-04-27 10:20 Ferdinando Ametrano * [r16214] ql/pricingengines/blackcalculator.cpp, ql/pricingengines/blackcalculator.hpp: fixed (stdDev